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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: 811-7170
TCW Funds, Inc.
(Exact name of registrant as specified in charter)
865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017
(Address of principal executive offices)
Patrick W. Dennis, Esq.
Assistant Secretary
865 South Figueroa Street, Suite 1800
Los Angeles, CA 90017
(Name and address of agent for service)
Registrant’s telephone number, including area code: (213) 244-0000
Date of fiscal year end: October 31
Date of reporting period: April 30, 2014
Table of Contents
Item 1. | Report to Stockholders. |
Table of Contents
TCW Funds
Semi-Annual Report
FOR THE SIX MONTHS ENDED APRIL 30
2014
TCW Equity Funds
Concentrated Value Fund Growth Fund Growth Equities Fund
Relative Value Dividend Appreciation Fund Relative Value Large Cap Fund Select Equities Fund Small Cap Growth Fund SMID Cap Growth Fund Value Opportunities Fund
TCW Allocation Fund
Conservative Allocation Fund
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TCW Funds, Inc.
April 30, 2014 |
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 97 |
Table of Contents
Letter to Shareholders |
David S. DeVito | ||
President, Chief Executive Officer & Director |
Dear Valued Investors:
It is my pleasure to present the semi-annual report for the TCW Funds, Inc. covering the six-month period ended April 30, 2014. I would like to thank you for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of April 30, 2014, the TCW Funds held total net assets of approximately $18.6 billion.
This report contains information outlining the performance of the TCW Funds and a listing of the portfolio holdings as of April 30, 2014.
About the TCW Funds
The TCW Funds offer shareholders a choice of 21 funds, each targeted to specific asset classes, market segments or multiple sectors of the global equity and fixed income markets. For U.S. equities, we offer funds across the market capitalization and growth/value spectrums. In fixed income, our funds provide investors opportunities across global fixed income markets including U.S. government, corporate and high yield bonds, mortgage-backed and asset-backed securities, as well as sovereign and corporate bonds denominated in U.S. dollars and foreign currencies. Each TCW Fund is managed by long-tenured investment teams with experience through many market cycles. Rigorous fundamental research, disciplined risk analysis and deep market expertise are the foundation for each of our funds.
The Economy
Coming into 2014, much was made of December’s Federal Reserve (Fed) announcement regarding its slowing of purchases of U.S. Treasury and agency mortgage-backed securities (MBS). Would the economy suffer? Would government rates continue their rise that saw the 10-Year U.S. Treasury yield peak at 3.03% to close 2013? Would other securities markets face increased volatility or pull back as the Fed withdrew support? Although it seemed rather clear that the ongoing securities purchases were not providing much thrust to the real economy by way of job creation and gross domestic product (GDP) expansion, it was fairly evident that asset prices were rising through 2013, whether for homes, equities or high yield bonds, to cite a few. Therefore, it has not been surprising that the Fed was, and is expected to be, resolute in its meeting-by-meeting reduction, bringing what had been an $85 billion monthly buying program down to roughly $55 billion by March month-end. Meanwhile, the world kept on spinning, offering no shortage of other (potentially adverse) influences
early in 2014. Severe winter weather across much of the U.S. slowed economic activity domestically, China’s growth engine seemed to sputter, and Russia amplified global tensions with its annexation of Crimea.
The U.S. Stock Market and our U.S. Equity Funds
U.S. stocks posted solid gains during the past six months through April 30, with the S&P 500 index advancing 8.4% to record high levels. The Fed’s December 2013 decision to begin tapering its asset purchases buoyed stocks, as it signaled confidence in the economy’s ability to sustain organic economic growth, while newly installed Fed Chair Janet Yellen’s statements effectively reassured equity market investors that monetary policy would remain highly accommodative. At the same time, U.S. corporate earnings remained resilient with nearly two-thirds of S&P 500 companies beating analysts’ expectations in both the fourth quarter of 2013 and the first quarter of 2014, although forward-looking guidance remained cautious. Worries about the strength of the U.S. economy mounted given the anemic, weather-impacted 0.1% GDP growth figure registered in 1Q14, coupled with slower growth in China and below 1% economic growth in the Eurozone. The slower growth environment, coupled with geopolitical developments surrounding Ukraine, led to a more defensive tone in the equity market in the first four months of this calendar year. The pronounced drop in the 10-year U.S. treasury yield from 3.02% at the end of 2013 to 2.65% at the end of April 2014 was accompanied by a shift in equity market leadership into more defensive stocks, including real estate investment trusts (REITs), utilities, and telecommunications.
Our value-oriented equity funds generally posted strong performance for the period, boosted by strong stock-picking and the aforementioned shift in market leadership from growth to value names. By the same token, performance of our growth-oriented offerings were challenged in an environment in which growth stock multiples suffered a substantial de-rating in the market, particularly in the areas of technology and biotech. That said, we believe the core fundamentals of these growth companies generally remain compelling, and our portfolio managers maintain an unwavering commitment to the investment philosophy and discipline that have served these funds well over time.
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The U.S. Fixed Income Market and our U.S. Fixed Income Funds
Lower interest rates and tighter spreads drove positive returns across non-government fixed income sectors, with down-in-quality outperforming on a continuing quest for yield. High yield credit benefitted from steady inflows early in 2014, posting gains and producing substantial excess return, as did investment grade credit. Among the investment grade sectors, corporates returned nearly 3% as risk premiums fell to near the lows last seen in 2007 prior to the financial crisis. Despite increased leverage in the sector, industrial credits have outpaced utilities and financials on a duration-adjusted basis. Performance among securitized products has been generally favorable outside of agency MBS, which have struggled since the middle of 2013 as changing expectations for future Fed policy drove episodic volatility and pushed spreads wider among lower coupon issues. Non-agency residential MBS remained sought-after sources of attractive risk-adjusted yield, and commercial MBS were buoyed by strengthening collateral performance. Lastly, asset-backed securities (ABS) backed by student loans were beneficiaries of good demand for short duration, floating rates and a significant degree of government backing.
International/Global Markets and our Emerging Markets Funds
There has been a notable turnaround in emerging markets debt over the last several months, with the asset class posting among the strongest fixed income returns globally year-to-date 2014. In 2013, macro themes such as Fed tapering and fears around growth dynamics weighed on the asset class. Given the significant repricing that occurred in the second half of 2013, along with sound fundamentals and stable growth, emerging markets debt risk appetite has been better supported thus far in 2014. Notably, the differentiation theme continues to characterize returns, with domestic economic and policy developments taking precedence over global macro drivers. In addition, the technical backdrop is stronger, with continued institutional inflows and retail inflows starting to turn positive.
For the six months ended April 30, 2014, the TCW Emerging Markets Income Fund I Share returned 2.28% versus the J.P. Morgan EMBI Global Diversified Index return of 3.75%. During the same period, the TCW Emerging Markets Local Currency Fund I Share returned negative 2.10% versus the J.P. Morgan GBI-EM Global Diversified Index return of negative 1.48%. Underperformance versus the indices during this period has been a function largely of shorter duration versus the index and exposure to Russia, which underperformed during the March/April period on the back of the crisis in Ukraine. We believe that we are well-positioned for a move higher in U.S. Treasury rates and a turnaround in the Russia/Ukraine situation.
An Update on the TCW Fund Family
There were a few changes to our fund family over the last twelve months that we would like to share with our investors. We added a new fund, the TCW Emerging Markets Multi-Asset Opportunities Fund (TGMAX/TGMEX), effective July 1, 2013. The Fund uses a total return approach and seeks to identify the most attractive reward-risk opportunities in the global emerging market debt and equity universe. The Fund is managed by Penny Foley and Dave Robbins, the same portfolio management team that manages the TCW Emerging Markets Income (TGEIX/TGINX) and Local Currency (TGWIX/TGWNX) Funds.
On March 1, 2014, we changed the name of the TCW Dividend Focused Fund to the TCW Relative Value Dividend Appreciation Fund (TGDFX/TGIGX) as we believe the new name better reflects the Fund’s emphasis on companies exhibiting dividend growth. There were no changes to the Fund’s objective or the prospectus.
Looking Ahead
Our expectations for the economy remain consistent with the past several quarters; we see the economy continuing to expand but with little evidence of an accelerating pace. While the withdrawal of monetary accommodation would typically presage a slowing, the absence of a sustained breakout – in terms of GDP and job growth—since 2008 argues that the effect has been far more meaningful on asset valuations than the economy. Meanwhile, risks accumulated over the prolonged period of stimulus continue to argue for an upward normalization of rates, particularly if inflation appears.
As U.S. equities have not suffered greater than a six percent pullback since the fall of 2012, we cannot dismiss the possibility of increased volatility and profit-taking given the data-dependent nature of Fed policy and the ongoing geopolitical risk stemming from the Ukraine crisis. Yet, we would generally view such occasions as buying opportunities given our view that company fundamentals are, for the most part, quite strong, with deleveraged balance sheets, high cash balances, near-record profit margins, and a low, stable inflation environment. Additionally, valuations remain reasonable, with the S&P 500 trading at just over 15 times forward consensus earnings, or at approximately the average witnessed over the past three decades. However, we believe that further advances by U.S. stocks are likely contingent upon confirmation of a continued macroeconomic recovery that translates into top-line revenue growth rather than reliance upon an expansion of the market P/E multiple.
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Finally, I would like to take a brief moment to introduce myself. On January 7, 2014, I was named President and Chief Executive Officer of the TCW Funds and the TCW Strategic Income Fund (TSI). I have been with TCW for over 20 years serving in various senior management positions. In addition to serving as President and CEO of the TCW Funds and TSI, I am currently Executive Vice President and Chief Operating Officer for TCW.
We know that you have many choices when it comes to the management of your financial assets. On behalf of everyone at TCW, I would like to thank you for making the TCW Funds part of your long-term investment plan. We truly value our relationship with you. If you have any questions or require further information, I invite you to visit our website at www.tcw.com, or call our shareholder services department at 800-386-3829.
I look forward to reporting to you again at the end of our fiscal year.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
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TCW Funds, Inc.
Performance Summary (Unaudited)
Total Return | ||||||||||||||||||||||||
Annualized as of April 30, 2014 (1) | ||||||||||||||||||||||||
NAV | 1-Year | 5-Year | 10-Year | Since Inception | Inception Date | |||||||||||||||||||
TCW Concentrated Value Fund | ||||||||||||||||||||||||
I Class | $ | 17.91 | 25.72 | % | 17.28 | % | N/A | 5.77 | % | 11/01/04 | ||||||||||||||
N Class | $ | 17.72 | 25.71 | % | 16.96 | % | 6.11 | % | 5.59 | % (2) | 07/20/98 | (3) | ||||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||||||||||
I Class | $ | 11.68 | 4.83 | % | 9.56 | % | N/A | 5.47 | % | 11/16/06 | ||||||||||||||
N Class | $ | 11.65 | 4.32 | % | 9.37 | % | N/A | 5.34 | % | 11/16/06 | ||||||||||||||
TCW Growth Fund | ||||||||||||||||||||||||
I Class | $ | 29.15 | 14.90 | % | 16.39 | % | N/A | 6.20 | % | 01/02/08 | ||||||||||||||
N Class | $ | 29.17 | 14.89 | % | 16.41 | % | N/A | 6.21 | % | 01/02/08 | ||||||||||||||
TCW Growth Equities Fund | ||||||||||||||||||||||||
I Class | $ | 12.19 | 16.69 | % | 16.59 | % | 8.19 | % | 7.89 | % | 03/01/04 | |||||||||||||
N Class | $ | 12.11 | 16.62 | % | 16.57 | % | 8.15 | % | 7.85 | % | 03/01/04 | |||||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||||||||||
I Class | $ | 16.02 | 19.06 | % | 20.75 | % | N/A | 7.51 | % | 11/01/04 | ||||||||||||||
N Class | $ | 16.29 | 18.70 | % | 20.41 | % | 7.28 | % (4) | 9.54 | % (4) | 09/19/86 | (3) | ||||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||||||||||
I Class | $ | 21.07 | 21.95 | % | 19.62 | % | 7.79 | % | 7.95 | % | 01/02/04 | |||||||||||||
N Class | $ | 21.05 | 21.70 | % | 19.40 | % | 7.55 | % (4) | 6.40 | % (4) | 01/02/98 | (3) | ||||||||||||
TCW Select Equities Fund | ||||||||||||||||||||||||
I Class | $ | 24.17 | 14.83 | % | 17.10 | % | 6.96 | % | 9.73 | % (5) | 07/01/91 | (3) | ||||||||||||
N Class | $ | 22.89 | 14.52 | % | 16.74 | % | 6.66 | % | 4.76 | % | 03/01/99 | |||||||||||||
TCW Small Cap Growth Fund | ||||||||||||||||||||||||
I Class | $ | 30.18 | 18.45 | % | 16.18 | % | 9.04 | % | 9.25 | % (5) | 12/01/89 | (3) | ||||||||||||
N Class | $ | 28.54 | 17.95 | % | 15.83 | % | 8.68 | % | 3.71 | % | 03/01/99 | |||||||||||||
TCW SMID Cap Growth Fund | ||||||||||||||||||||||||
I Class | $ | 13.93 | 16.18 | % | N/A | N/A | 9.93 | % | 11/01/10 | |||||||||||||||
N Class | $ | 13.93 | 16.18 | % | N/A | N/A | 9.93 | % | 11/01/10 | |||||||||||||||
TCW Value Opportunities Fund | ||||||||||||||||||||||||
I Class | $ | 26.34 | 23.19 | % | 20.06 | % | 7.46 | % | 11.48 | % (5) | 11/01/96 | (3) | ||||||||||||
N Class | $ | 25.84 | 22.84 | % | 19.71 | % | 7.13 | % | 8.62 | % | 11/01/00 |
(1) | Past performance is not indicative of future performance. |
(2) | Performance data includes the performance of the predecessor separately managed account for periods before the Fund’s registration became effective. The predecessor separately managed account was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If the separately managed account had been registered under the 1940 Act, the separately managed account’s performance may have been lower. |
(3) | Inception date of the predecessor entity. |
(4) | Performance data includes the performance of the predecessor SG Cowen Fund. The predecessor SG Cowen Fund was an investment company registered under the 1940 Act. |
(5) | Performance data includes the performance of the predecessor limited partnership for periods before the Fund’s registration became effective. The predecessor limited partnership was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the limited partnership had been registered under the 1940 Act, the limited partnership’s performance may have been lower. |
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April 30, 2014 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (5.0% of Net Assets) | ||||||||
2,384 | Honeywell International, Inc. | $ | 221,474 | |||||
949 | Precision Castparts Corp. | 240,182 | ||||||
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| |||||||
Total Aerospace & Defense | 461,656 | |||||||
|
| |||||||
Airlines (4.9%) | ||||||||
6,540 | American Airlines Group, Inc. (1) | 229,358 | ||||||
6,100 | Delta Air Lines, Inc. | 224,663 | ||||||
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| |||||||
Total Airlines | 454,021 | |||||||
|
| |||||||
Banks (11.2%) | ||||||||
6,901 | JPMorgan Chase & Co. | 386,318 | ||||||
2,109 | M&T Bank Corp. | 257,319 | ||||||
7,886 | Wells Fargo & Co. | 391,461 | ||||||
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| |||||||
Total Banks | 1,035,098 | |||||||
|
| |||||||
Beverages (3.4%) | ||||||||
2,970 | Anheuser-Busch InBev N.V. (Belgium) (SP ADR) | 314,285 | ||||||
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| |||||||
Capital Markets (5.2%) | ||||||||
1,688 | Goldman Sachs Group, Inc. (The) | 269,776 | ||||||
2,542 | T. Rowe Price Group, Inc. | 208,775 | ||||||
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| |||||||
Total Capital Markets | 478,551 | |||||||
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| |||||||
Chemicals (6.2%) | ||||||||
2,568 | Ecolab, Inc. | 268,716 | ||||||
1,750 | Praxair, Inc. | 228,462 | ||||||
779 | Sigma-Aldrich Corp. | 74,948 | ||||||
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| |||||||
Total Chemicals | 572,126 | |||||||
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| |||||||
Containers & Packaging (2.8%) | ||||||||
7,612 | Sealed Air Corp. | 261,168 | ||||||
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Energy Equipment & Services (7.7%) | ||||||||
5,132 | Halliburton Co. | 323,675 | ||||||
3,784 | Schlumberger, Ltd. | 384,265 | ||||||
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Total Energy Equipment & Services | 707,940 | |||||||
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Food & Staples Retailing (3.2%) | ||||||||
4,119 | CVS Caremark Corp. | 299,534 | ||||||
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Food Products (3.7%) | ||||||||
3,844 | Mead Johnson Nutrition Co. | 339,271 | ||||||
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Health Care Providers & Services (1.8%) | ||||||||
959 | McKesson Corp. | 162,253 | ||||||
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|
See accompanying notes to financial statements.
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TCW Concentrated Value Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Hotels, Restaurants & Leisure (1.6%) | ||||||||
1,439 | McDonald’s Corp. | $ | 145,886 | |||||
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Household Products (3.0%) | ||||||||
3,369 | Procter & Gamble Co. (The) | 278,111 | ||||||
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Industrial Conglomerates (5.3%) | ||||||||
3,897 | Danaher Corp. | 285,962 | ||||||
1,456 | Roper Industries, Inc. | 202,311 | ||||||
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Total Industrial Conglomerates | 488,273 | |||||||
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Insurance (4.7%) | ||||||||
2,335 | ACE, Ltd. | 238,917 | ||||||
1 | Berkshire Hathaway, Inc. (1) | 193,275 | ||||||
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Total Insurance | 432,192 | |||||||
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| |||||||
Life Sciences Tools & Services (2.8%) | ||||||||
2,304 | Thermo Fisher Scientific, Inc. | 262,656 | ||||||
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Machinery (2.7%) | ||||||||
3,369 | IDEX Corp. | 251,226 | ||||||
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Oil, Gas & Consumable Fuels (4.1%) | ||||||||
2,597 | EQT Midstream Partners LP | 200,047 | ||||||
1,747 | Exxon Mobil Corp. | 178,910 | ||||||
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| |||||||
Total Oil, Gas & Consumable Fuels | 378,957 | |||||||
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Pharmaceuticals (8.5%) | ||||||||
4,700 | AbbVie, Inc. | 244,776 | ||||||
1,044 | Allergan, Inc. | 173,137 | ||||||
3,676 | Johnson & Johnson | 372,342 | ||||||
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| |||||||
Total Pharmaceuticals | 790,255 | |||||||
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Road & Rail (2.0%) | ||||||||
972 | Union Pacific Corp. | 185,098 | ||||||
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Technology Hardware, Storage & Peripherals (4.6%) | ||||||||
355 | Apple, Inc. | 209,482 | ||||||
2,439 | Western Digital Corp. | 214,949 | ||||||
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| |||||||
Total Technology Hardware, Storage & Peripherals | 424,431 | |||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (2.0%) | ||||||||
1,451 | PVH Corp. | 182,202 | ||||||
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| |||||||
Total Common Stock (Cost: $6,757,518) (96.4%) | 8,905,190 | |||||||
|
| |||||||
See accompanying notes to financial statements.
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TCW Concentrated Value Fund
April 30, 2014
Principal Amount | Short-Term Investments | Value | ||||||
Repurchase Agreement (Cost: $120,909) (1.3%) | ||||||||
$ 120,909 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by | $ | 120,909 | |||||
|
| |||||||
Total Investments (Cost: $6,878,427) (97.7%) | 9,026,099 | |||||||
Excess of Other Assets over Liabilities (2.3%) | 210,982 | |||||||
|
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Net Assets (100.0%) | $ | 9,237,081 | ||||||
|
|
Notes to the Schedule of Investments:
SP ADR - Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights.
(1) | Non-income producing security. |
See accompanying notes to financial statements.
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TCW Concentrated Value Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 5.0 | % | ||
Airlines | 4.9 | |||
Banks | 11.2 | |||
Beverages | 3.4 | |||
Capital Markets | 5.2 | |||
Chemicals | 6.2 | |||
Containers & Packaging | 2.8 | |||
Energy Equipment & Services | 7.7 | |||
Food & Staples Retailing | 3.2 | |||
Food Products | 3.7 | |||
Health Care Providers & Services | 1.8 | |||
Hotels, Restaurants & Leisure | 1.6 | |||
Household Products | 3.0 | |||
Industrial Conglomerates | 5.3 | |||
Insurance | 4.7 | |||
Life Sciences Tools & Services | 2.8 | |||
Machinery | 2.7 | |||
Oil, Gas & Consumable Fuels | 4.1 | |||
Pharmaceuticals | 8.5 | |||
Road & Rail | 2.0 | |||
Technology Hardware, Storage & Peripherals | 4.6 | |||
Textiles, Apparel & Luxury Goods | 2.0 | |||
Short-Term Investments | 1.3 | |||
|
| |||
Total | 97.7 | % | ||
|
|
See accompanying notes to financial statements.
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TCW Conservative Allocation Fund
Schedule of Investments (Unaudited) | April 30, 2014 |
Number of Shares | Investment Companies | Value | ||||||
Diversified U.S. Equity Funds (47.1% of Net Assets) | ||||||||
125,527 | TCW Growth Equities Fund — I Class (1)(2) | $ | 1,530,178 | |||||
243,828 | TCW Relative Value Large Cap Fund — I Class (1) | 5,137,450 | ||||||
292,956 | TCW Select Equities Fund — I Class (1) | 7,080,740 | ||||||
65,809 | TCW Value Opportunities Fund — I Class (1) | 1,733,415 | ||||||
|
| |||||||
Total Diversified U.S. Equity Funds | 15,481,783 | |||||||
|
| |||||||
Diversified U.S. Fixed Income Funds (47.0%) | ||||||||
897,710 | Metropolitan West Low Duration Bond Fund — I Class (1) | 7,926,777 | ||||||
737,064 | TCW Total Return Bond Fund — I Class (1) | 7,495,944 | ||||||
|
| |||||||
Total Diversified U.S. Fixed Income Funds | 15,422,721 | |||||||
|
| |||||||
Exchange-Traded Funds (3.8%) | ||||||||
50,170 | ProShares UltraShort Euro (2) | 837,338 | ||||||
20,490 | ProShares UltraShort MSCI Emerging Markets (2) | 405,087 | ||||||
|
| |||||||
Total Exchange-Traded Funds | 1,242,425 | |||||||
|
| |||||||
Money Market Investments (0.2%) | ||||||||
67,029 | Fidelity Institutional Prime Money Market Portfolio — Institutional Class, 0.01% (3) | 67,029 | ||||||
|
| |||||||
Total Investment Companies (Cost: $29,679,589) (98.1%) | 32,213,958 | |||||||
|
| |||||||
Total Investments (Cost: $29,679,589) (98.1%) | 32,213,958 | |||||||
Excess of Other Assets over Liabilities (1.9%) | 640,053 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 32,854,011 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Affiliated issuer. |
(2) | Non-income producing security. |
(3) | Rate disclosed, the 7-day net yield, is as of April 30, 2014. |
See accompanying notes to financial statements.
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TCW Conservative Allocation Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Diversified U.S. Equity Funds | 47.1 | % | ||
Diversified U.S. Fixed Income Funds | 47.0 | |||
Exchange-Traded Funds | 3.8 | |||
Money Market Investments | 0.2 | |||
|
| |||
Total | 98.1 | % | ||
|
|
See accompanying notes to financial statements.
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Schedule of Investments (Unaudited) | April 30, 2014 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (3.5% of Net Assets) | ||||||||
157 | BE Aerospace, Inc. (1) | $ | 13,780 | |||||
168 | HEICO Corp. | 9,294 | ||||||
268 | Precision Castparts Corp. | 67,828 | ||||||
|
| |||||||
Total Aerospace & Defense | 90,902 | |||||||
|
| |||||||
Auto Components (1.5%) | ||||||||
604 | BorgWarner, Inc. (1) | 37,532 | ||||||
|
| |||||||
Banks (0.3%) | ||||||||
79 | SVB Financial Group (1) | 8,428 | ||||||
|
| |||||||
Beverages (1.5%) | ||||||||
273 | Anheuser-Busch InBev N.V. (Belgium) (SP ADR) | 28,889 | ||||||
37 | Boston Beer Co., Inc. (1) | 9,103 | ||||||
|
| |||||||
Total Beverages | 37,992 | |||||||
|
| |||||||
Biotechnology (4.4%) | ||||||||
279 | Alexion Pharmaceuticals, Inc. (1) | 44,138 | ||||||
365 | BioMarin Pharmaceutical, Inc. (1) | 21,254 | ||||||
202 | Celgene Corp. (1) | 29,696 | ||||||
270 | Cepheid, Inc. (1) | 11,739 | ||||||
14 | Intercept Pharmaceuticals, Inc. (1) | 3,698 | ||||||
83 | Karyopharm Therapeutics, Inc. (1) | 2,227 | ||||||
|
| |||||||
Total Biotechnology | 112,752 | |||||||
|
| |||||||
Capital Markets (2.8%) | ||||||||
810 | Charles Schwab Corp. (The) | 21,506 | ||||||
208 | Stifel Financial Corp. (1) | 9,728 | ||||||
387 | T. Rowe Price Group, Inc. | 31,784 | ||||||
716 | WisdomTree Investments, Inc. (1) | 8,084 | ||||||
|
| |||||||
Total Capital Markets | 71,102 | |||||||
|
| |||||||
Chemicals (1.1%) | ||||||||
222 | Praxair, Inc. | 28,982 | ||||||
|
| |||||||
Communications Equipment (3.4%) | ||||||||
479 | Aruba Networks, Inc. (1) | 9,470 | ||||||
997 | QUALCOMM, Inc. | 78,474 | ||||||
|
| |||||||
Total Communications Equipment | 87,944 | |||||||
|
| |||||||
Diversified Consumer Services (0.3%) | ||||||||
159 | MarketAxess Holdings, Inc. | 8,567 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.2%) | ||||||||
281 | Cognex Corp. (1) | 9,675 | ||||||
190 | FARO Technologies, Inc. (1) | 7,581 |
See accompanying notes to financial statements.
11
Table of Contents
TCW Growth Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Electronic Equipment, Instruments & Components (Continued) | ||||||||
106 | FEI Co. | $ | 8,429 | |||||
81 | IPG Photonics Corp. (1) | 5,235 | ||||||
|
| |||||||
Total Electronic Equipment, Instruments & Components | 30,920 | |||||||
|
| |||||||
Energy Equipment & Services (5.9%) | ||||||||
30 | Core Laboratories N.V. (Netherlands) | 5,630 | ||||||
289 | Dril-Quip, Inc. (1) | 32,692 | ||||||
213 | Frank’s International N.V. (Netherlands) | 5,843 | ||||||
452 | Halliburton Co. | 28,508 | ||||||
454 | Oceaneering International, Inc. | 33,269 | ||||||
466 | Schlumberger, Ltd. | 47,322 | ||||||
|
| |||||||
Total Energy Equipment & Services | 153,264 | |||||||
|
| |||||||
Food & Staples Retailing (4.8%) | ||||||||
536 | Costco Wholesale Corp. | 62,004 | ||||||
422 | CVS Caremark Corp. | 30,688 | ||||||
114 | Pricesmart, Inc. | 10,949 | ||||||
144 | United Natural Foods, Inc. (1) | 9,940 | ||||||
210 | Whole Foods Market, Inc. | 10,437 | ||||||
|
| |||||||
Total Food & Staples Retailing | 124,018 | |||||||
|
| |||||||
Food Products (2.8%) | ||||||||
149 | Hain Celestial Group, Inc. (The) (1) | 12,817 | ||||||
327 | Mead Johnson Nutrition Co. | 28,861 | ||||||
881 | Mondelez International, Inc. | 31,408 | ||||||
|
| |||||||
Total Food Products | 73,086 | |||||||
|
| |||||||
Health Care Equipment & Supplies (1.1%) | ||||||||
757 | Endologix, Inc. (1) | 9,599 | ||||||
28 | Intuitive Surgical, Inc. (1) | 10,127 | ||||||
512 | Novadaq Technologies, Inc. (Canada) (1) | 8,013 | ||||||
|
| |||||||
Total Health Care Equipment & Supplies | 27,739 | |||||||
|
| |||||||
Health Care Providers & Services (1.0%) | ||||||||
270 | Health Net, Inc. (1) | 9,269 | ||||||
78 | MWI Veterinary Supply, Inc. (1) | 12,218 | ||||||
176 | Premier, Inc. (1) | 5,280 | ||||||
|
| |||||||
Total Health Care Providers & Services | 26,767 | |||||||
|
| |||||||
Health Care Technology (4.3%) | ||||||||
318 | athenahealth, Inc. (1) | 39,318 | ||||||
1,377 | Cerner Corp. (1) | 70,640 | ||||||
|
| |||||||
Total Health Care Technology | 109,958 | |||||||
|
|
See accompanying notes to financial statements.
12
Table of Contents
TCW Growth Fund
April 30, 2014
Number of Shares | Common Stock | Value | ||||||
Hotels, Restaurants & Leisure (4.7%) | ||||||||
329 | Aramark | $ | 9,275 | |||||
521 | Arcos Dorados Holdings, Inc. | 4,746 | ||||||
77 | Chipotle Mexican Grill, Inc. (1) | 38,385 | ||||||
873 | Starbucks Corp. | 61,651 | ||||||
80 | Starwood Hotels & Resorts Worldwide, Inc. | 6,132 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 120,189 | |||||||
|
| |||||||
Household Durables (0.4%) | ||||||||
95 | Harman International Industries, Inc. | 10,413 | ||||||
|
| |||||||
Industrial Conglomerates (1.1%) | ||||||||
212 | Roper Industries, Inc. | 29,457 | ||||||
|
| |||||||
Insurance (2.9%) | ||||||||
740 | ACE, Ltd. | 75,717 | ||||||
|
| |||||||
Internet & Catalog Retail (3.3%) | ||||||||
148 | Amazon.com, Inc. (1) | 45,011 | ||||||
34 | Priceline Group, Inc. (The) (1) | 39,364 | ||||||
|
| |||||||
Total Internet & Catalog Retail | 84,375 | |||||||
|
| |||||||
Internet Software & Services (7.1%) | ||||||||
590 | Cornerstone OnDemand, Inc. (1) | 21,688 | ||||||
200 | Envestnet, Inc. (1) | 7,370 | ||||||
328 | Equinix, Inc. (1) | 61,602 | ||||||
19 | Google, Inc. (1) | 10,163 | ||||||
80 | Google, Inc. — Class C (1) | 42,133 | ||||||
155 | LinkedIn Corp. (1) | 23,788 | ||||||
203 | Rocket Fuel, Inc. (1) | 6,510 | ||||||
183 | Yelp, Inc. (1) | 10,672 | ||||||
|
| |||||||
Total Internet Software & Services | 183,926 | |||||||
|
| |||||||
IT Services (1.6%) | ||||||||
206 | Visa, Inc. | 41,738 | ||||||
|
| |||||||
Leisure Products (0.4%) | ||||||||
72 | Polaris Industries, Inc. | 9,672 | ||||||
|
| |||||||
Life Sciences Tools & Services (1.1%) | ||||||||
207 | Illumina, Inc. (1) | 28,121 | ||||||
|
| |||||||
Machinery (2.4%) | ||||||||
126 | Chart Industries, Inc. (1) | 8,596 | ||||||
135 | Graco, Inc. | 9,787 | ||||||
49 | Middleby Corp. (The) (1) | 12,372 | ||||||
146 | Proto Labs, Inc. (1) | 8,839 |
See accompanying notes to financial statements.
13
Table of Contents
TCW Growth Fund
Schedule of Investments (Unaudited) (Continued) |
Number of Shares | Common Stock | Value | ||||||
Machinery (Continued) | ||||||||
105 | WABCO Holdings, Inc. (1) | $ | 11,236 | |||||
139 | Wabtec Corp. | 10,362 | ||||||
|
| |||||||
Total Machinery | 61,192 | |||||||
|
| |||||||
Media (0.3%) | ||||||||
138 | AMC Networks, Inc. (1) | 9,062 | ||||||
|
| |||||||
Metals & Mining (0.5%) | ||||||||
297 | Allegheny Technologies, Inc. | 12,236 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.2%) | ||||||||
163 | RSP Permian, Inc. (1) | 4,621 | ||||||
|
| |||||||
Personal Products (1.2%) | ||||||||
429 | Estee Lauder Cos., Inc. (The) | 31,132 | ||||||
|
| |||||||
Pharmaceuticals (2.9%) | ||||||||
459 | Allergan, Inc. | 76,120 | ||||||
|
| |||||||
Professional Services (1.0%) | ||||||||
445 | Verisk Analytics, Inc. (1) | 26,740 | ||||||
|
| |||||||
REIT (1.8%) | ||||||||
554 | American Tower Corp. | 46,270 | ||||||
|
| |||||||
Road & Rail (3.5%) | ||||||||
505 | J.B. Hunt Transport Services, Inc. | 38,431 | ||||||
81 | Kansas City Southern | 8,171 | ||||||
226 | Union Pacific Corp. | 43,037 | ||||||
|
| |||||||
Total Road & Rail | 89,639 | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (1.5%) | ||||||||
642 | ARM Holdings PLC (United Kingdom) (SP ADR) | 29,224 | ||||||
574 | NVIDIA Corp. | 10,602 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 39,826 | |||||||
|
| |||||||
Software (10.1%) | ||||||||
161 | ANSYS, Inc. (1) | 12,286 | ||||||
247 | FireEye, Inc. (1) | 9,697 | ||||||
58 | NetSuite, Inc. (1) | 4,484 | ||||||
1,693 | Salesforce.com, Inc. (1) | 87,443 | ||||||
1,205 | ServiceNow, Inc. (1) | 59,913 | ||||||
690 | Splunk, Inc. (1) | 37,653 | ||||||
110 | Tyler Technologies, Inc. (1) | 8,981 | ||||||
39 | Ultimate Software Group, Inc. (The) (1) | 4,666 | ||||||
266 | VMware, Inc. (1) | 24,608 | ||||||
136 | Workday, Inc. (1) | 9,938 | ||||||
|
| |||||||
Total Software | 259,669 | |||||||
|
|
See accompanying notes to financial statements.
14
Table of Contents
TCW Growth Fund
April 30, 2014 |
Number of Shares | Common Stock | Value | ||||||
Specialty Retail (1.6%) | ||||||||
350 | DSW, Inc. | $ | 11,686 | |||||
328 | Tiffany & Co. | 28,697 | ||||||
|
| |||||||
Total Specialty Retail | 40,383 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (1.0%) | ||||||||
43 | Apple, Inc. | 25,374 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (4.1%) | ||||||||
260 | Kate Spade & Co. (1) | 9,040 | ||||||
339 | Michael Kors Holdings, Ltd. (1) | 30,917 | ||||||
262 | PVH Corp. | 32,900 | ||||||
336 | Under Armour, Inc. (1) | 16,427 | ||||||
575 | Vince Holding Corp. (1) | 15,818 | ||||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 105,102 | |||||||
|
| |||||||
Trading Companies & Distributors (1.3%) | ||||||||
467 | Fastenal Co. | 23,387 | ||||||
111 | MSC Industrial Direct Co., Inc. | 10,108 | ||||||
|
| |||||||
Total Trading Companies & Distributors | 33,495 | |||||||
|
| |||||||
Total Common Stock (Cost: $1,944,599) (95.9%) | 2,474,422 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $110,204) (4.3%) | ||||||||
$ | 110,204 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by | 110,204 | |||||
|
| |||||||
Total Investments (Cost: $2,054,803) (100.2%) | 2,584,626 | |||||||
Liabilities in Excess of Other Assets (-0.2%) | (5,069 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 2,579,557 | ||||||
|
|
Notes to the Schedule of Investments:
REIT - Real | Estate Investment Trust. |
SP ADR - Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights.
(1) | Non-income producing security. |
See accompanying notes to financial statements.
15
Table of Contents
TCW Growth Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.5 | % | ||
Auto Components | 1.5 | |||
Banks | 0.3 | |||
Beverages | 1.5 | |||
Biotechnology | 4.4 | |||
Capital Markets | 2.8 | |||
Chemicals | 1.1 | |||
Communications Equipment | 3.4 | |||
Diversified Consumer Services | 0.3 | |||
Electronic Equipment, Instruments & Components | 1.2 | |||
Energy Equipment & Services | 5.9 | |||
Food & Staples Retailing | 4.8 | |||
Food Products | 2.8 | |||
Health Care Equipment & Supplies | 1.1 | |||
Health Care Providers & Services | 1.0 | |||
Health Care Technology | 4.3 | |||
Hotels, Restaurants & Leisure | 4.7 | |||
Household Durables | 0.4 | |||
Industrial Conglomerates | 1.1 | |||
Insurance | 2.9 | |||
Internet & Catalog Retail | 3.3 | |||
Internet Software & Services | 7.1 | |||
IT Services | 1.6 | |||
Leisure Products | 0.4 | |||
Life Sciences Tools & Services | 1.1 | |||
Machinery | 2.4 | |||
Media | 0.3 | |||
Metals & Mining | 0.5 | |||
Oil, Gas & Consumable Fuels | 0.2 | |||
Personal Products | 1.2 | |||
Pharmaceuticals | 2.9 | |||
Professional Services | 1.0 | |||
REIT | 1.8 | |||
Road & Rail | 3.5 | |||
Semiconductors & Semiconductor Equipment | 1.5 | |||
Software | 10.1 | |||
Specialty Retail | 1.6 | |||
Technology Hardware, Storage & Peripherals | 1.0 | |||
Textiles, Apparel & Luxury Goods | 4.1 | |||
Trading Companies & Distributors | 1.3 | |||
Short-Term Investments | 4.3 | |||
|
| |||
Total | 100.2 | % | ||
|
|
See accompanying notes to financial statements.
16
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2014 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (2.3% of Net Assets) | ||||||||
7,300 | BE Aerospace, Inc. (1) | $ | 640,721 | |||||
|
| |||||||
Auto Components (2.1%) | ||||||||
9,386 | BorgWarner, Inc. | 583,246 | ||||||
|
| |||||||
Beverages (5.7%) | ||||||||
1,837 | Boston Beer Co., Inc. (1) | 451,976 | ||||||
5,781 | Constellation Brands, Inc. (1) | 461,555 | ||||||
10,300 | Monster Beverage Corp. (1) | 689,688 | ||||||
|
| |||||||
Total Beverages | 1,603,219 | |||||||
|
| |||||||
Biotechnology (1.8%) | ||||||||
5,800 | BioMarin Pharmaceutical, Inc. (1) | 337,734 | ||||||
647 | Intercept Pharmaceuticals, Inc. (1) | 170,886 | ||||||
|
| |||||||
Total Biotechnology | 508,620 | |||||||
|
| |||||||
Capital Markets (2.4%) | ||||||||
8,400 | T. Rowe Price Group, Inc. | 689,892 | ||||||
|
| |||||||
Communications Equipment (1.4%) | ||||||||
6,387 | ViaSat, Inc. (1) | 410,109 | ||||||
|
| |||||||
Diversified Consumer Services (1.5%) | ||||||||
7,800 | MarketAxess Holdings, Inc. | 420,264 | ||||||
|
| |||||||
Electrical Equipment (2.8%) | ||||||||
6,462 | AMETEK, Inc. | 340,676 | ||||||
3,877 | Rockwell Automation, Inc. | 462,061 | ||||||
|
| |||||||
Total Electrical Equipment | 802,737 | |||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.5%) | ||||||||
5,310 | FEI Co. | 422,251 | ||||||
|
| |||||||
Energy Equipment & Services (6.3%) | ||||||||
3,333 | Core Laboratories N.V. (Netherlands) | 625,537 | ||||||
4,251 | Dril-Quip, Inc. (1) | 480,873 | ||||||
10,364 | Frank’s International N.V. (Netherlands) | 284,285 | ||||||
5,237 | Oceaneering International, Inc. | 383,767 | ||||||
|
| |||||||
Total Energy Equipment & Services | 1,774,462 | |||||||
|
| |||||||
Food & Staples Retailing (1.6%) | ||||||||
4,866 | Pricesmart, Inc. | 467,331 | ||||||
|
| |||||||
Food Products (2.8%) | ||||||||
9,100 | Hain Celestial Group, Inc. (The) (1) | 782,782 | ||||||
|
| |||||||
Health Care Equipment & Supplies (2.8%) | ||||||||
2,200 | Intuitive Surgical, Inc. (1) | 795,740 | ||||||
|
|
See accompanying notes to financial statements.
17
Table of Contents
TCW Growth Equities Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Health Care Providers & Services (2.5%) | ||||||||
2,917 | MWI Veterinary Supply, Inc. (1) | $ | 456,919 | |||||
8,609 | Premier, Inc. (1) | 258,270 | ||||||
|
| |||||||
Total Health Care Providers & Services | 715,189 | |||||||
|
| |||||||
Health Care Technology (4.4%) | ||||||||
5,171 | athenahealth, Inc. (1) | 639,342 | ||||||
11,700 | Cerner Corp. (1) | 600,210 | ||||||
|
| |||||||
Total Health Care Technology | 1,239,552 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (4.4%) | ||||||||
28,699 | Arcos Dorados Holdings, Inc. | 261,448 | ||||||
20,523 | Hilton Worldwide Holdings, Inc. (1) | 448,017 | ||||||
2,600 | Wynn Resorts, Ltd. | 530,114 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 1,239,579 | |||||||
|
| |||||||
Internet Software & Services (4.2%) | ||||||||
3,367 | LinkedIn Corp. (1) | 516,733 | ||||||
17,610 | Twitter, Inc. (1) | 686,262 | ||||||
|
| |||||||
Total Internet Software & Services | 1,202,995 | |||||||
|
| |||||||
Leisure Products (1.6%) | ||||||||
3,305 | Polaris Industries, Inc. | 443,961 | ||||||
|
| |||||||
Life Sciences Tools & Services (2.1%) | ||||||||
4,300 | Illumina, Inc. (1) | 584,155 | ||||||
|
| |||||||
Machinery (11.4%) | ||||||||
4,238 | Cummins, Inc. | 639,302 | ||||||
8,366 | Graco, Inc. | 606,535 | ||||||
1,765 | Middleby Corp. (The) (1) | 445,627 | ||||||
4,625 | Proto Labs, Inc. (1) | 279,998 | ||||||
6,835 | WABCO Holdings, Inc. (1) | 731,413 | ||||||
7,107 | Wabtec Corp. | 529,827 | ||||||
|
| |||||||
Total Machinery | 3,232,702 | |||||||
|
| |||||||
Media (1.7%) | ||||||||
6,300 | Discovery Communications, Inc. (1) | 478,170 | ||||||
|
| |||||||
Metals & Mining (2.1%) | ||||||||
14,359 | Allegheny Technologies, Inc. | 591,591 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.7%) | ||||||||
7,550 | RSP Permian, Inc. (1) | 214,042 | ||||||
|
| |||||||
Road & Rail (1.3%) | ||||||||
3,775 | Kansas City Southern | 380,822 | ||||||
|
|
See accompanying notes to financial statements.
18
Table of Contents
TCW Growth Equities Fund
April 30, 2014
Number of Shares | Common Stock | Value | ||||||
Semiconductors & Semiconductor Equipment (3.1%) | ||||||||
9,207 | ARM Holdings PLC (United Kingdom) (SP ADR) | $ | 419,103 | |||||
25,200 | NVIDIA Corp. | 465,444 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 884,547 | |||||||
|
| |||||||
Software (10.9%) | ||||||||
8,400 | ANSYS, Inc. (1) | 641,004 | ||||||
11,908 | FireEye, Inc. (1) | 467,508 | ||||||
7,074 | ServiceNow, Inc. (1) | 351,719 | ||||||
14,285 | Splunk, Inc. (1) | 779,533 | ||||||
11,704 | Workday, Inc. (1) | 855,211 | ||||||
|
| |||||||
Total Software | 3,094,975 | |||||||
|
| |||||||
Specialty Retail (5.4%) | ||||||||
5,543 | CarMax, Inc. (1) | 242,673 | ||||||
10,848 | Dick’s Sporting Goods, Inc. | 571,256 | ||||||
21,083 | DSW, Inc. | 703,961 | ||||||
|
| |||||||
Total Specialty Retail | 1,517,890 | |||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (4.9%) | ||||||||
17,684 | Kate Spade & Co. (1) | 614,873 | ||||||
15,780 | Under Armour, Inc. (1) | 771,484 | ||||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 1,386,357 | |||||||
|
| |||||||
Trading Companies & Distributors (2.0%) | ||||||||
6,190 | MSC Industrial Direct Co., Inc. | 563,661 | ||||||
|
| |||||||
Total Common Stock (Cost: $20,982,784) (97.7%) | 27,671,562 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $688,132) (2.4%) | ||||||||
$ | 688,132 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by | 688,132 | |||||
|
| |||||||
Total Investments (Cost: $21,670,916) (100.1%) | 28,359,694 | |||||||
Liabilities in Excess of Other Assets (-0.1%) | (31,183 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 28,328,511 | ||||||
|
|
Notes to the Schedule of Investments:
SP ADR - Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights.
(1) | Non-income producing security. |
See accompanying notes to financial statements.
19
Table of Contents
TCW Growth Equities Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.3 | % | ||
Auto Components | 2.1 | |||
Beverages | 5.7 | |||
Biotechnology | 1.8 | |||
Capital Markets | 2.4 | |||
Communications Equipment | 1.4 | |||
Diversified Consumer Services | 1.5 | |||
Electrical Equipment | 2.8 | |||
Electronic Equipment, Instruments & Components | 1.5 | |||
Energy Equipment & Services | 6.3 | |||
Food & Staples Retailing | 1.6 | |||
Food Products | 2.8 | |||
Health Care Equipment & Supplies | 2.8 | |||
Health Care Providers & Services | 2.5 | |||
Health Care Technology | 4.4 | |||
Hotels, Restaurants & Leisure | 4.4 | |||
Internet Software & Services | 4.2 | |||
Leisure Products | 1.6 | |||
Life Sciences Tools & Services | 2.1 | |||
Machinery | 11.4 | |||
Media | 1.7 | |||
Metals & Mining | 2.1 | |||
Oil, Gas & Consumable Fuels | 0.7 | |||
Road & Rail | 1.3 | |||
Semiconductors & Semiconductor Equipment | 3.1 | |||
Software | 10.9 | |||
Specialty Retail | 5.4 | |||
Textiles, Apparel & Luxury Goods | 4.9 | |||
Trading Companies & Distributors | 2.0 | |||
Short-Term Investments | 2.4 | |||
|
| |||
Total | 100.1 | % | ||
|
|
See accompanying notes to financial statements.
20
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited)
April 30, 2014
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (2.4% of Net Assets) | ||||||||
688,085 | Textron, Inc. | $ | 28,142,676 | |||||
|
| |||||||
Air Freight & Logistics (2.0%) | ||||||||
173,580 | FedEx Corp. | 23,650,275 | ||||||
|
| |||||||
Banks (5.6%) | ||||||||
653,900 | Citigroup, Inc. | 31,328,349 | ||||||
605,704 | JPMorgan Chase & Co. | 33,907,310 | ||||||
|
| |||||||
Total Banks | 65,235,659 | |||||||
|
| |||||||
Beverages (2.8%) | ||||||||
375,145 | PepsiCo, Inc. | 32,221,204 | ||||||
|
| |||||||
Capital Markets (6.0%) | ||||||||
306,271 | Ameriprise Financial, Inc. | 34,189,032 | ||||||
543,700 | State Street Corp. | 35,101,272 | ||||||
|
| |||||||
Total Capital Markets | 69,290,304 | |||||||
|
| |||||||
Chemicals (2.1%) | ||||||||
362,365 | Du Pont (E.I.) de Nemours & Co. | 24,394,412 | ||||||
|
| |||||||
Commercial Services & Supplies (2.7%) | ||||||||
292,214 | ADT Corp. (The) | 8,836,551 | ||||||
548,105 | Tyco International, Ltd. | 22,417,495 | ||||||
|
| |||||||
Total Commercial Services & Supplies | 31,254,046 | |||||||
|
| |||||||
Communications Equipment (2.4%) | ||||||||
1,200,785 | Cisco Systems, Inc. | 27,750,141 | ||||||
|
| |||||||
Consumer Finance (1.8%) | ||||||||
833,867 | SLM Corp. | 21,472,075 | ||||||
|
| |||||||
Containers & Packaging (1.7%) | ||||||||
196,600 | Avery Dennison Corp. | 9,566,556 | ||||||
163,229 | Packaging Corp. of America | 10,875,948 | ||||||
|
| |||||||
Total Containers & Packaging | 20,442,504 | |||||||
|
| |||||||
Diversified Telecommunication Services (4.4%) | ||||||||
543,160 | AT&T, Inc. | 19,390,812 | ||||||
1,363,500 | Deutsche Telekom AG (Germany) (SP ADR) | 22,838,625 | ||||||
1,050,354 | Windstream Holdings, Inc. | 9,526,711 | ||||||
|
| |||||||
Total Diversified Telecommunication Services | 51,756,148 | |||||||
|
| |||||||
Electric Utilities (2.0%) | ||||||||
425,700 | American Electric Power Co., Inc. | 22,906,917 | ||||||
|
|
See accompanying notes to financial statements.
21
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited) (Continued) |
Number of Shares | Common Stock | Value | ||||||
Electronic Equipment, Instruments & Components (3.2%) | ||||||||
703,995 | Corning, Inc. | $ | 14,720,535 | |||||
375,400 | TE Connectivity, Ltd. | 22,141,092 | ||||||
|
| |||||||
Total Electronic Equipment, Instruments & Components | 36,861,627 | |||||||
|
| |||||||
Energy Equipment & Services (5.2%) | ||||||||
329,000 | Baker Hughes, Inc. | 22,997,100 | ||||||
203,920 | Ensco PLC (United Kingdom) | 10,287,764 | ||||||
637,960 | Nabors Industries, Ltd. | 16,280,739 | ||||||
253,270 | Transocean, Ltd. | 10,908,339 | ||||||
|
| |||||||
Total Energy Equipment & Services | 60,473,942 | |||||||
|
| |||||||
Food Products (4.4%) | ||||||||
413,500 | Campbell Soup Co. | 18,810,115 | ||||||
152,495 | Kraft Foods Group, Inc. | 8,670,866 | ||||||
656,390 | Mondelez International, Inc. | 23,400,303 | ||||||
|
| |||||||
Total Food Products | 50,881,284 | |||||||
|
| |||||||
Health Care Equipment & Supplies (1.2%) | ||||||||
238,475 | Medtronic, Inc. | 14,027,099 | ||||||
|
| |||||||
Health Care Providers & Services (1.1%) | ||||||||
226,850 | Quest Diagnostics, Inc | 12,687,720 | ||||||
|
| |||||||
Household Durables (1.2%) | ||||||||
365,771 | Lennar Corp. | 14,115,103 | ||||||
|
| |||||||
Industrial Conglomerates (6.4%) | ||||||||
1,584,250 | General Electric Co. | 42,600,483 | ||||||
997,445 | Koninklijke Philips Electronics N.V. (Netherlands) (NYRS) | 31,878,342 | ||||||
|
| |||||||
Total Industrial Conglomerates | 74,478,825 | |||||||
|
| |||||||
Insurance (5.6%) | ||||||||
353,900 | Allstate Corp. (The) | 20,154,605 | ||||||
304,980 | MetLife, Inc. | 15,965,703 | ||||||
317,500 | Travelers Cos., Inc. (The) | 28,759,150 | ||||||
|
| |||||||
Total Insurance | 64,879,458 | |||||||
|
| |||||||
Machinery (1.4%) | ||||||||
214,532 | Pentair, Ltd. | 15,937,582 | ||||||
|
| |||||||
Media (5.3%) | ||||||||
519,150 | Comcast Corp. | 26,871,204 | ||||||
888,400 | Regal Entertainment Group | 16,701,920 | ||||||
266,919 | Time Warner, Inc. | 17,739,437 | ||||||
|
| |||||||
Total Media | 61,312,561 | |||||||
|
|
See accompanying notes to financial statements.
22
Table of Contents
TCW Relative Value Dividend Appreciation Fund
April 30, 2014
Number of Shares | Common Stock | Value | ||||||
Oil, Gas & Consumable Fuels (4.1%) | ||||||||
265,360 | Chevron Corp. | $ | 33,307,987 | |||||
242,775 | Valero Energy Corp. | 13,879,447 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 47,187,434 | |||||||
|
| |||||||
Personal Products (1.0%) | ||||||||
735,059 | Avon Products, Inc. | 11,231,702 | ||||||
|
| |||||||
Pharmaceuticals (7.4%) | ||||||||
235,200 | Johnson & Johnson | 23,823,408 | ||||||
410,870 | Merck & Co., Inc. | 24,060,547 | ||||||
1,213,600 | Pfizer, Inc. | 37,961,408 | ||||||
|
| |||||||
Total Pharmaceuticals | 85,845,363 | |||||||
|
| |||||||
REIT (1.2%) | ||||||||
598,900 | Kimco Realty Corp. | 13,726,788 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.2%) | ||||||||
941,335 | Intel Corp. | 25,124,231 | ||||||
371,060 | Maxim Integrated Products, Inc. | 12,037,187 | ||||||
258,700 | Microchip Technology, Inc. | 12,298,598 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 49,460,016 | |||||||
|
| |||||||
Software (1.9%) | ||||||||
548,175 | Microsoft Corp. | 22,146,270 | ||||||
|
| |||||||
Specialty Retail (3.7%) | ||||||||
483,365 | Gap, Inc. (The) | 18,996,245 | ||||||
297,814 | Home Depot, Inc. (The) | 23,679,191 | ||||||
|
| |||||||
Total Specialty Retail | 42,675,436 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (2.6%) | ||||||||
579,365 | Seagate Technology PLC (Netherlands) | 30,463,012 | ||||||
|
| |||||||
Thrifts & Mortgage Finance (1.1%) | ||||||||
801,900 | New York Community Bancorp, Inc. | 12,357,279 | ||||||
|
| |||||||
Total Common Stock (Cost: $864,078,286) (98.1%) | 1,139,264,862 | |||||||
|
|
See accompanying notes to financial statements.
23
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited) (Continued) |
Principal Amount | Short-Term Investments | Value | ||||||
Repurchase Agreement (Cost: $21,313,803) (1.8%) | ||||||||
$ | 21,313,803 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $23,080,000 Federal National Mortgage Association, 2.20%, due 10/17/22, valued at $21,743,299) (Total Amount to be Received Upon Repurchase $21,313,803) | $ | 21,313,803 | ||||
|
| |||||||
Total Investments (Cost: $885,392,089) (99.9%) | 1,160,578,665 | |||||||
Excess of Other Assets over Liabilities (0.1%) | 1,299,991 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 1,161,878,656 | ||||||
|
|
Notes to the Schedule of Investments:
NYRS - New | York Registry Shares. |
REIT - Real | Estate Investment Trust. |
SP ADR - Sponsored | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
See accompanying notes to financial statements.
24
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.4 | % | ||
Air Freight & Logistics | 2.0 | |||
Banks | 5.6 | |||
Beverages | 2.8 | |||
Capital Markets | 6.0 | |||
Chemicals | 2.1 | |||
Commercial Services & Supplies | 2.7 | |||
Communications Equipment | 2.4 | |||
Consumer Finance | 1.8 | |||
Containers & Packaging | 1.7 | |||
Diversified Telecommunication Services | 4.4 | |||
Electric Utilities | 2.0 | |||
Electronic Equipment, Instruments & Components | 3.2 | |||
Energy Equipment & Services | 5.2 | |||
Food Products | 4.4 | |||
Health Care Equipment & Supplies | 1.2 | |||
Health Care Providers & Services | 1.1 | |||
Household Durables | 1.2 | |||
Industrial Conglomerates | 6.4 | |||
Insurance | 5.6 | |||
Machinery | 1.4 | |||
Media | 5.3 | |||
Oil, Gas & Consumable Fuels | 4.1 | |||
Personal Products | 1.0 | |||
Pharmaceuticals | 7.4 | |||
REIT | 1.2 | |||
Semiconductors & Semiconductor Equipment | 4.2 | |||
Software | 1.9 | |||
Specialty Retail | 3.7 | |||
Technology Hardware, Storage & Peripherals | 2.6 | |||
Thrifts & Mortgage Finance | 1.1 | |||
Short-Term Investments | 1.8 | |||
|
| |||
Total | 99.9 | % | ||
|
|
See accompanying notes to financial statements.
25
Table of Contents
TCW Relative Value Large Cap Fund
Schedule of Investments (Unaudited) |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (3.5% of Net Assets) | ||||||||
608,510 | Textron, Inc. | $ | 24,888,059 | |||||
|
| |||||||
Auto Components (2.2%) | ||||||||
733,270 | Dana Holding Corp. | 15,523,326 | ||||||
|
| |||||||
Banks (5.7%) | ||||||||
425,100 | Citigroup, Inc. | 20,366,541 | ||||||
367,858 | JPMorgan Chase & Co. | 20,592,691 | ||||||
|
| |||||||
Total Banks | 40,959,232 | |||||||
|
| |||||||
Beverages (2.8%) | ||||||||
234,700 | PepsiCo, Inc. | 20,158,383 | ||||||
|
| |||||||
Capital Markets (5.6%) | ||||||||
179,326 | Ameriprise Financial, Inc. | 20,018,161 | ||||||
318,000 | State Street Corp. | 20,530,080 | ||||||
|
| |||||||
Total Capital Markets | 40,548,241 | |||||||
|
| |||||||
Commercial Services & Supplies (2.9%) | ||||||||
191,805 | ADT Corp. (The) | 5,800,183 | ||||||
363,515 | Tyco International, Ltd. | 14,867,764 | ||||||
|
| |||||||
Total Commercial Services & Supplies | 20,667,947 | |||||||
|
| |||||||
Communications Equipment (2.5%) | ||||||||
776,190 | Cisco Systems, Inc. | 17,937,751 | ||||||
|
| |||||||
Consumer Finance (1.5%) | ||||||||
424,176 | SLM Corp. | 10,922,532 | ||||||
|
| |||||||
Containers & Packaging (2.0%) | ||||||||
428,035 | Sealed Air Corp. | 14,685,881 | ||||||
|
| |||||||
Diversified Telecommunication Services (1.3%) | ||||||||
270,400 | AT&T, Inc. | 9,653,280 | ||||||
|
| |||||||
Electric Utilities (1.9%) | ||||||||
248,250 | American Electric Power Co., Inc. | 13,358,333 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (3.4%) | ||||||||
408,590 | Corning, Inc. | 8,543,617 | ||||||
269,330 | TE Connectivity, Ltd. | 15,885,083 | ||||||
|
| |||||||
Total Electronic Equipment, Instruments & Components | 24,428,700 | |||||||
|
| |||||||
Energy Equipment & Services (5.7%) | ||||||||
274,050 | Baker Hughes, Inc. | 19,156,095 | ||||||
237,900 | Ensco PLC (United Kingdom) | 12,002,055 | ||||||
395,730 | Nabors Industries, Ltd. | 10,099,030 | ||||||
|
| |||||||
Total Energy Equipment & Services | 41,257,180 | |||||||
|
|
See accompanying notes to financial statements.
26
Table of Contents
TCW Relative Value Large Cap Fund
April 30, 2014
Number of Shares | Common Stock | Value | ||||||
Food Products (2.5%) | ||||||||
496,255 | Mondelez International, Inc. | $ | 17,691,491 | |||||
|
| |||||||
Health Care Equipment & Supplies (1.9%) | ||||||||
236,193 | Hologic, Inc. (1) | 4,956,510 | ||||||
152,915 | Medtronic, Inc. | 8,994,460 | ||||||
|
| |||||||
Total Health Care Equipment & Supplies | 13,950,970 | |||||||
|
| |||||||
Health Care Providers & Services (3.7%) | ||||||||
90,700 | Catamaran Corp. (1) | 3,423,925 | ||||||
148,206 | Cigna Corp. | 11,862,408 | ||||||
109,484 | WellPoint, Inc. | 11,022,849 | ||||||
|
| |||||||
Total Health Care Providers & Services | 26,309,182 | |||||||
|
| |||||||
Household Durables (2.0%) | ||||||||
381,863 | Lennar Corp. | 14,736,093 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (1.6%) | ||||||||
809,200 | AES Corporation (The) | 11,692,940 | ||||||
|
| |||||||
Industrial Conglomerates (3.6%) | ||||||||
963,650 | General Electric Co. | 25,912,548 | ||||||
|
| |||||||
Insurance (3.9%) | ||||||||
284,385 | Hartford Financial Services Group, Inc. | 10,200,890 | ||||||
194,270 | Travelers Cos., Inc. (The) | 17,596,977 | ||||||
|
| |||||||
Total Insurance | 27,797,867 | |||||||
|
| |||||||
Machinery (3.9%) | ||||||||
131,867 | Pentair, Ltd. | 9,796,399 | ||||||
428,430 | Terex Corp. | 18,546,735 | ||||||
|
| |||||||
Total Machinery | 28,343,134 | |||||||
|
| |||||||
Media (4.7%) | ||||||||
471,600 | Comcast Corp. | 24,410,016 | ||||||
139,978 | Time Warner, Inc. | 9,302,938 | ||||||
|
| |||||||
Total Media | 33,712,954 | |||||||
|
| |||||||
Metals & Mining (1.4%) | ||||||||
236,890 | Allegheny Technologies, Inc. | 9,759,868 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (4.5%) | ||||||||
154,500 | Chevron Corp. | 19,392,840 | ||||||
222,200 | Valero Energy Corp. | 12,703,174 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 32,096,014 | |||||||
|
| |||||||
Pharmaceuticals (8.6%) | ||||||||
125,450 | Johnson & Johnson | 12,706,831 | ||||||
247,950 | Merck & Co., Inc. | 14,519,952 |
See accompanying notes to financial statements.
27
Table of Contents
TCW Relative Value Large Cap Fund
Schedule of Investments (Unaudited) (Continued) |
Number of Shares | Common Stock | Value | ||||||
Pharmaceuticals (Continued) | ||||||||
238,290 | Mylan, Inc. (1) | $ | 12,100,366 | |||||
721,450 | Pfizer, Inc. | 22,566,956 | ||||||
|
| |||||||
Total Pharmaceuticals | 61,894,105 | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.4%) | ||||||||
495,675 | Applied Materials, Inc. | 9,447,565 | ||||||
467,400 | Intel Corp. | 12,474,906 | ||||||
165,995 | Lam Research Corp. (1) | 9,562,972 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 31,485,443 | |||||||
|
| |||||||
Software (1.7%) | ||||||||
306,690 | Microsoft Corp. | 12,390,276 | ||||||
|
| |||||||
Specialty Retail (4.6%) | ||||||||
362,920 | Gap, Inc. (The) | 14,262,756 | ||||||
234,000 | Home Depot, Inc. (The) | 18,605,340 | ||||||
|
| |||||||
Total Specialty Retail | 32,868,096 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (2.1%) | ||||||||
171,640 | Western Digital Corp. | 15,126,633 | ||||||
|
| |||||||
Total Common Stock (Cost: $452,073,867) (96.1%) | 690,756,459 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | Value | ||||||
Repurchase Agreement (Cost: $27,628,766) (3.8%) | ||||||||
$ | 27,628,766 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $29,915,000 Federal National Mortgage Association, 2.20%, due 10/17/22, valued at $28,182,443) (Total Amount to be Received Upon Repurchase $27,628,766) | 27,628,766 | |||||
|
| |||||||
Total Investments (Cost: $479,702,633) (99.9%) | 718,385,225 | |||||||
Excess of Other Assets over Liabilities (0.1%) | 752,161 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 719,137,386 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
See accompanying notes to financial statements.
28
Table of Contents
TCW Relative Value Large Cap Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.5 | % | ||
Auto Components | 2.2 | |||
Banks | 5.7 | |||
Beverages | 2.8 | |||
Capital Markets | 5.6 | |||
Commercial Services & Supplies | 2.9 | |||
Communications Equipment | 2.5 | |||
Consumer Finance | 1.5 | |||
Containers & Packaging | 2.0 | |||
Diversified Telecommunication Services | 1.3 | |||
Electric Utilities | 1.9 | |||
Electronic Equipment, Instruments & Components | 3.4 | |||
Energy Equipment & Services | 5.7 | |||
Food Products | 2.5 | |||
Health Care Equipment & Supplies | 1.9 | |||
Health Care Providers & Services | 3.7 | |||
Household Durables | 2.0 | |||
Independent Power and Renewable Electricity Producers | 1.6 | |||
Industrial Conglomerates | 3.6 | |||
Insurance | 3.9 | |||
Machinery | 3.9 | |||
Media | 4.7 | |||
Metals & Mining | 1.4 | |||
Oil, Gas & Consumable Fuels | 4.5 | |||
Pharmaceuticals | 8.6 | |||
Semiconductors & Semiconductor Equipment | 4.4 | |||
Software | 1.7 | |||
Specialty Retail | 4.6 | |||
Technology Hardware, Storage & Peripherals | 2.1 | |||
Short-Term Investments | 3.8 | |||
|
| |||
Total | 99.9 | % | ||
|
|
See accompanying notes to financial statements.
29
Table of Contents
Schedule of Investments (Unaudited) |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (4.2% of Net Assets) | ||||||||
291,210 | Precision Castparts Corp. | $ | 73,702,339 | |||||
|
| |||||||
Biotechnology (4.9%) | ||||||||
632,370 | BioMarin Pharmaceutical, Inc. (1) | 36,822,905 | ||||||
342,590 | Celgene Corp. (1) | 50,364,156 | ||||||
|
| |||||||
Total Biotechnology | 87,187,061 | |||||||
|
| |||||||
Capital Markets (2.1%) | ||||||||
1,381,350 | Charles Schwab Corp. (The) | 36,674,843 | ||||||
|
| |||||||
Communications Equipment (3.5%) | ||||||||
783,273 | QUALCOMM, Inc. | 61,651,418 | ||||||
|
| |||||||
Energy Equipment & Services (9.3%) | ||||||||
349,975 | Dril-Quip, Inc. (1) | 39,589,172 | ||||||
597,725 | Oceaneering International, Inc. | 43,801,288 | ||||||
795,966 | Schlumberger, Ltd. | 80,830,347 | ||||||
|
| |||||||
Total Energy Equipment & Services | 164,220,807 | |||||||
|
| |||||||
Food & Staples Retailing (3.3%) | ||||||||
358,124 | Costco Wholesale Corp. | 41,427,784 | ||||||
360,785 | Whole Foods Market, Inc. | 17,931,015 | ||||||
|
| |||||||
Total Food & Staples Retailing | 59,358,799 | |||||||
|
| |||||||
Food Products (2.8%) | ||||||||
555,570 | Mead Johnson Nutrition Co. | 49,034,608 | ||||||
|
| |||||||
Health Care Technology (6.4%) | ||||||||
359,992 | athenahealth, Inc. (1) | 44,509,411 | ||||||
1,333,862 | Cerner Corp. (1) | 68,427,120 | ||||||
|
| |||||||
Total Health Care Technology | 112,936,531 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (5.2%) | ||||||||
48,600 | Chipotle Mexican Grill, Inc. (1) | 24,227,100 | ||||||
971,295 | Starbucks Corp. | 68,592,853 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 92,819,953 | |||||||
|
| |||||||
Insurance (3.8%) | ||||||||
662,600 | ACE, Ltd. | 67,797,232 | ||||||
|
| |||||||
Internet & Catalog Retail (8.1%) | ||||||||
252,650 | Amazon.com, Inc. (1) | 76,838,444 | ||||||
57,840 | Priceline Group, Inc. (The) (1) | 66,964,260 | ||||||
|
| |||||||
Total Internet & Catalog Retail | 143,802,704 | |||||||
|
| |||||||
Internet Software & Services (10.6%) | ||||||||
294,520 | Equinix, Inc. (1) | 55,313,801 | ||||||
33,734 | Google, Inc. (1) | 18,043,642 |
See accompanying notes to financial statements.
30
Table of Contents
TCW Select Equities Fund
April 30, 2014
Number of Shares | Common Stock | Value | ||||||
Internet Software & Services (Continued) | ||||||||
138,619 | Google, Inc. — Class C (1) | $ | 73,005,083 | |||||
265,850 | LinkedIn Corp. (1) | 40,799,999 | ||||||
|
| |||||||
Total Internet Software & Services | 187,162,525 | |||||||
|
| |||||||
IT Services (4.0%) | ||||||||
350,206 | Visa, Inc. | 70,955,238 | ||||||
|
| |||||||
Life Sciences Tools & Services (1.8%) | ||||||||
238,100 | Illumina, Inc. (1) | 32,345,885 | ||||||
|
| |||||||
Pharmaceuticals (2.1%) | ||||||||
222,710 | Allergan, Inc. | 36,934,226 | ||||||
|
| |||||||
Professional Services (2.6%) | ||||||||
758,050 | Verisk Analytics, Inc. (1) | 45,551,225 | ||||||
|
| |||||||
REIT (4.5%) | ||||||||
946,732 | American Tower Corp. | 79,071,057 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.8%) | ||||||||
1,098,575 | ARM Holdings PLC (United Kingdom) (SP ADR) | 50,007,134 | ||||||
|
| |||||||
Software (11.1%) | ||||||||
1,619,248 | Salesforce.com, Inc. (1) | 83,634,159 | ||||||
701,985 | ServiceNow, Inc. (1) | 34,902,694 | ||||||
665,900 | Splunk, Inc. (1) | 36,338,163 | ||||||
454,110 | VMware, Inc. (1) | 42,009,716 | ||||||
|
| |||||||
Total Software | 196,884,732 | |||||||
|
| |||||||
Specialty Retail (2.7%) | ||||||||
558,850 | Tiffany & Co. | 48,893,787 | ||||||
|
| |||||||
Trading Companies & Distributors (2.1%) | ||||||||
757,477 | Fastenal Co. | 37,934,448 | ||||||
|
| |||||||
Total Common Stock (Cost: $1,244,269,473) (97.9%) | 1,734,926,552 | |||||||
|
|
See accompanying notes to financial statements.
31
Table of Contents
TCW Select Equities Fund
Schedule of Investments (Unaudited) (Continued) |
Principal Amount | Short-Term Investments | Value | ||||||
Repurchase Agreement (Cost: $39,042,330) (2.2%) | ||||||||
$ | 39,042,330 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $42,275,000 Federal National Mortgage Association, 2.20%, due 10/17/22, valued at $39,826,601) (Total Amount to be Received Upon Repurchase $39,042,330) | $ | 39,042,330 | ||||
|
| |||||||
Total Investments (Cost: $1,283,311,803) (100.1%) | 1,773,968,882 | |||||||
Liabilities in Excess of Other Assets (-0.1%) | (2,168,328 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 1,771,800,554 | ||||||
|
|
Notes to the Schedule of Investments:
REIT - Real | Estate Investment Trust. |
SP ADR - Sponsored | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
(1) | Non-income producing security. |
See accompanying notes to financial statements.
32
Table of Contents
TCW Select Equities Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 4.2 | % | ||
Biotechnology | 4.9 | |||
Capital Markets | 2.1 | |||
Communications Equipment | 3.5 | |||
Energy Equipment & Services | 9.3 | |||
Food & Staples Retailing | 3.3 | |||
Food Products | 2.8 | |||
Health Care Technology | 6.4 | |||
Hotels, Restaurants & Leisure | 5.2 | |||
Insurance | 3.8 | |||
Internet & Catalog Retail | 8.1 | |||
Internet Software & Services | 10.6 | |||
IT Services | 4.0 | |||
Life Sciences Tools & Services | 1.8 | |||
Pharmaceuticals | 2.1 | |||
Professional Services | 2.6 | |||
REIT | 4.5 | |||
Semiconductors & Semiconductor Equipment | 2.8 | |||
Software | 11.1 | |||
Specialty Retail | 2.7 | |||
Trading Companies & Distributors | 2.1 | |||
Short-Term Investments | 2.2 | |||
|
| |||
Total | 100.1 | % | ||
|
|
See accompanying notes to financial statements.
33
Table of Contents
Schedule of Investments (Unaudited) |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (1.5% of Net Assets) | ||||||||
51,112 | HEICO Corp. | $ | 2,827,516 | |||||
|
| |||||||
Auto Components (1.2%) | ||||||||
39,900 | Dorman Products, Inc. (1) | 2,296,245 | ||||||
|
| |||||||
Banks (1.6%) | ||||||||
20,773 | Independent Bank Group, Inc. | 1,022,239 | ||||||
102,100 | Square 1 Financial, Inc. (1) | 1,924,585 | ||||||
|
| |||||||
Total Banks | 2,946,824 | |||||||
|
| |||||||
Beverages (1.7%) | ||||||||
12,600 | Boston Beer Co., Inc. (1) | 3,100,104 | ||||||
|
| |||||||
Biotechnology (5.0%) | ||||||||
25,200 | Agios Pharmaceuticals, Inc. (1) | 1,059,912 | ||||||
92,340 | Cepheid, Inc. (1) | 4,014,943 | ||||||
69,010 | Eleven Biotherapeutics, Inc. (1) | 930,945 | ||||||
25,400 | Foundation Medicine, Inc. (1) | 740,664 | ||||||
25,600 | Karyopharm Therapeutics, Inc. (1) | 686,848 | ||||||
33,800 | Ophthotech Corp. (1) | 1,148,862 | ||||||
17,575 | Ultragenyx Pharmaceutical, Inc. (1) | 681,559 | ||||||
|
| |||||||
Total Biotechnology | 9,263,733 | |||||||
|
| |||||||
Building Products (1.1%) | ||||||||
26,400 | Trex Co., Inc. (1) | 2,072,928 | ||||||
|
| |||||||
Capital Markets (3.0%) | ||||||||
114,571 | Marcus & Millichap, Inc. (1) | 1,893,859 | ||||||
329,400 | WisdomTree Investments, Inc. (1) | 3,718,926 | ||||||
|
| |||||||
Total Capital Markets | 5,612,785 | |||||||
|
| |||||||
Communications Equipment (2.2%) | ||||||||
208,487 | Aruba Networks, Inc. (1) | 4,121,788 | ||||||
|
| |||||||
Diversified Consumer Services (2.7%) | ||||||||
48,764 | MarketAxess Holdings, Inc. | 2,627,404 | ||||||
118,900 | Nord Anglia Education, Inc. (1) | 2,360,165 | ||||||
|
| |||||||
Total Diversified Consumer Services | 4,987,569 | |||||||
|
| |||||||
Electrical Equipment (1.2%) | ||||||||
26,000 | Power Solutions International, Inc. (1) | 2,151,500 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (3.4%) | ||||||||
96,298 | Cognex Corp. (1) | 3,315,540 | ||||||
76,389 | FARO Technologies, Inc. (1) | 3,047,921 | ||||||
|
| |||||||
Total Electronic Equipment, Instruments & Components | 6,363,461 | |||||||
|
|
See accompanying notes to financial statements.
34
Table of Contents
TCW Small Cap Growth Fund
April 30, 2014 |
Number of Shares | Common Stock | Value | ||||||
Energy Equipment & Services (1.5%) | ||||||||
46,300 | Geospace Technologies Corp. (1) | $ | 2,691,419 | |||||
|
| |||||||
Food & Staples Retailing (1.4%) | ||||||||
26,237 | Pricesmart, Inc. | 2,519,802 | ||||||
|
| |||||||
Food Products (5.0%) | ||||||||
105,500 | Annie’s, Inc. (1) | 3,429,805 | ||||||
33,697 | Hain Celestial Group, Inc. (The) (1) | 2,898,616 | ||||||
201,104 | Lifeway Foods, Inc. | 3,018,571 | ||||||
|
| |||||||
Total Food Products | 9,346,992 | |||||||
|
| |||||||
Health Care Equipment & Supplies (4.7%) | ||||||||
48,631 | DexCom, Inc. (1) | 1,577,590 | ||||||
242,104 | Endologix, Inc. (1) | 3,069,879 | ||||||
60,600 | LDR Holding Corp. (1) | 1,510,152 | ||||||
162,585 | Novadaq Technologies, Inc. (Canada) (1) | 2,544,455 | ||||||
|
| |||||||
Total Health Care Equipment & Supplies | 8,702,076 | |||||||
|
| |||||||
Health Care Providers & Services (5.4%) | ||||||||
80,800 | ExamWorks Group, Inc. (1) | 2,973,440 | ||||||
94,400 | Health Net, Inc. (1) | 3,240,752 | ||||||
24,611 | MWI Veterinary Supply, Inc. (1) | 3,855,067 | ||||||
|
| |||||||
Total Health Care Providers & Services | 10,069,259 | |||||||
|
| |||||||
Health Care Technology (3.2%) | ||||||||
33,900 | athenahealth, Inc. (1) | 4,191,396 | ||||||
114,737 | Castlight Health, Inc. (1) | 1,723,350 | ||||||
|
| |||||||
Total Health Care Technology | 5,914,746 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (3.9%) | ||||||||
329,519 | Arcos Dorados Holdings, Inc. | 3,001,918 | ||||||
171,300 | La Quinta Holdings, Inc. (1) | 2,876,127 | ||||||
77,194 | Potbelly Corp. (1) | 1,312,298 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 7,190,343 | |||||||
|
| |||||||
Household Durables (1.1%) | ||||||||
18,275 | Harman International Industries, Inc. | 2,003,123 | ||||||
|
| |||||||
Insurance (0.9%) | ||||||||
37,900 | eHealth, Inc. (1) | 1,587,631 | ||||||
|
| |||||||
Internet Software & Services (5.4%) | ||||||||
96,440 | Cornerstone OnDemand, Inc. (1) | 3,545,134 | ||||||
82,300 | Envestnet, Inc. (1) | 3,032,755 | ||||||
48,361 | Rocket Fuel, Inc. (1) | 1,550,937 | ||||||
36,692 | SPS Commerce, Inc. (1) | 1,900,646 | ||||||
|
| |||||||
Total Internet Software & Services | 10,029,472 | |||||||
|
|
See accompanying notes to financial statements.
35
Table of Contents
TCW Small Cap Growth Fund
Schedule of Investments (Unaudited) (Continued) |
Number of Shares | Common Stock | Value | ||||||
IT Services (1.5%) | ||||||||
90,400 | EPAM Systems, Inc. (1) | $ | 2,814,152 | |||||
|
| |||||||
Leisure Products (2.9%) | ||||||||
253,300 | Black Diamond, Inc. (1) | 2,824,295 | ||||||
115,000 | Malibu Boats, Inc. (1) | 2,559,900 | ||||||
|
| |||||||
Total Leisure Products | 5,384,195 | |||||||
|
| |||||||
Machinery (7.1%) | ||||||||
77,200 | Altra Holdings, Inc. | 2,637,152 | ||||||
40,269 | Chart Industries, Inc. (1) | 2,747,151 | ||||||
101,100 | John Bean Technologies Corp. | 2,930,889 | ||||||
46,500 | Proto Labs, Inc. (1) | 2,815,110 | ||||||
30,900 | RBC Bearings, Inc. (1) | 1,923,834 | ||||||
|
| |||||||
Total Machinery | 13,054,136 | |||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.5%) | ||||||||
32,825 | Athlon Energy, Inc. (1) | 1,326,458 | ||||||
53,700 | RSP Permian, Inc. (1) | 1,522,395 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 2,848,853 | |||||||
|
| |||||||
Pharmaceuticals (0.5%) | ||||||||
28,595 | Revance Therapeutics, Inc. (1) | 980,237 | ||||||
|
| |||||||
Professional Services (1.7%) | ||||||||
146,100 | TriNet Group, Inc. (1) | 3,133,845 | ||||||
|
| |||||||
Real Estate Management & Development (1.2%) | ||||||||
81,075 | RE/MAX Holdings, Inc. (1) | 2,287,937 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.5%) | ||||||||
179,507 | Exar Corp. (1) | 1,942,266 | ||||||
75,188 | Mellanox Technologies, Ltd. (1) | 2,629,324 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 4,571,590 | |||||||
|
| |||||||
Software (7.8%) | ||||||||
106,800 | Imperva, Inc. (1) | 2,443,584 | ||||||
168,947 | Qualys, Inc. (1) | 3,258,988 | ||||||
94,148 | Splunk, Inc. (1) | 5,137,656 | ||||||
30,718 | Ultimate Software Group, Inc. (The) (1) | 3,674,794 | ||||||
|
| |||||||
Total Software | 14,515,022 | |||||||
|
| |||||||
Specialty Retail (2.7%) | ||||||||
123,527 | Five Below, Inc. (1) | 4,979,373 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (1.2%) | ||||||||
89,113 | Nimble Storage, Inc. (1) | 2,196,635 | ||||||
|
|
See accompanying notes to financial statements.
36
Table of Contents
TCW Small Cap Growth Fund
April 30, 2014
Number of Shares | Common Stock | Value | ||||||
Textiles, Apparel & Luxury Goods (6.7%) | ||||||||
90,300 | Kate Spade & Co. (1) | $ | 3,139,731 | |||||
114,622 | Steven Madden, Ltd. (1) | 4,081,689 | ||||||
185,970 | Vince Holding Corp. (1) | 5,116,035 | ||||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 12,337,455 | |||||||
|
| |||||||
Trading Companies & Distributors (2.2%) | ||||||||
18,100 | DXP Enterprises, Inc. (1) | 2,049,101 | ||||||
50,000 | H&E Equipment Services, Inc. (1) | 1,927,500 | ||||||
|
| |||||||
Total Trading Companies & Distributors | 3,976,601 | |||||||
|
| |||||||
Total Common Stock (Cost: $148,725,554) (96.6%) | 178,879,347 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $6,659,358) (3.6%) | ||||||||
$ | 6,659,358 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $7,310,000 Federal Home Loan Mortgage Corp., 2.08%, due 10/17/22 valued at $6,792,898) (Total Amount to be Received Upon Repurchase $6,659,358) | 6,659,358 | |||||
|
| |||||||
Total Investments (Cost: $155,384,912) (100.2%) | 185,538,705 | |||||||
Liabilities in Excess of Other Assets (-0.2%) | (333,322 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 185,205,383 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
See accompanying notes to financial statements.
37
Table of Contents
TCW Small Cap Growth Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 1.5 | % | ||
Auto Components | 1.2 | |||
Banks | 1.6 | |||
Beverages | 1.7 | |||
Biotechnology | 5.0 | |||
Building Products | 1.1 | |||
Capital Markets | 3.0 | |||
Communications Equipment | 2.2 | |||
Diversified Consumer Services | 2.7 | |||
Electrical Equipment | 1.2 | |||
Electronic Equipment, Instruments & Components | 3.4 | |||
Energy Equipment & Services | 1.5 | |||
Food & Staples Retailing | 1.4 | |||
Food Products | 5.0 | |||
Health Care Equipment & Supplies | 4.7 | |||
Health Care Providers & Services | 5.4 | |||
Health Care Technology | 3.2 | |||
Hotels, Restaurants & Leisure | 3.9 | |||
Household Durables | 1.1 | |||
Insurance | 0.9 | |||
Internet Software & Services | 5.4 | |||
IT Services | 1.5 | |||
Leisure Products | 2.9 | |||
Machinery | 7.1 | |||
Oil, Gas & Consumable Fuels | 1.5 | |||
Pharmaceuticals | 0.5 | |||
Professional Services | 1.7 | |||
Real Estate Management & Development | 1.2 | |||
Semiconductors & Semiconductor Equipment | 2.5 | |||
Software | 7.8 | |||
Specialty Retail | 2.7 | |||
Technology Hardware, Storage & Peripherals | 1.2 | |||
Textiles, Apparel & Luxury Goods | 6.7 | |||
Trading Companies & Distributors | 2.2 | |||
Short-Term Investments | 3.6 | |||
|
| |||
Total | 100.2 | % | ||
|
|
See accompanying notes to financial statements.
38
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2014 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (3.9% of Net Assets) | ||||||||
14,350 | BE Aerospace, Inc. (1) | $ | 1,259,499 | |||||
15,287 | HEICO Corp. | 845,677 | ||||||
|
| |||||||
Total Aerospace & Defense | 2,105,176 | |||||||
|
| |||||||
Banks (1.4%) | ||||||||
7,220 | SVB Financial Group (1) | 770,302 | ||||||
|
| |||||||
Beverages (1.6%) | ||||||||
3,400 | Boston Beer Co., Inc. (1) | 836,536 | ||||||
|
| |||||||
Biotechnology (3.0%) | ||||||||
24,665 | Cepheid, Inc. (1) | 1,072,434 | ||||||
1,250 | Intercept Pharmaceuticals, Inc. (1) | 330,150 | ||||||
7,600 | Karyopharm Therapeutics, Inc. (1) | 203,908 | ||||||
|
| |||||||
Total Biotechnology | 1,606,492 | |||||||
|
| |||||||
Capital Markets (3.0%) | ||||||||
19,012 | Stifel Financial Corp. (1) | 889,191 | ||||||
65,500 | WisdomTree Investments, Inc. (1) | 739,495 | ||||||
|
| |||||||
Total Capital Markets | 1,628,686 | |||||||
|
| |||||||
Communications Equipment (1.6%) | ||||||||
43,740 | Aruba Networks, Inc. (1) | 864,740 | ||||||
|
| |||||||
Diversified Consumer Services (1.4%) | ||||||||
14,500 | MarketAxess Holdings, Inc. | 781,260 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (5.2%) | ||||||||
25,590 | Cognex Corp. (1) | 881,064 | ||||||
17,372 | FARO Technologies, Inc. (1) | 693,143 | ||||||
9,700 | FEI Co. | 771,344 | ||||||
7,440 | IPG Photonics Corp. (1) | 480,847 | ||||||
|
| |||||||
Total Electronic Equipment, Instruments & Components | 2,826,398 | |||||||
|
| |||||||
Energy Equipment & Services (4.8%) | ||||||||
2,703 | Core Laboratories N.V. (Netherlands) | 507,299 | ||||||
7,650 | Dril-Quip, Inc. (1) | 865,368 | ||||||
19,460 | Frank’s International N.V. (Netherlands) | 533,788 | ||||||
9,545 | Oceaneering International, Inc. | 699,457 | ||||||
|
| |||||||
Total Energy Equipment & Services | 2,605,912 | |||||||
|
| |||||||
Food & Staples Retailing (3.5%) | ||||||||
10,435 | Pricesmart, Inc. | 1,002,178 | ||||||
13,105 | United Natural Foods, Inc. (1) | 904,638 | ||||||
|
| |||||||
Total Food & Staples Retailing | 1,906,816 | |||||||
|
|
See accompanying notes to financial statements.
39
Table of Contents
TCW SMID Cap Growth Fund
Schedule of Investments (Unaudited) (Continued) |
Number of Shares | Common Stock | Value | ||||||
Food Products (2.2%) | ||||||||
13,550 | Hain Celestial Group, Inc. (The) (1) | $ | 1,165,571 | |||||
|
| |||||||
Health Care Equipment & Supplies (4.7%) | ||||||||
69,091 | Endologix, Inc. (1) | 876,074 | ||||||
2,550 | Intuitive Surgical, Inc. (1) | 922,335 | ||||||
46,850 | Novadaq Technologies, Inc. (1) | 733,202 | ||||||
|
| |||||||
Total Health Care Equipment & Supplies | 2,531,611 | |||||||
|
| |||||||
Health Care Providers & Services (4.5%) | ||||||||
24,600 | Health Net, Inc. (1) | 844,518 | ||||||
7,168 | MWI Veterinary Supply, Inc. (1) | 1,122,796 | ||||||
16,065 | Premier, Inc. (1) | 481,950 | ||||||
|
| |||||||
Total Health Care Providers & Services | 2,449,264 | |||||||
|
| |||||||
Health Care Technology (2.2%) | ||||||||
9,800 | athenahealth, Inc. (1) | 1,211,672 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (3.4%) | ||||||||
30,100 | Aramark | 848,519 | ||||||
47,535 | Arcos Dorados Holdings, Inc. | 433,044 | ||||||
7,300 | Starwood Hotels & Resorts Worldwide, Inc. | 559,545 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 1,841,108 | |||||||
|
| |||||||
Household Durables (1.8%) | ||||||||
8,701 | Harman International Industries, Inc. | 953,717 | ||||||
|
| |||||||
Internet Software & Services (4.2%) | ||||||||
18,200 | Envestnet, Inc. (1) | 670,670 | ||||||
18,608 | Rocket Fuel, Inc. (1) | 596,759 | ||||||
16,750 | Yelp, Inc. (1) | 976,860 | ||||||
|
| |||||||
Total Internet Software & Services | 2,244,289 | |||||||
|
| |||||||
Leisure Products (1.6%) | ||||||||
6,550 | Polaris Industries, Inc. | 879,861 | ||||||
|
| |||||||
Life Sciences Tools & Services (1.5%) | ||||||||
6,150 | Illumina, Inc. (1) | 835,478 | ||||||
|
| |||||||
Machinery (10.3%) | ||||||||
11,542 | Chart Industries, Inc. (1) | 787,395 | ||||||
12,400 | Graco, Inc. | 899,000 | ||||||
4,450 | Middleby Corp. (The) (1) | 1,123,536 | ||||||
13,350 | Proto Labs, Inc. (1) | 808,209 | ||||||
9,600 | WABCO Holdings, Inc. (1) | 1,027,296 | ||||||
12,650 | Wabtec Corp. | 943,058 | ||||||
|
| |||||||
Total Machinery | 5,588,494 | |||||||
|
|
See accompanying notes to financial statements.
40
Table of Contents
TCW SMID Cap Growth Fund
April 30, 2014
Number of Shares | Common Stock | Value | ||||||
Media (1.5%) | ||||||||
12,600 | AMC Networks, Inc. (1) | $ | 827,442 | |||||
|
| |||||||
Metals & Mining (2.1%) | ||||||||
27,225 | Allegheny Technologies, Inc. | 1,121,670 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.8%) | ||||||||
14,600 | RSP Permian, Inc. (1) | 413,910 | ||||||
|
| |||||||
Road & Rail (1.4%) | ||||||||
7,405 | Kansas City Southern | 747,016 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (1.8%) | ||||||||
52,350 | NVIDIA Corp. | 966,904 | ||||||
|
| |||||||
Software (12.9%) | ||||||||
14,690 | ANSYS, Inc. (1) | 1,120,994 | ||||||
22,650 | FireEye, Inc. (1) | 889,239 | ||||||
5,300 | NetSuite, Inc. (1) | 409,743 | ||||||
17,850 | ServiceNow, Inc. (1) | 887,502 | ||||||
27,265 | Splunk, Inc. (1) | 1,487,851 | ||||||
10,050 | Tyler Technologies, Inc. (1) | 820,583 | ||||||
3,591 | Ultimate Software Group, Inc. (The) (1) | 429,591 | ||||||
12,420 | Workday, Inc. (1) | 907,529 | ||||||
|
| |||||||
Total Software | 6,953,032 | |||||||
|
| |||||||
Specialty Retail (2.0%) | ||||||||
32,000 | DSW, Inc. | 1,068,480 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (7.0%) | ||||||||
23,750 | Kate Spade & Co. (1) | 825,787 | ||||||
30,760 | Under Armour, Inc. (1) | 1,503,856 | ||||||
52,609 | Vince Holding Corp. (1) | 1,447,274 | ||||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 3,776,917 | |||||||
|
| |||||||
Trading Companies & Distributors (1.7%) | ||||||||
10,100 | MSC Industrial Direct Co., Inc. | 919,706 | ||||||
|
| |||||||
Total Common Stock (Cost: $43,006,394) (97.0%) | 52,428,460 | |||||||
|
|
See accompanying notes to financial statements.
41
Table of Contents
TCW SMID Cap Growth Fund
Schedule of Investments (Unaudited) (Continued) |
Principal Amount | Short-Term Investments | Value | ||||||
Repurchase Agreement (Cost: $1,636,232) (3.0%) | ||||||||
$ | 1,636,232 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $1,800,000 Federal Home Loan Mortgage Corp., 2.08%, due 10/17/22 valued at $1,672,670) (Total Amount to be Received Upon Repurchase $1,636,232) | $ | 1,636,232 | ||||
|
| |||||||
Total Investments (Cost: $44,642,626) (100.0%) | 54,064,692 | |||||||
Liabilities in Excess of Other Assets ((0.0)%) | (18,079 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 54,046,613 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
See accompanying notes to financial statements.
42
Table of Contents
TCW SMID Cap Growth Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.9 | % | ||
Banks | 1.4 | |||
Beverages | 1.6 | |||
Biotechnology | 3.0 | |||
Capital Markets | 3.0 | |||
Communications Equipment | 1.6 | |||
Diversified Consumer Services | 1.4 | |||
Electronic Equipment, Instruments & Components | 5.2 | |||
Energy Equipment & Services | 4.8 | |||
Food & Staples Retailing | 3.5 | |||
Food Products | 2.2 | |||
Health Care Equipment & Supplies | 4.7 | |||
Health Care Providers & Services | 4.5 | |||
Health Care Technology | 2.2 | |||
Hotels, Restaurants & Leisure | 3.4 | |||
Household Durables | 1.8 | |||
Internet Software & Services | 4.2 | |||
Leisure Products | 1.6 | |||
Life Sciences Tools & Services | 1.5 | |||
Machinery | 10.3 | |||
Media | 1.5 | |||
Metals & Mining | 2.1 | |||
Oil, Gas & Consumable Fuels | 0.8 | |||
Road & Rail | 1.4 | |||
Semiconductors & Semiconductor Equipment | 1.8 | |||
Software | 12.9 | |||
Specialty Retail | 2.0 | |||
Textiles, Apparel & Luxury Goods | 7.0 | |||
Trading Companies & Distributors | 1.7 | |||
Short-Term Investments | 3.0 | |||
|
| |||
Total | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
43
Table of Contents
Schedule of Investments (Unaudited) |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (2.4% of Net Assets) | ||||||||
85,345 | Textron, Inc. | $ | 3,490,610 | |||||
|
| |||||||
Airlines (1.2%) | ||||||||
49,300 | American Airlines Group, Inc. (1) | 1,728,951 | ||||||
|
| |||||||
Auto Components (3.5%) | ||||||||
171,550 | Dana Holding Corp. (1) | 3,631,714 | ||||||
25,315 | Tenneco, Inc. (1) | 1,515,609 | ||||||
|
| |||||||
Total Auto Components | 5,147,323 | |||||||
|
| |||||||
Banks (6.7%) | ||||||||
35,666 | Comerica, Inc. | 1,720,528 | ||||||
239,593 | KeyCorp | 3,268,049 | ||||||
91,765 | Popular, Inc. (1) | 2,835,538 | ||||||
625,108 | Synovus Financial Corp. | 2,006,597 | ||||||
|
| |||||||
Total Banks | 9,830,712 | |||||||
|
| |||||||
Capital Markets (2.5%) | ||||||||
26,100 | E*TRADE Financial Corp. (1) | 585,945 | ||||||
89,288 | Invesco, Ltd. | 3,143,830 | ||||||
|
| |||||||
Total Capital Markets | 3,729,775 | |||||||
|
| |||||||
Chemicals (2.6%) | ||||||||
15,200 | Axiall Corp. | 708,320 | ||||||
21,138 | Celanese Corp. — Series A | 1,298,508 | ||||||
19,704 | Cytec Industries, Inc. | 1,878,185 | ||||||
|
| |||||||
Total Chemicals | 3,885,013 | |||||||
|
| |||||||
Communications Equipment (2.0%) | ||||||||
194,900 | Brocade Communications Systems, Inc. (1) | 1,814,519 | ||||||
89,760 | Polycom, Inc. (1) | 1,104,048 | ||||||
|
| |||||||
Total Communications Equipment | 2,918,567 | |||||||
|
| |||||||
Construction & Engineering (1.8%) | ||||||||
45,333 | Jacobs Engineering Group, Inc. (1) | 2,615,714 | ||||||
|
| |||||||
Construction Materials (1.2%) | ||||||||
26,544 | Vulcan Materials Co. | 1,712,884 | ||||||
|
| |||||||
Consumer Finance (1.4%) | ||||||||
82,647 | SLM Corp. | 2,128,160 | ||||||
|
| |||||||
Containers & Packaging (2.0%) | ||||||||
87,585 | Sealed Air Corp. | 3,005,041 | ||||||
|
| |||||||
Diversified Telecommunication Services (0.7%) | ||||||||
112,474 | Windstream Holdings, Inc. | 1,020,139 | ||||||
|
|
See accompanying notes to financial statements.
44
Table of Contents
TCW Value Opportunities Fund
April 30, 2014 |
Number of Shares | Common Stock | Value | ||||||
Electric Utilities (0.4%) | ||||||||
21,694 | Hawaiian Electric Industries, Inc. | $ | 520,439 | |||||
|
| |||||||
Energy Equipment & Services (4.0%) | ||||||||
29,820 | Atwood Oceanics, Inc. (1) | 1,477,879 | ||||||
112,062 | Nabors Industries, Ltd. | 2,859,822 | ||||||
128,750 | Newpark Resources, Inc. (1) | 1,550,150 | ||||||
|
| |||||||
Total Energy Equipment & Services | 5,887,851 | |||||||
|
| |||||||
Food Products (2.7%) | ||||||||
54,400 | Campbell Soup Co. | 2,474,656 | ||||||
42,600 | Hillshire Brands Co. | 1,518,690 | ||||||
|
| |||||||
Total Food Products | 3,993,346 | |||||||
|
| |||||||
Health Care Equipment & Supplies (2.1%) | ||||||||
55,400 | Alere, Inc. (1) | 1,850,360 | ||||||
59,942 | Hologic, Inc. (1) | 1,257,883 | ||||||
|
| |||||||
Total Health Care Equipment & Supplies | 3,108,243 | |||||||
|
| |||||||
Health Care Providers & Services (3.3%) | ||||||||
40,355 | Cigna Corp. | 3,230,014 | ||||||
29,000 | Quest Diagnostics, Inc | 1,621,970 | ||||||
|
| |||||||
Total Health Care Providers & Services | 4,851,984 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (2.7%) | ||||||||
67,536 | International Speedway Corp. | 2,123,332 | ||||||
32,319 | Marriott International, Inc. | 1,872,239 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 3,995,571 | |||||||
|
| |||||||
Household Durables (5.8%) | ||||||||
57,155 | Beazer Homes USA, Inc. (1) | 1,083,659 | ||||||
9,990 | Harman International Industries, Inc. | 1,095,004 | ||||||
88,660 | KB Home | 1,463,777 | ||||||
49,120 | Lennar Corp. | 1,895,541 | ||||||
85,715 | Toll Brothers, Inc. (1) | 2,934,881 | ||||||
|
| |||||||
Total Household Durables | 8,472,862 | |||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (1.3%) | ||||||||
127,100 | AES Corporation (The) (1) | 1,836,595 | ||||||
|
| |||||||
Insurance (6.0%) | ||||||||
39,286 | Arch Capital Group, Ltd. (1) | 2,251,873 | ||||||
50,905 | Assured Guaranty, Ltd. | 1,217,139 | ||||||
130,560 | Genworth Financial, Inc. (1) | 2,330,496 | ||||||
15,468 | PartnerRe, Ltd. | 1,630,327 | ||||||
16,845 | Reinsurance Group of America, Inc. | 1,292,180 | ||||||
|
| |||||||
Total Insurance | 8,722,015 | |||||||
|
|
See accompanying notes to financial statements.
45
Table of Contents
TCW Value Opportunities Fund
Schedule of Investments (Unaudited) (Continued) |
Number of Shares | Common Stock | Value | ||||||
Machinery (7.3%) | ||||||||
26,809 | Dover Corp. | $ | 2,316,298 | |||||
54,500 | Kennametal, Inc. | 2,546,785 | ||||||
27,055 | SPX Corp. | 2,755,281 | ||||||
70,498 | Terex Corp. | 3,051,858 | ||||||
|
| |||||||
Total Machinery | 10,670,222 | |||||||
|
| |||||||
Metals & Mining (4.3%) | ||||||||
56,271 | Allegheny Technologies, Inc. | 2,318,365 | ||||||
127,507 | Commercial Metals Co. | 2,448,135 | ||||||
40,840 | Worthington Industries, Inc. | 1,502,912 | ||||||
|
| |||||||
Total Metals & Mining | 6,269,412 | |||||||
|
| |||||||
Multi-Utilities (1.0%) | ||||||||
45,300 | Avista Corp. | 1,456,395 | ||||||
|
| |||||||
Multiline Retail (1.4%) | ||||||||
233,640 | J.C. Penney Co., Inc. (1) | 1,990,613 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.5%) | ||||||||
71,794 | Denbury Resources, Inc. (1) | 1,207,575 | ||||||
28,798 | Murphy Oil Corp. | 1,826,657 | ||||||
18,100 | Newfield Exploration Co. (1) | 612,685 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 3,646,917 | |||||||
|
| |||||||
Personal Products (0.7%) | ||||||||
67,360 | Avon Products, Inc. | 1,029,261 | ||||||
|
| |||||||
Pharmaceuticals (1.2%) | ||||||||
34,170 | Mylan, Inc. (1) | 1,735,153 | ||||||
|
| |||||||
Real Estate Management & Development (1.3%) | ||||||||
16,175 | Jones Lang LaSalle, Inc. | 1,874,521 | ||||||
|
| |||||||
REIT (4.1%) | ||||||||
68,560 | DiamondRock Hospitality Co. | 841,231 | ||||||
41,690 | Geo Group, Inc. (The) | 1,397,866 | ||||||
16,775 | Health Care REIT, Inc. | 1,058,335 | ||||||
77,345 | Kimco Realty Corp. | 1,772,747 | ||||||
24,065 | Liberty Property Trust | 902,438 | ||||||
|
| |||||||
Total REIT | 5,972,617 | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (5.9%) | ||||||||
47,482 | Broadcom Corp. | 1,462,921 | ||||||
87,700 | Freescale Semiconductor, Ltd. (1) | 1,926,769 | ||||||
32,610 | Lam Research Corp. (1) | 1,878,662 | ||||||
60,846 | Maxim Integrated Products, Inc. | 1,973,844 | ||||||
79,300 | Teradyne, Inc. (1) | 1,401,231 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 8,643,427 | |||||||
|
|
See accompanying notes to financial statements.
46
Table of Contents
TCW Value Opportunities Fund
April 30, 2014 |
Number of Shares | Common Stock | Value | ||||||
Software (0.4%) | ||||||||
30,300 | Activision Blizzard, Inc. | $ | 606,303 | |||||
|
| |||||||
Specialty Retail (2.9%) | ||||||||
17,435 | Asbury Automotive Group, Inc. (1) | 1,076,437 | ||||||
21,310 | Children’s Place Retail Stores, Inc. (The) (1) | 1,022,880 | ||||||
55,600 | Gap, Inc. (The) | 2,185,080 | ||||||
|
| |||||||
Total Specialty Retail | 4,284,397 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (6.2%) | ||||||||
70,955 | Seagate Technology PLC (Netherlands) | 3,730,814 | ||||||
60,391 | Western Digital Corp. | 5,322,259 | ||||||
|
| |||||||
Total Technology Hardware, Storage & Peripherals | 9,053,073 | |||||||
|
| |||||||
Thrifts & Mortgage Finance (2.5%) | ||||||||
75,755 | EverBank Financial Corp. | 1,418,134 | ||||||
Thrifts & Mortgage Finance (Continued) | ||||||||
246,225 | First Niagara Financial Group, Inc. | 2,196,327 | ||||||
|
| |||||||
Total Thrifts & Mortgage Finance | 3,614,461 | |||||||
|
| |||||||
Total Common Stock (Cost: $101,114,797) (98.0%) | 143,448,567 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $3,460,622) (2.4%) | ||||||||
$ | 3,460,622 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $3,800,000 Federal Home Loan Mortgage Corp., 2.08%, due 10/17/22, valued at $3,531,192) (Total Amount to be Received Upon Repurchase $3,460,622) | 3,460,622 | |||||
|
| |||||||
Total Investments (Cost: $104,575,419) (100.4%) | 146,909,189 | |||||||
Liabilities in Excess of Other Assets (-0.4%) | (544,898 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 146,364,291 | ||||||
|
|
Notes to the Schedule of Investments:
REIT - Real | Estate Investment Trust. |
(1) | Non-income producing security. |
See accompanying notes to financial statements.
47
Table of Contents
TCW Value Opportunities Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.4 | % | ||
Airlines | 1.2 | |||
Auto Components | 3.5 | |||
Banks | 6.7 | |||
Capital Markets | 2.5 | |||
Chemicals | 2.6 | |||
Communications Equipment | 2.0 | |||
Construction & Engineering | 1.8 | |||
Construction Materials | 1.2 | |||
Consumer Finance | 1.4 | |||
Containers & Packaging | 2.0 | |||
Diversified Telecommunication Services | 0.7 | |||
Electric Utilities | 0.4 | |||
Energy Equipment & Services | 4.0 | |||
Food Products | 2.7 | |||
Health Care Equipment & Supplies | 2.1 | |||
Health Care Providers & Services | 3.3 | |||
Hotels, Restaurants & Leisure | 2.7 | |||
Household Durables | 5.8 | |||
Independent Power and Renewable Electricity Producers | 1.3 | |||
Insurance | 6.0 | |||
Machinery | 7.3 | |||
Metals & Mining | 4.3 | |||
Multi-Utilities | 1.0 | |||
Multiline Retail | 1.4 | |||
Oil, Gas & Consumable Fuels | 2.5 | |||
Personal Products | 0.7 | |||
Pharmaceuticals | 1.2 | |||
Real Estate Management & Development | 1.3 | |||
REIT | 4.1 | |||
Semiconductors & Semiconductor Equipment | 5.9 | |||
Software | 0.4 | |||
Specialty Retail | 2.9 | |||
Technology Hardware, Storage & Peripherals | 6.2 | |||
Thrifts & Mortgage Finance | 2.5 | |||
Short-Term Investments | 2.4 | |||
|
| |||
Total | 100.4 | % | ||
|
|
See accompanying notes to financial statements.
48
Table of Contents
TCW Funds, Inc.
April 30, 2014 |
TCW Concentrated Value Fund | TCW Conservative Allocation Fund | TCW Growth Fund | TCW Growth Equities Fund | TCW Relative Value Dividend Appreciation Fund (1) | ||||||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||||||
ASSETS | ||||||||||||||||||||
Investments, at Value (2) | $ | 9,026 | $ | 1,309 | $ | 2,585 | $ | 28,360 | $ | 1,160,579 | ||||||||||
Investment in Affiliated Issuers, at Value | — | 30,905 | (3) | — | — | — | ||||||||||||||
Cash | — | 661 | — | — | — | |||||||||||||||
Receivable for Securities Sold | — | — | 17 | 30 | 2,344 | |||||||||||||||
Receivable for Fund Shares Sold | 224 | — | — | 1 | 1,107 | |||||||||||||||
Interest and Dividends Receivable | 10 | 15 | 1 | 7 | 460 | |||||||||||||||
Foreign Tax Reclaims Receivable | 1 | — | — | (4) | — | — | ||||||||||||||
Receivable from Investment Advisor | 7 | 2 | 9 | 8 | — | |||||||||||||||
Other Assets | 14 | 17 | 15 | 11 | 44 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 9,282 | 32,909 | 2,627 | 28,417 | 1,164,534 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES | ||||||||||||||||||||
Payable for Securities Purchased | — | 26 | 18 | — | 627 | |||||||||||||||
Payable for Fund Shares Redeemed | — | (4) | — | — | 10 | 868 | ||||||||||||||
Accrued Directors’ Fees and Expenses | 10 | 10 | 10 | 10 | 10 | |||||||||||||||
Accrued Compliance Expense | — | (4) | — | (4) | — | (4) | — | (4) | 7 | |||||||||||
Accrued Management Fees | 5 | — | 2 | 24 | 710 | |||||||||||||||
Accrued Distribution Fees | — | (4) | — | (4) | — | (4) | 1 | 200 | ||||||||||||
Other Accrued Expenses | 30 | 19 | 17 | 43 | 233 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 45 | 55 | 47 | 88 | 2,655 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 9,237 | $ | 32,854 | $ | 2,580 | $ | 28,329 | $ | 1,161,879 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||||||
Paid-in Capital | $ | 16,000 | $ | 30,082 | $ | 3,669 | $ | 19,910 | $ | 1,085,290 | ||||||||||
Accumulated Net Realized Gain (Loss) on Investments | (8,922 | ) | 252 | (1,610 | ) | 1,812 | (199,341 | ) | ||||||||||||
Unrealized Appreciation of Investments | 2,148 | 2,534 | 530 | 6,689 | 275,187 | |||||||||||||||
Undistributed Net Investment Income (Loss) | 11 | (14 | ) | (9 | ) | (82 | ) | 743 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 9,237 | $ | 32,854 | $ | 2,580 | $ | 28,329 | $ | 1,161,879 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||||||
I Class Share | $ | 8,414 | $ | 31,948 | $ | 2,403 | $ | 22,349 | $ | 180,159 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 823 | $ | 906 | $ | 177 | $ | 5,980 | $ | 981,720 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
CAPITAL SHARES OUTSTANDING: (5) | ||||||||||||||||||||
I Class Share | 469,806 | 2,734,195 | 82,424 | 1,833,779 | 11,243,762 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | 46,438 | 77,719 | 6,073 | 493,748 | 60,249,056 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSET VALUE PER SHARE: (6) | ||||||||||||||||||||
I Class Share | $ | 17.91 | $ | 11.68 | $ | 29.15 | $ | 12.19 | $ | 16.02 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 17.72 | $ | 11.65 | $ | 29.17 | $ | 12.11 | $ | 16.29 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Formerly TCW Dividend Focused Fund. |
(2) | The identified cost for the TCW Concentrated Value Fund, the TCW Conservative Allocation Fund, the TCW Growth Fund, the TCW Growth Equities Fund and the TCW Relative Value Dividend Appreciation Fund at April 30, 2014 was $6,878, $1,612, $2,055, $21,671 and $885,392, respectively. |
(3) | The identified cost for investments in affiliated issuers for the TCW Conservative Allocation Fund was $28,068. |
(4) | Amount rounds to less than $1. |
(5) | The number of authorized shares, with a par value of $0.001 per share, for the TCW Concentrated Value Fund, the TCW Conservative Allocation Fund, the TCW Growth Fund and the TCW Relative Value Dividend Appreciation Fund is 2,000,000,000 for each of the I Class and N Class shares, and the TCW Growth Equities Fund is 4,000,000,000 for each of the I Class and N Class shares. |
(6) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
49
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2014 |
TCW Relative Value Large Cap Fund | TCW Select Equities Fund | TCW Small Cap Growth Fund | TCW SMID Cap Growth Fund | TCW Value Opportunities Fund | ||||||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||||||
ASSETS | ||||||||||||||||||||
Investments, at Value (1) | $ | 718,386 | $ | 1,773,969 | $ | 185,539 | $ | 54,065 | $ | 146,909 | ||||||||||
Receivable for Securities Sold | 701 | 28,075 | 281 | 50 | — | |||||||||||||||
Receivable for Fund Shares Sold | 1,955 | 4,397 | 93 | — | 214 | |||||||||||||||
Interest and Dividends Receivable | 304 | 385 | — | 5 | 18 | |||||||||||||||
Receivable from Investment Advisor | — | — | 32 | 7 | 2 | |||||||||||||||
Other Assets | 28 | 37 | 23 | 16 | 18 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 721,374 | 1,806,863 | 185,968 | 54,143 | 147,161 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES | ||||||||||||||||||||
Payable for Securities Purchased | 1,309 | 31,250 | — | — | 421 | |||||||||||||||
Payable for Fund Shares Redeemed | 273 | 2,408 | 431 | — | 213 | |||||||||||||||
Accrued Directors’ Fees and Expenses | 10 | 10 | 10 | 10 | 10 | |||||||||||||||
Accrued Compliance Expense | — | 2 | 2 | — | (2) | — | (2) | |||||||||||||
Accrued Management Fees | 433 | 1,101 | 161 | 46 | 96 | |||||||||||||||
Accrued Distribution Fees | 17 | 76 | 15 | 5 | 8 | |||||||||||||||
Other Accrued Expenses | 195 | 215 | 144 | 35 | 49 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 2,237 | 35,062 | 763 | 96 | 797 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 719,137 | $ | 1,771,801 | $ | 185,205 | $ | 54,047 | $ | 146,364 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||||||
Paid-in Capital | $ | 522,995 | $ | 1,237,690 | $ | 123,118 | $ | 47,237 | $ | 106,292 | ||||||||||
Accumulated Net Realized Gain (Loss) on Investments | (44,181 | ) | 45,404 | 36,087 | (2,062 | ) | (2,105 | ) | ||||||||||||
Unrealized Appreciation of Investments | 238,683 | 490,657 | 30,154 | 9,422 | 42,334 | |||||||||||||||
Undistributed Net Investment Income (Loss) | 1,640 | (1,950 | ) | (4,154 | ) | (550 | ) | (157 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 719,137 | $ | 1,771,801 | $ | 185,205 | $ | 54,047 | $ | 146,364 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||||||
I Class Share | $ | 630,123 | $ | 1,410,263 | $ | 115,928 | $ | 31,794 | $ | 106,284 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 89,014 | $ | 361,538 | $ | 69,277 | $ | 22,253 | $ | 40,080 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
CAPITAL SHARES OUTSTANDING: (3) | ||||||||||||||||||||
I Class Share | 29,900,093 | 58,345,658 | 3,841,775 | 2,283,157 | 4,034,962 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | 4,228,755 | 15,795,215 | 2,427,011 | 1,597,794 | 1,551,130 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSET VALUE PER SHARE: (4) | ||||||||||||||||||||
I Class Share | $ | 21.07 | $ | 24.17 | $ | 30.18 | $ | 13.93 | $ | 26.34 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 21.05 | $ | 22.89 | $ | 28.54 | $ | 13.93 | $ | 25.84 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Relative Value Large Cap Fund, the TCW Select Equities Fund, the TCW Small Cap Growth Fund, the TCW SMID Cap Growth Fund and the TCW Value Opportunities Fund at April 30, 2014 was $479,703, $1,283,312, $155,385, $44,643 and $104,575, respectively. |
(2) | Amount rounds to less than $1. |
(3) | The number of authorized shares, with a par value of $0.001 per share, for the TCW Relative Value Large Cap Fund is 2,000,000,000 for each of the I Class and the N Class shares, for the TCW Select Equities Fund is 3,667,000,000 for each of the I Class and N Class shares, for the TCW Small Cap Growth Fund is 1,666,000,000 for each of the I Class and N Class shares, for the TCW SMID Cap Growth Fund is 2,000,000,000 for each of the I Class and N Class shares and for the TCW Value Opportunities Fund is 4,000,000,000 for each of the I Class and N Class shares. |
(4) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
50
Table of Contents
TCW Funds, Inc.
Six Months Ended April 30, 2014 |
TCW Concentrated Value Fund | TCW Conservative Allocation Fund | TCW Growth Fund | TCW Growth Equities Fund | TCW Relative Value Dividend Appreciation Fund (1) | ||||||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||
Income: | ||||||||||||||||||||
Dividends | $ | 73 | (2) | $ | — | (3) | $ | 9 | (2) | $ | 97 | (2) | $ | 13,112 | ||||||
Dividends from Investment in Affiliated Issuers | — | 220 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 73 | 220 | 9 | 97 | 13,112 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: | ||||||||||||||||||||
Management Fees | 28 | — | 10 | 147 | 4,181 | |||||||||||||||
Accounting Services Fees | 1 | 3 | 1 | 2 | 53 | |||||||||||||||
Administration Fees | 2 | 5 | 4 | 6 | 53 | |||||||||||||||
Transfer Agent Fees: | ||||||||||||||||||||
I Class | 5 | 5 | 4 | 9 | 34 | |||||||||||||||
N Class | 4 | 4 | 4 | 8 | 355 | |||||||||||||||
Custodian Fees | 4 | 2 | 7 | 7 | 10 | |||||||||||||||
Professional Fees | 13 | 8 | 10 | 14 | 19 | |||||||||||||||
Directors’ Fees and Expenses | 10 | 10 | 10 | 10 | 10 | |||||||||||||||
Registration Fees: | ||||||||||||||||||||
I Class | 6 | 9 | 8 | 6 | 13 | |||||||||||||||
N Class | 8 | 9 | 10 | 5 | 30 | |||||||||||||||
Distribution Fees: | ||||||||||||||||||||
N Class | 1 | 1 | — | (3) | 8 | 1,168 | ||||||||||||||
Compliance Expense | — | (3) | — | (3) | — | (3) | 1 | 11 | ||||||||||||
Shareholder Reporting Expense | 1 | 3 | 1 | 3 | 4 | |||||||||||||||
Other | 3 | 3 | 2 | 5 | 64 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 86 | 62 | 71 | 231 | 6,005 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||||||
I Class | 23 | — | 42 | 29 | — | |||||||||||||||
N Class | 15 | 12 | 16 | 25 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 48 | 50 | 13 | 177 | 6,005 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | 25 | 170 | (4 | ) | (80 | ) | 7,107 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Investments | 590 | (4 | ) | 79 | 1,983 | 35,817 | ||||||||||||||
Investments in Affiliated Issuers | — | (23 | ) | — | — | — | ||||||||||||||
Realized Gain Distributed from | ||||||||||||||||||||
Affiliated Issuers | — | 615 | — | — | — | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||
Investments | 402 | (55 | ) | (13) | (2,059 | ) | 30,596 | |||||||||||||
Investments in Affiliated Issuers | — | (145 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 992 | 388 | 66 | (76 | ) | 66,413 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,017 | $ | 558 | $ | 62 | $ (156) | $ | 73,520 | |||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Formerly TCW Dividend Focused Fund. |
(2) | Net of foreign taxes withheld of $1, $0 and $1 for the TCW Concentrated Value Fund, the TCW Growth Fund and the TCW Growth Equities Fund, respectively. |
(3) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
51
Table of Contents
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2014 |
TCW Relative Value Large Cap Fund | TCW Select Equities Fund | TCW Small Cap Growth Fund | TCW SMID Cap Growth Fund | TCW Value Opportunities Fund | ||||||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||
Income: | ||||||||||||||||||||
Dividends | $ | 6,123 | $ | 5,940 | (1) | $ | 326 | $ | 134 | (1) | $ | 1,069 | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 6,123 | 5,940 | 326 | 134 | 1,069 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: | ||||||||||||||||||||
Management Fees | 2,488 | 6,571 | 1,182 | 287 | 578 | |||||||||||||||
Accounting Services Fees | 25 | 83 | 14 | 4 | 9 | |||||||||||||||
Administration Fees | 43 | 80 | 25 | 7 | 12 | |||||||||||||||
Transfer Agent Fees: | ||||||||||||||||||||
I Class | 198 | 339 | 64 | 4 | 20 | |||||||||||||||
N Class | 18 | 127 | 40 | 4 | 15 | |||||||||||||||
Custodian Fees | 9 | 14 | 20 | 6 | 5 | |||||||||||||||
Professional Fees | 18 | 23 | 17 | 14 | 15 | |||||||||||||||
Directors’ Fees and Expenses | 11 | 10 | 10 | 10 | 10 | |||||||||||||||
Registration Fees: | ||||||||||||||||||||
I Class | 29 | 16 | 7 | 8 | 9 | |||||||||||||||
N Class | 12 | 9 | 6 | 8 | 9 | |||||||||||||||
Distribution Fees: | ||||||||||||||||||||
N Class | 98 | 480 | 117 | 30 | 48 | |||||||||||||||
Compliance Expense | 7 | 16 | 6 | 1 | 2 | |||||||||||||||
Shareholder Reporting Expense | 4 | 4 | 4 | 1 | 3 | |||||||||||||||
Other | 80 | 100 | 68 | 4 | 13 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 3,040 | 7,872 | 1,580 | 388 | 748 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||||||
I Class | — | — | — | 6 | — | |||||||||||||||
N Class | — | — | 32 | 38 | 12 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 3,040 | 7,872 | 1,548 | 344 | 736 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | 3,083 | (1,932 | ) | (1,222 | ) | (210 | ) | 333 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net Realized Gain on: | ||||||||||||||||||||
Investments | 15,927 | 47,273 | 38,557 | 2,521 | 12,994 | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||
Investments | 41,609 | (41,663 | ) | (35,635 | ) | (3,965 | ) | 373 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 57,536 | 5,610 | 2,922 | (1,444 | ) | 13,367 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 60,619 | $ | 3,678 | $ | 1,700 | $ | (1,654 | ) | $ | 13,700 | |||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $24 and $1 for the TCW Select Equities Fund and the TCW SMID Cap Growth Fund, respectively. |
See accompanying notes to financial statements.
52
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Concentrated Value Fund | TCW Conservative Allocation Fund | |||||||||||||||
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 25 | $ | 44 | $ | 170 | $ | 440 | ||||||||
Net Realized Gain (Loss) on Investments | 590 | 500 | 588 | (122 | ) | |||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | 402 | 1,645 | (200 | ) | 1,646 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 1,017 | 2,189 | 558 | 1,964 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (36 | ) | (62 | ) | (513 | ) | (386 | ) | ||||||||
N Class | (4 | ) | (10 | ) | (13 | ) | (18 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (40 | ) | (72 | ) | (526 | ) | (404 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (94 | ) | (1,263 | ) | 4,800 | 10,913 | ||||||||||
N Class | (195 | ) | (173 | ) | (146 | ) | 175 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (289 | ) | (1,436 | ) | 4,654 | 11,088 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets | 688 | 681 | 4,686 | 12,648 | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 8,549 | 7,868 | 28,168 | 15,520 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 9,237 | $ | 8,549 | $ | 32,854 | $ | 28,168 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | 11 | $ | 26 | $ | (14 | ) | $ | 342 |
See accompanying notes to financial statements.
53
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Growth Fund | TCW Growth Equities Fund | |||||||||||||||
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income (Loss) | $ | (4 | ) | $ | 2 | $ | (80 | ) | $ | (174 | ) | |||||
Net Realized Gain on Investments | 79 | 69 | 1,983 | 16,999 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | (13 | ) | 485 | (2,059 | ) | (2,034 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 62 | 556 | (156 | ) | 14,791 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | — | — | — | (79 | ) | |||||||||||
N Class | — | — | — | (17 | ) | |||||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (8,090 | ) | (718 | ) | ||||||||||
N Class | — | — | (2,308 | ) | (122 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | — | — | (10,398 | ) | (936 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (2 | ) | (168 | ) | 6,689 | (54,698 | ) | |||||||||
N Class | (2 | ) | 65 | 1,937 | (5,716 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (4 | ) | (103 | ) | 8,626 | (60,414 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 58 | 453 | (1,928 | ) | (46,559 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 2,522 | 2,069 | 30,257 | 76,816 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 2,580 | $ | 2,522 | $ | 28,329 | $ | 30,257 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Loss | $ | (9 | ) | $ | (5 | ) | $ | (82 | ) | $ | (2 | ) |
See accompanying notes to financial statements.
54
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Relative Value Dividend Appreciation Fund (1) | TCW Relative Value Large Cap Fund | |||||||||||||||
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 7,107 | $ | 14,176 | $ | 3,083 | $ | 8,926 | ||||||||
Net Realized Gain on Investments | 35,817 | 38,037 | 15,927 | 77,349 | ||||||||||||
Change in Unrealized Appreciation on Investments | 30,596 | 170,206 | 41,609 | 128,586 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 73,520 | 222,419 | 60,619 | 214,861 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (1,492 | ) | (2,516 | ) | (6,862 | ) | (8,071 | ) | ||||||||
N Class | (4,870 | ) | (11,043 | ) | (802 | ) | (416 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (6,362 | ) | (13,559 | ) | (7,664 | ) | (8,487 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (6,619 | ) | 45,079 | 39,896 | (388,837 | ) | ||||||||||
N Class | 37,679 | 108,538 | 7,167 | 9,374 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 31,060 | 153,617 | 47,063 | (379,463 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 98,218 | 362,477 | 100,018 | (173,089 | ) | |||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 1,063,661 | 701,184 | 619,119 | 792,208 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 1,161,879 | $ | 1,063,661 | $ | 719,137 | $ | 619,119 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | 743 | $ | (2 | ) | $ | 1,640 | $ | 6,221 |
(1) | Formerly TCW Dividend Focused Fund. |
See accompanying notes to financial statements.
55
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Select Equities Fund | TCW Small Cap Growth Fund | |||||||||||||||
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income (Loss) | $ | (1,932 | ) | $ | 1,233 | $ | (1,222 | ) | $ | (3,552 | ) | |||||
Net Realized Gain on Investments | 47,273 | 64,980 | 38,557 | 137,879 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | (41,663 | ) | 274,030 | (35,635 | ) | (34,758 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 3,678 | 340,243 | 1,700 | 99,569 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (79 | ) | (1,995 | ) | — | — | ||||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (42,602 | ) | (12,225 | ) | (20,780 | ) | — | |||||||||
N Class | (13,105 | ) | (4,348 | ) | (17,176 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (55,786 | ) | (18,568 | ) | (37,956 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 125,667 | 277,264 | (28,492 | ) | (727,041 | ) | ||||||||||
N Class | (5,393 | ) | 9,724 | (36,333 | ) | (100,922 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 120,274 | 286,988 | (64,825 | ) | (827,963 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 68,166 | 608,663 | (101,081 | ) | (728,394 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 1,703,635 | 1,094,972 | 286,286 | 1,014,680 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 1,771,801 | $ | 1,703,635 | $ | 185,205 | $ | 286,286 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | (1,950 | ) | $ | 61 | $ | (4,154 | ) | $ | (2,932 | ) |
See accompanying notes to financial statements.
56
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW SMID Cap Growth Fund | TCW Value Opportunities Fund | |||||||||||||||
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income (Loss) | $ | (210 | ) | $ | (327 | ) | $ | 333 | $ | 874 | ||||||
Net Realized Gain on Investments | 2,521 | 3,994 | 12,994 | 15,640 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | (3,965 | ) | 11,658 | 373 | 23,937 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (1,654 | ) | 15,325 | 13,700 | 40,451 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | — | — | (520 | ) | (784 | ) | ||||||||||
N Class | — | — | (98 | ) | (184 | ) | ||||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (9,698 | ) | (54 | ) | ||||||||||
N Class | — | — | (3,696 | ) | (18 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | — | — | (14,012 | ) | (1,040 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 1,596 | 368 | (11,770 | ) | (7,270 | ) | ||||||||||
N Class | (56 | ) | (732 | ) | 3,433 | (5,118 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 1,540 | (364 | ) | (8,337 | ) | (12,388 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (114 | ) | 14,961 | (8,649 | ) | 27,023 | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 54,161 | 39,200 | 155,013 | 127,990 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 54,047 | $ | 54,161 | $ | 146,364 | $ | 155,013 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | (550 | ) | $ | (340 | ) | $ | (157 | ) | $ | 128 |
See accompanying notes to financial statements.
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TCW Funds, Inc.
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), that currently offers 21 no-load mutual funds (the “Funds”). TCW Investment Management Company (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisors Act of 1940. Each Fund has distinct investment objectives. The following are the objectives for the 10 U.S Equities Funds that are covered in this report:
TCW Fund | Investment Objective | |
Diversified U.S. Equity Funds | ||
TCW Concentrated Value Fund | Seeks long-term capital appreciation by investing in equity securities of 25 to 40 large capitalization companies. | |
TCW Growth Fund | Seeks long-term capital appreciation by investing primarily in equity securities issued by companies with market capitalization within the range of companies comprising the Russell 3000® Growth Index. | |
TCW Growth Equities Fund | Seeks long-term capital appreciation by investing primarily in equity securities of issued by companies with market capitalization within the range of companies comprising the Russell Mid Cap® Growth Index. | |
TCW Relative Value Dividend Appreciation Fund (formerly TCW Dividend Focused Fund) | Seeks high level of dividend income by investing in equity securities issued by companies that have a record of paying dividends. | |
TCW Relative Value Large Cap Fund | Seeks capital appreciation by investing in equity securities of large capitalization companies; current income is a secondary investment objective. | |
TCW Select Equities Fund | Seek long-term capital appreciation by investing in equity securities of mid and large capitalization companies. | |
TCW Small Cap Growth Fund | Seeks long-term capital appreciation by investing in equity securities issued by small capitalization growth companies. | |
TCW SMID Cap Growth Fund | Seeks long-term capital appreciation by investing primarily in equity securities issued by companies with market capitalization within the range of companies comprising the Russell 2500® Growth Index. |
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TCW Funds, Inc.
April 30, 2014 |
Note 1 — Organization (Continued)
TCW Fund | Investment Objective | |
TCW Value Opportunities Fund | Seeks long-term capital appreciation by investing primarily in equity securities issued by companies with market capitalization within the ranges of companies comprising the Russell Mid Cap® Value Index. | |
Fund of Funds | ||
TCW Conservative Allocation Fund | Seeks current income and secondarily, long-term capital appreciation by investing in a combination of fixed income funds and equity funds that utilize diverse investment styles such as growth and/or value investing. The Fund invests between 20% and 60% of its net assets in equity funds and between 40% and 80% in fixed income funds. The Fund also invests in ETFs and ETNs. |
All Funds offer two classes of shares: I Class and N Class. The Classes are substantially the same except that the N Class shares are subject to a distribution fee.
Effective March 1, 2014, the name of the TCW Dividend Focused Fund changed to TCW Relative Value Dividend Appreciation Fund. There is no change in the investment objective.
The TCW Conservative Allocation Fund invests in the affiliated TCW Funds and Metropolitan West Funds.
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies which are in conformity with accounting principles generally accepted in the United States of America and which are consistently followed by the Funds in the preparation of their financial statements.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Net Asset Value: The Net Asset Value of each Fund’s shares is determined by dividing the net assets attributable to each class by the number of shares issued and outstanding of that class on each business day as of 1:00 p.m. Pacific Time.
Security Valuations: Securities listed or traded on the New York and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market are valued using official closing prices as reported by NASDAQ. All other securities for which over-the-counter (“OTC”) market quotations are readily available are valued with prices furnished by independent pricing services or by broker dealers. Exchange traded derivatives are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options, swaps and futures. Over-the counter options are valued using dealer quotations. Open-end mutual funds held in the TCW Conservative Allocation Fund are valued based on the net asset value per share of the mutual fund.
The value of short-term debt securities held in the Funds with remaining maturities of 60 days or less at the time of purchase is determined by using the amortized cost method applied to each individual security which approximates market value. Other short-term debt securities are valued on marked-to-market basis until such time as they reach a remaining maturity of 60 days, where upon they are valued at amortized value using their value on the 61st day prior to maturity.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 2 — Significant Accounting Policies (Continued)
Securities for which market quotations are not readily available, including circumstances under which it is determined by the Advisor that sale or bid prices are not reflective of a security’s market value, are valued at their fair value as determined in good faith under procedures established by and under the general supervision of Company’s Board of Directors.
Fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under the accounting principles generally accepted in the United States of America (“GAAP”), the Funds disclose investments in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
Level 1 — | quoted prices in active markets for identical investments | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
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TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
Fair Value Measurements: A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are generally categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are generally categorized in Level 2 of the fair value hierarchy; if a discount is applied and significant, they are categorized in Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable.
Exchange-traded funds. Exchange-traded funds are generally valued based on quoted prices from the applicable exchange. They are categorized in Level 1 of the fair value hierarchy.
Mutual Funds. Open-end mutual funds are valued based upon the net asset value as reported by the fund companies. As such, they are categorized in Level 1.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
Short-term investments. Short-term investments maturing within 60 days are valued using amortized cost, which is used if it approximates market value, and are reflected in Level 2.
As of April 30, 2014, the Funds categorized their equity securities at Level 1, with the corresponding industries as represented in the Schedule of Investments, and all short-term investments at Level 2.
The Funds held no investments or other financial instruments at April 30, 2014, whose fair value was calculated using Level 3 inputs.
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification. Dividends received from real estate investment trust securities may include return of capital. Such distributions reduce the cost basis of those investments. Dividend received, if any, in excess of the cost basis of a security is recognized as capital gain.
When-Issued, Delayed-Delivery and Forward Commitment Transactions: The Funds, with the exception of the TCW Conservative Allocation Fund, may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of each Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 2 — Significant Accounting Policies (Continued)
Prior to settlement of these transactions, the value of the subject securities will fluctuate with market conditions. In addition, because the Fund is not required to pay for when-issued, delayed-delivery or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not maintain liquid assets equal to the face amount of the contract. To guard against the deemed leverage, the Fund segregates cash or securities in the amount or value at least equal to the amount of these transactions.
Repurchase Agreements: The Funds may enter into Repurchase Agreements, under the terms of Master Repurchase Agreements (“MRA”). The MRA permits each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Funds receive securities as collateral with a market value in excess of the repurchase price to be received by the Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund recognizes a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty. Repurchase agreements outstanding at the end of the period are listed in each Fund’s Schedule of Investments. The following table presents the net amounts available for offset under the MRA and net of the related collateral received by the Funds as of April 30, 2014 (in thousands):
Fund Name | Counterparty | Gross Asset Subject to Master Agreement | Collateral Received (1) | Asset/ (Liabilities) Available for Offset | Net Amount of Asset (2) | |||||||||||||
TCW Concentrated Value Fund | State Street Bank & Trust Co. | $ | 121 | $ | (121 | ) | $ — | $ — | ||||||||||
TCW Growth Fund | State Street Bank & Trust Co. | 110 | (110 | ) | — | — | ||||||||||||
TCW Growth Equities Fund | State Street Bank & Trust Co. | 688 | (688 | ) | — | — | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | State Street Bank & Trust Co. | 21,314 | (21,314 | ) | — | — | ||||||||||||
TCW Relative Value Large Cap Fund | State Street Bank & Trust Co. | 27,629 | (27,629 | ) | — | — | ||||||||||||
TCW Select Equities Fund | State Street Bank & Trust Co. | 39,042 | (39,042 | ) | — | — | ||||||||||||
TCW Small Cap Growth Fund | State Street Bank & Trust Co. | 6,659 | (6,659 | ) | — | — | ||||||||||||
TCW SMID Cap Growth Fund | State Street Bank & Trust Co. | 1,636 | (1,636 | ) | — | — | ||||||||||||
TCW Value Opportunities Fund | State Street Bank & Trust Co. | 3,461 | (3,461 | ) | — | — |
(1) | Excess collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
(2) | Represents the net amount receivable from the counterparty in the event of default. |
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TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
The following table shows the full value of the collateral received by the Funds (in thousands):
Fund Name | Collateral Value | |||
TCW Concentrated Value Fund | $ | 125 | ||
TCW Growth Fund | 116 | |||
TCW Growth Equities Fund | 706 | |||
TCW Relative Value Dividend Appreciation Fund | 21,743 | |||
TCW Relative Value Large Cap Fund | 28,182 | |||
TCW Select Equities Fund | 39,827 | |||
TCW Small Cap Growth Fund | 6,793 | |||
TCW SMID Cap Growth Fund | 1,673 | |||
TCW Value Opportunities Fund | 3,531 |
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the six months ended April 30, 2014.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the classes of shares of the Funds based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of the class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class specific fees and expenses will result in differences in net investment income, and therefore, the payment of dividends may differ between classes.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Relative Value Dividend Appreciation Fund declares and pays, or reinvests, dividends from net investment income quarterly. The other Equity Funds and TCW Conservative Allocation Fund declare and pay, or reinvest, dividends from net investment income annually. Capital gains realized by a Fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for foreign currency transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax basis differences which will reverse in a subsequent period. Any taxable income or capital gain remaining at fiscal year-end is distributed in the following year. Dividends received from real estate investment trust securities may include return of capital. Such distributions reduce the cost basis of the respective securities. Distributions, if any, in excess of the cost basis of the security are recognized as capital gain.
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Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 2 — Significant Accounting Policies (Continued)
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Note 3 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of the Funds’ investment portfolio, the greater the change in value.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower-rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties.
The exposure to credit and counterparty risks with respect to these financial assets is reflected in fair value recorded in the Funds’ Statements of Assets and Liabilities.
For complete information on the various risks involved, please refer to the Funds’ prospectus and the Statement of Additional Information which can be obtained on the Funds’ website (www.tcw.com) or by calling the customer service.
Note 4 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
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Table of Contents
TCW Funds, Inc.
April 30, 2014
Note 4 — Federal Income Taxes (Continued)
At April 30, 2014, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows (amounts in thousands):
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Concentrated Value Fund | $ | 2,156 | $ | (9 | ) | $ | 2,147 | $ | 6,879 | |||||||
TCW Conservative Allocation Fund | 3,112 | (616 | ) | 2,496 | 29,718 | |||||||||||
TCW Growth Fund | 571 | (47 | ) | 524 | 2,061 | |||||||||||
TCW Growth Equities Fund | 6,978 | (418 | ) | 6,560 | 21,800 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | 292,529 | (15,902 | ) | 276,627 | 883,952 | |||||||||||
TCW Relative Value Large Cap Fund | 236,939 | (433 | ) | 236,506 | 481,880 | |||||||||||
TCW Select Equities Fund | 506,510 | (17,361 | ) | 489,149 | 1,284,820 | |||||||||||
TCW Small Cap Growth Fund | 37,773 | (8,559 | ) | 29,214 | 156,325 | |||||||||||
TCW SMID Cap Value Fund | 11,072 | (1,985 | ) | 9,087 | 44,978 | |||||||||||
TCW Value Opportunities Fund | 41,957 | (1,009 | ) | 40,948 | 105,961 |
The Funds did not have any unrecognized tax benefits at April 30, 2014, nor were there any increases or decreases in unrecognized tax benefits for the six months ended April 30, 2014. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
At October 31, 2013, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Concentrated Value Fund | $ | 27 | $ | — | $ | 27 | ||||||
TCW Conservative Allocation Fund | 344 | — | 344 | |||||||||
TCW Growth Equities Fund | 2,262 | 8,135 | 10,397 | |||||||||
TCW Relative Value Large Cap Fund | 6,223 | — | 6,223 | |||||||||
TCW Select Equities Fund | 1,153 | 54,534 | 55,687 | |||||||||
TCW Small Cap Growth Fund | — | 37,955 | 37,955 | |||||||||
TCW Value Opportunities Fund | 574 | 12,814 | 13,388 |
For the year ended October 31, 2013, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Concentrated Value Fund | $ | 72 | $ | — | $ | 72 | ||||||
TCW Conservative Allocation Fund | 404 | — | 404 | |||||||||
TCW Growth Equities Fund | 936 | — | 936 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 13,559 | — | 13,559 | |||||||||
TCW Relative Value Large Cap Fund | 8,487 | — | 8,487 | |||||||||
TCW Select Equities Fund | 1,995 | 16,573 | 18,568 | |||||||||
TCW Value Opportunities Fund | 968 | 72 | 1,040 |
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 4 — Federal Income Taxes (Continued)
At October 31, 2013, the following Funds had net realized loss carryforwards for federal income tax purposes (amounts in thousands):
Expiring In | ||||||||||||||||
2015 | 2016 | 2017 | 2019 | |||||||||||||
TCW Concentrated Value Fund | $ | — | $ | — | $ | 9,511 | $ | — | ||||||||
TCW Relative Value Dividend Appreciation Fund | — | 37,347 | 199,251 | — | ||||||||||||
TCW Relative Value Large Cap Fund | — | — | 56,889 | — | ||||||||||||
TCW Select Equities Fund (1) | — | 387 | — | — | ||||||||||||
TCW SMID Cap Growth Fund | — | — | — | 2,116 | ||||||||||||
TCW Value Opportunities Fund (1) | 7,220 | 6,075 | — | — |
(1) | Utilization of the loss is subject to limitations under Section 382 of the Internal Revenue Code. |
Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in the pre-enactment taxable years. As a result of the ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
Therefore, in addition to the above table, the following Funds had additional net realized losses at October 31, 2013, that will be carried forward indefinitely for federal income tax purposes (amounts in thousands):
Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Conservative Allocation Fund | $ | 320 | $ | — | $ | 320 | ||||||
TCW Growth Fund | 1,107 | 577 | 1,684 | |||||||||
TCW SMID Cap Growth Fund | 2,049 | — | 2,049 |
Note 5 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net asset value:
TCW Concentrated Value Fund | 0.65% | |||
TCW Growth Fund | 0.75% | |||
TCW Growth Equities Fund | 1.00% | |||
TCW Relative Value Dividend Appreciation Fund | 0.75% | |||
TCW Relative Value Large Cap Fund | 0.75% | |||
TCW Select Equities Fund | 0.75% | |||
TCW Small Cap Growth Fund | 1.00% | |||
TCW SMID Cap Growth Fund | 1.00% | |||
TCW Value Opportunities Fund | 0.80% |
The TCW Conservative Allocation Fund does not pay management fees to the Advisor; however, the Fund pays management fees to the Advisor indirectly, as a shareholder in the affiliated funds.
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TCW Funds, Inc.
April 30, 2014
Note 5 — Fund Management Fees and Other Expenses (Continued)
In addition to the management fees, the Funds reimburse, with approval by the Company’s Board of Directors, the Advisor’s costs associated in support of the Funds’ Rule 38a-1 compliance obligations. These amounts are allocated to each Fund based on the management fees paid and are included in the Statements of Operations.
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets:
TCW Concentrated Value Fund | ||||
I Class | 1.13% | (1) | ||
N Class | 1.13% | (1) | ||
TCW Conservative Allocation Fund | ||||
I Class | 0.85% | (1) | ||
N Class | 0.85% | (1) | ||
TCW Growth Fund | ||||
I Class | 0.99% | (1) | ||
N Class | 0.99% | (1) | ||
TCW Growth Equities Fund | ||||
I Class | 1.20% | (1) | ||
N Class | 1.20% | (1) | ||
TCW Relative Value Dividend Appreciation Fund | ||||
I Class | 1.21% | (2) | ||
N Class | 1.21% | (2) | ||
TCW Relative Value Large Cap Fund | ||||
I Class | 1.12% | (2) | ||
N Class | 1.12% | (2) | ||
TCW Select Equities Fund | ||||
I Class | 1.28% | (2) | ||
N Class | 1.28% | (2) | ||
TCW Small Cap Growth Fund | ||||
I Class | 1.41% | (2) | ||
N Class | 1.41% | (2) | ||
TCW SMID Cap Growth Fund | ||||
I Class | 1.20% | (1) | ||
N Class | 1.20% | (1) | ||
TCW Value Opportunities Fund | ||||
I Class | 1.21% | (1) | ||
N Class | 1.21% | (1) |
(1) | These limitations are based on an agreement between the Advisor and the Company for a one-year period. |
(2) | Limitations based on average expense ratio as reported by Lipper, Inc., which is subject to change on a monthly basis. This ratio was in effect as of April 30, 2014. These limitations are voluntary and terminable with six month notice. |
The amount borne by the Advisor during a fiscal year when the operating expenses of a Fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop below the expense limitation in the subsequent years. The Advisor can only recapture expenses within a given fiscal year for that year’s operating expenses.
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which are shown on the Statement of Operations. Directors may elect to defer receipt of their fees in
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 5 — Fund Management Fees and Other Expenses (Continued)
accordance with the terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred are recorded on the Funds’ books as other liabilities. Deferred compensation is included within Directors’ fees and expenses in the Statements of Assets and Liabilities.
Note 6 — Distribution Plan
TCW Funds Distributors (“Distributor”), an affiliate of the Advisor and the Funds, serves as the non-exclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 7 — Transactions with Affiliates
The summary of TCW Conservative Allocation Fund transactions in the affiliated funds for the six months ended April 30, 2014, is as follows:
Name of | Number of Shares Held Beginning of Period | Gross Additions | Gross Reductions | Number of Shares Held End of Period | Value at End of Period (In Thousands) | Dividends and Interest Income Received (In Thousands) | Distributions Received from Net Realized Gain (In thousands) | |||||||||||||||||||||
Metropolitan West Low Duration Bond Fund—I Class | 905,210 | 179,267 | (186,767 | ) | 897,710 | $ | 7,927 | $ | 56 | $ | — | |||||||||||||||||
TCW Growth Equities Fund—I Class | 44,786 | 84,172 | (3,431 | ) | 125,527 | 1,530 | — | 321 | ||||||||||||||||||||
TCW Relative Value Large Cap Fund—I Class | 210,006 | 42,947 | (9,125 | ) | 243,828 | 5,138 | 52 | — | ||||||||||||||||||||
TCW Select Equities Fund—I Class | 247,808 | 56,079 | (10,931 | ) | 292,956 | 7,081 | — | (1) | 205 | |||||||||||||||||||
TCW Total Return Bond Fund—I Class | 631,818 | 132,891 | (27,645 | ) | 737,064 | 7,496 | 107 | — | ||||||||||||||||||||
TCW Value Opportunities Fund—I Class | 33,004 | 34,635 | (1,830 | ) | 65,809 | 1,733 | 5 | 89 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 30,905 | $ | 220 | $ | 615 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) | Amounts round to less than $1. |
The ownership percentage of TCW Conservative Allocation Fund in each of the affiliated underlying funds at April 30, 2014 is as follows:
Name of Affiliated Fund | Ownership Percentage (1) | |||
Metropolitan West Low Duration Bond Fund | 0.23% | |||
TCW Growth Equities Fund | 5.40% | |||
TCW Relative Value Large Cap Fund | 0.71% | |||
TCW Select Equities Fund | 0.40% | |||
TCW Total Return Bond Fund | 0.10% | |||
TCW Value Opportunities Fund | 1.18% |
(1) | Percentage ownership based on total net assets of the underlying fund. |
The financial statements of the Metropolitan West Low Duration Bond Fund and the TCW Total Return Bond Fund are available by calling 800-FUND-TCW (800-386-3829) or by going to the SEC website at www.sec.gov. Financial statements for the remaining underlying funds are included in this report.
68
Table of Contents
TCW Funds, Inc.
April 30, 2014
Note 8 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the six months ended April 30, 2014, were as follows (amounts in thousands):
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Concentrated Value Fund | $ | 1,620 | $ | 2,291 | $ | — | $ | — | ||||||||
TCW Conservative Allocation Fund | 7,299 | 2,490 | — | — | ||||||||||||
TCW Growth Fund | 551 | 495 | — | — | ||||||||||||
TCW Growth Equities Fund | 8,309 | 10,301 | — | — | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 128,461 | 85,479 | — | — | ||||||||||||
TCW Relative Value Large Cap Fund | 88,100 | 54,690 | — | — | ||||||||||||
TCW Select Equities Fund | 344,534 | 261,723 | — | — | ||||||||||||
TCW Small Cap Growth Fund | 93,982 | 195,124 | — | — | ||||||||||||
TCW SMID Cap Growth Fund | 18,424 | 16,471 | — | — | ||||||||||||
TCW Value Opportunities Fund | 16,857 | 41,593 | — | — |
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Concentrated Value Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 47,593 | $ | 812 | 73,491 | $ | 1,076 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,110 | 36 | 4,995 | 61 | ||||||||||||
Shares Redeemed | (56,015 | ) | (942 | ) | (176,772 | ) | (2,400 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (6,312 | ) | $ | (94 | ) | (98,286 | ) | $ | (1,263 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,107 | $ | 51 | 14,097 | $ | 195 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 251 | 4 | 741 | 9 | ||||||||||||
Shares Redeemed | (14,981 | ) | (250 | ) | (27,864 | ) | (377 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (11,623 | ) | $ | (195 | ) | (13,026 | ) | $ | (173 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Conservative Allocation Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 591,418 | $ | 6,959 | 1,223,389 | $ | 13,722 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 41,922 | 491 | 32,265 | 349 | ||||||||||||
Shares Redeemed | (224,971 | ) | (2,650 | ) | (277,764 | ) | (3,158 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 408,369 | $ | 4,800 | 977,890 | $ | 10,913 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 5,748 | $ | 67 | 41,686 | $ | 470 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,083 | 13 | 1,368 | 15 | ||||||||||||
Shares Redeemed | (19,303 | ) | (226 | ) | (27,665 | ) | (310 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (12,472 | ) | $ | (146 | ) | 15,389 | $ | 175 | ||||||||
|
|
|
|
|
|
|
|
69
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW Growth Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,056 | $ | 59 | 752 | $ | 18 | ||||||||||
Shares Redeemed | (2,030 | ) | (61 | ) | (7,230 | ) | (186 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 26 | $ | (2 | ) | (6,478 | ) | $ | (168 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 554 | $ | 17 | 4,022 | $ | 103 | ||||||||||
Shares Redeemed | (636 | ) | (19 | ) | (1,489 | ) | (38 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (82 | ) | $ | (2 | ) | 2,533 | $ | 65 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Growth Equities Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 291,703 | $ | 4,122 | 215,289 | $ | 3,617 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 592,022 | 7,643 | 21,939 | 305 | ||||||||||||
Shares Redeemed | (316,351 | ) | (5,076 | ) | (3,796,222 | ) | (58,620 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 567,374 | $ | 6,689 | (3,558,994 | ) | $ | (54,698 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 59,293 | $ | 803 | 107,250 | $ | 1,575 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 176,826 | 2,269 | 9,801 | 136 | ||||||||||||
Shares Redeemed | (81,225 | ) | (1,135 | ) | (491,826 | ) | (7,427 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 154,894 | $ | 1,937 | (374,775 | ) | $ | (5,716 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Dividend Appreciation Fund (1) | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,067,339 | $ | 32,193 | 6,197,856 | $ | 86,457 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 87,795 | 1,392 | 182,991 | 2,391 | ||||||||||||
Shares Redeemed | (2,573,869 | ) | (40,204 | ) | (3,199,651 | ) | (43,769 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (418,735 | ) | $ | (6,619 | ) | 3,181,196 | $ | 45,079 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 9,666,220 | $ | 152,610 | 24,659,659 | $ | 344,481 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 298,204 | 4,814 | 792,372 | 10,590 | ||||||||||||
Shares Redeemed | (7,559,957 | ) | (119,745 | ) | (18,062,579 | ) | (246,533 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,404,467 | $ | 37,679 | 7,389,452 | $ | 108,538 | ||||||||||
|
|
|
|
|
|
|
|
70
Table of Contents
TCW Funds, Inc.
April 30, 2014
Note 9 — Capital Share Transactions (Continued)
TCW Relative Value Large Cap Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,674,586 | $ | 74,392 | 17,701,021 | $ | 304,943 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 329,438 | 6,730 | 530,270 | 7,949 | ||||||||||||
Shares Redeemed | (2,030,492 | ) | (41,226 | ) | (40,070,341 | ) | (701,729 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 1,973,532 | $ | 39,896 | (21,839,050 | ) | $ | (388,837 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 763,509 | $ | 15,606 | 1,434,248 | $ | 25,595 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 38,905 | 794 | 26,402 | 396 | ||||||||||||
Shares Redeemed | (455,427 | ) | (9,233 | ) | (952,151 | ) | (16,617 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 346,987 | $ | 7,167 | 508,499 | $ | 9,374 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Select Equities Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 12,168,806 | $ | 306,761 | 26,027,197 | $ | 566,119 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 768,879 | 19,314 | 356,739 | 7,067 | ||||||||||||
Shares Redeemed | (7,961,797 | ) | (200,408 | ) | (13,517,185 | ) | (295,922 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 4,975,888 | $ | 125,667 | 12,866,751 | $ | 277,264 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,650,272 | $ | 39,411 | 5,036,957 | $ | 104,275 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 533,793 | 12,709 | 224,606 | 4,236 | ||||||||||||
Shares Redeemed | (2,412,132 | ) | (57,513 | ) | (4,759,979 | ) | (98,787 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (228,067 | ) | $ | (5,393 | ) | 501,584 | $ | 9,724 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Small Cap Growth Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 351,952 | $ | 11,908 | 1,559,412 | $ | 44,173 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 594,180 | 20,000 | — | — | ||||||||||||
Shares Redeemed | (1,734,580 | ) | (60,400 | ) | (27,912,797 | ) | (771,214 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (788,448 | ) | $ | (28,492 | ) | (26,353,385 | ) | $ | (727,041 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 185,136 | $ | 6,102 | 800,467 | $ | 22,139 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 516,641 | 16,460 | — | — | ||||||||||||
Shares Redeemed | (1,829,766 | ) | (58,895 | ) | (4,521,213 | ) | (123,061 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,127,989 | ) | $ | (36,333 | ) | (3,720,746 | ) | $ | (100,922 | ) | ||||||
|
|
|
|
|
|
|
|
71
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW SMID Cap Growth Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 200,376 | $ | 2,984 | 275,197 | $ | 3,276 | ||||||||||
Shares Redeemed | (92,927 | ) | (1,388 | ) | (250,963 | ) | (2,908 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 107,449 | $ | 1,596 | 24,234 | $ | 368 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 4,476 | $ | 70 | 557,540 | $ | 6,461 | ||||||||||
Shares Redeemed | (8,440 | ) | (126 | ) | (623,006 | ) | (7,193 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (3,964 | ) | $ | (56 | ) | (65,466 | ) | $ | (732 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Value Opportunities Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 243,884 | $ | 6,369 | 475,100 | $ | 11,245 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 385,371 | 9,842 | 32,449 | 665 | ||||||||||||
Shares Redeemed | (1,042,438 | ) | (27,981 | ) | (820,371 | ) | (19,180 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (413,183 | ) | $ | (11,770 | ) | (312,822 | ) | $ | (7,270 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 82,473 | $ | 2,119 | 99,804 | $ | 2,276 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 146,281 | 3,667 | 9,668 | 195 | ||||||||||||
Shares Redeemed | (92,184 | ) | (2,353 | ) | (330,934 | ) | (7,589 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 136,570 | $ | 3,433 | (221,462 | ) | $ | (5,118 | ) | ||||||||
|
|
|
|
|
|
|
|
(1) | Formerly TCW Dividend Focused Fund. |
Note 10 — Restricted Securities
The Funds are permitted to invest in securities that are subject to legal or contractual restrictions on resale. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities at April 30, 2014.
Note 11 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by any Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act of 1933, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
72
Table of Contents
TCW Funds, Inc.
April 30, 2014
Note 12 — Recently Issued Accounting Pronouncements
On June 7, 2013, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements (“ASU 2013-08”). ASU No. 2013-08 sets forth a new approach for determining whether a public or private entity is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU No. 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the financial statements.
73
Table of Contents
TCW Concentrated Value Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 16.02 | $ | 12.20 | $ | 10.83 | $ | 10.99 | $ | 9.98 | $ | 9.62 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.05 | 0.08 | 0.05 | 0.04 | 0.03 | 0.10 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.92 | 3.86 | 1.36 | (0.17 | ) | 1.07 | 0.33 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.97 | 3.94 | 1.41 | (0.13 | ) | 1.10 | 0.43 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.12 | ) | (0.04 | ) | (0.03 | ) | (0.09 | ) | (0.07 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 17.91 | $ | 16.02 | $ | 12.20 | $ | 10.83 | $ | 10.99 | $ | 9.98 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 12.30 | % (2) | 32.67 | % | 12.94 | % | (1.23 | )% | 11.05 | % | 4.64 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 8,414 | $ | 7,628 | $ | 7,007 | $ | 22,496 | $ | 34,285 | $ | 34,867 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.71 | % (3) | 1.95 | % | 1.19 | % | 0.96 | % | 0.91 | % | 1.00 | % | ||||||||||||
After Expense Reimbursement | 1.13 | % (3) | 1.14 | % | 1.19 | % | N/A | N/A | 0.86 | % | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.56 | % (3) | 0.56 | % | 0.43 | % | 0.31 | % | 0.32 | % | 1.11 | % | ||||||||||||
Portfolio Turnover Rate | 18.56 | % (2) | 39.65 | % | 24.99 | % | 38.18 | % | 53.50 | % | 72.56 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
74
Table of Contents
TCW Concentrated Value Fund
Financial Highlights — N Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 15.85 | $ | 12.11 | $ | 10.71 | $ | 10.95 | $ | 9.94 | $ | 9.58 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.05 | 0.08 | 0.05 | 0.00 | (2) | 0.01 | 0.06 | |||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.90 | 3.82 | 1.35 | (0.24 | ) | 1.05 | 0.34 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.95 | 3.90 | 1.40 | (0.24 | ) | 1.06 | 0.40 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.16 | ) | — | (0.00 | ) (2) | (0.05 | ) | (0.04 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 17.72 | $ | 15.85 | $ | 12.11 | $ | 10.71 | $ | 10.95 | $ | 9.94 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 12.31 | % (3) | 32.61 | % | 13.07 | % | (2.19 | )% | 10.71 | % | 4.24 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 823 | $ | 921 | $ | 861 | $ | 861 | $ | 30,786 | $ | 28,239 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 4.66 | % (4) | 4.15 | % | 3.29 | % | 1.18 | % | 1.17 | % | 1.30 | % | ||||||||||||
After Expense Reimbursement | 1.13 | % (4) | 1.14 | % | 1.18 | % | N/A | N/A | 1.25 | % | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.55 | % (4) | 0.58 | % | 0.45 | % | 0.01 | % | 0.05 | % | 0.72 | % | ||||||||||||
Portfolio Turnover Rate | 18.56 | % (3) | 39.65 | % | 24.99 | % | 38.18 | % | 53.50 | % | 72.56 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
75
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.66 | $ | 10.91 | $ | 10.51 | $ | 10.79 | $ | 9.87 | $ | 8.60 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.22 | 0.32 | 0.21 | 0.23 | 0.25 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 0.16 | 0.79 | 0.51 | 0.17 | 0.94 | 1.14 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.22 | 1.01 | 0.83 | 0.38 | 1.17 | 1.39 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.20 | ) | (0.26 | ) | (0.20 | ) | (0.19 | ) | (0.25 | ) | (0.12 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.23 | ) | (0.47 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.20 | ) | (0.26 | ) | (0.43 | ) | (0.66 | ) | (0.25 | ) | (0.12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.68 | $ | 11.66 | $ | 10.91 | $ | 10.51 | $ | 10.79 | $ | 9.87 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.86 | % (2) | 9.42 | % | 8.35 | % | 3.63 | % | 12.08 | % | 16.38 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 31,948 | $ | 27,121 | $ | 14,705 | $ | 11,356 | $ | 4,746 | $ | 4,195 | ||||||||||||
Ratio of Expenses to Average Net Assets: (3) | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.31 | % (4) | 0.40 | % | 0.67 | % | 1.08 | % | 1.74 | % | 3.28 | % | ||||||||||||
After Expense Reimbursement | N/A | N/A | N/A | 0.85 | % | 0.89 | % | 0.90 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.09 | % (4) | 1.96 | % | 2.98 | % | 1.97 | % | 2.27 | % | 2.81 | % | ||||||||||||
Portfolio Turnover Rate | 7.98 | % (2) | 57.98 | % | 59.12 | % | 93.92 | % | 42.93 | % | 64.78 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Does not include expenses of the underlying affiliated funds. |
(4) | Annualized. |
See accompanying notes to financial statements.
76
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — N Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.61 | $ | 10.89 | $ | 10.51 | $ | 10.79 | $ | 9.86 | $ | 8.60 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.03 | 0.18 | 0.29 | 0.21 | 0.22 | 0.25 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 0.16 | 0.78 | 0.52 | 0.17 | 0.96 | 1.13 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.19 | 0.96 | 0.81 | 0.38 | 1.18 | 1.38 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.24 | ) | (0.20 | ) | (0.19 | ) | (0.25 | ) | (0.12 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.23 | ) | (0.47 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.15 | ) | (0.24 | ) | (0.43 | ) | (0.66 | ) | (0.25 | ) | (0.12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.65 | $ | 11.61 | $ | 10.89 | $ | 10.51 | $ | 10.79 | $ | 9.86 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.62 | % (2) | 8.97 | % | 8.09 | % | 3.63 | % | 12.19 | % | 16.26 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 906 | $ | 1,047 | $ | 815 | $ | 1,149 | $ | 209 | $ | 106 | ||||||||||||
Ratio of Expenses to Average Net Assets: (3) | ||||||||||||||||||||||||
Before Expense Reimbursement | 3.25 | % (4) | 2.84 | % | 2.70 | % | 3.76 | % | 15.40 | % | 31.04 | % | ||||||||||||
After Expense Reimbursement | 0.85 | % (4) | 0.85 | % | 0.85 | % | 0.85 | % | 0.89 | % | 0.90 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.59 | % (4) | 1.57 | % | 2.72 | % | 1.95 | % | 2.19 | % | 2.84 | % | ||||||||||||
Portfolio Turnover Rate | 7.98 | % (2) | 57.98 | % | 59.12 | % | 93.92 | % | 42.93 | % | 64.78 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Does not include expenses of the underlying affiliated funds. |
(4) | Annualized. |
See accompanying notes to financial statements.
77
Table of Contents
TCW Growth Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 28.48 | $ | 22.37 | $ | 21.13 | $ | 19.95 | $ | 16.27 | $ | 12.94 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.04 | ) | 0.02 | (0.02 | ) | (0.07 | ) | (0.10 | ) | (0.08 | ) | |||||||||||||
Net Realized and Unrealized Gain on Investments | 0.71 | 6.09 | 1.35 | 1.25 | 3.78 | 3.41 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.67 | 6.11 | 1.33 | 1.18 | 3.68 | 3.33 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | — | — | (0.01 | ) | — | — | — | |||||||||||||||||
Distributions from Net Realized Gain | — | — | (0.08 | ) | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | — | — | (0.09 | ) | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 29.15 | $ | 28.48 | $ | 22.37 | $ | 21.13 | $ | 19.95 | $ | 16.27 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 2.35 | % (2) | 27.31 | % | 6.30 | % | 5.86 | % | 22.68 | % | 25.74 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 2,403 | $ | 2,347 | $ | 1,988 | $ | 26,089 | $ | 663 | $ | 407 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 4.44 | % (3) | 5.04 | % | 1.19 | % | 1.32 | % | 13.74 | % | 15.94 | % | ||||||||||||
After Expense Reimbursement | 0.99 | % (3) | 0.99 | % | 0.99 | % | 0.99 | % | 1.37 | % | 1.38 | % | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.27 | )% (3) | 0.08 | % | (0.10 | )% | (0.33 | )% | (0.56 | )% | (0.55 | )% | ||||||||||||
Portfolio Turnover Rate | 19.66 | % (2) | 38.21 | % | 45.47 | % | 103.57 | % | 65.37 | % | 55.51 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
78
Table of Contents
TCW Growth Fund
Financial Highlights — N Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 28.51 | $ | 22.39 | $ | 21.13 | $ | 19.95 | $ | 16.27 | $ | 12.94 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.04 | ) | 0.00 | (2) | (0.02 | ) | (0.06 | ) | (0.10 | ) | (0.08 | ) | ||||||||||||
Net Realized and Unrealized Gain on Investments | 0.70 | 6.12 | 1.36 | 1.24 | 3.78 | 3.41 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.66 | 6.12 | 1.34 | 1.18 | 3.68 | 3.33 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | — | — | (0.00 | )(2) | — | — | — | |||||||||||||||||
Distributions from Net Realized Gain | — | — | (0.08 | ) | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | — | — | (0.08 | ) | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 29.17 | $ | 28.51 | $ | 22.39 | $ | 21.13 | $ | 19.95 | $ | 16.27 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 2.32 | % (3) | 27.33 | % | 6.39 | % | 5.86 | % | 22.68 | % | 25.73 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 177 | $ | 175 | $ | 81 | $ | 678 | $ | 534 | $ | 407 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 18.96 | % (4) | 20.60 | % | 3.85 | % | 6.97 | % | 13.99 | % | 16.16 | % | ||||||||||||
After Expense Reimbursement | 0.99 | % (4) | 0.99 | % | 0.99 | % | 0.99 | % | 1.37 | % | 1.38 | % | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.27 | )% (4) | 0.01 | % | (0.11 | )% | (0.28 | )% | (0.56 | )% | (0.56 | )% | ||||||||||||
Portfolio Turnover Rate | 19.66 | % (3) | 38.21 | % | 45.47 | % | 103.57 | % | 65.37 | % | 55.51 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
79
Table of Contents
TCW Growth Equities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 18.86 | $ | 13.87 | $ | 14.66 | $ | 13.95 | $ | 10.87 | $ | 8.73 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.04 | ) | (0.05 | ) | (0.08 | ) | (0.11 | ) | (0.09 | ) | (0.10 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.37 | 5.24 | (0.15 | ) | 0.82 | 3.17 | 2.24 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.33 | 5.19 | (0.23 | ) | 0.71 | 3.08 | 2.14 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | — | (0.02 | ) | — | — | — | — | |||||||||||||||||
Distributions from Net Realized Gain | (7.00 | ) | (0.18 | ) | (0.56 | ) | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (7.00 | ) | (0.20 | ) | (0.56 | ) | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 12.19 | $ | 18.86 | $ | 13.87 | $ | 14.66 | $ | 13.95 | $ | 10.87 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (0.37 | )% (2) | 37.96 | % | (1.43 | )% | 5.09 | % | 28.33 | % | 24.51 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 22,349 | $ | 23,891 | $ | 66,951 | $ | 91,091 | $ | 101,943 | $ | 43,125 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.46 | % (3) | 1.32 | % | 1.21 | % | 1.20 | % | 1.27 | % | 1.52 | % | ||||||||||||
After Expense Reimbursement | 1.20 | % (3) | 1.20 | % | 1.20 | % | 1.20 | % | N/A | 1.47 | % | |||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.54 | )% (3) | (0.35 | )% | (0.54 | )% | (0.72 | )% | (0.67 | )% | (1.10 | )% | ||||||||||||
Portfolio Turnover Rate | 28.76 | % (2) | 78.65 | % | 48.75 | % | 50.74 | % | 71.30 | % | 69.14 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
80
Table of Contents
TCW Growth Equities Fund
Financial Highlights — N Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 18.79 | $ | 13.82 | $ | 14.61 | $ | 13.90 | $ | 10.84 | $ | 8.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.04 | ) | (0.06 | ) | (0.08 | ) | (0.11 | ) | (0.09 | ) | (0.10 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.36 | 5.23 | (0.15 | ) | 0.82 | 3.15 | 2.23 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.32 | 5.17 | (0.23 | ) | 0.71 | 3.06 | 2.13 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | — | (0.02 | ) | — | — | — | — | |||||||||||||||||
Distributions from Net Realized Gain | (7.00 | ) | (0.18 | ) | (0.56 | ) | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (7.00 | ) | (0.20 | ) | (0.56 | ) | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 12.11 | $ | 18.79 | $ | 13.82 | $ | 14.61 | $ | 13.90 | $ | 10.84 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (0.39 | )% (2) | 37.93 | % | (1.44 | )% | 5.11 | % | 28.23 | % | 24.46 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 5,980 | $ | 6,366 | $ | 9,865 | $ | 9,493 | $ | 10,542 | $ | 4,476 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.98 | % (3) | 1.93 | % | 1.73 | % | 1.73 | % | 2.03 | % | 2.38 | % | ||||||||||||
After Expense Reimbursement | 1.20 | % (3) | 1.20 | % | 1.20 | % | 1.20 | % | 1.32 | % | 1.47 | % | ||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.55 | )% (3) | (0.36 | )% | (0.53 | )% | (0.73 | )% | (0.69 | )% | (1.09 | )% | ||||||||||||
Portfolio Turnover Rate | 28.76 | % (2) | 78.65 | % | 48.75 | % | 50.74 | % | 71.30 | % | 69.14 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
81
Table of Contents
TCW Relative Value Dividend Appreciation Fund (1)
Financial Highlights — I Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 15.11 | $ | 11.77 | $ | 10.18 | $ | 9.60 | $ | 8.28 | $ | 7.70 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (2) | 0.12 | 0.25 | 0.22 | 0.18 | 0.18 | 0.23 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 0.92 | 3.36 | 1.60 | 0.59 | 1.31 | 0.61 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.04 | 3.61 | 1.82 | 0.77 | 1.49 | 0.84 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.13 | ) | (0.27 | ) | (0.23 | ) | (0.19 | ) | (0.17 | ) | (0.25 | ) | ||||||||||||
Distributions from Return of Capital | — | — | — | — | — | (0.01 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.13 | ) | (0.27 | ) | (0.23 | ) | (0.19 | ) | (0.17 | ) | (0.26 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 16.02 | $ | 15.11 | $ | 11.77 | $ | 10.18 | $ | 9.60 | $ | 8.28 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 6.88 | % (3) | 31.06 | % | 18.03 | % | 8.05 | % | 18.13 | % | 11.58 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 180,159 | $ | 176,226 | $ | 99,787 | $ | 54,367 | $ | 57,797 | $ | 44,125 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.84 | % (4) | 0.82 | % | 0.85 | % | 0.86 | % | 0.90 | % | 0.92 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.52 | % (4) | 1.86 | % | 1.95 | % | 1.76 | % | 1.95 | % | 3.27 | % | ||||||||||||
Portfolio Turnover Rate | 7.80 | % (3) | 18.37 | % | 23.15 | % | 37.51 | % | 25.77 | % | 26.48 | % |
(1) | Formerly TCW Dividend Focused Fund. |
(2) | Computed using average shares outstanding throughout the period. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
82
Table of Contents
TCW Relative Value Dividend Appreciation Fund (1)
Financial Highlights — N Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 15.34 | $ | 11.92 | $ | 10.29 | $ | 9.68 | $ | 8.36 | $ | 7.72 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (2) | 0.10 | 0.22 | 0.19 | 0.15 | 0.15 | 0.21 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 0.93 | 3.41 | 1.62 | 0.60 | 1.31 | 0.63 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.03 | 3.63 | 1.81 | 0.75 | 1.46 | 0.84 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.21 | ) | (0.18 | ) | (0.14 | ) | (0.14 | ) | (0.19 | ) | ||||||||||||
Distributions from Return of Capital | — | — | — | — | — | (0.01 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.08 | ) | (0.21 | ) | (0.18 | ) | (0.14 | ) | (0.14 | ) | (0.20 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 16.29 | $ | 15.34 | $ | 11.92 | $ | 10.29 | $ | 9.68 | $ | 8.36 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 6.73 | % (3) | 30.71 | % | 17.68 | % | 7.73 | % | 17.66 | % | 11.38 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 981,720 | $ | 887,435 | $ | 601,397 | $ | 514,153 | $ | 550,305 | $ | 552,767 | ||||||||||||
Ratio of Expenses to Average Net Assets | 1.12 | % (4) | 1.11 | % | 1.14 | % | 1.17 | % | 1.20 | % | 1.20 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.23 | % (4) | 1.60 | % | 1.70 | % | 1.45 | % | 1.68 | % | 2.92 | % | ||||||||||||
Portfolio Turnover Rate | 7.80 | % (3) | 18.37 | % | 23.15 | % | 37.51 | % | 25.77 | % | 26.48 | % |
(1) | Formerly TCW Dividend Focused Fund. |
(2) | Computed using average shares outstanding throughout the period. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
83
Table of Contents
TCW Relative Value Large Cap Fund
Financial Highlights — I Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 19.47 | $ | 14.91 | $ | 13.05 | $ | 12.42 | $ | 11.06 | $ | 9.80 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.10 | 0.19 | 0.16 | 0.12 | 0.13 | 0.17 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 1.74 | 4.53 | 1.82 | 0.65 | 1.41 | 1.28 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.84 | 4.72 | 1.98 | 0.77 | 1.54 | 1.45 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.24 | ) | (0.16 | ) | (0.12 | ) | (0.14 | ) | (0.18 | ) | (0.19 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 21.07 | $ | 19.47 | $ | 14.91 | $ | 13.05 | $ | 12.42 | $ | 11.06 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 9.49 | % (2) | 31.99 | % | 15.33 | % | 6.16 | % | 14.14 | % | 15.25 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 630,123 | $ | 543,669 | $ | 741,996 | $ | 396,729 | $ | 373,921 | $ | 412,831 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.89 | % (3) | 0.87 | % | 0.89 | % | 0.92 | % | 1.07 | % | 1.11 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.96 | % (3) | 1.13 | % | 1.14 | % | 0.90 | % | 1.14 | % | 1.79 | % | ||||||||||||
Portfolio Turnover Rate | 8.48 | % (2) | 37.33 | % | 19.71 | % | 26.76 | % | 34.49 | % | 40.28 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
84
Table of Contents
TCW Relative Value Large Cap Fund
Financial Highlights — N Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 19.44 | $ | 14.89 | $ | 13.00 | $ | 12.38 | $ | 11.03 | $ | 9.75 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.07 | 0.15 | 0.13 | 0.09 | 0.12 | 0.16 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 1.75 | 4.52 | 1.83 | 0.64 | 1.40 | 1.29 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.82 | 4.67 | 1.96 | 0.73 | 1.52 | 1.45 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.21 | ) | (0.12 | ) | (0.07 | ) | (0.11 | ) | (0.17 | ) | (0.17 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 21.05 | $ | 19.44 | $ | 14.89 | $ | 13.00 | $ | 12.38 | $ | 11.03 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 9.37 | % (2) | 31.64 | % | 15.11 | % | 5.88 | % | 13.96 | % | 15.22 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 89,014 | $ | 75,450 | $ | 50,212 | $ | 50,341 | $ | 67,688 | $ | 103,155 | ||||||||||||
Ratio of Expenses to Average Net Assets | 1.13 | % (3) | 1.13 | % | 1.14 | % | 1.18 | % | 1.19 | % | 1.21 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.71 | % (3) | 0.83 | % | 0.92 | % | 0.65 | % | 1.06 | % | 1.72 | % | ||||||||||||
Portfolio Turnover Rate | 8.48 | % (2) | 37.33 | % | 19.71 | % | 26.76 | % | 34.49 | % | 40.28 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
85
Table of Contents
TCW Select Equities Fund
Financial Highlights — I Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 24.84 | $ | 19.81 | $ | 18.17 | $ | 16.18 | $ | 13.45 | $ | 12.96 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.02 | ) | 0.03 | (0.00 | )(2) | (0.04 | ) | (0.03 | ) | (0.04 | ) | |||||||||||||
Net Realized and Unrealized Gain on Investments | 0.16 | 5.34 | 1.86 | 2.03 | 2.76 | 2.36 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.14 | 5.37 | 1.86 | 1.99 | 2.73 | 2.32 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.00 | )(2) | (0.05 | ) | — | — | — | — | ||||||||||||||||
Distributions from Net Realized Gain | (0.81 | ) | (0.29 | ) | (0.22 | ) | — | — | (1.83 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.81 | ) | (0.34 | ) | (0.22 | ) | — | — | (1.83 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 24.17 | $ | 24.84 | $ | 19.81 | $ | 18.17 | $ | 16.18 | $ | 13.45 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 0.45 | % (3) | 27.53 | % | 10.37 | % | 12.30 | % | 20.30 | % | 22.30 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,410,263 | $ | 1,325,609 | $ | 802,524 | $ | 432,203 | $ | 388,735 | $ | 360,290 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.84 | % (4) | 0.83 | % | 0.86 | % | 0.90 | % | 0.92 | % | 0.98 | % | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.16 | )% (4) | 0.15 | % | (0.01 | )% | (0.23 | )% | (0.19 | )% | (0.31 | )% | ||||||||||||
Portfolio Turnover Rate | 15.26 | % (3) | 24.55 | % | 19.74 | % | 28.13 | % | 23.75 | % | 36.82 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
86
Table of Contents
TCW Select Equities Fund
Financial Highlights — N Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 23.59 | $ | 18.84 | $ | 17.34 | $ | 15.48 | $ | 12.92 | $ | 12.55 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.05 | ) | (0.02 | ) | (0.06 | ) | (0.09 | ) | (0.07 | ) | (0.07 | ) | ||||||||||||
Net Realized and Unrealized Gain on Investments | 0.16 | 5.06 | 1.78 | 1.95 | 2.63 | 2.27 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.11 | 5.04 | 1.72 | 1.86 | 2.56 | 2.20 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Realized Gain | (0.81 | ) | (0.29 | ) | (0.22 | ) | — | — | (1.83 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 22.89 | $ | 23.59 | $ | 18.84 | $ | 17.34 | $ | 15.48 | $ | 12.92 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 0.34 | % (2) | 27.14 | % | 10.06 | % | 12.02 | % | 19.81 | % | 22.02 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 361,538 | $ | 378,026 | $ | 292,448 | $ | 182,151 | $ | 125,638 | $ | 140,963 | ||||||||||||
Ratio of Expenses to Average Net Assets | 1.11 | % (3) | 1.10 | % | 1.14 | % | 1.20 | % | 1.24 | % | 1.25 | % | ||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.43 | )% (3) | (0.10 | )% | (0.31 | )% | (0.55 | )% | (0.51 | )% | (0.58 | )% | ||||||||||||
Portfolio Turnover Rate | 15.26 | % (2) | 24.55 | % | 19.74 | % | 28.13 | % | 23.75 | % | 36.82 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
87
Table of Contents
TCW Small Cap Growth Fund
Financial Highlights — I Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 35.69 | $ | 26.74 | $ | 27.84 | $ | 26.52 | $ | 21.18 | $ | 15.23 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.16 | ) | (0.20 | ) | (0.24 | ) | (0.26 | ) | (0.17 | ) | (0.19 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.20 | ) | 9.15 | (0.86 | ) | 1.58 | 5.51 | 6.14 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.36 | ) | 8.95 | (1.10 | ) | 1.32 | 5.34 | 5.95 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Realized Gain | (5.15 | ) | — | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 30.18 | $ | 35.69 | $ | 26.74 | $ | 27.84 | $ | 26.52 | $ | 21.18 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (2.38 | )% (2) | 33.32 | % | (3.95 | )% | 4.98 | % | 25.21 | % | 39.07 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 115,928 | $ | 165,248 | $ | 828,435 | $ | 956,904 | $ | 584,581 | $ | 183,467 | ||||||||||||
Ratio of Expenses to Average Net Assets | 1.23 | % (3) | 1.18 | % | 1.16 | % | 1.22 | % | 1.19 | % | 1.20 | % | ||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.96 | )% (3) | (0.71 | )% | (0.89 | )% | (0.88 | )% | (0.71 | )% | (1.08 | )% | ||||||||||||
Portfolio Turnover Rate | 40.65 | % (2) | 84.46 | % | 79.27 | % | 93.47 | % | 105.57 | % | 79.13 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
88
Table of Contents
TCW Small Cap Growth Fund
Financial Highlights — N Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 34.05 | $ | 25.60 | $ | 26.73 | $ | 25.53 | $ | 20.44 | $ | 14.75 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.19 | ) | (0.29 | ) | (0.31 | ) | (0.32 | ) | (0.23 | ) | (0.27 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.17 | ) | 8.74 | (0.82 | ) | 1.52 | 5.32 | 5.96 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.36 | ) | 8.45 | (1.13 | ) | 1.20 | 5.09 | 5.69 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Realized Gain | (5.15 | ) | — | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 28.54 | $ | 34.05 | $ | 25.60 | $ | 26.73 | $ | 25.53 | $ | 20.44 | ||||||||||||
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| |||||||||||||
Total Return | (2.55 | )% (2) | 32.85 | % | (4.23 | )% | 4.70 | % | 24.90 | % | 38.58 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 69,277 | $ | 121,038 | $ | 186,245 | $ | 237,982 | $ | 187,375 | $ | 115,465 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.50 | % (3) | 1.47 | % | 1.44 | % | 1.49 | % | 1.51 | % | 1.59 | % | ||||||||||||
After Expense Reimbursement | 1.43 | % (3) | 1.46 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (1.15 | )% (3) | (1.02 | )% | (1.16 | )% | (1.14 | )% | (0.97 | )% | (1.47 | )% | ||||||||||||
Portfolio Turnover Rate | 40.65 | % (2) | 84.46 | % | 79.27 | % | 93.47 | % | 105.57 | % | 79.13 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW SMID Cap Growth Fund
Financial Highlights — I Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | November 1, 2010 (Commencement of Operations) through October 31, 2011 | ||||||||||||||
2013 | 2012 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 14.34 | $ | 10.26 | $ | 10.42 | $ | 10.00 | ||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Loss (1) | (0.05 | ) | (0.09 | ) | (0.08 | ) | (0.10 | ) | ||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.36 | ) | 4.17 | (0.08 | ) | 0.52 | ||||||||||
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Total from Investment Operations | (0.41 | ) | 4.08 | (0.16 | ) | 0.42 | ||||||||||
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Net Asset Value per Share, End of Period | $ | 13.93 | $ | 14.34 | $ | 10.26 | $ | 10.42 | ||||||||
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Total Return | (2.86 | )% (2) | 39.77 | % | (1.54 | )% | 4.20 | % | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 31,794 | $ | 31,193 | $ | 22,084 | $ | 23,057 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 1.24 | % (3) | 1.34 | % | 1.36 | % | 2.16 | % | ||||||||
After Expense Reimbursement | 1.20 | % (3) | 1.20 | % | 1.20 | % | 1.20 | % | ||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.73 | )% (3) | (0.72 | )% | (0.75 | )% | (0.96 | )% | ||||||||
Portfolio Turnover Rate | 29.66 | % (2) | 72.89 | % | 78.76 | % | 89.56 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW SMID Cap Growth Fund
Financial Highlights — N Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | November 1, 2010 (Commencement of Operations) through October 31, 2011 | ||||||||||||||
2013 | 2012 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 14.34 | $ | 10.27 | $ | 10.42 | $ | 10.00 | ||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Loss (1) | (0.05 | ) | (0.09 | ) | (0.08 | ) | (0.10 | ) | ||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.36 | ) | 4.16 | (0.07 | ) | 0.52 | ||||||||||
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Total from Investment Operations | (0.41 | ) | 4.07 | (0.15 | ) | 0.42 | ||||||||||
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Net Asset Value per Share, End of Period | $ | 13.93 | $ | 14.34 | $ | 10.27 | $ | 10.42 | ||||||||
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Total Return | (2.86 | )% (2) | 39.63 | % | (1.44 | )% | 4.20 | % | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 22,253 | $ | 22,968 | $ | 17,116 | $ | 22,927 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 1.52 | % (3) | 1.61 | % | 1.64 | % | 2.23 | % | ||||||||
After Expense Reimbursement | 1.20 | % (3) | 1.20 | % | 1.20 | % | 1.20 | % | ||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.73 | )% (3) | (0.72 | )% | (0.76 | )% | (0.96 | )% | ||||||||
Portfolio Turnover Rate | 29.66 | % (2) | 72.89 | % | 78.76 | % | 89.56 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW Value Opportunities Fund
Financial Highlights — I Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 26.56 | $ | 20.10 | $ | 17.43 | $ | 16.94 | $ | 14.12 | $ | 12.90 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.07 | 0.16 | 0.15 | 0.12 | 0.11 | 0.11 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 2.48 | 6.48 | 2.63 | 0.51 | 2.81 | 1.26 | ||||||||||||||||||
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Total from Investment Operations | 2.55 | 6.64 | 2.78 | 0.63 | 2.92 | 1.37 | ||||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.14 | ) | (0.17 | ) | (0.11 | ) | (0.14 | ) | (0.10 | ) | (0.15 | ) | ||||||||||||
Distributions from Net Realized Gain | (2.63 | ) | (0.01 | ) | — | — | — | — | ||||||||||||||||
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Total Distributions | (2.77 | ) | (0.18 | ) | (0.11 | ) | (0.14 | ) | (0.10 | ) | (0.15 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 26.34 | $ | 26.56 | $ | 20.10 | $ | 17.43 | $ | 16.94 | $ | 14.12 | ||||||||||||
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Total Return | 9.92 | % (2) | 33.30 | % | 16.04 | % | 3.67 | % | 20.78 | % | 10.84 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 106,284 | $ | 118,138 | $ | 95,698 | $ | 99,211 | $ | 152,391 | $ | 196,488 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.95 | % (3) | 0.94 | % | 1.01 | % | 0.99 | % | 1.00 | % | 1.04 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.54 | % (3) | 0.68 | % | 0.79 | % | 0.66 | % | 0.68 | % | 0.89 | % | ||||||||||||
Portfolio Turnover Rate | 11.57 | % (2) | 28.91 | % | 32.87 | % | 89.67 | % | 61.51 | % | 44.91 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW Value Opportunities Fund
Financial Highlights — N Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 26.07 | $ | 19.74 | $ | 17.06 | $ | 16.61 | $ | 13.85 | $ | 12.61 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.03 | 0.09 | 0.10 | 0.05 | 0.05 | 0.07 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 2.44 | 6.37 | 2.59 | 0.50 | 2.77 | 1.24 | ||||||||||||||||||
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Total from Investment Operations | 2.47 | 6.46 | 2.69 | 0.55 | 2.82 | 1.31 | ||||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.07 | ) | (0.12 | ) | (0.01 | ) | (0.10 | ) | (0.06 | ) | (0.07 | ) | ||||||||||||
Distributions from Net Realized Gain | (2.63 | ) | (0.01 | ) | — | — | — | — | ||||||||||||||||
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Total Distributions | (2.70 | ) | (0.13 | ) | (0.01 | ) | (0.10 | ) | (0.06 | ) | (0.07 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 25.84 | $ | 26.07 | $ | 19.74 | $ | 17.06 | $ | 16.61 | $ | 13.85 | ||||||||||||
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Total Return | 9.78 | % (2) | 32.90 | % | 15.75 | % | 3.26 | % | 20.42 | % | 10.50 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 40,080 | $ | 36,875 | $ | 32,292 | $ | 33,247 | $ | 54,041 | $ | 39,760 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.28 | % (3) | 1.32 | % | 1.40 | % | 1.48 | % | 1.41 | % | 1.54 | % | ||||||||||||
After Expense Reimbursement | 1.21 | % (3) | 1.23 | % | 1.27 | % | 1.35 | % | 1.34 | % | 1.36 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.24 | % (3) | 0.40 | % | 0.53 | % | 0.27 | % | 0.31 | % | 0.62 | % | ||||||||||||
Portfolio Turnover Rate | 11.57 | % (2) | 28.91 | % | 32.87 | % | 89.67 | % | 61.51 | % | 44.91 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
93
Table of Contents
TCW Funds, Inc.
Shareholder Expenses (Unaudited)
As a shareholder of a TCW Fund, you incur ongoing operational costs of the Fund, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2013 to April 30, 2014 (181 days).
Actual Expenses The first line under each Fund in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes The second line under each Fund in the table below provides information about the hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
TCW Funds, Inc. | Beginning Account Value November 1, 2013 | Ending Account Value April 30, 2014 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2013 to April 30, 2014) | ||||||||||||
TCW Concentrated Value Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,123.00 | 1.13 | % | $ | 5.95 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.19 | 1.13 | % | 5.66 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,123.10 | 1.13 | % | $ | 5.95 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.19 | 1.13 | % | 5.66 | |||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.60 | 0.31 | %(1) | $ | 1.55 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.26 | 0.31 | %(1) | 1.56 | (1) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.20 | 0.85 | %(1) | $ | 4.25 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.58 | 0.85 | %(1) | 4.26 | (1) | ||||||||||
TCW Growth Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,023.50 | 0.99 | % | $ | 4.97 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.89 | 0.99 | % | 4.96 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,023.20 | 0.99 | % | $ | 4.97 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.89 | 0.99 | % | 4.96 |
94
Table of Contents
TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value November 1, 2013 | Ending Account Value April 30, 2014 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2013 to April 30, 2014) | ||||||||||||
TCW Growth Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 996.30 | 1.20 | % | $ | 5.94 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.84 | 1.20 | % | 6.01 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 996.10 | 1.20 | % | $ | 5.94 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.84 | 1.20 | % | 6.01 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.80 | 0.84 | % | $ | 4.31 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.63 | 0.84 | % | 4.21 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,067.30 | 1.12 | % | $ | 5.74 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.24 | 1.12 | % | 5.61 | |||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,094.90 | 0.89 | % | $ | 4.62 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.38 | 0.89 | % | 4.46 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,093.70 | 1.13 | % | $ | 5.87 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.19 | 1.13 | % | 5.66 | |||||||||||
TCW Select Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,004.50 | 0.84 | % | $ | 4.17 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.63 | 0.84 | % | 4.21 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.40 | 1.11 | % | $ | 5.51 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.29 | 1.11 | % | 5.56 | |||||||||||
TCW Small Cap Growth Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 976.20 | 1.23 | % | $ | 6.03 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.70 | 1.23 | % | 6.16 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 974.50 | 1.43 | % | $ | 7.00 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.70 | 1.43 | % | 7.15 | |||||||||||
TCW SMID Cap Growth Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 971.40 | 1.20 | % | $ | 5.87 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.84 | 1.20 | % | 6.01 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 971.40 | 1.20 | % | $ | 5.87 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.84 | 1.20 | % | 6.01 |
95
Table of Contents
TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value November 1, 2013 | Ending Account Value April 30, 2014 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2013 to April 30, 2014) | ||||||||||||
TCW Value Opportunities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,099.20 | 0.95 | % | $ | 4.94 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.08 | 0.95 | % | 4.76 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,097.80 | 1.21 | % | $ | 6.29 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.79 | 1.21 | % | 6.06 |
(1) | Does not included Expenses of the underlying affiliated investments |
96
Table of Contents
TCW Funds, Inc.
Supplemental Information
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board of Directors of the Company has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Company’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Advisor, on behalf of the Company, prepares and file Form N-PX with the SEC not later than August 31 of each year, which includes the Company’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Company’s proxy voting record for the most recent twelve-month period ended June 30 is available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for the Company’s proxy voting record, it will send the information disclosed in the Company’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Company also discloses its proxy voting record on its website as soon as is reasonably practicable after its report on Form N-PX is filed with the SEC.
Availability of Quarterly Portfolio Schedule
The Company files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. The Form N-Q is available by calling 800-FUND-TCW (800-386-3829) to obtain a hard copy. You may also obtain the Company’s Form N-Q:
1. | By going to the SEC website at http://www.sec.gov.; or |
2. | By visiting the SEC’s Public Reference Room in Washington, D.C. and photocopying it (Phone 1-800-SEC-0330 for information on the operation of the SEC’s Public Reference Room). |
97
Table of Contents
TCW
Proud manager of the TCW and MetWest Fund families.
TCW Funds, Inc.
865 South Figueroa Street Los Angeles, California 90017
800 FUND TCW (800 386 3829)
www.TCW.com
Investment Advisor
TCW Investment Management Company 865 South Figueroa Street Los Angeles, California 90017
Transfer Agent
U.S. Bancorp Fund Services, LLC 615 E. Michigan Street Milwaukee, Wisconsin 53202
Independent Registered Public Accounting Firm
Deloitte & Touche, LLP 350 South Grand Avenue Los Angeles, California 90071
Custodian & Administrator
State Street Bank & Trust Company 200 Clarendon Street Boston, Massachusetts 02116
Distributor
TCW Funds Distributors 865 South Figueroa Street Los Angeles, California 90017
Directors
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell Director
David S. DeVito Director
John A. Gavin Director
Janet E. Kerr Director
Peter McMillan Director
Charles A. Parker Director
Victoria B. Rogers Director
Marc I. Stern Director
Andrew Tarica Director
Officers
David S. DeVito
President and Chief Executive Officer
Meredith S. Jackson Senior Vice President,
General Counsel, Secretary and Interim Chief Compliance Officer
Richard M. Villa
Treasurer and Chief Financial Officer
Peter A. Brown
Senior Vice President
Patrick W. Dennis Assistant Secretary
Jon-Luc Dupuy Assistant Secretary
George N. Winn Assistant Treasurer
TCW Family of Funds
Equity Funds
TCW Concentrated Value Fund TCW Growth Fund TCW Growth Equities Fund
TCW Relative Value Dividend Appreciation Fund TCW Relative Value Large Cap Fund TCW Select Equities Fund TCW Small Cap Growth Fund TCW SMID Cap Growth Fund TCW Value Opportunities Fund
TCW Allocation Fund
TCW Conservative Allocation Fund
Fixed Income Funds
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund TCW Global Bond Fund TCW High Yield Bond Fund TCW Short Term Bond Fund TCW Total Return Bond Fund
International Funds
TCW Emerging Markets income Fund
TCW Emerging Markets Local Currency Income Fund TCW Emerging Markets Multi-Asset Opportunities Fund TCW International Growth Fund TCW International Small Cap Fund
Table of Contents
TCW Funds
Semi-Annual Report
FOR THE SIX MONTHS ENDED APRIL 30
2014
TCW Fixed Income Funds
Core Fixed Income Fund
Enhanced Commodity Strategy Fund Global Bond Fund High Yield Bond Fund Short Term Bond Fund Total Return Bond Fund
Table of Contents
TCW Funds, Inc.
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 113 |
Table of Contents
Letter to Shareholders |
David S. DeVito | ||
President, Chief Executive Officer & Director |
Dear Valued Investors:
It is my pleasure to present the semi-annual report for the TCW Funds, Inc. covering the six-month period ended April 30, 2014. I would like to thank you for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of April 30, 2014, the TCW Funds held total net assets of approximately $18.6 billion.
This report contains information outlining the performance of the TCW Funds and a listing of the portfolio holdings as of April 30, 2014.
About the TCW Funds
The TCW Funds offer shareholders a choice of 21 funds, each targeted to specific asset classes, market segments or multiple sectors of the global equity and fixed income markets. For U.S. equities, we offer funds across the market capitalization and growth/value spectrums. In fixed income, our funds provide investors opportunities across global fixed income markets including U.S. government, corporate and high yield bonds, mortgage-backed and asset-backed securities, as well as sovereign and corporate bonds denominated in U.S. dollars and foreign currencies. Each TCW Fund is managed by long-tenured investment teams with experience through many market cycles. Rigorous fundamental research, disciplined risk analysis and deep market expertise are the foundation for each of our funds.
The Economy
Coming into 2014, much was made of December’s Federal Reserve (Fed) announcement regarding its slowing of purchases of U.S. Treasury and agency mortgage-backed securities (MBS). Would the economy suffer? Would government rates continue their rise that saw the 10-Year U.S. Treasury yield peak at 3.03% to close 2013? Would other securities markets face increased volatility or pull back as the Fed withdrew support? Although it seemed rather clear that the ongoing securities purchases were not providing much thrust to the real economy by way of job creation and gross domestic product (GDP) expansion, it was fairly evident that asset prices were rising through 2013, whether for homes, equities or high yield bonds, to cite a few. Therefore, it has not been surprising that the Fed was, and is expected to be, resolute in its meeting-by-meeting reduction, bringing what had been an $85 billion monthly buying program down to roughly $55 billion by March month-end. Meanwhile, the world kept on spinning, offering no shortage of other (potentially adverse) influences
early in 2014. Severe winter weather across much of the U.S. slowed economic activity domestically, China’s growth engine seemed to sputter, and Russia amplified global tensions with its annexation of Crimea.
The U.S. Stock Market and our U.S. Equity Funds
U.S. stocks posted solid gains during the past six months through April 30, with the S&P 500 index advancing 8.4% to record high levels. The Fed’s December 2013 decision to begin tapering its asset purchases buoyed stocks, as it signaled confidence in the economy’s ability to sustain organic economic growth, while newly installed Fed Chair Janet Yellen’s statements effectively reassured equity market investors that monetary policy would remain highly accommodative. At the same time, U.S. corporate earnings remained resilient with nearly two-thirds of S&P 500 companies beating analysts’ expectations in both the fourth quarter of 2013 and the first quarter of 2014, although forward-looking guidance remained cautious. Worries about the strength of the U.S. economy mounted given the anemic, weather-impacted 0.1% GDP growth figure registered in 1Q14, coupled with slower growth in China and below 1% economic growth in the Eurozone. The slower growth environment, coupled with geopolitical developments surrounding Ukraine, led to a more defensive tone in the equity market in the first four months of this calendar year. The pronounced drop in the 10-year U.S. treasury yield from 3.02% at the end of 2013 to 2.65% at the end of April 2014 was accompanied by a shift in equity market leadership into more defensive stocks, including real estate investment trusts (REITs), utilities, and telecommunications.
Our value-oriented equity funds generally posted strong performance for the period, boosted by strong stock-picking and the aforementioned shift in market leadership from growth to value names. By the same token, performance of our growth-oriented offerings were challenged in an environment in which growth stock multiples suffered a substantial de-rating in the market, particularly in the areas of technology and biotech. That said, we believe the core fundamentals of these growth companies generally remain compelling, and our portfolio managers maintain an unwavering commitment to the investment philosophy and discipline that have served these funds well over time.
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The U.S. Fixed Income Market and our U.S. Fixed Income Funds
Lower interest rates and tighter spreads drove positive returns across non-government fixed income sectors, with down-in-quality outperforming on a continuing quest for yield. High yield credit benefitted from steady inflows early in 2014, posting gains and producing substantial excess return, as did investment grade credit. Among the investment grade sectors, corporates returned nearly 3% as risk premiums fell to near the lows last seen in 2007 prior to the financial crisis. Despite increased leverage in the sector, industrial credits have outpaced utilities and financials on a duration-adjusted basis. Performance among securitized products has been generally favorable outside of agency MBS, which have struggled since the middle of 2013 as changing expectations for future Fed policy drove episodic volatility and pushed spreads wider among lower coupon issues. Non-agency residential MBS remained sought-after sources of attractive risk-adjusted yield, and commercial MBS were buoyed by strengthening collateral performance. Lastly, asset-backed securities (ABS) backed by student loans were beneficiaries of good demand for short duration, floating rates and a significant degree of government backing.
International/Global Markets and our Emerging Markets Funds
There has been a notable turnaround in emerging markets debt over the last several months, with the asset class posting among the strongest fixed income returns globally year-to-date 2014. In 2013, macro themes such as Fed tapering and fears around growth dynamics weighed on the asset class. Given the significant repricing that occurred in the second half of 2013, along with sound fundamentals and stable growth, emerging markets debt risk appetite has been better supported thus far in 2014. Notably, the differentiation theme continues to characterize returns, with domestic economic and policy developments taking precedence over global macro drivers. In addition, the technical backdrop is stronger, with continued institutional inflows and retail inflows starting to turn positive.
For the six months ended April 30, 2014, the TCW Emerging Markets Income Fund I Share returned 2.28% versus the J.P. Morgan EMBI Global Diversified Index return of 3.75%. During the same period, the TCW Emerging Markets Local Currency Fund I Share returned negative 2.10% versus the J.P. Morgan GBI-EM Global Diversified Index return of negative 1.48%. Underperformance versus the indices during this period has been a function largely of shorter duration versus the index and exposure to Russia, which underperformed during the March/April period on the back of the crisis in Ukraine. We believe that we are well-positioned for a move higher in U.S. Treasury rates and a turnaround in the Russia/Ukraine situation.
An Update on the TCW Fund Family
There were a few changes to our fund family over the last twelve months that we would like to share with our investors. We added a new fund, the TCW Emerging Markets Multi-Asset Opportunities Fund (TGMAX/TGMEX), effective July 1, 2013. The Fund uses a total return approach and seeks to identify the most attractive reward-risk opportunities in the global emerging market debt and equity universe. The Fund is managed by Penny Foley and Dave Robbins, the same portfolio management team that manages the TCW Emerging Markets Income (TGEIX/TGINX) and Local Currency (TGWIX/TGWNX) Funds.
On March 1, 2014, we changed the name of the TCW Dividend Focused Fund to the TCW Relative Value Dividend Appreciation Fund (TGDFX/TGIGX) as we believe the new name better reflects the Fund’s emphasis on companies exhibiting dividend growth. There were no changes to the Fund’s objective or the prospectus.
Looking Ahead
Our expectations for the economy remain consistent with the past several quarters; we see the economy continuing to expand but with little evidence of an accelerating pace. While the withdrawal of monetary accommodation would typically presage a slowing, the absence of a sustained breakout – in terms of GDP and job growth—since 2008 argues that the effect has been far more meaningful on asset valuations than the economy. Meanwhile, risks accumulated over the prolonged period of stimulus continue to argue for an upward normalization of rates, particularly if inflation appears.
As U.S. equities have not suffered greater than a six percent pullback since the fall of 2012, we cannot dismiss the possibility of increased volatility and profit-taking given the data-dependent nature of Fed policy and the ongoing geopolitical risk stemming from the Ukraine crisis. Yet, we would generally view such occasions as buying opportunities given our view that company fundamentals are, for the most part, quite strong, with deleveraged balance sheets, high cash balances, near-record profit margins, and a low, stable inflation environment. Additionally, valuations remain reasonable, with the S&P 500 trading at just over 15 times forward consensus earnings, or at approximately the average witnessed over the past three decades. However, we believe that further advances by U.S. stocks are likely contingent upon confirmation of a continued macroeconomic recovery that translates into top-line revenue growth rather than reliance upon an expansion of the market P/E multiple.
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Finally, I would like to take a brief moment to introduce myself. On January 7, 2014, I was named President and Chief Executive Officer of the TCW Funds and the TCW Strategic Income Fund (TSI). I have been with TCW for over 20 years serving in various senior management positions. In addition to serving as President and CEO of the TCW Funds and TSI, I am currently Executive Vice President and Chief Operating Officer for TCW.
We know that you have many choices when it comes to the management of your financial assets. On behalf of everyone at TCW, I would like to thank you for making the TCW Funds part of your long-term investment plan. We truly value our relationship with you. If you have any questions or require further information, I invite you to visit our website at www.tcw.com, or call our shareholder services department at 800-386-3829.
I look forward to reporting to you again at the end of our fiscal year.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
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Performance Summary (Unaudited)
Total Return | ||||||||||||||||||||||||
Annualized as of April 30, 2014(1) | ||||||||||||||||||||||||
NAV | 1-Year | 5-Year | 10-Year | Since Inception | Inception Date | |||||||||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||||||||||
I Class | $ | 11.09 | 0.01 | % | 7.64 | % | 6.11 | % | 6.62 | % (2) | 01/01/90 | (3) | ||||||||||||
N Class | $ | 11.08 | (0.34 | )% | 7.28 | % | 5.81 | % | 5.85 | % | 03/01/99 | |||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||||||||||
I Class | $ | 8.39 | 5.96 | % | N/A | N/A | (3.37 | )% | 04/01/11 | |||||||||||||||
N Class | $ | 8.39 | 5.83 | % | N/A | N/A | (3.37 | )% | 04/01/11 | |||||||||||||||
TCW Global Bond Fund | ||||||||||||||||||||||||
I Class | $ | 10.44 | 0.31 | % | N/A | N/A | 5.66 | % | 12/01/11 | |||||||||||||||
N Class | $ | 10.44 | 0.31 | % | N/A | N/A | 5.67 | % | 12/01/11 | |||||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||||||||||
I Class | $ | 6.43 | 4.81 | % | 13.13 | % | 6.72 | % | 7.68 | % (2) | 02/01/89 | (3) | ||||||||||||
N Class | $ | 6.47 | 4.49 | % | 12.89 | % | 6.46 | % | 5.67 | % | 03/01/99 | |||||||||||||
TCW Short Term Bond Fund | ||||||||||||||||||||||||
I Class | $ | 8.77 | 0.62 | % | 3.81 | % | 2.46 | % | 4.46 | % (2) | 02/01/90 | (3) | ||||||||||||
TCW Total Return Bond Fund | ||||||||||||||||||||||||
I Class | $ | 10.17 | 1.71 | % | 9.33 | % | 7.16 | % | 7.14 | % | 06/17/93 | |||||||||||||
N Class | $ | 10.49 | 1.39 | % | 9.01 | % | 6.85 | % | 6.83 | % | 03/01/99 |
(1) | Past performance is not indicative of future performance. |
(2) | Performance data includes the performance of the predecessor limited partnership for periods before the Fund’s registration became effective. The predecessor limited partnership was not registered under the Investment Company Act of 1940 as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If the limited partnership had been registered under the 1940 Act, the limited partnership’s performance may have been lower. |
(3) | Inception date of the predecessor entity. |
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Schedule of Investments (Unaudited) | April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Corporate Bonds (20.6% of Net Assets) | ||||||||
Airlines (0.7%) | ||||||||
$ | 72,125 | Continental Airlines, Inc. Pass-Through Certificates, (00-2-A1), 7.707%, due 10/02/22 (EETC) | $ | 82,268 | ||||
826,077 | Continental Airlines, Inc. Pass-Through Certificates, (09-2-A1), 7.25%, due 05/10/21 (EETC) | 967,026 | ||||||
1,069,468 | Continental Airlines, Inc. Pass-Through Certificates, (09-2-A1), 9%, due 01/08/18 (EETC) | 1,229,888 | ||||||
857,370 | Continental Airlines, Inc. Pass-Through Certificates, (99-1-A), 6.545%, due 08/02/20 (EETC) | 959,987 | ||||||
534,825 | Northwest Airlines LLC Pass-Through Certificates, (01-1-A1), 7.041%, due 10/01/23 (EETC) | 625,746 | ||||||
604,743 | US Airways Group, Inc. Pass-Through Certificates, (10-1A), 6.25%, due 10/22/24 (EETC) | 686,383 | ||||||
2,364,102 | US Airways Group, Inc. Pass-Through Certificates, (12-1A), 5.9%, due 04/01/26 (EETC) | 2,658,137 | ||||||
996,568 | US Airways Group, Inc. Pass-Through Certificates, (12-2-A), 4.625%, due 12/03/26 (EETC) | 1,049,511 | ||||||
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Total Airlines | 8,258,946 | |||||||
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Auto Manufacturers (0.1%) | ||||||||
1,350,000 | Daimler Finance North America LLC (Germany), (144A), 1.875%, due 09/15/14 (1) | 1,355,768 | ||||||
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Banks (6.2%) | ||||||||
2,306,000 | Abbey National Treasury Services PLC (United Kingdom), (144A), 3.875%, due 11/10/14 (1) | 2,346,385 | ||||||
1,500,000 | Bank of America Corp., 1.103%, due 04/01/19 (2) | 1,506,169 | ||||||
1,100,000 | Bank of America Corp., 5.65%, due 05/01/18 | 1,247,832 | ||||||
165,000 | Bank of America Corp., 7.375%, due 05/15/14 | 165,296 | ||||||
2,550,000 | Bank of America N.A., 0.513%, due 06/15/16 (2) | 2,527,677 | ||||||
1,000,000 | Bank of America N.A., 0.533%, due 06/15/17 (2) | 988,863 | ||||||
1,250,000 | Bank of America N.A., 5.3%, due 03/15/17 | 1,377,760 | ||||||
2,300,000 | Bank of America N.A., 6.1%, due 06/15/17 | 2,598,529 | ||||||
2,500,000 | Bank of New York Mellon Corp. (The), 1.7%, due 11/24/14 | 2,517,048 | ||||||
250,000 | Barclays Bank PLC (United Kingdom), 5%, due 09/22/16 | 273,530 | ||||||
1,000,000 | Chase Capital VI, 0.862%, due 08/01/28 (2) | 870,000 | ||||||
1,930,000 | Citigroup, Inc., 1.189%, due 07/25/16 (2) | 1,952,444 | ||||||
1,062,000 | Citigroup, Inc., 4.7%, due 05/29/15 | 1,106,375 | ||||||
4,717,000 | Citigroup, Inc., 5.3%, due 01/07/16 | 5,052,049 | ||||||
1,110,000 | Citigroup, Inc., 5.375%, due 08/09/20 | 1,259,030 | ||||||
425,000 | Citigroup, Inc., 6%, due 08/15/17 | 481,867 | ||||||
275,000 | Citigroup, Inc., 6.125%, due 05/15/18 | 317,008 | ||||||
1,400,000 | Citigroup, Inc., 6.375%, due 08/12/14 | 1,423,584 | ||||||
725,000 | Citigroup, Inc., 8.5%, due 05/22/19 | 924,685 | ||||||
3,500,000 | Commonwealth Bank of Australia/New York, 1.95%, due 03/16/15 | 3,545,482 | ||||||
475,000 | Credit Suisse New York (Switzerland), 5.5%, due 05/01/14 | 475,000 |
See accompanying notes to financial statements.
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TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Banks (Continued) | ||||||||
$ | 1,495,000 | Discover Bank/Greenwood DE, 7%, due 04/15/20 | $ | 1,796,723 | ||||
475,000 | First Chicago NBD Institutional Capital I, 0.787%, due 02/01/27 (2) | 413,250 | ||||||
1,500,000 | Goldman Sachs Group, Inc. (The), 1.833%, due 11/29/23 (2) | 1,539,894 | ||||||
2,000,000 | Goldman Sachs Group, Inc. (The), 5.95%, due 01/18/18 | 2,274,726 | ||||||
50,000 | Goldman Sachs Group, Inc. (The), 6%, due 06/15/20 | 57,729 | ||||||
1,550,000 | Goldman Sachs Group, Inc. (The), 6.15%, due 04/01/18 | 1,777,542 | ||||||
4,000,000 | HBOS PLC (United Kingdom), (144A), 6.75%, due 05/21/18 (1) | 4,552,072 | ||||||
1,500,000 | JPMorgan Chase & Co., 3.15%, due 07/05/16 | 1,568,836 | ||||||
475,000 | JPMorgan Chase & Co. (originally issued by Bear Stearns & Co.), 7.25%, due 02/01/18 | 565,415 | ||||||
500,000 | JPMorgan Chase Bank N.A., 5.875%, due 06/13/16 | 550,840 | ||||||
3,875,000 | JPMorgan Chase Bank N.A., 6%, due 10/01/17 | 4,421,437 | ||||||
1,230,000 | JPMorgan Chase Capital XIII, 1.184%, due 09/30/34 (2) | 1,057,800 | ||||||
5,750,000 | JPMorgan Chase Capital XXI, 1.187%, due 01/15/87 (2) | 4,743,750 | ||||||
2,000,000 | JPMorgan Chase Capital XXIII, 1.236%, due 05/15/77 (2) | 1,580,000 | ||||||
850,000 | Lloyds TSB Bank PLC (United Kingdom), (144A), 5.8%, due 01/13/20 (1) | 983,904 | ||||||
2,750,000 | Macquarie Bank, Ltd. (Australia), (144A), 6.625%, due 04/07/21 (1) | 3,133,996 | ||||||
1,290,000 | Morgan Stanley, 0.678%, due 10/18/16 (2) | 1,287,663 | ||||||
400,000 | Morgan Stanley, 0.707%, due 10/15/15 (2) | 400,129 | ||||||
575,000 | Morgan Stanley, 5.45%, due 01/09/17 | 636,087 | ||||||
600,000 | Morgan Stanley, 5.5%, due 07/24/20 | 681,742 | ||||||
750,000 | Morgan Stanley, 5.625%, due 09/23/19 | 856,256 | ||||||
975,000 | Morgan Stanley, 6.625%, due 04/01/18 | 1,138,554 | ||||||
375,000 | Morgan Stanley, 7.3%, due 05/13/19 | 455,130 | ||||||
3,000,000 | Royal Bank of Scotland PLC (The) (United Kingdom), 2.55%, due 09/18/15 | 3,064,337 | ||||||
875,000 | Royal Bank of Scotland PLC (The) (United Kingdom), 6.1%, due 06/10/23 | 928,188 | ||||||
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Total Banks | 73,422,613 | |||||||
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Chemicals (0.0%) | ||||||||
101,000 | Rohm and Haas Co., 6%, due 09/15/17 | 115,133 | ||||||
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Commercial Services (0.5%) | ||||||||
1,250,000 | Autopistas Metropolitanas de Puerto Rico LLC, (144A), 6.75%, due 06/30/35 (1) | 1,101,629 | ||||||
4,185,000 | Catholic Health Initiatives, 4.2%, due 08/01/23 | 4,310,018 | ||||||
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Total Commercial Services | 5,411,647 | |||||||
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Diversified Financial Services (1.3%) | ||||||||
350,000 | American Express Co., 7.25%, due 05/20/14 | 351,022 | ||||||
3,000,000 | Ford Motor Credit Co. LLC, 1.7%, due 05/09/16 | 3,040,615 | ||||||
1,065,000 | General Electric Capital Corp., 0.616%, due 05/05/26 (2) | 969,030 | ||||||
3,315,000 | General Electric Capital Corp., 0.716%, due 08/15/36 (2) | 2,761,860 | ||||||
2,000,000 | General Electric Capital Corp., 3.1%, due 01/09/23 | 1,982,988 | ||||||
1,000,000 | General Electric Capital Corp., 3.15%, due 09/07/22 | 1,001,471 | ||||||
1,250,000 | General Electric Capital Corp., 4.375%, due 09/16/20 | 1,368,593 | ||||||
1,000,000 | General Electric Capital Corp., 4.65%, due 10/17/21 | 1,107,813 |
See accompanying notes to financial statements.
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TCW Core Fixed Income Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Diversified Financial Services (Continued) | ||||||||
$ | 250,000 | General Electric Capital Corp., 5.5%, due 01/08/20 | $ | 288,873 | ||||
1,250,000 | International Lease Finance Corp., (144A), 6.5%, due 09/01/14 (1) | 1,273,375 | ||||||
1,000,000 | International Lease Finance Corp., (144A), 6.75%, due 09/01/16 (1) | 1,111,250 | ||||||
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Total Diversified Financial Services | 15,256,890 | |||||||
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Electric (1.3%) | ||||||||
2,250,000 | El Paso Electric Co., 3.3%, due 12/15/22 | 2,156,342 | ||||||
3,000,000 | Entergy Mississippi, Inc., 3.1%, due 07/01/23 | 2,933,620 | ||||||
900,000 | FirstEnergy Corp., 7.375%, due 11/15/31 | 1,047,491 | ||||||
3,300,000 | Metropolitan Edison Co., (144A), 3.5%, due 03/15/23 (1) | 3,226,498 | ||||||
1,000,000 | Niagara Mohawk Power Corp., (144A), 2.721%, due 11/28/22 (1) | 960,523 | ||||||
400,000 | NiSource Finance Corp., 6.8%, due 01/15/19 | 479,524 | ||||||
150,000 | Oncor Electric Delivery Co. LLC, 5.25%, due 09/30/40 | 174,366 | ||||||
2,545,000 | Public Service Co. of New Mexico, 7.95%, due 05/15/18 | 3,060,019 | ||||||
250,000 | Southern Power Co., 4.875%, due 07/15/15 | 262,181 | ||||||
1,000,000 | Tucson Electric Power Co., 5.15%, due 11/15/21 | 1,110,260 | ||||||
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Total Electric | 15,410,824 | |||||||
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Energy-Alternate Sources (0.2%) | ||||||||
2,191,028 | Alta Wind Holdings LLC, (144A), 7%, due 06/30/35 (1) | 2,415,484 | ||||||
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Engineering & Construction (0.3%) | ||||||||
2,000,000 | Sydney Airport Finance Co. Pty, Ltd. (Australia), (144A), 3.9%, due 03/22/23 (1) | 1,987,656 | ||||||
1,000,000 | Sydney Airport Finance Co. Pty, Ltd. (Australia), (144A), 5.125%, due 02/22/21 (1) | 1,095,273 | ||||||
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Total Engineering & Construction | 3,082,929 | |||||||
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Environmental Control (0.0%) | ||||||||
50,000 | Waste Management, Inc., 7%, due 07/15/28 | 64,522 | ||||||
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Food (0.0%) | ||||||||
143,000 | Kraft Foods Group, Inc., 5.375%, due 02/10/20 | 164,723 | ||||||
132,000 | Mondelez International, Inc., 5.375%, due 02/10/20 | 151,289 | ||||||
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Total Food | 316,012 | |||||||
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Gas (0.3%) | ||||||||
2,000,000 | Florida Gas Transmission Co. LLC, (144A), 3.875%, due 07/15/22 (1) | 2,032,104 | ||||||
500,000 | Florida Gas Transmission Co. LLC, (144A), 4%, due 07/15/15 (1) | 519,501 | ||||||
350,000 | Florida Gas Transmission Co. LLC, (144A), 7.9%, due 05/15/19 (1) | 430,956 | ||||||
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Total Gas | 2,982,561 | |||||||
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Healthcare-Products (0.0%) | ||||||||
250,000 | Covidien International Finance S.A. (Ireland), 6%, due 10/15/17 | 287,367 | ||||||
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Healthcare-Services (1.7%) | ||||||||
2,545,000 | Hartford HealthCare Corp., 5.746%, due 04/01/44 | 2,680,925 | ||||||
3,000,000 | North Shore Long Island Jewish Health Care, Inc., 4.8%, due 11/01/42 | 2,820,841 |
See accompanying notes to financial statements.
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TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Healthcare-Services (Continued) | ||||||||
$ | 1,305,000 | North Shore Long Island Jewish Health Care, Inc., 6.15%, due 11/01/43 | $ | 1,542,607 | ||||
3,000,000 | NYU Hospitals Center, 4.428%, due 07/01/42 | 2,804,570 | ||||||
60,000 | NYU Hospitals Center, 5.75%, due 07/01/43 | 67,996 | ||||||
3,860,000 | Providence Health & Services Obligated Group, 1.183%, due 10/01/17 (2) | 3,853,474 | ||||||
3,290,000 | Saint Barnabas Health Care System, 4%, due 07/01/28 | 3,004,981 | ||||||
2,270,000 | Sutter Health, 2.286%, due 08/15/53 | 2,479,650 | ||||||
250,000 | WellPoint, Inc., 5.25%, due 01/15/16 | 268,559 | ||||||
175,000 | WellPoint, Inc., 5.875%, due 06/15/17 | 196,997 | ||||||
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Total Healthcare-Services | 19,720,600 | |||||||
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Insurance (1.9%) | ||||||||
425,000 | Berkshire Hathaway Finance Corp., 4.85%, due 01/15/15 | 438,925 | ||||||
1,625,000 | Farmers Exchange Capital, (144A), 7.2%, due 07/15/48 (1) | 2,000,304 | ||||||
2,250,000 | Farmers Exchange Capital II, (144A), 6.151%, due 11/01/53 (1)(2) | 2,495,279 | ||||||
250,000 | Farmers Insurance Exchange, (144A), 6%, due 08/01/14 (1) | 252,510 | ||||||
800,000 | MetLife, Inc., 4.368%, due 09/15/23 | 857,686 | ||||||
300,000 | MetLife, Inc., 5.7%, due 06/15/35 | 356,736 | ||||||
2,300,000 | Metropolitan Life Global Funding I, (144A), 0.757%, due 07/15/16 (1)(2) | 2,316,017 | ||||||
4,000,000 | Metropolitan Life Global Funding I, (144A), 3.875%, due 04/11/22 (1) | 4,195,592 | ||||||
4,000,000 | Pricoa Global Funding I, (144A), 1.6%, due 05/29/18 (1) | 3,927,828 | ||||||
1,000,000 | Prudential Financial, Inc., 4.5%, due 11/15/20 | 1,092,673 | ||||||
717,857 | Prudential Holdings LLC, (144A), 8.695%, due 12/18/23 (1) | 919,484 | ||||||
3,700,000 | ZFS Finance USA Trust II, (144A), 6.45%, due 12/15/65 (1)(2) | 4,000,625 | ||||||
|
| |||||||
Total Insurance | 22,853,659 | |||||||
|
| |||||||
Iron & Steel (0.0%) | ||||||||
380,000 | ArcelorMittal (Luxembourg), 5%, due 02/25/17 | 405,695 | ||||||
|
| |||||||
Media (0.0%) | ||||||||
200,000 | NBCUniversal Media LLC, 5.15%, due 04/30/20 | 228,631 | ||||||
|
| |||||||
Mining (0.2%) | ||||||||
2,400,000 | Barrick Gold Corp. (Canada), 4.1%, due 05/01/23 | 2,341,317 | ||||||
300,000 | Southern Copper Corp. (Peru), 7.5%, due 07/27/35 | 343,993 | ||||||
|
| |||||||
Total Mining | 2,685,310 | |||||||
|
| |||||||
Oil & Gas (0.0%) | ||||||||
250,000 | Anadarko Petroleum Corp., 5.95%, due 09/15/16 | 278,744 | ||||||
|
| |||||||
Pharmaceuticals (0.0%) | ||||||||
250,000 | Eli Lilly & Co., 5.2%, due 03/15/17 | 279,213 | ||||||
|
| |||||||
Pipelines (1.9%) | ||||||||
460,000 | CenterPoint Energy Resources Corp., 6.15%, due 05/01/16 | 508,287 | ||||||
1,750,000 | CenterPoint Energy Resources Corp., 6.25%, due 02/01/37 | 2,117,090 | ||||||
1,000,000 | El Paso Pipeline Partners Operating Co. LLC, 5%, due 10/01/21 | 1,079,725 | ||||||
1,050,000 | Enterprise Products Operating LLC, 3.35%, due 03/15/23 | 1,036,270 |
See accompanying notes to financial statements.
8
Table of Contents
TCW Core Fixed Income Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Pipelines (Continued) | ||||||||
$ | 675,000 | Panhandle Eastern Pipe Line Co. LP, 7%, due 06/15/18 | $ | 781,340 | ||||
825,000 | Panhandle Eastern Pipe Line Co. LP, 8.125%, due 06/01/19 | 997,948 | ||||||
2,500,000 | Plains All American Pipeline LP/PAA Finance Corp., 2.85%, due 01/31/23 | 2,379,613 | ||||||
3,350,000 | Ruby Pipeline LLC, (144A), 6%, due 04/01/22 (1) | 3,681,319 | ||||||
2,590,000 | Southern Natural Gas Co. LLC, 7.35%, due 02/15/31 | 3,283,366 | ||||||
1,005,000 | Tennessee Gas Pipeline Co., 8%, due 02/01/16 | 1,124,133 | ||||||
2,090,000 | Tennessee Gas Pipeline Co., 8.375%, due 06/15/32 | 2,880,662 | ||||||
375,000 | TransCanada PipeLines, Ltd. (Canada), 6.1%, due 06/01/40 | 458,125 | ||||||
172,000 | Williams Cos., Inc. (The), 3.7%, due 01/15/23 | 159,102 | ||||||
1,278,000 | Williams Cos., Inc. (The), 7.75%, due 06/15/31 | 1,494,327 | ||||||
|
| |||||||
Total Pipelines | 21,981,307 | |||||||
|
| |||||||
Real Estate (0.2%) | ||||||||
850,000 | Post Apartment Homes, LP, 4.75%, due 10/15/17 | 930,138 | ||||||
1,190,000 | WEA Finance LLC/WT Finance Australia Pty, Ltd. (Australia), (144A), 5.75%, due 09/02/15 (1) | 1,266,760 | ||||||
|
| |||||||
Total Real Estate | 2,196,898 | |||||||
|
| |||||||
REIT (3.2%) | ||||||||
2,250,000 | Alexandria Real Estate Equities, Inc., 4.6%, due 04/01/22 | 2,357,063 | ||||||
1,000,000 | AvalonBay Communities, Inc., 3.95%, due 01/15/21 | 1,049,594 | ||||||
2,200,000 | Boston Properties LP, 5.875%, due 10/15/19 | 2,566,498 | ||||||
960,000 | ERP Operating LP, 6.584%, due 04/13/15 | 1,014,080 | ||||||
3,000,000 | Essex Portfolio LP, 3.625%, due 08/15/22 | 2,991,865 | ||||||
3,605,000 | HCP, Inc., 3.75%, due 02/01/19 | 3,830,718 | ||||||
3,000,000 | HCP, Inc., 6%, due 01/30/17 | 3,375,267 | ||||||
715,000 | HCP, Inc., 6.3%, due 09/15/16 | 801,887 | ||||||
1,030,000 | Health Care REIT, Inc., 2.25%, due 03/15/18 | 1,043,133 | ||||||
545,000 | Health Care REIT, Inc., 4.95%, due 01/15/21 | 598,844 | ||||||
3,400,000 | Health Care REIT, Inc., 6.125%, due 04/15/20 | 3,963,281 | ||||||
710,000 | Health Care REIT, Inc., 6.5%, due 03/15/41 | 891,421 | ||||||
2,900,000 | Healthcare Realty Trust, Inc., 5.75%, due 01/15/21 | 3,234,449 | ||||||
350,000 | Healthcare Realty Trust, Inc., 6.5%, due 01/17/17 | 394,353 | ||||||
1,459,000 | Highwoods Realty LP, 7.5%, due 04/15/18 | 1,715,463 | ||||||
300,000 | Liberty Property LP, 5.125%, due 03/02/15 | 310,870 | ||||||
1,925,000 | Nationwide Health Properties, Inc., 6%, due 05/20/15 | 2,031,557 | ||||||
2,440,000 | SL Green Realty Corp., 5%, due 08/15/18 | 2,652,263 | ||||||
1,000,000 | SL Green Realty Corp., 7.75%, due 03/15/20 | 1,204,821 | ||||||
150,000 | UDR, Inc., 5.25%, due 01/15/15 | 154,797 | ||||||
1,500,000 | Ventas Realty LP/Ventas Capital Corp., 4%, due 04/30/19 | 1,604,449 | ||||||
|
| |||||||
Total REIT | 37,786,673 | |||||||
|
| |||||||
Telecommunications (0.6%) | ||||||||
1,625,000 | AT&T, Inc., 2.625%, due 12/01/22 | 1,539,840 | ||||||
11,000 | AT&T, Inc., 4.3%, due 12/15/42 | 9,965 |
See accompanying notes to financial statements.
9
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Telecommunications (Continued) | ||||||||
$ | 739,000 | AT&T, Inc., 6.5%, due 09/01/37 | $ | 883,019 | ||||
1,500,000 | Qwest Corp., 7.25%, due 09/15/25 | 1,741,713 | ||||||
220,000 | Telecom Italia Capital S.A. (Italy), 6%, due 09/30/34 | 213,400 | ||||||
2,000,000 | Verizon Communications, Inc., 1.984%, due 09/14/18 (2) | 2,114,595 | ||||||
125,000 | Verizon Communications, Inc., 6.25%, due 04/01/37 | 148,508 | ||||||
|
| |||||||
Total Telecommunications | 6,651,040 | |||||||
|
| |||||||
Total Corporate Bonds (Cost: $233,590,714) (20.6%) | 243,448,466 | |||||||
|
| |||||||
Municipal Bonds (1.9%) | ||||||||
1,000,000 | California State, Build America Bonds, 5.7%, due 11/01/21 | 1,181,090 | ||||||
3,020,000 | California State, Build America Bonds, 6.65%, due 03/01/22 | 3,665,887 | ||||||
1,050,000 | California State, General Obligation Unlimited, 6.2%, due 10/01/19 | 1,261,438 | ||||||
1,465,000 | City of Chicago, Illinois, General Obligation Unlimited, 6.05%, due 01/01/29 | 1,540,770 | ||||||
3,935,000 | City of Houston, Texas, General Obligation, 6.29%, due 03/01/32 | 4,765,718 | ||||||
1,250,000 | City of New York, General Obligation Unlimited, 5.517%, due 10/01/37 | 1,426,100 | ||||||
970,000 | Fiscal Year 2005 Securitization Corp., Special Obligation Bond for the City of New York, 4.93%, due 04/01/20 | 1,067,737 | ||||||
250,000 | Illinois State, Build America Bonds, 4.421%, due 01/01/15 | 256,065 | ||||||
1,500,000 | Illinois State, General Obligation Bond, 4.35%, due 06/01/18 | 1,595,100 | ||||||
1,505,000 | Illinois State, General Obligation Unlimited, 4.95%, due 06/01/23 | 1,578,640 | ||||||
3,000,000 | Illinois State, General Obligation Unlimited, 6.2%, due 07/01/21 | 3,406,170 | ||||||
730,000 | New York State, Build America Bonds, General Obligation Unlimited, 5.817%, due 10/01/31 | 803,621 | ||||||
|
| |||||||
Total Municipal Bonds (Cost: $21,858,971) | 22,548,336 | |||||||
|
| |||||||
Foreign Government Bonds (0.5%) | ||||||||
6,030,000 | Kommunalbanken A.S. (Norway), (144A), 1.125%, due 05/23/18 (1) | 5,935,720 | ||||||
200,000 | Province of Manitoba (Canada), 4.9%, due 12/06/16 | 221,357 | ||||||
|
| |||||||
Total Foreign Government Bonds (Cost: $6,214,192) | 6,157,077 | |||||||
|
| |||||||
Asset-Backed Securities (7.1%) | ||||||||
2,140,090 | 321 Henderson Receivables I LLC (13-3A-A), (144A), 4.08%, due 01/17/73 (1) | 2,207,835 | ||||||
2,800,000 | Academic Loan Funding Trust (12-1A-A2), (144A), 1.252%, due 12/27/44 (1)(2) | 2,852,603 | ||||||
2,500,000 | ALM Loan Funding (12-7A-A1), (144A), 1.648%, due 10/19/24 (1)(2) | 2,496,230 | ||||||
2,517,630 | Bayview Commercial Asset Trust (06-4A-A1), (144A), 0.382%, due 12/25/36 (1)(2) | 2,194,429 | ||||||
1,688,074 | Beacon Container Finance LLC (12-1A-A), (144A), 3.72%, due 09/20/27 (1) | 1,721,302 | ||||||
2,007,584 | Brazos Education Loan Authority, Inc. (12-1-A1), 0.852%, due 12/26/35 (2) | 2,012,341 | ||||||
661,675 | Brazos Higher Education Authority, Inc. (06-2-A9), 0.255%, due 12/26/24 (2) | 649,239 | ||||||
675,000 | Brazos Higher Education Authority, Inc. (10-1-A2), 1.435%, due 02/25/35 (2) | 696,361 | ||||||
1,695,000 | Brazos Higher Education Authority, Inc. (11-1-A3), 1.285%, due 11/25/33 (2) | 1,724,312 | ||||||
2,095,250 | CAL Funding II, Ltd. (12-1A-A), (144A), 3.47%, due 10/25/27 (1) | 2,096,560 | ||||||
4,082,591 | Cent CLO 16 LP (13-19A-A1A), (144A), 1.566%, due 10/29/25 (1)(2) | 4,059,786 | ||||||
1,615,271 | College Loan Corp. Trust (05-2-A3), 0.357%, due 04/15/25 (2) | 1,602,658 | ||||||
1,010,417 | Cronos Containers Program, Ltd. (12-1A-A), (144A), 4.21%, due 05/18/27 (1) | 1,011,449 |
See accompanying notes to financial statements.
10
Table of Contents
TCW Core Fixed Income Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Asset-Backed Securities (Continued) | ||||||||
$ | 1,262,500 | Cronos Containers Program, Ltd. (12-2A-A), (144A), 3.81%, due 09/18/27 (1) | $ | 1,276,273 | ||||
3,500,000 | Educational Funding of the South, Inc. (11-1-A2), 0.879%, due 04/25/35 (2) | 3,492,202 | ||||||
1,928,619 | Educational Services of America, Inc. (12-2-A), (144A), 0.882%, due 04/25/39 (1)(2) | 1,945,737 | ||||||
3,341,704 | GCO Education Loan Funding Trust (06-2AR-A1RN), (144A), 0.804%, due 08/27/46 (1)(2) | 3,224,660 | ||||||
306,631 | GE Business Loan Trust (03-1-A), (144A), 0.582%, due 04/15/31 (1)(2) | 297,624 | ||||||
312,907 | GE Business Loan Trust (04-1-A), (144A), 0.442%, due 05/15/32 (1)(2) | 302,261 | ||||||
1,637,984 | GE Business Loan Trust (04-2A-A), (144A), 0.372%, due 12/15/32 (1)(2) | 1,582,086 | ||||||
2,069,757 | Iowa Student Loan Liquidity Corp. (11-1-A), 1.483%, due 06/25/42 (2) | 2,120,218 | ||||||
2,400,000 | Montana Higher Education Student Assistance Corp. (12-1-A3), 1.202%, due 07/20/43 (2) | 2,385,299 | ||||||
3,000,000 | Nomad CLO, Ltd. (13-1A-A1), (144A), 1.427%, due 01/15/25 (1)(2) | 2,971,674 | ||||||
2,600,000 | Oak Hill Credit Partners (12-7A-A), (144A), 1.655%, due 11/20/23 (1)(2) | 2,593,172 | ||||||
3,839,035 | Oak Hill Credit Partners (13-9A-A1), (144A), 1.628%, due 10/20/25 (1)(2) | 3,830,274 | ||||||
2,450,000 | Octagon Investment Partners XI, Ltd. (07-1A-A1B), (144A), 0.495%, | 2,397,474 | ||||||
3,400,000 | SLM Student Loan Trust (06-2-A6), 0.399%, due 01/25/41 (2) | 3,120,085 | ||||||
3,400,000 | SLM Student Loan Trust (06-8-A6), 0.389%, due 01/25/41 (2) | 3,118,157 | ||||||
686,508 | SLM Student Loan Trust (07-6-B), 1.079%, due 04/27/43 (2) | 626,963 | ||||||
710,000 | SLM Student Loan Trust (08-2-B), 1.429%, due 01/25/29 (2) | 645,976 | ||||||
710,000 | SLM Student Loan Trust (08-3-B), 1.429%, due 04/25/29 (2) | 657,422 | ||||||
8,380,000 | SLM Student Loan Trust (08-4-A4), 1.879%, due 07/25/22 (2) | 8,846,251 | ||||||
710,000 | SLM Student Loan Trust (08-4-B), 2.079%, due 04/25/29 (2) | 693,187 | ||||||
710,000 | SLM Student Loan Trust (08-5-B), 2.079%, due 07/25/29 (2) | 720,722 | ||||||
710,000 | SLM Student Loan Trust (08-6-B), 2.079%, due 07/25/29 (2) | 702,549 | ||||||
710,000 | SLM Student Loan Trust (08-7-B), 2.079%, due 07/25/29 (2) | 729,374 | ||||||
710,000 | SLM Student Loan Trust (08-8-B), 2.479%, due 10/25/29 (2) | 751,382 | ||||||
710,000 | SLM Student Loan Trust (08-9-B), 2.479%, due 10/25/29 (2) | 747,907 | ||||||
2,000,000 | SLM Student Loan Trust (11-2-A2), 1.352%, due 10/25/34 (2) | 2,083,422 | ||||||
2,600,000 | SLM Student Loan Trust (12-7-A3), 0.802%, due 05/26/26 (2) | 2,603,831 | ||||||
2,813,880 | SLM Student Loan Trust (13-4-A), 0.702%, due 06/25/27 (2) | 2,820,096 | ||||||
940,000 | TAL Advantage I LLC (06-1A-NOTE), (144A), 0.342%, due 04/20/21 (1)(2) | 929,788 | ||||||
601,250 | Textainer Marine Containers, Ltd. (05-1A-A), (144A), 0.4%, due 05/15/20 (1)(2) | 600,176 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost: $81,808,249) | 84,141,347 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Agency (5.2%) | ||||||||
3,425,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K004-A2), 4.186%, due 08/25/19 | 3,756,450 | ||||||
2,915,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K009-A2), 3.808%, due 08/25/20 | 3,131,742 | ||||||
2,755,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K013-A2), 3.974%, due 01/25/21 (2) | 2,983,500 | ||||||
5,030,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K020-A2), 2.373%, due 05/25/22 | 4,858,401 |
See accompanying notes to financial statements.
11
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Commercial Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 5,709,802 | Federal National Mortgage Association, (12-M12-1A), 2.935%, due 08/25/22 (ACES)(2) | $ | 5,738,835 | ||||
5,131,531 | Federal National Mortgage Association, (12-M15-A), 2.744%, due 10/25/22 (ACES)(2) | 5,048,054 | ||||||
4,409,479 | Federal National Mortgage Association, Pool #745935, 5.682%, due 08/01/16 (3) | 4,776,144 | ||||||
2,305,000 | Federal National Mortgage Association, Pool #AE0134, 4.399%, due 02/01/20 (3) | 2,544,114 | ||||||
3,991,878 | Federal National Mortgage Association, Pool #AE0918, 3.665%, due 10/01/20 (3) | 4,274,298 | ||||||
2,172,878 | Federal National Mortgage Association, Pool #AL0151, 4.378%, due 04/01/21 (3) | 2,383,954 | ||||||
5,492,004 | Federal National Mortgage Association, Pool #AL3306, 2.46%, due 04/01/23 (3) | 5,323,527 | ||||||
5,147,371 | Federal National Mortgage Association, Pool #AL3400, 2.545%, due 03/01/23 (3) | 5,019,327 | ||||||
2,506,725 | Federal National Mortgage Association, Pool #FN0000, 3.584%, due 09/01/20 | 2,664,021 | ||||||
3,460,173 | Federal National Mortgage Association, Pool #FN0001, 3.763%, due 12/01/20 | 3,713,098 | ||||||
2,889,861 | Federal National Mortgage Association, Pool #FN0003, 4.302%, due 01/01/21 (3) | 3,174,486 | ||||||
2,214,354 | NCUA Guaranteed Notes (11-C1-2A), 0.682%, due 03/09/21 (2) | 2,228,392 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Agency | 61,618,343 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Non-Agency (4.0%) | ||||||||
1,090,707 | Banc of America Commercial Mortgage, Inc. (05-2-A5), 4.857%, due 07/10/43 (2) | 1,125,122 | ||||||
3,450,000 | Bear Stearns Commercial Mortgage Securities Trust (05-T20-A4A), 5.288%, due 10/12/42 (2) | 3,625,345 | ||||||
765,000 | DBRR Trust (11-LC2-A4A), (144A), 4.537%, due 07/12/44 (1)(2) | 826,992 | ||||||
924,150 | DBRR Trust (12-EZ1-A), (144A), 0.946%, due 09/25/45 (1) | 926,271 | ||||||
2,436,902 | DBRR Trust (13-EZ2-A), (144A), 0.853%, due 02/25/45 (1)(2) | 2,433,414 | ||||||
3,150,000 | GS Mortgage Securities Corp. II (11-GC5-A4), 3.707%, due 08/10/44 | 3,286,696 | ||||||
3,114,394 | JPMorgan Chase Commercial Mortgage Securities Trust (05-LDP5-A3), 5.434%, due 12/15/44 (2) | 3,151,066 | ||||||
2,794,027 | LB-UBS Commercial Mortgage Trust (04-C7-A1A), 4.475%, due 10/15/29 | 2,826,601 | ||||||
1,798,040 | Morgan Stanley Capital I Trust (05-T19-A4A), 4.89%, due 06/12/47 | 1,866,441 | ||||||
2,855,000 | Morgan Stanley Capital I Trust (06-T21-A4), 5.162%, due 10/12/52 (2) | 3,012,984 | ||||||
5,005,000 | Morgan Stanley Capital I Trust (06-T23-A4), 5.985%, due 08/12/41 (2) | 5,467,464 | ||||||
2,278,842 | Morgan Stanley Capital I Trust (07-HQ12-A2FX), 5.777%, due 04/12/49 (2) | 2,355,176 | ||||||
1,080,000 | Morgan Stanley Capital I Trust (07-T25-A3), 5.514%, due 11/12/49 (2) | 1,189,197 | ||||||
1,146,303 | Morgan Stanley Capital I Trust (11-C3-A2), 3.224%, due 07/15/49 | 1,196,548 | ||||||
625,000 | Morgan Stanley Capital I Trust (11-C3-A4), 4.118%, due 07/15/49 | 668,369 | ||||||
4,690,858 | Wachovia Bank Commercial Mortgage Trust (05-C20-A7), 5.118%, due 07/15/42 (2) | 4,886,865 | ||||||
3,600,000 | WF-RBS Commercial Mortgage Trust (11-C5-A4), 3.667%, due 11/15/44 | 3,743,039 | ||||||
2,800,000 | WF-RBS Commercial Mortgage Trust (12-C7-A2), 3.431%, due 06/15/45 | 2,845,056 | ||||||
2,275,000 | WF-RBS Commercial Mortgage Trust (12-C8-A3), 3.001%, due 08/15/45 | 2,240,069 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Non-Agency | 47,672,715 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Agency (25.7%) | ||||||||
410,328 | Federal Home Loan Mortgage Corp. (2439-KZ), 6.5%, due 04/15/32 | 457,158 | ||||||
1,035,793 | Federal Home Loan Mortgage Corp. (2575-FD), 0.602%, due 02/15/33 (PAC) (2) | 1,044,392 | ||||||
649,095 | Federal Home Loan Mortgage Corp. (2662-MT), 4.5%, due 08/15/33 (TAC) | 688,263 |
See accompanying notes to financial statements.
12
Table of Contents
TCW Core Fixed Income Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 8,703,220 | Federal Home Loan Mortgage Corp. (277-30), 3%, due 09/15/42 (3) | $ | 8,444,585 | ||||
318,492 | Federal Home Loan Mortgage Corp. (2875-GM), 5%, due 01/15/33 (PAC) | 320,976 | ||||||
301,817 | Federal Home Loan Mortgage Corp. (3315-S), 6.258%, due 05/15/37 (I/O) (I/F) (2) | 33,344 | ||||||
1,356,889 | Federal Home Loan Mortgage Corp. (3339-JS), 41.846%, due 07/15/37 (I/F) (2) | 2,652,711 | ||||||
1,345,267 | Federal Home Loan Mortgage Corp. (3351-ZC), 5.5%, due 07/15/37 | 1,489,155 | ||||||
1,888,182 | Federal Home Loan Mortgage Corp. (3380-SM), 6.258%, due 10/15/37 (I/O) (I/F) (2) | 294,887 | ||||||
1,609,114 | Federal Home Loan Mortgage Corp. (3382-FL), 0.852%, due 11/15/37 (2) | 1,621,397 | ||||||
6,256,823 | Federal Home Loan Mortgage Corp. (3439-SC), 5.748%, due 04/15/38 (I/O) (2) | 801,749 | ||||||
2,551,788 | Federal Home Loan Mortgage Corp. (3578-DI), 6.498%, due 04/15/36 (I/O) (I/F) (2) | 421,724 | ||||||
6,049,342 | Federal Home Loan Mortgage Corp. (4139-PA), 2.5%, due 11/15/41 (PAC) (3) | 6,063,895 | ||||||
58,599 | Federal Home Loan Mortgage Corp., Pool #1A1127, 2.515%, due 01/01/37 (2) | 59,069 | ||||||
4,390,678 | Federal Home Loan Mortgage Corp., Pool #A97179, 4.5%, due 03/01/41 | 4,774,139 | ||||||
50,049 | Federal Home Loan Mortgage Corp., Pool #B15026, 5%, due 06/01/19 | 53,177 | ||||||
19,518 | Federal Home Loan Mortgage Corp., Pool #B15591, 5%, due 07/01/19 | 20,739 | ||||||
9,444,199 | Federal Home Loan Mortgage Corp., Pool #C04412, 3%, due 11/01/42 | 9,209,082 | ||||||
36,198 | Federal Home Loan Mortgage Corp., Pool #C90526, 5.5%, due 02/01/22 | 39,859 | ||||||
4,790,514 | Federal Home Loan Mortgage Corp., Pool #G06360, 4%, due 03/01/41 (3) | 5,039,210 | ||||||
3,907,368 | Federal Home Loan Mortgage Corp., Pool #G06498, 4%, due 04/01/41 | 4,104,110 | ||||||
2,733,359 | Federal Home Loan Mortgage Corp., Pool #G06499, 4%, due 03/01/41 (3) | 2,868,425 | ||||||
1,498,025 | Federal Home Loan Mortgage Corp., Pool #G06620, 4.5%, due 07/01/41 (3) | 1,621,904 | ||||||
4,082,118 | Federal Home Loan Mortgage Corp., Pool #Q05261, 3.5%, due 12/01/41 (3) | 4,159,774 | ||||||
6,267,653 | Federal Home Loan Mortgage Corp., Pool #Q20178, 3.5%, due 07/01/43 (3) | 6,382,059 | ||||||
403,167 | Federal National Mortgage Association (01-14-SH), 10.797%, due 03/25/30 (I/F) (2) | 646,811 | ||||||
542,825 | Federal National Mortgage Association (01-34-FV), 0.652%, due 08/25/31 (2) | 548,751 | ||||||
5,819 | Federal National Mortgage Association (03-62-MA), 3.5%, due 07/25/33 | 5,949 | ||||||
2,000,000 | Federal National Mortgage Association (04-W10-A6), 5.75%, due 08/25/34 (PAC) | 2,193,982 | ||||||
260,902 | Federal National Mortgage Association (05-54-VM), 4.5%, due 11/25/25 | 263,841 | ||||||
2,226,911 | Federal National Mortgage Association (07-89-GF), 0.672%, due 09/25/37 (2) | 2,248,139 | ||||||
477,062 | Federal National Mortgage Association (08-30-SA), 6.698%, due 04/25/38 | 58,389 | ||||||
709,990 | Federal National Mortgage Association (08-62-SN), 6.048%, due 07/25/38 | 91,940 | ||||||
4,000,000 | Federal National Mortgage Association (09-64-TB), 4%, due 08/25/29 | 4,268,780 | ||||||
316,728 | Federal National Mortgage Association (09-68-SA), 6.598%, due 09/25/39 | 43,134 | ||||||
4,842,215 | Federal National Mortgage Association (10-26-AS), 6.178%, due 03/25/40 (I/O) (2) | 632,474 | ||||||
4,000,000 | Federal National Mortgage Association (11-111-DB), 4%, due 11/25/41 | 4,126,546 | ||||||
44,729 | Federal National Mortgage Association, Pool #254634, 5.5%, due 02/01/23 | 49,714 | ||||||
31,249 | Federal National Mortgage Association, Pool #596686, 6.5%, due 11/01/31 | 33,149 | ||||||
161,030 | Federal National Mortgage Association, Pool #725275, 4%, due 03/01/19 | 171,157 | ||||||
126,417 | Federal National Mortgage Association, Pool #727575, 5%, due 06/01/33 | 136,242 | ||||||
135,615 | Federal National Mortgage Association, Pool #748751, 5.5%, due 10/01/33 | 141,283 | ||||||
2,571,578 | Federal National Mortgage Association, Pool #AB2127, 3.5%, due 01/01/26 (3) | 2,712,765 | ||||||
2,285,301 | Federal National Mortgage Association, Pool #AB3679, 3.5%, due 10/01/41 (3) | 2,328,775 | ||||||
4,185,853 | Federal National Mortgage Association, Pool #AB3685, 4%, due 10/01/41 (3) | 4,399,234 | ||||||
3,078,988 | Federal National Mortgage Association, Pool #AB3864, 3.5%, due 11/01/41 (3) | 3,139,966 |
See accompanying notes to financial statements.
13
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 6,287,758 | Federal National Mortgage Association, Pool #AB4045, 3.5%, due 12/01/41 (3) | $ | 6,418,180 | ||||
4,554,450 | Federal National Mortgage Association, Pool #AC1604, 4%, due 08/01/39 (3) | 4,790,890 | ||||||
1,393,198 | Federal National Mortgage Association, Pool #AL0209, 4.5%, due 05/01/41 | 1,515,504 | ||||||
2,703,850 | Federal National Mortgage Association, Pool #AL0851, 6%, due 10/01/40 | 3,026,347 | ||||||
11,652,610 | Federal National Mortgage Association, Pool #AT5914, 3.5%, due 06/01/43 | 11,731,936 | ||||||
12,313,720 | Federal National Mortgage Association, Pool #MA1561, 3%, due 09/01/33 (3) | 12,404,622 | ||||||
11,086,944 | Federal National Mortgage Association, Pool #MA1584, 3.5%, due 09/01/33 | 11,504,003 | ||||||
12,016,396 | Federal National Mortgage Association, Pool #MA1608, 3.5%, due 10/01/33 | 12,468,418 | ||||||
20,805,000 | Federal National Mortgage Association TBA, 3% (4) | 20,278,374 | ||||||
17,670,000 | Federal National Mortgage Association TBA, 3% (4) | 18,240,133 | ||||||
24,630,000 | Federal National Mortgage Association TBA, 3.5% (4) | 25,005,223 | ||||||
2,780,000 | Federal National Mortgage Association TBA, 3.5% (4) | 2,928,556 | ||||||
24,705,000 | Federal National Mortgage Association TBA, 4% (4) | 25,891,033 | ||||||
17,245,000 | Federal National Mortgage Association TBA, 4.5% (4) | 18,519,514 | ||||||
2,075,954 | Government National Mortgage Association (04-30-UC), 5.5%, due 02/20/34 (PAC) | 2,244,823 | ||||||
1,531,485 | Government National Mortgage Association (05-25-Z), 5%, due 03/16/35 | 1,669,312 | ||||||
1,065,570 | Government National Mortgage Association (08-27-SI), 6.318%, due 03/20/38 (I/O) (I/F) (2) | 158,193 | ||||||
4,182,471 | Government National Mortgage Association (08-81-S), 6.048%, due 09/20/38 (I/O) (I/F) (2) | 619,604 | ||||||
1,794,304 | Government National Mortgage Association (09-66-UF), 1.152%, due 08/16/39 (2) | 1,832,318 | ||||||
6,600,999 | Government National Mortgage Association (10-1-S), 5.598%, due 01/20/40 (I/O) (2) | 968,893 | ||||||
152,822 | Government National Mortgage Association, Pool #608259, 4.5%, due 08/15/33 | 167,073 | ||||||
401,471 | Government National Mortgage Association, Pool #782114, 5%, due 09/15/36 | 443,807 | ||||||
6,870,000 | Government National Mortgage Association II TBA, 3% (4) | 6,830,819 | ||||||
10,735,000 | Government National Mortgage Association II TBA, 4.5% (4) | 11,639,088 | ||||||
2,621,301 | NCUA Guaranteed Notes (10-R1-1A), 0.602%, due 10/07/20 (2) | 2,636,097 | ||||||
1,581,722 | NCUA Guaranteed Notes (10-R2-1A), 0.522%, due 11/06/17 (2) | 1,585,738 | ||||||
3,173,520 | NCUA Guaranteed Notes (10-R2-2A), 0.622%, due 11/05/20 (2) | 3,190,285 | ||||||
1,201,578 | NCUA Guaranteed Notes (10-R3-1A), 0.712%, due 12/08/20 (2) | 1,212,750 | ||||||
1,009,181 | NCUA Guaranteed Notes (10-R3-2A), 0.712%, due 12/08/20 (2) | 1,018,071 | ||||||
1,491,204 | NCUA Guaranteed Notes (11-R1-1A), 0.602%, due 01/08/20 (2) | 1,500,029 | ||||||
1,433,616 | NCUA Guaranteed Notes (11-R2-1A), 0.552%, due 02/06/20 (2) | 1,439,213 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Agency | 304,785,650 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Non-Agency (7.3%) | ||||||||
1,684,031 | Argent Securities, Inc. (05-W2-A2B1), 0.352%, due 10/25/35 (2) | 1,680,404 | ||||||
1,500,328 | Asset-Backed Funding Certificates (05-WMC1-M1), 0.812%, due 06/25/35 (2) | 1,477,785 | ||||||
3,282,723 | Asset-Backed Securities Corp. Home Equity (05-HE6-M2), 0.662%, due 07/25/35 (2) | 3,249,787 | ||||||
708,911 | Banc of America Funding Corp. (06-G-2A3), 0.322%, due 07/20/36 (2) | 708,330 | ||||||
2,385,946 | Carrington Mortgage Loan Trust (05-NC5-A2), 0.472%, due 10/25/35 (2) | 2,371,601 | ||||||
1,190,470 | Centex Home Equity (02-C-AF6), 4.5%, due 09/25/32 (2) | 1,202,608 | ||||||
1,726,911 | Centex Home Equity (03-B-AF6), 3.173%, due 06/25/33 (2) | 1,771,210 | ||||||
720,417 | Citigroup Mortgage Loan Trust, Inc. (05-5-2A2), 5.75%, due 08/25/35 (5) | 583,154 | ||||||
2,152,979 | Conseco Financial Corp. (98-6-A8), 6.66%, due 06/01/30 | 2,316,374 |
See accompanying notes to financial statements.
14
Table of Contents
TCW Core Fixed Income Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 4,606,322 | Countrywide Asset-Backed Certificates (05-11-MV1), 0.624%, due 02/25/36 (2) | $ | 4,584,681 | ||||
89,537 | Countrywide Asset-Backed Certificates (05-4-MV1), 0.614%, due 10/25/35 (2) | 89,717 | ||||||
626,266 | Countrywide Home Loans Mortgage Pass-Through Trust (07-J3-A1), 0.652%, due 07/25/37 (2)(5) | 442,945 | ||||||
28,395 | Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA), 5.75%, due 04/22/33 | 30,426 | ||||||
728,582 | First Franklin Mortgage Loan Asset-Backed Certificates (05-FF8-A2D), 0.532%, due 09/25/35 (2) | 724,982 | ||||||
2,405,440 | GSAA Trust (05-3-M1), 0.829%, due 12/25/34 (2) | 2,367,087 | ||||||
845,000 | GSAMP Trust (05-HE5-M1), 0.782%, due 11/25/35 (2) | 800,580 | ||||||
2,452,253 | HSBC Home Equity Loan Trust USA (07-1-AM), 0.392%, due 03/20/36 (2) | 2,435,820 | ||||||
542,046 | HSBC Home Equity Loan Trust USA (07-2-AM), 0.392%, due 07/20/36 (2) | 535,966 | ||||||
2,969,392 | HSBC Home Equity Loan Trust USA (07-3-APT), 1.352%, due 11/20/36 (2) | 2,983,544 | ||||||
2,299,558 | HSI Asset Securitization Corp. Trust (06-OPT1-2A3), 0.342%, due 12/25/35 (2) | 2,251,071 | ||||||
1,689,477 | Indymac Index Mortgage Loan Trust (05-AR6-2A1), 0.392%, due 04/25/35 (2) | 1,557,295 | ||||||
4,750,165 | JPMorgan Mortgage Acquisition Corp. (05-OPT1-M1), 0.602%, due 06/25/35 (2) | 4,719,445 | ||||||
589,171 | MASTR Asset-Backed Securities Trust (05-WF1-A2D), 0.522%, due 06/25/35 (2) | 585,031 | ||||||
2,084,240 | Mid-State Trust (04-1-B), 8.9%, due 08/15/37 | 2,513,641 | ||||||
2,429,906 | Morgan Stanley Capital, Inc. (04-WMC2-M1), 1.067%, due 07/25/34 (2) | 2,422,709 | ||||||
525,741 | Morgan Stanley Mortgage Loan Trust (04-3-4A), 5.694%, due 04/25/34 (2) | 535,129 | ||||||
2,248,995 | New Century Home Equity Loan Trust (05-1-A2C), 0.852%, due 03/25/35 (2) | 2,253,474 | ||||||
4,400,000 | New Century Home Equity Loan Trust (05-2-M1), 0.582%, due 06/25/35 (2) | 4,344,394 | ||||||
4,903,290 | New Century Home Equity Loan Trust (05-3-M1), 0.632%, due 07/25/35 (2) | 4,883,397 | ||||||
7,107,984 | New Century Home Equity Loan Trust (05-3-M2), 0.642%, due 07/25/35 (2) | 6,739,532 | ||||||
3,887,509 | New Century Home Equity Loan Trust (05-4-A2C), 0.522%, due 09/25/35 (2) | 3,852,170 | ||||||
99,476 | Park Place Securities, Inc. (04-MHQ1-M1), 1.202%, due 12/25/34 (2) | 99,824 | ||||||
2,432,062 | Park Place Securities, Inc. (04-WWF1-M2), 1.172%, due 12/25/34 (2) | 2,403,505 | ||||||
3,339,341 | Park Place Securities, Inc. (05-WCH1-M2), 0.672%, due 01/25/36 (2) | 3,327,499 | ||||||
4,991,888 | Park Place Securities, Inc. (05-WHQ2-A1B), 0.422%, due 05/25/35 (2) | 4,969,023 | ||||||
1,146,130 | Structured Asset Securities Corp. (03-34A-5A4), 2.415%, due 11/25/33 (2) | 1,167,810 | ||||||
2,855,065 | Structured Asset Securities Corp. (05-GEL4-M1), 0.674%, due 08/25/35 (2) | 2,824,919 | ||||||
1,623,152 | Structured Asset Securities Corp. (05-WF4-A4), 0.512%, due 11/25/35 (2) | 1,621,118 | ||||||
403,472 | Wells Fargo Alternative Loan Trust (07-PA3-2A1), 6%, due 07/25/37 (5) | 366,504 | ||||||
2,655,003 | Wells Fargo Home Equity Trust (05-2-M1), 0.552%, due 08/25/35 (2) | 2,648,865 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency | 86,443,356 | |||||||
|
| |||||||
U.S. Government Agency Obligations (3.3%) | ||||||||
7,040,000 | Federal Farm Credit Banks Funding Corp., 0.14%, due 09/19/14 (2)(3) | 7,040,649 | ||||||
5,860,000 | Federal Farm Credit Banks Funding Corp., 0.173%, due 09/14/16 (2) | 5,861,735 | ||||||
6,475,000 | Federal Home Loan Bank, 0.55%, due 06/03/16 (3) | 6,475,764 | ||||||
6,050,000 | Federal Home Loan Bank, 0.75%, due 05/26/28 (3) | 5,992,998 | ||||||
8,090,000 | Federal National Mortgage Association, 0.36%, due 06/23/14 (2) | 8,093,307 | ||||||
5,045,000 | Federal National Mortgage Association, 0.5%, due 10/22/15 (3) | 5,058,993 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost: $38,541,298) | 38,523,446 | |||||||
|
|
See accompanying notes to financial statements.
15
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
U.S. Treasury Securities (21.1%) | ||||||||
$ | 34,620,000 | U.S. Treasury Bond, 3.625%, due 02/15/44 | $ | 35,696,474 | ||||
125,908 | U.S. Treasury Inflation Indexed Bond, 1.375%, due 02/15/44 (6) | 133,021 | ||||||
18,367,163 | U.S. Treasury Inflation Indexed Note, 0.125%, due 04/15/16 (6) | 18,903,833 | ||||||
16,443,940 | U.S. Treasury Inflation Indexed Note, 0.125%, due 04/15/17 (6) | 16,969,373 | ||||||
2,711,492 | U.S. Treasury Inflation Indexed Note, 0.125%, due 04/15/18 (6) | 2,786,223 | ||||||
6,472,359 | U.S. Treasury Inflation Indexed Note, 0.5%, due 04/15/15 (6) | 6,595,994 | ||||||
21,389,573 | U.S. Treasury Inflation Indexed Note, 2%, due 07/15/14 (6) | 21,696,214 | ||||||
3,175,737 | U.S. Treasury Inflation Indexed Note, 2%, due 01/15/16 (6) | 3,369,010 | ||||||
8,000,000 | U.S. Treasury Note, 0.375%, due 01/15/16 | 8,010,936 | ||||||
5,660,000 | U.S. Treasury Note, 0.75%, due 01/15/17 | 5,660,662 | ||||||
47,770,000 | U.S. Treasury Note, 1.625%, due 03/31/19 | 47,686,041 | ||||||
8,700,000 | U.S. Treasury Note, 2.125%, due 01/31/21 | 8,665,339 | ||||||
72,585,000 | U.S. Treasury Note, 2.75%, due 02/15/24 | 73,225,780 | ||||||
|
| |||||||
Total U.S. Treasury Securities (Cost: $248,211,495) | 249,398,900 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $1,121,755,533) (96.7%) | 1,144,737,636 | |||||||
|
| |||||||
Number of Shares | Money Market Investments | |||||||
12,050,000 | Dreyfus Institutional Cash Advantage Fund, 0.06% (7) | 12,050,000 | ||||||
11,894,000 | DWS Money Market Series — Institutional Shares, 0.06% (7) | 11,894,000 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $23,944,000) (2.0%) | 23,944,000 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Certificate of Deposit (Cost: $6,000,000) (0.5%) | ||||||||
Banks (0.5%) | ||||||||
$ | 6,000,000 | Credit Suisse/New York (Switzerland), 0.556%, due 08/24/15 (2) | 5,996,124 | |||||
|
| |||||||
Commercial Paper (1.6%) | ||||||||
Banks (0.7%) | ||||||||
8,025,000 | Macquarie Bank, Ltd. (Australia), 0.203%, due 05/27/14 (8) | 8,023,841 | ||||||
|
| |||||||
Electric (0.9%) | ||||||||
5,275,000 | National Rural Utilities Cooperative Finance Corp., 0.08%, due 05/15/14 (8) | 5,274,836 | ||||||
6,000,000 | National Rural Utilities Cooperative Finance Corp., 0.09%, due 05/15/14 (8) | 5,999,790 | ||||||
|
| |||||||
Total Commercial Paper (Cost: $19,298,467) | 19,298,467 | |||||||
|
| |||||||
Discount Notes (7.2%) | ||||||||
11,000,000 | Federal Agricultural Mortgage Corp. Discount Note, 0.06%, due 06/30/14 (8) | 10,999,450 | ||||||
10,050,000 | Federal Home Loan Bank Discount Note, 0.06%, due 05/30/14 (3)(8) | 10,049,490 | ||||||
35,000,000 | Federal Home Loan Bank Discount Note, 0.055%, due 07/30/14 (8) | 34,996,500 | ||||||
10,000,000 | Federal Home Loan Bank Discount Note, 0.06%, due 07/16/14 (8) | 9,999,159 | ||||||
7,730,000 | Federal Home Loan Bank Discount Note, 0.073%, due 06/06/14 (8) | 7,729,436 |
See accompanying notes to financial statements.
16
Table of Contents
TCW Core Fixed Income Fund
April 30, 2014 |
Principal Amount | Short-Term Investments | |||||||
Discount Notes (Continued) | ||||||||
$ | 12,000,000 | Federal Home Loan Bank Discount Note, 0.075%, due 06/06/14 (8) | $ | 11,999,100 | ||||
|
| |||||||
Total Discount Notes (Cost: $85,770,846) | 85,773,135 | |||||||
|
| |||||||
Repurchase Agreement (3.0%) | ||||||||
10,236,087 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $11,240,000 Federal Home Loan Mortgage Corp., 2.08%, due 10/17/22 valued at $10,444,894) (Total Amount to be Received Upon Repurchase $10,236,087) | 10,236,087 | ||||||
25,000,000 | The Royal Bank of Scotland PLC, 0.05%, due 05/06/14 (collateralized by $27,210,000 U.S. Treasury Note, 1.75%, due 05/15/23, valued at $25,500,255) (Total Amount to be Received Upon Repurchase $25,000,243) | 25,000,000 | ||||||
|
| |||||||
Total Repurchase Agreement (Cost: $35,236,087) | 35,236,087 | |||||||
|
| |||||||
Total Short-Term Investments (Cost: $146,305,400) (12.3%) | 146,303,813 | |||||||
|
| |||||||
Total Investments (Cost: $1,292,004,933) (111.0%) | 1,314,985,449 | |||||||
Liabilities in Excess of Other Assets (-11.0%) | (130,401,169 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 1,184,584,280 | ||||||
|
|
Notes to the Schedule of Investments:
ACES - Alternative Credit Enhancement Securities.
CLO - Collateralized Loan Obligation.
EETC - Enhanced Equipment Trust Certificate.
I/F - Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates.
I/O - Interest Only Security.
PAC - Planned Amortization Class.
REIT - Real Estate Investment Trust.
TAC - Target Amortization Class.
TBA - To be Announced.
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2014, the value of these securities amounted to $104,295,882 or 8.8% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2014. |
(3) | All or a portion of this security is segregated to cover open futures contracts, when-issued, delayed-delivery or forward commitments. (Note 2) |
(4) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(5) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. |
(6) | Interest rate for this security is a stated rate. Interest payments are determined based on the inflation-adjusted principal. |
(7) | Rate disclosed, the 7-day net yield, is as of April 30, 2014. |
(8) | Rate shown represents yield-to-maturity. |
See accompanying notes to financial statements.
17
Table of Contents
TCW Core Fixed Income Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Airlines | 0.7 | % | ||
Asset-Backed Securities | 7.1 | |||
Auto Manufacturers | 0.1 | |||
Banks | 6.2 | |||
Chemicals | 0.0 | * | ||
Commercial Mortgage-Backed Securities — Agency | 5.2 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 4.0 | |||
Commercial Services | 0.5 | |||
Diversified Financial Services | 1.3 | |||
Electric | 1.3 | |||
Energy-Alternate Sources | 0.2 | |||
Engineering & Construction | 0.3 | |||
Environmental Control | 0.0 | * | ||
Food | 0.0 | * | ||
Foreign Government Bonds | 0.5 | |||
Gas | 0.3 | |||
Healthcare-Products | 0.0 | * | ||
Healthcare-Services | 1.7 | |||
Insurance | 1.9 | |||
Iron & Steel | 0.0 | * | ||
Media | 0.0 | * | ||
Mining | 0.2 | |||
Municipal Bonds | 1.9 | |||
Oil & Gas | 0.0 | * | ||
Pharmaceuticals | 0.0 | * | ||
Pipelines | 1.9 | |||
REIT | 3.2 | |||
Real Estate | 0.2 | |||
Residential Mortgage-Backed Securities — Agency | 25.7 | |||
Residential Mortgage-Backed Securities — Non-Agency | 7.3 | |||
Telecommunications | 0.6 | |||
U.S. Government Agency Obligations | 3.3 | |||
U.S. Treasury Securities | 21.1 | |||
Money Market Investments | 2.0 | |||
Short-Term Investments | 12.3 | |||
|
| |||
Total | 111.0 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
18
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited) | April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Asset-Backed Securities (1.2% of Net Assets) | ||||||||
$ | 19,286 | Educational Services of America, Inc. (12-2-A), (144A), 0.882%, due 04/25/39 (1)(2) | $ | 19,457 | ||||
12,467 | Goal Capital Funding Trust (06-1-A3), 0.355%, due 11/25/26 (2) | 12,360 | ||||||
8,468 | Nelnet Student Loan Trust (12-5A-A), (144A), 0.752%, due 10/27/36 (1)(2) | 8,510 | ||||||
7,803 | Scholar Funding Trust (11-A-A), (144A), 1.128%, due 10/28/43 (1)(2) | 7,845 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost: $48,071) | 48,172 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Agency (Cost: $8,805) (0.2%) | ||||||||
8,783 | Government National Mortgage Association (10-96-A), 2.207%, due 09/16/39 | 8,905 | ||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Non-Agency (4.6%) | ||||||||
14,656 | Banc of America Commercial Mortgage Trust (06-5-A2), 5.317%, due 09/10/47 | 14,735 | ||||||
2,295 | Bear Stearns Commercial Mortgage Securities Trust (04-PWR4-A3), 5.468%, due 06/11/41 (2) | 2,296 | ||||||
19,212 | Bear Stearns Commercial Mortgage Securities Trust (07-PW16-AAB), 5.896%, due 06/11/40 (2) | 19,890 | ||||||
19,887 | Commercial Mortgage Pass-Through Certificates (05-C6-A5A), 5.116%, due 06/10/44 (2) | 20,695 | ||||||
12,410 | Credit Suisse Commercial Mortgage Trust (06-C1-AAB), 5.644%, due 02/15/39 (2) | 12,601 | ||||||
5,058 | JPMorgan Chase Commercial Mortgage Securities Trust (05-CB11-ASB), 5.201%, due 08/12/37 (2) | 5,067 | ||||||
20,000 | JPMorgan Chase Commercial Mortgage Securities Trust (05-LDP2-A4), 4.738%, due 07/15/42 | 20,623 | ||||||
16,284 | JPMorgan Chase Commercial Mortgage Securities Trust (06-LDP7-ASB), 6.025%, due 04/15/45 (2) | 16,856 | ||||||
11,182 | JPMorgan Chase Commercial Mortgage Securities Trust (07-LD12-ASB), 5.833%, due 02/15/51 (2) | 11,900 | ||||||
11,647 | Morgan Stanley Capital I Trust (07-IQ14-A2), 5.61%, due 04/15/49 | 11,763 | ||||||
32,447 | Wachovia Bank Commercial Mortgage Trust (05-C20-A7), 5.118%, due 07/15/42 (2) | 33,802 | ||||||
15,878 | Wachovia Bank Commercial Mortgage Trust (06-C26-APB), 5.997%, due 06/15/45 | 16,618 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $190,030) | 186,846 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Agency (3.0%) | ||||||||
19,442 | Federal Home Loan Mortgage Corp. (3346-FA), 0.382%, due 02/15/19 (2) | 19,464 | ||||||
15,442 | Federal Home Loan Mortgage Corp. (242-F29), 0.402%, due 11/15/36 (2) | 15,433 | ||||||
18,810 | Federal National Mortgage Association (01-70-OF), 1.102%, due 10/25/31 (2) | 19,172 | ||||||
32,689 | Federal National Mortgage Association (05-W3-2AF), 0.372%, due 03/25/45 (2) | 32,645 | ||||||
11,524 | Federal National Mortgage Association (10-87-GA), 4%, due 02/25/24 | 11,795 | ||||||
9,895 | Federal National Mortgage Association (93-247-FM), 1.909%, due 12/25/23 (2) | 10,163 | ||||||
13,622 | NCUA Guaranteed Notes (11-R6-1A), 0.532%, due 05/07/20 (2)(3) | 13,640 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $120,185) | 122,312 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Non-Agency (15.0%) | ||||||||
18,121 | Banc of America Alternative Loan Trust (03-4-1A5), 5.5%, due 06/25/33 | 19,580 | ||||||
17,792 | Banc of America Alternative Loan Trust (03-9-1CB5), 5.5%, due 11/25/33 | 18,334 | ||||||
4,856 | Banc of America Funding Corp. (06-G-2A3), 0.322%, due 07/20/36 (2) | 4,852 | ||||||
11,441 | Bear Stearns Alt-A Trust (04-13-A1), 0.892%, due 11/25/34 (2) | 11,367 | ||||||
9,209 | Bear Stearns Asset-Backed Securities Trust (05-SD1-1A3), 0.552%, due 08/25/43 (2) | 9,112 | ||||||
26,133 | Bombardier Capital Mortgage Securitization Corp. (01-A-A), 6.805%, due 12/15/30 (2) | 27,180 | ||||||
56,358 | Centex Home Equity Loan Trust (05-A-AF5), 5.28%, due 01/25/35 | 60,347 | ||||||
27,306 | Conseco Financial Corp. (97-7-A9), 7.37%, due 07/15/28 (2) | 29,265 | ||||||
17,827 | Credit-Based Asset Servicing and Securitization LLC (03-CB5-M1), 1.174%, due 11/25/33 (2) | 16,856 |
See accompanying notes to financial statements.
19
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 42,587 | Credit-Based Asset Servicing and Securitization LLC (05-CB4-AF3), 4.875%, due 07/25/35 | $ | 43,930 | ||||
19,329 | First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C), 1.152%, due 08/25/34 (2) | 19,384 | ||||||
15,865 | Homestar Mortgage Acceptance Corp. (04-5-A1), 0.602%, due 10/25/34 (2) | 15,893 | ||||||
70,075 | JPMorgan Mortgage Trust (05-A6-7A1), 2.745%, due 08/25/35 (2)(4) | 66,843 | ||||||
47,551 | MASTR Seasoned Securitization Trust (04-1-4A1), 2.582%, due 10/25/32 (2) | 47,786 | ||||||
43,092 | MASTR Seasoned Securitization Trust (05-1-4A1), 2.402%, due 10/25/32 (2) | 43,619 | ||||||
38,441 | Mid-State Trust (04-1-M1), 6.497%, due 08/15/37 | 42,017 | ||||||
18,089 | Morgan Stanley Mortgage Loan Trust (04-6AR-1A), 0.602%, due 07/25/34 (2) | 17,478 | ||||||
32,164 | Origen Manufactured Housing (05-A-M1), 5.46%, due 06/15/36 (2) | 33,860 | ||||||
15,103 | Residential Asset Mortgage Products, Inc. (03-RZ3-A6), 3.9%, due 03/25/33 | 15,247 | ||||||
33,668 | Residential Asset Mortgage Products, Inc. (04-SL3-A2), 6.5%, due 12/25/31 | 34,271 | ||||||
2,928 | Residential Asset Mortgage Products, Inc. (05-RS5-AI3), 0.492%, due 05/25/35 (2) | 2,921 | ||||||
25,023 | Wells Fargo Mortgage-Backed Securities Trust (03-17-2A10), 5.5%, due 01/25/34 | 25,681 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $550,207) | 605,823 | |||||||
|
| |||||||
Corporate Bonds (19.8%) | ||||||||
Airlines (3.9%) | ||||||||
92,378 | Continental Airlines, Inc. Pass-Through Certificates, (00-1-A1), 8.048%, due 05/01/22 (EETC) | 106,755 | ||||||
52,681 | JetBlue Airways Corp. Pass-Through Certificates, (04-2-G1), 0.611%, due 02/15/18 (EETC) (2) | 51,522 | ||||||
|
| |||||||
Total Airlines (Cost: $147,416) | 158,277 | |||||||
|
| |||||||
Banks (6.2%) | ||||||||
10,000 | Bank of America Corp., 5.625%, due 10/14/16 | 11,022 | ||||||
80,000 | Bank of America N.A., 0.513%, due 06/15/16 (2) | 79,300 | ||||||
7,000 | Citigroup, Inc., 0.785%, due 08/25/36 (2) | 5,561 | ||||||
75,000 | Citigroup, Inc., 1.936%, due 05/15/18 (2) | 77,826 | ||||||
75,000 | JPMorgan Chase Bank N.A., 0.563%, due 06/13/16 (2) | 74,695 | ||||||
|
| |||||||
Total Banks (Cost: $242,011) | 248,404 | |||||||
|
| |||||||
Diversified Financial Services (2.2%) | ||||||||
60,000 | General Electric Capital Corp., 0.616%, due 05/05/26 (2) | 54,593 | ||||||
35,000 | Macquarie Group, Ltd. (Australia), (144A), 7.3%, due 08/01/14 (1) | 35,556 | ||||||
|
| |||||||
Total Diversified Financial Services (Cost: $80,842) | 90,149 | |||||||
|
| |||||||
Electric (Cost: $25,059) (0.6%) | ||||||||
25,000 | NextEra Energy Capital Holdings, Inc., 1.339%, due 09/01/15 | 25,215 | ||||||
|
| |||||||
Insurance (3.5%) | ||||||||
70,000 | Farmers Insurance Exchange, (144A), 6%, due 08/01/14 (1) | 70,703 | ||||||
70,000 | Nationwide Mutual Insurance Co., (144A), 5.81%, due 12/15/24 (1)(2) | 71,575 | ||||||
|
| |||||||
Total Insurance (Cost: $137,884) | 142,278 | |||||||
|
|
See accompanying notes to financial statements.
20
Table of Contents
TCW Enhanced Commodity Strategy Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
REIT (3.4%) | ||||||||
$ | 35,000 | HCP, Inc., 3.75%, due 02/01/19 | $ | 37,192 | ||||
70,000 | Health Care REIT, Inc., 6.2%, due 06/01/16 | 77,502 | ||||||
20,000 | Kimco Realty Corp., 4.82%, due 06/01/14 | 20,063 | ||||||
|
| |||||||
Total REIT (Cost: $130,212) | 134,757 | |||||||
|
| |||||||
Total Corporate Bonds (Cost: $763,424) (19.8%) | 799,080 | |||||||
|
| |||||||
Municipal Bond (Cost: $75,109) (1.9%) | ||||||||
75,000 | State of Illinois, General Obligation, 4.511%, due 03/01/15 | 77,369 | ||||||
|
| |||||||
U.S. Government Agency Obligation (Cost: $20,000) (0.5%) | ||||||||
20,000 | Federal Farm Credit Banks, 0.207%, due 02/27/17 (2) | 20,027 | ||||||
|
| |||||||
Total Fixed Income Securities (Cost: $1,775,831) (46.2%) | 1,868,534 | |||||||
|
| |||||||
Number of Shares | Money Market Investments | |||||||
9,000 | BlackRock Liquidity Funds TempFund Portfolio, 0.03% (5) | 9,000 | ||||||
36,000 | Dreyfus Institutional Cash Advantage Fund, 0.06% (5) | 36,000 | ||||||
6,000 | DWS Money Market Series — Institutional Shares, 0.06% (5) | 6,000 | ||||||
14,500 | JPMorgan Prime Money Market Fund — Institutional Class, 0.01% (5) | 14,500 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $65,500) (1.6%) | 65,500 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Discount Notes (46.2%) | ||||||||
$ | 350,000 | Federal Home Loan Bank Discount Note, 0.045%, due 05/19/14 (6) | 349,992 | |||||
110,000 | Federal Home Loan Bank Discount Note, 0.045%, due 05/07/14 (6) | 109,999 | ||||||
195,000 | Federal Home Loan Bank Discount Note, 0.065%, due 05/16/14 (3)(6) | 194,995 | ||||||
140,000 | Federal Home Loan Bank Discount Note, 0.07%, due 07/25/14 (3)(6) | 139,987 | ||||||
105,000 | Federal Home Loan Bank Discount Note, 0.075%, due 05/16/14 (6) | 104,997 | ||||||
100,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.06%, due 08/11/14 (6) | 99,989 | ||||||
5,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.07%, due 08/01/14 (3)(6) | 5,000 | ||||||
25,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.07%, due 06/10/14 (6) | 24,998 | ||||||
20,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.077%, due 06/20/14 (6) | 19,998 | ||||||
50,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.08%, due 06/05/14 (3)(6) | 49,996 | ||||||
70,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.08%, due 07/11/14 (3)(6) | 69,994 | ||||||
90,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.08%, due 05/05/14 (3)(6) | 89,999 | ||||||
75,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.09%, due 05/28/14 (3)(6) | 74,995 | ||||||
40,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.09%, due 07/07/14 (3)(6) | 39,997 | ||||||
95,000 | Federal National Mortgage Association Discount Note, 0.07%, due 05/01/14(6) | 95,000 | ||||||
165,000 | Federal National Mortgage Association Discount Note, 0.07%, due 07/30/14 (3)(6) | 164,984 | ||||||
35,000 | Federal National Mortgage Association Discount Note, 0.08%, due 07/09/14 (6) | 34,997 | ||||||
55,000 | Federal National Mortgage Association Discount Note, 0.08%, due 07/14/14 (3)(6) | 54,996 |
See accompanying notes to financial statements.
21
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited) (Continued)
Principal Amount | Short-Term Investments | Value | ||||||
Discount Notes (Continued) | ||||||||
$ | 35,000 | Federal National Mortgage Association Discount Note, 0.09%, due 07/09/14 (6) | $ | 34,997 | ||||
105,000 | Federal National Mortgage Association Discount Note, 0.09%, due 07/16/14 (3)(6) | 104,991 | ||||||
|
| |||||||
Total Discount Notes (Cost: $1,864,841) | 1,864,901 | |||||||
|
| |||||||
Repurchase Agreement (Cost: $118,931) (2.9%) | ||||||||
118,931 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $130,000 Federal National Mortgage Association, 2.17%, due 10/17/22 valued at $122,058) (Total Amount to be Received Upon Repurchase $118,931) | 118,931 | ||||||
|
| |||||||
Time Deposit (Cost: $23,309) (0.6%) | ||||||||
23,309 | State Street Euro Dollar Time Deposit, Inc., 0.01%, due 05/01/14 (3) | 23,309 | ||||||
|
| |||||||
Total Short-Term Investments (Cost: $2,007,081) (49.7%) | 2,007,141 | |||||||
|
| |||||||
Total Investments (Cost: $3,848,412) (97.5%) | 3,941,175 | |||||||
Excess of Other Assets over Liabilities (2.5%) | 100,072 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 4,041,247 | ||||||
|
|
Total Return Swaps (3)
Notional Amount | Expiration Date | Counterparty | Payment Made by Fund | Payment Received by Fund | Unrealized Appreciation | Premium Paid | Value | |||||||||||||
OTC Swaps | ||||||||||||||||||||
$ 2,421,321 | 5/20/14 | Credit Suisse First Boston Corp. | 3-Month U.S. Treasury Bills | Credit Suisse Custom 24 Total Return Index | $ | 2,443 | $ | — | $ | 2,443 | ||||||||||
1,611,113 | 5/20/14 | Citigroup Global Markets, Inc. | 3-Month U.S. Treasury Bills | Citi Custom CIVICS H Index | 1,521 | — | 1,521 | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 3,964 | $ | — | $ | 3,964 | |||||||||||||||
|
|
|
|
|
|
Notes to the Consolidated Schedule of Investments:
EETC - Enhanced Equipment Trust Certificate.
OTC - Over-the Counter.
REIT - Real Estate Investment Trust.
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2014, the value of these securities amounted to $213,646 or 5.3% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2014. |
(3) | All or a portion of this security is owned by TCW Cayman Enhanced Commodity Fund, Ltd. |
(4) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. |
(5) | Rate disclosed, the 7-day net yield, is as of April 30, 2014. |
(6) | Rate shown represents yield-to-maturity. |
See accompanying notes to financial statements.
22
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Airlines | 3.9 | % | ||
Asset-Backed Securities | 1.2 | |||
Banks | 6.2 | |||
Commercial Mortgage-Backed Securities — Agency | 0.2 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 4.6 | |||
Diversified Financial Services | 2.2 | |||
Electric | 0.6 | |||
Insurance | 3.5 | |||
Municipal Bond | 1.9 | |||
REIT | 3.4 | |||
Residential Mortgage-Backed Securities — Agency | 3.0 | |||
Residential Mortgage-Backed Securities — Non-Agency | 15.0 | |||
U.S. Government Agency Obligation | 0.5 | |||
Money Market Investments | 1.6 | |||
Short-Term Investments | 49.7 | |||
|
| |||
Total | 97.5 | % | ||
|
|
See accompanying notes to financial statements.
23
Table of Contents
Schedule of Investments (Unaudited)
Principal Amount | Fixed Income Securities | Value | ||||||
Corporate Bonds (12.9% of Net Assets) | ||||||||
Airlines (2.1%) | ||||||||
$ | 194,080 | American Airlines, Inc. Pass-Through Trust, (13-2-A), (144A), 4.95%, due 07/15/24 (EETC) (1) | $ | 209,121 | ||||
87,137 | Delta Air Lines, Inc. Pass-Through Certificates, (02-1G1), 6.718%, due 07/02/24 (EETC) | 102,168 | ||||||
20,158 | US Airways Group, Inc. Pass-Through Certificates, (10-1A), 6.25%, due 10/22/24 (EETC) | 22,880 | ||||||
|
| |||||||
Total Airlines | 334,169 | |||||||
|
| |||||||
Banks (7.3%) | ||||||||
45,000 | Abbey National Treasury Services PLC (United Kingdom), (Reg. S), 1.75%, due 01/15/18 (2) | 63,642 | ||||||
250,000 | Bank of America N.A., 6.1%, due 06/15/17 | 282,449 | ||||||
200,000 | BBVA Bancomer S.A. (Mexico), (144A), 6.75%, due | 223,500 | ||||||
300,000 | Chase Capital VI, 0.85%, due 08/01/28 (3) | 261,000 | ||||||
110,000 | Goldman Sachs Group, Inc. (The), 5.95%, due 01/18/18 | 125,110 | ||||||
40,000 | HBOS PLC (United Kingdom), (144A), 6.75%, due 05/21/18 (1) | 45,521 | ||||||
100,000 | Rabobank Nederland Utrecht (Netherlands), 3.375%, due 01/19/17 | 106,156 | ||||||
50,000 | Royal Bank of Scotland PLC (The) (United Kingdom), 5.625%, due 08/24/20 | 56,851 | ||||||
|
| |||||||
Total Banks | 1,164,229 | |||||||
|
| |||||||
Diversified Financial Services (1.0%) | ||||||||
200,000 | General Electric Capital Corp., 0.716%, due 08/15/36 (3) | 166,628 | ||||||
|
| |||||||
Insurance (1.1%) | ||||||||
100,000 | Farmers Exchange Capital II, (144A), 6.151%, due | 110,901 | ||||||
65,000 | ZFS Finance USA Trust II, (144A), 6.45%, due 12/15/65 (1)(3) | 70,281 | ||||||
|
| |||||||
Total Insurance | 181,182 | |||||||
|
| |||||||
REIT (1.4%) | ||||||||
100,000 | HCP, Inc., 3.75%, due 02/01/19 | 106,261 | ||||||
100,000 | SL Green Realty Corp., 5%, due 08/15/18 | 108,700 | ||||||
|
| |||||||
Total REIT | 214,961 | |||||||
|
| |||||||
Total Corporate Bonds (Cost: $1,768,756) (12.9%) | 2,061,169 | |||||||
|
| |||||||
Foreign Government Bonds (39.9%) | ||||||||
EUR | 360,000 | Bundesrepublik Deutschland (Germany), 2.25%, due | 542,744 | |||||
CAD | 430,000 | Canada Housing Trust No. 1, (144A), 3.35%, due 12/15/20 (1) | 417,041 | |||||
EUR | 265,000 | France Government Bond OAT, 3.25%, due 10/25/21 (4) | 415,468 | |||||
EUR | 150,000 | Ireland Government Bond, 4.5%, due 10/18/18 (4) | 238,666 | |||||
ILS | 880,000 | Israel Government Bond, 5.5%, due 01/31/22 | 300,280 | |||||
EUR | 400,000 | Italy Buoni Poliennali Del Tesoro, 4.5%, due 03/01/24 | 622,305 | |||||
JPY | 83,000,000 | Japan Government Ten-Year Bond, 1%, due 09/20/21 (4) | 848,162 | |||||
JPY | 15,000,000 | Japan Government Thirty-Year Bond, 2%, due 03/20/42 | 157,317 | |||||
NOK | 1,350,000 | Norway Government Bond, 3.75%, due 05/25/21 | 245,904 |
See accompanying notes to financial statements.
24
Table of Contents
TCW Global Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Foreign Government Bonds (Continued) | ||||||||
EUR | 110,000 | Portugal Obrigacoes do Tesouro OT, (144A), 5.65%, due 02/15/24 (1) | $ | 177,854 | ||||
EUR | 200,000 | Romanian Government International Bond, (Reg. S), 4.875%, due 11/07/19 (2) | 309,783 | |||||
SGD | 350,000 | Singapore Government Bond, 2.5%, due 06/01/19 (4) | 293,258 | |||||
$ | 250,000 | Slovenia Government International Bond, (144A), 5.5%, due 10/26/22 (1) | 267,188 | |||||
EUR | 315,000 | Spain Government Bond, 5.5%, due 04/30/21 | 526,976 | |||||
EUR | 53,000 | Spain Government Bond, (144A), 4.4%, due 10/31/23 (1) | 82,334 | |||||
SEK | 1,500,000 | Sweden Government Bond, 3.5%, due 06/01/22 | 259,667 | |||||
GBP | 365,000 | United Kingdom Gilt, 3.75%, due 09/07/21 (4) | 675,849 | |||||
|
| |||||||
Total Foreign Government Bonds (Cost: $6,225,522) | 6,380,796 | |||||||
|
| |||||||
Asset-Backed Securities (3.6%) | ||||||||
$ | 100,000 | CIFC Funding, Ltd. (12-2A-A1L), (144A), 1.636%, due 12/05/24 (1)(3) | 99,819 | |||||
55,000 | Educational Funding of the South, Inc. (11-1-A2), 0.879%, due 04/25/35 (3) | 54,877 | ||||||
58,967 | GE Business Loan Trust (04-2A-A), (144A), 0.372%, due | 56,955 | ||||||
49,182 | Iowa Student Loan Liquidity Corp. (11-1-A), 1.483%, due 06/25/42 (3) | 50,381 | ||||||
115,000 | Nelnet Education Loan Corp. (04-1A-B1), (144A), 1.5%, due 02/25/36 (1)(3) | 89,126 | ||||||
50,000 | SLM Student Loan Trust (07-3-A4), 0.289%, due 01/25/22 (3) | 48,335 | ||||||
50,000 | SLM Student Loan Trust (11-2-A2), 1.352%, due 10/25/34 (3) | 52,086 | ||||||
87,004 | Spirit Master Funding LLC (05-1-A1), (144A), 5.05%, due 07/20/23 (1) | 89,179 | ||||||
50,000 | Student Loan Consolidation Center (02-2-B2), (144A), 0%, due 07/01/42 (1)(3) | 38,618 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost: $552,823) | 579,376 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Agency | ||||||||
112,782 | Federal National Mortgage Association, Pool #AL3306, 2.46%, due 04/01/23 | 109,322 | ||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Non-Agency (1.3%) | ||||||||
100,817 | Banc of America Re-REMIC Trust (10-UB4-A4A), (144A), 5.034%, due 12/20/41 (1)(3) | 102,907 | ||||||
102,187 | Morgan Stanley Capital I Trust (06-IQ12-A4), 5.332%, due 12/15/43 | 111,237 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Non-Agency | 214,144 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Agency (13.9%) | ||||||||
38,008 | Federal Home Loan Mortgage Corp. (2990-ND), 16.504%, due 12/15/34 (I/F) | 47,330 | ||||||
238,924 | Federal Home Loan Mortgage Corp. (3439-SC), 5.748%, due 04/15/38 (I/O) (I/F) (3) | 30,616 | ||||||
273,535 | Federal National Mortgage Association (07-52-LS), 5.898%, due 06/25/37 (I/O) | 34,491 | ||||||
255,326 | Federal National Mortgage Association (08-18-SM), 6.848%, due 03/25/38 (I/O) | 37,919 | ||||||
175,863 | Federal National Mortgage Association (09-115-SB), 6.098%, due 01/25/40 (I/O) | 24,764 | ||||||
343,711 | Federal National Mortgage Association (10-116-SE), 6.448%, due 10/25/40 (I/O) (3)(4) | 60,762 | ||||||
118,826 | Federal National Mortgage Association (10-35-IA), 5%, due 07/25/38 (I/O) | 3,577 | ||||||
228,530 | Federal National Mortgage Association, Pool #AB3679, 3.5%, due 10/01/41 | 232,877 | ||||||
239,495 | Federal National Mortgage Association, Pool #AB4045, 3.5%, due 12/01/41 (4) | 244,463 |
See accompanying notes to financial statements.
25
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 92,020 | Federal National Mortgage Association, Pool #AT5914, 3.5%, due 06/01/43 | $ | 92,646 | ||||
120,221 | Federal National Mortgage Association, Pool #MA1527, 3%, due 08/01/33 | 121,109 | ||||||
107,150 | Federal National Mortgage Association, Pool #MA1652, 3.5%, due 11/01/33 | 111,180 | ||||||
180,000 | Federal National Mortgage Association TBA, 2.5% (5) | 181,181 | ||||||
45,000 | Federal National Mortgage Association TBA, 3% (5) | 46,452 | ||||||
75,000 | Federal National Mortgage Association TBA, 3% (5) | 73,101 | ||||||
425,000 | Federal National Mortgage Association TBA, 3.5% (5) | 431,475 | ||||||
210,000 | Federal National Mortgage Association TBA, 4% (5) | 220,082 | ||||||
50,000 | Federal National Mortgage Association TBA, 4.5% (5) | 53,695 | ||||||
172,246 | Government National Mortgage Association (11-146-EI), 5%, due 11/16/41 (I/O) (PAC) (4) | 42,692 | ||||||
489,665 | Government National Mortgage Association (11-69-GI), 5%, due 05/16/40 (I/O) | 68,508 | ||||||
521,849 | Government National Mortgage Association (12-7-PI), 3.5%, due 01/20/38 (I/O) (PAC) | 63,293 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $2,214,190) | 2,222,213 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Non-Agency (7.5%) | ||||||||
151,836 | American Home Mortgage Investment Trust (07-1-GA1C), 0.342%, due 05/25/47 (3) | 108,285 | ||||||
158,879 | First Horizon Mortgage Pass-Through Trust (05-AR4-2A1), 2.583%, due 10/25/35 (3) | 140,783 | ||||||
73,816 | Green Tree Financial Corp. (98-6-A8), 6.66%, due 06/01/30 | 79,419 | ||||||
256,648 | Lehman XS Trust (06-9-A1B), 0.312%, due 05/25/46 (3)(6) | 208,246 | ||||||
1,251,739 | Merrill Lynch Alternative Note Asset Trust (07-A3-A2D), 0.482%, due 04/25/37 (3) | 198,205 | ||||||
193,710 | Novastar Home Equity Loan (06-2-A2C), 0.302%, due 06/25/36 (3) | 109,809 | ||||||
166,874 | Structured Adjustable Rate Mortgage Loan Trust (04-18-4A1), 2.379%, due 12/25/34 (3) | 165,645 | ||||||
261,967 | Structured Asset Mortgage Investments, Inc. (06-AR3-22A1), 1.908%, due 05/25/36 (3) | 179,429 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency | 1,189,821 | |||||||
|
| |||||||
U.S. Government Agency Obligations (1.0%) | ||||||||
80,000 | Federal Farm Credit Banks, 0.173%, due 09/14/16 (3) | 80,024 | ||||||
80,000 | Federal Farm Credit Banks, 0.201%, due 04/17/17 (3) | 80,086 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost: $159,980) | 160,110 | |||||||
|
| |||||||
U.S. Treasury Securities (6.6%) | ||||||||
385,000 | U.S. Treasury Bond, 3.625%, due 02/15/44 | 396,971 | ||||||
45,000 | U.S. Treasury Note, 2.125%, due 01/31/21 | 44,821 | ||||||
610,000 | U.S. Treasury Note, 2.75%, due 02/15/24 | 615,385 | ||||||
|
| |||||||
Total U.S. Treasury Securities (Cost: $1,048,767) | 1,057,177 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $13,148,066) (87.4%) | 13,974,128 | |||||||
|
| |||||||
Number of Shares | Money Market Investments | |||||||
157,000 | Dreyfus Institutional Cash Advantage Fund, 0.06% (7) | 157,000 | ||||||
157,000 | DWS Money Market Series — Institutional Shares, 0.06% (7) | 157,000 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $314,000) (2.0%) | 314,000 | |||||||
|
|
See accompanying notes to financial statements.
26
Table of Contents
TCW Global Bond Fund
April 30, 2014 |
Principal Amount | Short-Term Investments | |||||||
Certificate of Deposit (Cost: $70,000) (0.4%) | ||||||||
Banks (0.4%) | ||||||||
$ | 70,000 | Credit Suisse/New York (Switzerland), 0.556%, due 08/24/15 (3) | $ | 69,955 | ||||
|
| |||||||
Commercial Paper (Cost: $149,985) (0.9%) | ||||||||
Electric (0.9%) | ||||||||
150,000 | National Rural Utilities Cooperative Finance Corp., 0.038%, due | 149,985 | ||||||
|
| |||||||
Discount Notes (12.5%) | ||||||||
300,000 | Federal Home Loan Bank Discount Note, 0.055%, due 07/25/14 (8) | 299,972 | ||||||
360,000 | Federal Home Loan Bank Discount Note, 0.06%, due 07/25/14 (8) | 359,966 | ||||||
970,000 | Federal Home Loan Bank Discount Note, 0.055%, due 07/30/14 (8) | 969,903 | ||||||
365,000 | Federal Home Loan Bank Discount Note, 0.045%, due 05/07/14 (8) | 364,997 | ||||||
|
| |||||||
Total Discount Notes (Cost: $1,994,774) | 1,994,838 | |||||||
|
| |||||||
Repurchase Agreement (Cost: $328,861) (2.1%) | ||||||||
328,861 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $360,000 Federal National Mortgage Association, 2.17%, due 10/17/22 valued at $338,005) (Total Amount to be Received Upon Repurchase $328,861) | 328,861 | ||||||
|
| |||||||
U.S. Treasury Security (Cost: $10,999) (0.1%) | ||||||||
11,000 | U.S. Treasury Bill, 0.028%, due 08/14/14 (8) | 10,999 | ||||||
|
| |||||||
Total Short-Term Investments (Cost: $2,554,619) (16.0%) | 2,554,638 | |||||||
|
| |||||||
Total Investments (Cost: $16,016,685) (105.4%) | 16,842,766 | |||||||
Liabilities in Excess of Other Assets (-5.4%) | (858,004 | ) | ||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 15,984,762 | ||||||
|
|
Forward Currency Contracts |
| |||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation | ||||||||||||||||
BUY (9) | ||||||||||||||||||||||
Commonwealth Bank of Australia | EUR | 820,000 | 07/18/14 | $ | 1,126,282 | $ | 1,136,783 | $ | 10,501 | |||||||||||||
JPMorgan Securities Inc. | JPY | 86,800,000 | 07/18/14 | 842,556 | 850,117 | 7,561 | ||||||||||||||||
JPMorgan Securities Inc. | KRW | 170,000,000 | 07/18/14 | 160,199 | 163,900 | 3,701 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 2,129,037 | $ | 2,150,800 | $ | 21,763 | |||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
27
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
CAD - Canadian | Dollar. |
EUR - Euro | Currency. |
GBP - British | Pound Sterling. |
ILS - Israeli | Shekel. |
JPY - Japanese | Yen. |
KRW - South | Korean Won. |
NOK - Norwegian | Krona. |
SEK - Swedish | Krona. |
SGD - Singapore | Dollar. |
EETC - Enhanced | Equipment Trust Certificate. |
I/F - Inverse | Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O - Interest | Only Security. |
PAC - Planned | Amortization Class. |
REIT - Real | Estate Investment Trust. |
TBA - To | be Announced. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2014, the value of these securities amounted to $2,080,345 or 13.0% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Investments issued under Regulation S of the Securities Act of 1933, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2014, the value of these securities amounted to $373,425 or 2.3% of net assets. |
(3) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2014. |
(4) | All or a portion of this security is segregated to cover open futures contracts, when-issued, delayed-delivery or forward commitments. (Note 2) |
(5) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(6) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. |
(7) | Rate disclosed, the 7-day net yield, is as of April 30, 2014. |
(8) | Rate shown represents yield-to-maturity. |
(9) | Fund buys foreign currency, sells U.S. Dollar. |
See accompanying notes to financial statements.
28
Table of Contents
TCW Global Bond Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Airlines | 2.1 | % | ||
Asset-Backed Securities | 3.6 | |||
Banks | 7.3 | |||
Commercial Mortgage-Backed Securities — Agency | 0.7 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 1.3 | |||
Diversified Financial Services | 1.0 | |||
Foreign Government Bonds | 39.9 | |||
Insurance | 1.1 | |||
REIT | 1.4 | |||
Residential Mortgage-Backed Securities — Agency | 13.9 | |||
Residential Mortgage-Backed Securities — Non-Agency | 7.5 | |||
U.S. Government Agency Obligations | 1.0 | |||
U.S. Treasury Securities | 6.6 | |||
Money Market Investments | 2.0 | |||
Short-Term Investments | 16.0 | |||
|
| |||
Total | 105.4 | % | ||
|
|
Investments by Country (Unaudited)
Country | Percentage of Net Assets | |||
Canada | 2.6 | % | ||
France | 2.6 | |||
Germany | 3.4 | |||
Ireland | 1.5 | |||
Israel | 1.9 | |||
Italy | 3.9 | |||
Japan | 6.3 | |||
Mexico | 1.4 | |||
Netherlands | 0.7 | |||
Norway | 1.6 | |||
Portugal | 1.1 | |||
Romania | 1.9 | |||
Singapore | 1.8 | |||
Slovenia | 1.7 | |||
Spain | 3.8 | |||
Sweden | 1.6 | |||
Switzerland | 0.4 | |||
United Kingdom | 5.2 | |||
United States | 62.0 | |||
|
| |||
Total | 105.4 | % | ||
|
|
See accompanying notes to financial statements.
29
Table of Contents
Schedule of Investments (Unaudited)
Principal Amount | Fixed Income Securities | Value | ||||||
Bank Loans (6.5% of Net Assets) | ||||||||
Auto Manufacturers (0.7%) | ||||||||
$ | 250,000 | Navistar International Corp., Term Loan B, 5.487%, due 08/17/17 (1) | $ | 254,479 | ||||
|
| |||||||
Auto Parts & Equipment (0.9%) | ||||||||
300,000 | Schaeffler AG (Germany), Term Loan C, 4.384%, due 01/27/17 (1) | 301,182 | ||||||
|
| |||||||
Coal (0.3%) | ||||||||
100,000 | Murray Energy Corp., First Lien Term Loan, 6.042%, due 12/21/19 (1) | 100,975 | ||||||
|
| |||||||
Electric (2.5%) | ||||||||
465,815 | La Frontera Generation LLC, Term Loan, 5.586%, due 09/30/20 (1) | 466,456 | ||||||
271,563 | Topaz Power Holdings LLC, Term Loan, 6.607%, due 02/26/20 (1) | 266,199 | ||||||
119,700 | Utility Services Associates, Inc., Term Loan B, 7.548%, due 09/30/20 (1) | 120,448 | ||||||
|
| |||||||
Total Electric | 853,103 | |||||||
|
| |||||||
Healthcare-Services (0.7%) | ||||||||
250,000 | Regionalcare Hospital Partners, First Lien Term Loan, 6.971%, due 04/19/19 (1)(2) | 249,220 | ||||||
|
| |||||||
Software (1.4%) | ||||||||
500,000 | First Data Corp., First Lien Extended Term Loan, 5.046%, due 03/23/18 (1) | 500,105 | ||||||
|
| |||||||
Total Bank Loans (Cost: $2,208,871) | 2,259,064 | |||||||
|
| |||||||
Corporate Bonds (83.6%) | ||||||||
Airlines (3.6%) | ||||||||
485,355 | American Airlines, Inc. Pass-Through Trust, (13-1-B), (144A), 5.625%, due 01/15/21 (EETC) (3) | 506,590 | ||||||
194,080 | American Airlines, Inc. Pass-Through Trust, (13-2-A), (144A), 4.95%, due 07/15/24 | 209,121 | ||||||
197,195 | Continental Airlines, Inc. Pass-Through Certificates, (99-1-A), 6.545%, due 08/02/20 (EETC) | 220,797 | ||||||
277,254 | Delta Air Lines, Inc. Pass-Through Certificates, (02-1G1), 6.718%, due 07/02/24 (EETC) | 325,080 | ||||||
|
| |||||||
Total Airlines | 1,261,588 | |||||||
|
| |||||||
Auto Parts & Equipment (0.2%) | ||||||||
45,000 | Schaeffler Finance BV (Germany), (144A), 8.5%, due 02/15/19 (3) | 50,625 | ||||||
|
| |||||||
Banks (3.8%) | ||||||||
125,000 | Ally Financial, Inc., 7.5%, due 09/15/20 | 148,594 | ||||||
400,000 | Citigroup, Inc., 0.785%, due 08/25/36 (4) | 317,761 | ||||||
980,000 | JPMorgan Chase Capital XIII, 1.184%, due 09/30/34 (4) | 842,800 | ||||||
|
| |||||||
Total Banks | 1,309,155 | |||||||
|
| |||||||
Chemicals (0.2%) | ||||||||
75,000 | Momentive Performance Materials, Inc., 8.875%, due 10/15/20 | 81,469 | ||||||
|
| |||||||
Coal (3.0%) | ||||||||
250,000 | Arch Coal, Inc., (144A), 8%, due 01/15/19 (3) | 250,625 | ||||||
375,000 | Peabody Energy Corp., 4.75%, due 12/15/66 (Convertible Bond) | 298,828 |
See accompanying notes to financial statements.
30
Table of Contents
TCW High Yield Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Coal (Continued) | ||||||||
$ | 40,000 | Walter Energy, Inc., 8.5%, due 04/15/21 | $ | 24,000 | ||||
160,000 | Walter Energy, Inc., (144A), 9.5%, due 10/15/19 (3) | 163,400 | ||||||
240,000 | Walter Energy, Inc., 9.875%, due 12/15/20 | 159,600 | ||||||
170,000 | Walter Energy, Inc., (144A), 11%, due 04/01/20 (3) | 150,450 | ||||||
|
| |||||||
Total Coal | 1,046,903 | |||||||
|
| |||||||
Commercial Services (1.6%) | ||||||||
480,000 | Ceridian Corp., (144A), 8.875%, due 07/15/19 (3) | 546,000 | ||||||
|
| |||||||
Electric (6.2%) | ||||||||
130,000 | AES Corp., 4.875%, due 05/15/23 | 124,800 | ||||||
70,000 | AES Corp., 5.5%, due 03/15/24 | 70,350 | ||||||
420,000 | Astoria Depositor Corp., (144A), 8.144%, due 05/01/21 (3) | 441,000 | ||||||
180,000 | Calpine Corp., (144A), 6%, due 01/15/22 (3) | 191,700 | ||||||
100,000 | DPL, Inc., 6.5%, due 10/15/16 | 109,000 | ||||||
238,000 | DPL, Inc., 7.25%, due 10/15/21 | 256,445 | ||||||
195,000 | Dynegy, Inc., 5.875%, due 06/01/23 | 189,150 | ||||||
150,000 | Electricite de France S.A. (France), (144A), 5.25%, due 12/31/49 (3)(4) | 153,562 | ||||||
500,000 | Gabs Dynegy Danskamm, Series B, 7.67%, due 08/11/16 (5) | — | ||||||
75,000 | GenOn Americas Generation LLC, 8.5%, due 10/01/21 | 75,188 | ||||||
175,000 | Homer City Generation LP, 8.137%, due 10/01/19 | 183,750 | ||||||
150,000 | Homer City Generation LP, 8.734%, due 10/01/26 | 157,500 | ||||||
194,859 | Mirant Mid-Atlantic Pass-Through Certificates, Series C, 10.06%, due 12/30/28 | 218,242 | ||||||
|
| |||||||
Total Electric | 2,170,687 | |||||||
|
| |||||||
Engineering & Construction (0.4%) | ||||||||
150,000 | MasTec, Inc., 4.875%, due 03/15/23 | 145,125 | ||||||
|
| |||||||
Entertainment (0.6%) | ||||||||
200,000 | Carmike Cinemas, Inc., 7.375%, due 05/15/19 | 219,000 | ||||||
|
| |||||||
Food (0.9%) | ||||||||
150,000 | Post Holdings, Inc., (144A), 6.75%, due 12/01/21 (3) | 157,312 | ||||||
130,000 | Post Holdings, Inc., 7.375%, due 02/15/22 | 139,425 | ||||||
|
| |||||||
Total Food | 296,737 | |||||||
|
| |||||||
Gas (1.3%) | ||||||||
250,000 | Sabine Pass LNG, LP, (144A), 7.5%, due 11/30/16 (3) | 270,625 | ||||||
150,000 | Sabine Pass LNG, LP, 7.5%, due 11/30/16 | 167,250 | ||||||
|
| |||||||
Total Gas | 437,875 | |||||||
|
| |||||||
Healthcare-Products (0.4%) | ||||||||
120,000 | Alere, Inc., 7.25%, due 07/01/18 | 132,300 | ||||||
|
| |||||||
Healthcare-Services (7.3%) | ||||||||
60,000 | Amsurg Corp., 5.625%, due 11/30/20 | 62,250 | ||||||
95,000 | CHS/Community Health Systems, Inc., 5.125%, due 08/15/18 | 100,106 |
See accompanying notes to financial statements.
31
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Healthcare-Services (Continued) | ||||||||
$ | 230,000 | CHS/Community Health Systems, Inc., (144A), 5.125%, due 08/01/21 (3) | $ | 235,750 | ||||
135,000 | CHS/Community Health Systems, Inc., (144A), 6.875%, due 02/01/22 (3) | 140,569 | ||||||
150,000 | CHS/Community Health Systems, Inc., 7.125%, due 07/15/20 | 161,438 | ||||||
40,000 | CHS/Community Health Systems, Inc., 8%, due 11/15/19 | 44,000 | ||||||
680,000 | DaVita, Inc., 5.75%, due 08/15/22 | 722,500 | ||||||
20,000 | Fresenius Medical Care US Finance II, Inc., (144A), 5.625%, due 07/31/19 (3) | 21,750 | ||||||
100,000 | HCA, Inc., 3.75%, due 03/15/19 | 100,505 | ||||||
525,000 | HCA, Inc., 5.875%, due 03/15/22 | 564,375 | ||||||
180,000 | LifePoint Hospitals, Inc., (144A), 5.5%, due 12/01/21 (3) | 188,100 | ||||||
135,000 | Tenet Healthcare Corp., 4.5%, due 04/01/21 | 131,456 | ||||||
40,000 | Tenet Healthcare Corp., (144A), 5%, due 03/01/19 (3) | 40,275 | ||||||
40,000 | Tenet Healthcare Corp., (144A), 6%, due 10/01/20 (3) | 42,075 | ||||||
|
| |||||||
Total Healthcare-Services | 2,555,149 | |||||||
|
| |||||||
Holding Companies - Diversified (0.2%) | ||||||||
65,000 | Nielsen Co. Luxembourg SARL (The) (Luxembourg), (144A), 5.5%, due 10/01/21 (3) | 68,006 | ||||||
|
| |||||||
Household Products/Wares (1.5%) | ||||||||
500,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg), 5.75%, due 10/15/20 | 521,875 | ||||||
|
| |||||||
Insurance (0.9%) | ||||||||
300,000 | Nationwide Mutual Insurance Co., (144A), 5.81%, due 12/15/24 (3)(4) | 306,750 | ||||||
|
| |||||||
Iron & Steel (0.8%) | ||||||||
225,000 | ArcelorMittal (Luxembourg), 10.35%, due 06/01/19 | 285,187 | ||||||
|
| |||||||
Lodging (0.2%) | ||||||||
70,000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., (144A), 5.625%, due 10/15/21 (3) | 73,500 | ||||||
|
| |||||||
Media (9.3%) | ||||||||
500,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 8.125%, due 04/30/20 | 550,000 | ||||||
155,000 | Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp., (144A), 6.375%, due 09/15/20 (3) | 163,137 | ||||||
580,000 | Clear Channel Worldwide Holdings, Inc., 6.5%, due 11/15/22 | 623,500 | ||||||
625,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 699,219 | ||||||
310,000 | DISH DBS Corp., 6.75%, due 06/01/21 | 351,075 | ||||||
200,000 | Numericable Group SA (France), (144A), 4.875%, due 05/15/19 (2)(3) | 203,086 | ||||||
160,000 | Sinclair Television Group, Inc., 5.375%, due 04/01/21 | 159,600 | ||||||
210,000 | Sinclair Television Group, Inc., 6.125%, due 10/01/22 | 214,604 | ||||||
225,000 | Time, Inc., (144A), 5.75%, due 04/15/22 (3) | 225,281 | ||||||
55,000 | Townsquare Radio LLC/Townsquare Radio, Inc., (144A), 9%, due 04/01/19 (3) | 60,913 | ||||||
|
| |||||||
Total Media | 3,250,415 | |||||||
|
| |||||||
Miscellaneous Manufacturers (0.2%) | ||||||||
75,000 | Bombardier, Inc. (Canada), (144A), 6.125%, due 01/15/23 (3) | 76,781 | ||||||
|
|
See accompanying notes to financial statements.
32
Table of Contents
TCW High Yield Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Oil & Gas (15.7%) | ||||||||
$ | 175,000 | Approach Resources, Inc., 7%, due 06/15/21 | $ | 182,437 | ||||
95,000 | Chaparral Energy, Inc., 8.25%, due 09/01/21 | 104,263 | ||||||
200,000 | Chaparral Energy, Inc., 9.875%, due 10/01/20 | 227,500 | ||||||
500,000 | Chesapeake Energy Corp., 3.467%, due 04/15/19 (4) | 506,250 | ||||||
115,000 | Cimarex Energy Co., 5.875%, due 05/01/22 | 125,350 | ||||||
300,000 | Concho Resources, Inc., 5.5%, due 04/01/23 | 313,875 | ||||||
100,000 | Continental Resources, Inc., 5%, due 09/15/22 | 105,688 | ||||||
80,000 | Denbury Resources, Inc., 5.5%, due 05/01/22 | 81,100 | ||||||
110,000 | EP Energy LLC/EP Energy Finance, Inc., 9.375%, due 05/01/20 | 127,600 | ||||||
300,000 | MEG Energy Corp., (144A), 6.5%, due 03/15/21(3) | 317,250 | ||||||
100,000 | MEG Energy Corp., (144A), 7%, due 03/31/24 (3) | 106,500 | ||||||
225,000 | Newfield Exploration Co., 5.625%, due 07/01/24 | 234,562 | ||||||
795,000 | Pacific Drilling V, Ltd., (144A), 7.25%, due 12/01/17 (3) | 854,625 | ||||||
100,000 | Plains Exploration & Production Co., 6.125%, due 06/15/19 | 110,438 | ||||||
325,000 | Plains Exploration & Production Co., 6.875%, due 02/15/23 | 365,625 | ||||||
625,000 | QEP Resources, Inc., 5.25%, due 05/01/23 | 621,875 | ||||||
205,000 | Quicksilver Resources, Inc., (144A), 7%, due 06/21/19 (3)(4) | 202,566 | ||||||
190,000 | SandRidge Energy, Inc., 8.125%, due 10/15/22 | 206,625 | ||||||
35,000 | SM Energy Co., 6.5%, due 11/15/21 | 37,800 | ||||||
260,000 | SM Energy Co., 6.5%, due 01/01/23 | 281,450 | ||||||
185,000 | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.5%, due 07/01/21 | 200,262 | ||||||
125,000 | Whiting Petroleum Corp., 5%, due 03/15/19 | 132,500 | ||||||
|
| |||||||
Total Oil & Gas | 5,446,141 | |||||||
|
| |||||||
Packaging & Containers (0.2%) | ||||||||
75,000 | Ball Corp., 4%, due 11/15/23 | 69,750 | ||||||
|
| |||||||
Pharmaceuticals (3.4%) | ||||||||
250,000 | Salix Pharmaceuticals, Ltd., (144A), 6%, due 01/15/21(3) | 269,375 | ||||||
130,000 | Valeant Pharmaceuticals International, Inc. (Canada), (144A), 5.625%, due 12/01/21 (3) | 135,525 | ||||||
280,000 | Valeant Pharmaceuticals International, Inc. (Canada), (144A), 6.75%, due 08/15/21 (3) | 301,700 | ||||||
325,000 | VPI Escrow Corp. (Canada), (144A), 6.375%, due 10/15/20 (3) | 351,000 | ||||||
110,000 | VPII Escrow Corp. (Canada), (144A), 7.5%, due 07/15/21 (3) | 123,200 | ||||||
|
| |||||||
Total Pharmaceuticals | 1,180,800 | |||||||
|
| |||||||
Pipelines (5.1%) | ||||||||
350,000 | Access Midstream Partners LP/ACMP Finance Corp., 5.875%, due 04/15/21 | 374,500 | ||||||
225,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., (144A), 6.125%, due 03/01/22 (3) | 237,094 | ||||||
30,000 | El Paso LLC, 7.75%, due 01/15/32 | 32,566 | ||||||
316,000 | El Paso LLC, 7.8%, due 08/01/31 | 340,939 | ||||||
120,000 | El Paso LLC, 8.05%, due 10/15/30 | 130,323 | ||||||
455,000 | Energy Transfer Partners LP, 3.255%, due 11/01/66 (4) | 423,150 | ||||||
160,000 | Sabine Pass Liquefaction LLC, 5.625%, due 02/01/21 | 166,000 |
See accompanying notes to financial statements.
33
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Pipelines (Continued) | ||||||||
$ | 80,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., (144A), 4.25%, due 11/15/23 (3) | $ | 75,000 | ||||
|
| |||||||
Total Pipelines | 1,779,572 | |||||||
|
| |||||||
Real Estate (0.2%) | ||||||||
75,000 | Howard Hughes Corp. (The), (144A), 6.875%, due 10/01/21(3) | 81,000 | ||||||
|
| |||||||
REIT (0.5%) | ||||||||
70,000 | DuPont Fabros Technology LP, 5.875%, due 09/15/21 | 73,325 | ||||||
95,000 | Geo Group, Inc. (The), 5.875%, due 01/15/22 | 98,088 | ||||||
|
| |||||||
Total REIT | 171,413 | |||||||
|
| |||||||
Semiconductors (1.5%) | ||||||||
250,000 | Freescale Semiconductor, Inc., (144A), 5%, due 05/15/21 (3) | 251,250 | ||||||
250,000 | NXP BV/NXP Funding LLC, (144A), 5.75%, due 02/15/21 (3) | 265,937 | ||||||
|
| |||||||
Total Semiconductors | 517,187 | |||||||
|
| |||||||
Software (1.3%) | ||||||||
200,000 | Audatex North America, Inc., (144A), 6%, due 06/15/21 (3) | 215,500 | ||||||
200,000 | First Data Corp., (144A), 6.75%, due 11/01/20 (3) | 214,500 | ||||||
25,000 | First Data Corp., (144A), 8.875%, due 08/15/20 (3) | 27,844 | ||||||
|
| |||||||
Total Software | 457,844 | |||||||
|
| |||||||
Telecommunications (13.1%) | ||||||||
360,000 | CenturyLink, Inc., 5.8%, due 03/15/22 | 370,313 | ||||||
500,000 | Intelsat Jackson Holdings SA (Luxembourg), 7.25%, due 10/15/20 | 543,750 | ||||||
197,000 | Level 3 Financing, Inc., 7%, due 06/01/20 | 213,253 | ||||||
275,000 | Level 3 Financing, Inc., 8.125%, due 07/01/19 | 302,156 | ||||||
225,000 | Qwest Corp., 7.25%, due 09/15/25 | 261,257 | ||||||
500,000 | Softbank Corp. (Japan), (144A), 4.5%, due 04/15/20 (3) | 502,500 | ||||||
425,000 | Sprint Communications, Inc., (144A), 9%, due 11/15/18 (3) | 518,500 | ||||||
180,000 | Sprint Corp., (144A), 7.875%, due 09/15/23 (3) | 198,450 | ||||||
155,000 | Sprint Nextel Corp., 9.25%, due 04/15/22 | 189,488 | ||||||
100,000 | T-Mobile USA, Inc., 5.25%, due 09/01/18 | 105,750 | ||||||
200,000 | T-Mobile USA, Inc., 6.464%, due 04/28/19 | 212,750 | ||||||
40,000 | T-Mobile USA, Inc., 6.5%, due 01/15/24 | 42,100 | ||||||
210,000 | T-Mobile USA, Inc., 6.542%, due 04/28/20 | 226,537 | ||||||
30,000 | T-Mobile USA, Inc., 6.625%, due 04/01/23 | 32,250 | ||||||
100,000 | T-Mobile USA, Inc., 6.731%, due 04/28/22 | 108,375 | ||||||
200,000 | Virgin Media Secured Finance PLC (United Kingdom), (144A), 5.5%, due 01/15/25 (3) | 201,750 | ||||||
200,000 | Virgin Media Secured Finance PLC (United Kingdom), 5.25%, due 01/15/21 | 206,500 | ||||||
250,000 | Windstream Corp., 7.75%, due 10/15/20 | 271,250 | ||||||
50,000 | Windstream Corp., 7.875%, due 11/01/17 | 57,440 | ||||||
|
| |||||||
Total Telecommunications | 4,564,369 | |||||||
|
| |||||||
Total Corporate Bonds (Cost: $28,361,462) (83.6%) | 29,103,203 | |||||||
|
|
See accompanying notes to financial statements.
34
Table of Contents
TCW High Yield Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Asset-Backed Securities (3.5%) | ||||||||
$ | 65,000 | ARES XXVI CLO, Ltd. (13-1A-B), (144A), 1.977%, due 04/15/25 (3)(4) | $ | 63,828 | ||||
85,000 | Babson CLO, Ltd. (13-IA-B), (144A), 1.828%, due 04/20/25 (3)(4) | 83,070 | ||||||
70,000 | BlueMountain CLO, Ltd. (13-4A-B1), (144A), 2.139%, due 04/15/25 (3)(4) | 69,612 | ||||||
90,000 | Cent CLO, Ltd. (13-18A-B1), (144A), 1.776%, due 07/23/25 (3)(4) | 88,014 | ||||||
125,000 | CIFC Funding, Ltd. (12-2A-A3L), (144A), 3.236%, due 12/05/24 (3)(4) | 125,107 | ||||||
75,000 | CIFC Funding, Ltd. (13-4A-B1), (144A), 2.084%, due 11/27/24 (3)(4) | 74,039 | ||||||
100,000 | Dryden XXV Senior Loan Fund (12-25A-C), (144A), 3.227%, | 100,144 | ||||||
85,000 | Dryden XXXI Senior Loan Fund (14-31A-B), (144A), 2.17%, | 84,144 | ||||||
75,000 | Galaxy CLO, Ltd. (12-14A-C1), (144A), 3.336%, due 11/15/24 (3)(4) | 75,299 | ||||||
85,000 | Goldentree Loan Opportunities VIII, Ltd. (14-8A-B1), (144A), 2.259%, due 04/19/26 (3)(4) | 84,814 | ||||||
70,000 | Highbridge Loan Management (3A-2014-A2), (144A), 2.071%, due 01/18/25 (3)(4) | 69,115 | ||||||
100,000 | LCM XII LP (12A-D), (144A), 4.728%, due 10/19/22 (3)(4) | 100,304 | ||||||
100,000 | Oak Hill Credit Partners (12-7A-C1), (144A), 3.485%, due 11/20/23 (3)(4) | 100,203 | ||||||
100,000 | Sound Point CLO, Ltd. (12-1A-C), (144A), 3.528%, due 10/20/23 (3)(4) | 100,091 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost: $1,198,893) | 1,217,784 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $31,769,226) (93.6%) | 32,580,051 | |||||||
|
| |||||||
Number of Shares | Common Stock | |||||||
Electric (Cost: $286,731) (0.6%) | ||||||||
8,337 | Dynegy, Inc. (6) | 237,188 | ||||||
|
| |||||||
Money Market Investments | ||||||||
19,000 | Dreyfus Institutional Cash Advantage Fund, 0.06% (7) | 19,000 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $19,000) (0.1%) | 19,000 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Discount Notes (4.9%) | ||||||||
$ | 1,525,000 | Federal Home Loan Bank Discount Note, 0.063%, due 06/27/14 (8)(9) | 1,524,850 | |||||
185,000 | Federal National Mortgage Association Discount Note, 0.09%, due 07/16/14 (8) | 184,985 | ||||||
|
| |||||||
Total Discount Notes (Cost: $1,709,815) | 1,709,835 | |||||||
|
| |||||||
Repurchase Agreement (Cost: $170,048) (0.5%) | ||||||||
170,048 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $185,000 Federal National Mortgage Association, 2.17%, due 10/17/22 valued at $173,697) (Total Amount to be Received Upon Repurchase $170,048) | 170,048 | ||||||
|
|
See accompanying notes to financial statements.
35
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Short-Term Investments | |||||||
U.S. Treasury Security (Cost: $10,999) (0.0%) | ||||||||
$ | 11,000 | U.S. Treasury Bill, 0.028%, due 08/14/14 (8) | $ | 10,999 | ||||
|
| |||||||
Total Short-Term Investments (Cost: $1,890,862) (5.4%) | 1,890,882 | |||||||
|
| |||||||
Total Investments (Cost: $33,965,819) (99.7%) | 34,727,121 | |||||||
Excess of Other Assets over Liabilities (0.3%) | 87,675 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 34,814,796 | ||||||
|
|
Credit Default Swaps — Buy Protection
Notional Amount (10) | Implied Credit Spread (11) | Expiration Date | Counterparty | Fixed Deal Pay Rate | Reference Entity | Unrealized Depreciation | Premium Paid | Value (12) | ||||||||||||||||||||||
| OTC Swaps |
| ||||||||||||||||||||||||||||
$ 150,000 | 1.28 | % | 3/20/19 | Credit Suisse International | 1.0 | % | Freeport-McMoRan Copper & Gold Inc. | $ | (1,420 | ) | $ | 3,349 | $ | 1,929 | ||||||||||||||||
350,000 | 1.58 | % | 3/20/19 | Goldman Sachs International | 1.0 | % | ALCOA, Inc. | (5,119 | ) | 14,200 | 9,081 | |||||||||||||||||||
250,000 | 1.58 | % | 3/20/19 | Goldman Sachs International | 1.0 | % | ALCOA, Inc. | (2,014 | ) | 8,501 | 6,487 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (8,553 | ) | $ | 26,050 | $ | 17,497 | ||||||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
36
Table of Contents
TCW High Yield Bond Fund
April 30, 2014 |
Notes to the Schedule of Investments:
CLO - | Collateralized Loan Obligation. |
EETC - | Enhanced Equipment Trust Certificate. |
OTC - | Over-the Counter. |
REIT - | Real Estate Investment Trust. |
(1) | Rate stated is the effective yield. |
(2) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2014, the value of these securities amounted to $11,605,833 or 33.3% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(4) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2014. |
(5) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. |
(6) | Non-income producing security. |
(7) | Rate disclosed, the 7-day net yield, is as of April 30, 2014. |
(8) | Rate shown represents yield-to-maturity. |
(9) | All or a portion of this security is segregated to cover open futures contracts, when-issued, delayed-delivery or forward commitments. (Note 2) |
(10) | The maximum potential amount the Fund could receive as buyer of protection if a credit event occurred as defined under the terms of that particular swap agreement. |
(11) | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation. Implied credit spreads, represented in the absolute terms, utilized in determining the value of credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
(12) | The value of a credit default swap agreement serves as an indicator of the current status of the payments/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements. |
See accompanying notes to financial statements.
37
Table of Contents
TCW High Yield Bond Fund
Investments by Industry (Unaudited)
Industry | Percentage of Net Assets | |||
Airlines | 3.6 | % | ||
Asset-Backed Securities | 3.5 | |||
Auto Manufacturers | 0.7 | |||
Auto Parts & Equipment | 1.1 | |||
Banks | 3.8 | |||
Chemicals | 0.2 | |||
Coal | 3.3 | |||
Commercial Services | 1.6 | |||
Electric | 9.3 | |||
Engineering & Construction | 0.4 | |||
Entertainment | 0.6 | |||
Food | 0.9 | |||
Gas | 1.3 | |||
Healthcare-Products | 0.4 | |||
Healthcare-Services | 8.0 | |||
Holding Companies - Diversified | 0.2 | |||
Household Products/Wares | 1.5 | |||
Insurance | 0.9 | |||
Iron & Steel | 0.8 | |||
Lodging | 0.2 | |||
Media | 9.3 | |||
Miscellaneous Manufacturers | 0.2 | |||
Oil & Gas | 15.7 | |||
Packaging & Containers | 0.2 | |||
Pharmaceuticals | 3.4 | |||
Pipelines | 5.1 | |||
Real Estate | 0.2 | |||
REIT | 0.5 | |||
Semiconductors | 1.5 | |||
Software | 2.7 | |||
Telecommunications | 13.1 | |||
Money Market Investments | 0.1 | |||
Short-Term Investments | 5.4 | |||
|
| |||
Total | 99.7 | % | ||
|
|
See accompanying notes to financial statements.
38
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Commercial Mortgage-Backed Securities — Agency (4.2% of Net Assets) | ||||||||
$ | 185,631 | Federal Home Loan Mortgage Corp., Pool #310005, 5.183%, due 11/01/19 (1) | $ | 194,809 | ||||
100,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K009-A2), 3.808%, due 08/25/20 | 107,435 | ||||||
94,914 | Federal National Mortgage Association, Pool #FN0002, 3.307%, due 12/01/17 | 100,710 | ||||||
111,110 | Federal National Mortgage Association, Pool #387224, 4.86%, due 01/01/15 | 111,643 | ||||||
54,799 | Federal National Mortgage Association, Pool #745506, 5.662%, due 02/01/16 | 58,414 | ||||||
71,742 | Government National Mortgage Association (07-12-B), 5.14%, due 12/16/36 (1) | 75,168 | ||||||
141,477 | Government National Mortgage Association (07-77-D), 5.003%, due 08/16/38 (1) | 143,225 | �� | |||||
80,000 | Government National Mortgage Association (11-77-A), 2.105%, due 04/16/33 | 80,467 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $799,432) | 871,871 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Non-Agency (8.9%) | ||||||||
36,988 | Banc of America Commercial Mortgage Trust (06-2-A3), 5.891%, due 05/10/45 (1) | 37,295 | ||||||
71,633 | Banc of America Large Loan, Inc. (10-UB4-A4A), (144A), 5.034%, due 12/20/41 (1)(2) | 73,118 | ||||||
80,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc. (05-1-A5), 5.443%, due 11/10/42 (1) | 81,961 | ||||||
17,239 | Banc of America Merrill Lynch Commercial Mortgage, Inc. (05-3-ASB), 4.589%, due 07/10/43 | 17,300 | ||||||
19,549 | Bear Stearns Commercial Mortgage Securities Trust (05-PWR7-A2), 4.945%, due 02/11/41 | 19,558 | ||||||
45,000 | Bear Stearns Commercial Mortgage Securities Trust (05-T20-A4A), 5.288%, due 10/12/42 (1) | 47,287 | ||||||
64,429 | Bear Stearns Commercial Mortgage Securities Trust (99-CLF1-A4), 7%, due 05/20/30 (1) | 71,047 | ||||||
100,000 | Citigroup Commercial Mortgage Trust (12-GC8-A2), 1.813%, due 09/10/45 | 100,705 | ||||||
4,393 | Commercial Mortgage Trust (04-LB3A-A5), 5.618%, due 07/10/37 (1) | 4,411 | ||||||
43,435 | Credit Suisse Commercial Mortgage Trust (06-C1-AAB), 5.644%, due 02/15/39 (1) | 44,104 | ||||||
41,851 | Credit Suisse First Boston Mortgage Securities Corp. (05-C4-A5), 5.104%, due 08/15/38 (1) | 43,213 | ||||||
4,924 | Credit Suisse Mortgage Capital Certificates (06-C5-AAB), 5.308%, due 12/15/39 | 4,961 | ||||||
12,872 | DBRR Trust (12-EZ1-A), (144A), 0.946%, due 09/25/45 (2) | 12,902 | ||||||
62,405 | DBRR Trust (13-EZ2-A), (144A), 0.853%, due 02/25/45 (1)(2) | 62,315 | ||||||
29,239 | GS Mortgage Securities Trust (06-GG8-A3), 5.542%, due 11/10/39 | 29,740 | ||||||
24,664 | JPMorgan Chase Commercial Mortgage Securities Trust (05-LDP2-A3A), 4.678%, due 07/15/42 | 24,906 | ||||||
80,000 | JPMorgan Chase Commercial Mortgage Securities Trust (05-LDP2-A4), 4.738%, due 07/15/42 | 82,492 | ||||||
79,643 | JPMorgan Chase Commercial Mortgage Securities Trust (05-LDP3-A4A), 4.936%, due 08/15/42 (1) | 82,824 | ||||||
24,177 | JPMorgan Chase Commercial Mortgage Securities Trust (06-CB14-ASB), 5.506%, due 12/12/44 (1) | 24,861 | ||||||
66,408 | JPMorgan Chase Commercial Mortgage Securities Trust (06-CB17-A3), 5.45%, due 12/12/43 | 66,413 | ||||||
27,708 | JPMorgan Chase Commercial Mortgage Securities Trust (06-LDP9-A3S), (144A), 5.24%, due 05/15/47 (2) | 27,900 | ||||||
104,103 | JPMorgan Chase Commercial Mortgage Securities Trust (07-LD11-A2), 5.974%, due 06/15/49 (1) | 104,384 |
See accompanying notes to financial statements.
39
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Commercial Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 90,574 | JPMorgan Chase Commercial Mortgage Securities Trust (10-C1-A1), (144A), 3.853%, due 06/15/43 (2) | $ | 92,965 | ||||
79,630 | LB-UBS Commercial Mortgage Trust (04-C7-A1A), 4.475%, due 10/15/29 | 80,558 | ||||||
55,377 | LB-UBS Commercial Mortgage Trust (06-C7-A2), 5.3%, due 11/15/38 | 57,361 | ||||||
25,884 | Merrill Lynch/Countrywide Commercial Mortgage Trust (06-4-A2FL), 0.273%, due 12/12/49 (1) | 25,829 | ||||||
89,358 | Morgan Stanley Capital I Trust (06-T21-A3), 5.185%, due 10/12/52 (1) | 89,579 | ||||||
149,244 | Morgan Stanley Capital I Trust (07-HQ11-A31), 5.439%, due 02/12/44 | 150,603 | ||||||
73,985 | Morgan Stanley Capital I Trust (07-IQ14-A2), 5.61%, due 04/15/49 | 74,720 | ||||||
32,459 | TIAA Seasoned Commercial Mortgage Trust (07-C4-A3), 5.549%, due 08/15/39 (1) | 33,186 | ||||||
90,477 | Wachovia Bank Commercial Mortgage Trust (07-C32-APB), 5.934%, due 06/15/49 (1) | 92,676 | ||||||
85,000 | WFRBS Commercial Mortgage Trust (11-C5-A2), 2.684%, due 11/15/44 | 87,925 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Non-Agency | 1,849,099 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Agency (29.6%) | ||||||||
25,987 | Federal Home Loan Mortgage Corp. (2550-FI), 0.502%, due 11/15/32 (TAC) (1) | 26,008 | ||||||
18,857 | Federal Home Loan Mortgage Corp. (2581-F), 0.602%, due 12/15/32 (1) | 18,877 | ||||||
96,206 | Federal Home Loan Mortgage Corp. (263-F5), 0.652%, due 06/15/42 (1) | 96,507 | ||||||
98,355 | Federal Home Loan Mortgage Corp. (2806-FV), 0.592%, due 11/15/33 (1) | 98,414 | ||||||
32,324 | Federal Home Loan Mortgage Corp. (2817-FC), 0.602%, due 07/15/31 (1) | 32,366 | ||||||
191,912 | Federal Home Loan Mortgage Corp. (2990-DE), 0.532%, due 11/15/34 (1) | 192,431 | ||||||
56,389 | Federal Home Loan Mortgage Corp. (3001-HS), 16.37%, due 02/15/35 (I/F) (PAC)(1) | 66,177 | ||||||
156,946 | Federal Home Loan Mortgage Corp. (3174-FM), 0.392%, due 05/15/36 (PAC) (1) | 157,247 | ||||||
143,851 | Federal Home Loan Mortgage Corp. (3300-FA), 0.452%, due 08/15/35 (1) | 144,156 | ||||||
172,695 | Federal Home Loan Mortgage Corp. (3318-F), 0.402%, due 05/15/37 (1) | 172,185 | ||||||
210,934 | Federal Home Loan Mortgage Corp. (3335-FT), 0.302%, due 08/15/19 (1) | 211,021 | ||||||
271,209 | Federal Home Loan Mortgage Corp. (3345-FP), 0.352%, due 11/15/36 (1) | 271,377 | ||||||
46,660 | Federal Home Loan Mortgage Corp. (3346-FA), 0.382%, due 02/15/19 (1) | 46,715 | ||||||
224,841 | Federal Home Loan Mortgage Corp. (3737-GF), 0.552%, due 11/15/37 (PAC) (1) | 225,332 | ||||||
207,931 | Federal Home Loan Mortgage Corp. (3767-JF), 0.452%, due 02/15/39 (PAC) (1) | 208,580 | ||||||
177,637 | Federal Home Loan Mortgage Corp. (3798-BF), 0.452%, due 06/15/24 (1) | 178,403 | ||||||
257,613 | Federal Home Loan Mortgage Corp. (3803-DF), 0.552%, due 11/15/35 (PAC) (1) | 258,852 | ||||||
54,511 | Federal Home Loan Mortgage Corp. (3828-KF), 0.552%, due 02/15/36 (1) | 54,536 | ||||||
75,589 | Federal Home Loan Mortgage Corp. (3946-FG), 0.502%, due 10/15/39 (PAC) (1) | 75,824 | ||||||
46,707 | Federal National Mortgage Association (03-11-FA), 1.152%, due 09/25/32 (1) | 48,041 | ||||||
83,278 | Federal National Mortgage Association (06-36-VF), 0.452%, due 05/25/36 (TAC)(1) | 83,278 | ||||||
150,654 | Federal National Mortgage Association (06-60-DF), 0.582%, due 04/25/35 (1) | 151,356 | ||||||
72,852 | Federal National Mortgage Association (06-84-WF), 0.452%, due 02/25/36 (PAC) (1) | 73,027 | ||||||
158,368 | Federal National Mortgage Association (07-64-FA), 0.622%, due 07/25/37 (1) | 159,075 | ||||||
209,612 | Federal National Mortgage Association (07-67-FA), 0.402%, due 04/25/37 (1) | 209,648 | ||||||
77,942 | Federal National Mortgage Association (09-33-FB), 0.972%, due 03/25/37 (1) | 79,384 | ||||||
209,538 | Federal National Mortgage Association (10-2-TF), 0.652%, due 06/25/27 (1) | 209,884 | ||||||
156,156 | Federal National Mortgage Association (10-50-FA), 0.502%, due 01/25/24 (1) | 156,179 | ||||||
188,976 | Federal National Mortgage Association (11-75-HP), 2.5%, due 07/25/40 (PAC) | 194,061 |
See accompanying notes to financial statements.
40
Table of Contents
TCW Short Term Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 42,625 | Federal National Mortgage Association, Pool #254548, 5.5%, due 12/01/32 | $ | 47,537 | ||||
66,500 | Federal National Mortgage Association, Pool #600187, 7%, due 07/01/31 | 75,113 | ||||||
4,194 | Federal National Mortgage Association, Pool #661691, 2.314%, due 10/01/32 (1) | 4,368 | ||||||
46,539 | Federal National Mortgage Association, Pool #786884, 2.31%, due 08/01/34 (1) | 48,523 | ||||||
82,060 | Federal National Mortgage Association, Pool #995364, 6%, due 10/01/38 | 91,799 | ||||||
30,667 | Federal National Mortgage Association, Pool #AL0851, 6%, due 10/01/40 | 34,325 | ||||||
78,142 | Government National Mortgage Association (04-104-FJ), 0.452%, due 09/20/33 (1) | 78,169 | ||||||
150,560 | Government National Mortgage Association (10-108-PF), 0.552%, due 02/20/38 (PAC) (1) | 151,191 | ||||||
208,830 | Government National Mortgage Association (10-2-FA), 0.652%, due 05/20/37 (1) | 209,348 | ||||||
199,621 | Government National Mortgage Association (12-13-KF), 0.452%, due 07/20/38 (1) | 199,947 | ||||||
33,116 | Government National Mortgage Association II, Pool #80022, 1.625%, due 12/20/26 (1) | 33,591 | ||||||
25,048 | Government National Mortgage Association II, Pool #80636, 1.625%, due 09/20/32 (1) | 26,054 | ||||||
20,157 | Government National Mortgage Association II, Pool #80757, 1.625%, due 10/20/33 (1) | 20,911 | ||||||
145,692 | Government National Mortgage Association II, Pool #80797, 1.625%, due 01/20/34 (1) | 151,488 | ||||||
52,611 | Government National Mortgage Association II, Pool #80937, 1.625%, due 06/20/34 (1) | 54,881 | ||||||
110,537 | NCUA Guaranteed Notes (10-R1-1A), 0.602%, due 10/07/20 (1) | 111,161 | ||||||
74,487 | NCUA Guaranteed Notes (10-R2-1A), 0.522%, due 11/06/17 (1) | 74,676 | ||||||
271,087 | NCUA Guaranteed Notes (10-R3-1A), 0.712%, due 12/08/20 (1) | 273,608 | ||||||
263,265 | NCUA Guaranteed Notes (10-R3-2A), 0.712%, due 12/08/20 (1) | 265,584 | ||||||
97,731 | NCUA Guaranteed Notes (11-R2-1A), 0.552%, due 02/06/20 (1) | 98,113 | ||||||
56,686 | NCUA Guaranteed Notes (11-R3-1A), 0.552%, due 03/11/20 (1) | 56,876 | ||||||
101,635 | NCUA Guaranteed Notes (11-R5-1A), 0.532%, due 04/06/20 (1) | 101,835 | ||||||
18,162 | NCUA Guaranteed Notes (11-R6-1A), 0.532%, due 05/07/20 (1) | 18,186 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $6,095,950) | 6,126,225 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Non-Agency (1.8%) | ||||||||
6,798 | Banc of America Funding Corp. (06-G-2A3), 0.322%, due 07/20/36 (1) | 6,792 | ||||||
18,418 | Bear Stearns Asset-Backed Securities Trust (05-SD1-1A3), 0.552%, due 08/25/43 (1) | 18,224 | ||||||
183,230 | Credit Suisse First Boston Mortgage Securities Corp. (02-AR31-6A1), 2.12%, due 11/25/32 (1) | 187,020 | ||||||
38,658 | First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C), 1.152%, due 08/25/34 (1) | 38,768 | ||||||
31,312 | Homestar Mortgage Acceptance Corp. (04-5-A1), 0.602%, due 10/25/34 (1) | 31,367 | ||||||
38,121 | JPMorgan Mortgage Acquisition Corp. (05-WMC1-M1), 0.572%, due 09/25/35 (1) | 37,471 | ||||||
36,178 | Morgan Stanley Mortgage Loan Trust (04-6AR-1A), 0.602%, due 07/25/34 (1) | 34,956 | ||||||
19,302 | Residential Accredit Loans, Inc. (02-QS16-A2), 0.702%, due 10/25/17 (1) | 18,543 | ||||||
5,856 | Residential Asset Mortgage Products, Inc. (05-RS5-AI3), 0.492%, due 05/25/35 (1) | 5,843 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $364,809) | 378,984 | |||||||
|
| |||||||
Corporate Bonds (17.5%) | ||||||||
Airlines (1.3%) | ||||||||
106,314 | Continental Airlines, Inc. Pass-Through Certificates, (99-1-A), 6.545%, due 08/02/20 (EETC) | 119,038 | ||||||
50,000 | JetBlue Airways Corp. Pass-Through Trust (04-2-G2), 0.686%, due 05/15/18 (1) (EETC) | 48,719 |
See accompanying notes to financial statements.
41
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Airlines (Continued) | ||||||||
$ | 90,146 | UAL Pass-Through Trust (09-2A), 9.75%, due 07/15/18 (EETC) | $ | 104,232 | ||||
|
| |||||||
Total Airlines | 271,989 | |||||||
|
| |||||||
Auto Manufacturers (0.4%) | ||||||||
75,000 | Nissan Motor Acceptance Corp. (Japan), (144A), 0.935%, due 09/26/16 (1)(2) | 75,407 | ||||||
|
| |||||||
Banks (1.9%) | ||||||||
50,000 | Bank of New York Mellon Corp. (The), 1.7%, due 11/24/14 | 50,341 | ||||||
30,000 | Citigroup, Inc., 6.375%, due 08/12/14 | 30,505 | ||||||
75,000 | Citigroup, Inc., 1.189%, due 07/25/16 (1) | 75,872 | ||||||
30,000 | Goldman Sachs Group, Inc. (The), 3.3%, due 05/03/15 | 30,797 | ||||||
50,000 | JPMorgan Chase Bank N.A., 0.563%, due 06/13/16 (1) | 49,797 | ||||||
60,000 | Royal Bank of Scotland PLC (The) (United Kingdom), 2.55%, due 09/18/15 | 61,287 | ||||||
100,000 | Royal Bank of Scotland PLC (The) (United Kingdom), 0.974%, due 09/29/15 (1) | 99,000 | ||||||
|
| |||||||
Total Banks | 397,599 | |||||||
|
| |||||||
Commercial Services (0.4%) | ||||||||
75,000 | Catholic Health Initiatives, 1.6%, due 11/01/17 | 73,923 | ||||||
|
| |||||||
Diversified Financial Services (1.3%) | ||||||||
100,000 | Ford Motor Credit Co. LLC, 7%, due 04/15/15 | 105,893 | ||||||
75,000 | General Electric Capital Corp., 0.877%, due 07/12/16 (1) | 75,744 | ||||||
50,000 | International Lease Finance Corp., (144A), 6.5%, due 09/01/14 (2) | 50,935 | ||||||
40,000 | Macquarie Group, Ltd. (Australia), (144A), 7.3%, due 08/01/14 (2) | 40,635 | ||||||
|
| |||||||
Total Diversified Financial Services | 273,207 | |||||||
|
| |||||||
Electric (0.8%) | ||||||||
70,000 | NextEra Energy Capital Holdings, Inc., 1.339%, due 09/01/15 | 70,603 | ||||||
50,000 | Oncor Electric Delivery Co. LLC, 6.8%, due 09/01/18 | 59,432 | ||||||
30,000 | PNM Resources, Inc., 9.25%, due 05/15/15 | 32,625 | ||||||
|
| |||||||
Total Electric | 162,660 | |||||||
|
| |||||||
Engineering & Construction (1.0%) | ||||||||
200,000 | Heathrow Funding, Ltd. (United Kingdom), (144A), 2.5%, due 06/25/17 (2) | 203,157 | ||||||
|
| |||||||
Food (0.2%) | ||||||||
50,000 | Kraft Foods Group, Inc., 1.625%, due 06/04/15 | 50,579 | ||||||
|
| |||||||
Gas (0.5%) | ||||||||
100,000 | Florida Gas Transmission Co. LLC, (144A), 4%, due 07/15/15 (2) | 103,900 | ||||||
|
| |||||||
Healthcare-Services (0.8%) | ||||||||
85,000 | Providence Health & Services Obligated Group, 1.183%, due 10/01/17 (1) | 84,856 | ||||||
75,000 | Ventas Realty LP, 1.55%, due 09/26/16 | 75,849 | ||||||
|
| |||||||
Total Healthcare-Services | 160,705 | |||||||
|
|
See accompanying notes to financial statements.
42
Table of Contents
TCW Short Term Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Insurance (1.1%) | ||||||||
$ | 135,000 | Farmers Insurance Exchange, (144A), 6%, due 08/01/14 (2) | $ | 136,356 | ||||
100,000 | Metropolitan Life Global Funding I, (144A), 1.7%, due 06/29/15 (2) | 101,324 | ||||||
|
| |||||||
Total Insurance | 237,680 | |||||||
|
| |||||||
Oil & Gas (0.2%) | ||||||||
50,000 | Devon Energy Corp., 0.683%, due 12/15/15 (1) | 50,118 | ||||||
|
| |||||||
Pharmaceuticals (0.7%) | ||||||||
100,000 | McKesson Corp., 0.635%, due 09/10/15 (1) | 100,156 | ||||||
50,000 | Mylan, Inc., 1.8%, due 06/24/16 | 50,769 | ||||||
|
| |||||||
Total Pharmaceuticals | 150,925 | |||||||
|
| |||||||
Pipelines (0.4%) | ||||||||
75,000 | TransCanada Pipelines, Ltd. (Canada), 0.914%, due 06/30/16 (1) | 75,677 | ||||||
|
| |||||||
Real Estate (0.8%) | ||||||||
50,000 | Post Apartment Homes, LP, 4.75%, due 10/15/17 | 54,714 | ||||||
100,000 | WEA Finance LLC/WT Finance Australia Pty, Ltd. (Australia), (144A), 5.75%, due 09/02/15 (2) | 106,450 | ||||||
|
| |||||||
Total Real Estate | 161,164 | |||||||
|
| |||||||
REIT (4.8%) | ||||||||
75,000 | Brandywine Operating Partnership LP, 7.5%, due 05/15/15 | 79,921 | ||||||
100,000 | Camden Property Trust, 5%, due 06/15/15 | 104,678 | ||||||
50,000 | Essex Portfolio LP, (144A), 5.5%, due 03/15/17 (2) | 55,537 | ||||||
75,000 | HCP, Inc., 6%, due 01/30/17 | 84,382 | ||||||
100,000 | HCP, Inc., 7.072%, due 06/08/15 | 106,951 | ||||||
45,000 | Host Hotels & Resorts LP, 5.875%, due 06/15/19 | 48,748 | ||||||
50,000 | Mack-Cali Realty LP, 2.5%, due 12/15/17 | 50,607 | ||||||
75,000 | Mid-America Apartments LP, (144A), 5.5%, due 10/01/15 (2) | 79,651 | ||||||
85,000 | Pan Pacific Retail Properties, Inc., 5.25%, due 09/01/15 | 89,786 | ||||||
75,000 | Realty Income Corp., 5.5%, due 11/15/15 | 80,283 | ||||||
70,000 | Reckson Operating Partnership LP, 5.875%, due 08/15/14 | 70,837 | ||||||
50,000 | UDR, Inc., 5.25%, due 01/15/15 | 51,599 | ||||||
75,000 | UDR, Inc., 5.25%, due 01/15/16 | 79,907 | ||||||
|
| |||||||
Total REIT | 982,887 | |||||||
|
| |||||||
Telecommunications (0.9%) | ||||||||
100,000 | AT&T, Inc., 2.5%, due 08/15/15 | 102,501 | ||||||
87,000 | Verizon Communications, Inc., 1.763%, due 09/15/16 (1) | 89,561 | ||||||
|
| |||||||
Total Telecommunications | 192,062 | |||||||
|
| |||||||
Total Corporate Bonds (Cost: $3,637,188) | 3,623,639 | |||||||
|
| |||||||
Municipal Bond (Cost: $142,915) (0.7%) | ||||||||
125,000 | State of California, General Obligation Unlimited, 5.95%, due 04/01/16 | 137,475 | ||||||
|
|
See accompanying notes to financial statements.
43
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
U.S. Government Agency Obligations (2.4%) | ||||||||
$ | 105,000 | Federal Farm Credit Banks, 0.173%, due 09/14/16 (1) | $ | 105,031 | ||||
135,000 | Federal Farm Credit Banks, 0.201%, due 04/17/17 (1) | 135,146 | ||||||
110,000 | Federal Farm Credit Banks, 0.207%, due 02/27/17 (1) | 110,150 | ||||||
70,000 | Federal Home Loan Bank, 0.55%, due 06/03/16 | 70,008 | ||||||
70,000 | Federal Home Loan Mortgage Corp., 0.75%, due 10/05/16 | 70,004 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost: $489,967) | 490,339 | |||||||
|
| |||||||
U.S. Treasury Securities (3.0%) | ||||||||
113,740 | U.S. Treasury Inflation Indexed Note, 0.5%, due 04/15/15 (3) | 115,913 | ||||||
61,471 | U.S. Treasury Inflation Indexed Note, 1.625%, due 01/15/15 (3) | 62,974 | ||||||
379,844 | U.S. Treasury Inflation Indexed Note, 2%, due 07/15/14 (3) | 385,289 | ||||||
50,000 | U.S. Treasury Note, 0.25%, due 08/15/15 | 50,057 | ||||||
|
| |||||||
Total U.S. Treasury Securities (Cost: $623,034) | 614,233 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $14,014,188) (68.1%) | 14,091,865 | |||||||
|
| |||||||
Number of Shares | Money Market Investments | |||||||
9,000 | Dreyfus Institutional Cash Advantage Fund, 0.06% (4) | 9,000 | ||||||
8,000 | DWS Money Market Series — Institutional Shares, 0.06% (4) | 8,000 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $17,000) (0.1%) | 17,000 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Certificate of Deposit (Cost: $100,000) (0.5%) | ||||||||
Banks (0.5%) | ||||||||
$ | 100,000 | Credit Suisse/New York (Switzerland), 0.556%, due 08/24/15 (1) | 99,935 | |||||
|
| |||||||
Commercial Paper (Cost: $199,994) (1.0%) | ||||||||
Electric (1.0%) | ||||||||
200,000 | National Rural Utilities Cooperative Finance Corp., 0.08%, due 05/15/14 (5) | 199,994 | ||||||
|
| |||||||
Discount Notes (30.6%) | ||||||||
4,700,000 | Federal Home Loan Bank Discount Note, 0.065%, due 05/16/14 (5) | 4,699,873 | ||||||
245,000 | Federal Home Loan Bank Discount Note, 0.075%, due 05/16/14 (5) | 244,992 | ||||||
285,000 | Federal Home Loan Bank Discount Note, 0.075%, due 06/13/14 (5) | 284,974 | ||||||
600,000 | Federal Home Loan Bank Discount Note, 0.08%, due 05/14/14 (5) | 599,983 | ||||||
365,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.08%, due 05/12/14 (5) | 364,991 | ||||||
125,000 | Federal National Mortgage Association Discount Note, 0.09%, due 07/16/14 (5) | 124,990 | ||||||
|
| |||||||
Total Discount Notes (Cost: $6,319,789) | 6,319,803 | |||||||
|
|
See accompanying notes to financial statements.
44
Table of Contents
TCW Short Term Bond Fund
April 30, 2014 |
Principal Amount | Short-Term Investments | Value | ||||||
Repurchase Agreement (Cost: $263,928) (1.3%) | ||||||||
$ | 263,928 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $290,000 Federal Home Loan Mortgage Corp., 2.08%, due 10/17/22, valued at $269,486) (Total Amount to be Received Upon Repurchase $263,928) | $ | 263,928 | ||||
|
| |||||||
Total Short-Term Investments (Cost: $6,883,711) (33.4%) | 6,883,660 | |||||||
|
| |||||||
Total Investments (Cost: $20,914,899) (101.6%) | 20,992,525 | |||||||
Liabilities in Excess of Other Assets (-1.6%) | (336,899 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 20,655,626 | ||||||
|
|
Notes to the Schedule of Investments:
EETC - | Enhanced Equipment Trust Certificate. |
I/F - Inverse | Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
PAC - Planned | Amortization Class. |
REIT - Real | Estate Investment Trust. |
TAC - Target | Amortization Class. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2014. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2014, the value of these securities amounted to $1,222,552 or 5.9% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | Interest rate for this security is a stated rate. Interest payments are determined based on the inflation-adjusted principal. |
(4) | Rate disclosed, the 7-day net yield, is as of April 30, 2014. |
(5) | Rate shown represents yield-to-maturity. |
See accompanying notes to financial statements.
45
Table of Contents
TCW Short Term Bond Fund
Investments by Industry (Unaudited)
Industry | Percentage of Net Assets | |||
Airlines | 1.3 | % | ||
Auto Manufacturers | 0.4 | |||
Banks | 1.9 | |||
Commercial Mortgage-Backed Securities — Agency | 4.2 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 8.9 | |||
Commercial Services | 0.4 | |||
Diversified Financial Services | 1.3 | |||
Electric | 0.8 | |||
Engineering & Construction | 1.0 | |||
Food | 0.2 | |||
Gas | 0.5 | |||
Healthcare-Services | 0.8 | |||
Insurance | 1.1 | |||
Municipal Bonds | 0.7 | |||
Oil & Gas | 0.2 | |||
Pharmaceuticals | 0.7 | |||
Pipelines | 0.4 | |||
REIT | 4.8 | |||
Real Estate | 0.8 | |||
Residential Mortgage-Backed Securities — Agency | 29.6 | |||
Residential Mortgage-Backed Securities — Non-Agency | 1.8 | |||
Telecommunications | 0.9 | |||
U.S. Government Agency Obligations | 2.4 | |||
U.S. Treasury Securities | 3.0 | |||
Money Market Investments | 0.1 | |||
Short-Term Investments | 33.4 | |||
|
| |||
Total | 101.6 | % | ||
|
|
See accompanying notes to financial statements.
46
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) | April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Asset-Backed Securities (7.4% of Net Assets) | ||||||||
$ | 10,424,944 | 321 Henderson Receivables I LLC (13-3A-A), (144A), 4.08%, due 01/17/73 (1) | $ | 10,754,950 | ||||
20,000,000 | Academic Loan Funding Trust (12-1A-A2), (144A), 1.252%, due 12/27/44 (1)(2) | 20,375,735 | ||||||
12,388,312 | Access Group, Inc. (05-2-A3), 0.416%, due 11/22/24 (2)(3) | 12,317,284 | ||||||
9,800,485 | Bayview Commercial Asset Trust (04-1-A), (144A), 0.512%, due 04/25/34 (1)(2) | 9,229,891 | ||||||
14,721,023 | Bayview Commercial Asset Trust (06-1A-A1), (144A), 0.422%, due 04/25/36 (1)(2) | 12,884,473 | ||||||
20,600,000 | Brazos Higher Education Authority, Inc. (05-3-A15), 0%, due 03/25/25 (2)(3) | 20,543,382 | ||||||
18,700,000 | Brazos Higher Education Authority, Inc. (11-1-A3), 1.285%, due 11/25/33 (2) | 19,023,380 | ||||||
11,775,000 | Brazos Higher Education Authority, Inc. (11-2-A3), 1.229%, due 10/27/36 (2) | 11,971,503 | ||||||
6,683,287 | CIT Education Loan Trust (07-1-A), (144A), 0.323%, due 03/25/42 (1)(2) | 6,254,747 | ||||||
16,780,000 | College Loan Corp. Trust (07-1-A3), 0.329%, due 04/25/29 (2)(3) | 15,630,486 | ||||||
9,843,099 | Collegiate Funding Services Education Loan Trust (04-A-A3), 0.443%, due 09/28/26 (2) | 9,805,888 | ||||||
16,740,935 | Educational Funding of the South, Inc. (12-1-A), 1.202%, due 03/25/36 (2) | 17,076,870 | ||||||
16,675,000 | EFS Volunteer LLC (10-1-A2), (144A), 1.089%, due 10/25/35 (1)(2) | 16,571,448 | ||||||
7,225,000 | EFS Volunteer No 2 LLC (12-1-A2), (144A), 1.504%, due 03/25/36 (1)(2) | 7,404,706 | ||||||
17,750,000 | EFS Volunteer No 3 LLC (12-1-A3), (144A), 1.154%, due 04/25/33 (1)(2) | 17,921,580 | ||||||
6,820,301 | GE Business Loan Trust (04-2A-A), (144A), 0.372%, due 12/15/32 (1)(2) | 6,587,552 | ||||||
12,650,000 | Goal Capital Funding Trust (05-2-A3), 0.405%, due 05/28/30 (2) | 12,407,372 | ||||||
14,773,904 | Goal Capital Funding Trust (06-1-A3), 0.355%, due 11/25/26 (2) | 14,646,176 | ||||||
25,000,000 | GoldenTree Loan Opportunities VII, Ltd. (13-7A-A), (144A), 1.379%, due 04/25/25 (1)(2) | 24,683,900 | ||||||
8,198,961 | Greyrock CDO, Ltd. (05-1X-A2L), (Reg. S), 0.656%, due 11/15/17 (2)(4) | 8,196,925 | ||||||
7,396,410 | Jasper CLO, Ltd. (05-1A-A), (144A), 0.495%, due 08/01/17 (1)(2) | 7,381,970 | ||||||
7,212,786 | JFIN CLO, Ltd. (07-1A-A1A), (144A), 0.433%, due 07/20/21 (1)(2) | 7,168,782 | ||||||
7,305,017 | KKR Financial Corp. (07-AA-A), (144A), 0.977%, due 10/15/17 (1)(2) | 7,304,055 | ||||||
18,000,000 | Montana Higher Education Student Assistance Corp. (12-1-A3), 1.202%, due 07/20/43 (2) | 17,889,746 | ||||||
8,650,000 | National Collegiate Master Student Loan Trust I (02-2-AR10), (144A), 0%, due 11/01/42 (1)(2) | 8,650,000 | ||||||
11,351,663 | National Collegiate Student Loan Trust (06-3-A3), 0.302%, due 10/25/27 (2) | 11,155,768 | ||||||
3,675,000 | National Collegiate Student Loan Trust (07-4-A2A3), 3.49%, due 12/26/25 (2) | 3,661,039 | ||||||
13,960,431 | Pangaea CLO, Ltd. (07-1A-A1), (144A), 0.478%, due 10/21/21 (1)(2) | 13,624,476 | ||||||
16,000,000 | Panhandle-Plains Higher Education Authority, Inc. (11-1-A3), 1.183%, due 10/01/37 (2) | 16,175,139 | ||||||
2,822,348 | Red River CLO, Ltd. (1A-A), (144A), 0.495%, due 07/27/18 (1)(2) | 2,792,657 | ||||||
9,500,000 | SLM Private Credit Student Loan Trust (04-A-A3), 0.633%, due 06/15/33 (2) | 8,900,669 | ||||||
10,000,000 | SLM Private Credit Student Loan Trust (04-B-A3), 0.563%, due 03/15/24 (2) | 9,439,270 | ||||||
4,335,417 | SLM Student Loan Trust (04-8-B), 0.689%, due 01/25/40 (2) | 3,940,023 | ||||||
7,544,000 | SLM Student Loan Trust (05-5-A5), 0.979%, due 10/25/40 (2) | 7,403,387 | ||||||
6,961,773 | SLM Student Loan Trust (07-6-B), 1.079%, due 04/27/43 (2) | 6,357,930 | ||||||
5,011,895 | SLM Student Loan Trust (07-8-B), 1.229%, due 04/27/43 (2) | 4,688,898 | ||||||
7,405,000 | SLM Student Loan Trust (08-2-B), 1.429%, due 01/25/29 (2) | 6,737,254 | ||||||
6,549,000 | SLM Student Loan Trust (08-3-B), 1.429%, due 04/25/29 (2) | 6,064,020 | ||||||
3,270,000 | SLM Student Loan Trust (08-4-B), 2.079%, due 04/25/29 (2) | 3,192,566 | ||||||
17,785,000 | SLM Student Loan Trust (08-5-A4), 1.929%, due 07/25/23 (2)(3) | 18,660,031 | ||||||
16,200,000 | SLM Student Loan Trust (08-5-B), 2.079%, due 07/25/29 (2) | 16,444,652 | ||||||
20,000,000 | SLM Student Loan Trust (08-6-A3), 0.979%, due 01/25/19 (2)(3) | 20,184,315 |
See accompanying notes to financial statements.
47
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Asset-Backed Securities (Continued) | ||||||||
$ | 6,380,000 | SLM Student Loan Trust (08-6-B), 2.079%, due 07/25/29 (2) | $ | 6,313,045 | ||||
6,380,000 | SLM Student Loan Trust (08-7-B), 2.079%, due 07/25/29 (2) | 6,554,091 | ||||||
5,696,000 | SLM Student Loan Trust (08-8-B), 2.479%, due 10/25/29 (2) | 6,027,991 | ||||||
15,950,000 | SLM Student Loan Trust (08-9-B), 2.479%, due 10/25/29 (2) | 16,801,577 | ||||||
12,800,000 | SLM Student Loan Trust (11-1-A2), 1.302%, due 10/25/34 (2) | 13,186,989 | ||||||
17,840,000 | SLM Student Loan Trust (11-2-A2), 1.352%, due 10/25/34 (2) | 18,584,124 | ||||||
9,808,337 | SLM Student Loan Trust (12-2-A), 0.852%, due 01/25/29 (2) | 9,897,280 | ||||||
10,000,000 | South Carolina Student Loan Corp. (06-1-A2), 0%, due 12/01/22 (2) | 9,801,500 | ||||||
7,550,000 | Telos CLO, Ltd. (06-1A-A2), (144A), 0.628%, due 10/11/21 (1)(2) | 7,485,100 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost: $559,089,906) | 576,756,592 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Agency (6.1%) | ||||||||
45,330,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K005-A2), 4.317%, due 11/25/19 (3) | 50,210,590 | ||||||
24,280,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K007-A2), 4.224%, due 03/25/20 (3) | 26,680,482 | ||||||
29,110,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K009-A2), 3.808%, due 08/25/20 (3) | 31,274,445 | ||||||
32,350,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K010-A2), 4.333%, due 10/25/20 (3) | 35,709,548 | ||||||
25,890,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K013-A2), 3.974%, due 01/25/21 (2)(3) | 28,037,317 | ||||||
37,335,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K020-A2), 2.373%, due 05/25/22 (3) | 36,061,316 | ||||||
49,996,059 | Federal National Mortgage Association, (12-M12-1A), 2.935%, due 08/25/22 | 50,250,274 | ||||||
35,257,172 | Federal National Mortgage Association, (12-M15-A), 2.744%, due 10/25/22 | 34,683,625 | ||||||
2,985,562 | Federal National Mortgage Association, Pool #AE0918, 3.665%, due 10/01/20 (3) | 3,196,787 | ||||||
19,477,986 | Federal National Mortgage Association, Pool #AL0290, 4.447%, due 04/01/21 (3) | 21,452,811 | ||||||
20,845,865 | Federal National Mortgage Association, Pool #AL0600, 4.3%, due 07/01/21 (3) | 22,827,186 | ||||||
16,144,876 | Federal National Mortgage Association, Pool #AL2660, 2.628%, due 10/01/22 (3) | 15,908,045 | ||||||
45,503,513 | Federal National Mortgage Association, Pool #AL3366, 2.436%, due 02/01/23 (3) | 44,222,011 | ||||||
45,783,995 | Federal National Mortgage Association, Pool #AL3400, 2.545%, due 03/01/23 (3) | 44,645,091 | ||||||
22,199,380 | Federal National Mortgage Association, Pool #AL3562, 2.558%, due 04/01/23 (3) | 21,677,801 | ||||||
13,519,564 | Federal National Mortgage Association, Pool #FN0003, 4.302%, due 01/01/21 (3) | 14,851,118 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Agency | 481,688,447 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Non-Agency (0.7%) | ||||||||
6,440,000 | COMM Mortgage Trust (12-LC4-A4), 3.288%, due 12/10/44 | 6,542,182 | ||||||
10,301,320 | DBRR Trust (11-LC2-A4A), (144A), 4.537%, due 07/12/44 (1)(2) | 11,136,088 | ||||||
17,505,000 | GS Mortgage Securities Corp. II (11-GC5-A4), 3.707%, due 08/10/44 | 18,264,638 | ||||||
3,460,000 | Morgan Stanley Capital I Trust (11-C3-A4), 4.118%, due 07/15/49 | 3,700,089 |
See accompanying notes to financial statements.
48
Table of Contents
TCW Total Return Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Commercial Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 17,835,000 | WF-RBS Commercial Mortgage Trust (11-C5-A4), 3.667%, due 11/15/44 | $ | 18,543,638 | ||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Non-Agency | 58,186,635 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Agency (39.4%) | ||||||||
401,765 | Federal Home Loan Mortgage Corp. (1829-ZB), 6.5%, due 03/15/26 (3) | 438,441 | ||||||
499,339 | Federal Home Loan Mortgage Corp. (2367-ZK), 6%, due 10/15/31 (3) | 554,376 | ||||||
6,781,057 | Federal Home Loan Mortgage Corp. (2514-PZ), 5.5%, due 10/15/32 (PAC) (3) | 7,446,808 | ||||||
17,547,273 | Federal Home Loan Mortgage Corp. (2571-PZ), 5.5%, due 02/15/33 (PAC) (3) | 19,505,771 | ||||||
1,860,070 | Federal Home Loan Mortgage Corp. (2642-AR), 4.5%, due 07/15/23 (3) | 1,980,816 | ||||||
955,705 | Federal Home Loan Mortgage Corp. (2647-OV), 0%, due 07/15/33 (P/O) (3) | 819,931 | ||||||
7,160,509 | Federal Home Loan Mortgage Corp. (2662-MT), 4.5%, due 08/15/33 (TAC) (3) | 7,592,595 | ||||||
4,033,349 | Federal Home Loan Mortgage Corp. (2666-BD), 4.5%, due 08/15/23 (3) | 4,331,931 | ||||||
5,566,082 | Federal Home Loan Mortgage Corp. (2700-B), 4.5%, due 11/15/23 (3) | 6,053,248 | ||||||
30,275,713 | Federal Home Loan Mortgage Corp. (2752-GZ), 5%, due 02/15/34 (PAC) (3) | 33,764,882 | ||||||
58,659,317 | Federal Home Loan Mortgage Corp. (276-30), 3%, due 09/15/42 (3) | 56,886,328 | ||||||
11,640,806 | Federal Home Loan Mortgage Corp. (2769-LB), 4%, due 03/15/19 (3) | 12,182,716 | ||||||
64,691,507 | Federal Home Loan Mortgage Corp. (277-30), 3%, due 09/15/42 (3) | 62,769,056 | ||||||
2,054,885 | Federal Home Loan Mortgage Corp. (2882-JH), 4.5%, due 10/15/34 (PAC) (3) | 2,168,618 | ||||||
1,082,773 | Federal Home Loan Mortgage Corp. (2903-PO), 0%, due 11/15/23 (P/O) (3) | 1,046,699 | ||||||
2,609,910 | Federal Home Loan Mortgage Corp. (3014-YH), 4.5%, due 08/15/35 (TAC) (3) | 2,639,974 | ||||||
7,803,833 | Federal Home Loan Mortgage Corp. (3045-HZ), 4.5%, due 10/15/35 (3) | 8,341,088 | ||||||
50,000,000 | Federal Home Loan Mortgage Corp. (3063-YG), 5.5%, due 11/15/35 (PAC) (3) | 56,098,900 | ||||||
33,582,715 | Federal Home Loan Mortgage Corp. (3114-KZ), 5%, due 02/15/36 (3) | 36,955,763 | ||||||
16,045,716 | Federal Home Loan Mortgage Corp. (3146-GE), 5.5%, due 04/15/26 (3) | 17,708,461 | ||||||
13,554,842 | Federal Home Loan Mortgage Corp. (3149-OD), 0%, due | 11,824,759 | ||||||
2,124,481 | Federal Home Loan Mortgage Corp. (3154-B), 5%, due 08/15/32 (3) | 2,144,347 | ||||||
14,816,022 | Federal Home Loan Mortgage Corp. (3315-S), 6.258%, due 05/15/37 (I/O) (I/F) (2)(3) | 1,636,827 | ||||||
10,160,137 | Federal Home Loan Mortgage Corp. (3376-SX), 5.888%, due 10/15/37 (I/O) (I/F) (2)(3) | 1,432,894 | ||||||
2,081,698 | Federal Home Loan Mortgage Corp. (3379-AB), 6%, due 07/15/36 | 2,100,314 | ||||||
15,571,511 | Federal Home Loan Mortgage Corp. (3410-IS), 6.118%, due 02/15/38 (I/O) (I/F) (2)(3) | 2,245,202 | ||||||
12,337,735 | Federal Home Loan Mortgage Corp. (3424-BI), 6.648%, due 04/15/38 (I/O) (I/F) (2)(3) | 2,227,154 | ||||||
7,964,490 | Federal Home Loan Mortgage Corp. (3512-AY), 4%, due 02/15/24 (3) | 8,529,821 | ||||||
5,530,308 | Federal Home Loan Mortgage Corp. (3519-SH), 5.348%, due 07/15/37 (I/O) (I/F) (2)(3) | 634,423 | ||||||
23,498,406 | Federal Home Loan Mortgage Corp. (3531-SC), 6.148%, due 05/15/39 (I/O) (I/F) (2)(3) | 3,333,333 | ||||||
5,769,985 | Federal Home Loan Mortgage Corp. (3541-SA), 6.598%, due 06/15/39 (I/O) (I/F) (2)(3) | 654,589 | ||||||
22,035,209 | Federal Home Loan Mortgage Corp. (3550-GS), 6.598%, due 07/15/39 (I/O) (I/F) (2)(3) | 3,812,391 | ||||||
9,290,021 | Federal Home Loan Mortgage Corp. (3551-VZ), 5.5%, due 12/15/32 (3) | 10,320,604 | ||||||
37,500,000 | Federal Home Loan Mortgage Corp. (3557-NB), 4.5%, due 07/15/29 (3) | 40,735,125 | ||||||
19,487,669 | Federal Home Loan Mortgage Corp. (3557-KB), 4.5%, due 07/15/29 (3) | 20,931,403 | ||||||
20,606,517 | Federal Home Loan Mortgage Corp. (3558-KB), 4%, due 08/15/29 (3) | 21,825,210 | ||||||
25,000,000 | Federal Home Loan Mortgage Corp. (3565-XB), 4%, due 08/15/24 (3) | 26,482,967 | ||||||
2,741,215 | Federal Home Loan Mortgage Corp. (3575-D), 4.5%, due 03/15/37 (3) | 2,905,017 | ||||||
20,115,000 | Federal Home Loan Mortgage Corp. (3626-MD), 5%, due 01/15/38 (PAC) | 22,278,896 |
See accompanying notes to financial statements.
49
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 20,025,406 | Federal Home Loan Mortgage Corp. (3719-PJ), 4.5%, due 09/15/40 (PAC) (3) | $ | 21,603,971 | ||||
30,515,043 | Federal Home Loan Mortgage Corp. (3770-ZB), 5%, due 12/15/40 (3) | 32,947,717 | ||||||
27,612,770 | Federal Home Loan Mortgage Corp. (3788-SB), 6.328%, due 01/15/41 (I/O) (I/F) (2)(3) | 4,540,230 | ||||||
6,896,300 | Federal Home Loan Mortgage Corp. (3885-PO), 0%, due 11/15/33 (P/O) (PAC) (3) | 6,096,771 | ||||||
10,470,000 | Federal Home Loan Mortgage Corp. (3930-KE), 4%, due 09/15/41 (PAC) (3) | 10,852,071 | ||||||
11,832,660 | Federal Home Loan Mortgage Corp. (4030-HS), 6.458%, due 04/15/42 (I/O) (2)(3) | 1,882,786 | ||||||
15,630,706 | Federal Home Loan Mortgage Corp. (R002-ZA), 5.5%, due 06/15/35 (3) | 17,252,359 | ||||||
1,955 | Federal Home Loan Mortgage Corp., Pool #755183, 10.046%, due 12/01/15 (2)(3) | 1,946 | ||||||
11,082,526 | Federal Home Loan Mortgage Corp., Pool #A88591, 5%, due 09/01/39 (3) | 12,189,791 | ||||||
49,892,973 | Federal Home Loan Mortgage Corp., Pool #A91162, 5%, due 02/01/40 (3) | 55,506,653 | ||||||
15,455,464 | Federal Home Loan Mortgage Corp., Pool #A92195, 5%, due 05/01/40 (3) | 17,105,557 | ||||||
31,946,680 | Federal Home Loan Mortgage Corp., Pool #A97038, 4%, due 02/01/41 (3) | 33,505,328 | ||||||
20,659 | Federal Home Loan Mortgage Corp., Pool #B15322, 5%, due 07/01/19 (3) | 21,956 | ||||||
17,974 | Federal Home Loan Mortgage Corp., Pool #B15490, 5%, due 07/01/19 (3) | 19,099 | ||||||
77,965 | Federal Home Loan Mortgage Corp., Pool #B15557, 5%, due 07/01/19 | 82,869 | ||||||
33,713 | Federal Home Loan Mortgage Corp., Pool #B15802, 5%, due 07/01/19 (3) | 35,817 | ||||||
48,777,917 | Federal Home Loan Mortgage Corp., Pool #C03805, 3.5%, due 04/01/42 (3) | 49,591,775 | �� | |||||
124,060 | Federal Home Loan Mortgage Corp., Pool #C90552, 6%, due 06/01/22 (3) | 138,864 | ||||||
448,665 | Federal Home Loan Mortgage Corp., Pool #G01959, 5%, due 12/01/35 (3) | 492,437 | ||||||
51,705,423 | Federal Home Loan Mortgage Corp., Pool #G06173, 4%, due 11/01/40 (3) | 54,381,587 | ||||||
15,132,406 | Federal Home Loan Mortgage Corp., Pool #G07556, 4%, due 11/01/43 (5) | 15,937,335 | ||||||
757,482 | Federal Home Loan Mortgage Corp., Pool #G11678, 4.5%, due 04/01/20 (3) | 805,895 | ||||||
1,901,273 | Federal Home Loan Mortgage Corp., Pool #G12635, 5.5%, due 03/01/22 (3) | 2,026,246 | ||||||
2,383,777 | Federal Home Loan Mortgage Corp., Pool #G12702, 4.5%, due 09/01/20 (3) | 2,531,290 | ||||||
2,632,906 | Federal Home Loan Mortgage Corp., Pool #G13390, 6%, due 01/01/24 (3) | 2,864,859 | ||||||
30,606 | Federal Home Loan Mortgage Corp., Pool #G30194, 6.5%, due 04/01/21 (3) | 34,505 | ||||||
4,811,076 | Federal Home Loan Mortgage Corp., Pool #G30450, 6%, due 01/01/29 (3) | 5,385,183 | ||||||
5,054,083 | Federal Home Loan Mortgage Corp., Pool #G30452, 6%, due 10/01/28 (3) | 5,657,188 | ||||||
7,043,282 | Federal Home Loan Mortgage Corp., Pool #G30454, 5%, due 05/01/29 (3) | 7,754,686 | ||||||
934,266 | Federal Home Loan Mortgage Corp., Pool #H82001, 5.5%, due 07/01/37 (3) | 1,013,168 | ||||||
8,448,173 | Federal Home Loan Mortgage Corp., Pool #N70081, 5.5%, due 07/01/38 (3) | 9,406,456 | ||||||
10,010,879 | Federal Home Loan Mortgage Corp., Pool #P51350, 5%, due 03/01/36 (3) | 10,845,771 | ||||||
40,523,301 | Federal Home Loan Mortgage Corp., Pool #V80284, 3.5%, due 08/01/43 | 41,250,511 | ||||||
54,434,749 | Federal Home Loan Mortgage Corp., Pool #V80353, 3%, due 08/01/43 (5) | 53,088,765 | ||||||
556,724 | Federal National Mortgage Association (01-40-Z), 6%, due 08/25/31 (3) | 620,122 | ||||||
1,681,438 | Federal National Mortgage Association (03-117-TG), 4.75%, due 08/25/33 (PAC) (3) | 1,830,391 | ||||||
475,227 | Federal National Mortgage Association (03-54-PG), 5.5%, due 09/25/32 (PAC) (3) | 476,644 | ||||||
1,504,391 | Federal National Mortgage Association (04-52-SW), 6.948%, due 07/25/34 (I/O) | 262,909 | ||||||
4,227,273 | Federal National Mortgage Association (04-65-LT), 4.5%, due 08/25/24 (3) | 4,513,746 | ||||||
4,304,146 | Federal National Mortgage Association (04-68-LC), 5%, due 09/25/29 (3) | 4,743,124 | ||||||
16,286,227 | Federal National Mortgage Association (05-117-LC), 5.5%, due 11/25/35 (PAC) (3) | 17,720,815 | ||||||
814,324 | Federal National Mortgage Association (05-74-CP), 24.192%, due 05/25/35 (I/F) (PAC) (2)(3) | 1,257,905 |
See accompanying notes to financial statements.
50
Table of Contents
TCW Total Return Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 6,801,302 | Federal National Mortgage Association (07-20-SI), 6.298%, due 03/25/37 (I/O) | $ | 956,411 | ||||
6,626,644 | Federal National Mortgage Association (07-21-SE), 6.288%, due 03/25/37 (I/O) | 1,059,317 | ||||||
8,636,182 | Federal National Mortgage Association (07-56-SG), 6.258%, due 06/25/37 (I/O) | 1,111,524 | ||||||
19,822,645 | Federal National Mortgage Association (07-58-SV), 6.598%, due 06/25/37 (I/O) | 2,549,410 | ||||||
140,565 | Federal National Mortgage Association (07-64-AN), 6%, due 09/25/36 (3) | 141,213 | ||||||
4,455,522 | Federal National Mortgage Association (07-65-S), 6.448%, due 07/25/37 (I/O) | 589,932 | ||||||
2,135,249 | Federal National Mortgage Association (07-88-FY), 0.612%, due 09/25/37 (2)(3) | 2,140,784 | ||||||
20,449,479 | Federal National Mortgage Association (07-103-AI), 6.348%, due 03/25/37 (I/O) | 3,045,688 | ||||||
32,886,520 | Federal National Mortgage Association (07-B2-ZA), 5.5%, due 06/25/37 (3) | 36,489,906 | ||||||
20,028,357 | Federal National Mortgage Association (08-1-AI), 6.098%, due 05/25/37 (I/O) | 2,759,090 | ||||||
13,905,790 | Federal National Mortgage Association (08-13-SB), 6.088%, due 03/25/38 (I/O) | 1,888,141 | ||||||
22,532,147 | Federal National Mortgage Association (08-23-SB), 6.698%, due 04/25/38 (I/O) | 3,679,971 | ||||||
3,484,790 | Federal National Mortgage Association (08-35-SD), 6.298%, due 05/25/38 (I/O) | 635,068 | ||||||
32,227,006 | Federal National Mortgage Association (08-66-SG), 5.918%, due 08/25/38 (I/O) | 4,461,845 | ||||||
14,287,538 | Federal National Mortgage Association (08-68-SA), 5.818%, due 08/25/38 (I/O) | 1,791,196 | ||||||
8,153,639 | Federal National Mortgage Association (09-26-KB), 4%, due 04/25/24 (3) | 8,652,307 | ||||||
11,177,306 | Federal National Mortgage Association (09-3-SH), 5.298%, due 06/25/37 (I/O) | 1,310,691 | ||||||
4,159,568 | Federal National Mortgage Association (09-47-SV), 6.598%, due 07/25/39 (I/O) | 530,713 | ||||||
15,190,860 | Federal National Mortgage Association (09-51-SA), 6.598%, due 07/25/39 (I/O) | 2,375,683 | ||||||
6,487,898 | Federal National Mortgage Association (09-6-SD), 5.398%, due 02/25/39 (I/O) | 791,136 | ||||||
18,313,944 | Federal National Mortgage Association (09-68-KB), 4%, due 09/25/24 (3) | 19,413,800 | ||||||
26,860,368 | Federal National Mortgage Association (09-71-LB), 4%, due 09/25/29 (3) | 28,346,359 | ||||||
34,000,000 | Federal National Mortgage Association (09-72-AC), 4%, due 09/25/29 (3) | 35,727,744 | ||||||
4,273,367 | Federal National Mortgage Association (09-72-JS), 7.098%, due 09/25/39 (I/O) | 640,355 | ||||||
20,937,000 | Federal National Mortgage Association (10-136-CX), 4%, due 08/25/39 (PAC) (3) | 21,887,214 | ||||||
50,000,000 | Federal National Mortgage Association (11-111-DB), 4%, due 11/25/41 (3) | 51,581,825 | ||||||
58,952,705 | Federal National Mortgage Association (12-133-GC), 2.5%, due 08/25/41 (PAC) (3) | 58,233,659 | ||||||
25,712,871 | Federal National Mortgage Association (12-153-PC), 2%, due 05/25/42 (PAC) (3) | 23,864,926 |
See accompanying notes to financial statements.
51
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 12,068,143 | Federal National Mortgage Association (13-101-BO), 0%, due 10/25/43 (P/O) (3) | $ | 9,279,142 | ||||
28,025,229 | Federal National Mortgage Association (13-101-CO), 0%, due 10/25/43 (P/O) (3) | 21,515,761 | ||||||
32,021,142 | Federal National Mortgage Association (13-21-EC), 2%, due 12/25/38 (I/O) (3) | 30,027,826 | ||||||
7,876,000 | Federal National Mortgage Association (13-35-LP), 3%, due 01/25/43 (PAC) | 7,446,030 | ||||||
21,400,000 | Federal National Mortgage Association (13-95-PN), 3%, due 01/25/43 (PAC) | 20,134,960 | ||||||
173,143 | Federal National Mortgage Association (93-202-SZ), 10%, due 11/25/23 (I/F) | 201,243 | ||||||
961,604 | Federal National Mortgage Association (95-21-C), 0%, due 05/25/24 (P/O) (3) | 864,672 | ||||||
72,691 | Federal National Mortgage Association (G92-29-J), 8%, due 07/25/22 (3) | 81,534 | ||||||
125,877 | Federal National Mortgage Association, Pool #254442, 5.5%, due 09/01/17 (3) | 134,027 | ||||||
357,830 | Federal National Mortgage Association, Pool #254634, 5.5%, due 02/01/23 (3) | 397,711 | ||||||
4,965,065 | Federal National Mortgage Association, Pool #257536, 5%, due 01/01/29 (3) | 5,466,931 | ||||||
3,230,462 | Federal National Mortgage Association, Pool #310033, 6%, due 07/01/47 (3) | 3,590,660 | ||||||
10,549,837 | Federal National Mortgage Association, Pool #555424, 5.5%, due 05/01/33 (3) | 11,773,289 | ||||||
1,099,085 | Federal National Mortgage Association, Pool #555811, 4%, due 10/01/18 (3) | 1,167,993 | ||||||
66,480 | Federal National Mortgage Association, Pool #661856, 2.278%, due 10/01/32 (2)(3) | 66,433 | ||||||
351,762 | Federal National Mortgage Association, Pool #671133, 1.788%, due 02/01/33 (2)(3) | 364,922 | ||||||
102,198 | Federal National Mortgage Association, Pool #672272, 2.189%, due 12/01/32 (2)(3) | 109,138 | ||||||
454,026 | Federal National Mortgage Association, Pool #676766, 2.208%, due 01/01/33 (2)(3) | 481,856 | ||||||
272,536 | Federal National Mortgage Association, Pool #687847, 2.167%, due 02/01/33 (2) | 288,314 | ||||||
951,115 | Federal National Mortgage Association, Pool #692104, 1.792%, due 02/01/33 (2)(3) | 987,816 | ||||||
556,739 | Federal National Mortgage Association, Pool #699866, 2.127%, due 04/01/33 (2)(3) | 584,024 | ||||||
300,866 | Federal National Mortgage Association, Pool #704454, 2.266%, due 05/01/33 (2)(3) | 312,588 | ||||||
297,729 | Federal National Mortgage Association, Pool #708820, 2.507%, due 06/01/33 (2)(3) | 316,885 | ||||||
563,605 | Federal National Mortgage Association, Pool #725275, 4%, due 03/01/19 (3) | 599,049 | ||||||
303,907 | Federal National Mortgage Association, Pool #728824, 2.332%, due 07/01/33 (2)(3) | 326,946 | ||||||
1,287,364 | Federal National Mortgage Association, Pool #734384, 5.5%, due 07/01/33 (3) | 1,400,752 | ||||||
38,141 | Federal National Mortgage Association, Pool #785677, 5%, due 07/01/19 (3) | 40,809 | ||||||
1,570,888 | Federal National Mortgage Association, Pool #888593, 7%, due 06/01/37 (3) | 1,772,391 | ||||||
1,674,742 | Federal National Mortgage Association, Pool #934103, 5%, due 07/01/38 (3) | 1,816,646 | ||||||
3,362,052 | Federal National Mortgage Association, Pool #979563, 5%, due 04/01/28 (3) | 3,693,833 | ||||||
1,710,123 | Federal National Mortgage Association, Pool #995040, 5%, due 06/01/23 (3) | 1,863,491 | ||||||
8,880,049 | Federal National Mortgage Association, Pool #995425, 6%, due 01/01/24 (3) | 9,795,444 | ||||||
6,193,104 | Federal National Mortgage Association, Pool #995573, 6%, due 01/01/49 (3) | 6,735,053 | ||||||
12,709,922 | Federal National Mortgage Association, Pool #995953, 6%, due 11/01/28 (3) | 14,276,364 | ||||||
7,652,619 | Federal National Mortgage Association, Pool #995954, 6%, due 03/01/29 (3) | 8,580,911 | ||||||
6,007,645 | Federal National Mortgage Association, Pool #AA3303, 5.5%, due 06/01/38 (3) | 6,633,795 | ||||||
69,585,285 | Federal National Mortgage Association, Pool #AB1617, 4%, due 10/01/40 (3) | 73,308,115 | ||||||
60,735,814 | Federal National Mortgage Association, Pool #AB4044, 3.5%, due 12/01/41 (3) | 61,775,079 | ||||||
46,102,945 | Federal National Mortgage Association, Pool #AB6210, 3%, due 09/01/42 (3) | 44,995,011 | ||||||
10,005,420 | Federal National Mortgage Association, Pool #AC1602, 4.5%, due 09/01/29 (3) | 10,904,423 | ||||||
21,403,431 | Federal National Mortgage Association, Pool #AE0588, 6%, due 08/01/37 (3) | 24,030,195 | ||||||
19,335,847 | Federal National Mortgage Association, Pool #AL0851, 6%, due 10/01/40 (3) | 21,642,102 | ||||||
13,806,423 | Federal National Mortgage Association, Pool #AL1594, 6%, due 07/01/40 (3) | 15,461,761 | ||||||
73,368,537 | Federal National Mortgage Association, Pool #AL4597, 4%, due 01/01/44 (5) | 77,294,576 |
See accompanying notes to financial statements.
52
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TCW Total Return Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 22,136,800 | Federal National Mortgage Association, Pool #AQ8803, 3.5%, due 01/01/43 | $ | 22,288,740 | ||||
16,015,003 | Federal National Mortgage Association, Pool #MA0171, 4.5%, due 09/01/29 (3) | 17,356,420 | ||||||
23,599,423 | Federal National Mortgage Association, Pool #MA0843, 4.5%, due 09/01/41 (3) | 25,361,081 | ||||||
17,027,202 | Federal National Mortgage Association, Pool #MA1283, 3.5%, due 12/01/42 | 17,144,087 | ||||||
25,410,007 | Federal National Mortgage Association, Pool #MA1442, 4%, due 05/01/43 | 26,512,095 | ||||||
79,826,376 | Federal National Mortgage Association, Pool #MA1561, 3%, due 09/01/33 (3) | 80,415,669 | ||||||
66,515,416 | Federal National Mortgage Association, Pool #MA1584, 3.5%, due 09/01/33 (3) | 69,017,537 | ||||||
74,057,464 | Federal National Mortgage Association, Pool #MA1608, 3.5%, due 10/01/33 (3) | 76,843,295 | ||||||
44,375,000 | Federal National Mortgage Association TBA, 2.5% (6) | 44,666,211 | ||||||
39,705,000 | Federal National Mortgage Association TBA, 3% (6) | 40,986,106 | ||||||
114,740,000 | Federal National Mortgage Association TBA, 3% (6) | 111,835,644 | ||||||
153,670,000 | Federal National Mortgage Association TBA, 3.5% (6) | 156,011,070 | ||||||
211,685,000 | Federal National Mortgage Association TBA, 4% (6) | 221,847,531 | ||||||
154,240,000 | Federal National Mortgage Association TBA, 4.5% (6) | 165,639,308 | ||||||
1,672,774 | Government National Mortgage Association (03-42-SH), 6.398%, due 05/20/33 | 263,869 | ||||||
15,214,700 | Government National Mortgage Association (11-70-BO), 0%, due | 10,418,217 | ||||||
32,289,581 | Government National Mortgage Association, Pool #782902, 4.5%, due 02/15/40 (3) | 35,352,046 | ||||||
533,189 | Government National Mortgage Association II, Pool #80963, 1.625%, due | 552,911 | ||||||
103,592 | Government National Mortgage Association II, Pool #631700, 7%, due 09/20/34 (3) | 108,756 | ||||||
38,430,000 | Government National Mortgage Association II TBA, 3% (6) | 38,210,828 | ||||||
18,235,000 | Government National Mortgage Association II TBA, 4% (6) | 19,300,606 | ||||||
46,015,000 | Government National Mortgage Association II TBA, 4.5% (6) | 49,890,323 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Agency | 3,082,837,535 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Non-Agency (32.8%) | ||||||||
9,428,366 | Accredited Mortgage Loan Trust (05-3-A2D), 0.52%, due 09/25/35 (2) | 9,345,740 | ||||||
18,673,342 | ACE Securities Corp. (06-ASP1-A2D), 0.462%, due 12/25/35 (2) | 17,735,332 | ||||||
21,786,564 | ACE Securities Corp. (07-ASP1-A2C), 0.412%, due 03/25/37 (2) | 12,584,810 | ||||||
11,710,047 | ACE Securities Corp. (07-ASP1-A2D), 0.532%, due 03/25/37 (2) | 6,807,575 | ||||||
2,902,952 | Adjustable Rate Mortgage Trust (04-5-3A1), 2.472%, due 04/25/35 (2) | 2,885,166 | ||||||
23,002,000 | Ameriquest Mortgage Securities, Inc. (05-R10-A2C), 0.482%, due 01/25/36 (2) | 22,621,294 | ||||||
9,339,895 | Asset-Backed Funding Certificates (05-HE2-M2), 0.902%, due 06/25/35 (2) | 9,122,504 | ||||||
23,403,788 | Asset-Backed Funding Certificates (07-WMC1-A2A), 0.902%, due 06/25/37 (2) | 15,856,862 | ||||||
3,874,085 | Asset-Backed Securities Corp. Home Equity (05-HE5-M2), 0.812%, due 06/25/35 (2) | 3,865,152 | ||||||
52,114,000 | Asset-Backed Securities Corp. Home Equity (07-HE1-A4), 0.294%, due 12/25/36 (2) | 38,912,528 | ||||||
2,003,312 | Banc of America Alternative Loan Trust (03-3-A4), 5.75%, due 05/25/33 | 2,182,271 | ||||||
657,782 | Banc of America Alternative Loan Trust (03-4-1A5), 5.5%, due 06/25/33 | 710,747 | ||||||
16,117,121 | Banc of America Alternative Loan Trust (03-9-1CB5), 5.5%, due 11/25/33 | 16,608,137 | ||||||
922,145 | Banc of America Funding Corp. (04-B-3A1), 2.823%, due 12/20/34 (2) | 541,484 | ||||||
220,347 | Banc of America Funding Corp. (06-D-2A1), 2.659%, due 05/20/36 (2)(7) | 160,917 | ||||||
8,581,136 | Banc of America Funding Corp. (06-D-3A1), 2.813%, due 05/20/36 (2)(7) | 7,698,377 |
See accompanying notes to financial statements.
53
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TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 21,069,912 | Banc of America Funding Corp. (06-G-2A1), 0.372%, due 07/20/36 (2) | $ | 19,804,011 | ||||
5,912,902 | Banc of America Funding Corp. (06-G-2A3), 0.322%, due 07/20/36 (2) | 5,908,054 | ||||||
150,807 | Banc of America Funding Corp. (10-R9-3A1), (144A), 5.5%, due 12/26/35 (1) | 151,716 | ||||||
11,307,303 | Banc of America Funding Trust (06-3-4A14), 5.5%, due 03/25/36 | 10,879,141 | ||||||
2,650,378 | Banc of America Funding Trust (06-3-4A14), 6%, due 03/25/36 | 2,624,140 | ||||||
4,628,356 | BCAP LLC Trust (07-AA1-1A2), 0.312%, due 02/25/47 (2)(7) | 4,166,913 | ||||||
585,009 | BCAP LLC Trust (09-RR1-21A1), (144A), 2.613%, due 11/26/34 (1)(2) | 593,912 | ||||||
2,335,737 | BCAP LLC Trust (09-RR1-22A1), (144A), 2.614%, due 05/26/35 (1)(2) | 2,380,805 | ||||||
1,429,812 | BCAP LLC Trust (09-RR1-23A1), (144A), 2.618%, due 05/26/35 (1)(2) | 1,460,745 | ||||||
616,348 | BCAP LLC Trust (11-RR1-8A1), (144A), 3.25%, due 08/28/21 (1)(2) | 617,785 | ||||||
8,559,315 | BCAP LLC Trust (11-RR2-3A6), (144A), 2.712%, due 11/21/35 (1)(2) | 8,029,894 | ||||||
1,348,116 | BCAP LLC Trust (11-RR3-1A5), (144A), 2.692%, due 05/27/37 (1)(2) | 1,358,268 | ||||||
1,983,442 | BCAP LLC Trust (11-RR3-5A3), (144A), 2.505%, due 11/27/37 (1)(2) | 1,920,545 | ||||||
8,133,090 | BCAP LLC Trust (11-RR4-1A3), (144A), 4.181%, due 03/26/36 (1)(2) | 7,948,806 | ||||||
7,241,101 | BCAP LLC Trust (11-RR4-2A3), (144A), 4.715%, due 06/26/47 (1)(2) | 7,205,250 | ||||||
10,473,073 | BCAP LLC Trust (11-RR4-3A3), (144A), 2.618%, due 07/26/36 (1)(2) | 9,765,020 | ||||||
12,271,152 | BCAP LLC Trust (11-RR5-1A3), (144A), 2.531%, due 03/26/37 (1)(2) | 12,104,733 | ||||||
3,357,253 | BCAP LLC Trust (11-RR5-2A3), (144A), 0.355%, due 06/26/37 (1)(2) | 3,381,983 | ||||||
9,857,222 | BCAP LLC Trust (12-RR2-9A3), (144A), 2.613%, due 03/26/35 (1)(2) | 10,111,977 | ||||||
8,703,139 | BCAP LLC Trust (12-RR7-1A1), (144A), 0.322%, due 08/26/36 (1)(2) | 8,457,919 | ||||||
4,262,236 | BCAP LLC Trust (12-RR8-5A3), (144A), 0.436%, due 05/26/37 (1)(2) | 4,166,375 | ||||||
7,740,221 | BCAP LLC Trust (12-RR9-1A1), (144A), 0.334%, due 07/26/35 (1)(2) | 7,438,259 | ||||||
17,782,400 | BCAP LLC Trust (12-RR9-1A1), (144A), 2.46%, due 08/26/36 (1)(2) | 17,602,293 | ||||||
11,039,220 | BCAP LLC Trust (13-RR2-6A1), (144A), 3%, due 06/26/37 (1)(2) | 11,060,198 | ||||||
2,944,025 | Bear Stearns Alt-A Trust (04-13-A1), 0.892%, due 11/25/34 (2) | 2,925,172 | ||||||
10,654 | Bear Stearns Alt-A Trust (05-2-2A4), 2.609%, due 04/25/35 (2) | 10,240 | ||||||
1,618,651 | Bear Stearns Alt-A Trust (06-3-1A1), 0.532%, due 05/25/36 (2)(7) | 1,075,226 | ||||||
1,029,539 | Bear Stearns Alt-A Trust (06-4-32A1), 2.774%, due 07/25/36 (2)(7) | 657,434 | ||||||
1,873,075 | Bear Stearns ARM Trust (04-12-1A1), 2.616%, due 02/25/35 (2) | 1,741,236 | ||||||
5,169,125 | Bear Stearns ARM Trust (06-2-2A1), 2.734%, due 07/25/36 (2)(7) | 4,392,014 | ||||||
562,259 | Bear Stearns ARM Trust (07-1-2A1), 2.748%, due 02/25/47 (2)(7) | 448,906 | ||||||
3,156,737 | Bear Stearns ARM Trust (07-5-3A1), 4.938%, due 08/25/47 (2)(7) | 2,906,799 | ||||||
3,806,369 | Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A3), 5.5%, due 09/25/35 (2) | 3,926,681 | ||||||
8,138,663 | Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A4), 5.4%, due 09/25/35 (2) | 8,355,658 | ||||||
9,153,988 | Bear Stearns Asset-Backed Securities I Trust (06-HE9-1A2), 0.302%, due 11/25/36 (2) | 6,659,994 | ||||||
1,069,095 | Bear Stearns Mortgage Funding Trust (06-AR3-1A1), 0.332%, due 10/25/36 (2) | 708,771 | ||||||
4,318,413 | Bear Stearns Mortgage Funding Trust (07-AR4-1A1), 0.352%, due 09/25/47 (2) | 3,595,222 | ||||||
8,762,877 | BNC Mortgage Loan Trust (07-1-A2), 0.212%, due 03/25/37 (2) | 8,709,958 | ||||||
3,163,539 | BNC Mortgage Loan Trust (07-3-A2), 0.212%, due 07/25/37 (2) | 3,137,012 | ||||||
5,958,534 | Carrington Mortgage Loan Trust (05-NC5-A2), 0.472%, due 10/25/35 (2) | 5,922,709 | ||||||
16,507,175 | Carrington Mortgage Loan Trust (05-NC5-A3), 0.572%, due 10/25/35 (2) | 15,745,072 | ||||||
9,150,000 | Centex Home Equity (05-D-M1), 0.582%, due 10/25/35 (2) | 8,916,245 | ||||||
1,944,317 | Chase Mortgage Finance Corp. (06-A1-2A1), 2.691%, due 09/25/36 (2)(7) | 1,727,167 | ||||||
11,376,761 | Chase Mortgage Finance Corp. (07-A1-8A1), 2.65%, due 02/25/37 (2) | 11,603,124 | ||||||
5,784,318 | Chaseflex Trust (05-1-1A5), 6.5%, due 02/25/35 | 5,624,639 |
See accompanying notes to financial statements.
54
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TCW Total Return Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 24,227,000 | Chaseflex Trust (06-1-A3), 5.219%, due 06/25/36 (2) | $ | 23,837,236 | ||||
1,096,113 | Citicorp Mortgage Securities Trust, Inc. (07-4-3A1), 5.5%, due 05/25/37 | 1,086,219 | ||||||
8,945,002 | Citicorp Residential Mortgage Trust, Inc. (06-2-A4), 5.775%, due 09/25/36 | 9,561,486 | ||||||
8,842,079 | Citigroup Mortgage Loan Trust, Inc. (06-AR5-1A1A), 2.537%, due 07/25/36 (2)(7) | 7,598,025 | ||||||
15,629,374 | Citigroup Mortgage Loan Trust, Inc. (06-AR9-1A2), 0.322%, due 11/25/36 (2) | 15,462,726 | ||||||
6,086,053 | Citigroup Mortgage Loan Trust, Inc. (06-WFH2-A2A), 0.302%, due 08/25/36 (2) | 5,696,125 | ||||||
4,409,781 | Citigroup Mortgage Loan Trust, Inc. (06-WFH3-A3), 0.302%, due 10/25/36 (2) | 4,393,359 | ||||||
6,535,442 | Citigroup Mortgage Loan Trust, Inc. (07-12-2A1), (144A), 6.5%, due 10/25/36 (1)(7) | 4,983,086 | ||||||
971,648 | Citigroup Mortgage Loan Trust, Inc. (07-WFH2-A2), 0.302%, due 03/25/37 (2) | 973,581 | ||||||
6,985,432 | Citigroup Mortgage Loan Trust, Inc. (08-AR4-1A1A), (144A), 2.687%, due | 7,119,925 | ||||||
1,647,230 | Citigroup Mortgage Loan Trust, Inc. (09-4-11A1), (144A), 0.602%, due 10/25/36 (1)(2) | 1,639,862 | ||||||
2,848,820 | Citigroup Mortgage Loan Trust, Inc. (09-5-7A1), (144A), 0.502%, due 07/25/36 (1)(2) | 2,690,763 | ||||||
5,430,976 | Citigroup Mortgage Loan Trust, Inc. (10-4-4A5), (144A), 5%, due 10/25/35 (1) | 5,634,454 | ||||||
945,068 | Citigroup Mortgage Loan Trust, Inc. (10-6-3A1), (144A), 2.612%, due 07/25/36 (1)(2) | 952,099 | ||||||
1,268,027 | Citigroup Mortgage Loan Trust, Inc. (10-9-5A5), (144A), 8.322%, due 03/25/37 (1) | 1,320,746 | ||||||
14,737,486 | Citigroup Mortgage Loan Trust, Inc. (12-10-3A1), (144A), 2.459%, due 12/25/35 (1)(2) | 14,923,841 | ||||||
20,690,946 | Citigroup Mortgage Loan Trust, Inc. (12-11-1A1), (144A), 0.332%, due 03/25/37 (1)(2) | 19,944,085 | ||||||
7,102,491 | Citigroup Mortgage Loan Trust, Inc. (12-8-4A1), (144A), 0.292%, due 01/25/37 (1)(2) | 6,711,780 | ||||||
9,270,357 | Citigroup Mortgage Loan Trust, Inc. (14-2-3A1), (144A), 0.292%, due 08/25/37 (1)(2) | 9,103,453 | ||||||
2,339,621 | CitiMortgage Alternative Loan Trust (05-A1-2A1), 5%, due 07/25/20 | 2,398,316 | ||||||
6,206,538 | Conseco Financial Corp. (99-2-A7), 6.44%, due 12/01/30 | 6,241,030 | ||||||
2,041,158 | Countrywide Alternative Loan Trust (05-20CB-4A1), 5.25%, due 07/25/20 (7) | 2,006,250 | ||||||
605,334 | Countrywide Alternative Loan Trust (05-84-1A1), 2.691%, due 02/25/36 (2) | 465,890 | ||||||
2,383,972 | Countrywide Alternative Loan Trust (05-J1-2A1), 5.5%, due 02/25/25 | 2,419,025 | ||||||
124,565 | Countrywide Alternative Loan Trust (05-J5-1A1), 0.452%, due 05/25/35 (2) | 123,768 | ||||||
8,494,420 | Countrywide Alternative Loan Trust (06-HY12-A5), 3.779%, due 08/25/36 (2) | 8,192,490 | ||||||
2,151,075 | Countrywide Alternative Loan Trust (06-J3-3A1), 5.5%, due 04/25/21 (7) | 2,174,561 | ||||||
2,959,639 | Countrywide Alternative Loan Trust (07- HY5R-2A1A), 2.558%, due 03/25/47 (2)(7) | 2,918,312 | ||||||
937,356 | Countrywide Asset-Backed Certificates (05-1-MV2), 0.594%, due 07/25/35 (2) | 938,855 | ||||||
27,375,116 | Countrywide Home Loans Mortgage Pass-Through Trust (04-13-1A3), 5.5%, due 08/25/34 | 28,765,909 | ||||||
22,214,665 | Countrywide Home Loans Mortgage Pass-Through Trust (05-9-1A1), 0.452%, due 05/25/35 (2) | 19,252,939 | ||||||
86,413 | Countrywide Home Loans Mortgage Pass-Through Trust (05-HYB5-4A1), 4.69%, due 09/20/35 (2)(7) | 75,775 | ||||||
22,342 | Countrywide Home Loans Mortgage Pass-Through Trust (07-HY5-1A1), 2.858%, due 09/25/47 (2)(7) | 19,621 | ||||||
77,213 | Countrywide Home Loans Mortgage Pass-Through Trust (07-HYB1-1A1), 2.954%, due 03/25/37 (2)(7) | 56,597 | ||||||
3,884,026 | Credit Suisse Commercial Mortgage Trust (10-1R-8A1), (144A), 2.962%, due 05/27/47 (1)(2) | 3,962,817 | ||||||
32,320,057 | Credit Suisse Commercial Mortgage Trust (13-2R-2A1), (144A), 2.734%, due 02/27/36 (1)(2) | 31,645,011 |
See accompanying notes to financial statements.
55
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 8,255,110 | Credit Suisse Commercial Mortgage Trust (13-7R-4A1), (144A), 0.315%, due 07/26/36 (1)(2) | $ | 7,492,280 | ||||
113,581 | Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA), 5.75%, due 04/22/33 | 121,702 | ||||||
3,859,439 | Credit Suisse First Boston Mortgage Securities Corp. (05-11-1A1), 6.5%, due 12/25/35 (7) | 3,144,281 | ||||||
915,822 | Credit Suisse First Boston Mortgage Securities Corp. (05-11-8A9), 5.25%, due 12/25/35 | 927,222 | ||||||
13,936,005 | Credit Suisse First Boston Mortgage Securities Corp. (05-12-1A1), 6.5%, due 01/25/36 (7) | 11,085,493 | ||||||
3,967,844 | Credit Suisse Mortgage Capital Certificates (10-1R-7A1), (144A), 2.609%, due 07/27/36 (1)(2) | 3,989,129 | ||||||
5,720,746 | Credit-Based Asset Servicing and Securitization LLC (06-CB1-AF2), 3.514%, due 01/25/36 | 4,226,429 | ||||||
42,441,995 | Credit-Based Asset Servicing and Securitization LLC (06-CB7-A4), 0.314%, due 10/25/36 (2) | 28,180,284 | ||||||
22,932,939 | Credit-Based Asset Servicing and Securitization LLC (06-CB9-A4), 0.384%, due 11/25/36 (2) | 12,853,133 | ||||||
19,271,515 | Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2C), 4.795%, due 02/25/37 | 14,166,760 | ||||||
712,271 | Credit-Based Asset Servicing and Securitization LLC (07-CB4-A2A), 4.612%, due 04/25/37 | 716,442 | ||||||
20,350,752 | CSMC Mortgage-Backed Trust (06-8-3A1), 6%, due 10/25/21 (7) | 19,505,932 | ||||||
9,598,654 | CSMC Mortgage-Backed Trust (06-9-5A1), 5.5%, due 11/25/36 (7) | 9,351,296 | ||||||
25,518,625 | CSMC Mortgage-Backed Trust (07-2-3A4), 5.5%, due 03/25/37 (7) | 24,749,455 | ||||||
859,077 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AR6-A6), 0.342%, due 02/25/37 (2)(7) | 635,615 | ||||||
3,183,786 | DSLA Mortgage Loan Trust (05-AR6-2A1A), 0.442%, due 10/19/45 (2) | 2,770,057 | ||||||
20,241,123 | DSLA Mortgage Loan Trust (06-AR2-2A1A), 0.352%, due 10/19/36 (2) | 17,576,359 | ||||||
4,892,701 | DSLA Mortgage Loan Trust (07-AR1-2A1A), 0.292%, due 04/19/47 (2) | 4,134,964 | ||||||
5,556,142 | EquiFirst Mortgage Loan Trust (04-2-1A1), 0.712%, due 10/25/34 (2) | 5,556,704 | ||||||
6,745,489 | Fieldstone Mortgage Investment Corp. (07-1-2A2), 0.424%, due 04/25/47 (2) | 4,439,712 | ||||||
40,210,110 | First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2C), 0.312%, due 12/25/37 (2) | 24,121,603 | ||||||
23,596,264 | First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2D), 0.362%, due 12/25/37 (2) | 14,258,491 | ||||||
8,252,916 | First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2C), 0.294%, due 01/25/38 (2) | 5,029,062 | ||||||
13,421,847 | First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2D), 0.374%, due 01/25/38 (2) | 8,279,897 | ||||||
5,068,000 | First Franklin Mortgage Loan Trust (06-FF9-2A4), 0.402%, due 06/25/36 (2) | 3,027,430 | ||||||
8,260,804 | First Horizon Alternative Mortgage Securities Trust (05-AA3-3A1), 2.25%, due 05/25/35 (2) | 7,763,389 | ||||||
7,853,658 | First Horizon Alternative Mortgage Securities Trust (05-AA7-1A1), 2.254%, due 09/25/35 (2)(7) | 6,730,325 |
See accompanying notes to financial statements.
56
Table of Contents
TCW Total Return Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 15,007,692 | Fremont Home Loan Trust (05-E-2A4), 0.482%, due 01/25/36 (2) | $ | 10,727,828 | ||||
7,220,465 | Fremont Home Loan Trust (06-1-2A3), 0.332%, due 04/25/36 (2) | 6,281,105 | ||||||
972,044 | GreenPoint Mortgage Funding Trust (05-AR3-1A1), 0.392%, due 08/25/45 (2) | 849,117 | ||||||
33,271,213 | GreenPoint Mortgage Funding Trust (06-AR5-A2A2), 0.302%, due 10/25/46 (2)(7) | 32,086,741 | ||||||
2,150,287 | GS Mortgage Securities Corp. (09-1R-3A1), (144A), 2.61%, due 11/25/35 (1)(2) | 2,190,304 | ||||||
8,475,955 | GSAA Home Equity Trust (05-7-AF5), 4.611%, due 05/25/35 | 8,899,533 | ||||||
3,139,249 | GSAA Home Equity Trust (05-9-2A3), 0.522%, due 08/25/35 (2) | 2,946,568 | ||||||
9,273,750 | GSR Mortgage Loan Trust (04-9-3A1), 2.745%, due 08/25/34 (2) | 9,350,631 | ||||||
5,025,567 | GSR Mortgage Loan Trust (05-4F-4A3), 5.5%, due 05/25/35 | 5,242,164 | ||||||
28,659,860 | GSR Mortgage Loan Trust (07-3F-3A7), 6%, due 05/25/37 | 28,242,085 | ||||||
61,593 | GSR Mortgage Loan Trust (07-AR2-2A1), 2.688%, due 05/25/37 (2)(7) | 55,729 | ||||||
4,513,904 | GSR Mortgage Loan Trust (07-AR2-5A1A), 5.188%, due 05/25/37 (2) | 4,270,126 | ||||||
3,873,011 | Harborview Mortgage Loan Trust (05-9-2A1A), 0.492%, due 06/20/35 (2) | 3,632,726 | ||||||
38,346,498 | Harborview Mortgage Loan Trust (06-8-2A1A), 0.342%, due 07/21/36 (2) | 31,086,356 | ||||||
13,058,217 | Home Equity Asset Trust (05-8-2A4), 0.512%, due 02/25/36 (2) | 12,819,672 | ||||||
6,448,076 | Homestar Mortgage Acceptance Corp. (04-3-AV2C), 0.732%, due 07/25/34 (2) | 6,426,745 | ||||||
2,035,720 | Homestar Mortgage Acceptance Corp. (04-5-A1), 0.602%, due 10/25/34 (2)(3) | 2,039,264 | ||||||
1,359,302 | HSBC Home Equity Loan Trust USA (06-1-A2), 0.332%, due 01/20/36 (2) | 1,350,220 | ||||||
20,000,000 | HSBC Home Equity Loan Trust USA (06-4-M1), 0.412%, due 03/20/36 (2) | 19,492,230 | ||||||
2,254,538 | HSI Asset Loan Obligation Trust (07-2-2A12), 6%, due 09/25/37 | 2,196,311 | ||||||
17,492 | Impac CMB Trust (04-5-1A1), 0.872%, due 10/25/34 (2) | 16,963 | ||||||
140,507 | Impac CMB Trust (05-1-1A1), 0.672%, due 04/25/35 (2) | 127,762 | ||||||
14,599,312 | Indymac Index Mortgage Loan Trust (04-AR4-2A), 2.607%, due 08/25/34 (2) | 14,244,294 | ||||||
2,193,248 | Indymac Index Mortgage Loan Trust (04-AR9-4A), 2.557%, due 11/25/34 (2) | 1,833,384 | ||||||
8,984,521 | Indymac Index Mortgage Loan Trust (05-AR17-3A1), 2.339%, due 09/25/35 (2)(7) | 7,448,401 | ||||||
10,069,160 | Indymac Index Mortgage Loan Trust (05-AR23-6A1), 4.614%, due 11/25/35 (2)(7) | 8,573,475 | ||||||
5,802,912 | Indymac Index Mortgage Loan Trust (05-AR25-2A1), 4.654%, due 12/25/35 (2)(7) | 5,339,306 | ||||||
9,097,068 | Indymac Index Mortgage Loan Trust (05-AR7-2A1), 2.344%, due 06/25/35 (2) | 7,622,333 | ||||||
7,929,015 | Indymac Index Mortgage Loan Trust (06-AR19-4A1), 2.524%, due 08/25/36 (2) | 5,933,440 | ||||||
16,138,592 | Indymac Index Mortgage Loan Trust (06-AR39-A1), 0.332%, due 02/25/37 (2) | 12,689,613 | ||||||
10,787,754 | Indymac Index Mortgage Loan Trust (06-AR8-A3A), 0.382%, due 07/25/46 (2)(7) | 8,662,146 | ||||||
38,471 | Indymac Index Mortgage Loan Trust (07-AR11-1A1), 2.451%, due 06/25/37 (2)(7) | 25,042 | ||||||
18,951,749 | Indymac Index Mortgage Loan Trust (07-AR13-4A1), 2.42%, due 07/25/37 (2)(7) | 12,016,622 | ||||||
28,786,470 | Indymac Index Mortgage Loan Trust (07-AR5-2A1), 2.638%, due 05/25/37 (2)(7) | 21,100,886 | ||||||
7,483,720 | Indymac Index Mortgage Loan Trust (07-AR7-1A1), 2.82%, due 11/25/37 (2) | 7,136,236 | ||||||
24,057,951 | Indymac Index Mortgage Loan Trust (07-FLX1-A2), 0.332%, due 02/25/37 (2) | 23,329,681 | ||||||
968,177 | Jefferies & Co., Inc. (09-R3-1A1), (144A), 2.475%, due 12/26/35 (1)(2) | 979,756 | ||||||
2,876,593 | Jefferies & Co., Inc. (11-R1-2A1), (144A), 0.294%, due 08/26/47 (1)(2) | 2,881,593 | ||||||
13,876,276 | JPMorgan Alternative Loan Trust (06-A2-5A1), 4.943%, due 05/25/36 (2)(7) | 10,894,750 | ||||||
18,783,260 | JPMorgan Alternative Loan Trust (06-A4-A8), 3.747%, due 09/25/36 (2)(7) | 17,256,331 | ||||||
9,998,306 | JPMorgan Mortgage Acquisition Corp. (06-CH2-AF4), 4.9%, due 10/25/36 | 7,828,499 | ||||||
29,015,000 | JPMorgan Mortgage Acquisition Corp. (07-CH4-A4), 0.312%, due 01/25/36 (2) | 25,307,202 | ||||||
925,803 | JPMorgan Mortgage Trust (05-A6-7A1), 2.745%, due 08/25/35 (2)(7) | 883,095 | ||||||
8,212,445 | JPMorgan Mortgage Trust (06-A2-5A3), 2.546%, due 11/25/33 (2) | 8,406,766 | ||||||
1,285,539 | JPMorgan Mortgage Trust (06-A4-1A4), 2.7%, due 06/25/36 (2)(7) | 1,110,836 |
See accompanying notes to financial statements.
57
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 54,081 | JPMorgan Mortgage Trust (06-A7-2A4R), 2.526%, due 01/25/37 (2)(7) | $ | 48,600 | ||||
3,172,337 | JPMorgan Mortgage Trust (06-S2-2A2), 5.875%, due 06/25/21 | 3,176,024 | ||||||
1,491,823 | JPMorgan Resecuritization Trust Series (10-5-3A1), (144A), 2.428%, due 08/26/36 (1)(2) | 1,502,279 | ||||||
11,922,459 | JPMorgan Resecuritization Trust Series (12-3-A3), (144A), 0.322%, due 11/26/36 (1)(2) | 11,543,326 | ||||||
1,786,780 | Lehman Mortgage Trust (05-1-6A1), 5%, due 11/25/20 | 1,704,386 | ||||||
6,390,622 | Lehman Mortgage Trust (06-4-4A1), 6%, due 08/25/21 (7) | 6,446,386 | ||||||
4,978,928 | Lehman Mortgage Trust (07-10-4A1), 6%, due 01/25/27 (7) | 3,897,739 | ||||||
36,713,905 | Lehman XS Trust (06-10N-1A3A), 0.362%, due 07/25/46 (2)(7) | 28,845,712 | ||||||
9,912,673 | Lehman XS Trust (06-12N-A31A), 0.352%, due 08/25/46 (2)(7) | 7,547,460 | ||||||
12,869,634 | Lehman XS Trust (06-13-1A2), 0.322%, due 09/25/36 (2)(7) | 10,657,962 | ||||||
8,681,981 | Lehman XS Trust (06-16N-A2A), 0.302%, due 11/25/46 (2)(7) | 8,717,551 | ||||||
12,906,106 | Lehman XS Trust (06-19-A2), 0.322%, due 12/25/36 (2)(7) | 10,466,981 | ||||||
29,613,227 | Lehman XS Trust (06-9-A1B), 0.312%, due 05/25/46 (2)(7) | 24,028,410 | ||||||
14,338,317 | Lehman XS Trust (06-GP1-A2A), 0.322%, due 05/25/46 (2)(7) | 14,135,544 | ||||||
13,831,889 | Lehman XS Trust (06-GP4-3A2A), 0.312%, due 08/25/46 (2)(7) | 13,259,962 | ||||||
4,628,706 | Lehman XS Trust (07-4N-1A1), 0.282%, due 03/25/47 (2)(7) | 4,277,419 | ||||||
835,696 | Long Beach Mortgage Loan Trust (05-WL3-2A3), 0.482%, due 11/25/35 (2) | 836,880 | ||||||
12,591,242 | Long Beach Mortgage Loan Trust (06-WL1-1A3), 0.482%, due 01/25/46 (2) | 11,010,294 | ||||||
13,175,000 | Long Beach Mortgage Loan Trust (06-WL1-2A4), 0.492%, due 01/25/46 (2) | 10,865,857 | ||||||
9,788,600 | Luminent Mortgage Trust (07-2-1A3), 0.372%, due 05/25/37 (2) | 8,929,924 | ||||||
10,950,000 | Madison Avenue Manufactured Housing Contract (02-A-B1), 3.402%, due 03/25/32 (2) | 11,120,674 | ||||||
21,439,006 | MASTR Adjustable Rate Mortgages Trust (04-9-M1), 0.732%, due 11/25/34 (2) | 21,073,418 | ||||||
563,162 | MASTR Adjustable Rate Mortgages Trust (07-2-A2), 0.262%, due 03/25/47 (2) | 550,495 | ||||||
9,343,453 | MASTR Alternative Loans Trust (05-4-1A1), 6.5%, due 05/25/35 | 9,538,558 | ||||||
87,864 | MASTR Alternative Loans Trust (06-2-2A1), 0.552%, due 03/25/36 (2)(7) | 27,170 | ||||||
370,485 | MASTR Asset Securitization Trust (03-8-1A1), 5.5%, due 09/25/33 | 371,012 | ||||||
114,268 | MASTR Asset Securitization Trust (06-3-2A1), 0.602%, due 10/25/36 (2)(7) | 82,760 | ||||||
2,343,279 | MASTR Asset-Backed Securities Trust (06-AB1-A2), 0.382%, due 02/25/36 (2) | 2,297,558 | ||||||
5,578,775 | MASTR Asset-Backed Securities Trust (06-AB1-A4), 5.719%, due 02/25/36 | 5,796,553 | ||||||
30,130,714 | MASTR Asset-Backed Securities Trust (06-HE5-A3), 0.312%, due 11/25/36 (2) | 19,558,811 | ||||||
17,078 | MASTR Seasoned Securitization Trust (04-1-4A1), 2.582%, due 10/25/32 (2) | 17,163 | ||||||
2,720,767 | Merrill Lynch Alternative Note Asset Trust (07-A1-A2C), 0.382%, due 01/25/37 (2) | 1,321,209 | ||||||
1,399,562 | Merrill Lynch Alternative Note Asset Trust (07-A1-A3), 0.312%, due 01/25/37 (2) | 649,607 | ||||||
11,503,270 | Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2B), 0.322%, due 04/25/37 (2) | 6,286,571 | ||||||
40,256,586 | Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2C), 0.402%, due 04/25/37 (2) | 22,255,451 | ||||||
9,921,465 | Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2D), 0.492%, due | 5,555,604 | ||||||
8,910,253 | Merrill Lynch First Franklin Mortgage Loan Trust (07-2-A2C), 0.392%, due 05/25/37 (2) | 5,333,240 | ||||||
4,636,189 | Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2B), 0.282%, due 06/25/37 (2) | 2,952,135 | ||||||
54,713,440 | Merrill Lynch First Franklin Mortgage Loan Trust (07-4-2A3), 0.312%, due 07/25/37 (2) | 33,270,969 | ||||||
4,798,694 | Merrill Lynch Mortgage-Backed Securities Trust (07-2-1A1), 2.53%, due 08/25/36 (2)(7) | 4,427,275 | ||||||
4,962,246 | Mid-State Trust (05-1-A), 5.745%, due 01/15/40 | 5,339,007 | ||||||
3,834,741 | Morgan Stanley ABS Capital I, Inc. Trust (04-NC8-M2), 1.112%, due 09/25/34 (2) | 3,716,824 | ||||||
5,687,000 | Morgan Stanley ABS Capital I, Inc. Trust (05-HE3-M3), 0.947%, due 07/25/35 (2) | 5,491,993 | ||||||
23,581,042 | Morgan Stanley ABS Capital I, Inc. Trust (05-HE5-M1), 0.572%, due 09/25/35 (2) | 23,089,401 |
See accompanying notes to financial statements.
58
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TCW Total Return Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 4,413,000 | Morgan Stanley Home Equity Loan Trust (05-2-M3), 0.827%, due 05/25/35 (2) | $ | 4,269,432 | ||||
5,155,000 | Morgan Stanley Home Equity Loan Trust (06-2-A4), 0.432%, due 02/25/36 (2) | 4,558,802 | ||||||
9,432,041 | Morgan Stanley Mortgage Loan Trust (05-6AR-1A1), 0.432%, due 11/25/35 (2) | 9,374,571 | ||||||
1,042,451 | Morgan Stanley Mortgage Loan Trust (07-3XS-2A6), 5.763%, due 01/25/47 | 692,370 | ||||||
5,185,043 | Morgan Stanley Mortgage Loan Trust (07-7AX-2A1), 0.272%, due 04/25/37 (2) | 2,871,658 | ||||||
18,061,455 | Morgan Stanley REREMIC Trust (10-R2-2B), (144A), 0.392%, due 05/26/36 (1)(2) | 17,721,365 | ||||||
6,292,380 | Morgan Stanley REREMIC Trust (13-R3-12A), (144A), 2.716%, due 01/26/47 (1)(2) | 6,325,502 | ||||||
766,371 | MortgageIT Trust (05-3-A1), 0.452%, due 08/25/35 (2) | 724,690 | ||||||
7,713,178 | MortgageIT Trust (05-4-A1), 0.432%, due 10/25/35 (2) | 7,036,979 | ||||||
10,000,000 | Nationstar Home Equity Loan Trust (07-B-2AV3), 0.402%, due 04/25/37 (2) | 7,660,220 | ||||||
7,490,800 | New Century Home Equity Loan Trust (05-1-A1SS), 0.672%, due 03/25/35 (2) | 7,466,635 | ||||||
20,937,041 | New Century Home Equity Loan Trust (05-2-M1), 0.582%, due 06/25/35 (2) | 20,672,445 | ||||||
26,624,625 | New Century Home Equity Loan Trust (05-3-M1), 0.632%, due 07/25/35 (2) | 26,516,609 | ||||||
10,656,319 | Nomura Resecuritization Trust (12-3R-1A1), (144A), 0.327%, due 01/26/37 (1)(2) | 10,241,854 | ||||||
5,608,644 | Oakwood Mortgage Investors, Inc. (02-A-A4), 6.97%, due 03/15/32 (2) | 5,965,665 | ||||||
26,726,929 | Opteum Mortgage Acceptance Corp. (06-1-2A1), 5.75%, due 04/25/36 (2) | 27,712,271 | ||||||
2,816,464 | Origen Manufactured Housing Contract Trust (04-A-M2), 6.64%, due 01/15/35 (2) | 3,099,526 | ||||||
2,257,106 | Origen Manufactured Housing Contract Trust (04-B-B1), 7.5%, due 11/15/35 (2) | 2,539,047 | ||||||
1,382,620 | Origen Manufactured Housing Contract Trust (04-B-M2), 6.51%, due 11/15/35 (2) | 1,520,606 | ||||||
1,313,353 | Origen Manufactured Housing Contract Trust (05-A-B), 6.55%, due 06/15/36 (2) | 1,419,554 | ||||||
1,072,125 | Origen Manufactured Housing Contract Trust (05-A-M2), 5.86%, due 06/15/36 (2) | 1,165,250 | ||||||
19,300,000 | Ownit Mortgage Loan Asset-Backed Certificates (06-3-A2D), 0.426%, due 03/25/37 (2) | 13,103,310 | ||||||
24,622,019 | Ownit Mortgage Loan Asset-Backed Certificates (06-6-A2C), 0.314%, due 09/25/37 (2) | 13,579,462 | ||||||
12,103,116 | Park Place Securities, Inc. (05-WCH1-M2), 0.672%, due 01/25/36 (2) | 12,060,199 | ||||||
9,144,221 | Prime Mortgage Trust (06-1-1A1), 5.5%, due 06/25/36 (7) | 8,524,773 | ||||||
8,545,280 | RAAC Series Trust (05-SP1-4A1), 7%, due 09/25/34 | 9,320,602 | ||||||
1,405,296 | RAAC Series Trust (07-SP1-A2), 0.502%, due 03/25/37 (2) | 1,402,309 | ||||||
4,632,000 | RAAC Series Trust (07-SP1-A3), 0.632%, due 03/25/37 (2) | 4,464,857 | ||||||
2,129,161 | RBSSP Resecuritization Trust (10-12-4A1), (144A), 4%, due 05/21/36 (1)(2) | 2,166,539 | ||||||
16,914,040 | Residential Accredit Loans, Inc. (05-QA8-CB21), 3.301%, due 07/25/35 (2)(7) | 14,087,259 | ||||||
2,662,272 | Residential Accredit Loans, Inc. (05-QS7-A1), 5.5%, due 06/25/35 (7) | 2,353,420 | ||||||
36,959 | Residential Accredit Loans, Inc. (06-QA1-A21), 3.729%, due 01/25/36 (2)(7) | 28,953 | ||||||
15,127,831 | Residential Accredit Loans, Inc. (06-QA10-A2), 0.332%, due 12/25/36 (2)(7) | 11,180,435 | ||||||
45,727 | Residential Accredit Loans, Inc. (06-QA2-1A1), 0.402%, due 02/25/36 (2)(7) | 30,563 | ||||||
10,760,435 | Residential Accredit Loans, Inc. (06-QO1-3A1), 0.422%, due 02/25/46 (2) | 7,272,333 | ||||||
3,394,607 | Residential Accredit Loans, Inc. (06-QO9-1A2A), 0.302%, due 12/25/46 (2)(7) | 3,325,024 | ||||||
93,294,441 | Residential Accredit Loans, Inc. (06-QS10-AV), 0.549%, due 08/25/36 (I/O)(2)(8) | 2,406,670 | ||||||
93,197,304 | Residential Accredit Loans, Inc. (06-QS11-AV), 0.33%, due 08/25/36 (I/O)(2)(8) | 1,278,481 | ||||||
7,716,508 | Residential Accredit Loans, Inc. (06-QS5-A5), 6%, due 05/25/36 (7) | 6,617,322 | ||||||
130,877,083 | Residential Accredit Loans, Inc. (06-QS6-1AV), 0.739%, due 06/25/36 (I/O)(2)(8) | 4,162,807 | ||||||
27,786,565 | Residential Accredit Loans, Inc. (06-QS7-AV), 0.669%, due 06/25/36 (I/O) (2)(8) | 888,976 | ||||||
3,420,118 | Residential Accredit Loans, Inc. (06-RS3-A3), 0.352%, due 05/25/36 (2)(7) | 3,288,785 | ||||||
6,216,400 | Residential Accredit Loans, Inc. (07-QS1-2AV), 0.177%, due 01/25/37 (I/O) (2)(8) | 49,824 | ||||||
46,538,090 | Residential Accredit Loans, Inc. (07-QS2-AV), 0.314%, due 01/25/37 (I/O) (2)(8) | 639,578 | ||||||
181,004,617 | Residential Accredit Loans, Inc. (07-QS3-AV), 0.324%, due 02/25/37 (I/O) (2)(8) | 2,656,026 |
See accompanying notes to financial statements.
59
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 20,584,582 | Residential Accredit Loans, Inc. (07-QS4-3AV), 0.385%, due 03/25/37 (I/O) (2)(8) | $ | 315,984 | ||||
29,436,724 | Residential Accredit Loans, Inc. (07-QS5-AV), 0.249%, due 03/25/37 (I/O) (2)(8) | 270,494 | ||||||
6,814,384 | Residential Accredit Loans, Inc. (07-QS6-A45), 5.75%, due 04/25/37 (7) | 5,408,552 | ||||||
42,940,022 | Residential Accredit Loans, Inc. (07-QS8-AV), 0.39%, due 06/25/37 (I/O) (2)(8) | 637,316 | ||||||
2,147,153 | Residential Asset Securities Corp. Trust (06-KS2-A3), 0.342%, due 03/25/36 (2) | 2,147,984 | ||||||
64,929 | Residential Funding Mortgage Securities I (05-SA5-2A), 3.07%, due 11/25/35 (2) | 58,501 | ||||||
4,940,550 | Residential Funding Mortgage Securities I (06-S10-1A1), 6%, due 10/25/36 (7) | 4,388,221 | ||||||
1,672,040 | Residential Funding Mortgage Securities I (06-S9-A3), 5.75%, due 09/25/36 (PAC) (7) | 1,466,153 | ||||||
18,248,074 | Residential Funding Mortgage Securities I (07-S2-A9), 6%, due 02/25/37 (7) | 16,697,225 | ||||||
59,880 | Residential Funding Mortgage Securities I (07-SA2-2A2), 3.026%, due 04/25/37 (2)(7) | 52,339 | ||||||
20,285,013 | Saxon Asset Securities Trust (06-2-A2), 0.282%, due 09/25/36 (2) | 18,892,081 | ||||||
659,565 | Saxon Asset Securities Trust (06-3-A2), 0.262%, due 10/25/46 (2) | 659,147 | ||||||
22,615,000 | Saxon Asset Securities Trust (06-3-A3), 0.322%, due 10/25/46 (2) | 18,505,131 | ||||||
27,248,883 | Saxon Asset Securities Trust (07-2-A2D), 0.752%, due 05/25/47 (2) | 19,107,211 | ||||||
4,300,642 | Securitized Asset-Backed Receivables LLC Trust (07-BR1-A2C), 0.492%, due | 2,424,137 | ||||||
54,491,022 | Securitized Asset-Backed Receivables LLC Trust (07-BR2-A2), 0.382%, due | 29,599,120 | ||||||
27,259,379 | Securitized Asset-Backed Receivables LLC Trust (07-NC2-A2B), 0.292%, due | 18,449,886 | ||||||
8,350,376 | SG Mortgage Securities Trust (05-OPT1-A3), 0.502%, due 10/25/35 (2) | 8,151,261 | ||||||
31,396,662 | SG Mortgage Securities Trust (07-NC1-A2), (144A), 0.392%, due 12/25/36 (1)(2) | 19,733,273 | ||||||
5,738,250 | Soundview Home Equity Loan Trust (05-OPT3-A4), 0.452%, due 11/25/35 (2) | 5,684,342 | ||||||
26,180,000 | Soundview Home Equity Loan Trust (06-2-A4), 0.422%, due 03/25/36 (2) | 25,023,027 | ||||||
10,400,000 | Soundview Home Equity Loan Trust (06-OPT4-2A4), 0.382%, due 06/25/36 (2) | 6,459,419 | ||||||
5,050,163 | Soundview Home Equity Loan Trust (06-WF2-A2C), 0.292%, due 12/25/36 (2) | 4,985,059 | ||||||
4,000,000 | Soundview Home Equity Loan Trust (07-OPT3-2A4), 0.402%, due 08/25/37 (2) | 2,589,039 | ||||||
2,757,401 | Specialty Underwriting & Residential Finance (05-BC3-M1), 0.602%, due 06/25/36 (2)(3) | 2,759,626 | ||||||
2,449,379 | Specialty Underwriting & Residential Finance (05-BC4-A2C), 0.502%, due 09/25/36 (2) | 2,396,193 | ||||||
27,778 | Specialty Underwriting & Residential Finance (06-AB3-A2B), 0.302%, due 09/25/37 (2) | 15,718 | ||||||
5,898,267 | Structured Adjustable Rate Mortgage Loan Trust (04-12-2A), 2.401%, due 09/25/34 (2) | 5,888,936 | ||||||
10,466,179 | Structured Adjustable Rate Mortgage Loan Trust (04-14-2A), 2.376%, due 10/25/34 (2) | 10,657,658 | ||||||
13,660,233 | Structured Adjustable Rate Mortgage Loan Trust (05-16XS-A2A), 1.102%, due 08/25/35 (2) | 13,071,381 | ||||||
4,038,748 | Structured Adjustable Rate Mortgage Loan Trust (05-23-1A3), 2.498%, due | 3,771,282 | ||||||
6,500,119 | Structured Adjustable Rate Mortgage Loan Trust (06-1-7A2), 5.082%, due | 6,447,676 | ||||||
1,011,250 | Structured Adjustable Rate Mortgage Loan Trust (06-2-5A1), 4.925%, due | 857,140 | ||||||
9,858,834 | Structured Adjustable Rate Mortgage Loan Trust (06-5-1A1), 2.626%, due | 8,426,846 | ||||||
7,125,750 | Structured Adjustable Rate Mortgage Loan Trust (07-1-1A1), 2.646%, due 02/25/37 (2) | 6,097,989 | ||||||
3,661,841 | Structured Asset Investment Loan Trust (05-3-M1), 0.722%, due 04/25/35 (2) | 3,656,882 | ||||||
270,892 | Structured Asset Mortgage Investments, Inc. (06-AR3-24A1), 1.379%, due 05/25/36 (2) | 171,801 |
See accompanying notes to financial statements.
60
Table of Contents
TCW Total Return Bond Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 47,612,460 | Structured Asset Mortgage Investments, Inc. (07-AR6-A1), 1.626%, due 08/25/47 (2) | $ | 42,103,127 | ||||
551,711 | Structured Asset Securities Corp. (03-10-A), 6%, due 04/25/33 | 576,318 | ||||||
3,708,194 | Structured Asset Securities Corp. (05-2XS-1A5B), 4.65%, due 02/25/35 | 3,775,710 | ||||||
11,353,411 | Structured Asset Securities Corp. (06-EQ1A-A4), (144A), 0.302%, due 07/25/36 (1)(2) | 11,082,065 | ||||||
14,345,000 | Structured Asset Securities Corp. (06-WF2-A4), 0.462%, due 07/25/36 (2) | 13,363,372 | ||||||
2,912,400 | Structured Asset Securities Corp. (07-BC3-2A1), 0.212%, due 05/25/47 (2) | 2,899,545 | ||||||
575,828 | Suntrust Adjustable Rate Mortgage Loan Trust (07-2-2A1), 2.723%, due 04/25/37 (2)(7) | 483,092 | ||||||
25,216 | Suntrust Adjustable Rate Mortgage Loan Trust (07-3-1A1), 2.727%, due 06/25/37 (2)(7) | 22,891 | ||||||
2,156,676 | Suntrust Adjustable Rate Mortgage Loan Trust (07-S1-2A1), 2.761%, due 01/25/37 (2) | 2,135,343 | ||||||
376,088 | Wachovia Mortgage Loan Trust LLC (06-AMN1-A3), 0.394%, due 08/25/36 (2) | 235,758 | ||||||
11,673,676 | WaMu Mortgage Pass-Through Certificates (04-AR14-A1), 2.401%, due 01/25/35 (2) | 11,764,567 | ||||||
16,621,960 | WaMu Mortgage Pass-Through Certificates (05-AR13-A1A1), 0.442%, due 10/25/45 (2) | 15,562,310 | ||||||
819,503 | WaMu Mortgage Pass-Through Certificates (05-AR13-A1A2), 1.576%, due 10/25/45 (2) | 819,512 | ||||||
3,381,578 | WaMu Mortgage Pass-Through Certificates (05-AR14-2A1), 2.475%, due 12/25/35 (2) | 3,172,008 | ||||||
2,670,441 | WaMu Mortgage Pass-Through Certificates (05-AR18-1A1), 2.374%, due 01/25/36 (2) | 2,470,703 | ||||||
509,009 | WaMu Mortgage Pass-Through Certificates (05-AR2-2A1A), 0.462%, due 01/25/45 (2) | 477,140 | ||||||
1,474,186 | WaMu Mortgage Pass-Through Certificates (05-AR5-A5), 2.397%, due 05/25/35 (2) | 1,475,758 | ||||||
4,756,985 | WaMu Mortgage Pass-Through Certificates (05-AR7-A2), 2.408%, due 08/25/35 (2) | 4,758,821 | ||||||
13,476,304 | WaMu Mortgage Pass-Through Certificates (05-AR9-A1A), 0.472%, due 07/25/45 (2) | 12,801,725 | ||||||
36,386,737 | WaMu Mortgage Pass-Through Certificates (06-AR1-2A1A), 1.196%, due 01/25/46 (2) | 35,752,862 | ||||||
9,292,777 | WaMu Mortgage Pass-Through Certificates (06-AR17-1A1A), 0.936%, due 12/25/46 (2) | 8,631,708 | ||||||
166,841 | Washington Mutual Alternative Mortgage Pass-Through Certificates (02-AR1-1A1), 2.332%, due 11/25/30 (2) | 162,786 | ||||||
2,874,448 | Washington Mutual Alternative Mortgage Pass-Through Certificates (06-1-3A2), 5.75%, due 02/25/36 (7) | 2,644,972 | ||||||
4,567,633 | Washington Mutual Alternative Mortgage Pass-Through Certificates (06-5-1A1), 0.752%, due 07/25/36 (2)(7) | 2,965,256 | ||||||
9,116,832 | Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OA1-2A), 0.846%, due 12/25/46 (2)(7) | 5,669,010 | ||||||
8,459,676 | Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OA2-2A), 0.826%, due 01/25/47 (2)(7) | 5,984,256 | ||||||
3,061,224 | Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OA3-5A), 2.018%, due 04/25/47 (2)(7) | 2,223,471 | ||||||
6,810,925 | Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OC2-A3), 0.462%, due 06/25/37 (2)(7) | 5,183,924 | ||||||
11,691,000 | Washington Mutual Asset-Backed Certificates (06-HE1-2A4), 0.434%, due 04/25/36 (2) | 9,492,147 | ||||||
5,521,000 | Wells Fargo Home Equity Asset-Backed Securities (07-1-A3), 0.472%, due 03/25/37 (2) | 3,432,097 | ||||||
8,758,650 | Wells Fargo Mortgage-Backed Securities Trust (04-DD-2A6), 2.615%, due 01/25/35 (2) | 8,689,343 | ||||||
9,779,783 | Wells Fargo Mortgage-Backed Securities Trust (06-AR6-4A1), 2.615%, due 03/25/36 (2) | 9,803,030 | ||||||
13,631,175 | Wells Fargo Mortgage-Backed Securities Trust (06-AR11-A6), 2.617%, due 08/25/36 (2) | 12,683,328 | ||||||
5,257,057 | Wells Fargo Mortgage-Backed Securities Trust (06-AR7-2A4), 2.613%, due | 4,898,529 | ||||||
12,538,224 | Wells Fargo Mortgage-Backed Securities Trust (07-10-1A32), 6%, due 07/25/37 | 12,205,428 | ||||||
955,879 | Wells Fargo Mortgage-Backed Securities Trust (07-AR4-A1), 2.689%, due | 843,561 |
See accompanying notes to financial statements.
61
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 6,719,101 | Wells Fargo Mortgage-Backed Securities Trust (08-1-4A1), 5.75%, due 02/25/38 | $ | 7,105,117 | ||||
13,726,115 | Wells Fargo Mortgage Loan Trust (11-RR3-A1), (144A), 2.625%, due 03/27/37 (1)(2) | 13,533,821 | ||||||
13,056,185 | Wells Fargo Mortgage Loan Trust (12-RR2-1A1), (144A), 0.336%, due 09/27/47 (1)(2) | 12,549,449 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency | 2,564,347,849 | |||||||
|
| |||||||
U.S. Government Agency Obligations (2.4%) | ||||||||
76,620,000 | Federal Home Loan Bank, 0.75%, due 05/26/28 (3) | 75,898,096 | ||||||
26,700,000 | Federal National Mortgage Association, 0.625%, due 04/29/16 (3) | 26,773,400 | ||||||
45,965,000 | Federal National Mortgage Association, 1%, due 02/27/17 (3) | 46,101,792 | ||||||
14,130,000 | Federal National Mortgage Association, 2.5%, due 02/13/20 (3) | 14,336,976 | ||||||
25,000,000 | Federal National Mortgage Association, 2.63%, due 10/10/24 (3) | 23,762,019 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost: $187,221,571) | 186,872,283 | |||||||
|
| |||||||
U.S. Treasury Securities (16.0%) | ||||||||
41,347,271 | U.S. Treasury Inflation Indexed Note, 0.5%, due 04/15/15 (9) | 42,137,086 | ||||||
37,044,126 | U.S. Treasury Inflation Indexed Note, 2%, due 07/15/14 (3)(9) | 37,575,190 | ||||||
238,260,000 | U.S. Treasury Note, 0.25%, due 08/15/15 (3) | 238,529,949 | ||||||
377,765,000 | U.S. Treasury Note, 0.25%, due 02/29/16 | 377,174,931 | ||||||
114,000,000 | U.S. Treasury Note, 0.75%, due 06/30/17 (3) | 113,238,480 | ||||||
113,155,000 | U.S. Treasury Note, 1.625%, due 03/31/19 | 112,956,121 | ||||||
80,935,000 | U.S. Treasury Note, 2.625%, due 08/15/20 (3) | 83,666,556 | ||||||
245,430,000 | U.S. Treasury Note, 2.75%, due 02/15/24 (3) | 247,596,656 | ||||||
|
| |||||||
Total U.S. Treasury Securities (Cost: $1,246,688,155) | 1,252,874,969 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $7,757,398,612) (104.8%) | 8,203,564,310 | |||||||
|
| |||||||
Number of Shares | Money Market Investments | |||||||
83,399,000 | Dreyfus Institutional Cash Advantage Fund, 0.06% (10) | 83,399,000 | ||||||
48,298,000 | DWS Money Market Series — Institutional Shares, 0.06% (10) | 48,298,000 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $131,697,000) (1.7%) | 131,697,000 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Commercial Paper (1.5%) | ||||||||
Banks (1.1%) | ||||||||
$ | 14,315,000 | RBS Holdings USA, Inc. (United Kingdom), 0.203%, due 06/23/14 (11) | 14,310,785 | |||||
13,890,000 | Macquarie Bank, Ltd. (Australia), 0.203%, due 05/27/14 (11) | 13,887,994 | ||||||
57,470,000 | Macquarie Bank, Ltd. (Australia), 0.203%, due 05/28/14 (11) | 57,461,379 | ||||||
|
| |||||||
Total Banks | 85,660,158 | |||||||
|
|
See accompanying notes to financial statements.
62
Table of Contents
TCW Total Return Bond Fund
April 30, 2014 |
Principal Amount | Short-Term Investments | |||||||
Electric (0.4%) | ||||||||
$ | 35,600,000 | National Rural Utilities Cooperative Finance Corp., 0.09%, due 05/15/14 (11) | $ | 35,598,754 | ||||
|
| |||||||
Total Commercial Paper (Cost: $121,258,912) | 121,258,912 | |||||||
|
| |||||||
Discount Notes (2.0%) | ||||||||
77,855,000 | Federal Home Loan Bank Discount Note, 0.055%, due 07/30/14 (11) | 77,847,214 | ||||||
79,400,000 | Federal Home Loan Bank Discount Note, 0.075%, due 06/06/14 (3)(11) | 79,394,045 | ||||||
|
| |||||||
Total Discount Notes (Cost: $157,238,340) | 157,241,259 | |||||||
|
| |||||||
Repurchase Agreement (2.4%) | ||||||||
80,000,000 | Deutsche Bank LLC, 0.05%, due 05/01/14 (collateralized by $36,450,000 Federal Home Loan Bank, with interest rates ranging from 0% - 4.875% and maturity dates ranging from 05/17/17 - 12/27/32, valued at $34,541,120; $6,973,000 Federal Farm Credit Banks, with interest rates ranging from 0.5% - 5.41% and maturity dates ranging from 06/23/15 - 04/17/36, valued at $7,728,593; $41,877,119 Federal National Mortgage Association, with interest rates ranging from 0.5% - 7.125% and maturity dates ranging from 12/19/14 - 04/18/36, valued at $36,957,097; $3,370,000 Financing Corp., Principal Strips, 0%, and maturity dates ranging from 09/26/18 - 09/26/19, valued at $2,371,482; $2,000 Resolution Funding Corp., Principal Strips, 0%, and maturity dates ranging from 07/15/20 - 10/15/20, valued at $1,708) (Total Amount to be Received Upon Repurchase $80,000,111) | 80,000,000 | ||||||
9,062,361 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $9,950,000 Federal Home Loan Mortgage Corp., 2.08%, due 10/17/22, valued at $9,246,147) (Total Amount to be Received Upon Repurchase $9,062,361) | 9,062,361 | ||||||
100,000,000 | The Royal Bank of Scotland PLC, 0.05%, due 05/06/14 (collateralized by $44,500,000 U.S. Treasury Note, 1.75%, due 05/15/23, valued at $41,703,836; $6,000,000 Federal Farm Credit Banks, 0%, due 05/09/14, valued at $5,999,940; $51,850,000 Federal Farm Credit Banks, 3.5%, due 12/20/23, valued at $54,300,402) (Total Amount to be Received Upon Repurchase $100,000,972) | 100,000,000 | ||||||
|
| |||||||
Total Repurchase Agreement (Cost: $189,062,361) | 189,062,361 | |||||||
|
| |||||||
U.S. Treasury Security (Cost: $5,090,629) (0.1%) | ||||||||
5,091,000 | U.S. Treasury Bill, 0.028%, due 08/14/14 (11) | 5,090,593 | ||||||
|
| |||||||
Total Short-Term Investments (Cost: $472,650,242) (6.0%) | 472,653,125 | |||||||
|
| |||||||
Total Investments (Cost: $8,361,745,854) (112.5%) | 8,807,914,435 | |||||||
Liabilities in Excess of Other Assets (-12.5%) | (979,202,464 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 7,828,711,971 | ||||||
|
|
See accompanying notes to financial statements.
63
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Futures Contracts
Number of Contracts | Type | Expiration Date | Notional Contract Value | Net Unrealized (Depreciation) | ||||||||||
BUY | ||||||||||||||
2,255 | 90 Day Eurodollar Futures | 03/14/16 | $ | 556,223,937 | $ | (1,218,309 | ) | |||||||
2,255 | 90 Day Eurodollar Futures | 06/13/16 | 554,532,688 | (2,008,320 | ) | |||||||||
2,255 | 90 Day Eurodollar Futures | 09/19/16 | 552,926,000 | (2,656,632 | ) | |||||||||
2,255 | 90 Day Eurodollar Futures | 12/19/16 | 551,403,875 | (3,191,434 | ) | |||||||||
|
|
|
| |||||||||||
$ | 2,215,086,500 | $ | (9,074,695 | ) | ||||||||||
|
|
|
|
Notes to the Schedule of Investments:
ACES - Alternative | Credit Enhancement Securities |
ARM - Adjustable-Rate | Mortgage |
CDO - Collateralized | Debt Obligation. |
CLO - Collateralized | Loan Obligation. |
I/F - Inverse | Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O - Interest | Only Security. |
PAC - Planned | Amortization Class. |
P/O - Principal | Only Security. |
TAC - Target | Amortization Class. |
TBA - To | be Announced. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2014, the value of these securities amounted to $548,533,050 or 7.0% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Fund’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2014. |
(3) | All or a portion of this security is segregated to cover open futures contracts, when-issued, delayed-delivery or forward commitments. (Note 2) |
(4) | Investments issued under Regulation S of the Securities Act of 1933, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2014, the value of these securities amounted to $8,196,925 or 0.1% of net assets. |
(5) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(6) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(7) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. |
(8) | Illiquid security. |
(9) | Interest rate for this security is a stated rate. Interest payments are determined based on the inflation-adjusted principal. |
(10) | Rate disclosed, the 7-day net yield, is as of April 30, 2014. |
(11) | Rate shown represents yield-to-maturity. |
See accompanying notes to financial statements.
64
Table of Contents
TCW Total Return Bond Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Asset-Backed Securities | 7.4 | % | ||
Commercial Mortgage-Backed Securities — Agency | 6.1 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.7 | |||
Residential Mortgage-Backed Securities — Agency | 39.4 | |||
Residential Mortgage-Backed Securities — Non-Agency | 32.8 | |||
U.S. Government Agency Obligations | 2.4 | |||
U.S. Treasury Securities | 16.0 | |||
Money Market Investments | 1.7 | |||
Short-Term Investments | 6.0 | |||
|
| |||
Total | 112.5 | % | ||
|
|
See accompanying notes to financial statements.
65
Table of Contents
Statements of Assets and Liabilities (Unaudited) | April 30, 2014 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | TCW Global Bond Fund | ||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||
ASSETS | ||||||||||||
Investments, at Value (2) | $ | 1,314,985 | $ | 3,941 | $ | 16,843 | ||||||
Foreign Currency, at Value | — | — | 24 | (3) | ||||||||
Receivable for Securities Sold | 824 | — | — | |||||||||
Receivable for When-Issued Securities | 5,962 | — | — | |||||||||
Receivable for Fund Shares Sold | 1,363 | — | — | |||||||||
Interest and Dividends Receivable | 5,077 | 13 | 109 | |||||||||
Receivable from Investment Advisor | — | 14 | 5 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | — | 22 | |||||||||
Open Swap Agreements, at Value | — | 4 | — | |||||||||
Cash Collateral Held for Brokers | — | 127 | 10 | |||||||||
Other Assets | 55 | 19 | 19 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,328,266 | 4,118 | 17,032 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 184 | — | — | |||||||||
Payable for Securities Purchased | 5,868 | — | — | |||||||||
Payable for When-Issued Securities | 134,349 | — | 998 | |||||||||
Payable for Fund Shares Redeemed | 2,467 | — | — | (4) | ||||||||
Accrued Directors’ Fees and Expenses | 10 | 10 | 10 | |||||||||
Accrued Compliance Expense | 3 | — | — | (4) | ||||||||
Accrued Management Fees | 400 | 2 | 7 | |||||||||
Accrued Distribution Fees | 135 | — | 2 | |||||||||
Interest Payable on Swap Agreements | — | — | (4) | — | ||||||||
Other Accrued Expenses | 266 | 65 | 30 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 143,682 | 77 | 1,047 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,184,584 | $ | 4,041 | $ | 15,985 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 1,159,074 | $ | 4,157 | $ | 15,163 | ||||||
Accumulated Net Realized Gain (Loss) on Investments, Futures Contracts, | 291 | (185 | ) | (100 | ) | |||||||
Unrealized Appreciation of Investments, Swap Agreements and Foreign Currency | 22,980 | 97 | 848 | |||||||||
Undistributed (Overdistributed) Net Investment Income | 2,239 | (28 | ) | 74 | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,184,584 | $ | 4,041 | $ | 15,985 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 533,435 | $ | 2,245 | $ | 8,256 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 651,149 | $ | 1,796 | $ | 7,729 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (5) | ||||||||||||
I Class Share | 48,106,121 | 267,489 | 790,853 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 58,782,966 | 214,063 | 740,391 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (6) | ||||||||||||
I Class Share | $ | 11.09 | $ | 8.39 | $ | 10.44 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 11.08 | $ | 8.39 | $ | 10.44 | ||||||
|
|
|
|
|
|
(1) | Consolidated Statement of Asset and Liabilities (See Note 2). |
(2) | The identified cost for the TCW Core Fixed Income Fund, the TCW Enhanced Commodity Strategy Fund and the TCW Global Bond Fund at April 30, 2014 was $1,292,005, $3,848 and $16,017, respectively. |
(3) | The identified cost for the TCW Global Bond Fund at April 30, 2014 was $24. |
(4) | Amount rounds to less than $1. |
(5) | The number of authorized shares with a par value of $0.001 per share, for the TCW Core Fixed Income Fund is 1,667,000,000 for each of the I Class and N Class shares, the TCW Enhanced Commodity Strategy Fund and the TCW Global Bond Fund is 2,000,000,000 for each of the I Class and N Class shares. |
(6) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
66
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2014 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||
ASSETS | ||||||||||||
Investments, at Value (1) | $ | 34,727 | $ | 20,993 | $ | 8,807,914 | ||||||
Receivable for Securities Sold | 629 | 3 | 419 | |||||||||
Receivable for When-issued Securities | — | — | 174,125 | |||||||||
Receivable for Fund Shares Sold | 71 | 49 | 35,321 | |||||||||
Interest and Dividends Receivable | 442 | 53 | 17,568 | |||||||||
Receivable from Investment Advisor | 13 | 13 | 674 | |||||||||
Receivable for Daily Variation Margin on Open Financial Futures Contracts | — | — | 1,269 | |||||||||
Open Swap Agreements, at Value | 17 | — | — | |||||||||
Other Assets | 26 | 8 | 138 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 35,925 | 21,119 | 9,037,428 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 27 | 4 | 3,808 | |||||||||
Payable for Securities Purchased | 747 | 273 | 42,889 | |||||||||
Payable for When-Issued Securities | 200 | — | 1,144,719 | |||||||||
Payable for Fund Shares Redeemed | 56 | 154 | 12,249 | |||||||||
Accrued Directors’ Fees and Expenses | 10 | 10 | 10 | |||||||||
Accrued Compliance Expense | — | (2) | — | (2) | 14 | |||||||
Accrued Management Fees | 13 | 6 | 3,158 | |||||||||
Accrued Distribution Fees | 3 | — | 504 | |||||||||
Interest Payable on Swap Agreements | 1 | — | — | |||||||||
Other Accrued Expenses | 53 | 16 | 1,365 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 1,110 | 463 | 1,208,716 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 34,815 | $ | 20,656 | $ | 7,828,712 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 35,047 | $ | 28,083 | $ | 7,380,819 | ||||||
Accumulated Net Realized Gain (Loss) on Investments and Swap Agreements | (945 | ) | (7,448 | ) | 49,557 | |||||||
Unrealized Appreciation of Investments, Futures Contracts and Swap Agreements | 752 | 78 | 437,093 | |||||||||
Overdistributed Net Investment Income | (39 | ) | (57 | ) | (38,757 | ) | ||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 34,815 | $ | 20,656 | $ | 7,828,712 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 22,319 | $ | 20,656 | $ | 5,362,920 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 12,496 | $ | 2,465,792 | ||||||||
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (3) | ||||||||||||
I Class Share | 3,472,620 | 2,354,265 | 527,451,775 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 1,930,760 | 235,123,750 | ||||||||||
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (4) | ||||||||||||
I Class Share | $ | 6.43 | $ | 8.77 | $ | 10.17 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 6.47 | $ | 10.49 | ||||||||
|
|
|
|
(1) | The identified cost for the TCW High Yield Bond Fund, the TCW Short Term Bond Fund and the TCW Total Return Bond Fund at April 30, 2014 was $33,966, $20,915 and $8,361,746, respectively. |
(2) | Amount rounds to less than $1. |
(3) | The number of authorized shares, with a par value of $0.001 per share, for the TCW High Yield Bond Fund is 1,667,000,000 for each of the I Class and N Class shares, the TCW Short Term Bond Fund is 1,666,000,000 for the I Class shares, and the TCW Total Return Bond Fund is 1,666,000,000 for each of the I Class and N Class shares. |
(4) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
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Statements of Operations (Unaudited) | Six Months Ended April 30, 2014 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | TCW Global Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 13,813 | $ | 44 | $ | 310 | ||||||
|
|
|
|
|
| |||||||
Total | 13,813 | 44 | 310 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 2,364 | 11 | 45 | |||||||||
Accounting Services Fees | 63 | 13 | 2 | |||||||||
Administration Fees | 67 | 17 | 5 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 61 | 7 | 4 | |||||||||
N Class | 283 | 4 | 4 | |||||||||
Custodian Fees | 24 | 10 | 14 | |||||||||
Professional Fees | 51 | 22 | 20 | |||||||||
Directors’ Fees and Expenses | 11 | 10 | 10 | |||||||||
Registration Fees: | ||||||||||||
I Class | 25 | 11 | 7 | |||||||||
N Class | 42 | 11 | 7 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 844 | 2 | 10 | |||||||||
Compliance Expense | 7 | — | (2) | — | (2) | |||||||
Shareholder Reporting Expense | 4 | 1 | 1 | |||||||||
Other | 74 | 4 | 4 | |||||||||
|
|
|
|
|
| |||||||
Total | 3,920 | 123 | 133 | |||||||||
|
|
|
|
|
| |||||||
Less expenses waived/reimbursed | — | 77 | — | |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 70 | 16 | 15 | |||||||||
N Class | 14 | 17 | 25 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 3,836 | 13 | 93 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 9,977 | 31 | 217 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 1,239 | — | (2) | (26 | ) | |||||||
Foreign Currency | — | — | (69 | ) | ||||||||
Futures Contracts | — | — | (24 | ) | ||||||||
Swap Agreements | — | 302 | — | |||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 8,640 | (15 | ) | 28 | ||||||||
Foreign Currency | — | — | 31 | |||||||||
Futures Contracts | — | — | 35 | |||||||||
Swap Agreements | — | 103 | — | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 9,879 | 390 | (25 | ) | ||||||||
|
|
|
|
|
| |||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 19,856 | $ | 421 | $ | 192 | ||||||
|
|
|
|
|
|
(1) | Consolidated Statement of Operations (See Note 2). |
(2) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
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TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2014 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 959 | $ | 101 | $ | 120,382 | ||||||
|
|
|
|
|
| |||||||
Total | 959 | 101 | 120,382 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 81 | 31 | 18,683 | |||||||||
Accounting Services Fees | 11 | 1 | 372 | |||||||||
Administration Fees | 6 | 4 | 433 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 8 | 6 | 1,081 | |||||||||
N Class | 7 | — | 728 | |||||||||
Custodian Fees | 8 | 7 | 64 | |||||||||
Professional Fees | 18 | 34 | 157 | |||||||||
Directors’ Fees and Expenses | 10 | 11 | 10 | |||||||||
Registration Fees: | ||||||||||||
I Class | 8 | 11 | 72 | |||||||||
N Class | 14 | — | 101 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 16 | — | 3,040 | |||||||||
Compliance Expense | — | — | (1) | 57 | ||||||||
Shareholder Reporting Expense | 3 | — | 12 | |||||||||
Other | 6 | 4 | 547 | |||||||||
|
|
|
|
|
| |||||||
Total | 196 | 109 | 25,357 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 48 | 70 | 3,347 | |||||||||
N Class | 40 | — | 1,285 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 108 | 39 | 20,725 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 851 | 62 | 99,657 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 7 | 25 | 47,675 | |||||||||
Futures Contracts | — | — | — | (1) | ||||||||
Swap Agreements | (2 | ) | — | — | ||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 559 | (6 | ) | (7,093 | ) | |||||||
Futures Contracts | — | — | (3,862 | ) | ||||||||
Swap Agreements | (9 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 555 | 19 | 36,720 | |||||||||
|
|
|
|
|
| |||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,406 | $ | 81 | $ | 136,377 | ||||||
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
69
Table of Contents
Statements of Changes in Net Assets
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | |||||||||||||||
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 9,977 | $ | 19,977 | $ | 31 | $ | 76 | ||||||||
Net Realized Gain (Loss) on Investments, Swap Agreements | 1,239 | (1,823 | ) | 302 | (451 | ) | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments, Swap Agreements | 8,640 | (25,711 | ) | 88 | 13 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 19,856 | (7,557 | ) | 421 | (362 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (3,957 | ) | (9,375 | ) | (16 | ) | (41 | ) | ||||||||
N Class | (4,391 | ) | (10,322 | ) | (12 | ) | (33 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | (5,117 | ) | (9 | ) | (12 | ) | |||||||||
N Class | — | (5,672 | ) | (7 | ) | (9 | ) | |||||||||
|
| �� |
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (8,348 | ) | (30,486 | ) | (44 | ) | (95 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (61,465 | ) | 103,896 | 22 | 49 | |||||||||||
N Class | (53,593 | ) | 189,898 | 20 | 39 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (115,058 | ) | 293,794 | 42 | 88 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (103,550 | ) | 255,751 | 419 | (369 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 1,288,134 | 1,032,383 | 3,622 | 3,991 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 1,184,584 | $ | 1,288,134 | $ | 4,041 | $ | 3,622 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | 2,239 | $ | 610 | $ | (28 | ) | $ | (31 | ) |
(1) | Consolidated Statement of Changes in Net Assets (See Note 2). |
See accompanying notes to financial statements.
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TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Global Bond Fund | TCW High Yield Bond Fund | |||||||||||||||
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 217 | $ | 749 | $ | 851 | $ | 2,290 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Swap Agreements and Foreign Currency Transactions | (119 | ) | (219 | ) | 5 | 1,156 | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts, Swap Agreements and Foreign Currency Transactions | 94 | (644 | ) | 550 | (584 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 192 | (114 | ) | 1,406 | 2,862 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (88 | ) | (171 | ) | (588 | ) | (1,613 | ) | ||||||||
N Class | (83 | ) | (177 | ) | (299 | ) | (878 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (62 | ) | (323 | ) | — | — | ||||||||||
N Class | (59 | ) | (332 | ) | — | �� | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (292 | ) | (1,003 | ) | (887 | ) | (2,491 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (2,871 | ) | 468 | (4,160 | ) | (9,109 | ) | |||||||||
N Class | (3,960 | ) | 710 | (2,266 | ) | (6,044 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (6,831 | ) | 1,178 | (6,426 | ) | (15,153 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (6,931 | ) | 61 | (5,907 | ) | (14,782 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 22,916 | 22,855 | 40,722 | 55,504 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 15,985 | $ | 22,916 | $ | 34,815 | $ | 40,722 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | 74 | $ | 28 | $ | (39 | ) | $ | (3 | ) |
See accompanying notes to financial statements.
71
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TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Short Term Bond Fund | TCW Total Return Bond Fund | |||||||||||||||
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 62 | $ | 152 | $ | 99,657 | $ | 216,773 | ||||||||
Net Realized Gain on Investments | 25 | 17 | 47,675 | 54,557 | ||||||||||||
Change in Unrealized Depreciation on Investments and Futures Contracts | (6 | ) | (64 | ) | (10,955 | ) | (38,386 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 81 | 105 | 136,377 | 232,944 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (127 | ) | (191 | ) | (76,557 | ) | (192,962 | ) | ||||||||
N Class | — | — | (33,767 | ) | (80,162 | ) | ||||||||||
Distributions from Return of Capital: | ||||||||||||||||
I Class | — | — | — | (82,909 | ) | |||||||||||
N Class | — | — | — | (35,276 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (127 | ) | (191 | ) | (110,324 | ) | (391,309 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 5,500 | 2,474 | 258,908 | (640,914 | ) | |||||||||||
N Class | — | — | (34,103 | ) | 197,146 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 5,500 | 2,474 | 224,805 | (443,768 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 5,454 | 2,388 | 250,858 | (602,133) | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 15,202 | 12,814 | 7,577,854 | 8,179,987 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 20,656 | $ | 15,202 | $ | 7,828,712 | $ | 7,577,854 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | (57 | ) | $ | 8 | $ | (38,757 | ) | $ | (28,090 | ) |
See accompanying notes to financial statements.
72
Table of Contents
Notes to Financial Statements (Unaudited) | April 30, 2014 |
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), that currently offers 21 no-load mutual funds (the “Funds”). TCW Investment Management Company (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisors Act of 1940. Each Fund has distinct investment objectives. The following are the objectives for the 6 Fixed Income Funds that are covered in this report:
TCW Fund | Investment Objective | |
Diversified Fixed Income Funds | ||
TCW Core Fixed Income Fund | Seeks to maximize current income and achieve above average total return by investing in fixed income securities with prudent investment management over a full market cycle. | |
TCW High Yield Bond Fund | Seeks to maximize current income and achieve above average total return by investing in high yield bonds, commonly known as “junk” bonds as well as investing in certain mortgage-backed and asset-backed securities with reasonable risk over a full market cycle. | |
TCW Short Term Bond Fund | Seeks to maximize income by investing at least 80% of its net assets in a diversified portfolio of debt securities of varying maturities including bonds, notes and other similar fixed income instruments issued by government or private sector issuers. | |
TCW Total Return Bond Fund | Seeks to maximize current income and achieve above average total return by investing at least 80% of its net assets in debt securities and with prudent investment management over a full market cycle. At least 50% of its net assets will be invested in mortgage-backed securities guaranteed by, or secured by collateral which is guaranteed by, the United States Government, its agencies, instrumentalities or its sponsored corporations; or privately issued mortgage-backed securities rated Aa3 or higher by Moody’s or AA- or higher by S&P; or other obligations of the United States Governments, its agencies, instrumentalities or sponsored corporations; or money market instruments. | |
Non-Diversified Fixed Income Funds | ||
TCW Enhanced Commodity Strategy Fund | Seeks total return which exceeds that of its commodity benchmark by investing in commodity linked derivative instruments backed by a portfolio of fixed income instruments. |
73
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 1 — Organization (Continued)
TCW Fund | Investment Objective | |
TCW Global Bond Fund | Seeks total return by investing at least 80% of its net assets in debt securities of government and corporate issuers. The Fund invests in corporate debt securities of issuers in a number of countries, which may include the United States. The Fund also invests in securities of issuers located in developed and emerging market countries. The Fund may invest across all fixed income sectors, including U.S and non-U.S. government securities. |
All Funds, except for the TCW Short Term Bond Fund, offer two classes of shares: I Class and N Class. The TCW Short Term Bond Fund offers only the I Class shares. The classes are substantially the same except that the N Class shares are subject to a distribution fee (see Note 6).
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies, which are in conformity with accounting principles generally accepted in the United States of America and which are consistently followed by the Funds in the preparation of their financial statements.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Principles of Consolidation: The TCW Enhanced Commodity Strategy Fund seeks to gain exposure to the commodity markets, in whole or in part, through investments in the TCW Cayman Enhanced Commodity Fund, Ltd. (the “Subsidiary”), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Fund. The Fund may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at April 30, 2014 were $851 (in thousands) or 21.05% of the Fund’s consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.
Net Asset Value: The Net Asset Value of each Fund’s shares is determined by dividing the net assets attributable to each class by the number of shares issued and outstanding of that class on each business day as of 1:00 p.m. Pacific Time.
Security Valuations: Securities listed or traded on the New York and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market are valued using official closing price as reported by NASDAQ. All other securities for which over-the-counter (“OTC”) market quotations are readily available are valued with prices furnished by independent pricing services or by broker dealers. Exchange traded derivatives are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options, swaps and futures. Over-the counter options are valued using dealer quotations.
The value of short-term debt securities held in the Funds with remaining maturities of 60 days or less at the time of purchase is determined by using the amortized cost method applied to each individual security which approximates market value. Other short-term debt securities are valued on marked-to-market basis until such time as they reach a remaining maturity of 60 days, whereupon they are valued at amortized value using their value on the 61st day prior to maturity.
74
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TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
Securities for which market quotations are not readily available, including circumstances under which the prices received are not reflective of a security’s market value, are fair valued in good faith by the Advisor under procedures established by and under the general supervision of the Company Board of Directors.
Fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under the accounting principles generally accepted in the United States of America (“GAAP”), the Funds disclose investments in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
Level 1 — | quoted prices in active markets for identical investments | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
75
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Fair Value Measurements: A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis follows:
Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized in Level 3.
Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable and are obtained from independent sources. Bank loans are generally categorized in Level 2 of the fair value hierarchy.
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
Credit default swaps. Credit default swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are generally categorized in Level 2 of the fair value hierarchy; if the discount is applied and insignificant, they are categorized in Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable.
Futures contracts. Futures contracts are generally valued at the settlement price established at the close of business each day by the exchange on which they are traded. The value of each of the Fund’s futures contracts is marked daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. As such they are categorized in Level 1.
Money market funds. Money market funds are open-ended mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported net asset value, they are categorized in Level 1 of the fair value hierarchy.
Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid wants lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized in Level 2; otherwise the fair values would be categorized in Level 3.
76
Table of Contents
TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
Restricted securities. Restricted securities, including illiquid Rule 144A securities, issued by non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
Total return swaps. Total return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of the total return swaps would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
U.S. government and agency securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
The following is a summary of the inputs used as of April 30, 2014 in valuing the TCW Funds:
TCW Core Fixed Income Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Corporate Bonds* | $ | — | $ | 243,448,466 | $ | — | $ | 243,448,466 | ||||||||
Municipal Bonds | — | 22,548,336 | — | 22,548,336 | ||||||||||||
Foreign Government Bonds | — | 6,157,077 | — | 6,157,077 | ||||||||||||
Asset-Backed Securities | — | 84,141,347 | — | 84,141,347 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 61,618,343 | — | 61,618,343 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 47,672,715 | — | 47,672,715 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 304,785,650 | — | 304,785,650 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 86,443,356 | — | 86,443,356 | ||||||||||||
U.S. Government Agency Obligations | — | 38,523,446 | — | 38,523,446 | ||||||||||||
U.S. Treasury Securities | 249,398,900 | — | — | 249,398,900 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 249,398,900 | 895,338,736 | — | 1,144,737,636 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 23,944,000 | — | — | 23,944,000 | ||||||||||||
Short-Term Investments* | — | 146,303,813 | — | 146,303,813 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 273,342,900 | $ | 1,041,642,549 | $ | — | $ | 1,314,985,449 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
77
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Enhanced Commodity Strategy Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 48,172 | $ | — | $ | 48,172 | ||||||||
Commercial Mortgage-Backed Securities — | — | 8,905 | — | 8,905 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 186,846 | — | 186,846 | ||||||||||||
Residential Mortgage-Backed Securities — | — | 122,312 | — | 122,312 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 605,823 | — | 605,823 | ||||||||||||
Corporate Bonds* | — | 799,080 | — | 799,080 | ||||||||||||
Municipal Bond | — | 77,369 | — | 77,369 | ||||||||||||
U.S. Government Agency Obligations | — | 20,027 | — | 20,027 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 1,868,534 | — | 1,868,534 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 65,500 | — | — | 65,500 | ||||||||||||
Short-Term Investments* | — | 2,007,141 | — | 2,007,141 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 65,500 | $ | 3,875,675 | $ | — | $ | 3,941,175 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Swap Agreements Commodity Risk | — | 3,964 | — | 3,964 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 65,500 | $ | 3,879,639 | $ | — | $ | 3,945,139 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
78
Table of Contents
TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
TCW Global Bond Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Corporate Bonds* | $ | — | $ | 2,061,169 | $ | — | $ | 2,061,169 | ||||||||
Foreign Government Bonds | — | 6,380,796 | — | 6,380,796 | ||||||||||||
Asset-Backed Securities | — | 579,376 | — | 579,376 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 109,322 | — | 109,322 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 214,144 | — | 214,144 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 2,222,213 | — | 2,222,213 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 1,189,821 | — | 1,189,821 | ||||||||||||
U.S. Government Agency Obligations | — | 160,110 | — | 160,110 | ||||||||||||
U.S. Treasury Securities | 1,057,177 | — | — | 1,057,177 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 1,057,177 | 12,916,951 | — | 13,974,128 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 314,000 | — | — | 314,000 | ||||||||||||
Short-Term Investments* | — | 2,554,638 | — | 2,554,638 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,371,177 | $ | 15,471,589 | $ | — | $ | 16,842,766 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 21,763 | — | 21,763 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,371,177 | $ | 15,493,352 | $ | — | $ | 16,864,529 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
79
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW High Yield Bond Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Bank Loans* | $ | — | $ | 2,259,064 | $ | — | $ | 2,259,064 | ||||||||
Corporate Bonds* | — | 29,103,203 | — | 29,103,203 | ||||||||||||
Asset-Backed Securities | — | 1,217,784 | — | 1,217,784 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 32,580,051 | — | 32,580,051 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Securities | ||||||||||||||||
Common Stock* | 237,188 | — | — | 237,188 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity Securities | 237,188 | — | — | 237,188 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 19,000 | — | — | 19,000 | ||||||||||||
Short-Term Investments* | — | 1,890,882 | — | 1,890,882 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 256,188 | $ | 34,470,933 | $ | — | $ | 34,727,121 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | $ | — | $ | 17,497 | $ | — | $ | 17,497 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 256,188 | $ | 34,488,430 | $ | — | $ | 34,744,618 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
TCW Short Term Bond Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Commercial Mortgage-Backed Securities — Agency | $ | — | $ | 871,871 | $ | — | $ | 871,871 | ||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 1,849,099 | — | 1,849,099 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 6,126,225 | — | 6,126,225 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 378,984 | — | 378,984 | ||||||||||||
Corporate Bonds* | — | 3,623,639 | — | 3,623,639 | ||||||||||||
Municipal Bonds | — | 137,475 | — | 137,475 | ||||||||||||
U.S. Government Agency Obligations | — | 490,339 | — | 490,339 | ||||||||||||
U.S. Treasury Securities | 614,233 | — | — | 614,233 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 614,233 | 13,477,632 | — | 14,091,865 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 17,000 | — | — | 17,000 | ||||||||||||
Short-Term Investments* | — | 6,883,660 | — | 6,883,660 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 631,233 | $ | 20,361,292 | $ | — | $ | 20,992,525 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
80
Table of Contents
TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
TCW Total Return Bond Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 576,756,592 | $ | — | $ | 576,756,592 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 481,688,447 | — | 481,688,447 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 58,186,635 | — | 58,186,635 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 3,082,837,535 | — | 3,082,837,535 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 2,551,041,693 | 13,306,156 | 2,564,347,849 | ||||||||||||
U.S. Government Agency Obligations | — | 186,872,283 | — | 186,872,283 | ||||||||||||
U.S. Treasury Securities | 875,700,038 | 377,174,931 | — | 1,252,874,969 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 875,700,038 | 7,314,558,116 | 13,306,156 | 8,203,564,310 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 131,697,000 | — | — | 131,697,000 | ||||||||||||
Short-Term Investments* | — | 472,653,125 | — | 472,653,125 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,007,397,038 | $ | 7,787,211,241 | $ | 13,306,156 | $ | 8,807,914,435 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures | ||||||||||||||||
Interest Rate Risk | $ | (9,074,695 | ) | $ | — | $ | — | $ | (9,074,695 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (9,074,695 | ) | $ | — | $ | — | $ | (9,074,695 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
The Funds did not have any transfers in and out of Level 1 and Level 2 of the fair value hierarchy during the period ended April 30, 2014.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
TCW High Yield Bond Fund | TCW Total Return Bond Fund | |||||||
Corporate Bonds | Residential Mortgage-Backed Securities — Non-Agency | |||||||
Balance as of October 31, 2013 | $ | 12,500 | $ | 13,937,591 | ||||
Accrued Discounts (Premiums) | — | (687,004 | ) | |||||
Realized Gain (Loss) | (25,056 | ) | — | |||||
Change in Unrealized Appreciation | 18,688 | 55,569 | ||||||
Purchases | 25,056 | — | ||||||
Sales | (31,188 | ) | — | |||||
Transfers in to Level 3 (1) | — | — | ||||||
Transfers out of Level 3 (1) | — | — | ||||||
|
|
|
| |||||
Balance as of April 30, 2014 | $ | — | $ | 13,306,156 | ||||
|
|
|
| |||||
Change in Unrealized Appreciation from Investments Still Held at April 30, 2014 | $ | — | $ | 55,569 | ||||
|
|
|
|
(1) | The Funds recognize transfers in and out at the beginning of the period. |
81
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Significant unobservable valuations inputs for Level 3 investments as of April 30, 2014, are as follows:
TCW Total Return Bond Fund
Description | Fair Value at 04/30/14 | Valuation Techniques* | Unobservable Input | Price Range | ||||
Residential Mortgage-Backed Securities - Non-Agency (Interest Only, Collateral Strip Rate Securities) | $13,306,156 | Third-party Vendor | Vendor Prices | $0.80 - 3.20 |
* | The valuation technique employed on the Level 3 securities involves the use of the vendor prices. The Advisor monitors the third-party brokers and vendors using the valuation process described below. |
Level 3 Valuation Process: Investments classified within Level 3 of the fair value hierarchy may be fair valued by the Advisor with consent by the Company’s Pricing Committee in accordance with the guidelines established by the Board of Directors, and under the general oversight of the Board of Directors. The Company’s Pricing Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Company’s Pricing Committee reports to the Board of Directors at their regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Company’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment. The Advisor, as part of the daily process, conducts back-testing of prices based on daily trade activities.
The Pricing Committee consists of the Chief Risk Officer, Chief Compliance Officer, Treasurer, Assistant Treasurer, Secretary, and a representative from the portfolio management team as well as alternate members as the Board of Directors may from time to time designate. The Pricing Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Funds’ pricing procedures in general.
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification. Dividends received from real estate investment trust securities may include return of capital. Such distributions reduce the cost basis of the respective securities. Distributions, if any, in excess of the cost basis of the security are recognized as capital gain.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, and other assets and liabilities stated in foreign currencies, are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are included in, or are a reduction of, ordinary income for federal income tax purposes.
Foreign Taxes: The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.
82
Table of Contents
TCW Funds, Inc.
April��30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
Derivative Instruments: Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Fund may not be able to close out a derivative transaction at a favorable time or price.
For the period ended April 30, 2014, the Funds had the following derivatives and transactions in derivatives, grouped in the following risk categories:
Commodity Risk | Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Open Swap Agreements, at Value | $ | 4 | $ | — | $ | — | $ | — | $ | 4 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | 4 | $ | — | $ | — | $ | — | $ | 4 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Statement of Operations: | ||||||||||||||||||||
Realized Gain on | ||||||||||||||||||||
Swap Agreements | $ | 302 | $ | — | $ | — | $ | — | $ | 302 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain | $ | 302 | $ | — | $ | — | $ | — | $ | 302 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Unrealized Appreciation on: | ||||||||||||||||||||
Swap Agreements | $ | 103 | $ | — | $ | — | $ | — | $ | 103 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Unrealized Appreciation | $ | 103 | $ | — | $ | — | $ | — | $ | 103 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Notional Amounts or Shares/Units (3) | ||||||||||||||||||||
Swap Agreements | $ | 3,769,106 | $ | — | $ | — | $ | — | $ | 3,769,106 | ||||||||||
TCW Global Bond Fund | ||||||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | 22 | $ | — | $ | 22 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | — | $ | — | $ | 22 | $ | — | $ | 22 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Statement of Operations: | ||||||||||||||||||||
Realized Loss on | ||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | (71 | ) | $ | — | $ | (71 | ) | ||||||||
Futures Contracts | — | — | — | (24 | ) | (24 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Loss | $ | — | $ | — | $ | (71 | ) | $ | (24 | ) | $ | (95 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Unrealized Appreciation on: | ||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | $ | 32 | $ | — | $ | 32 | ||||||||||
Futures Contracts | — | — | — | 35 | 35 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Unrealized Appreciation | $ | — | $ | — | $ | 32 | $ | 35 | $ | 67 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Notional Amounts or Shares/Units (3) | ||||||||||||||||||||
Forward Currency Contracts | $ | — | $ | — | 3,573,203 | $ | — | $ | 3,573,203 | |||||||||||
Futures Contracts | — | — | — | 6 | 6 |
83
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Commodity Risk | Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Open Swap Agreements, at Value | $ | — | $ | 17 | $ | — | $ | — | $ | 17 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | — | $ | 17 | $ | — | $ | — | $ | 17 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Statement of Operations: | ||||||||||||||||||||
Realized Loss on | ||||||||||||||||||||
Swap Agreements | $ | — | $ | (2 | ) | $ | — | $ | — | $ | (2 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Loss | $ | — | $ | (2 | ) | $ | — | $ | — | $ | (2 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Unrealized Depreciation on: | ||||||||||||||||||||
Swap Agreements | $ | — | $ | (9 | ) | $ | — | $ | — | $ | (9 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Unrealized Depreciation | $ | — | $ | (9 | ) | $ | — | $ | — | $ | (9 | ) | ||||||||
|
|
|
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Notional Amounts or Shares/Units (3) | ||||||||||||||||||||
Swap Agreements | $ | — | $ | 600,000 | $ | — | $ | — | $ | 600,000 | ||||||||||
TCW Total Return Bond Fund | ||||||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||||||
Liabilities Derivatives | ||||||||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | — | $ | (9,075 | ) | $ | (9,075 | ) | ||||||||
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Total Value | $ | — | $ | — | $ | — | $ | (9,075 | ) | $ | (9,075 | ) | ||||||||
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Statement of Operations: | ||||||||||||||||||||
Realized Gain on | ||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | — | (2) | $ | — | |||||||||
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Total Realized Gain | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
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Change in Unrealized Depreciation on: | ||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (3,862 | ) | $ | (3,862 | ) | ||||||||
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Total Change in Unrealized Depreciation | $ | — | $ | — | $ | — | $ | (3,862 | ) | $ | (3,862 | ) | ||||||||
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Notional Amounts or Shares/Units (3) | ||||||||||||||||||||
Futures Contracts | — | — | — | 9,020 | 9,020 |
(1) | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin on April 30, 2014 is reported within the Statement of Assets and Liabilities. |
(2) | Amount less than $1. |
(3) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended April 30, 2014. |
Counterparty Credit Risk: A derivative contract may result in a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
The Funds’ risk of loss from counterparty credit risk on Over-the-Counter (OTC) derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Funds.
With exchange traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk
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Note 2 — Significant Accounting Policies (Continued)
is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Funds do not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds. In order to better define its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or fail to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral pledged or received by a Fund.
Cash collateral that has been pledged to cover obligations of a Fund is reported separately on the Statement of Assets and Liabilities. Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold typically $250,000 or $500,000, before a transfer is required, which is determined at the close of each business day and the collateral is transferred on the next business day. Typically, the Funds and counterparties are not permitted to sell, repledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that the Advisor believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to Financial Accounting Standards Board (“FASB”) Accounting Standards update No. 2013-01, Disclosures about Offsetting Assets and Liabilities, that requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards.
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Note 2 — Significant Accounting Policies (Continued)
The following table presents the Funds’ OTC derivatives assets and liabilities by counterparty net of amounts available for offset under an ISDA Master agreement or Master Repurchase Agreement and net of the related collateral received by the Funds as of April 30, 2014 (in thousands):
TCW Core Fixed Income Fund
Counterparty | Gross Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Assets (1) | ||||||||||||
RBS Securities Inc. | $ | 25,000 | $ | (25,000 | ) (2) | $ | — | $ | — | |||||||
State Street Bank & Trust Co. | 10,236 | (10,236 | ) (3) | — | — | |||||||||||
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Total | $ | 35,236 | $ | (35,236 | ) | $ | — | $ | — | |||||||
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(1) | Represents the net amount receivable from the counterparty in the event of default. |
(2) | Collateral with a value of $25,500 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
(3) | Collateral with a value of $10,445 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
TCW Enhanced Commodity Strategy Fund
Counterparty | Gross Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Assets (1) | ||||||||||||
Citibank, NA | $ | 2 | $ | (2 | ) | $ | — | $ | — | |||||||
Credit Suisse International | 2 | — | — | 2 | ||||||||||||
State Street Bank & Trust Co. | 119 | (119 | ) (2) | — | — | |||||||||||
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Total | $ | 123 | $ | (121 | ) | $ | — | $ | 2 | |||||||
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|
(1) | Represents the net amount receivable from the counterparty in the event of default. |
(2) | Collateral with a value of $122 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
TCW Global Bond Fund
Counterparty | Gross Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Assets (1) | ||||||||||||
Commwealth Bank of Australia | $ | 11 | $ | — | $ | — | $ | 11 | ||||||||
JP Morgan Chase Bank, N.A. | 11 | — | — | 11 | ||||||||||||
State Street Bank & Trust Co. | 329 | (329 | ) (2) | — | — | |||||||||||
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| |||||||||
Total | $ | 351 | $ | (329 | ) | $ | — | $ | 22 | |||||||
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|
|
(1) | Represents the net amount receivable from the counterparty in the event of default. |
(2) | Collateral with a value of $338 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
TCW High Yield Bond Fund
Counterparty | Gross Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Assets (1) | ||||||||||||
Credit Suisse International | $ | 2 | $ | — | $ | — | $ | 2 | ||||||||
Goldman Sachs International | 16 | — | — | 16 | ||||||||||||
State Street Bank & Trust Co. | 170 | (170 | ) (2) | — | — | |||||||||||
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| |||||||||
Total | $ | 188 | $ | (170 | ) | $ | — | $ | 18 | |||||||
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|
(1) | Represents the net amount receivable from the counterparty in the event of default. |
(2) | Collateral with a value of $174 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
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TCW Short Term Bond Fund
Counterparty | Gross Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Assets (1) | ||||||||||||
State Street Bank & Trust Co. | $ | 264 | $ | (264 | ) (2) | $ | — | $ | — | |||||||
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Total | $ | 264 | $ | (264 | ) | $ | — | $ | — | |||||||
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(1) | Represents the net amount receivable from the counterparty in the event of default. |
(2) | Collateral with a value of $269 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
TCW Total Return Bond Fund
Counterparty | Gross Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Assets (1) | ||||||||||||
Deutsche Bank AG | $ | 80,000 | $ | (80,000 | ) (2) | $ | — | $ | — | |||||||
RBS Securities Inc. | 100,000 | (100,000 | ) (3) | — | — | |||||||||||
State Street Bank & Trust Co. | 9,062 | (9,062 | ) (4) | — | — | |||||||||||
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Total | $ | 189,062 | $ | (189,062 | ) | $ | — | $ | — | |||||||
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(1) | Represents the net amount receivable from the counterparty in the event of default. |
(2) | Collateral with a value of $81,600 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
(3) | Collateral with a value of $102,004 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
(4) | Collateral with a value of $9,246 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
Forward Foreign Currency Contracts: The Funds may enter into forward foreign currency contracts as a hedge against fluctuations in foreign exchange rates. Forward foreign currency contracts are marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss in the Statement of Assets and Liabilities. When the contract is closed or delivery is taken, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. Outstanding foreign currency forward contracts at April 30, 2014 are disclosed in the Schedule of Investments.
Future Contracts: The Funds may enter into futures contracts. A Fund may seek to manage a variety of different risks through the use of futures contracts, such as interest rate risk, equity price risk, and currency risk. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk. Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at
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Note 2 — Significant Accounting Policies (Continued)
the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of a Fund that is the subject of the hedge. It may not always be possible for the Fund to enter into a closing transaction with respect to a futures contract it has entered into at a favorable time or price. When the Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it.
When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The TCW Global Bond Fund and the TCW Total Return Bond Fund utilized futures to help manage daily liquidity as well as interest rate duration and credit market exposure. Futures contracts outstanding at April 30, 2014 are listed in each Fund’s Schedule of Investments.
Swap Agreements. The Funds may enter into swap agreements. Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).
Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Fund’s maximum risk of loss due to counterparty default is the discounted net asset value of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life.
A Fund may enter into credit default swap transactions as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the
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Note 2 — Significant Accounting Policies (Continued)
buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When the Fund buys protection, it may or may not own securities of the reference entity. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. A Fund also takes the risk that the market will move against its position in the swap agreement. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. When a Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded as realized gains and losses, respectively. During the period ended April 30, 2014, the TCW High Yield Bond Fund utilized credit default swaps to manage daily liquidity as well as interest rate duration and/or credit market exposures; and the TCW Enhanced Commodity Strategy Fund used total return swap agreements to gain exposure to the commodity market. Swap agreements outstanding at April 30, 2014 are listed in each Fund’s Schedule of Investments.
Mortgage-Backed Securities: The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer
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Note 2 — Significant Accounting Policies (Continued)
or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates. These Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Ginnie Mae, Freddie Mac or Fannie Mae. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit (“REMIC”). CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments. These Funds may invest in stripped mortgage-backed securities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a fund may not fully recoup its initial investment in IOs.
Inflation-Indexed Bonds: The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income.
Inflation-indexed securities issued by the U.S. Treasury have maturities of five, ten, twenty, or thirty years, although it is possible that securities with other maturities will be issued in the future. The U.S. Treasury securities pay interest on a semi-annual basis, equal to a fixed percentage of the inflation-adjusted principal amount.
If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if inflation were to rise at a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds.
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While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. If interest rates rise due to reasons other than inflation (for example, due to changes in currency exchange rates), investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.
When-Issued, Delayed-Delivery, To be Announced (“TBA”) and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, TBA or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, TBA or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, TBA or forward commitment securities until the delivery date, they may result in a form of leverage to the extent a fund does not maintain liquid assets equal to the face amount of the contract. To guard against this deemed leverage, the Funds segregate cash and/or securities in an amount or value at least equal to the amount of these transactions.
Dollar Roll Transactions: The Funds may enter into dollar roll transactions with financial institutions to take advantage of opportunities in the mortgage backed securities market. A dollar roll transaction involves a simultaneous sale by the Fund of securities that it holds with an agreement to repurchase substantially similar securities at an agreed upon price and date, but generally will be collateralized at time of delivery by different pools of mortgages with different prepayment histories than those securities sold. These transactions are accounted for as financing transactions as opposed to sales and purchases. The differential between the sale price and the repurchase price is recorded as deferred income and recognized between the settlement dates of the sale and repurchase. During the period between the sale and repurchase, the Fund will not be entitled to receive interest and principal payments on the securities sold. Dollar roll transactions involve risk that the market value of the security sold by the Fund may decline below the repurchase price of the security and the potential inability of counter parties to complete the transaction. There were no such transactions by the Funds for the period ended April 30, 2014.
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of a Master Repurchase Agreements (“MRA”). The MRA permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Funds receive securities as collateral with a market value in excess of the repurchase price to be received by the Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund recognizes a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty. Repurchase agreements outstanding at the end of the period are listed in the Funds’ Schedule of Investments.
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Note 2 — Significant Accounting Policies (Continued)
Reverse Repurchase Agreements: The Funds may enter into reverse repurchase agreements. Reverse repurchase agreements involve sales by a fund of portfolio securities concurrently with an agreement by the Fund to repurchase the same securities at a later date for a fixed price. Generally, the effect of such a transaction is that the Fund can recover all or most of the cash invested in the portfolio securities involved during the term of the reverse repurchase agreement, while it will be able to keep the interest income associated with those portfolio securities. Such transactions are only advantageous if the interest cost to the Fund of the reverse repurchase transaction is less than the cost of otherwise obtaining the cash. There were no reverse repurchase agreements outstanding at April 30, 2014.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. Government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the period ended April 30, 2014.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the classes of shares of the Funds based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of the class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class specific fees and expenses will result in differences in net investment income, and therefore, the payment of different per share dividends by each class.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Enhanced Commodity Strategy Fund declares and pays, or reinvests, dividends from net investment income quarterly. The other Fixed Income Funds declare and pay, or reinvest, dividends from net investment income monthly. Distribution of any net long-term and net short-term capital gains earned by a fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for foreign currency transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax basis differences which will reverse in a subsequent period. Any taxable income or capital gain remaining at fiscal year end is distributed in the following year.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
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Note 3 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment portfolio, the greater the change in value.
Mortgage-Backed and Other Asset-Backed Securities Risk: Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgage-backed or other asset-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage related-securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If unanticipated rate of prepayment on underlying mortgages increase the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which a Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.
Certain Funds invest a material portion of their assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s
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Notes to Financial Statements (Unaudited) (Continued)
Note 3 — Risk Considerations (Continued)
perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.
Mortgage-backed securities (“MBS”) and Asset-backed securities (“ABS”) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets, (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.) In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity take-out), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The exposure to credit and counterparty risks with respect to these financial assets is reflected in fair value recorded in the Funds’ Statements of Assets and Liabilities.
For complete information on the various risks involved, please refer to the Funds’ prospectus and the Statement of Additional Information which can be obtained on the Funds’ website (www.tcw.com) or by calling the customer service.
Note 4 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At April 30, 2014, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows (amounts in thousands):
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Core Fixed Income Fund | $ | 29,564 | $ | (6,410) | $ | 23,154 | $ | 1,291,831 | ||||||||
TCW Enhanced Commodity Strategy Fund | 76 | (5) | 71 | 3,870 | ||||||||||||
TCW Global Bond Fund | 1,178 | (332) | 846 | 15,997 | ||||||||||||
TCW High Yield Bond Fund | 1,013 | (262) | 751 | 33,976 | ||||||||||||
TCW Short Term Bond Fund | 99 | (78) | 21 | 20,972 | ||||||||||||
TCW Total Return Bond Fund | 487,230 | (45,719) | 441,511 | 8,366,403 |
The Funds did not have any unrecognized tax benefits at April 30, 2014, nor were there any increases or decreases in unrecognized tax benefits for the six months ended April 30, 2014. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
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April 30, 2014 |
Note 4 — Federal Income Taxes (Continued)
At October 31, 2013, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Core Fixed Income Fund | $ | 2,039 | $ | — | $ | 2,039 | ||||||
TCW Enhanced Commodity Strategy Fund | 2 | 18 | 20 | |||||||||
TCW Global Bond Fund | — | 118 | 118 | |||||||||
TCW High Yield Bond Fund | 192 | — | 192 | |||||||||
TCW Short Term Bond Fund | 45 | — | 45 |
For the year ended October 31, 2013, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Core Fixed Income Fund | $ | 25,434 | $ | 5,052 | $ | — | $ | 30,486 | ||||||||
TCW Enhanced Commodity Strategy Fund | 90 | 5 | — | 95 | ||||||||||||
TCW Global Bond Fund | 990 | 13 | — | 1,003 | ||||||||||||
TCW High Yield Bond Fund | 2,491 | — | — | 2,491 | ||||||||||||
TCW Short Term Bond Fund | 191 | — | — | 191 | ||||||||||||
TCW Total Return Bond Fund | 231,219 | 41,905 | 118,185 | 391,309 |
At October 31, 2013, the following Fund had net realized loss carryforwards for federal income tax purposes (amounts in thousands):
Expiring In | ||||||||||||
2016 | 2018 | 2019 | ||||||||||
TCW Short Term Bond Fund | $ | 230 | $ | 7,023 | $ | 111 |
Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in the pre-enactment taxable years. As a result of the ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
Therefore, in addition to the above table, the following Funds had additional net realized losses at October 31, 2013 that will be carried forward indefinitely for federal income tax purposes (amounts in thousands):
Short-Term Capita Losses | Long-Term Capita Losses | Total | ||||||||||
TCW Core Fixed Income Fund | $ | 880 | $ | — | $ | 880 | ||||||
TCW High Yield Bond Fund | 941 | 145 | 1,086 | |||||||||
TCW Short Term Bond Fund | 49 | 11 | 60 |
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Notes to Financial Statements (Unaudited) (Continued)
Note 5 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net asset value:
TCW Core Fixed Income Fund | 0.40% | |||
TCW Enhanced Commodity Strategy Fund | 0.50% | |||
TCW Global Bond Fund | 0.55% | |||
TCW High Yield Bond Fund | 0.45% | |||
TCW Short Term Bond Fund | 0.35% | |||
TCW Total Return Bond Fund | 0.50% |
In addition to the management fees, the Funds reimburse, with approval by the Company’s Board of Directors, the Advisor’s costs associated in support of the Funds’ Rule 38a-1 compliance obligations. These amounts are allocated to each Fund based on management fees paid and are included in the Statements of Operations.
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets:
TCW Core Fixed Income Fund | ||||
I Class | 0.49% | (1) | ||
N Class | 0.83% | (1) | ||
TCW Enhanced Commodity Strategy Fund | ||||
I Class | 0.70% | (1) | ||
N Class | 0.75% | (1) | ||
TCW Global Bond Fund | ||||
I Class | 1.13% | (1) | ||
N Class | 1.13% | (1) | ||
TCW High Yield Bond Fund | ||||
I Class | 0.55% | (1) | ||
N Class | 0.80% | (1) | ||
TCW Short Term Bond Fund | ||||
I Class | 0.44% | (1) | ||
TCW Total Return Bond Fund | ||||
I Class | 0.49% | (1) | ||
N Class | 0.79% | (1) |
(1) | These limitations are based on an agreement between the Advisor and the Company for a one-year period. |
The amount borne by the Advisor during the fiscal year when the operating expenses of a fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop below the expense limitation in the subsequent years. The Advisor can recapture expenses only within a given fiscal year for that year’s operating expenses.
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which are shown on the Statement of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred are recorded on the Funds’ books as other liabilities. Deferred compensation is included within directors’ fees and expenses in the Statements of Assets and Liabilities.
Note 6 — Distribution Plan
TCW Funds Distributors (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
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April 30, 2014 |
Note 7 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the six months ended April 30, 2014, were as follows (amounts in thousands):
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Core Fixed Income Fund | $ | 14,923 | $ | 126,374 | $ | 1,375,543 | $ | 1,488,370 | ||||||||
TCW Enhanced Commodity Strategy Fund | 1 | 558 | 20 | 108 | ||||||||||||
TCW Global Bond Fund | 1,329 | 8,734 | 9,090 | 10,801 | ||||||||||||
TCW High Yield Bond Fund | 16,896 | 20,714 | — | — | ||||||||||||
TCW Short Term Bond Fund | 1,733 | 2,516 | 3,227 | 3,478 | ||||||||||||
TCW Total Return Bond Fund | 180,709 | 587,864 | 7,651,886 | 7,339,470 |
Note 8 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Core Fixed Income Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 12,221,392 | $ | 134,139 | 43,967,729 | $ | 484,633 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 397,015 | 4,359 | 1,075,798 | 11,993 | ||||||||||||
Shares Redeemed | (18,266,872 | ) | (199,963 | ) | (35,492,527 | ) | (392,730 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (5,648,465 | ) | $ | (61,465 | ) | 9,551,000 | $ | 103,896 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 7,701,998 | $ | 84,242 | 49,015,418 | $ | 543,978 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 398,965 | 4,376 | 1,208,350 | 13,468 | ||||||||||||
Shares Redeemed | (12,981,454 | ) | (142,211 | ) | (33,359,943 | ) | (367,548 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (4,880,491 | ) | $ | (53,593 | ) | 16,863,825 | $ | 189,898 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Enhanced Commodity Strategy Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,860 | 22 | 6,109 | 49 | ||||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,860 | $ | 22 | 6,109 | $ | 49 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 300 | $ | 3 | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,238 | 17 | 4,790 | 39 | ||||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,538 | $ | 20 | 4,790 | $ | 39 | ||||||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements (Unaudited) (Continued)
Note 8 — Capital Share Transactions (Continued)
TCW Global Bond Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,458 | $ | 25 | 3,401 | $ | 37 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 13,502 | 138 | 43,138 | 462 | ||||||||||||
Shares Redeemed | (294,020 | ) | (3,034 | ) | (2,965 | ) | (31 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (278,060 | ) | $ | (2,871 | ) | 43,574 | $ | 468 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,327 | $ | 34 | 32,371 | $ | 338 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 13,779 | 141 | 44,631 | 478 | ||||||||||||
Shares Redeemed | (400,727 | ) | (4,135 | ) | (10,154 | ) | (106 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (383,621 | ) | $ | (3,960 | ) | 66,848 | $ | 710 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW High Yield Bond Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 422,406 | $ | 2,680 | 3,177,031 | $ | 20,038 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 85,134 | 542 | 205,806 | 1,301 | ||||||||||||
Shares Redeemed | (1,161,134 | ) | (7,382 | ) | (4,814,132 | ) | (30,448 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (653,594 | ) | $ | (4,160 | ) | (1,431,295 | ) | $ | (9,109 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,467,247 | $ | 9,427 | 5,151,136 | $ | 32,632 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 51,826 | 332 | 130,049 | 831 | ||||||||||||
Shares Redeemed | (1,882,384 | ) | (12,025 | ) | (6,215,519 | ) | (39,507 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (363,311 | ) | $ | (2,266 | ) | (934,334 | ) | $ | (6,044 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Short Term Bond Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,207,299 | $ | 10,603 | 2,050,541 | $ | 18,103 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 14,898 | 131 | 18,544 | 163 | ||||||||||||
Shares Redeemed | (595,983 | ) | (5,234 | ) | (1,789,418 | ) | (15,792 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 626,214 | $ | 5,500 | 279,667 | $ | 2,474 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Total Return Bond Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 123,490,552 | $ | 1,249,776 | 295,792,794 | $ | 3,025,640 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,350,567 | 64,207 | 17,443,988 | 177,786 | ||||||||||||
Shares Redeemed | (104,380,990 | ) | (1,055,075 | ) | (379,822,331 | ) | (3,844,340 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 25,460,129 | $ | 258,908 | (66,585,549 | ) | $ | (640,914 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 44,922,152 | $ | 468,791 | 125,554,157 | $ | 1,325,257 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,732,234 | 38,916 | 10,349,892 | 108,886 | ||||||||||||
Shares Redeemed | (51,958,272 | ) | (541,810 | ) | (118,307,111 | ) | (1,236,997 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (3,303,886 | ) | $ | (34,103 | ) | 17,596,938 | $ | 197,146 | ||||||||
|
|
|
|
|
|
|
|
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Note 9 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities at April 30, 2014.
Note 10 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by any Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act of 1933, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
Note 11 — Recently Issued Accounting Pronouncements
On June 7, 2013, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements (“ASU 2013-08”). ASU No. 2013-08 sets forth a new approach for determining whether a public or private entity is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU No. 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the financial statements.
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Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.97 | $ | 11.34 | $ | 10.90 | $ | 11.01 | $ | 10.59 | $ | 9.35 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.10 | 0.21 | 0.24 | 0.36 | 0.63 | 0.78 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.11 | (0.27 | ) | 0.57 | 0.17 | 0.52 | 1.17 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.21 | (0.06 | ) | 0.81 | 0.53 | 1.15 | 1.95 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.20 | ) | (0.28 | ) | (0.42 | ) | (0.64 | ) | (0.68 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.11 | ) | (0.09 | ) | (0.22 | ) | (0.09 | ) | (0.03 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.09 | ) | (0.31 | ) | (0.37 | ) | (0.64 | ) | (0.73 | ) | (0.71 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.09 | $ | 10.97 | $ | 11.34 | $ | 10.90 | $ | 11.01 | $ | 10.59 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.88 | % (2) | (0.49 | )% | 7.57 | % | 5.06 | % | 11.34 | % | 21.65 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 533,435 | $ | 589,911 | $ | 501,448 | $ | 264,366 | $ | 197,877 | $ | 227,101 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.48 | % (3) | 0.48 | % | 0.49 | % | 0.55 | % | 0.56 | % | 0.62 | % | ||||||||||||
After Expense Reimbursement | 0.46 | % (3) | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.89 | % (3) | 1.89 | % | 2.20 | % | 3.35 | % | 5.89 | % | 7.72 | % | ||||||||||||
Portfolio Turnover Rate | 113.54 | % (2) | 197.42 | % | 213.82 | % | 280.49 | % | 258.36 | % | 121.57 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
100
Table of Contents
TCW Core Fixed Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.97 | $ | 11.34 | $ | 10.91 | $ | 11.03 | $ | 10.63 | $ | 9.44 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.08 | 0.17 | 0.21 | 0.33 | 0.57 | 0.75 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.10 | (0.25 | ) | 0.56 | 0.17 | 0.54 | 1.19 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.18 | (0.08 | ) | 0.77 | 0.50 | 1.11 | 1.94 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.07 | ) | (0.18 | ) | (0.25 | ) | (0.40 | ) | (0.62 | ) | (0.72 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.11 | ) | (0.09 | ) | (0.22 | ) | (0.09 | ) | (0.03 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.07 | ) | (0.29 | ) | (0.34 | ) | (0.62 | ) | (0.71 | ) | (0.75 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.08 | $ | 10.97 | $ | 11.34 | $ | 10.91 | $ | 11.03 | $ | 10.63 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.66 | % (2) | (0.74 | )% | 7.21 | % | 4.76 | % | 10.88 | % | 21.31 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 651,149 | $ | 698,223 | $ | 530,935 | $ | 207,882 | $ | 141,451 | $ | 76,729 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.80 | % (3) | 0.77 | % | 0.79 | % | 0.85 | % | 0.88 | % | 0.85 | % | ||||||||||||
After Expense Reimbursement | 0.79 | % (3) | 0.77 | % (4) | 0.78 | % | 0.78 | % | 0.78 | % | 0.74 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.54 | % (3) | 1.56 | % | 1.86 | % | 3.00 | % | 5.32 | % | 7.45 | % | ||||||||||||
Portfolio Turnover Rate | 113.54 | % (2) | 197.42 | % | 213.82 | % | 280.49 | % | 258.36 | % | 121.57 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
(4) | Reimbursement is less than 0.01%. |
See accompanying notes to financial statements.
101
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | April 1, 2011 (Commencement of Operations) through October 31, 2011 | ||||||||||||||
2013 | 2012 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 7.61 | $ | 8.58 | $ | 8.73 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (1) | 0.06 | 0.16 | 0.16 | 0.08 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.81 | (0.92 | ) | (0.11 | ) | (1.26 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 0.87 | (0.76 | ) | 0.05 | (1.18 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.16 | ) | (0.18 | ) | (0.09 | ) | ||||||||
Distributions from Net Realized Gain | (0.03 | ) | (0.05 | ) | (0.02 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.09 | ) | (0.21 | ) | (0.20 | ) | (0.09 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 8.39 | $ | 7.61 | $ | 8.58 | $ | 8.73 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 11.54 | % (3) | (9.05 | )% | 0.55 | % | (11.80 | )% (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 2,245 | $ | 2,013 | $ | 2,218 | $ | 2,647 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 6.31 | % (4) | 5.67 | % | 5.94 | % | 5.54 | % (4) | ||||||||
After Expense Reimbursement | 0.70 | % (4) | 0.70 | % | 0.70 | % | 0.70 | % (4) | ||||||||
Ratio of Net Investment Income to Average Net Assets | 1.65 | % (4) | 2.01 | % | 1.95 | % | 1.51 | % (4) | ||||||||
Portfolio Turnover Rate | 0.94 | % (3) | 54.20 | % | 9.39 | % | 42.70 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period April 1, 2011 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
102
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Financial Highlights — N Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | April 1, 2011 (Commencement of Operations) through October 31, 2011 | ||||||||||||||
2013 | 2012 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 7.61 | $ | 8.58 | $ | 8.73 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (Loss) (1) | 0.06 | 0.16 | 0.16 | 0.08 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.81 | (0.92 | ) | (0.11 | ) | (1.26 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 0.87 | (0.76 | ) | 0.05 | (1.18 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.16 | ) | (0.18 | ) | (0.09 | ) | ||||||||
Distributions from Net Realized Gain | (0.03 | ) | (0.05 | ) | (0.02 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.09 | ) | (0.21 | ) | (0.20 | ) | (0.09 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 8.39 | $ | 7.61 | $ | 8.58 | $ | 8.73 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 11.54 | % (3) | (9.05 | )% | 0.55 | % | (11.80 | )% (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,796 | $ | 1,609 | $ | 1,773 | $ | 1,764 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 6.91 | % (4) | 6.14 | % | 6.30 | % | 5.95 | % (4) | ||||||||
After Expense Reimbursement | 0.72 | % (4) | 0.70 | % | 0.70 | % | 0.70 | % (4) | ||||||||
Ratio of Net Investment Income to Average Net Assets | 1.63 | % (4) | 2.01 | % | 1.94 | % | 1.50 | % (4) | ||||||||
Portfolio Turnover Rate | 0.94 | % (3) | 54.20 | % | 9.39 | % | 42.70 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period April 1, 2011 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
103
Table of Contents
TCW Global Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | December 1, 2011 (Commencement of Operations) through October 31, 2012 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.45 | $ | 10.97 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.13 | 0.35 | 0.27 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.05 | (0.40 | ) | 0.99 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.18 | (0.05 | ) | 1.26 | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.16 | ) | (0.29 | ) | ||||||
Distributions from Net Realized Gain | (0.08 | ) | (0.31 | ) | — | |||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.19 | ) | (0.47 | ) | (0.29 | ) | ||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 10.44 | $ | 10.45 | $ | 10.97 | ||||||
|
|
|
|
|
| |||||||
Total Return | 1.79 | % (3) | (0.46 | )% | 12.74 | % (2) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Period (in thousands) | $ | 8,256 | $ | 11,170 | $ | 11,253 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 1.49 | % (4) | 1.38 | % | 1.42 | % (4) | ||||||
After Expense Reimbursement | 1.13 | % (4) | 1.14 | % | 1.15 | % (4) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.64 | % (4) | 3.31 | % | 2.80 | % (4) | ||||||
Portfolio Turnover Rate | 65.64 | % (3) | 135.67 | % | 165.46 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 1, 2011 (Commencement of Operations) through October 31, 2012 and is not indicative of a full year’s operating results. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
104
Table of Contents
TCW Global Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | December 1, 2011 (Commencement of Operations) through October 31, 2012 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.45 | $ | 10.97 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.13 | 0.35 | 0.27 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.05 | (0.40 | ) | 0.99 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.18 | (0.05 | ) | 1.26 | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.16 | ) | (0.29 | ) | ||||||
Distributions from Net Realized Gain | (0.08 | ) | (0.31 | ) | — | |||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.19 | ) | (0.47 | ) | (0.29 | ) | ||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 10.44 | $ | 10.45 | $ | 10.97 | ||||||
|
|
|
|
|
| |||||||
Total Return | 1.79 | % (3) | (0.46 | )% | 12.74 | % (2) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Period (in thousands) | $ | 7,729 | $ | 11,746 | $ | 11,602 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 1.75 | % (4) | 1.62 | % | 1.68 | % (4) | ||||||
After Expense Reimbursement | 1.13 | % (4) | 1.14 | % | 1.15 | % (4) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.64 | % (4) | 3.30 | % | 2.79 | % (4) | ||||||
Portfolio Turnover Rate | 65.64 | % (3) | 135.67 | % | 165.46 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 1, 2011 (Commencement of Operations) through October 31, 2012 and is not indicative of a full year’s operating results. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
105
Table of Contents
TCW High Yield Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 6.33 | $ | 6.30 | $ | 5.99 | $ | 6.45 | $ | 5.93 | $ | 4.56 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.15 | 0.33 | 0.33 | 0.44 | 0.52 | 0.51 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.11 | 0.06 | 0.37 | (0.42 | ) | 0.51 | 1.36 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.26 | 0.39 | 0.70 | 0.02 | 1.03 | 1.87 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.16 | ) | (0.36 | ) | (0.37 | ) | (0.48 | ) | (0.51 | ) | (0.50 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.02 | ) | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.16 | ) | (0.36 | ) | (0.39 | ) | (0.48 | ) | (0.51 | ) | (0.50 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 6.43 | $ | 6.33 | $ | 6.30 | $ | 5.99 | $ | 6.45 | $ | 5.93 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.21 | % (2) | 6.44 | % | 12.03 | % | 0.24 | % | 18.18 | % | 43.47 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 22,319 | $ | 26,102 | $ | 35,006 | $ | 39,648 | $ | 76,897 | $ | 78,299 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.93 | % (3) | 1.00 | % | 1.14 | % | 1.06 | % | 0.96 | % | 1.04 | % | ||||||||||||
After Expense Reimbursement | 0.52 | % (3) | 0.63 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.85 | % (3) | 5.14 | % | 5.39 | % | 6.93 | % | 8.49 | % | 10.05 | % | ||||||||||||
Portfolio Turnover Rate | 51.30 | % (2) | 114.95 | % | 111.02 | % | 154.82 | % | 176.77 | % | 106.35 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
106
Table of Contents
TCW High Yield Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 6.37 | $ | 6.35 | $ | 6.02 | $ | 6.49 | $ | 5.94 | $ | 4.57 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.15 | 0.32 | 0.33 | 0.45 | 0.51 | 0.50 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.11 | 0.06 | 0.38 | (0.44 | ) | 0.52 | 1.35 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.26 | 0.38 | 0.71 | 0.01 | 1.03 | 1.85 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.16 | ) | (0.36 | ) | (0.36 | ) | (0.48 | ) | (0.48 | ) | (0.48 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.02 | ) | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.16 | ) | (0.36 | ) | (0.38 | ) | (0.48 | ) | (0.48 | ) | (0.48 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 6.47 | $ | 6.37 | $ | 6.35 | $ | 6.02 | $ | 6.49 | $ | 5.94 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.10 | % (2) | 6.12 | % | 12.11 | % | 0.04 | % | 17.86 | % | 43.27 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 12,496 | $ | 14,620 | $ | 20,498 | $ | 14,507 | $ | 47,485 | $ | 53,022 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.41 | % (3) | 1.34 | % | 1.51 | % | 1.38 | % | 1.27 | % | 1.29 | % | ||||||||||||
After Expense Reimbursement | 0.76 | % (3) | 0.83 | % | 1.17 | % | 1.20 | % | 1.20 | % | 1.20 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.57 | % (3) | 4.96 | % | 5.34 | % | 6.87 | % | 8.22 | % | 9.75 | % | ||||||||||||
Portfolio Turnover Rate | 51.30 | % (2) | 114.95 | % | 111.02 | % | 154.82 | % | 176.77 | % | 106.35 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
107
Table of Contents
TCW Short Term Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.80 | $ | 8.85 | $ | 8.77 | $ | 8.94 | $ | 8.57 | $ | 8.93 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.03 | 0.09 | 0.11 | 0.17 | 0.32 | 0.40 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | — | (0.03 | ) | 0.13 | (0.09 | ) | 0.45 | (0.38 | ) | |||||||||||||||
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Total from Investment Operations | 0.03 | 0.06 | 0.24 | 0.08 | 0.77 | 0.02 | ||||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.11 | ) | (0.15 | ) | (0.25 | ) | (0.40 | ) | (0.38 | ) | ||||||||||||
Distributions from Return of Capital | — | — | (0.01 | ) | — | — | — | |||||||||||||||||
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Total Distributions | (0.06 | (0.11 | ) | (0.16 | ) | (0.25 | ) | (0.40 | ) | (0.38 | ) | |||||||||||||
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Net Asset Value per Share, End of Period | $ | 8.77 | $ | 8.80 | $ | 8.85 | $ | 8.77 | $ | 8.94 | $ | 8.57 | ||||||||||||
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Total Return | 0.39 | % (2) | 0.67 | % | 2.74 | % | 0.84 | % | 9.21 | % | 0.35 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 20,656 | $ | 15,202 | $ | 12,814 | $ | 6,874 | $ | 75,849 | $ | 51,944 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.23 | % (3) | 1.33 | % | 1.63 | % | 0.84 | % | 0.76 | % | 0.74 | % | ||||||||||||
After Expense Reimbursement | 0.44 | % (3) | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.70 | % (3) | 1.01 | % | 1.21 | % | 1.96 | % | 3.66 | % | 4.76 | % | ||||||||||||
Portfolio Turnover Rate | 37.00 | % (2) | 71.48 | % | 81.91 | % | 57.84 | % | 83.26 | % | 21.40 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW Total Return Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.13 | $ | 10.27 | $ | 9.76 | $ | 10.37 | $ | 10.21 | $ | 9.21 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.14 | 0.27 | 0.52 | 0.65 | 0.75 | 1.01 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.05 | 0.06 | 0.64 | (0.31 | ) | 0.25 | 0.85 | |||||||||||||||||
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Total from Investment Operations | 0.19 | 0.33 | 1.16 | 0.34 | 1.00 | 1.86 | ||||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.33 | ) | (0.63 | ) | (0.68 | ) | (0.84 | ) | (0.86 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.02 | ) | (0.27 | ) | — | — | ||||||||||||||||
Distributions from Return of Capital | — | (0.14 | ) | — | — | — | — | |||||||||||||||||
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Total Distributions | (0.15 | ) | (0.47 | ) | (0.65 | ) | (0.95 | ) | (0.84 | ) | (0.86 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 10.17 | $ | 10.13 | $ | 10.27 | $ | 9.76 | $ | 10.37 | $ | 10.21 | ||||||||||||
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Total Return | 1.92 | % (2) | 3.26 | % | 12.35 | % | 3.44 | % | 10.32 | % | 21.38 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 5,362,920 | $ | 5,085,781 | $ | 5,837,581 | $ | 3,256,269 | $ | 3,185,878 | $ | 7,907,871 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.59 | % (3) | 0.57 | % | 0.57 | % | 0.60 | % | 0.61 | % | 0.61 | % | ||||||||||||
After Expense Reimbursement | 0.46 | % (3) | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.76 | % (3) | 2.60 | % | 5.21 | % | 6.48 | % | 7.37 | % | 10.47 | % | ||||||||||||
Portfolio Turnover Rate | 97.29 | % (2) | 190.79 | % | 123.43 | % | 141.33 | % | 76.43 | % | 15.57 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW Total Return Bond Fund
Financial Highlights — N Class |
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31 | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.45 | $ | 10.61 | $ | 10.09 | $ | 10.72 | $ | 10.55 | $ | 9.55 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.13 | 0.24 | 0.52 | 0.64 | 0.73 | 1.01 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.05 | 0.07 | 0.65 | (0.32 | ) | 0.27 | 0.89 | |||||||||||||||||
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Total from Investment Operations | 0.18 | 0.31 | 1.17 | 0.32 | 1.00 | 1.90 | ||||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.14 | ) | (0.33 | ) | (0.63 | ) | (0.68 | ) | (0.83 | ) | (0.90 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.02 | ) | (0.27 | ) | — | — | ||||||||||||||||
Distributions from Return of Capital | — | (0.14 | ) | — | — | — | — | |||||||||||||||||
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Total Distributions | (0.14 | ) | (0.47 | ) | (0.65 | ) | (0.95 | ) | (0.83 | ) | (0.90 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 10.49 | $ | 10.45 | $ | 10.61 | $ | 10.09 | $ | 10.72 | $ | 10.55 | ||||||||||||
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Total Return | 1.78 | % (2) | 2.96 | % | 12.03 | % | 3.12 | % | 10.00 | % | 20.98 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 2,465,792 | $ | 2,492,073 | $ | 2,342,406 | $ | 2,081,438 | $ | 2,211,097 | $ | 3,345,527 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.86 | % (3) | 0.83 | % | 0.83 | % | 0.86 | % | 0.88 | % | 0.87 | % | ||||||||||||
After Expense Reimbursement | 0.76 | % (3) | 0.73 | % | 0.73 | % | 0.74 | % | 0.74 | % | 0.74 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.46 | % (3) | 2.31 | % | 5.02 | % | 6.19 | % | 6.98 | % | 10.11 | % | ||||||||||||
Portfolio Turnover Rate | 97.29 | % (2) | 190.79 | % | 123.43 | % | 141.33 | % | 76.43 | % | 15.57 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
Shareholder Expenses (Unaudited)
As a shareholder of a TCW Fund, you incur ongoing operational costs of the Fund, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2013 to April 30, 2014 (181 days).
Actual Expenses The first line under each Fund in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes The second line under each Fund in the table below provides information about the hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
TCW Funds, Inc. | Beginning Account Value November 01, 2013 | Ending Account Value April 30, 2014 | Annualized Expense Ratio | Expenses Paid During Period (November 01, 2013 to April 30, 2014) | ||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.80 | 0.46% | $ | 2.30 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.51 | 0.46% | 2.31 | ||||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.60 | 0.79% | $ | 3.95 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.88 | 0.79% | 3.96 | ||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,115.40 | 0.70% | $ | 3.67 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.32 | 0.70% | 3.51 | ||||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,115.40 | 0.72% | $ | 3.78 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.22 | 0.72% | 3.61 | ||||||||||||
TCW Global Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.90 | 1.13% | $ | 5.65 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.19 | 1.13% | 5.66 | ||||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.90 | 1.13% | $ | 5.65 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.19 | 1.13% | 5.66 |
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Table of Contents
TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value November 01, 2013 | Ending Account Value April 30, 2014 | Annualized Expense Ratio | Expenses Paid During Period (November 01, 2013 to April 30, 2014) | ||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,042.10 | 0.52% | $ | 2.63 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.22 | 0.52% | 2.61 | ||||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.00 | 0.76% | $ | 3.85 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.03 | 0.76% | 3.81 | ||||||||||||
TCW Short Term Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.90 | 0.44% | $ | 2.19 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.61 | 0.44% | 2.21 | ||||||||||||
TCW Total Return Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.20 | 0.46% | $ | 2.30 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.51 | 0.46% | 2.31 | ||||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.80 | 0.76% | $ | 3.80 | |||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.03 | 0.76% | 3.81 |
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Supplemental Information
Proxy Voting Guidelines
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board of Directors of the Company has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Company’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Advisor, on behalf of the Company, prepares and file Form N-PX with the SEC not later than August 31 of each year, which includes the Company’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Company’s proxy voting record for the most recent twelve-month period ended June 30 is available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for the Company’s proxy voting record, it will send the information disclosed in the Company’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Company also discloses its proxy voting record on its website as soon as is reasonably practicable after its report on Form N-PX is filed with the SEC.
Availability of Quarterly Portfolio Schedule
The Company files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. The Form N-Q is available by calling 800-FUND-TCW (800-386-3829) to obtain a hard copy. You may also obtain the Company’s Form N-Q:
1. | By going to the SEC website at http://www.sec.gov.; or |
2. | By visiting the SEC’s Public Reference Room in Washington, D.C. and photocopying it (Phone 1-800-SEC-0330 for information on the operation of the SEC’s Public Reference Room). |
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TCW |
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Proud manager of the TCW and MetWest Fund families.
TCW Funds, Inc.
865 South Figueroa Street Los Angeles, California 90017
800 FUND TCW (800 386 3829)
www.TCW.com
Investment Advisor
TCW Investment Management Company 865 South Figueroa Street Los Angeles, California 90017
Transfer Agent
U.S. Bancorp Fund Services, LLC 615 E. Michigan Street Milwaukee, Wisconsin 53202
Independent Registered Public Accounting Firm
Deloitte & Touche, LLP 350 South Grand Avenue Los Angeles, California 90071
Custodian & Administrator
State Street Bank & Trust Company 200 Clarendon Street Boston, Massachusetts 02116
Distributor
TCW Funds Distributors 865 South Figueroa Street Los Angeles, California 90017
Directors
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell Director
David S. DeVito Director
John A. Gavin Director
Janet E. Kerr Director
Peter McMillan Director
Charles A. Parker Director
Victoria B. Rogers Director
Marc I. Stern Director
Andrew Tarica Director
Officers
David S. DeVito
President and Chief Executive Officer
Meredith S. Jackson Senior Vice President,
General Counsel, Secretary and Interim Chief Compliance Officer
Richard M. Villa
Treasurer and Chief Financial Officer
Peter A. Brown
Senior Vice President
Patrick W. Dennis Assistant Secretary
Jon-Luc Dupuy Assistant Secretary
George N. Winn Assistant Treasurer
TCW Family of Funds
Equity Funds
TCW Concentrated Value Fund TCW Growth Fund TCW Growth Equities Fund
TCW Relative Value Dividend Appreciation Fund TCW Relative Value Large Cap Fund TCW Select Equities Fund TCW Small Cap Growth Fund TCW SMID Cap Growth Fund TCW Value Opportunities Fund
TCW Allocation Fund
TCW Conservative Allocation Fund
Fixed Income Funds
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund TCW Global Bond Fund TCW High Yield Bond Fund TCW Short Term Bond Fund TCW Total Return Bond Fund
International Funds
TCW Emerging Markets income Fund
TCW Emerging Markets Local Currency Income Fund TCW Emerging Markets Multi-Asset Opportunities Fund TCW International Growth Fund TCW International Small Cap Fund
FUNDsarFI0414
Table of Contents
Semi-Annual Report
FOR THE SIX MONTHS ENDED APRIL 30
2014
TCW International Funds
Emerging Markets Income Fund
Emerging Markets Local Currency Income Fund Emerging Markets Multi-Asset Opportunities Fund International Growth Fund International Small Cap Fund
Table of Contents
TCW Funds, Inc.
April 30, 2014 |
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 81 |
Table of Contents
Letter to Shareholders |
David S. DeVito | ||
President, Chief Executive Officer & Director |
Dear Valued Investors:
It is my pleasure to present the semi-annual report for the TCW Funds, Inc. covering the six-month period ended April 30, 2014. I would like to thank you for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of April 30, 2014, the TCW Funds held total net assets of approximately $18.6 billion.
This report contains information outlining the performance of the TCW Funds and a listing of the portfolio holdings as of April 30, 2014.
About the TCW Funds
The TCW Funds offer shareholders a choice of 21 funds, each targeted to specific asset classes, market segments or multiple sectors of the global equity and fixed income markets. For U.S. equities, we offer funds across the market capitalization and growth/value spectrums. In fixed income, our funds provide investors opportunities across global fixed income markets including U.S. government, corporate and high yield bonds, mortgage-backed and asset-backed securities, as well as sovereign and corporate bonds denominated in U.S. dollars and foreign currencies. Each TCW Fund is managed by long-tenured investment teams with experience through many market cycles. Rigorous fundamental research, disciplined risk analysis and deep market expertise are the foundation for each of our funds.
The Economy
Coming into 2014, much was made of December’s Federal Reserve (Fed) announcement regarding its slowing of purchases of U.S. Treasury and agency mortgage-backed securities (MBS). Would the economy suffer? Would government rates continue their rise that saw the 10-Year U.S. Treasury yield peak at 3.03% to close 2013? Would other securities markets face increased volatility or pull back as the Fed withdrew support? Although it seemed rather clear that the ongoing securities purchases were not providing much thrust to the real economy by way of job creation and gross domestic product (GDP) expansion, it was fairly evident that asset prices were rising through 2013, whether for homes, equities or high yield bonds, to cite a few. Therefore, it has not been surprising that the Fed was, and is expected to be, resolute in its meeting-by-meeting reduction, bringing what had been an $85 billion monthly buying program down to roughly $55 billion by March month-end. Meanwhile, the world kept on spinning, offering no shortage of other (potentially adverse) influences
early in 2014. Severe winter weather across much of the U.S. slowed economic activity domestically, China’s growth engine seemed to sputter, and Russia amplified global tensions with its annexation of Crimea.
The U.S. Stock Market and our U.S. Equity Funds
U.S. stocks posted solid gains during the past six months through April 30, with the S&P 500 index advancing 8.4% to record high levels. The Fed’s December 2013 decision to begin tapering its asset purchases buoyed stocks, as it signaled confidence in the economy’s ability to sustain organic economic growth, while newly installed Fed Chair Janet Yellen’s statements effectively reassured equity market investors that monetary policy would remain highly accommodative. At the same time, U.S. corporate earnings remained resilient with nearly two-thirds of S&P 500 companies beating analysts’ expectations in both the fourth quarter of 2013 and the first quarter of 2014, although forward-looking guidance remained cautious. Worries about the strength of the U.S. economy mounted given the anemic, weather-impacted 0.1% GDP growth figure registered in 1Q14, coupled with slower growth in China and below 1% economic growth in the Eurozone. The slower growth environment, coupled with geopolitical developments surrounding Ukraine, led to a more defensive tone in the equity market in the first four months of this calendar year. The pronounced drop in the 10-year U.S. treasury yield from 3.02% at the end of 2013 to 2.65% at the end of April 2014 was accompanied by a shift in equity market leadership into more defensive stocks, including real estate investment trusts (REITs), utilities, and telecommunications.
Our value-oriented equity funds generally posted strong performance for the period, boosted by strong stock-picking and the aforementioned shift in market leadership from growth to value names. By the same token, performance of our growth-oriented offerings were challenged in an environment in which growth stock multiples suffered a substantial de-rating in the market, particularly in the areas of technology and biotech. That said, we believe the core fundamentals of these growth companies generally remain compelling, and our portfolio managers maintain an unwavering commitment to the investment philosophy and discipline that have served these funds well over time.
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Table of Contents
The U.S. Fixed Income Market and our U.S. Fixed Income Funds
Lower interest rates and tighter spreads drove positive returns across non-government fixed income sectors, with down-in-quality outperforming on a continuing quest for yield. High yield credit benefitted from steady inflows early in 2014, posting gains and producing substantial excess return, as did investment grade credit. Among the investment grade sectors, corporates returned nearly 3% as risk premiums fell to near the lows last seen in 2007 prior to the financial crisis. Despite increased leverage in the sector, industrial credits have outpaced utilities and financials on a duration-adjusted basis. Performance among securitized products has been generally favorable outside of agency MBS, which have struggled since the middle of 2013 as changing expectations for future Fed policy drove episodic volatility and pushed spreads wider among lower coupon issues. Non-agency residential MBS remained sought-after sources of attractive risk-adjusted yield, and commercial MBS were buoyed by strengthening collateral performance. Lastly, asset-backed securities (ABS) backed by student loans were beneficiaries of good demand for short duration, floating rates and a significant degree of government backing.
International/Global Markets and our Emerging Markets Funds
There has been a notable turnaround in emerging markets debt over the last several months, with the asset class posting among the strongest fixed income returns globally year-to-date 2014. In 2013, macro themes such as Fed tapering and fears around growth dynamics weighed on the asset class. Given the significant repricing that occurred in the second half of 2013, along with sound fundamentals and stable growth, emerging markets debt risk appetite has been better supported thus far in 2014. Notably, the differentiation theme continues to characterize returns, with domestic economic and policy developments taking precedence over global macro drivers. In addition, the technical backdrop is stronger, with continued institutional inflows and retail inflows starting to turn positive.
For the six months ended April 30, 2014, the TCW Emerging Markets Income Fund I Share returned 2.28% versus the J.P. Morgan EMBI Global Diversified Index return of 3.75%. During the same period, the TCW Emerging Markets Local Currency Fund I Share returned negative 2.10% versus the J.P. Morgan GBI-EM Global Diversified Index return of negative 1.48%. Underperformance versus the indices during this period has been a function largely of shorter duration versus the index and exposure to Russia, which underperformed during the March/April period on the back of the crisis in Ukraine. We believe that we are well-positioned for a move higher in U.S. Treasury rates and a turnaround in the Russia/Ukraine situation.
An Update on the TCW Fund Family
There were a few changes to our fund family over the last twelve months that we would like to share with our investors. We added a new fund, the TCW Emerging Markets Multi-Asset Opportunities Fund (TGMAX/TGMEX), effective July 1, 2013. The Fund uses a total return approach and seeks to identify the most attractive reward-risk opportunities in the global emerging market debt and equity universe. The Fund is managed by Penny Foley and Dave Robbins, the same portfolio management team that manages the TCW Emerging Markets Income (TGEIX/TGINX) and Local Currency (TGWIX/TGWNX) Funds.
On March 1, 2014, we changed the name of the TCW Dividend Focused Fund to the TCW Relative Value Dividend Appreciation Fund (TGDFX/TGIGX) as we believe the new name better reflects the Fund’s emphasis on companies exhibiting dividend growth. There were no changes to the Fund’s objective or the prospectus.
Looking Ahead
Our expectations for the economy remain consistent with the past several quarters; we see the economy continuing to expand but with little evidence of an accelerating pace. While the withdrawal of monetary accommodation would typically presage a slowing, the absence of a sustained breakout – in terms of GDP and job growth—since 2008 argues that the effect has been far more meaningful on asset valuations than the economy. Meanwhile, risks accumulated over the prolonged period of stimulus continue to argue for an upward normalization of rates, particularly if inflation appears.
As U.S. equities have not suffered greater than a six percent pullback since the fall of 2012, we cannot dismiss the possibility of increased volatility and profit-taking given the data-dependent nature of Fed policy and the ongoing geopolitical risk stemming from the Ukraine crisis. Yet, we would generally view such occasions as buying opportunities given our view that company fundamentals are, for the most part, quite strong, with deleveraged balance sheets, high cash balances, near-record profit margins, and a low, stable inflation environment. Additionally, valuations remain reasonable, with the S&P 500 trading at just over 15 times forward consensus earnings, or at approximately the average witnessed over the past three decades. However, we believe that further advances by U.S. stocks are likely contingent upon confirmation of a continued macroeconomic recovery that translates into top-line revenue growth rather than reliance upon an expansion of the market P/E multiple.
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Table of Contents
Finally, I would like to take a brief moment to introduce myself. On January 7, 2014, I was named President and Chief Executive Officer of the TCW Funds and the TCW Strategic Income Fund (TSI). I have been with TCW for over 20 years serving in various senior management positions. In addition to serving as President and CEO of the TCW Funds and TSI, I am currently Executive Vice President and Chief Operating Officer for TCW.
We know that you have many choices when it comes to the management of your financial assets. On behalf of everyone at TCW, I would like to thank you for making the TCW Funds part of your long-term investment plan. We truly value our relationship with you. If you have any questions or require further information, I invite you to visit our website at www.tcw.com, or call our shareholder services department at 800-386-3829.
I look forward to reporting to you again at the end of our fiscal year.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
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Table of Contents
TCW Funds, Inc.
Performance Summary (Unaudited)
Total Return | ||||||||||||||||||||||||
Annualized as of April 30, 2014(1) | ||||||||||||||||||||||||
NAV | 1-Year | 5-Year | 10-Year | Since Inception | Inception Date | |||||||||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||||||||||
I Class | $ | 8.51 | (3.94 | )% | 13.63 | % | 10.07 | % | 10.51 | % (2) | 09/04/96 | (3) | ||||||||||||
N Class | $ | 10.98 | (4.13 | )% | 13.33 | % | 9.71 | % | 9.39 | % | 03/01/04 | |||||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||||||||||
I Class | $ | 9.81 | (9.71 | )% | N/A | N/A | 2.94 | % | 12/15/10 | |||||||||||||||
N Class | $ | 9.80 | (9.81 | )% | N/A | N/A | 2.88 | % | 12/15/10 | |||||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||||||||||
I Class | $ | 10.48 | N/A | N/A | N/A | 5.52 | % (4) | 07/01/13 | ||||||||||||||||
N Class | $ | 10.44 | N/A | N/A | N/A | 5.12 | % (4) | 07/01/13 | ||||||||||||||||
TCW International Growth Fund | ||||||||||||||||||||||||
I Class | $ | 11.81 | 8.73 | % | N/A | N/A | 12.57 | % | 11/01/12 | |||||||||||||||
N Class | $ | 11.79 | 8.37 | % | N/A | N/A | 12.19 | % | 11/01/12 | |||||||||||||||
TCW International Small Cap Fund | ||||||||||||||||||||||||
I Class | $ | 9.05 | 12.00 | % | N/A | N/A | (0.73 | )% | 02/28/11 | |||||||||||||||
N Class | $ | 9.06 | 12.12 | % | N/A | N/A | (0.79 | )% | 02/28/11 |
(1) | Past performance is not indicative of future performance. |
(2) | Performance data includes the performance of the predecessor limited partnership for periods before the Fund’s registration became effective. The limited partnership was not registered under the Investment Company Act of 1940 as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If the limited partnership had been registered under the 1940 Act, the limited partnership’s performance may have been lower. |
(3) | Inception date of the predecessor entity. |
(4) | Cumulative return from Inception Date through April 30, 2014. |
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TCW Emerging Markets Income Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Argentina (2.3% of Net Assets) | ||||||||
$ | 59,700,000 | Argentine Republic Government International Bond, 2.5%, due 12/31/38 | $ | 25,596,375 | ||||
46,269,572 | Argentine Republic Government International Bond, 8.28%, due 12/31/33 | 37,478,353 | ||||||
59,120,000 | Argentine Republic Government International Bond, 8.75%, due 06/02/17 | 55,572,800 | ||||||
|
| |||||||
Total Argentina (Cost: $115,696,218) | 118,647,528 | |||||||
|
| |||||||
Brazil (10.6%) | ||||||||
37,000,000 | Banco do Brasil S.A., (144A), 6.25%, due 10/29/49 (1)(2)(3) | 31,773,750 | ||||||
50,000,000 | Banco Nacional de Desenvolvimento Economico e Social, (144A), 4%, due 04/14/19 (2) | 50,312,500 | ||||||
76,000,000 | Banco Nacional de Desenvolvimento Economico e Social, (144A), 5.75%, due 09/26/23 (2) | 79,420,000 | ||||||
63,000,000 | Brazil Minas SPE via State of Minas Gerais, (144A), 5.333%, due 02/15/28 (2) | 62,559,000 | ||||||
42,500,000 | Odebrecht Finance, Ltd., (144A), 7.125%, due 06/26/42 (2) | 43,690,000 | ||||||
65,670,750 | Odebrecht Offshore Drilling Finance, Ltd., (144A), 6.75%, due 10/01/22 (2) | 68,872,199 | ||||||
59,000,000 | Petrobras Global Finance BV, 6.25%, due 03/17/24 | 62,121,336 | ||||||
48,900,000 | Petrobras Global Finance BV, 7.25%, due 03/17/44 | 52,787,257 | ||||||
46,500,000 | QGOG Constellation S.A., (144A), 6.25%, due 11/09/19 (2) | 46,965,000 | ||||||
43,554,467 | Schahin II Finance Co. SPV, Ltd., (144A), 5.875%, due 09/25/22 (2) | 41,376,743 | ||||||
|
| |||||||
Total Brazil (Cost: $538,825,510) | 539,877,785 | |||||||
|
| |||||||
Chile (2.1%) | ||||||||
22,800,000 | GeoPark Latin America, Ltd. Agencia en Chile, (144A), 7.5%, due 02/11/20 (2) | 24,111,000 | ||||||
32,000,000 | Guanay Finance, Ltd., (144A), 6%, due 12/15/20 (2) | 33,961,600 | ||||||
47,700,000 | Tanner Servicios Financieros S.A., (144A), 4.375%, due 03/13/18 (2) | 48,010,622 | ||||||
|
| |||||||
Total Chile (Cost: $102,518,673) | 106,083,222 | |||||||
|
| |||||||
China (2.5%) | ||||||||
55,000,000 | Country Garden Holdings Co., Ltd., (144A), 7.25%, due 04/04/21 (2) | 51,150,000 | ||||||
6,000,000 | Future Land Development Holdings, Ltd., (144A), 10.25%, due 01/31/18 (2) | 5,670,000 | ||||||
35,600,000 | Kaisa Group Holdings, Ltd., (144A), 8.875%, due 03/19/18 (2) | 34,665,500 | ||||||
35,000,000 | Tencent Holdings, Ltd., (144A), 3.375%, due 05/02/19 (2) | 35,226,520 | ||||||
|
| |||||||
Total China (Cost: $131,733,372) | 126,712,020 | |||||||
|
| |||||||
Colombia (4.1%) | ||||||||
42,800,000 | Avianca Holdings S.A., (144A), 8.375%, due 05/10/20 (2) | 44,833,000 | ||||||
44,500,000 | Banco Davivienda S.A., (144A), 5.875%, due 07/09/22 (2) | 44,666,875 | ||||||
16,800,000 | Grupo Aval, Ltd., (144A), 4.75%, due 09/26/22 (2) | 16,464,000 | ||||||
56,000,000 | Pacific Rubiales Energy Corp., (144A), 5.375%, due 01/26/19 (2) | 57,680,000 | ||||||
46,000,000 | SUAM Finance BV, (144A), 4.875%, due 04/17/24 (2) | 46,143,750 | ||||||
|
| |||||||
Total Colombia (Cost: $207,976,099) | 209,787,625 | |||||||
|
| |||||||
Costa Rica (1.2%) | ||||||||
28,000,000 | Banco de Costa Rica, (144A), 5.25%, due 08/12/18 (2) | 28,322,000 | ||||||
33,000,000 | Banco Nacional de Costa Rica, (144A), 4.875%, due 11/01/18 (2) | 33,033,000 | ||||||
|
| |||||||
Total Costa Rica (Cost: $61,194,000) | 61,355,000 | |||||||
|
|
See accompanying notes to financial statements.
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Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued) |
Principal Amount | Fixed Income Securities | Value | ||||||
Croatia (2.8%) | ||||||||
$ | 54,000,000 | Croatia Government International Bond, (144A), 6%, due 01/26/24 (2) | $ | 56,497,500 | ||||
48,000,000 | Croatia Government International Bond, (Reg. S), 6.75%, due 11/05/19 (4)(5) | 52,860,000 | ||||||
33,000,000 | Hrvatska Elektroprivreda, (144A), 6%, due 11/09/17 (2) | 34,856,250 | ||||||
|
| |||||||
Total Croatia (Cost: $140,048,182) | 144,213,750 | |||||||
|
| |||||||
Dominican Republic (Cost: $47,178,528) (1.0%) | ||||||||
47,000,000 | Dominican Republic International Bond, (144A), 6.6%, due 01/28/24 (2) | 49,411,100 | ||||||
|
| |||||||
El Salvador (Cost: $45,586,649) (0.9%) | ||||||||
46,150,000 | MMG S.A. (AES El Salvador Trust II), (144A), 6.75%, due 03/28/23 (2) | 44,534,750 | ||||||
|
| |||||||
Ghana (Cost: $36,866,888) (0.7%) | ||||||||
40,000,000 | Republic of Ghana, (Reg. S), 7.875%, due 08/07/23 (4) | 37,500,000 | ||||||
|
| |||||||
Guatemala (1.2%) | ||||||||
22,400,000 | Agromercantil Senior Trust, (144A), 6.25%, due 04/10/19 (2) | 22,876,000 | ||||||
40,100,000 | Industrial Senior Trust, (144A), 5.5%, due 11/01/22 (2) | 38,846,875 | ||||||
|
| |||||||
Total Guatemala (Cost: $63,010,637) | 61,722,875 | |||||||
|
| |||||||
Hungary (3.8%) | ||||||||
56,000,000 | Hungary Government International Bond, 5.375%, due 02/21/23 (5) | 58,730,000 | ||||||
30,000,000 | Hungary Government International Bond, 5.375%, due 03/25/24 | 31,162,500 | ||||||
68,500,000 | Hungary Government International Bond, 5.75%, due 11/22/23 | 73,295,000 | ||||||
27,500,000 | Hungary Government International Bond, 6.375%, due 03/29/21 | 30,731,250 | ||||||
|
| |||||||
Total Hungary (Cost: $183,396,732) | 193,918,750 | |||||||
|
| |||||||
India (1.8%) | ||||||||
INR | 1,940,000,000 | India Government Bond, 7.28%, due 06/03/19 (5) | 30,432,092 | |||||
$ | 57,700,000 | Vedanta Resources PLC, (144A), 8.25%, due 06/07/21 (2) | 61,414,437 | |||||
|
| |||||||
Total India (Cost: $87,481,130) | 91,846,529 | |||||||
|
| |||||||
Indonesia (3.1%) | ||||||||
50,500,000 | Indonesia Government International Bond, (144A), 5.875%, due 01/15/24 (2) | 54,792,500 | ||||||
IDR | 497,500,000,000 | Indonesia Treasury Bond, 8.375%, due 03/15/24 | 44,117,275 | |||||
$ | 55,000,000 | Perusahaan Penerbit SBSN, (144A), 6.125%, due 03/15/19 (2) | 60,775,000 | |||||
|
| |||||||
Total Indonesia (Cost: $151,052,724) | 159,684,775 | |||||||
|
| |||||||
Iraq (Cost: $41,118,985) (0.8%) | ||||||||
45,500,000 | Republic of Iraq, (Reg. S), 5.8%, due 01/15/28 (4) | 40,950,000 | ||||||
|
| |||||||
Israel (2.5%) | ||||||||
57,600,000 | Israel Electric Corp., Ltd., (144A), 5.625%, due 06/21/18 (2)(5) | 61,200,000 | ||||||
58,800,000 | Israel Electric Corp., Ltd., (144A), 6.875%, due 06/21/23 (2)(5) | 65,268,000 | ||||||
|
| |||||||
Total Israel (Cost: $118,888,444) | 126,468,000 | |||||||
|
|
See accompanying notes to financial statements.
6
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Mexico (11.8%) | ||||||||
$ | 49,000,000 | Alfa SAB de CV, (144A), 6.875%, due 03/25/44 (2) | $ | 51,021,250 | ||||
50,600,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santand, (144A), 5.95%, due 01/30/24 (1)(2) | 52,687,250 | ||||||
32,000,000 | BBVA Bancomer S.A., (144A), 4.375%, due 04/10/24 (2) | 31,880,000 | ||||||
50,000,000 | BBVA Bancomer S.A., (144A), 6.75%, due 09/30/22 (2) | 55,875,000 | ||||||
45,000,000 | Cemex Finance LLC, (144A), 6%, due 04/01/24 (2) | 45,168,750 | ||||||
31,500,000 | Cemex S.A.B. de C.V., (144A), 6.5%, due 12/10/19 (2) | 33,153,750 | ||||||
37,250,000 | Cemex S.A.B. de C.V., (Reg. S), 7.25%, due 01/15/21 (4) | 40,136,875 | ||||||
65,180,000 | Comision Federal de Electricidad, (144A), 4.875%, due 01/15/24 (2) | 67,461,300 | ||||||
60,000,000 | Corp GEO S.A.B. de C.V., (144A), 8.875%, due 03/27/22 (2)(6) | 8,100,000 | ||||||
25,000,000 | Credito Real S.A.B de C.V., (144A), 7.5%, due 03/13/19 (2) | 26,375,000 | ||||||
56,300,000 | Offshore Drilling Holding S.A., (Reg. S), 8.375%, due 09/20/20 (4)(5) | 61,578,125 | ||||||
72,400,000 | Petroleos Mexicanos, 4.875%, due 01/18/24 (5) | 75,477,000 | ||||||
51,000,000 | Tenedora Nemak S.A. de C.V., (144A), 5.5%, due 02/28/23 (2) | 51,765,000 | ||||||
|
| |||||||
Total Mexico (Cost: $642,645,952) | 600,679,300 | |||||||
|
| |||||||
Morocco (Cost: $52,759,040) (1.1%) | ||||||||
55,000,000 | Office Cherifien des Phosphates, (144A), 6.875%, due 04/25/44 (2)(7) | 55,418,000 | ||||||
|
| |||||||
Nigeria (Cost: $32,652,510) (0.6%) | ||||||||
33,000,000 | Zenith Bank PLC, (144A), 6.25%, due 04/22/19 (2) | 33,082,500 | ||||||
|
| |||||||
Pakistan (1.9%) | ||||||||
47,235,000 | Pakistan Government International Bond, (144A), 7.25%, due 04/15/19 (2) | 47,530,219 | ||||||
49,400,000 | Pakistan Government International Bond, (144A), 8.25%, due 04/15/24 (2) | 49,338,250 | ||||||
|
| |||||||
Total Pakistan (Cost: $96,347,890) | 96,868,469 | |||||||
|
| |||||||
Panama (Cost: $32,718,757) (0.7%) | ||||||||
33,000,000 | Global Bank Corp., (144A), 4.75%, due 10/05/17 (2) | 34,155,000 | ||||||
|
| |||||||
Paraguay (1.6%) | ||||||||
44,440,000 | Banco Continental SAECA, (144A), 8.875%, due 10/15/17 (2) | 47,773,000 | ||||||
32,850,000 | Banco Regional SAECA, (144A), 8.125%, due 01/24/19 (2) | 35,354,813 | ||||||
|
| |||||||
Total Paraguay (Cost: $77,131,783) | 83,127,813 | |||||||
|
| |||||||
Peru (Cost: $50,907,186) (1.1%) | ||||||||
49,275,000 | Inkia Energy, Ltd., (Reg. S), 8.375%, due 04/04/21 (4)(5) | 54,633,656 | ||||||
|
| |||||||
Russia (10.3%) | ||||||||
36,000,000 | Alfa Bank OJSC via Alfa Bond Issuance PLC, (144A), 7.5%, due 09/26/19 (2) | 35,460,000 | ||||||
49,500,000 | Credit Bank of Moscow via CBOM Finance PLC, (144A), 7.7%, due 02/01/18 (2) | 47,396,250 | ||||||
51,700,000 | EDC Finance, Ltd., (144A), 4.875%, due 04/17/20 (2) | 46,271,500 | ||||||
62,400,000 | Gazprom Neft OAO via GPN Capital S.A., (144A), 6%, due 11/27/23 (2) | 57,174,000 | ||||||
46,900,000 | Gazprom OAO via Gaz Capital S.A., (Reg. S), 6.51%, due 03/07/22 (4) | 46,665,500 | ||||||
34,182,000 | Metalloinvest Finance, Ltd., (144A), 5.625%, due 04/17/20 (2) | 30,934,710 | ||||||
65,000,000 | Sberbank of Russia via SB Capital S.A., (144A), 5.25%, due 05/23/23 (2) | 56,225,000 |
See accompanying notes to financial statements.
7
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued) |
Principal Amount | Fixed Income Securities | Value | ||||||
Russia (Continued) | ||||||||
$ | 60,500,000 | Sberbank of Russia via SB Capital S.A., (144A), 5.5%, due 02/26/24 (1)(2) | $ | 53,391,250 | ||||
66,800,000 | Vnesheconombank via VEB Finance PLC, (144A), 4.224%, due 11/21/18 (2) | 61,289,000 | ||||||
46,500,000 | Vnesheconombank via VEB Finance PLC, (Reg. S), 5.942%, due 11/21/23 (4) | 41,733,750 | ||||||
51,500,000 | VTB Bank OJSC via VTB Eurasia, Ltd., (144A), 9.5%, due 12/29/49 (1)(2)(3) | 50,341,250 | ||||||
|
| |||||||
Total Russia (Cost: $573,212,015) | 526,882,210 | |||||||
|
| |||||||
Saudi Arabia (Cost: $63,865,913) (1.3%) | ||||||||
63,000,000 | Saudi Electricity Global Sukuk Co. 3, (144A), 5.5%, due 04/08/44 (2) | 64,575,000 | ||||||
|
| |||||||
Serbia (2.2%) | ||||||||
34,000,000 | Republic of Serbia, (144A), 5.875%, due 12/03/18 (2) | 35,870,000 | ||||||
38,000,000 | Republic of Serbia, (Reg. S), 4.875%, due 02/25/20 (4)(5) | 37,762,500 | ||||||
33,000,000 | Republic of Serbia, (Reg. S), 7.25%, due 09/28/21 (4) | 36,795,000 | ||||||
|
| |||||||
Total Serbia (Cost: $107,694,235) | 110,427,500 | |||||||
|
| |||||||
Slovenia (3.1%) | ||||||||
34,000,000 | Slovenia Government International Bond, (144A), 5.25%, due 02/18/24 (2) | 35,445,000 | ||||||
94,800,000 | Slovenia Government International Bond, (144A), 5.5%, due 10/26/22 (2) | 101,317,500 | ||||||
20,000,000 | Slovenia Government International Bond, (Reg. S), 5.85%, due 05/10/23 (4)(5) | 21,850,000 | ||||||
|
| |||||||
Total Slovenia (Cost: $150,268,198) | 158,612,500 | |||||||
|
| |||||||
South Africa (Cost: $36,566,995) (0.7%) | ||||||||
35,300,000 | Myriad International Holdings BV, (144A), 6%, due 07/18/20 (2) | 38,741,750 | ||||||
|
| |||||||
Sri Lanka (Cost: $23,343,301) (0.5%) | ||||||||
23,000,000 | National Savings Bank, (144A), 8.875%, due 09/18/18 (2) | 25,673,750 | ||||||
|
| |||||||
Turkey (4.0%) | ||||||||
60,500,000 | Hazine Mustesarligi Varlik Kiralama A.S., (144A), 4.557%, due 10/10/18 (2) | 62,920,000 | ||||||
70,000,000 | Turkey Government International Bond, 5.75%, due 03/22/24 (5) | 75,250,000 | ||||||
61,000,000 | Turkey Government International Bond, 6.625%, due 02/17/45 | 68,701,250 | ||||||
|
| |||||||
Total Turkey (Cost: $193,456,808) | 206,871,250 | |||||||
|
| |||||||
Ukraine (4.1%) | ||||||||
63,200,000 | National JSC Naftogaz of Ukraine, 9.5%, due 09/30/14 | 57,512,000 | ||||||
34,500,000 | Ukraine Government International Bond, (Reg. S), 6.58%, due 11/21/16 (4) | 29,583,750 | ||||||
28,800,000 | Ukraine Government International Bond, (Reg. S), 6.875%, due 09/23/15 (4) | 26,208,000 | ||||||
30,500,000 | Ukraine Government International Bond, (Reg. S), 7.5%, due 04/17/23 (4) | 25,809,100 | ||||||
65,300,000 | Ukraine Government International Bond, (Reg. S), 7.8%, due 11/28/22 (4) | 55,260,125 | ||||||
17,500,000 | Ukraine Government International Bond, (Reg. S), 9.25%, due 07/24/17 (4) | 16,056,250 | ||||||
|
| |||||||
Total Ukraine (Cost: $217,222,638) | 210,429,225 | |||||||
|
| |||||||
Venezuela (7.5%) | ||||||||
170,150,000 | Petroleos de Venezuela S.A., (Reg. S), 8.5%, due 11/02/17 (4)(5) | 154,411,125 | ||||||
74,500,000 | Petroleos de Venezuela S.A., (Reg. S), 5.375%, due 04/12/27 (4) | 44,327,500 | ||||||
64,450,000 | Venezuela Government International Bond, 9.25%, due 09/15/27 | 54,041,325 |
See accompanying notes to financial statements.
8
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Venezuela (Continued) | ||||||||
$ | 21,000,000 | Venezuela Government International Bond, (Reg. S), 5.75%, due 02/26/16 (4) | $ | 19,383,000 | ||||
71,000,000 | Venezuela Government International Bond, (Reg. S), 7.75%, due 10/13/19 (4)(5) | 58,752,500 | ||||||
67,850,000 | Venezuela Government International Bond, (Reg. S), 8.25%, due 10/13/24 (4) | 53,262,250 | ||||||
|
| |||||||
Total Venezuela (Cost: $374,408,899) | 384,177,700 | |||||||
|
| |||||||
Zambia (Cost: $31,735,680) (0.6%) | ||||||||
32,000,000 | Zambia Government International Bond, (144A), 8.5%, due 04/14/24 (2) | 33,600,800 | ||||||
|
| |||||||
Total Fixed Income Securities (Cost: $4,829,510,571) (94.5%) | 4,830,670,132 | |||||||
|
| |||||||
Number of Shares | Equity Securities | |||||||
Mexico (0%) | ||||||||
240,079 | Hipotecaria Su Casita S.A. de C.V., SOFOM E.N.R. (6) | — | ||||||
|
| |||||||
Total Equity Securities (Cost: $0) (0%) | — | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $182,704,357) (3.6%) | ||||||||
$ | 182,704,357 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $190,765,000 Federal Home Loan Mortgage Corp., 2.08%, due 10/17/22 valued at $177,270,475; $9,680,000 Federal National Mortgage Association, 2.17%, due 10/17/22 valued at $9,088,591) (Total Amount to be Received Upon Repurchase $182,704,357) | 182,704,357 | |||||
|
| |||||||
U.S. Treasury Security (0.1%) | ||||||||
1,102,000 | U.S. Treasury Bill, 0.037%, due 05/22/14 (8) | 1,101,976 | ||||||
761,000 | U.S. Treasury Bill, 0.027%, due 05/08/14 (8) | 760,995 | ||||||
1,056,000 | U.S. Treasury Bill, 0.02%, due 07/10/14 (8) | 1,055,959 | ||||||
1,124,000 | U.S. Treasury Bill, 0.028%, due 08/14/14 (8) | 1,123,910 | ||||||
|
| |||||||
U.S. Treasury Security (Cost: $4,042,838) | 4,042,840 | |||||||
|
| |||||||
Total Short-Term Investments (Cost: $186,747,195) (3.7%) | 186,747,197 | |||||||
|
| |||||||
Total Investments (Cost: $5,016,257,766) (98.2%) | 5,017,417,329 | |||||||
Excess of Other Assets over Liabilities (1.8%) | 90,274,656 | |||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 5,107,691,985 | ||||||
|
|
See accompanying notes to financial statements.
9
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued) |
Forward Currency Contracts
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||
BUY (9) | ||||||||||||||||||||||
Bank of America | HUF | 5,898,000,000 | 08/04/14 | $ | 26,298,658 | $ | 26,487,384 | $ | 188,726 | |||||||||||||
Bank of America | JPY | 5,049,500,000 | 05/28/14 | 52,022,913 | 49,440,022 | (2,582,891 | ) | |||||||||||||||
Bank of America | JPY | 5,872,440,000 | 10/01/14 | 56,494,288 | 57,542,046 | 1,047,758 | ||||||||||||||||
Bank of America | PLN | 79,695,000 | 08/04/14 | 25,767,913 | 26,171,258 | 403,345 | ||||||||||||||||
Bank of America | RUB | 1,663,750,000 | 05/19/14 | 48,711,755 | 46,513,051 | (2,198,704 | ) | |||||||||||||||
Bank of America | RUB | 1,828,375,000 | 01/21/15 | 46,896,248 | 48,004,293 | 1,108,045 | ||||||||||||||||
Goldman Sachs | MXN | 1,023,360,000 | 05/14/14 | 82,000,000 | 78,127,722 | (3,872,278 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 338,191,775 | $ | 332,285,776 | $ | (5,905,999 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
SELL (10) | ||||||||||||||||||||||
Bank of America | AUD | 27,844,915 | 05/21/14 | $ | 25,000,000 | $ | 25,766,047 | $ | (766,047 | ) | ||||||||||||
Bank of America | EUR | 36,565,085 | 01/28/15 | 50,000,000 | 50,687,186 | (687,186 | ) | |||||||||||||||
Bank of America | HUF | 5,898,000,000 | 08/04/14 | 25,000,000 | 26,487,384 | (1,487,384 | ) | |||||||||||||||
Bank of America | JPY | 5,049,500,000 | 05/28/14 | 50,000,000 | 49,440,022 | 559,978 | ||||||||||||||||
Bank of America | JPY | 5,872,440,000 | 10/01/14 | 60,000,000 | 57,542,046 | 2,457,954 | ||||||||||||||||
Bank of America | PLN | 79,695,000 | 08/04/14 | 25,000,000 | 26,171,258 | (1,171,258 | ) | |||||||||||||||
Bank of America | RUB | 1,663,750,000 | 05/19/14 | 50,000,000 | 46,513,051 | 3,486,949 | ||||||||||||||||
Bank of America | RUB | 1,828,375,000 | 01/21/15 | 50,000,000 | 48,004,294 | 1,995,706 | ||||||||||||||||
Bank of America | TRY | 114,685,000 | 08/19/14 | 50,000,000 | 52,698,279 | (2,698,279 | ) | |||||||||||||||
Goldman Sachs | MXN | 1,023,360,000 | 05/14/14 | 77,082,067 | 78,127,722 | (1,045,655 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 462,082,067 | $ | 461,437,289 | $ | 644,778 | |||||||||||||||||
|
|
|
|
|
|
Cross Currency Forwards
Counterparty | Contracts to Deliver/ Units of Currency | Settlement Date | Contracts to Receive/ Units of Currency | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Bank of America | TRY | 102,850,000 | 05/13/14 | BRL | 117,249,000 | $ | 3,894,715 | |||||||||||||||
Bank of America | BRL | 117,249,000 | 05/13/14 | TRY | 102,624,945 | (4,000,697 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (105,982 | ) | ||||||||||||||||||||
|
|
Futures Contracts
Number of Contracts | Type | Expiration Date | Notional Contract Value | Net Unrealized Appreciation (Depreciation) | ||||||||||||
| SELL | |||||||||||||||
3,045 | 5-Year U.S. Treasury Note Futures | 06/30/14 | $ | 363,734,766 | $ | 675,742 | ||||||||||
900 | 10-Year U.S. Treasury Note Futures | 06/19/14 | 111,979,687 | (200,704 | ) | |||||||||||
|
|
|
| |||||||||||||
$ | 475,714,453 | $ | 475,038 | |||||||||||||
|
|
|
|
See accompanying notes to financial statements.
10
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2014 |
Credit Default Swaps — Buy Protection
Notional Amount | Implied Credit Spread (11)(12) | Expiration Date | Counterparty | Fixed Deal Pay Rate | Reference Entity | Unrealized Depreciation | Premium Paid | Value (13) | ||||||||||||||||||||||
| OTC Swaps |
| ||||||||||||||||||||||||||||
$25,000,000 | 0.28 | % | 03/20/17 | Bank of America | 1.0 | % | State of Qatar | $ | (890,422 | ) | $ | 360,602 | $ | (529,820 | ) | |||||||||||||||
|
|
|
|
|
|
Cash in the amount of $2,990,000 has been received by the Fund as collateral for swap agreements and forward currency contracts.
Notes to the Schedule of Investments:
AUD - Australian | Dollar. |
BRL - Brazilian | Real. |
EUR - Euro | Currency. |
HUF | - Hungarian Forint. |
IDR - Indonesian | Rupiah. |
INR - Indian | Rupee. |
JPY - Japanese | Yen. |
MXN - Mexican | Peso. |
PLN - Polish | Zloty. |
RUB - Russian | Ruble. |
TRY - New | Turkish Lira. |
OJSC - Open | Joint-Stock Company. |
OTC - Over-the | Counter. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2014. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2014, the value of these securities amounted to $3,042,145,313 or 59.6% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | Perpetual Maturity. |
(4) | Investments issued under Regulation S of the Securities Act of 1933, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2014, the value of these securities amounted to $955,519,006 or 18.7% of net assets. |
(5) | All or a portion of this security is segregated to cover when-issued, delayed-delivery or forward commitments. (Note 2) |
(6) | Security is currently in default. Income is not being accrued. |
(7) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(8) | Rate shown represents yield-to-maturity. |
(9) | Fund buys foreign currency, sells U.S. Dollar. |
(10) | Fund sells foreign currency, buys U.S. Dollar. |
(11) | The maximum potential amount the Fund could receive as a buyer of protection if a credit event occurred as defined under the terms of that particular swap agreement. |
(12) | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation. Implied credit spreads, represented in the absolute terms, utilized in determining the value of credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread reflects the cost of buying protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
(13) | The value of a credit default swap agreement serves as an indicator of the current status of the payments/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements. |
See accompanying notes to financial statements.
11
Table of Contents
TCW Emerging Markets Income Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Airlines | 0.9 | % | ||
Banks | 16.8 | |||
Building Materials | 2.6 | |||
Chemicals | 1.1 | |||
Diversified Financial Services | 3.8 | |||
Electric | 7.3 | |||
Energy-Alternate Sources | 1.1 | |||
Engineering & Construction | 2.3 | |||
Foreign Government Bonds | 34.8 | |||
Government Regional/Local | 1.2 | |||
Holding Companies — Diversified | 2.0 | |||
Internet | 0.7 | |||
Investment Companies | 0.3 | |||
Iron & Steel | 0.6 | |||
Media | 0.7 | |||
Mining | 1.2 | |||
Oil & Gas | 14.4 | |||
Oil & Gas Services | 0.9 | |||
Real Estate | 1.8 | |||
Short-Term Investments | 3.7 | |||
|
| |||
Total | 98.2 | % | ||
|
|
See accompanying notes to financial statements.
12
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited) | April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Brazil (10.9% of Net Assets) | ||||||||
BRL | 3,540,000 | Brazil Letras do Tesouro Nacional, 0%, due 01/01/16 | $ | 1,309,406 | ||||
BRL | 4,000,000 | Brazil Letras do Tesouro Nacional, 0%, due 01/01/17 | 1,311,292 | |||||
BRL | 11,450,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/15 | 5,095,027 | |||||
BRL | 15,468,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/17 (1) | 6,596,244 | |||||
BRL | 15,000,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/21 | 6,115,508 | |||||
BRL | 12,895,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/23 (1) | 5,060,724 | |||||
|
| |||||||
Total Brazil (Cost: $25,006,329) | 25,488,201 | |||||||
|
| |||||||
Colombia (7.9%) | ||||||||
COP | 6,660,000,000 | Colombian TES (Treasury) Bond, 6%, due 04/28/28 | 3,188,072 | |||||
COP | 13,870,000,000 | Colombian TES (Treasury) Bond, 7%, due 05/04/22 | 7,504,365 | |||||
COP | 7,500,000,000 | Colombian TES (Treasury) Bond, 10%, due 07/24/24 | 4,906,025 | |||||
COP | 5,718,000,000 | Empresa de Telecomunicaciones de Bogota, (144A), 7%, due 01/17/23 (2) | 2,771,772 | |||||
|
| |||||||
Total Colombia (Cost: $17,863,120) | 18,370,234 | |||||||
|
| |||||||
Hungary (4.1%) | ||||||||
HUF | 408,000,000 | Hungary Government Bond, 5.5%, due 02/12/16 | 1,916,225 | |||||
HUF | 406,370,000 | Hungary Government Bond, 6%, due 11/24/23 | 1,942,425 | |||||
HUF | 281,400,000 | Hungary Government Bond, 6.5%, due 06/24/19 | 1,389,436 | |||||
HUF | 391,000,000 | Hungary Government Bond, 6.75%, due 11/24/17 | 1,936,692 | |||||
HUF | 197,600,000 | Hungary Government Bond, 6.75%, due 10/22/28 | 979,813 | |||||
HUF | 292,500,000 | Hungary Government Bond, 7.5%, due 11/12/20 | 1,512,319 | |||||
|
| |||||||
Total Hungary (Cost: $9,481,692) | 9,676,910 | |||||||
|
| |||||||
India (4.9%) | ||||||||
INR | 355,000,000 | India Government Bond, 7.28%, due 06/03/19 (1) | 5,568,759 | |||||
INR | 50,000,000 | Power Grid Corp. of India, Ltd., 9.64%, due 05/31/17 | 836,014 | |||||
INR | 125,000,000 | Power Grid Corp. of India, Ltd., 9.64%, due 05/31/18 | 2,083,123 | |||||
INR | 175,000,000 | Power Grid Corp. of India, Ltd., 9.64%, due 05/31/19 | 2,927,946 | |||||
|
| |||||||
Total India (Cost: $13,127,631) | 11,415,842 | |||||||
|
| |||||||
Indonesia (8.0%) | ||||||||
IDR | 13,769,000,000 | Indonesia Government Bond, 10.5%, due 08/15/30 | 1,404,297 | |||||
IDR | 36,802,000,000 | Indonesia Treasury Bond, 5.25%, due 05/15/18 | 2,935,346 | |||||
IDR | 22,206,000,000 | Indonesia Treasury Bond, 5.625%, due 05/15/23 | 1,633,758 | |||||
IDR | 23,027,000,000 | Indonesia Treasury Bond, 6.625%, due 05/15/33 | 1,626,188 | |||||
IDR | 34,263,000,000 | Indonesia Treasury Bond, 7%, due 05/15/22 | 2,798,242 | |||||
IDR | 15,354,000,000 | Indonesia Treasury Bond, 7.375%, due 09/15/16 | 1,334,337 | |||||
IDR | 22,163,000,000 | Indonesia Treasury Bond, 8.25%, due 06/15/32 | 1,873,408 | |||||
IDR | 23,608,000,000 | Indonesia Treasury Bond, 8.375%, due 03/15/24 (1) | 2,093,509 | |||||
IDR | 15,299,000,000 | Indonesia Treasury Bond, 9%, due 03/15/29 | 1,384,651 | |||||
IDR | 16,111,000,000 | Indonesia Treasury Bond, 9.5%, due 07/15/31 | 1,518,920 | |||||
|
| |||||||
Total Indonesia (Cost: $18,951,111) | 18,602,656 | |||||||
|
|
See accompanying notes to financial statements.
13
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited) (Continued) |
Principal Amount | Fixed Income Securities | Value | ||||||
Malaysia (8.1%) | ||||||||
MYR | 10,628,000 | Malaysia Government Bond, 3.26%, due 03/01/18 | $ | 3,221,679 | ||||
MYR | 3,779,000 | Malaysia Government Bond, 3.48%, due 03/15/23 | 1,109,526 | |||||
MYR | 9,051,000 | Malaysia Government Bond, 4.012%, due 09/15/17 | 2,814,522 | |||||
MYR | 6,347,000 | Malaysia Government Bond, 4.16%, due 07/15/21 | 1,970,106 | |||||
MYR | 14,360,000 | Malaysia Government Bond, 4.262%, due 09/15/16 | 4,492,105 | |||||
MYR | 11,548,000 | Malaysia Government Bond, 4.378%, due 11/29/19 | 3,655,155 | |||||
MYR | 4,081,000 | Malaysia Government Bond, 4.392%, due 04/15/26 | 1,264,139 | |||||
MYR | 1,400,000 | Malaysia Government Bond, 4.498%, due 04/15/30 | 432,529 | |||||
|
| |||||||
Total Malaysia (Cost: $19,284,208) | 18,959,761 | |||||||
|
| |||||||
Mexico (10.2%) | ||||||||
MXN | 15,049,700 | Mexican BONOS Government Bond, 6.5%, due 06/09/22 (1) | 1,189,035 | |||||
MXN | 80,010,000 | Mexican BONOS Government Bond, 7.25%, due 12/15/16 (1) | 6,570,631 | |||||
MXN | 28,690,000 | Mexican BONOS Government Bond, 7.75%, due 05/29/31 | 2,365,444 | |||||
MXN | 14,400,000 | Mexican BONOS Government Bond, 7.75%, due 11/23/34 | 1,179,551 | |||||
MXN | 14,600,000 | Mexican BONOS Government Bond, 7.75%, due 11/13/42 | 1,176,659 | |||||
MXN | 49,470,000 | Mexican BONOS Government Bond, 8%, due 06/11/20 (1) | 4,276,080 | |||||
MXN | 27,700,000 | Mexican BONOS Government Bond, 8%, due 12/07/23 | 2,397,569 | |||||
MXN | 20,200,000 | Mexican BONOS Government Bond, 8.5%, due 11/18/38 | 1,766,749 | |||||
MXN | 28,900,000 | Mexican BONOS Government Bond, 10%, due 12/05/24 | 2,851,458 | |||||
|
| |||||||
Total Mexico (Cost: $24,097,030) | 23,773,176 | |||||||
|
| |||||||
Peru (3.0%) | ||||||||
PEN | 5,310,000 | Peruvian Government International Bond, (Reg. S), 7.84%, due 08/12/20 (3) | 2,116,299 | |||||
PEN | 2,070,000 | Peruvian Government International Bond, (Reg. S), 5.2%, due 09/12/23 (3) | 701,595 | |||||
PEN | 5,030,000 | Peruvian Government International Bond, (Reg. S), 8.2%, due 08/12/26 (3) | 2,106,694 | |||||
PEN | 5,870,000 | Peruvian Government International Bond, (Reg. S), 6.9%, due 08/12/37 (3) | 2,101,320 | |||||
|
| |||||||
Total Peru (Cost: $7,082,292) | 7,025,908 | |||||||
|
| |||||||
Philippines (Cost: $5,353,120) (2.2%) | ||||||||
PHP | 215,000,000 | Philippine Government International Bond, 4.95%, due 01/15/21 | 5,051,873 | |||||
|
| |||||||
Poland (5.3%) | ||||||||
PLN | 3,560,000 | Poland Government Bond, 4%, due 10/25/23 | 1,173,956 | |||||
PLN | 7,000,000 | Poland Government Bond, 4.75%, due 10/25/16 (1) | 2,424,973 | |||||
PLN | 4,400,000 | Poland Government Bond, 4.75%, due 04/25/17 | 1,520,865 | |||||
PLN | 5,000,000 | Poland Government Bond, 5.25%, due 10/25/17 | 1,762,775 | |||||
PLN | 5,700,000 | Poland Government Bond, 5.25%, due 10/25/20 | 2,051,584 | |||||
PLN | 4,700,000 | Poland Government Bond, 5.5%, due 10/25/19 | 1,702,652 | |||||
PLN | 4,500,000 | Poland Government Bond, 5.75%, due 09/23/22 | 1,673,534 | |||||
|
| |||||||
Total Poland (Cost: $12,153,130) | 12,310,339 | |||||||
|
| |||||||
Romania (3.1%) | ||||||||
RON | 6,130,000 | Romania Government Bond, 5.75%, due 01/27/16 | 1,992,937 | |||||
RON | 8,600,000 | Romania Government Bond, 5.85%, due 04/26/23 | 2,865,637 |
See accompanying notes to financial statements.
14
Table of Contents
TCW Emerging Markets Local Currency Income Fund
April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Romania (Continued) | ||||||||
RON | 6,900,000 | Romania Government Bond, 5.9%, due 07/26/17 | $ | 2,280,318 | ||||
|
| |||||||
Total Romania (Cost: $7,002,135) | 7,138,892 | |||||||
|
| |||||||
Russia (8.2%) | ||||||||
RUB | 139,600,000 | Russian Federal Bond — OFZ, 6.8%, due 12/11/19 | 3,556,813 | |||||
RUB | 73,600,000 | Russian Federal Bond — OFZ, 7%, due 01/25/23 | 1,796,747 | |||||
RUB | 78,000,000 | Russian Federal Bond — OFZ, 7.05%, due 01/19/28 | 1,813,505 | |||||
RUB | 150,400,000 | Russian Federal Bond — OFZ, 7.35%, due 01/20/16 (1) | 4,150,610 | |||||
RUB | 132,300,000 | Russian Federal Bond — OFZ, 7.4%, due 06/14/17 | 3,573,142 | |||||
RUB | 68,700,000 | Russian Federal Bond — OFZ, 7.6%, due 04/14/21 | 1,778,332 | |||||
RUB | 90,000,000 | Russian Foreign Bond — Eurobond, (Reg. S), 7.85%, due 03/10/18 (3) | 2,432,729 | |||||
|
| |||||||
Total Russia (Cost: $21,642,468) | 19,101,878 | |||||||
|
| |||||||
Serbia (Cost: $6,326,074) (2.8%) | ||||||||
RSD | 540,000,000 | Serbia Treasury Bond, 10%, due 05/16/15 (1) | 6,547,017 | |||||
|
| |||||||
South Africa (10.2%) | ||||||||
ZAR | 41,950,400 | South Africa Government Bond, 6.25%, due 03/31/36 | 2,941,306 | |||||
ZAR | 33,819,000 | South Africa Government Bond, 6.75%, due 03/31/21 | 2,981,929 | |||||
ZAR | 36,969,000 | South Africa Government Bond, 7%, due 02/28/31 | 2,927,997 | |||||
ZAR | 49,860,000 | South Africa Government Bond, 8%, due 12/21/18 (1) | 4,777,705 | |||||
ZAR | 25,883,000 | South Africa Government Bond, 8.75%, due 02/28/48 | 2,346,395 | |||||
ZAR | 48,607,000 | South Africa Government Bond, 10.5%, due 12/21/26 | 5,345,203 | |||||
ZAR | 23,089,000 | South Africa Government Bond, 13.5%, due 09/15/15 | 2,380,470 | |||||
|
| |||||||
Total South Africa (Cost: $26,446,208) | 23,701,005 | |||||||
|
| |||||||
Turkey (7.7%) | ||||||||
TRY | 6,210,000 | Turkey Government Bond, 6.3%, due 02/14/18 | 2,696,748 | |||||
TRY | 4,500,000 | Turkey Government Bond, 7.1%, due 03/08/23 | 1,864,905 | |||||
TRY | 18,000,000 | Turkey Government Bond, 8.3%, due 10/07/15 | 8,428,733 | |||||
TRY | 5,200,000 | Turkey Government Bond, 8.3%, due 06/20/18 | 2,403,042 | |||||
TRY | 5,100,000 | Turkey Government Bond, 9.5%, due 01/12/22 | 2,450,765 | |||||
|
| |||||||
Total Turkey (Cost: $17,253,982) | 17,844,193 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $231,070,530) (96.6%) | 225,007,885 | |||||||
|
| |||||||
Total Investments (Cost: $231,070,530) (96.6%) | 225,007,885 | |||||||
Excess of Other Assets over Liabilities (3.4%) | 7,864,411 | |||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 232,872,296 | ||||||
|
|
See accompanying notes to financial statements.
15
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited) (Continued)
Forward Currency Contracts
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||
BUY (4) | ||||||||||||||||||||||
Bank of America | HUF | 3,538,800,000 | 08/04/14 | $ | 15,779,195 | $ | 15,892,430 | $ | 113,235 | |||||||||||||
Bank of America | JPY | 504,950,000 | 05/28/14 | 5,202,291 | 4,944,002 | (258,289 | ) | |||||||||||||||
Bank of America | MYR | 55,026,000 | 05/14/14 | 18,000,000 | 16,839,932 | (1,160,068 | ) | |||||||||||||||
Bank of America | PLN | 47,817,000 | 08/04/14 | 15,460,748 | 15,702,755 | 242,007 | ||||||||||||||||
Bank of America | RUB | 499,650,000 | 05/19/14 | 13,533,833 | 13,968,592 | 434,759 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 67,976,067 | $ | 67,347,711 | $ | (628,356 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
SELL (5) | ||||||||||||||||||||||
Bank of America | EUR | 10,964,311 | 01/28/15 | $ | 15,000,000 | $ | 15,198,928 | $ | (198,928 | ) | ||||||||||||
Bank of America | JPY | 504,950,000 | 05/28/14 | 5,000,000 | 4,944,002 | 55,998 | ||||||||||||||||
Bank of America | MYR | 55,026,000 | 05/14/14 | 16,722,686 | 16,839,932 | (117,246 | ) | |||||||||||||||
Bank of America | PLN | 47,817,000 | 08/04/14 | 15,000,000 | 15,702,755 | (702,755 | ) | |||||||||||||||
Bank of America | RUB | 665,500,000 | 05/19/14 | 20,000,000 | 18,605,220 | 1,394,780 | ||||||||||||||||
Bank of America | TRY | 11,468,500 | 08/19/14 | 5,000,000 | 5,269,828 | (269,828 | ) | |||||||||||||||
Bank of America | ZAR | 35,804,800 | 08/20/14 | 3,200,000 | 3,340,608 | (140,608 | ) | |||||||||||||||
Wells Fargo Investments LLC | HUF | 3,538,800,000 | 08/04/14 | 15,000,000 | 15,892,430 | (892,430 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 94,922,686 | $ | 95,793,703 | $ | (871,017 | ) | ||||||||||||||||
|
|
|
|
|
|
Cross Currency Forwards
Counterparty | Contracts to Deliver/ Units of Currency | Settlement Date | Contracts to Receive/ Units of Currency | Unrealized Appreciation (Depreciation) | ||||||||||||
Bank of America | TRY | 7,000,000 | 05/13/14 | BRL | 7,980,000 | $ | 265,076 | |||||||||
Bank of America | EUR | 8,650,000 | 07/15/14 | PLN | 36,345,570 | (40,747 | ) | |||||||||
Bank of America | BRL | 7,980,000 | 05/13/14 | TRY | 6,984,683 | (272,289 | ) | |||||||||
|
| |||||||||||||||
$ | (47,960 | ) | ||||||||||||||
|
|
Cash in the amount of $270,000 has been received by the Fund as collateral for swap agreements and forward currency contracts.
See accompanying notes to financial statements.
16
Table of Contents
TCW Emerging Markets Local Currency Income Fund
April 30, 2014
Notes to the Schedule of Investments:
BRL - Brazilian | Real. |
COP - Colombian | Peso. |
EUR - Euro | Currency. |
HUF - Hungarian | Forint. |
IDR - Indonesian | Rupiah. |
INR - Indian | Rupee. |
JPY - Japanese | Yen. |
MXN - Mexican | Peso. |
MYR - Malaysian | Ringgit. |
PEN - Peruvian | Nouveau Sol. |
PHP - Philippines | Peso. |
PLN - Polish | Zloty. |
RON - New | Romanian Leu. |
RSD - Serbian | Dinar. |
RUB - Russian | Ruble. |
TRY - New | Turkish Lira. |
ZAR - South | African Rand. |
(1) | All or a portion of this security is segregated to cover when-issued, delayed-delivery or forward commitments. (Note 2) |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2014, the value of these securities amounted to $2,771,772 or 1.2% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | Investments issued under Regulation S of the Securities Act of 1933, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2014, the value of these securities amounted to $9,458,637 or 4.1% of net assets. |
(4) | Fund buys foreign currency, sells U.S. Dollar. |
(5) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
17
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Electric | 4.9 | % | ||
Foreign Government Bonds | 90.5 | |||
Telecommunications | 1.2 | |||
|
| |||
Total | 96.6 | % | ||
|
|
See accompanying notes to financial statements.
18
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) | April 30, 2014 |
Principal Amount | Fixed Income Securities | Value | ||||||
Argentina (0.8% of Net Assets) | ||||||||
$ | 150,000 | Argentine Republic Government International Bond, 2.5%, due 12/31/38 | $ | 64,313 | ||||
140,204 | Argentine Republic Government International Bond, 8.28%, due 12/31/33 | 113,565 | ||||||
203,000 | Argentine Republic Government International Bond, 8.75%, due 06/02/17 | 190,820 | ||||||
|
| |||||||
Total Argentina (Cost: $371,905) | 368,698 | |||||||
|
| |||||||
Brazil (2.7%) | ||||||||
200,000 | Banco Nacional de Desenvolvimento Economico e Social, (144A), 4%, due 04/14/19 (1) | 201,250 | ||||||
200,000 | Banco Nacional de Desenvolvimento Economico e Social, (144A), 5.75%, due 09/26/23 (1) | 209,000 | ||||||
200,000 | Brazil Minas SPE via State of Minas Gerais, (144A), 5.333%, due 02/15/28 (1) | 198,600 | ||||||
194,580 | Odebrecht Offshore Drilling Finance, Ltd., (144A), 6.75%, due 10/01/22 (1) | 204,066 | ||||||
100,000 | Petrobras Global Finance BV, 6.25%, due 03/17/24 | 105,290 | ||||||
100,000 | Petrobras Global Finance BV, 7.25%, due 03/17/44 | 107,950 | ||||||
200,000 | QGOG Constellation S.A., (144A), 6.25%, due 11/09/19 (1) | 202,000 | ||||||
|
| |||||||
Total Brazil (Cost: $1,175,864) | 1,228,156 | |||||||
|
| |||||||
Chile (1.5%) | ||||||||
200,000 | Empresa de Transporte de Pasajeros Metro SA, (144A), 4.75%, due 02/04/24 (1) | 209,249 | ||||||
200,000 | GeoPark Latin America, Ltd. Agencia en Chile, (144A), 7.5%, due 02/11/20 (1) | 211,500 | ||||||
250,000 | Guanay Finance, Ltd., (144A), 6%, due 12/15/20 (1) | 265,325 | ||||||
|
| |||||||
Total Chile (Cost: $656,122) | 686,074 | |||||||
|
| |||||||
China (0.8%) | ||||||||
200,000 | Country Garden Holdings Co., Ltd., (144A), 7.25%, due 04/04/21 (1) | 186,000 | ||||||
200,000 | Tencent Holdings, Ltd., (144A), 3.375%, due 05/02/19 (1) | 201,294 | ||||||
|
| |||||||
Total China (Cost: $392,800) | 387,294 | |||||||
|
| |||||||
Colombia (2.1%) | ||||||||
200,000 | Avianca Holdings S.A., (144A), 8.375%, due 05/10/20 (1) | 209,500 | ||||||
COP | 440,000,000 | Colombian TES (Treasury) Bond, 10%, due 07/24/24 | 287,820 | |||||
$ | 280,000 | Grupo Aval, Ltd., (144A), 4.75%, due 09/26/22 (1) | 274,400 | |||||
200,000 | Pacific Rubiales Energy Corp., (144A), 5.375%, due 01/26/19 (1) | 206,000 | ||||||
|
| |||||||
Total Colombia (Cost: $956,262) | 977,720 | |||||||
|
| |||||||
Croatia (Cost: $305,905) (0.7%) | ||||||||
300,000 | Croatia Government International Bond, (144A), 6%, due 01/26/24 (1) | 313,875 | ||||||
|
| |||||||
Dominican Republic (Cost: $203,855) (0.5%) | ||||||||
200,000 | Dominican Republic International Bond, (144A), 6.6%, due 01/28/24 (1) | 210,260 | ||||||
|
| |||||||
El Salvador (Cost: $189,624) (0.4%) | ||||||||
200,000 | MMG S.A. (AES El Salvador Trust II), (144A), 6.75%, due 03/28/23 (1) | 193,000 | ||||||
|
|
See accompanying notes to financial statements.
19
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Guatemala (0.6%) | ||||||||
$ | 100,000 | Agromercantil Senior Trust, (144A), 6.25%, due 04/10/19 (1) | $ | 102,125 | ||||
180,000 | Industrial Senior Trust, (144A), 5.5%, due 11/01/22 (1) | 174,375 | ||||||
|
| |||||||
Total Guatemala (Cost: $271,606) | 276,500 | |||||||
|
| |||||||
Hungary (1.2%) | ||||||||
200,000 | Hungary Government International Bond, 5.375%, due 03/25/24 | 207,750 | ||||||
330,000 | Hungary Government International Bond, 5.75%, due 11/22/23 | 353,100 | ||||||
|
| |||||||
Total Hungary (Cost: $533,374) | 560,850 | |||||||
|
| |||||||
India (0.8%) | ||||||||
INR | 9,500,000 | India Government Bond, 7.28%, due 06/03/19 | 149,023 | |||||
$ | 200,000 | Vedanta Resources PLC, (144A), 8.25%, due 06/07/21 (1) | 212,875 | |||||
|
| |||||||
Total India (Cost: $343,487) | 361,898 | |||||||
|
| |||||||
Indonesia (Cost: $200,000) (0.5%) | ||||||||
200,000 | Perusahaan Penerbit SBSN, (144A), 6.125%, due 03/15/19 (1) | 221,000 | ||||||
|
| |||||||
Israel (1.0%) | ||||||||
200,000 | Israel Electric Corp., Ltd., (144A), 5.625%, due 06/21/18 (1)(2) | 212,500 | ||||||
200,000 | Israel Electric Corp., Ltd., (144A), 6.875%, due 06/21/23 (1) | 222,000 | ||||||
|
| |||||||
Total Israel (Cost: $423,547) | 434,500 | |||||||
|
| |||||||
Mexico (4.6%) | ||||||||
200,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santand, (144A), 5.95%, due 01/30/24 (1)(3) | 208,250 | ||||||
250,000 | BBVA Bancomer S.A., (144A), 4.375%, due 04/10/24 (1) | 249,062 | ||||||
168,000 | BBVA Bancomer S.A., (144A), 6.75%, due 09/30/22 (1) | 187,740 | ||||||
300,000 | Cemex S.A.B. de C.V., (144A), 4.977%, due 10/15/18 (1)(3) | 316,500 | ||||||
200,000 | Cemex S.A.B. de C.V., (144A), 6.5%, due 12/10/19 (1) | 210,500 | ||||||
200,000 | Cemex S.A.B. de C.V., (Reg. S), 7.25%, due 01/15/21 (4) | 215,500 | ||||||
200,000 | Comision Federal de Electricidad, (144A), 4.875%, due 01/15/24 (1) | 207,000 | ||||||
200,000 | Credito Real S.A.B. de C.V., (144A), 7.5%, due 03/13/19 (1) | 211,000 | ||||||
200,000 | Offshore Drilling Holding S.A., (144A), 8.375%, due 09/20/20 (1) | 218,750 | ||||||
100,000 | Petroleos Mexicanos, 4.875%, due 01/18/24 | 104,250 | ||||||
|
| |||||||
Total Mexico (Cost: $2,054,438) | 2,128,552 | |||||||
|
| |||||||
Morocco (Cost: $187,984) (0.4%) | ||||||||
200,000 | OCP S.A., (144A), 6.875%, due 04/25/44 (1) | 201,520 | ||||||
|
| |||||||
Nigeria (Cost: $197,894) (0.4%) | ||||||||
200,000 | Zenith Bank PLC, (144A), 6.25%, due 04/22/19 (1) | 200,500 | ||||||
|
| |||||||
Pakistan (0.9%) | ||||||||
200,000 | Pakistan Government International Bond, (144A), 7.25%, due 04/15/19 (1) | 201,250 | ||||||
200,000 | Pakistan Government International Bond, (144A), 8.25%, due 04/15/24 (1) | 199,750 | ||||||
|
| |||||||
Total Pakistan (Cost: $399,000) | 401,000 | |||||||
|
|
See accompanying notes to financial statements.
20
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2014
Principal Amount | Fixed Income Securities | Value | ||||||
Panama (Cost: $198,020) (0.5%) | ||||||||
$ | 200,000 | Global Bank Corp., (144A), 4.75%, due 10/05/17 (1) | $ | 207,000 | ||||
|
| |||||||
Paraguay (0.7%) | ||||||||
150,000 | Banco Continental SAECA, (144A), 8.875%, due 10/15/17 (1) | 161,250 | ||||||
150,000 | Banco Regional SAECA, (144A), 8.125%, due 01/24/19 (1) | 161,438 | ||||||
|
| |||||||
Total Paraguay (Cost: $307,952) | 322,688 | |||||||
|
| |||||||
Russia (4.0%) | ||||||||
200,000 | Alfa Bank OJSC via Alfa Bond Issuance PLC, (144A), 7.5%, due 09/26/19 (1) | 197,000 | ||||||
100,000 | Gazprom Neft OAO via GPN Capital SA, (144A), 6%, due 11/27/23 (1) | 91,625 | ||||||
200,000 | Gazprom OAO via Gaz Capital SA, (Reg. S), 6.51%, due 03/07/22 (4) | 199,000 | ||||||
100,000 | Mobile Telesystems OJSC via MTS International Funding, Ltd., (Reg. S), 8.625%, due 06/22/20 (4) | 113,750 | ||||||
480,000 | Sberbank of Russia via SB Capital S.A., (144A), 5.25%, due 05/23/23 (1) | 415,200 | ||||||
200,000 | Sberbank of Russia via SB Capital S.A., (144A), 5.5%, due 02/26/24 (1)(3) | 176,500 | ||||||
200,000 | Vnesheconombank via VEB Finance PLC, (144A), 4.224%, due 11/21/18 (1) | 183,500 | ||||||
200,000 | Vnesheconombank via VEB Finance PLC, (Reg. S), 5.942%, due 11/21/23 (4) | 179,500 | ||||||
280,000 | VTB Bank OJSC via VTB Eurasia, Ltd., (144A), 9.5%, due 12/31/49 (1)(3)(5) | 273,700 | ||||||
|
| |||||||
Total Russia (Cost: $1,964,278) | 1,829,775 | |||||||
|
| |||||||
Saudi Arabia (Cost: $203,499) (0.4%) | ||||||||
200,000 | Saudi Electricity Global Sukuk Co. 3, (144A), 5.5%, due 04/08/44 (1) | 205,000 | ||||||
|
| |||||||
Serbia (0.9%) | ||||||||
200,000 | Republic of Serbia, (144A), 5.875%, due 12/03/18 (1) | 211,000 | ||||||
200,000 | Republic of Serbia, (Reg. S), 4.875%, due 02/25/20 (4) | 198,750 | ||||||
|
| |||||||
Total Serbia (Cost: $387,849) | 409,750 | |||||||
|
| |||||||
Slovenia (0.9%) | ||||||||
200,000 | Slovenia Government International Bond, (144A), 5.25%, due 02/18/24 (1) | 208,500 | ||||||
200,000 | Slovenia Government International Bond, (144A), 5.5%, due 10/26/22 (1) | 213,750 | ||||||
|
| |||||||
Total Slovenia (Cost: $395,005) | 422,250 | |||||||
|
| |||||||
South Africa (Cost: $201,813) (0.5%) | ||||||||
200,000 | Myriad International Holdings BV, (144A), 6%, due 07/18/20 (1)(2) | 219,500 | ||||||
|
| |||||||
Turkey (1.9%) | ||||||||
200,000 | Hazine Mustesarligi Varlik Kiralama A.S., (144A), 4.557%, due 10/10/18 (1) | 208,000 | ||||||
400,000 | Turkey Government International Bond, 5.75%, due 03/22/24 | 430,000 | ||||||
200,000 | Turkey Government International Bond, 6.625%, due 02/17/45 | 225,250 | ||||||
|
| |||||||
Total Turkey (Cost: $814,410) | 863,250 | |||||||
|
| |||||||
Ukraine (1.5%) | ||||||||
100,000 | National JSC Naftogaz of Ukraine, 9.5%, due 09/30/14 | 91,000 | ||||||
200,000 | Ukraine Government International Bond, (Reg. S), 6.58%, due 11/21/16 (4) | 171,500 | ||||||
100,000 | Ukraine Government International Bond, (Reg. S), 6.875%, due 09/23/15 (4) | 91,000 |
See accompanying notes to financial statements.
21
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Ukraine (Continued) | ||||||||
$ | 200,000 | Ukraine Government International Bond, (Reg. S), 7.75%, due 09/23/20 (4) | $ | 170,500 | ||||
200,000 | Ukraine Government International Bond, (Reg. S), 7.8%, due 11/28/22 (4) | 169,250 | ||||||
|
| |||||||
Total Ukraine (Cost: $722,806) | 693,250 | |||||||
|
| |||||||
Venezuela (2.6%) | ||||||||
200,000 | Petroleos de Venezuela S.A., 4.9%, due 10/28/14 | 194,300 | ||||||
300,000 | Petroleos de Venezuela S.A., (Reg. S), 5.375%, due 04/12/27 (4) | 178,500 | ||||||
300,000 | Venezuela Government International Bond, 9.25%, due 09/15/27 | 251,550 | ||||||
150,000 | Venezuela Government International Bond, (Reg. S), 5.75%, due 02/26/16 (2)(4) | 138,450 | ||||||
100,000 | Venezuela Government International Bond, (Reg. S), 7.75%, due 10/13/19 (4) | 82,750 | ||||||
350,000 | Venezuela Government International Bond, (Reg. S), 8.25%, due 10/13/24 (4) | 274,750 | ||||||
100,000 | Venezuela Government International Bond, (Reg. S), 9%, due 05/07/23 (4) | 83,500 | ||||||
|
| |||||||
Total Venezuela (Cost: $1,164,087) | 1,203,800 | |||||||
|
| |||||||
Zambia (Cost: $198,348) (0.5%) | ||||||||
200,000 | Zambia Government International Bond, (144A), 8.5%, due 04/14/24 (1) | 210,005 | ||||||
|
| |||||||
Total Fixed Income Securities (Cost: $15,421,734) (34.3%) | 15,737,665 | |||||||
|
| |||||||
Number of Shares | Preferred Stock | |||||||
Brazil (2.2%) | ||||||||
65,000 | Lojas Americanas S.A., 0.55% | 491,219 | ||||||
31,500 | Itau Unibanco Holding S.A., 4.07% (ADR) | 515,340 | ||||||
|
| |||||||
Total Brazil (Cost: $893,464) | 1,006,559 | |||||||
|
| |||||||
India (Cost: $33,300) (0.1%) | ||||||||
2,702,700 | Zee Entertainment Enterprises, Ltd., 6% | 34,503 | ||||||
|
| |||||||
Total Preferred Stock (Cost: $926,764) (2.3%) | 1,041,062 | |||||||
|
| |||||||
Common Stock | ||||||||
Argentina (Cost: $339,925) (0.8%) | ||||||||
12,010 | YPF S.A. (SP ADR) | 341,805 | ||||||
|
| |||||||
Australia (1.6%) | ||||||||
6,250 | BHP Billiton, Ltd. (SP ADR) | 440,875 | ||||||
36,100 | Oil Search, Ltd. | 298,300 | ||||||
|
| |||||||
Total Australia (Cost: $729,031) | 739,175 | |||||||
|
| |||||||
Brazil (2.6%) | ||||||||
103,900 | BM&FBOVESPA S.A. | 529,972 | ||||||
20,500 | CCR S.A. | 160,059 | ||||||
35,600 | Petroleo Brasileiro S.A. (ADR) | 494,128 | ||||||
|
| |||||||
Total Brazil (Cost: $1,082,506) | 1,184,159 | |||||||
|
|
See accompanying notes to financial statements.
22
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2014
Number of Shares | Common Stock | Value | ||||||
China (11.6%) | ||||||||
102,900 | AIA Group, Ltd. | $ | 500,470 | |||||
315,700 | Anton Oilfield Services Group | 209,656 | ||||||
3,545 | Baidu, Inc. (SP ADR) (6) | 545,398 | ||||||
718,000 | Bank of China, Ltd. — Class H | 317,281 | ||||||
34,476 | Biostime International Holdings, Ltd. | 229,337 | ||||||
440,000 | China Construction Bank Corp. — Class H | 304,648 | ||||||
298,800 | China Longyuan Power Group, Corp. — Class H | 307,382 | ||||||
139,179 | Dawnrays Pharmaceutical Holdings, Ltd. | 104,759 | ||||||
37,085 | Galaxy Entertainment Group, Ltd. (6) | 293,000 | ||||||
883,300 | GCL-Poly Energy Holdings, Ltd. — Class P (6) | 265,321 | ||||||
22,060 | Hollysys Automation Technologies, Ltd. (6) | 472,305 | ||||||
515,000 | Industrial & Commercial Bank of China, Ltd. — Class H | 307,059 | ||||||
8,605 | Melco Crown Entertainment, Ltd. (ADR) (6) | 294,119 | ||||||
605 | PetroChina Co., Ltd. (ADR) | 69,769 | ||||||
169,894 | PetroChina Company, Ltd. — Class H | 195,585 | ||||||
128,700 | Sihuan Pharmaceutical Holdings Group, Ltd. | 141,256 | ||||||
12,405 | Tencent Holdings, Ltd. | 781,351 | ||||||
|
| |||||||
Total China (Cost: $5,376,333) | 5,338,696 | |||||||
|
| |||||||
Egypt (Cost: $566,427) (1.4%) | ||||||||
123,450 | Commercial International Bank Egypt SAE | 658,642 | ||||||
|
| |||||||
India (5.4%) | ||||||||
6,700 | Axis Bank, Ltd. | 169,370 | ||||||
10,100 | Divi’s Laboratories, Ltd. | 231,098 | ||||||
7,400 | ICICI Bank, Ltd. | 153,383 | ||||||
25,800 | Lupin, Ltd. | 424,782 | ||||||
62,000 | Motherson Sumi Systems, Ltd. | 262,426 | ||||||
29,000 | Oil & Natural Gas Corp., Ltd. | 157,217 | ||||||
7,100 | State Bank of India | 245,338 | ||||||
26,300 | Sun Pharmaceutical Industries, Ltd. | 277,684 | ||||||
128,700 | Zee Entertainment Enterprises, Ltd. | 561,521 | ||||||
|
| |||||||
Total India (Cost: $2,248,705) | 2,482,819 | |||||||
|
| |||||||
Indonesia (Cost: $645,355) (1.5%) | ||||||||
5,271,500 | Kalbe Farma Tbk PT | 706,018 | ||||||
|
| |||||||
Iraq (Cost: $443,728) (1.0%) | ||||||||
28,084 | Genel Energy PLC (6) | 459,872 | ||||||
|
| |||||||
Japan (1.0%) | ||||||||
1,345 | FANUC Corp. | 242,888 | ||||||
24,447 | Minebea Co., Ltd. | 198,283 | ||||||
|
| |||||||
Total Japan (Cost: $453,474) | 441,171 | |||||||
|
| |||||||
Kenya (Cost: $269,385) (0.8%) | ||||||||
2,490,000 | Safari.com, Ltd. | 375,160 | ||||||
|
|
See accompanying notes to financial statements.
23
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Mexico (3.4%) | ||||||||
90,810 | Alsea S.A.B. de C.V. | $ | 313,939 | |||||
44,096 | Cemex S.A.B. de C.V. (SP ADR) (6) | 557,374 | ||||||
79,600 | Corp. Inmobiliaria Vesta S.A.B. de C.V. | 161,766 | ||||||
2,470 | Fomento Economico Mexicano S.A.B. de C.V. (SP ADR) | 224,202 | ||||||
137,750 | Grupo Lala S.A.B. de C.V. | 319,933 | ||||||
|
| |||||||
Total Mexico (Cost: $1,500,157) | 1,577,214 | |||||||
|
| |||||||
Nigeria (Cost: $366,277) (0.8%) | ||||||||
140,300 | Afren PLC (6) | 372,701 | ||||||
|
| |||||||
Panama (Cost: $240,880) (0.5%) | ||||||||
1,550 | Copa Holdings S.A. | 209,684 | ||||||
|
| |||||||
Peru (Cost: $227,487) (0.6%) | ||||||||
1,740 | Credicorp, Ltd. | 259,695 | ||||||
|
| |||||||
Philippines (Cost: $293,882) (0.6%) | ||||||||
16,660 | SM Investments Corp. | 271,580 | ||||||
|
| |||||||
Qatar (Cost: $286,556) (0.6%) | ||||||||
5,600 | Qatar National Bank | 292,287 | ||||||
|
| |||||||
Russia (3.5%) | ||||||||
8,510 | Eurasia Drilling Co., Ltd (GDR) | 209,771 | ||||||
6,500 | Gazprom Neft OAO (SP ADR) | 129,361 | ||||||
4,150 | Lukoil OAO (SP ADR) | 219,699 | ||||||
78,000 | Moscow Exchange MICEX-RTS OAO | 115,639 | ||||||
3,000 | NOVATEK OAO (GDR) | 310,173 | ||||||
21,875 | Sberbank of Russia (SP ADR) | 184,277 | ||||||
292,774 | United Co. RUSAL PLC (6) | 128,352 | ||||||
12,175 | Yandex N.V. (6) | 322,637 | ||||||
|
| |||||||
Total Russia (Cost: $1,860,646) | 1,619,909 | |||||||
|
| |||||||
Saudi Arabia (2.8%) | ||||||||
8,250 | Astra Industries | 135,387 | ||||||
7,670 | Fawaz Abdulaziz Alhokair | 392,024 | ||||||
39,980 | Samba Financial Group | 431,982 | ||||||
7,745 | Saudi Airlines Catering Co. | 338,154 | ||||||
|
| |||||||
Total Saudi Arabia (Cost: $1,111,396) | 1,297,547 | |||||||
|
| |||||||
South Africa (3.3%) | ||||||||
11,460 | Aspen Pharmacare Holdings, Ltd. | 305,139 | ||||||
13,288 | Brait SE (6) | 71,505 | ||||||
24,230 | MTN Group, Ltd. | 485,606 | ||||||
4,100 | Naspers, Ltd. — N Shares (6) | 387,055 | ||||||
4,600 | Sasol, Ltd. | 257,543 | ||||||
|
| |||||||
Total South Africa (Cost: $1,473,490) | 1,506,848 | |||||||
|
|
See accompanying notes to financial statements.
24
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2014
Number of Shares | Common Stock | Value | ||||||
South Korea (5.7%) | ||||||||
2,300 | Hankook Tire Co., Ltd. | $ | 133,441 | |||||
1,860 | Hyundai Mobis | 531,371 | ||||||
18,380 | KB Financial Group, Inc. | 628,758 | ||||||
4,300 | Paradise Co., Ltd. | 160,190 | ||||||
490 | Samsung Electronics Co., Ltd. | 638,940 | ||||||
12,330 | Shinhan Financial Group Co., Ltd. | 538,185 | ||||||
|
| |||||||
Total South Korea (Cost: $2,472,006) | 2,630,885 | |||||||
|
| |||||||
Taiwan (7.2%) | ||||||||
28,400 | Advantech Co., Ltd. | 183,943 | ||||||
69,250 | Airtac International Group | 744,821 | ||||||
325,877 | Cathay Financial Holding Co., Ltd. | 460,785 | ||||||
9,800 | Ginko International Co., Ltd. | 164,912 | ||||||
6,000 | Hermes Microvision, Inc. | 249,216 | ||||||
22,550 | Himax Technologies, Inc. (ADR) | 196,636 | ||||||
45,000 | Hiwin Technologies Corp. | 428,604 | ||||||
216,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 848,741 | ||||||
|
| |||||||
Total Taiwan (Cost: $3,063,758) | 3,277,658 | |||||||
|
| |||||||
Turkey (Cost: $304,896) (0.8%) | ||||||||
93,500 | Turkiye Garanti Bankasi A.S. | 343,474 | ||||||
|
| |||||||
United Arab Emirates (Cost: $282,250) (0.5%) | ||||||||
690,500 | Air Arabia PJSC | 248,917 | ||||||
|
| |||||||
United States (Cost: $322,822) (0.7%) | ||||||||
4,860 | IPG Photonics Corp. (6) | 314,102 | ||||||
|
| |||||||
Total Common Stocks (Cost: $25,961,372) (58.7%) | 26,950,018 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $787,334) (1.7%) | ||||||||
$ | 787,334 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $860,000 Federal National Mortgage Association, 2.17%, due 10/17/22 valued at $807,457) (Total Amount to be Received Upon Repurchase $787,334) | 787,334 | |||||
|
| |||||||
Total Investments (Cost: $43,097,204) (97.0%) | 44,516,079 | |||||||
Excess of Other Assets over Liabilities (3.0%) | 1,357,212 | |||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 45,873,291 | ||||||
|
|
See accompanying notes to financial statements.
25
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Forward Currency Contracts
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized (Depreciation) | ||||||||||||||||
SELL (7) | ||||||||||||||||||||||
Bank of America | AUD | 222,759 | 05/21/14 | $ | 200,000 | $ | 206,128 | $ | (6,128 | ) | ||||||||||||
Bank of America | EUR | 146,191 | 01/28/15 | 200,000 | 202,652 | (2,652 | ) | |||||||||||||||
Bank of America | TRY | 298,181 | 08/19/14 | 130,000 | 137,016 | (7,016 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 530,000 | $ | 545,796 | $ | (15,796 | ) | ||||||||||||||||
|
|
|
|
|
|
Cross Currency Forwards
Counterparty | Contracts to Deliver/ Units of Currency | Settlement Date | Contracts to Receive/ Units of Currency | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Bank of America | TRY | 250,000 | 05/13/14 | BRL | 285,000 | $ | 9,467 | |||||||||||||||||
Bank of America | BRL | 285,000 | 05/13/14 | TRY | 249,453 | (9,725 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | (258 | ) | ||||||||||||||||||||||
|
|
Notes to the Schedule of Investments:
AUD - Australian | Dollar. |
BRL - Brazilian | Real. |
COP - Colombian | Peso. |
EUR - Euro | Currency. |
INR - Indian | Rupee. |
TRY - New | Turkish Lira. |
ADR - American | Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. |
GDR - Global | Depositary Receipt. A negotiable certificate held in the bank of one country representing a specific number of shares of a stock traded on an exchange of another country. |
OJSC - Open | Joint-Stock Company. |
PJSC - Private | Joint-Stock Company. |
SP ADR - Sponsored | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2014, the value of these securities amounted to $10,594,984 or 23.1% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | All or a portion of this security is segregated to cover when-issued, delayed-delivery or forward commitments. (Note 2) |
(3) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2014. |
(4) | Investments issued under Regulation S of the Securities Act of 1933, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2014, the value of these securities amounted to $2,266,700 or 4.9% of net assets. |
(5) | Perpetual Maturity. |
(6) | Non-income producing security. |
(7) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
26
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Airlines | 1.5 | % | ||
Auto Parts & Equipment | 2.0 | |||
Banks | 15.8 | |||
Beverages | 0.5 | |||
Building Materials | 2.8 | |||
Chemicals | 1.0 | |||
Commercial Services | 0.4 | |||
Computers | 0.4 | |||
Diversified Financial Services | 5.1 | |||
Electric | 2.6 | |||
Electrical Components & Equipment | 0.5 | |||
Electronics | 0.4 | |||
Energy-Alternate Sources | 1.2 | |||
Engineering & Construction | 0.4 | |||
Entertainment | 0.4 | |||
Food | 0.7 | |||
Food Service | 0.7 | |||
Foreign Government Bonds | 13.3 | |||
Healthcare-Products | 1.0 | |||
Household Products/Wares | 0.5 | |||
Insurance | 2.1 | |||
Internet | 4.0 | |||
Investment Companies | 0.6 | |||
Lodging | 1.3 | |||
Machinery-Diversified | 1.6 | |||
Media | 2.7 | |||
Mining | 1.7 | |||
Miscellaneous Manufacturers | 2.9 | |||
Municipal Bonds | 0.4 | |||
Oil & Gas | 10.8 | |||
Oil & Gas Services | 0.9 | |||
Pharmaceuticals | 4.1 | |||
Real Estate | 1.6 | |||
Retail | 2.4 | |||
Semiconductors | 3.7 | |||
Telecommunications | 2.8 | |||
Transportation | 0.5 | |||
Short-Term Investments | 1.7 | |||
|
| |||
Total | 97.0 | % | ||
|
|
See accompanying notes to financial statements.
27
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Country (Unaudited) | April 30, 2014 |
Country | Percentage of Net Assets | |||
Argentina | 1.4 | % | ||
Australia | 1.5 | |||
Brazil | 7.4 | |||
Chile | 1.6 | |||
China | 12.5 | |||
Colombia | 2.2 | |||
Croatia | 0.7 | |||
Dominican Republic | 0.5 | |||
Egypt | 1.4 | |||
El Salvador | 0.4 | |||
Guatemala | 0.6 | |||
Hungary | 1.2 | |||
India | 6.2 | |||
Indonesia | 2.1 | |||
Iraq | 1.0 | |||
Israel | 1.0 | |||
Japan | 0.9 | |||
Kenya | 0.8 | |||
Mexico | 8.0 | |||
Morocco | 0.4 | |||
Nigeria | 1.2 | |||
Pakistan | 0.8 | |||
Panama | 0.9 | |||
Paraguay | 0.8 | |||
Peru | 0.6 | |||
Philippines | 0.6 | |||
Qatar | 0.6 | |||
Russia | 7.5 | |||
Saudi Arabia | 3.2 | |||
Serbia | 0.9 | |||
Slovenia | 1.0 | |||
South Africa | 4.0 | |||
South Korea | 5.8 | |||
Taiwan | 7.1 | |||
Turkey | 2.6 | |||
Ukraine | 1.6 | |||
United Arab Emirates | 0.5 | |||
United States | 2.4 | |||
Venezuela | 2.6 | |||
Zambia | 0.5 | |||
|
| |||
Total | 97.0 | % | ||
|
|
See accompanying notes to financial statements.
28
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2014 |
Number of Shares | Common Stock | Value | ||||||
Argentina (Cost: $26,460) (1.1% of Net Assets) | ||||||||
1,000 | YPF S.A. (SP ADR) | $ | 28,460 | |||||
|
| |||||||
Australia (Cost: $29,077) (1.3%) | ||||||||
1,600 | Caltex Australia, Ltd. | 33,126 | ||||||
|
| |||||||
Brazil (7.1%) | ||||||||
2,500 | BB Seguridade Participacoes SA | 29,229 | ||||||
6,000 | BM&FBOVESPA S.A. | 30,605 | ||||||
3,000 | BR Properties S.A. | 23,907 | ||||||
2,500 | CETIP S.A. — Mercados Organizados | 31,779 | ||||||
2,000 | Cielo S.A. | 35,347 | ||||||
1,300 | Kroton Educacional S.A. (1) | 27,780 | ||||||
|
| |||||||
Total Brazil (Cost: $146,388) | 178,647 | |||||||
|
| |||||||
Canada (10.7%) | ||||||||
1,000 | Alaris Royalty Corp. | 24,375 | ||||||
11,000 | B2Gold Corp. (1) | 31,790 | ||||||
3,500 | Eldorado Gold Corp. | 21,350 | ||||||
1,000 | Franco-Nevada Corp. | 48,170 | ||||||
1,000 | Goldcorp, Inc. | 24,720 | ||||||
1,500 | Silver Wheaton Corp. | 33,300 | ||||||
700 | Suncor Energy, Inc. | 27,020 | ||||||
7,000 | Turquoise Hill Resources, Ltd. (1) | 27,300 | ||||||
1,500 | Yellow Media, Ltd. (1) | 31,450 | ||||||
|
| |||||||
Total Canada (Cost: $266,849) | 269,475 | |||||||
|
| |||||||
China (6.3%) | ||||||||
30,000 | Fosun International, Ltd. | 36,334 | ||||||
18,000 | Li & Fung, Ltd. | 26,201 | ||||||
1,000 | New Oriental Education & Technology Group (SP ADR) | 24,200 | ||||||
1,500 | Noah Holdings, Ltd. (ADR) (1) | 20,190 | ||||||
35,000 | SOHO China, Ltd. | 27,753 | ||||||
30,000 | Travelsky Technology, Ltd. Class H | 22,882 | ||||||
|
| |||||||
Total China (Cost: $155,719) | 157,560 | |||||||
|
| |||||||
Denmark (2.1%) | ||||||||
600 | Chr. Hansen Holding A/S | 27,035 | ||||||
400 | Pandora A/S | 26,949 | ||||||
|
| |||||||
Total Denmark (Cost: $46,600) | 53,984 | |||||||
|
| |||||||
India (21.3%) | ||||||||
1,200 | Axis Bank, Ltd. | 30,335 | ||||||
2,600 | Bank of Baroda | 35,314 | ||||||
9,000 | Bharat Heavy Electricals, Ltd. | 27,075 | ||||||
4,000 | Bharat Petroleum Corp., Ltd. | 30,199 | ||||||
5,000 | Bharti Airtel, Ltd. | 27,224 |
See accompanying notes to financial statements.
29
Table of Contents
TCW International Growth Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
India (Continued) | ||||||||
5,000 | Cairn India, Ltd. | $ | 27,797 | |||||
5,000 | Coal India, Ltd. | 24,492 | ||||||
1,800 | Container Corp. of India | 28,712 | ||||||
4,000 | GAIL India, Ltd. | 24,561 | ||||||
2,000 | Housing Development Finance Corp. | 29,887 | ||||||
1,500 | Larsen & Toubro, Ltd. | 32,345 | ||||||
7,000 | Motherson Sumi Systems, Ltd. | 29,629 | ||||||
40,000 | National Aluminium Co., Ltd. | 25,344 | ||||||
12,000 | NMDC, Ltd. | 29,985 | ||||||
10,000 | Power Finance Corp., Ltd. | 30,715 | ||||||
1,048 | Punjab National Bank | 13,622 | ||||||
7,000 | Rural Electrification Corp., Ltd. | 27,569 | ||||||
1,000 | State Bank of India | 34,555 | ||||||
6,000 | Zee Entertainment Enterprises, Ltd. | 26,178 | ||||||
|
| |||||||
Total India (Cost: $498,259) | 535,538 | |||||||
|
| |||||||
Indonesia (2.2%) | ||||||||
60,000 | Perusahaan Gas Negara (Persero) Tbk PT | 27,711 | ||||||
15,000 | United Tractors Tbk PT | 28,202 | ||||||
|
| |||||||
Total Indonesia (Cost: $55,392) | 55,913 | |||||||
|
| |||||||
Iraq (Cost: $26,367) (1.3%) | ||||||||
2,000 | Genel Energy PLC (1) | 32,750 | ||||||
|
| |||||||
Italy (Cost: $24,969) (1.0%) | ||||||||
800 | Azimut Holding SpA | 24,960 | ||||||
|
| |||||||
Japan (19.9%) | ||||||||
1,500 | Broadleaf Co., Ltd. | 24,067 | ||||||
800 | CyberAgent, Inc. | 33,056 | ||||||
300 | Daito Trust Construction Co., Ltd. | 30,554 | ||||||
3,000 | Daiwa Securities Group, Inc. | 22,514 | ||||||
1,500 | F@N Communications, Inc. | 25,257 | ||||||
2,000 | GMO internet, Inc. | 17,684 | ||||||
700 | GMO Payment Gateway, Inc. | 21,961 | ||||||
500 | Hikari Tsushin, Inc. | 42,186 | ||||||
2,000 | Hulic Co., Ltd. | 24,143 | ||||||
8,000 | Ichigo Group Holdings Co., Ltd. | 23,742 | ||||||
1,500 | Infomart Corp. | 23,781 | ||||||
1,000 | Mitsui Fudosan Co., Ltd. | 29,626 | ||||||
3,000 | NTT Urban Development Corp. | 26,408 | ||||||
2,000 | ORIX Corp. (1) | 29,004 | ||||||
1,500 | Park24 Co., Ltd. | 27,442 | �� | |||||
2,000 | SBI Holdings, Inc. | 22,891 | ||||||
6,000 | Sumitomo Mitsui Trust Holdings, Inc. | 24,745 | ||||||
700 | Sumitomo Realty & Development Co., Ltd. | 27,182 |
See accompanying notes to financial statements.
30
Table of Contents
TCW International Growth Fund
April 30, 2014
Number of Shares | Common Stock | Value | ||||||
Japan (Continued) | ||||||||
3,000 | Tokyo Tatemono Co., Ltd. | $ | 23,944 | |||||
|
| |||||||
Total Japan (Cost: $497,219) | 500,187 | |||||||
|
| |||||||
Jersey (Cost: $30,475) (1.6%) | ||||||||
500 | Randgold Resources, Ltd. (ADR) | 40,035 | ||||||
|
| |||||||
Mexico (2.5%) | ||||||||
2,500 | Fresnillo PLC | 36,053 | ||||||
10,000 | OHL Mexico S.A.B. de C.V. (1) | 26,587 | ||||||
|
| |||||||
Total Mexico (Cost: $52,379) | 62,640 | |||||||
|
| |||||||
Norway (Cost: $25,236) (1.1%) | ||||||||
5,000 | Norsk Hydro ASA | 26,763 | ||||||
|
| |||||||
Papua New Guinea (Cost: $25,631) (1.2%) | ||||||||
3,500 | Oil Search, Ltd. | 28,921 | ||||||
|
| |||||||
Philippines (2.1%) | ||||||||
2,000 | Ayala Corp. | 28,056 | ||||||
10,000 | International Container Terminal Services, Inc. | 24,298 | ||||||
|
| |||||||
Total Philippines (Cost: $51,388) | 52,354 | |||||||
|
| |||||||
Portugal (Cost: $20,280) (1.1%) | ||||||||
15,000 | Banco Espirito Santo S.A. (1) | 26,573 | ||||||
|
| |||||||
South Africa (Cost: $25,914) (1.3%) | ||||||||
3,500 | Coronation Fund Managers, Ltd. | 33,764 | ||||||
|
| |||||||
South Korea (2.1%) | ||||||||
2,000 | Interpark Corp. | 22,448 | ||||||
800 | SK Hynix, Inc. (1) | 31,195 | ||||||
|
| |||||||
Total South Korea (Cost: $52,920) | 53,643 | |||||||
|
| |||||||
Spain (Cost: $26,362) (1.2%) | ||||||||
700 | Bolsas y Mercados Espanoles S.A. | 30,478 | ||||||
|
| |||||||
Taiwan (Cost: $27,945) (1.2%) | ||||||||
1,500 | Taiwan Semiconductor Manufacturing Co., Ltd. (SP ADR) | 30,150 | ||||||
|
| |||||||
Thailand (Cost: $29,696) (1.2%) | ||||||||
5,000 | Kasikornbank PCL Class C | 29,661 | ||||||
|
| |||||||
Turkey (Cost: $24,832) (1.2%) | ||||||||
8,000 | Turkiye Garanti Bankasi A.S. | 29,388 | ||||||
|
| |||||||
United Kingdom (2.9%) | ||||||||
6,000 | Optimal Payments PLC (1) | 38,372 | ||||||
3,000 | Playtech, Ltd. | 33,863 | ||||||
|
| |||||||
Total United Kingdom (Cost: $43,777) | 72,235 | |||||||
|
|
See accompanying notes to financial statements.
31
Table of Contents
TCW International Growth Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
United States (3.9%) | ||||||||
500 | Royal Gold, Inc. | $ | 33,100 | |||||
10,000 | Samsonite International S.A. | 31,839 | ||||||
1,500 | Tahoe Resources, Inc. (1) | 33,336 | ||||||
|
| |||||||
Total United States (Cost: $76,225) | 98,275 | |||||||
|
| |||||||
Total Common Stock (Cost: $2,286,359) (98.9%) | 2,485,480 | |||||||
|
| |||||||
Preferred Stock | ||||||||
India (Cost: $1,533) (0.1%) | ||||||||
168,000 | Zee Entertainment Enterprises, Ltd., 6% | 2,145 | ||||||
|
| |||||||
Total Preferred Stock (Cost: $1,533) (0.1%) | 2,145 | |||||||
|
| |||||||
Rights | ||||||||
China (Cost: $0) (0.0%) | ||||||||
2,340 | Fosun International, Ltd., Strike Price HKD 9.76, Expires 05/13/14 (1) | 12 | ||||||
|
| |||||||
Total Rights (Cost: $0) (0.0%) | 12 | |||||||
|
| |||||||
Warrants | ||||||||
Greece (Cost: $27,074) (1.3%) | ||||||||
14,000 | Alpha Bank AE, Strike Price EUR 0.45, Expires 12/10/17 (1) | 32,806 | ||||||
|
| |||||||
Sri Lanka (0.0%) | ||||||||
769 | John Keells Holdings PLC, Strike Price LKR 185, Expires 11/12/15 (1) | 392 | ||||||
769 | John Keells Holdings PLC, Strike Price LKR 195, Expires 11/11/16 (1) | 424 | ||||||
|
| |||||||
Total Sri Lanka (Cost: $0) | 816 | |||||||
|
| |||||||
Total Warrants (Cost: $27,074) (1.3%) | 33,622 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $16,289) (0.7%) | ||||||||
$ | 16,289 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $20,000 Federal National Mortgage Association, 2.17%, due 10/17/22 valued at $18,778) (Total Amount to be Received Upon Repurchase $16,289) | 16,289 | |||||
|
| |||||||
Total Investments (Cost: $2,331,255) (101.0%) | 2,537,548 | |||||||
Liabilities in Excess of Other Assets (-1.0%) | (24,787 | ) | ||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 2,512,761 | ||||||
|
|
See accompanying notes to financial statements.
32
Table of Contents
TCW International Growth Fund
April 30, 2014
Notes to the Schedule of Investments:
EUR - Euro | Currency. |
HKD - Hong | Kong Dollar. |
LKR - Sri | Lankan Rupee. |
ADR - American | Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. |
SP ADR - Sponsored | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
(1) | Non-income producing security. |
See accompanying notes to financial statements.
33
Table of Contents
TCW International Growth Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Air Freight & Logistics | 1.1 | % | ||
Auto Components | 1.2 | |||
Banks | 10.3 | |||
Capital Markets | 9.2 | |||
Chemicals | 1.1 | |||
Commercial Services & Supplies | 1.1 | |||
Construction & Engineering | 1.3 | |||
Consumer Finance | 1.2 | |||
Diversified Consumer Services | 2.1 | |||
Diversified Financial Services | 5.8 | |||
Electrical Equipment | 1.1 | |||
Gas Utilities | 2.1 | |||
Industrial Conglomerates | 0.0 | * | ||
Insurance | 1.2 | |||
Internet & Catalog Retail | 0.9 | |||
Internet Software & Services | 2.6 | |||
IT Services | 4.7 | |||
Machinery | 1.1 | |||
Media | 3.7 | |||
Metals & Mining | 17.7 | |||
Oil, Gas & Consumable Fuels | 8.2 | |||
Real Estate Management & Development | 7.3 | |||
Road & Rail | 1.1 | |||
Semiconductors & Semiconductor Equipment | 2.4 | |||
Software | 2.4 | |||
Specialty Retail | 1.7 | |||
Textiles, Apparel & Luxury Goods | 3.3 | |||
Thrifts & Mortgage Finance | 1.2 | |||
Transportation Infrastructure | 2.1 | |||
Wireless Telecommunication Services | 1.1 | |||
Short-Term Investments | 0.7 | |||
|
| |||
Total | 101.0 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
34
Table of Contents
TCW International Small Cap Fund
Schedule of Investments (Unaudited) | April 30, 2014 |
Number of Shares | Common Stock | Value | ||||||
Australia (2.0% of Net Assets) | ||||||||
500,000 | Mint Wireless, Ltd. (1) | $ | 138,983 | |||||
125,000 | Western Areas, Ltd. | 481,230 | ||||||
|
| |||||||
Total Australia (Cost: $610,891) | 620,213 | |||||||
|
| |||||||
Brazil (2.9%) | ||||||||
40,000 | BR Properties S.A. (1) | 318,755 | ||||||
45,000 | CETIP S.A. — Mercados Organizados | 572,026 | ||||||
|
| |||||||
Total Brazil (Cost: $867,733) | 890,781 | |||||||
|
| |||||||
Burkina Faso (Cost: $211,756) (0.9%) | ||||||||
75,000 | SEMAFO, Inc. | 280,195 | ||||||
|
| |||||||
Canada (18.4%) | ||||||||
4,000,000 | Africa Hydrocarbons, Inc. (1)(2) | 546,722 | ||||||
19,900 | Augusta Resource Corp. (1) | 56,516 | ||||||
175,000 | B2Gold Corp. (1) | 502,301 | ||||||
175,000 | Capstone Mining Corp. (1) | 460,841 | ||||||
100,000 | Centerra Gold, Inc. | 512,096 | ||||||
500,000 | DualEx Energy International, Inc. (1)(2) | 111,622 | ||||||
350,000 | Electrovaya, Inc. (1)(2) | 315,732 | ||||||
4,750,000 | Ivernia, Inc. (1)(2) | 562,668 | ||||||
20,000 | MAG Silver Corp. (1) | 151,624 | ||||||
175,000 | Nevsun Resources, Ltd. (1) | 633,058 | ||||||
30,000 | Primero Mining Corp. (1) | 189,439 | ||||||
85,000 | Sandstorm Gold, Ltd. (1) | 476,850 | ||||||
600,000 | Teranga Gold Corp. (1) | 393,640 | ||||||
30,000 | Yellow Media, Ltd. (1) | 629,004 | ||||||
|
| |||||||
Total Canada (Cost: $5,846,147) | 5,542,113 | |||||||
|
| |||||||
China (4.6%) | ||||||||
50,000 | Bloomage Biotechnology Corp., Ltd. | 134,903 | ||||||
700,000 | Newocean Energy Holdings, Ltd. | 463,195 | ||||||
25,000 | Noah Holdings, Ltd. (ADR) (1) | 336,500 | ||||||
600,000 | Travelsky Technology, Ltd. — Class H | 457,642 | ||||||
|
| |||||||
Total China (Cost: $1,420,330) | 1,392,240 | |||||||
|
| |||||||
Germany (Cost: $316,536) (1.5%) | ||||||||
3,500 | XING AG | 448,173 | ||||||
|
| |||||||
India (23.7%) | ||||||||
50,000 | BEML, Ltd. | 320,698 | ||||||
550,000 | DCB Bank, Ltd. (1) | 553,811 | ||||||
140,000 | Engineers India, Ltd. | 530,320 | ||||||
350,000 | Finolex Cables, Ltd. | 799,231 | ||||||
200,000 | Indian Bank | 425,792 | ||||||
75,000 | Kajaria Ceramics, Ltd. | 557,386 |
See accompanying notes to financial statements.
35
Table of Contents
TCW International Small Cap Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
India (Continued) | ||||||||
70,000 | Multi Commodity Exchange of India, Ltd. | $ | 629,495 | |||||
750,000 | National Aluminium Co., Ltd. | 475,202 | ||||||
100,000 | Oriental Bank of Commerce | 411,612 | ||||||
200,000 | Petronet LNG, Ltd. | 478,629 | ||||||
150,000 | Power Finance Corp., Ltd. | 460,725 | ||||||
600,000 | PTC India, Ltd. | 662,762 | ||||||
20,952 | Punjab National Bank | 272,345 | ||||||
150,000 | Rural Electrification Corp., Ltd. | 590,774 | ||||||
|
| |||||||
Total India (Cost: $6,357,968) | 7,168,782 | |||||||
|
| |||||||
Israel (3.8%) | ||||||||
50,000 | Plus500, Ltd. | 486,389 | ||||||
300,000 | Sarin Technologies, Ltd. (2) | 662,192 | ||||||
|
| |||||||
Total Israel (Cost: $527,189) | 1,148,581 | |||||||
|
| |||||||
Japan (18.6%) | ||||||||
300,000 | Accretive Co., Ltd. (1) | 603,128 | ||||||
65,000 | Benefit One, Inc. (2) | 567,778 | ||||||
35,000 | Broadleaf Co., Ltd. | 561,564 | ||||||
12,000 | CyberAgent, Inc. | 495,844 | ||||||
25,000 | F@N Communications, Inc. | 420,953 | ||||||
12,000 | GMO Payment Gateway, Inc. | 376,470 | ||||||
175,000 | Ichigo Group Holdings Co., Ltd. (1) | 519,356 | ||||||
35,000 | Infomart Corp. | 554,889 | ||||||
125,000 | Kenedix, Inc. (1) | 432,434 | ||||||
30,000 | Next Co., Ltd. | 260,991 | ||||||
60,000 | Tokai Tokyo Financial Holdings, Inc. | 403,446 | ||||||
70,000 | Tosei Corp. | 423,860 | ||||||
|
| |||||||
Total Japan (Cost: $5,022,373) | 5,620,713 | |||||||
|
| |||||||
Norway (4.2%) | ||||||||
400,000 | Electromagnetic GeoServices (1) | 477,996 | ||||||
70,000 | Nordic Semiconductor ASA (1) | 391,954 | ||||||
50,000 | Spectrum ASA | 394,553 | ||||||
|
| |||||||
Total Norway (Cost: $1,247,944) | 1,264,503 | |||||||
|
| |||||||
South Africa (Cost: $289,977) (1.0%) | ||||||||
30,000 | Coronation Fund Managers, Ltd. | 289,403 | ||||||
|
| |||||||
South Korea (Cost: $447,019) (1.5%) | ||||||||
40,000 | Interpark Corp. | 448,968 | ||||||
|
| |||||||
Sweden (Cost: $582,261) (1.8%) | ||||||||
1,500,000 | TrustBuddy International AB | 538,600 | ||||||
|
|
See accompanying notes to financial statements.
36
Table of Contents
TCW International Small Cap Fund
April 30, 2014
Number of Shares | Common Stock | Value | ||||||
United Kingdom (9.3%) | ||||||||
600,000 | Amerisur Resources PLC (1) | $ | 585,083 | |||||
60,000 | blur Group PLC (1) | 248,217 | ||||||
300,000 | Centamin PLC (1) | 328,001 | ||||||
30,000 | Consort Medical PLC | 447,076 | ||||||
90,000 | Optimal Payments PLC (1) | 575,582 | ||||||
4,000,000 | Sable Mining Africa, Ltd. (1)(2) | 557,222 | ||||||
5,000 | WANdisco PLC (1) | 68,808 | ||||||
|
| |||||||
Total United Kingdom (Cost: $2,599,667) | 2,809,989 | |||||||
|
| |||||||
United States (Cost: $388,574) (1.5%) | ||||||||
20,000 | Tahoe Resources, Inc. (1) | 444,485 | ||||||
|
| |||||||
Total Common Stock (Cost: $26,736,365) (95.7%) | 28,907,739 | |||||||
|
| |||||||
Warrants | ||||||||
Sri Lanka (0.0%) | ||||||||
12,820 | John Keells Holdings PLC, Strike Price LKR 185, Expires 11/12/15 (1) | 6,536 | ||||||
12,820 | John Keells Holdings PLC, Strike Price LKR 195, Expires 11/11/16 (1) | 7,065 | ||||||
|
| |||||||
Total Sri Lanka (Cost: $0) | 13,601 | |||||||
|
| |||||||
Total Warrants (Cost: $0) (0.0%) | 13,601 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $441,339) (1.5%) | ||||||||
$ | 441,339 | State Street Bank & Trust Company, 0%, due 05/01/14 (collateralized by $485,000 Federal Home Loan Mortgage Corp., 2.08%, due 10/17/22 valued at $450,692) (Total Amount to be Received Upon Repurchase $441,339) | 441,339 | |||||
|
| |||||||
Total Investments (Cost: $27,177,704) (97.2%) | 29,362,679 | |||||||
|
| |||||||
Excess of Other Assets over Liabilities (2.8%) | 831,535 | |||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 30,194,214 | ||||||
|
|
Notes to the Schedule of Investments:
LKR - Sri Lankan Rupee.
ADR - American | Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. |
(1) | Non-income producing security. |
(2) | Illiquid security. |
See accompanying notes to financial statements.
37
Table of Contents
TCW International Small Cap Fund
Investments by Industry (Unaudited) | April 30, 2014 |
Industry | Percentage of Net Assets | |||
Banks | 5.5 | % | ||
Building Products | 1.8 | |||
Capital Markets | 7.0 | |||
Chemicals | 0.5 | |||
Construction & Engineering | 1.7 | |||
Consumer Finance | 1.8 | |||
Diversified Financial Services | 9.2 | |||
Electrical Equipment | 3.6 | |||
Energy Equipment & Services | 2.9 | |||
Health Care Equipment & Supplies | 1.5 | |||
Independent Power and Renewable Electricity Producers | 2.2 | |||
Industrial Conglomerates | 0.0 | * | ||
Internet & Catalog Retail | 1.5 | |||
Internet Software & Services | 5.5 | |||
IT Services | 4.7 | |||
Machinery | 3.3 | |||
Media | 4.6 | |||
Metals & Mining | 21.7 | |||
Oil, Gas & Consumable Fuels | 7.2 | |||
Professional Services | 1.9 | |||
Real Estate Management & Development | 3.8 | |||
Semiconductors & Semiconductor Equipment | 1.3 | |||
Software | 2.5 | |||
Short-Term Investments | 1.5 | |||
|
| |||
Total | 97.2 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
38
Table of Contents
TCW Funds, Inc.
April 30, 2014 |
TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Growth Fund | TCW International Small Cap Fund | ||||||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||||||
ASSETS | ||||||||||||||||||||
Investments, at Value (1) | $ | 5,017,417 | $ | 225,008 | $ | 44,516 | $ | 2,537 | $ | 29,363 | ||||||||||
Foreign Currency, at Value | 5,630 | (2) | 9 | (2) | 1 | (2) | — | (2)(3) | — | |||||||||||
Receivable for Securities Sold | 75,903 | 22,620 | 1,994 | 30 | 944 | |||||||||||||||
Receivable for Fund Shares Sold | 15,425 | 264 | — | — | 3 | |||||||||||||||
Interest and Dividends Receivable | 70,320 | 6,108 | 272 | 3 | 28 | |||||||||||||||
Foreign Tax Reclaims Receivable | — | — | 1 | — | (3) | 3 | ||||||||||||||
Receivable from Investment Advisor | — | 24 | 16 | 8 | 3 | |||||||||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | 15,143 | 2,506 | 9 | — | — | |||||||||||||||
Cash Collateral Held for Brokers | 7,430 | 1,470 | — | — | — | |||||||||||||||
Other Assets | 122 | 54 | 18 | — | (3) | 20 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 5,207,390 | 258,063 | 46,827 | 2,578 | 30,364 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES | ||||||||||||||||||||
Distributions Payable | 4,011 | — | — | — | — | |||||||||||||||
Payable for Securities Purchased | 36,307 | 18,672 | 852 | 27 | 33 | |||||||||||||||
Payable for When-Issued Securities | 20,854 | — | — | — | — | |||||||||||||||
Payable for Fund Shares Redeemed | 11,236 | 190 | — | — | 1 | |||||||||||||||
Accrued Capital Gain Withholding Taxes | — | 39 | 27 | 6 | 77 | |||||||||||||||
Disbursements in Excess of Available Cash | — | 1,920 | — | — | — | |||||||||||||||
Accrued Directors’ Fees and Expenses | 10 | 10 | 7 | 12 | 10 | |||||||||||||||
Accrued Compliance Expense | 13 | 1 | — | — | (3) | — | (3) | |||||||||||||
Accrued Management Fees | 3,141 | 147 | 36 | 2 | 19 | |||||||||||||||
Accrued Distribution Fees | 263 | 21 | — | (3) | — | (3) | 2 | |||||||||||||
Interest Payable on Swap Agreements | 29 | — | — | — | — | |||||||||||||||
Payable for Daily Variation Margin on Open Financial Futures Contracts | 1,307 | — | — | — | — | |||||||||||||||
Open Swap Agreements, at Value | 530 | — | — | — | — | |||||||||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | 20,510 | 4,053 | 26 | — | — | |||||||||||||||
Other Accrued Expenses | 1,487 | 138 | 6 | 18 | 28 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 99,698 | 25,191 | 954 | 65 | 170 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 5,107,692 | $ | 232,872 | $ | 45,873 | $ | 2,513 | $ | 30,194 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||||||
Paid-in Capital | $ | 5,462,111 | $ | 271,797 | $ | 44,439 | $ | 2,136 | $ | 31,065 | ||||||||||
Accumulated Net Realized Gain (Loss) on Investments, Futures Contracts, | (345,496 | ) | (34,590 | ) | (182 | ) | 189 | (2,724 | ) | |||||||||||
Unrealized Appreciation (Depreciation) of Investments, Futures Contracts, | (4,624 | ) | (7,543 | ) | 1,376 | 200 | 2,107 | |||||||||||||
Undistributed (Overdistributed) Net Investment Income | (4,299 | ) | 3,208 | 240 | (12 | ) | (254 | ) | ||||||||||||
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|
|
|
|
|
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|
| |||||||||||
NET ASSETS | $ | 5,107,692 | $ | 232,872 | $ | 45,873 | $ | 2,513 | $ | 30,194 | ||||||||||
|
|
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|
|
|
|
|
|
| |||||||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||||||
I Class Share | $ | 3,826,702 | $ | 131,499 | $ | 45,832 | $ | 1,327 | $ | 20,349 | ||||||||||
|
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|
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|
|
|
| |||||||||||
N Class Share | $ | 1,280,990 | $ | 101,373 | $ | 41 | $ | 1,186 | $ | 9,845 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
CAPITAL SHARES OUTSTANDING: (4) | ||||||||||||||||||||
I Class Share | 449,641,883 | 13,409,876 | 4,371,803 | 112,296 | 2,247,836 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | 116,717,221 | 10,345,941 | 3,946 | 100,631 | 1,087,131 | |||||||||||||||
|
|
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|
|
|
|
|
|
| |||||||||||
NET ASSET VALUE PER SHARE: (5) | ||||||||||||||||||||
I Class Share | $ | 8.51 | $ | 9.81 | $ | 10.48 | $ | 11.81 | $ | 9.05 | ||||||||||
|
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| |||||||||||
N Class Share | $ | 10.98 | $ | 9.80 | $ | 10.44 | $ | 11.79 | $ | 9.06 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund, the TCW International Growth Fund and the TCW International Small Cap Fund at April 30, 2014 was $5,016,258, $231,071, $43,097, $2,331 and $27,178, respectively. |
(2) | The identified cost for the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Growth Fund at April 30, 2014 was $5,643, $18, $1 and $0, respectively. |
(3) | Amount rounds to less than $1. |
(4) | The number of authorized shares with a par value of $0.001 per share, for the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund, the TCW International Growth Fund and the TCW International Small Cap Fund is 2,000,000,000 for each of the I Class and N Class shares. |
(5) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
39
Table of Contents
TCW Funds, Inc.
Six Months Ended April 30, 2014 |
TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Growth Fund | TCW International Small Cap Fund | ||||||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||
Income: | ||||||||||||||||||||
Dividends | $ | — | $ | — | $ | 191 | (1) | $ | 16 | (1) | $ | 128 | (1) | |||||||
Interest | 164,073 | (2) | 8,916 | (2) | 411 | (2) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 164,073 | 8,916 | 602 | 16 | 128 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: | ||||||||||||||||||||
Management Fees | 19,080 | 1,025 | 206 | 11 | 120 | |||||||||||||||
Accounting Services Fees | 269 | 14 | 2 | 1 | 2 | |||||||||||||||
Administration Fees | 323 | 22 | 4 | 2 | 5 | |||||||||||||||
Transfer Agent Fees: | ||||||||||||||||||||
I Class | 820 | 28 | 5 | 4 | 8 | |||||||||||||||
N Class | 452 | 27 | 4 | 4 | 7 | |||||||||||||||
Custodian Fees | 259 | 102 | 39 | 15 | 25 | |||||||||||||||
Professional Fees | 67 | 18 | 18 | 9 | 18 | |||||||||||||||
Directors’ Fees and Expenses | 10 | 10 | 8 | 12 | 10 | |||||||||||||||
Registration Fees: | ||||||||||||||||||||
I Class | 54 | 14 | 12 | — | (3) | 7 | ||||||||||||||
N Class | 93 | 25 | 12 | — | (3) | 7 | ||||||||||||||
Distribution Fees: | ||||||||||||||||||||
N Class | 1,610 | 129 | — | (3) | 2 | 13 | ||||||||||||||
Compliance Expense | 63 | 4 | — | (3) | — | (3) | — | (3) | ||||||||||||
Shareholder Reporting Expense | 11 | 3 | 2 | 1 | 2 | |||||||||||||||
Other | 441 | 27 | 4 | 3 | 7 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 23,552 | 1,448 | 316 | 64 | 231 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||||||
I Class | — | — | 36 | 26 | — | |||||||||||||||
N Class | — | 135 | 16 | 23 | 14 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 23,552 | 1,313 | 264 | 15 | 217 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | 140,521 | 7,603 | 338 | 1 | (89 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net Realized (Loss) on: | ||||||||||||||||||||
Investments | (202,047 | ) (4) | (26,852 | ) (4) | (95 | ) | 228 | (4) | 2,915 | (4) | ||||||||||
Foreign Currency | 19,919 | 2,867 | 43 | — | (3) | 6 | ||||||||||||||
Futures Contracts | (279 | ) | — | — | — | — | ||||||||||||||
Swap Agreements | (5,488 | ) | — | — | — | — | ||||||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||
Investments | 144,711 | 7,455 | (5) | (795 | ) (5) | (254 | ) (5) | (2,135 | ) (5) | |||||||||||
Foreign Currency | (3,452 | ) | (1,329 | ) | (40 | ) | — | (1 | ) | |||||||||||
Futures contracts | 475 | — | — | — | — | |||||||||||||||
Swap Agreements | 4,625 | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | (41,536 | ) | (17,859 | ) | (887 | ) | (26 | ) | 785 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 98,985 | $ | (10,256 | ) | $ | (549 | ) | $ | (25 | ) | $ | 696 | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $19, $1 and $14 for the TCW Emerging Markets Multi-Asset Opportunities Fund, the TCW International Growth Fund and the TCW International Small Cap Fund, respectively. |
(2) | Net of foreign taxes withheld of $88, $231 and $3 for the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
(3) | Amount rounds to less than $1. |
(4) | Net of capital gain withholding taxes of $10, $88, $0 and $3 for the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, the TCW International Growth Fund and the TCW International Small Cap Fund, respectively. |
(5) | Net of capital gain withholding taxes of $147, $27, $6 and $77 for the TCW Emerging Markets Local Currency Income Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund, the TCW International Growth Fund and the TCW International Small Cap Fund, respectively. |
See accompanying notes to financial statements.
40
Table of Contents
TCW Funds, Inc.
TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | |||||||||||||||
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 140,521 | $ | 400,699 | $ | 7,603 | $ | 19,536 | ||||||||
Net Realized Loss on Investments, Futures Contracts, Swap Agreements and Foreign Currency Transactions | (187,895 | ) | (273,554 | ) | (23,985 | ) | (28,775 | ) | ||||||||
Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts, Swap Agreements and Foreign Currency Transactions | 146,359 | (294,833 | ) | 6,126 | (13,761 | ) | ||||||||||
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Increase (Decrease) in Net Assets Resulting from Operations | 98,985 | (167,688 | ) | (10,256 | ) | (23,000 | ) | |||||||||
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DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (94,402 | ) | (244,549 | ) | (2,220 | ) | (822 | ) | ||||||||
N Class | (30,156 | ) | (72,197 | ) | (1,195 | ) | (557 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | (107,888 | ) | — | — | |||||||||||
N Class | — | (25,350 | ) | — | — | |||||||||||
Distributions from Return of Capital: | ||||||||||||||||
I Class | — | (43,636 | ) | — | (5,964 | ) | ||||||||||
N Class | — | (12,947 | ) | — | (3,894 | ) | ||||||||||
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Total Distributions to Shareholders | (124,558 | ) | (506,567 | ) | (3,415 | ) | (11,237 | ) | ||||||||
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NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (413,920 | ) | 556,777 | (96,688 | ) | 135,835 | ||||||||||
N Class | (132,180 | ) | 287,325 | (7,844 | ) | 37,871 | ||||||||||
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Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (546,100 | ) | 844,102 | (104,532 | ) | 173,706 | ||||||||||
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Increase (Decrease) in Net Assets | (571,673 | ) | 169,847 | (118,203 | ) | 139,469 | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 5,679,365 | 5,509,518 | 351,075 | 211,606 | ||||||||||||
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End of Period | $ | 5,107,692 | $ | 5,679,365 | $ | 232,872 | $ | 351,075 | ||||||||
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Undistributed (Overdistributed) Net Investment Income | $ | (4,299 | ) | $ | (20,262 | ) | $ | 3,208 | $ | (980 | ) |
See accompanying notes to financial statements.
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TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Growth Fund | |||||||||||||||
Six Months Ended April 30, 2014 (Unaudited) | Period Ended October 31, 2013 (1) | Six Months Ended April 30, 2014 (Unaudited) | Period Ended October 31, 2013 (2) | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 338 | $ | 222 | $ | 1 | $ | 7 | ||||||||
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | (52 | ) | (154 | ) | 228 | (36 | ) | |||||||||
Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currency Transactions | (835 | ) | 2,211 | (254 | ) | 454 | ||||||||||
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| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (549 | ) | 2,279 | (25 | ) | 425 | ||||||||||
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DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (296 | ) | — | (10 | ) | — | ||||||||||
N Class | — | (3) | — | (5 | ) | — | ||||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (4 | ) | — | |||||||||||
N Class | — | — | (4 | ) | — | |||||||||||
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Total Distributions to Shareholders | (296 | ) | — | (23 | ) | — | ||||||||||
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NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 5,772 | 38,625 | 11 | 1,117 | ||||||||||||
N Class | 12 | 30 | 8 | 1,000 | ||||||||||||
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Increase in Net Assets Resulting from Net Capital Shares Transactions | 5,784 | 38,655 | 19 | 2,117 | ||||||||||||
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| |||||||||
Increase (Decrease) in Net Assets | 4,939 | 40,934 | (29 | ) | 2,542 | |||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 40,934 | — | 2,542 | — | ||||||||||||
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End of Period | $ | 45,873 | $ | 40,934 | $ | 2,513 | $ | 2,542 | ||||||||
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Undistributed (Overdistributed) Net Investment Income | $ | 240 | $ | 198 | $ | (12 | ) | $ | 2 |
(1) | For the period July 1, 2013 (Commencement of Operations) through October 31, 2013. |
(2) | For the period November 1, 2012 (Commencement of Operations) through October 31, 2013. |
(3) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
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TCW Funds, Inc.
Statements of Changes in Net Assets
TCW International Small Cap Fund | ||||||||
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | |||||||
OPERATIONS | ||||||||
Net Investment Loss | $ | (89 | ) | $ | (60 | ) | ||
Net Realized Gain on Investments and Foreign Currency Transactions | 2,921 | 2,502 | ||||||
Change in Unrealized Appreciation (Depreciation) on Investments and | (2,136 | ) | 3,312 | |||||
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Increase in Net Assets Resulting from Operations | 696 | 5,754 | ||||||
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| |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Distributions from Net Investment Income: | ||||||||
I Class | (191 | ) | (932 | ) | ||||
N Class | (75 | ) | (636 | ) | ||||
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| |||||
Total Distributions to Shareholders | (266 | ) | (1,568 | ) | ||||
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NET CAPITAL SHARE TRANSACTIONS | ||||||||
I Class | (4,177 | ) | 3,293 | |||||
N Class | (2,172 | ) | (1,435 | ) | ||||
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| |||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (6,349 | ) | 1,858 | |||||
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| |||||
Increase (Decrease) in Net Assets | (5,919 | ) | 6,044 | |||||
NET ASSETS | ||||||||
Beginning of Period | 36,113 | 30,069 | ||||||
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End of Period | $ | 30,194 | $ | 36,113 | ||||
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Undistributed Net Investment Income (Loss) | $ | (254 | ) | $ | 101 |
See accompanying notes to financial statements.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited)
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), that currently offers 21 no-load mutual funds (the “Funds”). TCW Investment Management Company (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisors Act of 1940. Each Fund has distinct investment objectives. The following are the objectives for the 5 International Funds that are covered in this report:
TCW Fund | Investment Objective | |
Diversified Fixed Income Funds | ||
TCW Emerging Markets Income Fund | Seeks high total return from current income and capital appreciation by investing in debt securities issued by emerging market country governments, their agencies or instrumentalities, or emerging market private corporate issuers. | |
Non-Diversified Fixed Income Funds | ||
TCW Emerging Markets Local Currency Income Fund | Seeks high total return from current income and capital appreciation by investing primarily in debt securities issued by emerging market country governments, their agencies, or instrumentalities, or private issuers of various emerging market countries denominated in local currency. | |
Diversified International Equity Fund | ||
TCW International Small Cap Fund | Seeks long-term capital appreciation by investing in equity securities of small capitalization companies that are generally domiciled outside the United States. | |
Non-Diversified International Equity Fund | ||
TCW International Growth Fund | Seeks long-term capital appreciation by investing in equity securities of companies across all market capitalizations that are generally domiciled outside the United States or whose primary business operations are outside the United States. | |
Balanced Fund | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | Seeks current income and long term capital appreciation by investing at least 80% of net assets in debt and equity securities issued or guaranteed by companies, financial institutions and government entities in emerging market countries. |
All Funds offer two classes of shares: I Class and N Class. The classes are substantially the same except that the N Class shares are subject to a distribution fee (see Note 6).
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TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies, which are in conformity with accounting principles generally accepted in the United States of America and which are consistently followed by the Funds in the preparation of their financial statements.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Net Asset Value: The Net Asset Value of each Fund’s shares is determined by dividing the net assets attributable to each class by the number of shares issued and outstanding of that class on each business day as of 1:00 p.m. Pacific Time.
Security Valuations: Securities listed or traded on the New York and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market are valued using official closing prices as reported by NASDAQ. All other securities for which over-the-counter (“OTC”) market quotations are readily available are valued with prices furnished by independent pricing services or by broker dealers. Exchange traded derivatives are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options, swaps and futures. Over-the counter options are valued using dealer quotations.
The Company has adopted, after the approval by the Company’s Board of Directors, a fair valuation methodology for foreign equity securities (exclusive of certain Latin American and Canadian equity securities). This methodology is designed to address the effect of movements in the U.S. market on the securities traded on a foreign exchange that has been closed for a period of time due to time zone difference. The utilization of the fair value model may result in the adjustment of prices taking into account fluctuations in the U.S. market. The fair value model is utilized each trading day and not dependent on certain thresholds or triggers.
The value of short-term debt securities held in the Funds with remaining maturities of 60 days or less at the time of purchase is determined by using the amortized cost method applied to each individual security which approximates market value. Other short-term debt securities are valued on marked-to-market basis until such time as they reach a remaining maturity of 60 days, whereupon they are valued at amortized value using their value on the 61st day prior to maturity.
Securities for which market quotations are not readily available, including circumstances under which the prices received are not reflective of a security’s market value, are fair valued in good faith by the Advisor under procedures established by and under the general supervision of the Company’s Board of Directors.
Fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under the accounting principles generally accepted in the United States of America (“GAAP”), the Funds disclose investments in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best
45
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 2 — Significant Accounting Policies (Continued)
information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
Level 1 — | quoted prices in active markets for identical investments | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Fair Value Measurements: A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
Credit default swaps. Credit default swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are generally categorized in Level 2 of the fair value hierarchy; if a discount is applied and insignificant, they are categorized in Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair
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TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Certain foreign securities which are fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets are categorized in Level 2 of the fair value hierarchy.
Futures contracts. Futures contracts are generally valued at the settlement price established at the close of business each day by the exchange on which they are traded. The value of each of the Funds’ futures contracts is marked daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. As such they are categorized in Level 1.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, issued by non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
The following is a summary of the inputs used as of April 30, 2014 in valuing the Funds:
TCW Emerging Markets Income Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Airlines | $ | — | $ | 44,833,000 | $ | — | $ | 44,833,000 | ||||||||
Banks | — | 861,836,312 | — | 861,836,312 | ||||||||||||
Building Materials | — | 126,559,375 | — | 126,559,375 | ||||||||||||
Chemicals | — | 55,418,000 | — | 55,418,000 | ||||||||||||
Diversified Financial Services | — | 195,867,716 | — | 195,867,716 | ||||||||||||
Electric | — | 368,327,392 | — | 368,327,392 | ||||||||||||
Energy-Alternate Sources | — | 54,633,656 | — | 54,633,656 | ||||||||||||
Engineering & Construction | — | 112,562,199 | — | 112,562,199 | ||||||||||||
Foreign Government Bonds | — | 1,783,938,972 | — | 1,783,938,972 | ||||||||||||
Government Regional/Local | — | 62,559,000 | — | 62,559,000 | ||||||||||||
Holding Companies — Diversified | — | 102,786,250 | — | 102,786,250 | ||||||||||||
Internet | — | 35,226,520 | — | 35,226,520 | ||||||||||||
Investment Companies | — | 16,464,000 | — | 16,464,000 | ||||||||||||
Iron & Steel | — | 30,934,710 | — | 30,934,710 | ||||||||||||
Media | — | 38,741,750 | — | 38,741,750 | ||||||||||||
Mining | — | 61,414,437 | — | 61,414,437 | ||||||||||||
Oil & Gas Services | — | 46,271,500 | — | 46,271,500 | ||||||||||||
Oil & Gas | — | 740,809,843 | — | 740,809,843 | ||||||||||||
Real Estate | — | 91,485,500 | — | 91,485,500 | ||||||||||||
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Total Fixed Income Securities | — | 4,830,670,132 | — | 4,830,670,132 | ||||||||||||
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Equity Securities | ||||||||||||||||
Diversified Financial Services | — | * | — | — | — | * | ||||||||||
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Total Equity Securities | — | * | — | — | — | * | ||||||||||
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Short-Term Investments** | — | 186,747,197 | — | 186,747,197 | ||||||||||||
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Total Investments | — | 5,017,417,329 | — | 5,017,417,329 | ||||||||||||
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Income Fund (Continued)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | 15,143,176 | $ | — | $ | 15,143,176 | ||||||||
Future Contracts | ||||||||||||||||
Interest Rate Risk | 675,742 | — | — | 675,742 | ||||||||||||
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Total | $ | 675,742 | $ | 5,032,560,505 | $ | — | $ | 5,033,236,247 | ||||||||
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Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (20,510,379 | ) | $ | — | $ | (20,510,379 | ) | ||||||
Future Contracts | ||||||||||||||||
Interest Rate Risk | (200,704 | ) | — | — | (200,704 | ) | ||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | (529,820 | ) | — | (529,820 | ) | ||||||||||
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|
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| |||||||||
Total | $ | (200,704 | ) | $ | (21,040,199 | ) | $ | — | $ | (21,240,903 | ) | |||||
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* | Amount rounds to less than $1. |
** | See Schedule of Investments for corresponding industries. |
TCW Emerging Markets Local Currency Income Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Electric | $ | — | $ | 11,415,842 | $ | — | $ | 11,415,842 | ||||||||
Foreign Government Bonds | — | 210,820,271 | — | 210,820,271 | ||||||||||||
Telecommunications | — | 2,771,772 | — | 2,771,772 | ||||||||||||
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| |||||||||
Total Fixed Income Securities | — | 225,007,885 | — | 225,007,885 | ||||||||||||
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| |||||||||
Total Investments | — | 225,007,885 | — | 225,007,885 | ||||||||||||
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| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 2,505,855 | — | 2,505,855 | ||||||||||||
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| |||||||||
Total | $ | — | $ | 227,513,740 | $ | — | $ | 227,513,740 | ||||||||
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| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (4,053,188 | ) | $ | — | $ | (4,053,188 | ) | ||||||
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| |||||||||
Total | $ | — | $ | (4,053,188 | ) | $ | — | $ | (4,053,188 | ) | ||||||
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48
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TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Multi-Asset Opportunities Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Airlines | $ | — | $ | 209,500 | $ | — | $ | 209,500 | ||||||||
Banks | — | 3,077,140 | — | 3,077,140 | ||||||||||||
Building Materials | — | 742,500 | — | 742,500 | ||||||||||||
Chemicals | — | 201,520 | — | 201,520 | ||||||||||||
Diversified Financial Services | — | 476,325 | — | 476,325 | ||||||||||||
Electric | — | 1,188,523 | — | 1,188,523 | ||||||||||||
Engineering & Construction | — | 204,066 | — | 204,066 | ||||||||||||
Foreign Government Bonds | — | 6,112,258 | — | 6,112,258 | ||||||||||||
Internet | — | 201,294 | — | 201,294 | ||||||||||||
Investment Companies | — | 274,400 | — | 274,400 | ||||||||||||
Media | — | 219,500 | — | 219,500 | ||||||||||||
Mining | — | 212,875 | — | 212,875 | ||||||||||||
Municipal Bonds | — | 198,600 | — | 198,600 | ||||||||||||
Oil & Gas | — | 1,910,165 | — | 1,910,165 | ||||||||||||
Real Estate | — | 186,000 | — | 186,000 | ||||||||||||
Telecommunications | — | 113,750 | — | 113,750 | ||||||||||||
Transportation | — | 209,249 | — | 209,249 | ||||||||||||
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|
| |||||||||
Total Fixed Income Securities | — | 15,737,665 | — | 15,737,665 | ||||||||||||
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| |||||||||
Preferred Stock | ||||||||||||||||
Banks | 515,340 | — | — | 515,340 | ||||||||||||
Media | 34,503 | — | — | 34,503 | ||||||||||||
Retail | 491,219 | — | — | 491,219 | ||||||||||||
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|
|
| |||||||||
Total Preferred Stock | 1,041,062 | — | — | 1,041,062 | ||||||||||||
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Common Stock | ||||||||||||||||
Airlines | 209,684 | 248,916 | — | 458,600 | ||||||||||||
Auto Parts & Equipment | — | 927,238 | — | 927,238 | ||||||||||||
Banks | 259,695 | 3,407,741 | — | 3,667,436 | ||||||||||||
Beverages | 224,202 | — | — | 224,202 | ||||||||||||
Building Materials | 557,373 | — | — | 557,373 | ||||||||||||
Chemicals | — | 257,543 | — | 257,543 | ||||||||||||
Commercial Services | 160,060 | — | — | 160,060 | ||||||||||||
Computers | — | 183,943 | — | 183,943 | ||||||||||||
Diversified Financial Services | 601,476 | 1,282,582 | — | 1,884,058 | ||||||||||||
Electrical Components & Equipment | — | 249,216 | — | 249,216 | ||||||||||||
Electronics | — | 198,283 | — | 198,283 | ||||||||||||
Energy-Alternate Sources | — | 572,702 | — | 572,702 | ||||||||||||
Entertainment | — | 160,190 | — | 160,190 | ||||||||||||
Food | 319,933 | — | — | 319,933 | ||||||||||||
Food Service | — | 338,155 | — | 338,155 | ||||||||||||
Healthcare-Products | — | 470,051 | — | 470,051 | ||||||||||||
Household Products/Wares | — | 229,337 | — | 229,337 | ||||||||||||
Insurance | — | 961,255 | — | 961,255 | ||||||||||||
Internet | 868,036 | 781,351 | — | 1,649,387 | ||||||||||||
Lodging | 294,119 | 293,000 | — | 587,119 |
49
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Multi-Asset Opportunities Fund (Continued)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Machinery-Diversified | $ | 472,305 | $ | 242,888 | $ | — | $ | 715,193 | ||||||||
Media | — | 948,576 | — | 948,576 | ||||||||||||
Mining | 440,875 | 128,352 | — | 569,227 | ||||||||||||
Miscellaneous Manufacturers | — | 1,308,812 | — | 1,308,812 | ||||||||||||
Oil & Gas | 905,702 | 2,142,908 | — | 3,048,610 | ||||||||||||
Oil & Gas Services | 209,771 | 209,656 | — | 419,427 | ||||||||||||
Pharmaceuticals | — | 1,885,597 | — | 1,885,597 | ||||||||||||
Real Estate | 161,766 | 392,024 | — | 553,790 | ||||||||||||
Retail | 313,939 | 271,580 | — | 585,519 | ||||||||||||
Semiconductors | 196,636 | 1,487,681 | — | 1,684,317 | ||||||||||||
Telecommunications | 314,103 | 860,766 | — | 1,174,869 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 6,509,675 | 20,440,343 | — | 26,950,018 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Term Investments* | — | 787,334 | — | 787,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 7,550,737 | 36,965,342 | — | 44,516,079 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Forward Currency Risk | — | 9,467 | — | 9,467 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 7,550,737 | $ | 36,974,809 | $ | — | $ | 44,525,546 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Forward Currency Risk | $ | — | $ | (25,521 | ) | $ | — | $ | (25,521 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (25,521 | ) | $ | — | $ | (25,521 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
TCW International Growth Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Air Freight & Logistics | $ | 28,460 | $ | — | $ | — | $ | 28,460 | ||||||||
Auto Components | — | 29,629 | — | 29,629 | ||||||||||||
Banks | — | 224,192 | — | 224,192 | ||||||||||||
Capital Markets | 76,344 | 155,052 | — | 231,396 | ||||||||||||
Chemicals | — | 27,036 | — | 27,036 | ||||||||||||
Commercial Services & Supplies | — | 27,441 | — | 27,441 | ||||||||||||
Construction & Engineering | — | 32,345 | — | 32,345 | ||||||||||||
Consumer Finance | — | 29,004 | — | 29,004 | ||||||||||||
Diversified Consumer Services | 51,980 | — | — | 51,980 | ||||||||||||
Diversified Financial Services | 30,605 | 116,818 | — | 147,423 | ||||||||||||
Electrical Equipment | — | 27,075 | — | 27,075 | ||||||||||||
Gas Utilities | — | 52,272 | — | 52,272 | ||||||||||||
Insurance | 29,229 | — | — | 29,229 | ||||||||||||
Internet & Catalog Retail | — | 22,448 | — | 22,448 |
50
Table of Contents
TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
TCW International Growth Fund (Continued)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Internet Software & Services | $ | — | $ | 66,722 | $ | — | $ | 66,722 | ||||||||
IT Services | 35,348 | 83,215 | — | 118,563 | ||||||||||||
Machinery | — | 28,202 | — | 28,202 | ||||||||||||
Media | 31,450 | 59,235 | — | 90,685 | ||||||||||||
Metals & Mining | 293,102 | 154,479 | — | 447,581 | ||||||||||||
Oil, Gas & Consumable Fuels | 27,020 | 177,284 | — | 204,304 | ||||||||||||
Real Estate Management & Development | 23,907 | 162,428 | — | 186,335 | ||||||||||||
Road & Rail | — | 28,712 | — | 28,712 | ||||||||||||
Semiconductors & Semiconductor Equipment | 30,150 | 31,195 | — | 61,345 | ||||||||||||
Software | — | 57,930 | — | 57,930 | ||||||||||||
Specialty Retail | — | 42,186 | — | 42,186 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 84,989 | — | 84,989 | ||||||||||||
Thrifts & Mortgage Finance | — | 29,887 | — | 29,887 | ||||||||||||
Transportation Infrastructure | 26,587 | 24,298 | — | 50,885 | ||||||||||||
Wireless Telecommunication Services | — | 27,224 | — | 27,224 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 684,182 | 1,801,298 | — | 2,485,480 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Media | 2,145 | — | — | 2,145 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Metals & Mining | 12 | — | — | 12 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Banks | 32,806 | — | — | 32,806 | ||||||||||||
Industrial Conglomerates | 816 | — | — | 816 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | 33,622 | — | — | 33,622 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments* | — | 16,289 | — | 16,289 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 719,961 | $ | 1,817,587 | $ | — | $ | 2,537,548 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
TCW International Small Cap Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Banks | $ | — | $ | 1,663,560 | $ | — | $ | 1,663,560 | ||||||||
Building Products | 557,386 | — | — | 557,386 | ||||||||||||
Capital Markets | 908,526 | 1,212,205 | — | 2,120,731 | ||||||||||||
Chemicals | — | 134,903 | — | 134,903 | ||||||||||||
Construction & Engineering | — | 530,320 | — | 530,320 | ||||||||||||
Consumer Finance | 538,600 | — | — | 538,600 | ||||||||||||
Diversified Financial Services | 629,495 | 2,141,016 | — | 2,770,511 | ||||||||||||
Electrical Equipment | 315,732 | 799,231 | — | 1,114,963 | ||||||||||||
Energy Equipment & Services | 394,553 | 477,996 | — | 872,549 | ||||||||||||
Health Care Equipment & Supplies | — | 447,076 | — | 447,076 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 662,762 | — | 662,762 |
51
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 2 — Significant Accounting Policies (Continued)
TCW International Small Cap Fund (Continued)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Internet & Catalog Retail | $ | — | $ | 448,968 | $ | — | $ | 448,968 | ||||||||
Internet Software & Services | 248,217 | 1,424,015 | — | 1,672,232 | ||||||||||||
IT Services | — | 1,409,694 | — | 1,409,694 | ||||||||||||
Machinery | — | 982,890 | — | 982,890 | ||||||||||||
Media | 629,004 | 756,835 | — | 1,385,839 | ||||||||||||
Metals & Mining | 5,548,936 | 956,432 | — | 6,505,368 | ||||||||||||
Oil, Gas & Consumable Fuels | 1,243,427 | 941,824 | — | 2,185,251 | ||||||||||||
Professional Services | — | 567,778 | — | 567,778 | ||||||||||||
Real Estate Management & Development | 318,754 | 856,295 | — | 1,175,049 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 391,954 | — | 391,954 | ||||||||||||
Software | 207,791 | 561,564 | — | 769,355 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 11,540,421 | 17,367,318 | — | 28,907,739 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Industrial Conglomerates | 13,601 | — | — | 13,601 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | 13,601 | — | — | 13,601 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments* | — | 441,339 | — | 441,339 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 11,554,022 | $ | 17,808,657 | $ | — | $ | 29,362,679 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:
Fund | Transfer out of Level 1* and Transfer into Level 2 | Transfer out of Level 2* and Transfer into Level 1 | ||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | $ | 212,595 | $ | 238,689 | ||||
TCW International Growth Fund | 38,482 | 43,670 | ||||||
TCW International Small Cap Fund | 1,650,334 | 424,495 |
* | The Funds recognize transfers between the Levels as of the beginning of the period. |
The transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended April 30, 2014, were due to changes in valuation to/from the exchange closing price from/to the fair value price.
The Funds held no investments or other financial instruments at April 30, 2014 whose fair value was calculated using Level 3 inputs.
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification. Dividends received from real estate investment trust securities may include return of capital. Such distributions reduce the cost basis of the respective securities. Distributions, if any, in excess of the cost basis of the security are recognized as capital gain.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, and other assets and liabilities stated in foreign currencies, are translated using the daily spot rate; and (2) purchases, sales, income and
52
Table of Contents
TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are included in, or are a reduction of, ordinary income for federal income tax purposes.
Foreign Taxes: The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.
Derivative Instruments: Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Funds may not be able to close out a derivative transaction at a favorable time or price.
For the six months ended April 30, 2014, the Funds had the following derivatives and transactions in derivatives, grouped in the following risk categories:
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 15,143 | $ | — | $ | 15,143 | ||||||||
Future Contracts (1) | — | — | 676 | 676 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | 15,143 | $ | 676 | $ | 15,819 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | (20,510 | ) | $ | — | $ | (20,510 | ) | ||||||
Futures Contracts (1) | — | — | (201 | ) | $ | (201 | ) | |||||||||
Open Swap Agreements, at Value | (530 | ) | — | — | $ | (530 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | (530 | ) | $ | (20,510 | ) | $ | (201 | ) | $ | (21,241 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) on | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 22,677 | $ | — | $ | 22,677 | ||||||||
Future Contracts | — | — | (279 | ) | (279 | ) | ||||||||||
Swap Agreements | (5,488 | ) | — | — | (5,488 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (5,488 | ) | $ | 22,677 | $ | (279 | ) | $ | 16,910 | ||||||
|
|
|
|
|
|
|
| |||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | (3,479 | ) | $ | — | $ | (3,479 | ) | ||||||
Future Contracts | — | — | 475 | 475 | ||||||||||||
Swap Agreements | 4,625 | — | — | 4,625 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Unrealized Appreciation (Depreciation) | $ | 4,625 | $ | (3,479 | ) | $ | 475 | $ | 1,621 | |||||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts or Shares/Units (4) | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 1,137,176,037 | $ | — | $ | 1,137,176,037 | ||||||||
Futures Contracts | — | — | 2,709 | 2,709 | ||||||||||||
Swap Agreements | $ | 79,166,667 | $ | — | $ | — | $ | 79,166,667 |
53
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 2 — Significant Accounting Policies (Continued)
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 2,506 | $ | — | $ | 2,506 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | 2,506 | $ | — | $ | 2,506 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | — | (4,053 | ) | — | (4,053 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | (4,053 | ) | $ | — | $ | (4,053 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain on | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 3,494 | $ | — | $ | 3,494 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Loss | $ | — | $ | 3,494 | $ | — | $ | 3,494 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Unrealized Depreciation on: | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | (1,414 | ) | $ | — | $ | (1,414 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Unrealized Depreciation | $ | — | $ | (1,414 | ) | $ | — | $ | (1,414 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts or Shares/Units (4) | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 189,749,987 | $ | — | $ | 189,749,987 | ||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 9 | $ | — | $ | 9 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | 9 | $ | — | $ | 9 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | (26 | ) | $ | — | $ | (26 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | (26 | ) | $ | — | $ | (26 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain on | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 63 | $ | — | $ | 63 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain | $ | — | $ | 63 | $ | — | $ | 63 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Unrealized Depreciation on: | ||||||||||||||||
Forward Currency Contracts | — | (41 | ) | — | (41 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Unrealized Depreciation | $ | — | $ | (41 | ) | $ | — | $ | (41 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts or Shares/Units (4) | ||||||||||||||||
Forward Currency Contracts | $ | — | 2,085,189 | $ | — | $ | 2,085,189 |
54
Table of Contents
TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW International Growth Fund | ||||||||||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain on | ||||||||||||||||
Investments (2) | $ | — | $ | 30 | $ | — | $ | 30 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain | $ | — | $ | 30 | $ | — | $ | 30 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Unrealized Depreciation on: | ||||||||||||||||
Investments (3) | $ | — | $ | (6 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Unrealized Depreciation | $ | — | $ | (6 | ) | $ | — | $ | (6 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts or Shares/Units (4) | ||||||||||||||||
Purchased Options | — | 11,667 | — | 11,667 | ||||||||||||
TCW International Small Cap Fund | ||||||||||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain on | ||||||||||||||||
Investments (2) | $ | — | $ | 460 | $ | — | $ | 460 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain | $ | — | $ | 460 | $ | — | $ | 460 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Unrealized Depreciation on: | ||||||||||||||||
Investments (3) | $ | — | $ | (107 | ) | $ | — | $ | (107 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Unrealized Depreciation | $ | — | $ | (107 | ) | $ | — | $ | (107 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts or Shares/Units (4) | ||||||||||||||||
Purchased Options | — | 266,667 | — | 266,667 |
(1) | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin on April 30, 2014 is reported within the Statement of Assets and Liabilities. |
(2) | Represents realized gain for purchased options. |
(3) | Represents change in unrealized depreciation for purchased options during the period. |
(4) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended April 30, 2014. |
Counterparty Credit Risk: A derivative contract may result in a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
The Funds’ risk of loss from counterparty credit risk on Over-the-Counter (OTC) derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Funds.
With exchange traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Funds do not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate
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Note 2 — Significant Accounting Policies (Continued)
customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds. In order to better define its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or fail to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral pledged or received by a Fund.
Cash collateral that has been pledged to cover obligations of a Fund is reported separately on the Statement of Assets and Liabilities. Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold typically $250,000 or $500,000, before a transfer is required, which is determined at the close of each business day and the collateral is transferred on the next business day. Typically, the Funds and counterparties are not permitted to sell, repledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to Financial Accounting Standards Board (“FASB”) Accounting Standards update No. 2011-11, Disclosures about Offsetting Assets and Liabilities that requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards.
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April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
The following table presents the Funds’ OTC derivative assets and liabilities by counterparty net of amounts available for offset under an ISDA Master agreement or Master Repurchase Agreement and net of the related collateral received by the Funds as of April 30, 2014 (in thousands):
TCW Emerging Markets Income Fund
Counterparty | Gross Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Assets (1) | ||||||||||||
Bank of America, NA (Derivatives) | $ | 15,143 | $ | — | $ | (13,522 | ) | $ | 1,621 | |||||||
State Street Bank & Trust Co. (Repurchase Agreement) | 182,704 | (182,704 | ) (2) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 197,847 | $ | (182,704 | ) | $ | (13,522 | ) | $ | 1,621 | ||||||
|
|
|
|
|
|
|
|
Counterparty | Gross Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Liabilities (3) | ||||||||||||
Bank of America, NA (Derivatives) | $ | 16,122 | $ | (2,600 | ) | $ | (13,522 | ) | $ | — | ||||||
Goldman Sachs International (Derivatives) | 4,918 | (4,830 | ) | — | 88 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 21,040 | $ | (7,430 | ) | $ | (13,522 | ) | $ | 88 | ||||||
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable from the counterparty in the event of default. |
(2) | Collateral with a value of $186,359 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
(3) | Represents the net amount payable to the counterparty in the event of default. |
TCW Emerging Markets Local Currency Income Fund
Counterparty | Gross Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Assets (1) | ||||||||||||
Bank of America, NA (Derivatives) | $ | 2,506 | $ | — | $ | (1,691 | ) | $ | 815 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,506 | $ | — | $ | (1,691 | ) | $ | 815 | |||||||
|
|
|
|
|
|
|
|
Counterparty | Gross Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Liabilities (2) | ||||||||||||
Bank of America, NA (Derivatives) | $ | 3,161 | $ | (1,470 | ) | $ | (1,691 | ) | $ | — | ||||||
Wells Fargo Investments LLC (Derivatives) | 892 | — | $ | — | 892 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,053 | $ | (1,470 | ) | $ | (1,691 | ) | $ | 892 | ||||||
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable from the counterparty in the event of default. |
(2) | Represents the net amount payable to the counterparty in the event of default. |
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Notes to Financial Statements (Unaudited) (Continued) |
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Multi-Asset Opportunities Fund
Counterparty | Gross Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Assets (1) | ||||||||||||
Bank of America, NA (Derivatives) | $ | 9 | $ | — | $ | (9 | ) | $ | — | |||||||
State Street Bank & Trust Co. (Repurchase Agreement) | $ | 787 | $ | (787 | ) (2) | — | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 796 | $ | (787 | ) | $ | (9 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
Counterparty | Gross Liabilities Subject to Master Agreements | Collateral Pledged | Derivative (Assets)/Liabilities Available for Offset | Net Amount of Liabilities (3) | ||||||||||||
Bank of America, NA (Derivatives) | $ | 26 | $ | — | $ | (9 | ) | $ | 17 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 26 | $ | — | $ | (9 | ) | $ | 17 | |||||||
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable from the counterparty in the event of default. |
(2) | Collateral with a value of $807 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
(3) | Represents the net amount payable to the counterparty in the event of default. |
TCW International Growth Fund
Counterparty | Gross Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Assets (1) | ||||||||||||
State Street Bank & Trust Co. (Repurchase Agreement) | $ | 16 | $ | (16 | ) (2) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 16 | $ | (16 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable from the counterparty in the event of default. |
(2) | Collateral with a value of $19 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
TCW International Small Cap Fund
Counterparty | Gross Assets Subject to Master Agreements | Collateral Received | Derivative Assets/(Liabilities) Available for Offset | Net Amount of Assets (1) | ||||||||||||
State Street Bank & Trust Co. (Repurchase Agreement) | $ | 441 | $ | (441 | ) (2) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 441 | $ | (441 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable from the counterparty in the event of default. |
(2) | Collateral with a value of $451 has been received in connection with a master repurchase agreement. Excess of collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
Forward Foreign Currency Contracts: The Funds may enter into forward foreign currency contracts as a hedge against fluctuations in foreign exchange rates. Forward foreign currency contracts are marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss in the Statement of Assets and Liabilities. When the contract is closed or delivery is taken, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and
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TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
the value at the time it was closed. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. The TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund had forward foreign currency contracts outstanding at April 30, 2014.
Future Contracts: The Funds may enter into futures contracts. A Fund may seek to manage a variety of different risks through the use of futures contracts, such as interest rate risk, equity price risk, and currency risk. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk. Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of a Fund that is the subject of the hedge. It may not always be possible for the Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When the Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it.
When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The TCW Emerging Markets Income Fund utilized futures to help manage daily liquidity as well as interest rate duration and credit market exposure. Futures contracts outstanding at April 30, 2014 are listed in the Schedules of Investments.
Swap Agreements. The Funds may enter into swap agreements. Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
A Fund may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 2 — Significant Accounting Policies (Continued)
such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).
A Fund may enter into enter into an interest rate swap agreement. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Fund’s maximum risk of loss due to counterparty default is the discounted net asset value of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life.
A Fund may enter into credit default swap transactions as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When the Fund buys protection, it may or may not own securities of the reference entity. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. A Fund also takes the risk that the market will move against its position in the swap agreement. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. When a Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing
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TCW Funds, Inc.
April 30, 2014 |
Note 2 — Significant Accounting Policies (Continued)
market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded as realized gains and losses, respectively. During the six months ended April 30, 2014, the TCW Emerging Markets Income Fund utilized credit default swaps to manage daily liquidity as well as interest rate duration and/or credit market exposures. Swap agreements outstanding at April 30, 2014 are listed in each Fund’s Schedule of Investments.
When-Issued, Delayed-Delivery, and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of each Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because the Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not maintain liquid assets equal to the face amount of the contract. To guard against this deemed leverage, the Funds segregate cash and/or securities in an amount or value at least equal to the amount of these transactions.
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of a Master Repurchase Agreements (“MRA”). The MRA permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Funds receive securities as collateral with a market value in excess of the repurchase price to be received by the Funds upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds recognizes a liability with respect to such excess collateral to reflect the Funds obligation under bankruptcy law to return the excess to the counterparty. Repurchase agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. Government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 2 — Significant Accounting Policies (Continued)
the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the six months ended April 30, 2014.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the classes of shares of the Funds based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of the class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class specific fees and expenses will result in differences in net investment income, and therefore, the payment of dividends may differ between classes.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund declare and pay, or reinvest, dividends from net investment income monthly. The other Funds declare and pay, or reinvest, dividends from net investment income annually. Distribution of any net long-term and net short-term capital gains earned by a fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for foreign currency transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax basis differences which will reverse in a subsequent period. Any taxable income or capital gain remaining at fiscal year end is distributed in the following year.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Note 3 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment portfolio, the greater the change in value.
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TCW Funds, Inc.
April 30, 2014 |
Note 3 — Risk Considerations (Continued)
Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which a Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The exposure to credit and counterparty risks with respect to these financial assets is reflected in fair value recorded in the Funds’ Statements of Assets and Liabilities.
For complete information on the various risks involved, please refer to the Funds’ prospectus and the Statement of Additional Information which can be obtained on the Funds’ website (www.tcw.com) or by calling the customer service.
Note 4 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At April 30, 2014, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows (amounts in thousands):
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Emerging Markets Income Fund | $ | 135,755 | $ | (134,358) | $ | 1,397 | $ | 5,016,020 | ||||||||
TCW Emerging Markets Local Currency Income Fund | 3,534 | (9,765) | (6,231 | ) | 231,239 | |||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 2,432 | (1,054) | 1,378 | 43,138 | ||||||||||||
TCW International Growth Fund | 250 | (65) | 185 | 2,352 | ||||||||||||
TCW International Small Cap Fund | 3,543 | (1,721) | 1,822 | 27,541 |
The Funds did not have any unrecognized tax benefits at April 30, 2014, nor were there any increases or decreases in unrecognized tax benefits for the six months ended April 30, 2014. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 4 — Federal Income Taxes (Continued)
At October 31, 2013, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | $ | 223 | $ | — | $ | 223 | ||||||
TCW International Growth Fund | 22 | — | 22 | |||||||||
TCW International Small Cap Fund | 249 | — | 249 |
For the year ended October 31, 2013, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Emerging Markets Income Fund | $ | 449,984 | $ | — | $ | 56,583 | $ | 506,567 | ||||||||
TCW Emerging Markets Local Currency Income Fund | 1,379 | — | 9,858 | 11,237 | ||||||||||||
TCW International Small Cap Fund | 1,568 | — | — | 1,568 |
Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
The following Funds had net realized losses that will be carried forward indefinitely for federal income tax purposes at October 31, 2013 (amounts in thousands):
Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Emerging Markets Income Fund | $ | 157,178 | $ | — | $ | 157,178 | ||||||
TCW Emerging Markets Local Currency Income Fund | 8,498 | — | 8,498 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 114 | — | 114 | |||||||||
TCW International Small Cap Fund | 3,348 | 1,900 | 5,248 |
Note 5 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net asset value:
TCW Emerging Markets Income Fund | 0.75% | |||
TCW Emerging Markets Local Currency Income Fund | 0.75% | |||
TCW Emerging Markets Multi-Asset Opportunities Fund | 0.95% | |||
TCW International Growth Fund | 0.85% | |||
TCW International Small Cap Fund | 0.75% |
In addition to the management fees, the Funds reimburse, with approval by the Company’s Board of Directors, the Advisor’s costs associated in support of the Funds’ Rule 38a-1 compliance obligations. These amounts are allocated to each Fund based on the management fees paid and are included in the Statements of Operations.
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TCW Funds, Inc.
April 30, 2014 |
Note 5 — Fund Management Fees and Other Expenses (Continued)
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets:
TCW Emerging Markets Income Fund | ||||
I Class | 1.18% | (1) | ||
N Class | 1.18% | (1) | ||
TCW Emerging Markets Local Currency Income Fund | ||||
I Class | 0.99% | (2) | ||
N Class | 0.99% | (2) | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||
I Class | 1.23% | (2) | ||
N Class | 1.23% | (2) | ||
TCW International Growth Fund | ||||
I Class | 1.04% | (2) | ||
N Class | 1.34% | (2) | ||
TCW International Small Cap Fund | ||||
I Class | 1.44% | (2) | ||
N Class | 1.44% | (2) |
(1) | Limitation based on average expense ratio as reported by Lipper, Inc., which is subject to change on a monthly basis. This ratio was in effect as of April 30, 2014. These limitations are voluntary and terminable with six months notice. |
(2) | These limitations are based on an agreement between the Advisor and Company for a one-year period. |
The amount borne by the Advisor during the fiscal year when the operating expenses of a fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop below the expense limitation in the subsequent years. The Advisor can recapture expenses only within a given fiscal year for that year’s operating expenses.
Note 6 — Distribution Plan
TCW Funds Distributors (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 7 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the year ended April 30, 2014, were as follows (amounts in thousands):
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Emerging Markets Income Fund | $ | 3,781,759 | $ | 4,194,245 | $ | — | $ | — | ||||||||
TCW Emerging Markets Local Currency Income Fund | 285,584 | 379,748 | — | — | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 39,092 | 33,913 | — | — | ||||||||||||
TCW International Growth Fund | 3,953 | 3,937 | — | — | ||||||||||||
TCW International Small Cap Fund | 40,220 | 46,893 | — | — |
65
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 8 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Emerging Markets Income Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 98,004,126 | $ | 825,505 | 384,305,377 | $ | 3,521,231 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 10,035,794 | 84,603 | 31,630,062 | 287,180 | ||||||||||||
Shares Redeemed | (157,574,134 | ) | (1,324,028 | ) | (370,659,481 | ) | (3,251,634 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (49,534,214 | ) | $ | (413,920 | ) | 45,275,958 | $ | 556,777 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 27,932,452 | $ | 303,000 | 110,406,749 | $ | 1,300,428 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,175,324 | 34,525 | 9,096,781 | 106,221 | ||||||||||||
Shares Redeemed | (43,354,056 | ) | (469,705 | ) | (98,293,190 | ) | (1,119,324 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (12,246,280 | ) | $ | (132,180 | ) | 21,210,340 | $ | 287,325 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Local Currency Income Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,358,448 | $ | 32,556 | 28,692,494 | $ | 304,434 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 219,510 | 2,119 | 583,123 | 6,156 | ||||||||||||
Shares Redeemed | (13,602,005 | ) | (131,363 | ) | (17,455,335 | ) | (174,755 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (10,024,047 | ) | $ | (96,688 | ) | 11,820,282 | $ | 135,835 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 4,478,776 | $ | 43,567 | 16,537,831 | $ | 177,177 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 123,381 | 1,188 | 418,722 | 4,419 | ||||||||||||
Shares Redeemed | (5,449,844 | ) | (52,599 | ) | (14,265,517 | ) | (143,725 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (847,687 | ) | $ | (7,844 | ) | 2,691,036 | $ | 37,871 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | Six Months Ended April 30, 2014 (Unaudited) | July 1, 2013 (Commencement of Operations) through October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,662,732 | $ | 17,631 | 1,126,075 | $ | 11,606 | ||||||||||
Shares Issued In Exchange for Securities Transferred | — | — | 2,823,581 | $ | 28,236 | |||||||||||
Shares Issued upon Reinvestment of Dividends | 22,231 | 238 | — | — | ||||||||||||
Shares Redeemed | (1,142,889 | ) | (12,097 | ) | (119,927 | ) | (1,217 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 542,074 | $ | 5,772 | 3,829,729 | $ | 38,625 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 5,838 | $ | 63 | 5,399 | $ | 56 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 24 | — | (1) | — | — | |||||||||||
Shares Redeemed | (4,837 | ) | (51 | ) | (2,478 | ) | (26 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,025 | $ | 12 | 2,921 | $ | 30 | ||||||||||
|
|
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
66
Table of Contents
TCW Funds, Inc.
April 30, 2014 |
Note 8 — Capital Share Transactions (Continued)
TCW International Growth Fund | Six Months Ended April 30, 2014 (Unaudited) | November 1, 2012 (Commencement of Operations) through October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 111,836 | $ | 1,122 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 943 | 11 | — | — | ||||||||||||
Shares Redeemed | — | — | (483 | ) | (5 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 943 | $ | 11 | 111,353 | $ | 1,117 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 100,000 | $ | 1,000 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 631 | 8 | — | — | ||||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 631 | $ | 8 | 100,000 | $ | 1,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW International Small Cap Fund | Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, 2013 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 279,155 | $ | 2,547 | 1,085,301 | $ | 9,011 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 20,632 | 187 | 125,804 | 931 | ||||||||||||
Shares Redeemed | (771,489 | ) | (6,911 | ) | (835,567 | ) | (6,649 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (471,702 | ) | $ | (4,177 | ) | 375,538 | $ | 3,293 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 106,361 | $ | 980 | 287,239 | $ | 2,339 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 7,891 | 71 | 85,561 | 633 | ||||||||||||
Shares Redeemed | (355,587 | ) | (3,223 | ) | (541,943 | ) | (4,407 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (241,335 | ) | $ | (2,172 | ) | (169,143 | ) | $ | (1,435 | ) | ||||||
|
|
|
|
|
|
|
|
Note 9 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities at April 30, 2014.
Note 10 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by any Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act of 1933, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
67
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued) |
Note 11 — Recently Issued Accounting Pronouncements
On June 7, 2013, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements (“ASU 2013-08”). ASU No. 2013-08 sets forth a new approach for determining whether a public or private entity is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU No. 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the financial statements.
68
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 (1) | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.53 | $ | 9.30 | $ | 8.43 | $ | 8.84 | $ | 7.60 | $ | 5.41 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (2) | 0.23 | 0.55 | 0.64 | 0.65 | 0.60 | 0.52 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.04 | ) | (0.59 | ) | 0.75 | (0.36 | ) | 1.19 | 2.32 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.19 | (0.04 | ) | 1.39 | 0.29 | 1.79 | 2.84 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.21 | ) | (0.44 | ) | (0.52 | ) | (0.59 | ) | (0.54 | ) | (0.65 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.22 | ) | — | (0.11 | ) | (0.01 | ) | — | |||||||||||||||
Distributions from Return of Capital | — | (0.07 | ) | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.21 | ) | (0.73 | ) | (0.52 | ) | (0.70 | ) | (0.55 | ) | (0.65 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Redemption Fees | — | — | — | — | — | 0.00 | (3) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 8.51 | $ | 8.53 | $ | 9.30 | $ | 8.43 | $ | 8.84 | $ | 7.60 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 2.28 | % (4) | (0.68 | )% | 16.99 | % | 3.35 | % | 24.44 | % | 56.09 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 3,826,702 | $ | 4,260,067 | $ | 4,223,485 | $ | 1,861,675 | $ | 622,371 | $ | 101,959 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.85 | % (5) | 0.83 | % | 0.84 | % | 0.87 | % | 0.92 | % | 1.17 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.60 | % (5) | 6.09 | % | 7.24 | % | 7.49 | % | 7.22 | % | 7.70 | % | ||||||||||||
Portfolio Turnover Rate | 77.48 | % (4) | 150.21 | % | 174.98 | % | 137.87 | % | 172.75 | % | 196.54 | % |
(1) | Prior to July 1, 2009, the TCW Emerging Markets Income Fund imposed a short-term redemption fee on shares owned less than 90 days equal to 2% of the value of the shares redeemed. Redemption fees are recorded by the Fund as additional paid-in-capital. The redemption fees received by the Fund are shown on a per share basis on the Financial Highlights. Effective July 1, 2009, the short-term redemption fee was eliminated. |
(2) | Computed using average shares outstanding throughout the period. |
(3) | Amount rounds to less than $0.01 per share. |
(4) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying notes to financial statements.
69
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.01 | $ | 11.93 | $ | 10.81 | $ | 11.31 | $ | 9.72 | $ | 6.89 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.29 | 0.68 | 0.81 | 0.80 | 0.74 | 0.73 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.06 | ) | (0.76 | ) | 0.93 | (0.45 | ) | 1.52 | 2.89 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.23 | (0.08 | ) | 1.74 | 0.35 | 2.26 | 3.62 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.26 | ) | (0.53 | ) | (0.62 | ) | (0.74 | ) | (0.66 | ) | (0.79 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.22 | ) | — | (0.11 | ) | (0.01 | ) | — | |||||||||||||||
Distributions from Return of Capital | — | (0.09 | ) | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.26 | ) | (0.84 | ) | (0.62 | ) | (0.85 | ) | (0.67 | ) | (0.79 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 10.98 | $ | 11.01 | $ | 11.93 | $ | 10.81 | $ | 11.31 | $ | 9.72 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 2.09 | % (2) | (0.86 | )% | 16.64 | % | 3.13 | % | 24.03 | % | 55.80 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,280,990 | $ | 1,419,298 | $ | 1,286,033 | $ | 975,772 | $ | 498,489 | $ | 12,693 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.14 | % (3) | 1.10 | % | 1.11 | % | 1.15 | % | 1.25 | % | 2.41 | % | ||||||||||||
After Expense Reimbursement | N/A | N/A | N/A | N/A | N/A | 1.30 | % | |||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.31 | % (3) | 5.83 | % | 7.23 | % | 7.18 | % | 6.88 | % | 7.94 | % | ||||||||||||
Portfolio Turnover Rate | 77.48 | % (2) | 150.21 | % | 174.98 | % | 137.87 | % | 172.75 | % | 196.54 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
70
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | December 15, 2010 (Commencement of Operations) through October 31, 2011 | ||||||||||||||
2013 | 2012 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.14 | $ | 10.52 | $ | 9.89 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (1) | 0.27 | 0.54 | 0.64 | 0.51 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.48 | ) | (0.62 | ) | 0.23 | (0.08 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | (0.21 | ) | (0.08 | ) | 0.87 | 0.43 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.12 | ) | (0.06 | ) | (0.18 | ) | (0.54 | ) | ||||||||
Distributions from Return of Capital | — | (0.24 | ) | (0.06 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.12 | ) | (0.30 | ) | (0.24 | ) | (0.54 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 9.81 | $ | 10.14 | $ | 10.52 | $ | 9.89 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | (2.10 | )% (3) | (0.89 | )% | 9.02 | % | 4.25 | % (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 131,499 | $ | 237,695 | $ | 122,196 | $ | 99,529 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 0.94 | % (4) | 0.90 | % | 0.96 | % | 1.05 | % (4) | ||||||||
After Expense Reimbursement | N/A | N/A | N/A | 0.99 | % (4) | |||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.58 | % (4) | 5.19 | % | 6.39 | % | 5.64 | % (4) | ||||||||
Portfolio Turnover Rate | 108.50 | % (3) | 290.24 | % | 252.93 | % | 191.66 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 15, 2010 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
71
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | December 15, 2010 (Commencement of Operations) through October 31, 2011 | ||||||||||||||
2013 | 2012 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.13 | $ | 10.52 | $ | 9.89 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (1) | 0.27 | 0.54 | 0.62 | 0.51 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.49 | ) | (0.64 | ) | 0.25 | (0.08 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | (0.22 | ) | (0.10 | ) | 0.87 | 0.43 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.05 | ) | (0.18 | ) | (0.54 | ) | ||||||||
Distributions from Return of Capital | — | (0.24 | ) | (0.06 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.11 | ) | (0.29 | ) | (0.24 | ) | (0.54 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 9.80 | $ | 10.13 | $ | 10.52 | $ | 9.89 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | (2.17 | )% (3) | (0.91 | )% | 8.92 | % | 4.25 | % (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 101,373 | $ | 113,380 | $ | 89,410 | $ | 68,560 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 1.25 | % (4) | 1.15 | % | 1.25 | % | 1.48 | % (4) | ||||||||
After Expense Reimbursement | 0.99 | % (4) | 0.99 | % | 0.99 | % | 0.99 | % (4) | ||||||||
Ratio of Net Investment Income to Average Net Assets | 5.53 | % (4) | 5.15 | % | 6.20 | % | 5.68 | % (4) | ||||||||
Portfolio Turnover Rate | 108.50 | % (3) | 290.24 | % | 252.93 | % | 191.66 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 15, 2010 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
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TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | July 1, 2013 (Commencement of Operations) through October 31, 2013 | |||||||
Net Asset Value per Share, Beginning of Period | $ | 10.68 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: | ||||||||
Net Investment Income (1) | 0.08 | 0.07 | ||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.21 | ) | 0.61 | |||||
|
|
|
| |||||
Total from Investment Operations | (0.13 | ) | 0.68 | |||||
|
|
|
| |||||
Less Distributions: | ||||||||
Distributions from Net Investment Income | (0.07 | ) | — | |||||
|
|
|
| |||||
Net Asset Value per Share, End of Period | $ | 10.48 | $ | 10.68 | ||||
|
|
|
| |||||
Total Return | (1.19 | )% (2) | 6.80 | % (3) | ||||
Ratios/Supplemental Data: | ||||||||
Net Assets, End of Period (in thousands) | $ | 45,832 | $ | 40,903 | ||||
Ratio of Expenses to Average Net Assets: | ||||||||
Before Expense Reimbursement | 1.38 | % (4) | 1.72 | % (4) | ||||
After Expense Reimbursement | 1.22 | % (4) | 1.26 | % (4) | ||||
Ratio of Net Investment Income to Average Net Assets | 1.56 | % (4) | 2.06 | % (4) | ||||
Portfolio Turnover Rate | 82.08 | % (2) | 52.53 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | For the period July 1, 2013 (Commencement of Operations) through October 31, 2013 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2014 (Unaudited) | July 1, 2013 (Commencement of Operations) through October 31, 2013 | |||||||
Net Asset Value per Share, Beginning of Period | $ | 10.62 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: | ||||||||
Net Investment Income (1) | 0.08 | 0.06 | ||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.19 | ) | 0.56 | |||||
|
|
|
| |||||
Total from Investment Operations | (0.11 | ) | 0.62 | |||||
|
|
|
| |||||
Less Distributions: | ||||||||
Distributions from Net Investment Income | (0.07 | ) | — | |||||
|
|
|
| |||||
Net Asset Value per Share, End of Period | $ | 10.44 | $ | 10.62 | ||||
|
|
|
| |||||
Total Return | (1.01 | )% (2) | 6.20 | % (3) | ||||
Ratios/Supplemental Data: | ||||||||
Net Assets, End of Period (in thousands) | $ | 41 | $ | 31 | ||||
Ratio of Expenses to Average Net Assets: | ||||||||
Before Expense Reimbursement | 80.96 | % (4) | 480.73 | % (4) | ||||
After Expense Reimbursement | 1.22 | % (4) | 1.26 | % (4) | ||||
Ratio of Net Investment Income to Average Net Assets | 1.62 | % (4) | 1.72 | % (4) | ||||
Portfolio Turnover Rate | 82.08 | % (2) | 52.53 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | For the period July 1, 2013 (Commencement of Operations) through October 31, 2013 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
74
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TCW International Growth Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | November 1, 2012 (Commencement of Operations) through October 31, 2013 | |||||||
Net Asset Value per Share, Beginning of Period | $ | 12.04 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: | ||||||||
Net Investment Income (1) | 0.01 | 0.05 | ||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.11 | ) | 1.99 | |||||
|
|
|
| |||||
Total from Investment Operations | (0.10 | ) | 2.04 | |||||
|
|
|
| |||||
Less Distributions: | ||||||||
Distributions from Net Investment Income | (0.09 | ) | — | |||||
Distributions from Net Realized Gain | (0.04 | ) | — | |||||
|
|
|
| |||||
Total Distributions | (0.13 | ) | — | |||||
|
|
|
| |||||
Net Asset Value per Share, End of Period | $ | 11.81 | $ | 12.04 | ||||
|
|
|
| |||||
Total Return | (0.84 | )% (2) | 20.40 | % | ||||
Ratios/Supplemental Data: | ||||||||
Net Assets, End of Period (in thousands) | $ | 1,327 | $ | 1,341 | ||||
Ratio of Expenses to Average Net Assets: | ||||||||
Before Expense Reimbursement | 4.92 | % (3) | 7.74 | % | ||||
After Expense Reimbursement | 1.04 | % (3) | 1.04 | % | ||||
Ratio of Net Investment Income to Average Net Assets | 0.19 | % (3) | 0.46 | % | ||||
Portfolio Turnover Rate | 156.28 | % (2) | 309.74 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW International Growth Fund
Financial Highlights — N Class
Six Months Ended April 30, 2014 (Unaudited) | November 1, 2012 (Commencement of Operations) through October 31, 2013 | |||||||
Net Asset Value per Share, Beginning of Period | $ | 12.01 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: | ||||||||
Net Investment Income (Loss) (1) | (0.01 | ) | 0.02 | |||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.11 | ) | 1.99 | |||||
|
|
|
| |||||
Total from Investment Operations | (0.12 | ) | 2.01 | |||||
|
|
|
| |||||
Less Distributions: | ||||||||
Distributions from Net Investment Income | (0.06 | ) | — | |||||
Distributions from Net Realized Gain | (0.04 | ) | — | |||||
|
|
|
| |||||
Total Distributions | (0.10 | ) | — | |||||
|
|
|
| |||||
Net Asset Value per Share, End of Period | $ | 11.79 | $ | 12.01 | ||||
|
|
|
| |||||
Total Return | (1.10 | )% (2) | 20.10 | % | ||||
Ratios/Supplemental Data: | ||||||||
Net Assets, End of Period (in thousands) | $ | 1,186 | $ | 1,201 | ||||
Ratio of Expenses to Average Net Assets: | ||||||||
Before Expense Reimbursement | 5.21 | % (3) | 7.99 | % | ||||
After Expense Reimbursement | 1.34 | % (3) | 1.34 | % | ||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.11 | )% (3) | 0.15 | % | ||||
Portfolio Turnover Rate | 156.28 | % (2) | 309.74 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
76
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TCW International Small Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | February 28, 2011 (Commencement of Operations) through October 31, 2011 | ||||||||||||||
2013 | 2012 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.92 | $ | 7.83 | $ | 7.68 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (Loss) (1) | (0.02 | ) | (0.01 | ) | 0.09 | (0.04 | ) | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.23 | 1.55 | 0.13 | (2.28 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 0.21 | 1.54 | 0.22 | (2.32 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.45 | ) | (0.07 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 9.05 | $ | 8.92 | $ | 7.83 | $ | 7.68 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 2.34 | % (3) | 20.77 | % | 2.92 | % | (23.20 | )% (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 20,349 | $ | 24,266 | $ | 18,354 | $ | 12,988 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 1.33 | % (4) | 1.36 | % | 1.32 | % | 1.60 | % (4) | ||||||||
After Expense Reimbursement | N/A | N/A | N/A | 1.44 | % (4) | |||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.52 | )% (4) | (0.17 | )% | 1.16 | % | (0.69 | )% (4) | ||||||||
Portfolio Turnover Rate | 128.19 | % (3) | 301.86 | % | 139.84 | % | 86.04 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period February 28, 2011 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
77
Table of Contents
TCW International Small Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2014 (Unaudited) | Year Ended October 31, | February 28, 2011 (Commencement of Operations) through October 31, 2011 | ||||||||||||||
2013 | 2012 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.92 | $ | 7.82 | $ | 7.68 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (Loss) (1) | (0.03 | ) | (0.02 | ) | 0.08 | (0.04 | ) | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.24 | 1.56 | 0.12 | (2.28 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 0.21 | 1.54 | 0.20 | (2.32 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.07 | ) | (0.44 | ) | (0.06 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 9.06 | $ | 8.92 | $ | 7.82 | $ | 7.68 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 2.31 | % (3) | 20.77 | % | 2.75 | % | (23.20 | )% (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 9,845 | $ | 11,847 | $ | 11,715 | $ | 11,192 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 1.70 | % (4) | 1.67 | % | 1.64 | % | 1.94 | % (4) | ||||||||
After Expense Reimbursement | 1.44 | % (4) | 1.44 | % | 1.44 | % | 1.44 | % (4) | ||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.64 | )% (4) | (0.23 | )% | 1.00 | % | (0.65 | )% (4) | ||||||||
Portfolio Turnover Rate | 128.19 | % (3) | 301.86 | % | 139.84 | % | 86.04 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period February 28, 2011 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(3) | For the six months ended April 30, 2014 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
78
Table of Contents
Shareholder Expenses (Unaudited)
As a shareholder of a TCW Fund, you incur ongoing operational costs of the Fund, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2013 to April 30, 2014 (181 days).
Actual Expenses The first line under each Fund in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes The second line under each Fund in the table below provides information about the hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
TCW Funds, Inc. | Beginning Account Value November 01, 2013 | Ending Account Value April 30, 2014 | Annualized Expense Ratio | Expenses Paid During Period (November 01, 2013 to April 30, 2014) | ||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.80 | 0.85 | % | $ | 4.26 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.58 | 0.85 | % | 4.26 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.90 | 1.14 | % | $ | 5.71 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.14 | 1.14 | % | 5.71 | |||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 979.00 | 0.94 | % | $ | 4.61 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.13 | 0.94 | % | 4.71 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 978.30 | 0.99 | % | $ | 4.86 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.89 | 0.99 | % | 4.96 | |||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 988.10 | 1.22 | % | $ | 6.01 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.75 | 1.22 | % | 6.11 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 989.90 | 1.22 | % | $ | 6.02 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.75 | 1.22 | % | 6.11 |
79
Table of Contents
TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value November 01, 2013 | Ending Account Value April 30, 2014 | Annualized Expense Ratio | Expenses Paid During Period (November 01, 2013 to April 30, 2014) | ||||||||||||
TCW International Growth Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 991.60 | 1.04 | % | $ | 5.14 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.64 | 1.04 | % | 5.21 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 989.00 | 1.34 | % | $ | 6.61 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.15 | 1.34 | % | 6.71 | |||||||||||
TCW International Small Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,023.40 | 1.33 | % | $ | 6.67 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.20 | 1.33 | % | 6.66 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,023.10 | 1.44 | % | $ | 7.22 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.65 | 1.44 | % | 7.20 |
80
Table of Contents
Supplemental Information
Proxy Voting Guidelines
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board of Directors of the Company has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Company’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Advisor, on behalf of the Company, prepares and file Form N-PX with the SEC not later than August 31 of each year, which includes the Company’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Company’s proxy voting record for the most recent twelve-month period ended June 30 is available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for the Company’s proxy voting record, it will send the information disclosed in the Company’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Company also discloses its proxy voting record on its website as soon as is reasonably practicable after its report on Form N-PX is filed with the SEC.
Availability of Quarterly Portfolio Schedule
The Company files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. The Form N-Q is available by calling 800-FUND-TCW (800-386-3829) to obtain a hard copy. You may also obtain the Company’s Form N-Q:
1. | By going to the SEC website at http://www.sec.gov.; or |
2. | By visiting the SEC’s Public Reference Room in Washington, D.C. and photocopying it (Phone 1-800-SEC-0330 for information on the operation of the SEC’s Public Reference Room). |
81
Table of Contents
Proud manager of the TCW and MetWest Fund families.
TCW Funds, Inc.
865 South Figueroa Street Los Angeles, California 90017
800 FUND TCW (800 386 3829)
www.TCW.com
Investment Advisor
TCW Investment Management Company 865 South Figueroa Street Los Angeles, California 90017
Transfer Agent
U.S. Bancorp Fund Services, LLC 615 E. Michigan Street Milwaukee, Wisconsin 53202
Independent Registered Public Accounting Firm
Deloitte & Touche, LLP 350 South Grand Avenue Los Angeles, California 90071
Custodian & Administrator
State Street Bank & Trust Company 200 Clarendon Street Boston, Massachusetts 02116
Distributor
TCW Funds Distributors 865 South Figueroa Street Los Angeles, California 90017
Directors
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell Director
David S. DeVito Director
John A. Gavin Director
Janet E. Kerr Director
Peter McMillan Director
Charles A. Parker Director
Victoria B. Rogers Director
Marc I. Stern Director
Andrew Tarica Director
Officers
David S. DeVito
President and Chief Executive Officer
Meredith S. Jackson Senior Vice President,
General Counsel, Secretary and Interim Chief Compliance Officer
Richard M. Villa
Treasurer and Chief Financial Officer
Peter A. Brown Senior Vice President
Patrick W. Dennis Assistant Secretary
Jon-Luc Dupuy Assistant Secretary
George N. Winn Assistant Treasurer
TCW Family of Funds
Equity Funds
TCW Concentrated Value Fund TCW Growth Fund TCW Growth Equities Fund
TCW Relative Value Dividend Appreciation Fund TCW Relative Value Large Cap Fund TCW Select Equities Fund TCW Small Cap Growth Fund TCW SMID Cap Growth Fund TCW Value Opportunities Fund
TCW Allocation Fund
TCW Conservative Allocation Fund
Fixed Income Funds
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund TCW Global Bond Fund TCW High Yield Bond Fund TCW Short Term Bond Fund TCW Total Return Bond Fund
International Funds
TCW Emerging Markets income Fund
TCW Emerging Markets Local Currency Income Fund TCW Emerging Markets Multi-Asset Opportunities Fund TCW International Growth Fund TCW International Small Cap Fund
FUNDsarINT0414
Table of Contents
Item 2. | Code of Ethics. |
Not required for this filing.
Item 3. | Audit Committee Financial Expert. |
Not required for this filing.
Item 4. | Principal Accountant Fees and Services. |
Not required for this filing.
Item 5. | Audit of Committee of Listed Registrants. |
Not applicable.
Item 6. | Schedule of Investments. |
The Schedule of Investments is included as part of Item 1 of this form.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
No material changes have been made to registrant’s procedures by which shareholders may recommend nominees to registrant’s Board of Directors.
Item 11. | Controls and Procedures. |
(a) | The Chief Executive Officer and Chief Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in rule 30a-2(c) under the Investment Company Act of 1940) provide reasonable assurances that material information relating to the registrant is made known to them by the appropriate persons as of a date within 90 days of the filing date of this |
Table of Contents
report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Investment Company Act of 1940 and 15d-15(b) under the Exchange Act.
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Table of Contents
Item 12. | Exhibits. |
(a)(1) Not required for this filing.
(a)(2) The certifications required by Rule 30a-2(a) of the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 (“Sarbanes-Oxley Act”) are filed herewith.
(a)(3) Not required for this filing.
(b) The certifications required by Rule 30a-2(b) of the 1940 Act and Section 906 of the Sarbanes-Oxley Act are filed herewith.
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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) | TCW Funds, Inc. | |
By (Signature and Title) | /s/ David S. DeVito | |
David S. DeVito | ||
Chief Executive Officer | ||
Date | June 19, 2014 |
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/ David S. DeVito | |
David S. DeVito | ||
Chief Executive Officer | ||
Date | June 19, 2014 | |
By (Signature and Title) | /s/ Richard M. Villa | |
Richard M. Villa | ||
Chief Financial Officer | ||
Date | June 19, 2014 |