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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, 2015
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Item 1. | Report to Stockholders. |
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TCWFunds TCW Family of Funds APRIL 30 2015 SEMI-ANNUAL REPORT TCW EQUITY FUNDS TCW Concentrated Value Fund TCW Global Real Estate Fund TCW Growth Equities Fund TCW High Dividend Equities Fund TCW Relative Value Dividend Appreciation Fund TCW Relative Value Large Cap Fund TCW Relative Value Mid Cap Fund TCW Select Equities Fund TCW Small Cap Growth Fund TCW SMID Cap Growth Fund ASSET ALLOCATION FUND TCW Conservative Allocation Fund
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April 30, 2015 |
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David S. DeVito President, Chief Executive Officer & Director |
Dear Valued Investors:
I am pleased to present the semi-annual report for the TCW Funds, Inc. covering the six-month period ended April 30, 2015. 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, 2015, the TCW Funds held total net assets of approximately $19.3 billion.
This report contains information outlining the performance of the TCW Funds and a listing of the portfolio holdings as of April 30, 2015.
About the TCW Funds
The TCW Funds offer shareholders a choice of 22 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
When the Federal Reserve announced in December 2013 that the time had come to begin drawing down its purchases of U.S. Treasury securities and agency mortgages, the market reacted with a backup in yields that saw the 10-Year Note climb above 3% for the first time since 2011. That wasn’t so surprising; after all, the Fed was removing itself — and $85 billion of monthly purchasing power — from those markets, a considerable technical drag. What wasn’t expected, however, was that would be the last time the 10-Year saw a yield as high as 3%! Despite a reasonably good pace of economic growth through 2014 and strong gains in employment in the past 15 months, U.S. rates have fallen, primarily due to a global environment of central bank accommodation that has rates across most of the developed
markets lower than within the U.S. So, it’s ironic that despite the lack of sustained upward rate pressure out the yield curve, much of the current rates discussion focuses on when rate hikes will begin and the anticipated pace of follow-up. And it would seem that the Fed’s objectives are at least twofold: one, to take the Fed Funds rate off the zero bound while remaining accommodating and, two, to avoid a violent reaction to the regime change presaged in the May 2013 “Taper Tantrum.”
The U.S. Stock Market and our U.S. Equity Funds
U.S. stocks posted solid gains during the six month period ended April 30, 2015, with the S&P 500 Index advancing 4.4% on a total return basis despite a number of headwinds during the period. The 58% decline in the price of WTI crude oil from mid-June 2014 to late January of this year, coupled with a nearly 20% gain in the DXY U.S. Dollar Index, undercut stock market investors’ confidence in the resilience of corporate earnings estimates. At the same time, a steady stream of weak macroeconomic data emanating from Europe, Japan, China and many emerging market countries stoked concerns that the U.S. economy could be dragged down by the slowdown in global growth. However, these worries were assuaged by both the Fed’s statement that it would continue to remain patient in terms of the timetable for hiking interest rates, as well as the ECB’s announcement that it would embark upon a quantitative easing program entailing asset purchases totaling at least 1.1 trillion Euros through September 2016. Importantly, corporate earnings results for the first quarter of 2015 proved better than expected and provided support to U.S. stock prices.
For the six months ended April 30, 2015, our value-oriented equity strategies outperformed their respective benchmarks, in many cases boosted by their exposure to names in the top-performing consumer discretionary, healthcare, and technology sectors. Several of our more aggressive growth-oriented equity funds trailed their respective benchmarks during the same period, as global growth concerns raised doubts about the strength of the US economic recovery and hurt investor sentiment towards higher beta aggressive growth names.
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Letter to Shareholders (Continued) |
The U.S. Fixed Income Market and our U.S. Fixed Income Funds
Through early 2015, U.S. Treasury yields fell, led by a vigorous rally in January, after which rates retraced higher on a strong February job report, before finishing on a downtrend due to a dovish interpretation of the March FOMC meeting, where the governors uniformly lowered estimates of future Fed Funds levels. The lower yields fueled price appreciation across the market, with modestly narrowing investment grade corporate spreads delivering a solid gain. Agency residential mortgage-backed securities (MBS) struggled to keep up with the strong U.S. Treasury performance in January and spent the remainder of the quarter playing catch-up, ultimately resulting in a nearly 50 basis point lag on a duration-adjusted basis. Both agency and non-agency commercial MBS (CMBS) generated good relative performance, while asset-backed securities (ABS), overwhelmingly floating rate in nature and thus limited in interest rate duration, produced positive relative returns as well. High yield corporates enjoyed a very good start to the year, especially in February, with a rebound in energy issues, overcoming considerable volatility and a disappointing end to 2014.
International/Global Markets and our Emerging Markets Funds
The Emerging Markets (EM) have been volatile — a default in Argentina, a border crisis in Russia, the threat of a downgrade in Brazil and a significant repricing of the commodity complex. Throughout this period of volatility, however, EM sovereigns as a whole have been able to retain strong balance sheets, with external debt to GDP in the 40% range – at or near the levels before the Global Financial Crisis — and significantly below that of many developed economies. Against this backdrop, Emerging Markets hard currency debt has outperformed or performed in line with various developed market fixed income indices this year. EM local currency debt, however, has underperformed due to dollar strength, although we believe this segment of the market could be an attractive investment opportunity as we get closer to the first Fed rate hike (dollar strength has typically peaked at or before the first Fed move in previous cycles).
For the six months ended April 30, 2015, the TCW Emerging Markets Income Fund I Share returned a negative 3.59% versus the J.P. Morgan EMBI Global Diversified Index return of +1.37%. Underperformance during this period was primarily driven by an active restructuring in the portfolio in December and January to
reduce corporate exposure and add sovereign exposure. Since we made this shift, we have been tracking more in line with the index. During the same period, the TCW Emerging Markets Local Currency Fund I Share returned a negative 6.46%, outperforming the J.P. Morgan GBI-EM Global Diversified Index which returned a negative 8.24%. This outperformance was driven by our focus on reform-oriented countries and active currency hedging.
An Update on the TCW Fund Family
We wanted to update our shareholders on the TCW Funds family over the past six months. During the first quarter, Ray Prasad, CFA, Managing Director, was named Lead Portfolio Manager, and Andrey Glukhov, CFA, Senior Vice President, was named Co-Portfolio Manager for the TCW International Small Cap Fund (TGICX and TGNIX) and the TCW International Growth Fund (TGIBX and TGIDX). Rohit Sah, who served as Portfolio Manager of the funds, left TCW to pursue other opportunities.
Looking Ahead
As a basis for strategy from a forward-looking perspective, through much of 2014, U.S. economic data had been largely consistent with an effort by the Fed to begin removing monetary accommodation, either by raising rates or shrinking its balance sheet. However, with global growth languishing and a strong U.S. dollar, any move by the Fed to begin tightening policy runs a risk of importing a slower economic pace and spurring market volatility. As a result, the pundits will talk about the Fed looking to “thread the needle” of removing incentives to misallocate capital, while not inadvertently bringing havoc to the markets. Exacerbating the risk of volatility is a liquidity environment that could amplify such effects to the downside, as the reduced size of bank trading books may prove insufficient to meet investor needs. That, in fact, could be an opportunity to capture returns across all the markets in which the Funds operate through disciplined strategy implementation and rigorous security selection, as well as being a provider of liquidity to those most willing to pay for it.
With respect to U.S. equities, looking forward, we believe that should the Fed initiate an interest rate hike this Fall, such a rate hike would not necessarily portend a negative backdrop for U.S. stocks if accompanied by sufficient underlying strength in the real economy. Yet, we note that because 2015 U.S. earnings growth expectations have declined from the high to the
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mid-single digits on the back of a dismal energy sector earnings outlook, consensus stock valuations have drifted up to approximately 17 times forward earnings, which is slightly above their three-decade average of around 16 times. We would add, however, that current valuation levels are in many cases warranted by strong company fundamentals, including deleveraged balance sheets, high cash balances, and near-record profit margins in the midst of a low, stable inflation environment. We remain mindful, of course, of the prospect for heightened volatility until greater clarity emerges with respect to the nature and timing of the Fed’s monetary policy shift to “normalize” interest rates, as well as the resiliency of corporate earnings.
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, 2015 (1) | ||||||||||||||||||||||||
NAV | 1-Year | 5-Year | 10-Year | Since Inception | Inception Date | |||||||||||||||||||
TCW Concentrated Value Fund | ||||||||||||||||||||||||
I Class | $ | 19.98 | 11.98 | % | 12.60 | % | 6.35 | % | 6.35 | % | 11/01/04 | |||||||||||||
N Class | $ | 19.77 | 11.99 | % | 12.36 | % | 6.20 | % | 5.96 | % (2) | 07/20/98 | (3) | ||||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||||||||||
I Class | $ | 12.50 | 8.69 | % | 7.01 | % | N/A | 5.85 | % | 11/16/06 | ||||||||||||||
N Class | $ | 12.47 | 8.09 | % | 6.70 | % | N/A | 5.66 | % | 11/16/06 | ||||||||||||||
TCW Global Real Estate Fund | ||||||||||||||||||||||||
I Class | $ | 10.13 | N/A | N/A | N/A | 2.22 | % (4) | 12/01/14 | ||||||||||||||||
N Class | $ | 10.13 | N/A | N/A | N/A | 2.22 | % (4) | 12/01/14 | ||||||||||||||||
TCW Growth Equities Fund | ||||||||||||||||||||||||
I Class | $ | 12.32 | 12.50 | % | 10.20 | % | 9.83 | % | 8.30 | % | 03/01/04 | |||||||||||||
N Class | $ | 12.23 | 12.50 | % | 10.19 | % | 9.79 | % | 8.26 | % | 03/01/04 | |||||||||||||
TCW High Dividend Equities Fund | ||||||||||||||||||||||||
I Class | $ | 10.33 | N/A | N/A | N/A | 4.42 | % (4) | 12/01/14 | ||||||||||||||||
N Class | $ | 10.33 | N/A | N/A | N/A | 4.42 | % (4) | 12/01/14 | ||||||||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||||||||||
I Class | $ | 17.18 | 8.95 | % | 14.20 | % | 7.40 | % | 7.65 | % | 11/01/04 | |||||||||||||
N Class | $ | 17.47 | 8.68 | % | 13.88 | % | 7.08 | % (5) | 9.51 | % (5) | 09/19/86 | (3) | ||||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||||||||||
I Class | $ | 22.92 | 9.83 | % | 13.74 | % | 7.42 | % | 8.11 | % | 01/02/04 | |||||||||||||
N Class | $ | 22.87 | 9.50 | % | 13.46 | % | 7.18 | % (5) | 6.58 | % (5) | 01/02/98 | (3) | ||||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||||||||||
I Class | $ | 24.71 | 6.24 | % | 13.00 | % | 7.78 | % | 11.19 | % (6) | 11/01/96 | (3) | ||||||||||||
N Class | $ | 24.15 | 5.97 | % | 12.68 | % | 7.45 | % | 8.43 | % | 11/01/00 | |||||||||||||
TCW Select Equities Fund | ||||||||||||||||||||||||
I Class | $ | 27.29 | 16.50 | % | 14.04 | % | 8.63 | % | 10.00 | % (6) | 07/01/91 | (3) | ||||||||||||
N Class | $ | 25.73 | 16.20 | % | 13.71 | % | 8.34 | % | 5.44 | % | 03/01/99 | |||||||||||||
TCW Small Cap Growth Fund | ||||||||||||||||||||||||
I Class | $ | 30.28 | 18.95 | % | 9.19 | % | 11.39 | % | 9.61 | % (6) | 12/01/89 | (3) | ||||||||||||
N Class | $ | 28.27 | 18.77 | % | 8.88 | % | 11.07 | % | 4.58 | % | 03/01/99 | |||||||||||||
TCW SMID Cap Growth Fund | ||||||||||||||||||||||||
I Class | $ | 15.10 | 11.88 | % | N/A | N/A | 10.36 | % | 11/01/10 | |||||||||||||||
N Class | $ | 15.10 | 11.88 | % | N/A | N/A | 10.36 | % | 11/01/10 |
(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) | Cumulative return from Inception Date through April 30, 2015. |
(5) | 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. |
(6) | 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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Schedule of Investments (Unaudited) | April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (5.5% of Net Assets) | ||||||||
3,000 | Honeywell International, Inc. | $ | 302,760 | |||||
1,975 | TransDigm Group, Inc. | 418,957 | ||||||
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| |||||||
Total Aerospace & Defense | 721,717 | |||||||
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| |||||||
Airlines (4.2%) | ||||||||
7,850 | American Airlines Group, Inc. | 379,037 | ||||||
3,720 | Delta Air Lines, Inc. | 166,061 | ||||||
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| |||||||
Total Airlines | 545,098 | |||||||
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| |||||||
Banks (11.3%) | ||||||||
4,850 | JPMorgan Chase & Co. | 306,811 | ||||||
4,205 | M&T Bank Corp. | 503,212 | ||||||
12,005 | Wells Fargo & Co. | 661,476 | ||||||
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Total Banks | 1,471,499 | |||||||
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| |||||||
Beverages (3.1%) | ||||||||
3,325 | Anheuser-Busch InBev NV (Belgium) (SP ADR) | 399,133 | ||||||
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Biotechnology (5.7%) | ||||||||
2,500 | Amgen, Inc. | 394,775 | ||||||
3,285 | Celgene Corp. (1) | 354,977 | ||||||
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Total Biotechnology | 749,752 | |||||||
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Capital Markets (3.2%) | ||||||||
2,140 | Goldman Sachs Group, Inc. (The) | 420,339 | ||||||
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Chemicals (5.0%) | ||||||||
2,025 | Air Products & Chemicals, Inc. | 290,446 | ||||||
3,270 | Ecolab, Inc. | 366,174 | ||||||
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Total Chemicals | 656,620 | |||||||
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Containers & Packaging (3.4%) | ||||||||
9,705 | Sealed Air Corp. | 442,548 | ||||||
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Energy Equipment & Services (1.1%) | ||||||||
1,500 | Schlumberger, Ltd. | 141,915 | ||||||
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Food & Staples Retailing (3.2%) | ||||||||
4,240 | CVS Health Corp. | 420,990 | ||||||
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Food Products (6.1%) | ||||||||
3,550 | Hershey Co. (The) | 326,316 | ||||||
4,875 | Mead Johnson Nutrition Co. | 467,610 | ||||||
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Total Food Products | 793,926 | |||||||
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Health Care Providers & Services (2.1%) | ||||||||
1,205 | McKesson Corp. | 269,197 | ||||||
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Hotels, Restaurants & Leisure (2.1%) | ||||||||
2,490 | Wynn Resorts, Ltd. | 276,564 | ||||||
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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 | ||||||
Industrial Conglomerates (2.4%) | ||||||||
1,830 | Roper Technologies, Inc. | $ | 307,751 | |||||
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Life Sciences Tools & Services (2.8%) | ||||||||
2,935 | Thermo Fisher Scientific, Inc. | 368,871 | ||||||
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Machinery (4.2%) | ||||||||
7,505 | Allison Transmission Holdings, Inc. | 230,253 | ||||||
4,245 | IDEX Corp. | 318,418 | ||||||
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Total Machinery | 548,671 | |||||||
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Multiline Retail (5.7%) | ||||||||
4,380 | Dollar General Corp. | 318,470 | ||||||
5,535 | Dollar Tree, Inc. (1) | 422,929 | ||||||
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Total Multiline Retail | 741,399 | |||||||
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| |||||||
Oil, Gas & Consumable Fuels (6.1%) | ||||||||
3,000 | EOG Resources, Inc. | 296,850 | ||||||
9,630 | Williams Companies, Inc. (The) | 492,960 | ||||||
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| |||||||
Total Oil, Gas & Consumable Fuels | 789,810 | |||||||
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Pharmaceuticals (5.5%) | ||||||||
5,940 | AbbVie, Inc. | 384,081 | ||||||
1,162 | Actavis PLC (Ireland) (1) | 328,683 | ||||||
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Total Pharmaceuticals | 712,764 | |||||||
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Road & Rail (2.0%) | ||||||||
2,440 | Union Pacific Corp. | 259,201 | ||||||
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Specialty Retail (1.9%) | ||||||||
1,785 | Advance Auto Parts, Inc. | 255,255 | ||||||
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Technology Hardware, Storage & Peripherals (5.4%) | ||||||||
3,610 | Apple, Inc. | 451,791 | ||||||
2,565 | Western Digital Corp. | 250,703 | ||||||
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| |||||||
Total Technology Hardware, Storage & Peripherals | 702,494 | |||||||
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Textiles, Apparel & Luxury Goods (2.0%) | ||||||||
2,515 | PVH Corp. | 259,925 | ||||||
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Total Common Stock (Cost: $11,077,691) (94.0%) | 12,255,439 | |||||||
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See accompanying notes to financial statements.
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TCW Concentrated Value Fund
April 30, 2015
Number of Shares | Master Limited Partnership | Value | ||||||
Oil, Gas & Consumable Fuels (6.8%) | ||||||||
5,366 | EQT Midstream Partners LP | $ | 473,281 | |||||
4,918 | Magellan Midstream Partners LP | 410,653 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 883,934 | |||||||
|
| |||||||
Total Master Limited Partnership (Cost: $843,016) (6.8%) | 883,934 | |||||||
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| |||||||
Total Investments (Cost: $11,920,707) (100.8%) | 13,139,373 | |||||||
Liabilities in Excess of Other Assets (-0.8%) | (104,058 | ) | ||||||
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| |||||||
Net Assets (100.0%) | $ | 13,035,315 | ||||||
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Notes to the Schedule of Investments:
(1) | Non-income producing security. |
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.
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TCW Concentrated Value Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 5.5 | % | ||
Airlines | 4.2 | |||
Banks | 11.3 | |||
Beverages | 3.1 | |||
Biotechnology | 5.7 | |||
Capital Markets | 3.2 | |||
Chemicals | 5.0 | |||
Containers & Packaging | 3.4 | |||
Energy Equipment & Services | 1.1 | |||
Food & Staples Retailing | 3.2 | |||
Food Products | 6.1 | |||
Health Care Providers & Services | 2.1 | |||
Hotels, Restaurants & Leisure | 2.1 | |||
Industrial Conglomerates | 2.4 | |||
Life Sciences Tools & Services | 2.8 | |||
Machinery | 4.2 | |||
Multiline Retail | 5.7 | |||
Oil, Gas & Consumable Fuels | 12.9 | |||
Pharmaceuticals | 5.5 | |||
Road & Rail | 2.0 | |||
Specialty Retail | 1.9 | |||
Technology Hardware, Storage & Peripherals | 5.4 | |||
Textiles, Apparel & Luxury Goods | 2.0 | |||
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| |||
Total | 100.8 | % | ||
|
|
See accompanying notes to financial statements.
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TCW Conservative Allocation Fund
Schedule of Investments (Unaudited) | April 30, 2015 |
Number of Shares | Affiliated Investment Companies | Value | ||||||
Diversified U.S. Equity Funds (51.8% of Net Assets) | ||||||||
134,360 | TCW Global Real Estate Fund — I Class (1) | $ | 1,361,062 | |||||
140,342 | TCW Growth Equities Fund — I Class (1)(2) | 1,729,014 | ||||||
166,546 | TCW High Dividend Equities Fund — I Class (1) | 1,720,416 | ||||||
210,302 | TCW Relative Value Large Cap Fund — I Class (1) | 4,820,118 | ||||||
55,349 | TCW Relative Value Mid Cap Fund — I Class (1) | 1,367,681 | ||||||
260,494 | TCW Select Equities Fund — I Class (1) | 7,108,887 | ||||||
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| |||||||
Total Diversified U.S. Equity Funds | 18,107,178 | |||||||
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Diversified U.S. Fixed Income Funds (46.0%) | ||||||||
612,864 | Metropolitan West Total Return Bond Fund — I Class (1) | 6,723,123 | ||||||
904,544 | TCW Total Return Bond Fund — I Class (1) | 9,371,080 | ||||||
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| |||||||
Total Diversified U.S. Fixed Income Funds | 16,094,203 | |||||||
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| |||||||
Total Affiliated Investment Companies (Cost: $29,981,907) (97.8%) | 34,201,381 | |||||||
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Non Affiliated Investment Companies | ||||||||
Exchange-Traded Fund (0.9%) | ||||||||
19,490 | ProShares UltraShort MSCI Emerging Markets (2) | 310,086 | ||||||
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| |||||||
Total Non Affiliated Investment Companies (Cost: $509,415) (0.9%) | 310,086 | |||||||
|
| |||||||
Total Investment Companies (Cost: $30,491,322) (98.7%) | 34,511,467 | |||||||
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| |||||||
Total Investments (Cost: $30,491,322) (98.7%) | 34,511,467 | |||||||
Excess of Other Assets over Liabilities (1.3%) | 462,074 | |||||||
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Net Assets (100.0%) | $ | 34,973,541 | ||||||
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Notes to the Schedule of Investments:
(1) | Affiliated issuer. |
(2) | Non-income producing security. |
See accompanying notes to financial statements.
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TCW Conservative Allocation Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Diversified U.S. Equity Funds | 51.8 | % | ||
Diversified U.S. Fixed Income Funds | 46.0 | |||
Exchange-Traded Funds | 0.9 | |||
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| |||
Total | 98.7 | % | ||
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|
See accompanying notes to financial statements.
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Schedule of Investments (Unaudited) | April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Australia (5.7% of Net Assets) | ||||||||
24,897 | Scentre Group | $ | 73,097 | |||||
9,425 | Westfield Corp. | 69,843 | ||||||
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| |||||||
Total Australia (Cost: $142,957) | 142,940 | |||||||
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China (3.9%) | ||||||||
8,000 | China Overseas Land & Investment, Ltd. | 33,269 | ||||||
10,657 | Link REIT (The) | 66,100 | ||||||
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| |||||||
Total China (Cost: $92,412) | 99,369 | |||||||
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France (4.8%) | ||||||||
799 | Klepierre | 38,676 | ||||||
297 | Unibail — Rodamco SE | 81,837 | ||||||
|
| |||||||
Total France (Cost: $118,415) | 120,513 | |||||||
|
| |||||||
Germany (Cost: $42,069) (1.7%) | ||||||||
1,654 | Deutsche Wohnen AG | 43,295 | ||||||
|
| |||||||
Japan (10.0%) | ||||||||
3,000 | Mitsubishi Estate Co., Ltd. | 70,452 | ||||||
2,000 | Mitsui Fudosan Co., Ltd. | 59,155 | ||||||
41 | Mori Hills REIT Investment Corp. | 56,140 | ||||||
31 | Nippon Prologis REIT, Inc. | 67,018 | ||||||
|
| |||||||
Total Japan (Cost: $250,143) | 252,765 | |||||||
|
| |||||||
Singapore (Cost: $66,843) (2.8%) | ||||||||
34,251 | Global Logistic Properties, Ltd. | 70,966 | ||||||
|
| |||||||
United Kingdom (Cost: $55,618) (2.2%) | ||||||||
4,432 | British Land Co. PLC (The) | 56,512 | ||||||
|
| |||||||
United States (60.7%) | ||||||||
2,481 | American Capital Agency Corp. | 51,195 | ||||||
291 | AvalonBay Communities, Inc. | 47,823 | ||||||
284 | Boston Properties, Inc. | 37,576 | ||||||
5,506 | Chimera Investment Corp. | 83,636 | ||||||
3,030 | Colony Capital, Inc. | 78,507 | ||||||
868 | Digital Realty Trust, Inc. | 55,040 | ||||||
146 | Equinix, Inc. | 37,366 | ||||||
589 | Equity Residential | 43,504 | ||||||
915 | First Industrial Realty Trust, Inc. | 18,053 | ||||||
1,782 | Gaming and Leisure Properties, Inc. | 63,617 | ||||||
1,479 | General Growth Properties, Inc. | 40,525 | ||||||
1,644 | HCP, Inc. | 66,237 | ||||||
794 | Health Care REIT, Inc. | 57,184 | ||||||
1,719 | Hospitality Properties Trust | 51,707 | ||||||
3,086 | Host Hotels & Resorts, Inc. | 62,152 | ||||||
467 | Lennar Corp. | 21,389 | ||||||
842 | Macerich Co. (The) | 68,842 |
See accompanying notes to financial statements.
11
Table of Contents
TCW Global Real Estate Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
United States (Continued) | ||||||||
4,033 | MDC Holdings, Inc. | $ | 108,246 | |||||
7,055 | MFA Financial, Inc. | 54,817 | ||||||
1,449 | Prologis, Inc. | 58,250 | ||||||
299 | Public Storage | 56,185 | ||||||
525 | Simon Property Group, Inc. | 95,282 | ||||||
1,583 | Toll Brothers, Inc. (1) | 56,260 | ||||||
3,982 | Two Harbors Investment Corp. | 41,811 | ||||||
681 | Ventas, Inc. | 46,921 | ||||||
300 | Vornado Realty Trust | 31,047 | ||||||
6,604 | WP GLIMCHER, Inc. | 99,060 | ||||||
|
| |||||||
Total United States (Cost: $1,580,018) | 1,532,232 | |||||||
|
| |||||||
Total Common Stock (Cost: $2,348,475) (91.8%) | 2,318,592 | |||||||
|
| |||||||
Preferred Stock | ||||||||
United States (4.5%) | ||||||||
2,206 | NorthStar Realty Finance Corp., 8.75% | 58,525 | ||||||
2,069 | Public Storage, 6% | 53,504 | ||||||
|
| |||||||
Total United States (Cost: $111,352) | 112,029 | |||||||
|
| |||||||
Total Preferred Stock (Cost: $111,352) (4.5%) | 112,029 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $43,078) (1.7%) | ||||||||
$ | 43,078 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $45,000 U.S. Treasury Note, 1.5%, due 01/31/19 valued at $45,770 (Total Amount to be Received Upon Repurchase $43,078) | 43,078 | |||||
|
| |||||||
Total Investments (Cost: $2,502,905) (98.0%) | 2,473,699 | |||||||
Excess of Other Assets over Liabilities (2.0%) | 51,162 | |||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 2,524,861 | ||||||
|
|
Notes to the Schedule of Investments:
REIT - | Real Estate Investment Trust. |
(1) | Non-income producing security. |
See accompanying notes to financial statements.
12
Table of Contents
TCW Global Real Estate Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Building-Residential/Commercial | 7.4 | % | ||
Casino Services | 2.5 | |||
Real Estate Management/Services | 4.5 | |||
Real Estate Operations/Development | 6.5 | |||
REITS-Apartments | 3.6 | |||
REITS-Diversified | 12.6 | |||
REITS-Health Care | 6.8 | |||
REITS-Hotels | 4.5 | |||
REITS-Mortgage | 14.6 | |||
REITS-Office Property | 1.5 | |||
REITS-Regional Malls | 8.1 | |||
REITS-Shopping Centers | 12.2 | |||
REITS-Storage | 4.3 | |||
REITS-Warehouse/Industrial | 5.7 | |||
Web Hosting/Design | 1.5 | |||
Short-Term Investments | 1.7 | |||
|
| |||
Total | 98.0 | % | ||
|
|
See accompanying notes to financial statements.
13
Table of Contents
Schedule of Investments (Unaudited)
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (4.2% of Net Assets) | ||||||||
10,050 | BE Aerospace, Inc. | $ | 600,889 | |||||
7,763 | HEICO Corp. | 433,486 | ||||||
|
| |||||||
Total Aerospace & Defense | 1,034,375 | |||||||
|
| |||||||
Airlines (1.7%) | ||||||||
5,955 | Spirit Airlines, Inc. (1) | 407,739 | ||||||
|
| |||||||
Auto Components (2.1%) | ||||||||
8,565 | BorgWarner, Inc. | 507,048 | ||||||
|
| |||||||
Beverages (8.2%) | ||||||||
2,155 | Boston Beer Co., Inc. (1) | 534,009 | ||||||
5,400 | Constellation Brands, Inc. (1) | 626,076 | ||||||
6,090 | Monster Beverage Corp. (1) | 835,000 | ||||||
|
| |||||||
Total Beverages | 1,995,085 | |||||||
|
| |||||||
Biotechnology (4.6%) | ||||||||
5,290 | Alkermes PLC (Ireland) (1) | 292,907 | ||||||
3,085 | BioMarin Pharmaceutical, Inc. (1) | 345,674 | ||||||
2,635 | Incyte Corp. (1) | 256,017 | ||||||
3,885 | Isis Pharmaceuticals, Inc. (1) | 220,357 | ||||||
|
| |||||||
Total Biotechnology | 1,114,955 | |||||||
|
| |||||||
Capital Markets (2.2%) | ||||||||
27,710 | WisdomTree Investments, Inc. | 527,598 | ||||||
|
| |||||||
Diversified Consumer Services (2.1%) | ||||||||
5,875 | MarketAxess Holdings, Inc. | 504,369 | �� | |||||
|
| |||||||
Electrical Equipment (1.9%) | ||||||||
3,935 | Rockwell Automation, Inc. | 466,691 | ||||||
|
| |||||||
Energy Equipment & Services (3.0%) | ||||||||
5,585 | Core Laboratories NV (Netherlands) | 733,199 | ||||||
|
| |||||||
Food & Staples Retailing (1.8%) | ||||||||
5,426 | Pricesmart, Inc. | 436,576 | ||||||
|
| |||||||
Food Products (6.0%) | ||||||||
13,775 | Hain Celestial Group, Inc. (The) (1) | 829,806 | ||||||
14,199 | WhiteWave Foods Co. (The) (1) | 624,330 | ||||||
|
| |||||||
Total Food Products | 1,454,136 | |||||||
|
| |||||||
Health Care Equipment & Supplies (3.0%) | ||||||||
1,465 | Intuitive Surgical, Inc. (1) | 726,611 | ||||||
|
| |||||||
Health Care Technology (4.6%) | ||||||||
3,260 | athenahealth, Inc. (1) | 399,872 | ||||||
9,920 | Cerner Corp. (1) | 712,355 | ||||||
|
| |||||||
Total Health Care Technology | 1,112,227 | |||||||
|
|
See accompanying notes to financial statements.
14
Table of Contents
TCW Growth Equities Fund
April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Hotels, Restaurants & Leisure (4.8%) | ||||||||
8,565 | Habit Restaurants, Inc. (The) (1) | $ | 283,673 | |||||
17,803 | Hilton Worldwide Holdings, Inc. (1) | 515,575 | ||||||
3,270 | Wynn Resorts, Ltd. | 363,199 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 1,162,447 | |||||||
|
| |||||||
Internet & Catalog Retail (3.0%) | ||||||||
10,020 | Etsy, Inc. (1) | 222,845 | ||||||
6,275 | TripAdvisor, Inc. (1) | 505,075 | ||||||
|
| |||||||
Total Internet & Catalog Retail | 727,920 | |||||||
|
| |||||||
Internet Software & Services (6.3%) | ||||||||
13,960 | Cornerstone OnDemand, Inc. (1) | 399,675 | ||||||
2,050 | LinkedIn Corp. (1) | 516,866 | ||||||
15,930 | Twitter, Inc. (1) | 620,633 | ||||||
|
| |||||||
Total Internet Software & Services | 1,537,174 | |||||||
|
| |||||||
Leisure Products (1.4%) | ||||||||
2,500 | Polaris Industries, Inc. | 342,400 | ||||||
|
| |||||||
Life Sciences Tools & Services (1.4%) | ||||||||
1,886 | Illumina, Inc. (1) | 347,495 | ||||||
|
| |||||||
Machinery (8.1%) | ||||||||
3,270 | Cummins, Inc. | 452,110 | ||||||
6,330 | Graco, Inc. | 453,355 | ||||||
5,400 | Middleby Corp. (The) (1) | 547,236 | ||||||
5,370 | Wabtec Corp. | 505,048 | ||||||
|
| |||||||
Total Machinery | 1,957,749 | |||||||
|
| |||||||
Road & Rail (1.7%) | ||||||||
4,040 | Kansas City Southern | 414,060 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (3.2%) | ||||||||
7,083 | ARM Holdings PLC (United Kingdom) (SP ADR) | 361,162 | ||||||
18,880 | NVIDIA Corp. | 419,042 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 780,204 | |||||||
|
| |||||||
Software (14.4%) | ||||||||
6,330 | ANSYS, Inc. (1) | 543,367 | ||||||
14,520 | FireEye, Inc. (1) | 599,676 | ||||||
10,695 | Mobileye NV (Netherlands) (1) | 479,778 | ||||||
9,735 | ServiceNow, Inc. (1) | 728,762 | ||||||
8,255 | Splunk, Inc. (1) | 547,678 | ||||||
6,595 | Workday, Inc. (1) | 601,530 | ||||||
|
| |||||||
Total Software | 3,500,791 | |||||||
|
| |||||||
Specialty Retail (4.1%) | ||||||||
4,200 | CarMax, Inc. (1) | 286,062 |
See accompanying notes to financial statements.
15
Table of Contents
TCW Growth Equities Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Specialty Retail (Continued) | ||||||||
12,900 | Dick’s Sporting Goods, Inc. | $ | 699,954 | |||||
|
| |||||||
Total Specialty Retail | 986,016 | |||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (4.6%) | ||||||||
14,890 | Kate Spade & Co. (1) | 486,903 | ||||||
8,060 | Under Armour, Inc. (1) | 625,053 | ||||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 1,111,956 | |||||||
|
| |||||||
Total Common Stock (Cost: $16,311,264) (98.4%) | 23,888,821 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $514,955) (2.1%) | ||||||||
$ | 514,955 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $530,000 Federal National Mortgage Association, 2.08%, due 11/02/22 valued at $528,563) (Total Amount to be Received Upon Repurchase $514,955) | 514,955 | |||||
|
| |||||||
Total Investments (Cost: $16,826,219) (100.5%) | 24,403,776 | |||||||
Liabilities in Excess of Other Assets (-0.5%) | (132,901 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 24,270,875 | ||||||
|
|
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.
16
Table of Contents
TCW Growth Equities Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 4.2 | % | ||
Airlines | 1.7 | |||
Auto Components | 2.1 | |||
Beverages | 8.2 | |||
Biotechnology | 4.6 | |||
Capital Markets | 2.2 | |||
Diversified Consumer Services | 2.1 | |||
Electrical Equipment | 1.9 | |||
Energy Equipment & Services | 3.0 | |||
Food & Staples Retailing | 1.8 | |||
Food Products | 6.0 | |||
Health Care Equipment & Supplies | 3.0 | |||
Health Care Technology | 4.6 | |||
Hotels, Restaurants & Leisure | 4.8 | |||
Internet & Catalog Retail | 3.0 | |||
Internet Software & Services | 6.3 | |||
Leisure Products | 1.4 | |||
Life Sciences Tools & Services | 1.4 | |||
Machinery | 8.1 | |||
Road & Rail | 1.7 | |||
Semiconductors & Semiconductor Equipment | 3.2 | |||
Software | 14.4 | |||
Specialty Retail | 4.1 | |||
Textiles, Apparel & Luxury Goods | 4.6 | |||
Short-Term Investments | 2.1 | |||
|
| |||
Total | 100.5 | % | ||
|
|
See accompanying notes to financial statements.
17
Table of Contents
TCW High Dividend Equities Fund
Schedule of Investments (Unaudited)
Number of Shares | Common Stock | Value | ||||||
Airlines (1.5% of Net Assets) | ||||||||
650 | Copa Holdings S.A. (Panama) | $ | 72,079 | |||||
|
| |||||||
Banks (10.0%) | ||||||||
2,090 | M&T Bank Corp. | 250,110 | ||||||
4,330 | Wells Fargo & Co. | 238,583 | ||||||
|
| |||||||
Total Banks | 488,693 | |||||||
|
| |||||||
Beverages (2.9%) | ||||||||
3,515 | Coca-Cola Co. (The) | 142,568 | ||||||
|
| |||||||
Capital Markets (7.6%) | ||||||||
11,280 | Ares Capital Corp. | 191,985 | ||||||
9,835 | TPG Specialty Lending, Inc. | 178,604 | ||||||
|
| |||||||
Total Capital Markets | 370,589 | |||||||
|
| |||||||
Commercial Services & Supplies (0.7%) | ||||||||
655 | Waste Management, Inc. | 32,442 | ||||||
|
| |||||||
Communications Equipment (3.6%) | ||||||||
2,600 | QUALCOMM, Inc. | 176,800 | ||||||
|
| |||||||
Diversified Telecommunication Services (6.0%) | ||||||||
445 | Cogent Communications Group, Inc. | 15,571 | ||||||
5,510 | Verizon Communications, Inc. | 277,924 | ||||||
|
| |||||||
Total Diversified Telecommunication Services | 293,495 | |||||||
|
| |||||||
Energy Equipment & Services (0.7%) | ||||||||
1,585 | Patterson-UTI Energy, Inc. | 35,425 | ||||||
|
| |||||||
Food & Staples Retailing (1.1%) | ||||||||
695 | Wal-Mart Stores, Inc. | 54,245 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.4%) | ||||||||
210 | McDonald’s Corp. | 20,276 | ||||||
450 | Wynn Resorts, Ltd. | 49,981 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 70,257 | |||||||
|
| |||||||
Household Durables (4.2%) | ||||||||
7,770 | MDC Holdings, Inc. | 208,547 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (2.2%) | ||||||||
3,655 | Pattern Energy Group, Inc. | 105,922 | ||||||
|
| |||||||
IT Services (6.2%) | ||||||||
1,770 | International Business Machines Corp. | 303,183 | ||||||
|
| |||||||
Multiline Retail (0.5%) | ||||||||
335 | Target Corp. | 26,408 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (9.6%) | ||||||||
1,530 | Chevron Corp. | 169,922 |
See accompanying notes to financial statements.
18
Table of Contents
TCW High Dividend Equities Fund
April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Oil, Gas & Consumable Fuels (Continued) | ||||||||
2,015 | Occidental Petroleum Corp. | $ | 161,401 | |||||
2,735 | Williams Companies, Inc. (The) | 140,005 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 471,328 | |||||||
|
| |||||||
Pharmaceuticals (6.6%) | ||||||||
1,665 | AbbVie, Inc. | 107,659 | ||||||
735 | Merck & Co., Inc. | 43,776 | ||||||
1,090 | Teva Pharmaceutical Industries, Ltd. (Israel) (SP ADR) | 65,858 | ||||||
6,415 | Theravance, Inc. | 104,244 | ||||||
|
| |||||||
Total Pharmaceuticals | 321,537 | |||||||
|
| |||||||
REIT (17.0%) | ||||||||
7,305 | Colony Capital, Inc. | 189,272 | ||||||
5,890 | Gaming and Leisure Properties, Inc. | 210,273 | ||||||
610 | Lamar Advertising Co. | 35,356 | ||||||
12,130 | Two Harbors Investment Corp. | 127,365 | ||||||
17,965 | WP GLIMCHER, Inc. | 269,475 | ||||||
|
| |||||||
Total REIT | 831,741 | |||||||
|
| |||||||
Road & Rail (0.7%) | ||||||||
315 | Union Pacific Corp. | 33,463 | ||||||
|
| |||||||
Software (0.5%) | ||||||||
545 | Microsoft Corp. | 26,509 | ||||||
|
| |||||||
Specialty Retail (1.0%) | ||||||||
3,100 | Staples, Inc. | 50,592 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%) | ||||||||
200 | Apple, Inc. | 25,030 | ||||||
|
| |||||||
Tobacco (1.0%) | ||||||||
965 | Altria Group, Inc. | 48,298 | ||||||
|
| |||||||
Total Common Stock (Cost: $4,115,822) (85.5%) | 4,189,151 | |||||||
|
| |||||||
Preferred Stock | ||||||||
Banks (3.4%) | ||||||||
6,475 | Bank of America Corp., 6.5% | 167,055 | ||||||
|
| |||||||
REIT (6.0%) | ||||||||
5,195 | NorthStar Realty Finance Corp., 8.75% | 137,823 | ||||||
6,235 | Public Storage, 5.75% (1) | 156,810 | ||||||
|
| |||||||
Total REIT | 294,633 | |||||||
|
| |||||||
Total Preferred Stock (Cost: $462,231) (9.4%) | 461,688 | |||||||
|
|
See accompanying notes to financial statements.
19
Table of Contents
TCW High Dividend Equities Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Short-Term Investments | Value | ||||||
Repurchase Agreement (Cost: $233,579) (4.8%) | ||||||||
$ | 233,579 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $235,000 U.S. Treasury Note, 1.5%, due 1/31/19 valued at $239,023) | $ | 233,579 | ||||
|
| |||||||
Total Investments (Cost: $4,811,632) (99.7%) | 4,884,418 | |||||||
Excess of Other Assets over Liabilities (0.3%) | 15,121 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 4,899,539 | ||||||
|
|
Written Options - Exchange Traded | ||||||||||||
Number of | Description | Premiums (Received) | Value | |||||||||
2 | Apple, Inc., Call, Strike Price $130, Expires 05/15/2015 | $ | (848 | ) | $ | (192 | ) | |||||
3 | Target Corp., Call, Strike Price $83, Expires 05/15/2015 | (528 | ) | (39 | ) | |||||||
|
|
|
| |||||||||
Total Written Options | $ | (1,376 | ) | $ | (231 | ) | ||||||
|
|
|
|
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) | All or a portion of this security is segregated to cover for written options. |
See accompanying notes to financial statements.
20
Table of Contents
TCW High Dividend Equities Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Airlines | 1.5 | % | ||
Banks | 13.4 | |||
Beverages | 2.9 | |||
Capital Markets | 7.6 | |||
Commercial Services & Supplies | 0.7 | |||
Communications Equipment | 3.6 | |||
Diversified Telecommunication Services | 6.0 | |||
Energy Equipment & Services | 0.7 | |||
Food & Staples Retailing | 1.1 | |||
Hotels, Restaurants & Leisure | 1.4 | |||
Household Durables | 4.2 | |||
Independent Power and Renewable Electricity Producers | 2.2 | |||
IT Services | 6.2 | |||
Multiline Retail | 0.5 | |||
Oil, Gas & Consumable Fuels | 9.6 | |||
Pharmaceuticals | 6.6 | |||
REIT | 23.0 | |||
Road & Rail | 0.7 | |||
Software | 0.5 | |||
Specialty Retail | 1.0 | |||
Technology Hardware, Storage & Peripherals | 0.5 | |||
Tobacco | 1.0 | |||
Short-Term Investments | 4.8 | |||
|
| |||
Total | 99.7 | % | ||
|
|
See accompanying notes to financial statements.
21
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited)
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (2.2% of Net Assets) | ||||||||
569,585 | Textron, Inc. | $ | 25,050,348 | |||||
|
| |||||||
Air Freight & Logistics (2.2%) | ||||||||
142,880 | FedEx Corp. | 24,228,162 | ||||||
|
| |||||||
Banks (6.5%) | ||||||||
660,000 | Citigroup, Inc. | 35,191,200 | ||||||
591,304 | JPMorgan Chase & Co. | 37,405,891 | ||||||
|
| |||||||
Total Banks | 72,597,091 | |||||||
|
| |||||||
Beverages (2.6%) | ||||||||
301,745 | PepsiCo, Inc. | 28,701,984 | ||||||
|
| |||||||
Capital Markets (6.3%) | ||||||||
264,271 | Ameriprise Financial, Inc. | 33,107,871 | ||||||
485,200 | State Street Corp. | 37,418,624 | ||||||
|
| |||||||
Total Capital Markets | 70,526,495 | |||||||
|
| |||||||
Chemicals (1.8%) | ||||||||
280,165 | Du Pont (E.I.) de Nemours & Co. | 20,508,078 | ||||||
|
| |||||||
Commercial Services & Supplies (2.7%) | ||||||||
309,114 | ADT Corp. (The) | 11,622,686 | ||||||
466,505 | Tyco International PLC (Ireland) | 18,370,967 | ||||||
|
| |||||||
Total Commercial Services & Supplies | 29,993,653 | |||||||
|
| |||||||
Communications Equipment (2.9%) | ||||||||
1,138,185 | Cisco Systems, Inc. | 32,813,874 | ||||||
|
| |||||||
Consumer Finance (2.1%) | ||||||||
959,967 | Navient Corp. | 18,757,755 | ||||||
516,767 | SLM Corp. | 5,265,856 | ||||||
|
| |||||||
Total Consumer Finance | 24,023,611 | |||||||
|
| |||||||
Containers & Packaging (0.9%) | ||||||||
185,298 | Avery Dennison Corp. | 10,300,716 | ||||||
|
| |||||||
Diversified Financial Services (0.8%) | ||||||||
42,400 | Intercontinental Exchange, Inc. | 9,520,072 | ||||||
|
| |||||||
Diversified Telecommunication Services (4.0%) | ||||||||
473,860 | AT&T, Inc. | 16,414,510 | ||||||
1,544,800 | Deutsche Telekom AG (Germany) (SP ADR) | 28,377,976 | ||||||
|
| |||||||
Total Diversified Telecommunication Services | 44,792,486 | |||||||
|
| |||||||
Electric Utilities (1.4%) | ||||||||
277,600 | American Electric Power Co., Inc. | 15,787,112 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.3%) | ||||||||
695,095 | Corning, Inc. | 14,548,338 | ||||||
|
|
See accompanying notes to financial statements.
22
Table of Contents
TCW Relative Value Dividend Appreciation Fund
April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Energy Equipment & Services (3.8%) | ||||||||
241,800 | Baker Hughes, Inc. | $ | 16,553,628 | |||||
828,292 | Nabors Industries, Ltd. | 13,832,476 | ||||||
126,300 | Schlumberger, Ltd. | 11,949,243 | ||||||
|
| |||||||
Total Energy Equipment & Services | 42,335,347 | |||||||
|
| |||||||
Food & Staples Retailing (1.5%) | ||||||||
469,100 | Sysco Corp. | 17,370,773 | ||||||
|
| |||||||
Food Products (2.9%) | ||||||||
280,100 | Campbell Soup Co. | 12,523,271 | ||||||
516,615 | Mondelez International, Inc. | 19,822,518 | ||||||
|
| |||||||
Total Food Products | 32,345,789 | |||||||
|
| |||||||
Health Care Providers & Services (2.3%) | ||||||||
47,800 | Catamaran Corp. (1) | 2,836,930 | ||||||
319,050 | Quest Diagnostics, Inc | 22,786,551 | ||||||
|
| |||||||
Total Health Care Providers & Services | 25,623,481 | |||||||
|
| |||||||
Household Durables (1.3%) | ||||||||
310,271 | Lennar Corp. | 14,210,412 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.7%) | ||||||||
572,000 | AES Corp. | 7,579,000 | ||||||
|
| |||||||
Industrial Conglomerates (6.6%) | ||||||||
1,602,550 | General Electric Co. | 43,397,054 | ||||||
1,057,845 | Koninklijke Philips Electronics NV (Netherlands) (NYRS) | 30,264,945 | ||||||
|
| |||||||
Total Industrial Conglomerates | 73,661,999 | |||||||
|
| |||||||
Insurance (6.5%) | ||||||||
332,600 | Allstate Corp. (The) | 23,168,916 | ||||||
425,880 | MetLife, Inc. | 21,843,385 | ||||||
281,000 | Travelers Cos., Inc. (The) | 28,411,910 | ||||||
|
| |||||||
Total Insurance | 73,424,211 | |||||||
|
| |||||||
Machinery (1.2%) | ||||||||
226,032 | Pentair PLC (United Kingdom) | 14,047,889 | ||||||
|
| |||||||
Media (5.5%) | ||||||||
511,462 | Comcast Corp. | 29,542,045 | ||||||
815,800 | Regal Entertainment Group | 17,947,600 | ||||||
628,536 | Time, Inc. | 14,349,477 | ||||||
|
| |||||||
Total Media | 61,839,122 | |||||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.4%) | ||||||||
239,300 | Chesapeake Energy Corp. | 3,773,761 | ||||||
313,760 | Chevron Corp. | 34,846,186 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 38,619,947 | |||||||
|
|
See accompanying notes to financial statements.
23
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Personal Products (0.8%) | ||||||||
1,070,159 | Avon Products, Inc. | $ | 8,743,199 | |||||
|
| |||||||
Pharmaceuticals (7.1%) | ||||||||
226,400 | Johnson & Johnson | 22,458,880 | ||||||
441,170 | Merck & Co., Inc. | 26,276,085 | ||||||
924,900 | Pfizer, Inc. | 31,381,857 | ||||||
|
| |||||||
Total Pharmaceuticals | 80,116,822 | |||||||
|
| |||||||
REIT (1.2%) | ||||||||
539,400 | Kimco Realty Corp. | 12,999,540 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (5.8%) | ||||||||
176,400 | Broadcom Corp. | 7,797,762 | ||||||
792,336 | Intel Corp. | 25,790,537 | ||||||
583,460 | Maxim Integrated Products, Inc. | 19,154,992 | ||||||
253,800 | Microchip Technology, Inc. | 12,094,839 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 64,838,130 | |||||||
|
| |||||||
Software (2.8%) | ||||||||
654,775 | Microsoft Corp. | 31,848,256 | ||||||
|
| |||||||
Specialty Retail (3.5%) | ||||||||
517,065 | Gap, Inc. (The) | 20,496,456 | ||||||
174,114 | Home Depot, Inc. (The) | 18,626,716 | ||||||
|
| |||||||
Total Specialty Retail | 39,123,172 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (2.8%) | ||||||||
545,065 | Seagate Technology PLC (Netherlands) | 32,006,217 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.6%) | ||||||||
174,000 | Coach, Inc. | 6,648,540 | ||||||
|
| |||||||
Thrifts & Mortgage Finance (1.5%) | ||||||||
965,400 | New York Community Bancorp, Inc. | 16,595,226 | ||||||
|
| |||||||
Total Common Stock (Cost: $853,541,037) (99.5%) | 1,117,369,092 | |||||||
|
|
See accompanying notes to financial statements.
24
Table of Contents
TCW Relative Value Dividend Appreciation Fund
April 30, 2015 |
Principal Amount | Short-Term Investments | Value | ||||||
Repurchase Agreement (Cost: $4,344,180) (0.4%) | ||||||||
$ | 4,344,180 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $4,500,000 Federal Home Loan Mortgage Corp., 1.96%, due 11/07/22, valued at $4,434,210) (Total Amount to be Received Upon Repurchase $4,344,180) | $ | 4,344,180 | ||||
|
| |||||||
Total Investments (Cost: $857,885,217) (99.9%) | 1,121,713,272 | |||||||
Excess of Other Assets over Liabilities (0.1%) | 1,162,040 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 1,122,875,312 | ||||||
|
|
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. |
(1) | Non-income producing security. |
See accompanying notes to financial statements.
25
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.2 | % | ||
Air Freight & Logistics | 2.2 | |||
Banks | 6.5 | |||
Beverages | 2.6 | |||
Capital Markets | 6.3 | |||
Chemicals | 1.8 | |||
Commercial Services & Supplies | 2.7 | |||
Communications Equipment | 2.9 | |||
Consumer Finance | 2.1 | |||
Containers & Packaging | 0.9 | |||
Diversified Financial Services | 0.8 | |||
Diversified Telecommunication Services | 4.0 | |||
Electric Utilities | 1.4 | |||
Electronic Equipment, Instruments & Components | 1.3 | |||
Energy Equipment & Services | 3.8 | |||
Food & Staples Retailing | 1.5 | |||
Food Products | 2.9 | |||
Health Care Providers & Services | 2.3 | |||
Household Durables | 1.3 | |||
Independent Power and Renewable Electricity Producers | 0.7 | |||
Industrial Conglomerates | 6.6 | |||
Insurance | 6.5 | |||
Machinery | 1.2 | |||
Media | 5.5 | |||
Oil, Gas & Consumable Fuels | 3.4 | |||
Personal Products | 0.8 | |||
Pharmaceuticals | 7.1 | |||
REIT | 1.2 | |||
Semiconductors & Semiconductor Equipment | 5.8 | |||
Software | 2.8 | |||
Specialty Retail | 3.5 | |||
Technology Hardware, Storage & Peripherals | 2.8 | |||
Textiles, Apparel & Luxury Goods | 0.6 | |||
Thrifts & Mortgage Finance | 1.5 | |||
Short-Term Investments | 0.4 | |||
|
| |||
Total | 99.9 | % | ||
|
|
See accompanying notes to financial statements.
26
Table of Contents
TCW Relative Value Large Cap Fund
Schedule of Investments (Unaudited) | April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (3.2% of Net Assets) | ||||||||
536,510 | Textron, Inc. | $ | 23,595,710 | |||||
|
| |||||||
Auto Components (2.3%) | ||||||||
764,470 | Dana Holding Corp. | 16,489,618 | ||||||
|
| |||||||
Banks (6.2%) | ||||||||
435,900 | Citigroup, Inc. | 23,242,188 | ||||||
349,258 | JPMorgan Chase & Co. | 22,094,061 | ||||||
|
| |||||||
Total Banks | 45,336,249 | |||||||
|
| |||||||
Beverages (2.4%) | ||||||||
184,100 | PepsiCo, Inc. | 17,511,592 | ||||||
|
| |||||||
Biotechnology (0.9%) | ||||||||
67,600 | Gilead Sciences, Inc. (1) | 6,794,476 | ||||||
|
| |||||||
Capital Markets (5.8%) | ||||||||
169,526 | Ameriprise Financial, Inc. | 21,238,217 | ||||||
273,100 | State Street Corp. | 21,061,472 | ||||||
|
| |||||||
Total Capital Markets | 42,299,689 | |||||||
|
| |||||||
Commercial Services & Supplies (2.8%) | ||||||||
231,705 | ADT Corp. (The) | 8,712,108 | ||||||
298,815 | Tyco International PLC (Ireland) | 11,767,335 | ||||||
|
| |||||||
Total Commercial Services & Supplies | 20,479,443 | |||||||
|
| |||||||
Communications Equipment (2.7%) | ||||||||
684,690 | Cisco Systems, Inc. | 19,739,613 | ||||||
|
| |||||||
Consumer Finance (1.6%) | ||||||||
611,976 | Navient Corp. | 11,958,011 | ||||||
|
| |||||||
Containers & Packaging (2.5%) | ||||||||
397,281 | Sealed Air Corp. | 18,116,014 | ||||||
|
| |||||||
Diversified Financial Services (0.9%) | ||||||||
28,600 | Intercontinental Exchange, Inc. | 6,421,558 | ||||||
|
| |||||||
Diversified Telecommunication Services (1.3%) | ||||||||
270,400 | AT&T, Inc. | 9,366,656 | ||||||
|
| |||||||
Electric Utilities (1.3%) | ||||||||
168,350 | American Electric Power Co., Inc. | 9,574,064 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.6%) | ||||||||
548,690 | Corning, Inc. | 11,484,082 | ||||||
|
| |||||||
Energy Equipment & Services (4.1%) | ||||||||
219,250 | Baker Hughes, Inc. | 15,009,855 | ||||||
202,900 | Ensco PLC (United Kingdom) | 5,535,112 | ||||||
539,625 | Nabors Industries, Ltd. | 9,011,737 | ||||||
|
| |||||||
Total Energy Equipment & Services | 29,556,704 | |||||||
|
|
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 | ||||||
Food & Staples Retailing (1.5%) | ||||||||
297,100 | Sysco Corp. | $ | 11,001,613 | |||||
|
| |||||||
Food Products (2.2%) | ||||||||
412,855 | Mondelez International, Inc. | 15,841,246 | ||||||
|
| |||||||
Health Care Providers & Services (6.6%) | ||||||||
120,884 | Anthem, Inc. | 18,245,022 | ||||||
237,000 | Catamaran Corp. (1) | 14,065,950 | ||||||
126,406 | Cigna Corp. | 15,755,244 | ||||||
|
| |||||||
Total Health Care Providers & Services | 48,066,216 | |||||||
|
| |||||||
Household Durables (2.1%) | ||||||||
330,263 | Lennar Corp. | 15,126,045 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (1.9%) | ||||||||
1,047,300 | AES Corporation (The) | 13,876,725 | ||||||
|
| |||||||
Industrial Conglomerates (3.9%) | ||||||||
1,033,850 | General Electric Co. | 27,996,658 | ||||||
|
| |||||||
Insurance (4.4%) | ||||||||
355,685 | Hartford Financial Services Group, Inc. | 14,501,277 | ||||||
171,570 | Travelers Cos., Inc. (The) | 17,347,443 | ||||||
|
| |||||||
Total Insurance | 31,848,720 | |||||||
|
| |||||||
Machinery (2.8%) | ||||||||
153,767 | Pentair PLC (United Kingdom) | 9,556,619 | ||||||
404,030 | Terex Corp. | 11,094,664 | ||||||
|
| |||||||
Total Machinery | 20,651,283 | |||||||
|
| |||||||
Media (3.6%) | ||||||||
451,855 | Comcast Corp. | 26,099,145 | ||||||
|
| |||||||
Metals & Mining (1.7%) | ||||||||
362,190 | Allegheny Technologies, Inc. | 12,310,838 | ||||||
|
| |||||||
Multiline Retail (1.2%) | ||||||||
1,011,700 | J.C. Penney Co., Inc. (1) | 8,397,110 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.5%) | ||||||||
458,300 | Chesapeake Energy Corp. | 7,227,391 | ||||||
161,700 | Chevron Corp. | 17,958,402 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 25,185,793 | |||||||
|
| |||||||
Pharmaceuticals (7.4%) | ||||||||
113,650 | Johnson & Johnson | 11,274,080 | ||||||
260,050 | Merck & Co., Inc. | 15,488,578 | ||||||
126,290 | Mylan NV (Netherlands) (1) | 9,125,715 | ||||||
521,450 | Pfizer, Inc. | 17,692,799 | ||||||
|
| |||||||
Total Pharmaceuticals | 53,581,172 | |||||||
|
|
See accompanying notes to financial statements.
28
Table of Contents
TCW Relative Value Large Cap Fund
April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Semiconductors & Semiconductor Equipment (4.2%) | ||||||||
542,375 | Applied Materials, Inc. | $ | 10,733,601 | |||||
158,300 | Broadcom Corp. | 6,997,652 | ||||||
397,939 | Intel Corp. | 12,952,914 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 30,684,167 | |||||||
|
| |||||||
Software (2.7%) | ||||||||
398,990 | Microsoft Corp. | 19,406,874 | ||||||
|
| |||||||
Specialty Retail (4.6%) | ||||||||
412,820 | Gap, Inc. (The) | 16,364,185 | ||||||
161,100 | Home Depot, Inc. (The) | 17,234,478 | ||||||
|
| |||||||
Total Specialty Retail | 33,598,663 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (3.2%) | ||||||||
167,200 | NetApp, Inc. | 6,061,000 | ||||||
176,540 | Western Digital Corp. | 17,255,019 | ||||||
|
| |||||||
Total Technology Hardware, Storage & Peripherals | 23,316,019 | |||||||
|
| |||||||
Total Common Stock (Cost: $464,881,574) (97.1%) | 705,711,766 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $23,880,687) (3.3%) | ||||||||
$ | 23,880,687 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $24,655,000 Federal Home Loan Mortgage Corp., 2%, due 11/02/22, valued at $24,359,091) (Total Amount to be Received Upon Repurchase $23,880,687) | 23,880,687 | |||||
|
| |||||||
Total Investments (Cost: $488,762,261) (100.4%) | 729,592,453 | |||||||
Liabilities in Excess of Other Assets (-0.4%) | (2,958,423 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 726,634,030 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
See accompanying notes to financial statements.
29
Table of Contents
TCW Relative Value Large Cap Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.2 | % | ||
Auto Components | 2.3 | |||
Banks | 6.2 | |||
Beverages | 2.4 | |||
Biotechnology | 0.9 | |||
Capital Markets | 5.8 | |||
Commercial Services & Supplies | 2.8 | |||
Communications Equipment | 2.7 | |||
Consumer Finance | 1.6 | |||
Containers & Packaging | 2.5 | |||
Diversified Financial Services | 0.9 | |||
Diversified Telecommunication Services | 1.3 | |||
Electric Utilities | 1.3 | |||
Electronic Equipment, Instruments & Components | 1.6 | |||
Energy Equipment & Services | 4.1 | |||
Food & Staples Retailing | 1.5 | |||
Food Products | 2.2 | |||
Health Care Providers & Services | 6.6 | |||
Household Durables | 2.1 | |||
Independent Power and Renewable Electricity Producers | 1.9 | |||
Industrial Conglomerates | 3.9 | |||
Insurance | 4.4 | |||
Machinery | 2.8 | |||
Media | 3.6 | |||
Metals & Mining | 1.7 | |||
Multiline Retail | 1.2 | |||
Oil, Gas & Consumable Fuels | 3.5 | |||
Pharmaceuticals | 7.4 | |||
Semiconductors & Semiconductor Equipment | 4.2 | |||
Software | 2.7 | |||
Specialty Retail | 4.6 | |||
Technology Hardware, Storage & Peripherals | 3.2 | |||
Short-Term Investments | 3.3 | |||
|
| |||
Total | 100.4 | % | ||
|
|
See accompanying notes to financial statements.
30
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments (Unaudited) | April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (2.1% of Net Assets) | ||||||||
67,045 | Textron, Inc. | $ | 2,948,639 | |||||
|
| |||||||
Auto Components (3.5%) | ||||||||
161,350 | Dana Holding Corp. | 3,480,319 | ||||||
24,015 | Tenneco, Inc. (1) | 1,403,677 | ||||||
|
| |||||||
Total Auto Components | 4,883,996 | |||||||
|
| |||||||
Banks (7.5%) | ||||||||
31,266 | Comerica, Inc. | 1,482,321 | ||||||
200,493 | KeyCorp | 2,897,124 | ||||||
82,865 | Popular, Inc. (1) | 2,687,312 | ||||||
88,329 | Synovus Financial Corp. | 2,443,180 | ||||||
55,400 | Umpqua Holdings Corp. | 942,354 | ||||||
|
| |||||||
Total Banks | 10,452,291 | |||||||
|
| |||||||
Capital Markets (4.8%) | ||||||||
75,000 | E*TRADE Financial Corp. (1) | 2,159,250 | ||||||
20,400 | Evercore Partners, Inc. | 984,096 | ||||||
65,788 | Invesco, Ltd. | 2,724,939 | ||||||
91,900 | RCS Capital Corp. | 789,421 | ||||||
|
| |||||||
Total Capital Markets | 6,657,706 | |||||||
|
| |||||||
Chemicals (1.8%) | ||||||||
27,700 | Axiall Corp. | 1,130,160 | ||||||
19,638 | Celanese Corp. — Series A | 1,303,178 | ||||||
|
| |||||||
Total Chemicals | 2,433,338 | |||||||
|
| |||||||
Communications Equipment (2.5%) | ||||||||
167,200 | Brocade Communications Systems, Inc. | 1,889,360 | ||||||
117,360 | Polycom, Inc. (1) | 1,531,548 | ||||||
|
| |||||||
Total Communications Equipment | 3,420,908 | |||||||
|
| |||||||
Construction & Engineering (1.6%) | ||||||||
50,233 | Jacobs Engineering Group, Inc. (1) | 2,152,986 | ||||||
|
| |||||||
Construction Materials (1.3%) | ||||||||
21,344 | Vulcan Materials Co. | 1,825,339 | ||||||
|
| |||||||
Consumer Finance (2.5%) | ||||||||
91,047 | Navient Corp. | 1,779,058 | ||||||
166,847 | SLM Corp. | 1,700,171 | ||||||
|
| |||||||
Total Consumer Finance | 3,479,229 | |||||||
|
| |||||||
Containers & Packaging (2.3%) | ||||||||
70,609 | Sealed Air Corp. | 3,219,770 | ||||||
|
| |||||||
Diversified Telecommunication Services (0.3%) | ||||||||
36,879 | Windstream Holdings, Inc. | 430,747 | ||||||
|
|
See accompanying notes to financial statements.
31
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Energy Equipment & Services (3.5%) | ||||||||
32,720 | Atwood Oceanics, Inc. | $ | 1,092,194 | |||||
130,199 | Nabors Industries, Ltd. | 2,174,323 | ||||||
159,050 | Newpark Resources, Inc. (1) | 1,631,853 | ||||||
|
| |||||||
Total Energy Equipment & Services | 4,898,370 | |||||||
|
| |||||||
Food & Staples Retailing (1.0%) | ||||||||
36,300 | Sysco Corp. | 1,344,189 | ||||||
|
| |||||||
Food Products (1.2%) | ||||||||
36,900 | Campbell Soup Co. | 1,649,799 | ||||||
|
| |||||||
Health Care Equipment & Supplies (1.4%) | ||||||||
40,800 | Alere, Inc. (1) | 1,937,184 | ||||||
|
| |||||||
Health Care Providers & Services (4.7%) | ||||||||
6,000 | Catamaran Corp. (1) | 356,100 | ||||||
27,755 | Cigna Corp. | 3,459,383 | ||||||
37,600 | Quest Diagnostics, Inc. | 2,685,392 | ||||||
|
| |||||||
Total Health Care Providers & Services | 6,500,875 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.5%) | ||||||||
57,836 | International Speedway Corp. | 2,102,917 | ||||||
|
| |||||||
Household Durables (5.9%) | ||||||||
91,355 | Beazer Homes USA, Inc. (1) | 1,599,626 | ||||||
103,360 | KB Home | 1,497,687 | ||||||
42,020 | Lennar Corp. | 1,924,516 | ||||||
89,415 | Toll Brothers, Inc. (1) | 3,177,809 | ||||||
|
| |||||||
Total Household Durables | 8,199,638 | |||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (1.9%) | ||||||||
200,400 | AES Corporation (The) | 2,655,300 | ||||||
|
| |||||||
Insurance (3.3%) | ||||||||
35,386 | Arch Capital Group, Ltd. (1) | 2,147,222 | ||||||
68,005 | Assured Guaranty, Ltd. | 1,767,450 | ||||||
6,845 | Reinsurance Group of America, Inc. | 627,139 | ||||||
|
| |||||||
Total Insurance | 4,541,811 | |||||||
|
| |||||||
IT Services (0.7%) | ||||||||
8,600 | DST Systems, Inc. | 989,688 | ||||||
|
| |||||||
Machinery (6.0%) | ||||||||
22,609 | Dover Corp. | 1,711,954 | ||||||
17,500 | Joy Global, Inc. | 746,200 | ||||||
51,100 | Kennametal, Inc. | 1,809,451 | ||||||
29,755 | SPX Corp. | 2,291,135 | ||||||
65,398 | Terex Corp. | 1,795,829 | ||||||
|
| |||||||
Total Machinery | 8,354,569 | |||||||
|
|
See accompanying notes to financial statements.
32
Table of Contents
TCW Relative Value Mid Cap Fund
April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Metals & Mining (4.3%) | ||||||||
70,271 | Allegheny Technologies, Inc. | $ | 2,388,512 | |||||
127,507 | Commercial Metals Co. | 2,116,616 | ||||||
52,940 | Worthington Industries, Inc. | 1,430,968 | ||||||
|
| |||||||
Total Metals & Mining | 5,936,096 | |||||||
|
| |||||||
Multi-Utilities (1.0%) | ||||||||
42,000 | Avista Corp. | 1,370,040 | ||||||
|
| |||||||
Multiline Retail (2.3%) | ||||||||
381,040 | J.C. Penney Co., Inc. (1) | 3,162,632 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.3%) | ||||||||
80,300 | Chesapeake Energy Corp. | 1,266,331 | ||||||
48,700 | Newfield Exploration Co. (1) | 1,910,988 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 3,177,319 | |||||||
|
| |||||||
Personal Products (0.7%) | ||||||||
123,560 | Avon Products, Inc. | 1,009,485 | ||||||
|
| |||||||
Pharmaceuticals (0.5%) | ||||||||
9,470 | Mylan NV (Netherlands) (1) | 684,302 | ||||||
|
| |||||||
Real Estate Management & Development (0.9%) | ||||||||
7,775 | Jones Lang LaSalle, Inc. | 1,291,116 | ||||||
|
| |||||||
REIT (5.0%) | ||||||||
101,260 | DiamondRock Hospitality Co. | 1,373,086 | ||||||
43,008 | Geo Group, Inc. (The) | 1,677,312 | ||||||
15,275 | Health Care REIT, Inc. | 1,100,105 | ||||||
67,645 | Kimco Realty Corp. | 1,630,244 | ||||||
34,365 | Liberty Property Trust | 1,197,277 | ||||||
|
| |||||||
Total REIT | 6,978,024 | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (7.0%) | ||||||||
45,082 | Broadcom Corp. | 1,992,850 | ||||||
68,700 | Freescale Semiconductor, Ltd. (1) | 2,685,483 | ||||||
20,110 | Lam Research Corp. | 1,519,914 | ||||||
71,046 | Maxim Integrated Products, Inc. | 2,332,440 | ||||||
67,348 | Teradyne, Inc. | 1,229,101 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 9,759,788 | |||||||
|
| |||||||
Software (0.7%) | ||||||||
15,500 | Citrix Systems, Inc. (1) | 1,040,980 | ||||||
|
| |||||||
Specialty Retail (3.2%) | ||||||||
12,735 | Asbury Automotive Group, Inc. (1) | 1,070,122 | ||||||
23,810 | Children’s Place Retail Stores, Inc. (The) | 1,444,315 | ||||||
50,100 | Gap, Inc. (The) | 1,985,964 | ||||||
|
| |||||||
Total Specialty Retail | 4,500,401 | |||||||
|
|
See accompanying notes to financial statements.
33
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Technology Hardware, Storage & Peripherals (6.1%) | ||||||||
29,000 | NetApp, Inc. | $ | 1,051,250 | |||||
52,155 | Seagate Technology PLC (Netherlands) | 3,062,542 | ||||||
44,680 | Western Digital Corp. | 4,367,023 | ||||||
|
| |||||||
Total Technology Hardware, Storage & Peripherals | 8,480,815 | |||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.2%) | ||||||||
43,343 | Coach, Inc. | 1,656,136 | ||||||
|
| |||||||
Thrifts & Mortgage Finance (2.9%) | ||||||||
113,730 | EverBank Financial Corp. | 2,111,966 | ||||||
215,125 | First Niagara Financial Group, Inc. | 1,956,562 | ||||||
|
| |||||||
Total Thrifts & Mortgage Finance | 4,068,528 | |||||||
|
| |||||||
Total Common Stock (Cost: $105,720,998) (99.4%) | 138,194,951 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $949,312) (0.7%) | ||||||||
$ | 949,312 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $985,000 Federal Home Loan Mortgage Corp., 2.06%, due 10/17/22 valued at $968,392) (Total Amount to be Received Upon Repurchase $949,312) | 949,312 | |||||
|
| |||||||
Total Investments (Cost: $106,670,310) (100.1%) | 139,144,263 | |||||||
Liabilities in Excess of Other Assets (-0.1%) | (176,571 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 138,967,692 | ||||||
|
|
Notes to the Schedule of Investments:
REIT - | Real Estate Investment Trust. |
(1) | Non-income producing security. |
See accompanying notes to financial statements.
34
Table of Contents
TCW Relative Value Mid Cap Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.1 | % | ||
Auto Components | 3.5 | |||
Banks | 7.5 | |||
Capital Markets | 4.8 | |||
Chemicals | 1.8 | |||
Communications Equipment | 2.5 | |||
Construction & Engineering | 1.6 | |||
Construction Materials | 1.3 | |||
Consumer Finance | 2.5 | |||
Containers & Packaging | 2.3 | |||
Diversified Telecommunication Services | 0.3 | |||
Energy Equipment & Services | 3.5 | |||
Food & Staples Retailing | 1.0 | |||
Food Products | 1.2 | |||
Health Care Equipment & Supplies | 1.4 | |||
Health Care Providers & Services | 4.7 | |||
Hotels, Restaurants & Leisure | 1.5 | |||
Household Durables | 5.9 | |||
Independent Power and Renewable Electricity Producers | 1.9 | |||
Insurance | 3.3 | |||
IT Services | 0.7 | |||
Machinery | 6.0 | |||
Metals & Mining | 4.3 | |||
Multi-Utilities | 1.0 | |||
Multiline Retail | 2.3 | |||
Oil, Gas & Consumable Fuels | 2.3 | |||
Personal Products | 0.7 | |||
Pharmaceuticals | 0.5 | |||
Real Estate Management & Development | 0.9 | |||
REIT | 5.0 | |||
Semiconductors & Semiconductor Equipment | 7.0 | |||
Software | 0.7 | |||
Specialty Retail | 3.2 | |||
Technology Hardware, Storage & Peripherals | 6.1 | |||
Textiles, Apparel & Luxury Goods | 1.2 | |||
Thrifts & Mortgage Finance | 2.9 | |||
Short-Term Investments | 0.7 | |||
|
| |||
Total | 100.1 | % | ||
|
|
See accompanying notes to financial statements.
35
Table of Contents
Schedule of Investments (Unaudited)
Number of Shares | Common Stock | Value | ||||||
Beverages (1.3% of Net Assets) | ||||||||
167,800 | Monster Beverage Corp. (1) | $ | 23,007,058 | |||||
|
| |||||||
Biotechnology (9.4%) | ||||||||
307,372 | Alexion Pharmaceuticals, Inc. (1) | 52,016,563 | ||||||
394,035 | BioMarin Pharmaceutical, Inc. (1) | 44,151,622 | ||||||
580,380 | Celgene Corp. (1) | 62,715,863 | ||||||
|
| |||||||
Total Biotechnology | 158,884,048 | |||||||
|
| |||||||
Capital Markets (2.1%) | ||||||||
1,149,270 | Charles Schwab Corp. (The) | 35,052,735 | ||||||
|
| |||||||
Communications Equipment (2.0%) | ||||||||
488,363 | QUALCOMM, Inc. | 33,208,684 | ||||||
|
| |||||||
Energy Equipment & Services (1.8%) | ||||||||
328,811 | Schlumberger, Ltd. | 31,108,809 | ||||||
|
| |||||||
Food & Staples Retailing (2.5%) | ||||||||
298,044 | Costco Wholesale Corp. | 42,635,194 | ||||||
|
| |||||||
Food Products (2.7%) | ||||||||
474,595 | Mead Johnson Nutrition Co. | 45,523,153 | ||||||
|
| |||||||
Health Care Technology (7.2%) | ||||||||
359,162 | athenahealth, Inc. (1) | 44,054,811 | ||||||
1,076,167 | Cerner Corp. (1) | 77,279,552 | ||||||
|
| |||||||
Total Health Care Technology | 121,334,363 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (7.5%) | ||||||||
73,294 | Chipotle Mexican Grill, Inc. (1) | 45,540,494 | ||||||
1,639,330 | Starbucks Corp. | 81,277,981 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 126,818,475 | |||||||
|
| |||||||
Insurance (3.5%) | ||||||||
561,290 | ACE, Ltd. | 60,052,417 | ||||||
|
| |||||||
Internet & Catalog Retail (6.8%) | ||||||||
81,975 | Amazon.com, Inc. (1) | 34,575,415 | ||||||
64,955 | Priceline Group, Inc. (The) (1) | 80,401,949 | ||||||
|
| |||||||
Total Internet & Catalog Retail | 114,977,364 | |||||||
|
| |||||||
Internet Software & Services (15.2%) | ||||||||
218,376 | Equinix, Inc. | 55,888,970 | ||||||
809,055 | Facebook, Inc. (1) | 63,729,262 | ||||||
152,230 | Google, Inc. — Class C (1) | 81,799,122 | ||||||
221,215 | LinkedIn Corp. (1) | 55,774,938 | ||||||
|
| |||||||
Total Internet Software & Services | 257,192,292 | |||||||
|
| |||||||
IT Services (4.5%) | ||||||||
1,153,904 | Visa, Inc. | 76,215,359 | ||||||
|
|
See accompanying notes to financial statements.
36
Table of Contents
April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Life Sciences Tools & Services (3.4%) | ||||||||
313,535 | Illumina, Inc. (1) | $ | 57,768,824 | |||||
|
| |||||||
Pharmaceuticals (2.6%) | ||||||||
154,899 | Actavis PLC (Ireland) (1) | 43,814,731 | ||||||
|
| |||||||
REIT (4.9%) | ||||||||
873,272 | American Tower Corp. | 82,550,402 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.8%) | ||||||||
921,745 | ARM Holdings PLC (United Kingdom) (SP ADR) | 46,999,778 | ||||||
|
| |||||||
Software (15.0%) | ||||||||
1,082,930 | Mobileye NV (Netherlands) (1) | 48,580,240 | ||||||
1,472,998 | Salesforce.com, Inc. (1) | 107,263,714 | ||||||
760,405 | ServiceNow, Inc. (1) | 56,923,918 | ||||||
606,805 | Splunk, Inc. (1) | 40,258,478 | ||||||
|
| |||||||
Total Software | 253,026,350 | |||||||
|
| |||||||
Specialty Retail (2.0%) | ||||||||
381,595 | Tiffany & Co. | 33,381,931 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.6%) | ||||||||
349,600 | Under Armour, Inc. (1) | 27,111,480 | ||||||
|
| |||||||
Total Common Stock (Cost: $1,024,327,709) (98.8%) | 1,670,663,447 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $20,203,521) (1.2%) | ||||||||
$ | 20,203,521 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $20,665,000 Federal National Mortgage Association, 2.08%, due 11/02/22 valued at $20,608,977) (Total Amount to be Received Upon Repurchase $20,203,521) | 20,203,521 | |||||
|
| |||||||
Total Investments (Cost: $1,044,531,230) (100.0%) | 1,690,866,968 | |||||||
Excess of Other Assets over Liabilities (0.0%) | 55,300 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 1,690,922,268 | ||||||
|
|
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.
37
Table of Contents
TCW Select Equities Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Beverages | 1.3 | % | ||
Biotechnology | 9.4 | |||
Capital Markets | 2.1 | |||
Communications Equipment | 2.0 | |||
Energy Equipment & Services | 1.8 | |||
Food & Staples Retailing | 2.5 | |||
Food Products | 2.7 | |||
Health Care Technology | 7.2 | |||
Hotels, Restaurants & Leisure | 7.5 | |||
Insurance | 3.5 | |||
Internet & Catalog Retail | 6.8 | |||
Internet Software & Services | 15.2 | |||
IT Services | 4.5 | |||
Life Sciences Tools & Services | 3.4 | |||
Pharmaceuticals | 2.6 | |||
REIT | 4.9 | |||
Semiconductors & Semiconductor Equipment | 2.8 | |||
Software | 15.0 | |||
Specialty Retail | 2.0 | |||
Textiles, Apparel & Luxury Goods | 1.6 | |||
Short-Term Investments | 1.2 | |||
|
| |||
Total | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
38
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (2.3% of Net Assets) | ||||||||
19,800 | Curtiss-Wright Corp. | $ | 1,446,588 | |||||
36,310 | HEICO Corp. | 2,027,550 | ||||||
|
| |||||||
Total Aerospace & Defense | 3,474,138 | |||||||
|
| |||||||
Airlines (1.3%) | ||||||||
29,050 | Spirit Airlines, Inc. (1) | 1,989,054 | ||||||
|
| |||||||
Auto Components (3.0%) | ||||||||
41,900 | Dorman Products, Inc. (1) | 1,962,177 | ||||||
47,300 | Gentherm, Inc. (1) | 2,494,129 | ||||||
|
| |||||||
Total Auto Components | 4,456,306 | |||||||
|
| |||||||
Banks (2.2%) | ||||||||
46,900 | ServisFirst Bancshares, Inc. | 1,634,934 | ||||||
61,900 | Square 1 Financial, Inc. (1) | 1,600,734 | ||||||
|
| |||||||
Total Banks | 3,235,668 | |||||||
|
| |||||||
Beverages (1.9%) | ||||||||
11,200 | Boston Beer Co., Inc. (1) | 2,775,360 | ||||||
|
| |||||||
Biotechnology (3.0%) | ||||||||
38,790 | Cepheid, Inc. (1) | 2,176,119 | ||||||
30,815 | Karyopharm Therapeutics, Inc. (1) | 836,935 | ||||||
14,500 | Ophthotech Corp. (1) | 656,560 | ||||||
15,125 | Ultragenyx Pharmaceutical, Inc. (1) | 853,504 | ||||||
|
| |||||||
Total Biotechnology | 4,523,118 | |||||||
|
| |||||||
Building Products (1.0%) | ||||||||
32,400 | Trex Co., Inc. (1) | 1,520,208 | ||||||
|
| |||||||
Capital Markets (3.3%) | ||||||||
52,100 | Financial Engines, Inc. | 2,197,057 | ||||||
140,800 | WisdomTree Investments, Inc. | 2,680,832 | ||||||
|
| |||||||
Total Capital Markets | 4,877,889 | |||||||
|
| |||||||
Communications Equipment (1.3%) | ||||||||
31,200 | Arista Networks, Inc. (1) | 1,997,112 | ||||||
|
| |||||||
Diversified Consumer Services (3.0%) | ||||||||
26,715 | MarketAxess Holdings, Inc. | 2,293,483 | ||||||
83,400 | Nord Anglia Education, Inc. (1) | 2,172,570 | ||||||
|
| |||||||
Total Diversified Consumer Services | 4,466,053 | |||||||
|
| |||||||
Electrical Equipment (1.4%) | ||||||||
32,120 | Power Solutions International, Inc. (1) | 2,049,256 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (3.4%) | ||||||||
45,445 | Cognex Corp. (1) | 2,040,026 | ||||||
36,589 | FARO Technologies, Inc. (1) | 1,457,340 |
See accompanying notes to financial statements.
39
Table of Contents
TCW Small Cap Growth Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Electronic Equipment, Instruments & Components (Continued) | ||||||||
19,750 | FEI Co. | $ | 1,490,335 | |||||
|
| |||||||
Total Electronic Equipment, Instruments & Components | 4,987,701 | |||||||
|
| |||||||
Energy Equipment & Services (2.0%) | ||||||||
23,200 | Core Laboratories NV (Netherlands) | 3,045,696 | ||||||
|
| |||||||
Food & Staples Retailing (2.7%) | ||||||||
77,200 | Diplomat Pharmacy, Inc. (1) | 2,765,304 | ||||||
16,290 | Pricesmart, Inc. | 1,310,693 | ||||||
|
| |||||||
Total Food & Staples Retailing | 4,075,997 | |||||||
|
| |||||||
Food Products (3.5%) | ||||||||
62,300 | Freshpet, Inc. (1) | 1,350,664 | ||||||
187,704 | Lifeway Foods, Inc. (1) | 3,793,498 | ||||||
|
| |||||||
Total Food Products | 5,144,162 | |||||||
|
| |||||||
Health Care Equipment & Supplies (7.4%) | ||||||||
73,400 | AtriCure, Inc. (1) | 1,615,534 | ||||||
4,200 | Atrion Corp. | 1,364,370 | ||||||
46,800 | Cardiovascular Systems, Inc. (1) | 1,464,840 | ||||||
25,080 | DexCom, Inc. (1) | 1,694,656 | ||||||
148,455 | Endologix, Inc. (1) | 2,309,960 | ||||||
41,400 | LDR Holding Corp. (1) | 1,401,390 | ||||||
100,235 | Novadaq Technologies, Inc. (Canada) (1) | 1,083,540 | ||||||
|
| |||||||
Total Health Care Equipment & Supplies | 10,934,290 | |||||||
|
| |||||||
Health Care Providers & Services (2.4%) | ||||||||
38,750 | Health Net, Inc. (1) | 2,040,187 | ||||||
47,700 | LHC Group, Inc. (1) | 1,529,262 | ||||||
|
| |||||||
Total Health Care Providers & Services | 3,569,449 | |||||||
|
| |||||||
Health Care Technology (3.4%) | ||||||||
20,900 | athenahealth, Inc. (1) | 2,563,594 | ||||||
91,800 | Veeva Systems, Inc. (1) | 2,437,290 | ||||||
|
| |||||||
Total Health Care Technology | 5,000,884 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (5.7%) | ||||||||
46,800 | BJ’s Restaurants, Inc. (1) | 2,190,240 | ||||||
83,050 | El Pollo Loco Holdings, Inc. (1) | 2,174,249 | ||||||
52,800 | Habit Restaurants, Inc. (The) (1) | 1,748,736 | ||||||
99,300 | La Quinta Holdings, Inc. (1) | 2,391,144 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 8,504,369 | |||||||
|
| |||||||
Insurance (1.1%) | ||||||||
82,050 | Heritage Insurance Holdings, Inc. (1) | 1,645,103 | ||||||
|
| |||||||
Internet & Catalog Retail (2.2%) | ||||||||
60,000 | Etsy, Inc. (1) | 1,334,400 |
See accompanying notes to financial statements.
40
Table of Contents
TCW Small Cap Growth Fund
April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Internet & Catalog Retail (Continued) | ||||||||
118,550 | Travelport Worldwide, Ltd. | $ | 1,876,646 | |||||
|
| |||||||
Total Internet & Catalog Retail | 3,211,046 | |||||||
|
| |||||||
Internet Software & Services (10.2%) | ||||||||
37,250 | Benefitfocus, Inc. (1) | 1,286,988 | ||||||
79,700 | Box, Inc. (1) | 1,363,667 | ||||||
98,040 | Cornerstone OnDemand, Inc. (1) | 2,806,885 | ||||||
24,300 | Demandware, Inc. (1) | 1,496,880 | ||||||
39,700 | Envestnet, Inc. (1) | 2,035,022 | ||||||
58,700 | Marketo, Inc. (1) | 1,670,015 | ||||||
22,000 | Shutterstock, Inc. (1) | 1,484,780 | ||||||
25,490 | SPS Commerce, Inc. (1) | 1,663,477 | ||||||
32,350 | Yelp, Inc. (1) | 1,274,267 | ||||||
|
| |||||||
Total Internet Software & Services | 15,081,981 | |||||||
|
| |||||||
IT Services (1.5%) | ||||||||
34,500 | EPAM Systems, Inc. (1) | 2,232,495 | ||||||
|
| |||||||
Machinery (4.3%) | ||||||||
39,569 | Chart Industries, Inc. (1) | 1,604,523 | ||||||
43,550 | John Bean Technologies Corp. | 1,680,594 | ||||||
22,150 | Proto Labs, Inc. (1) | 1,550,500 | ||||||
21,600 | RBC Bearings, Inc. | 1,576,584 | ||||||
|
| |||||||
Total Machinery | 6,412,201 | |||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.7%) | ||||||||
37,450 | RSP Permian, Inc. (1) | 1,086,799 | ||||||
|
| |||||||
Professional Services (3.2%) | ||||||||
56,000 | Barrett Business Services, Inc. | 2,490,320 | ||||||
63,450 | TriNet Group, Inc. (1) | 2,222,019 | ||||||
|
| |||||||
Total Professional Services | 4,712,339 | |||||||
|
| |||||||
Real Estate Management & Development (0.9%) | ||||||||
37,475 | RE/MAX Holdings, Inc. | 1,266,280 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.3%) | ||||||||
121,555 | Exar Corp. (1) | 1,199,748 | ||||||
48,288 | Mellanox Technologies, Ltd. (1) | 2,244,909 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 3,444,657 | |||||||
|
| |||||||
Software (8.5%) | ||||||||
51,300 | FireEye, Inc. (1) | 2,118,690 | ||||||
28,600 | Imperva, Inc. (1) | 1,304,732 | ||||||
29,050 | Proofpoint, Inc. (1) | 1,568,119 | ||||||
45,850 | Qualys, Inc. (1) | 2,270,492 | ||||||
47,550 | Splunk, Inc. (1) | 3,154,705 | ||||||
12,970 | Ultimate Software Group, Inc. (The) (1) | 2,155,873 | ||||||
|
| |||||||
Total Software | 12,572,611 | |||||||
|
|
See accompanying notes to financial statements.
41
Table of Contents
TCW Small Cap Growth Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Specialty Retail (4.6%) | ||||||||
27,600 | Asbury Automotive Group, Inc. (1) | $ | 2,319,228 | |||||
26,750 | Dick’s Sporting Goods, Inc. | 1,451,455 | ||||||
40,180 | Five Below, Inc. (1) | 1,354,870 | ||||||
180,800 | Sportsman’s Warehouse Holdings, Inc. (1) | 1,741,104 | ||||||
|
| |||||||
Total Specialty Retail | 6,866,657 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (1.2%) | ||||||||
73,960 | Nimble Storage, Inc. (1) | 1,809,062 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (3.7%) | ||||||||
66,900 | Kate Spade & Co. (1) | 2,187,630 | ||||||
44,170 | Steven Madden, Ltd. (1) | 1,723,513 | ||||||
85,170 | Vince Holding Corp. (1) | 1,569,683 | ||||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 5,480,826 | |||||||
|
| |||||||
Total Common Stock (Cost: $108,580,073) (98.6%) | 146,448,767 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $2,838,200) (1.9%) | ||||||||
$ | 2,838,200 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $2,940,000 Federal Home Loan Mortgage Corp., 2.1%, due 10/17/22 valued at $2,895,671) (Total Amount to be Received Upon Repurchase $2,838,200) | 2,838,200 | |||||
|
| |||||||
Total Investments (Cost: $111,418,273) (100.5%) | 149,286,967 | |||||||
Liabilities in Excess of Other Assets (-0.5%) | (726,888 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 148,560,079 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
See accompanying notes to financial statements.
42
Table of Contents
TCW Small Cap Growth Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.3 | % | ||
Airlines | 1.3 | |||
Auto Components | 3.0 | |||
Banks | 2.2 | |||
Beverages | 1.9 | |||
Biotechnology | 3.0 | |||
Building Products | 1.0 | |||
Capital Markets | 3.3 | |||
Communications Equipment | 1.3 | |||
Diversified Consumer Services | 3.0 | |||
Electrical Equipment | 1.4 | |||
Electronic Equipment, Instruments & Components | 3.4 | |||
Energy Equipment & Services | 2.0 | |||
Food & Staples Retailing | 2.7 | |||
Food Products | 3.5 | |||
Health Care Equipment & Supplies | 7.4 | |||
Health Care Providers & Services | 2.4 | |||
Health Care Technology | 3.4 | |||
Hotels, Restaurants & Leisure | 5.7 | |||
Insurance | 1.1 | |||
Internet & Catalog Retail | 2.2 | |||
Internet Software & Services | 10.2 | |||
IT Services | 1.5 | |||
Machinery | 4.3 | |||
Oil, Gas & Consumable Fuels | 0.7 | |||
Professional Services | 3.2 | |||
Real Estate Management & Development | 0.9 | |||
Semiconductors & Semiconductor Equipment | 2.3 | |||
Software | 8.5 | |||
Specialty Retail | 4.6 | |||
Technology Hardware, Storage & Peripherals | 1.2 | |||
Textiles, Apparel & Luxury Goods | 3.7 | |||
Short-Term Investments | 1.9 | |||
|
| |||
Total | 100.5 | % | ||
|
|
See accompanying notes to financial statements.
43
Table of Contents
Schedule of Investments (Unaudited)
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (3.4% of Net Assets) | ||||||||
15,850 | BE Aerospace, Inc. | $ | 947,672 | |||||
11,837 | HEICO Corp. | 660,978 | ||||||
|
| |||||||
Total Aerospace & Defense | 1,608,650 | |||||||
|
| |||||||
Airlines (1.3%) | ||||||||
9,000 | Spirit Airlines, Inc. (1) | 616,230 | ||||||
|
| |||||||
Auto Components (1.4%) | ||||||||
13,950 | Dorman Products, Inc. (1) | 653,279 | ||||||
|
| |||||||
Banks (1.6%) | ||||||||
5,670 | SVB Financial Group (1) | 752,749 | ||||||
|
| |||||||
Beverages (2.1%) | ||||||||
4,000 | Boston Beer Co., Inc. (1) | 991,200 | ||||||
|
| |||||||
Biotechnology (5.0%) | ||||||||
7,900 | Alkermes PLC (1) | 437,423 | ||||||
13,065 | Cepheid, Inc. (1) | 732,946 | ||||||
5,150 | Incyte Corp. (1) | 500,374 | ||||||
7,650 | Isis Pharmaceuticals, Inc. (1) | 433,908 | ||||||
10,050 | Karyopharm Therapeutics, Inc. (1) | 272,958 | ||||||
|
| |||||||
Total Biotechnology | 2,377,609 | |||||||
|
| |||||||
Capital Markets (5.0%) | ||||||||
18,900 | Financial Engines, Inc. | 797,013 | ||||||
9,562 | Stifel Financial Corp. (1) | 505,256 | ||||||
58,150 | WisdomTree Investments, Inc. | 1,107,176 | ||||||
|
| |||||||
Total Capital Markets | 2,409,445 | |||||||
|
| |||||||
Communications Equipment (1.5%) | ||||||||
11,500 | Arista Networks, Inc. (1) | 736,115 | ||||||
|
| |||||||
Diversified Consumer Services (1.2%) | ||||||||
6,500 | MarketAxess Holdings, Inc. | 558,025 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (3.6%) | ||||||||
14,490 | Cognex Corp. (1) | 650,456 | ||||||
12,172 | FARO Technologies, Inc. (1) | 484,811 | ||||||
7,600 | FEI Co. | 573,496 | ||||||
|
| |||||||
Total Electronic Equipment, Instruments & Components | 1,708,763 | |||||||
|
| |||||||
Energy Equipment & Services (2.0%) | ||||||||
7,403 | Core Laboratories NV (Netherlands) | 971,866 | ||||||
|
| |||||||
Food & Staples Retailing (4.2%) | ||||||||
25,000 | Diplomat Pharmacy, Inc. (1) | 895,500 | ||||||
8,169 | Pricesmart, Inc. | 657,278 | ||||||
6,755 | United Natural Foods, Inc. (1) | 455,692 | ||||||
|
| |||||||
Total Food & Staples Retailing | 2,008,470 | |||||||
|
|
See accompanying notes to financial statements.
44
Table of Contents
TCW SMID Cap Growth Fund
April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Food Products (4.0%) | ||||||||
35,661 | Lifeway Foods, Inc. (1) | $ | 720,709 | |||||
26,750 | WhiteWave Foods Co. (The) (1) | 1,176,197 | ||||||
|
| |||||||
Total Food Products | 1,896,906 | |||||||
|
| |||||||
Health Care Equipment & Supplies (5.3%) | ||||||||
22,950 | AtriCure, Inc. (1) | 505,129 | ||||||
15,400 | Cardiovascular Systems, Inc. (1) | 482,020 | ||||||
31,341 | Endologix, Inc. (1) | 487,666 | ||||||
1,450 | Intuitive Surgical, Inc. (1) | 719,171 | ||||||
31,550 | Novadaq Technologies, Inc. (Canada) (1) | 341,056 | ||||||
|
| |||||||
Total Health Care Equipment & Supplies | 2,535,042 | |||||||
|
| |||||||
Health Care Providers & Services (1.4%) | ||||||||
12,350 | Health Net, Inc. (1) | 650,228 | ||||||
|
| |||||||
Health Care Technology (2.8%) | ||||||||
6,650 | athenahealth, Inc. (1) | 815,689 | ||||||
19,200 | Veeva Systems, Inc. (1) | 509,760 | ||||||
|
| |||||||
Total Health Care Technology | 1,325,449 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (5.6%) | ||||||||
15,800 | Aramark | 485,534 | ||||||
32,850 | El Pollo Loco Holdings, Inc. (1) | 860,013 | ||||||
16,850 | Habit Restaurants, Inc. (The) (1) | 558,072 | ||||||
32,250 | La Quinta Holdings, Inc. (1) | 776,580 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 2,680,199 | |||||||
|
| |||||||
Internet & Catalog Retail (2.5%) | ||||||||
19,850 | Etsy, Inc. (1) | 441,464 | ||||||
9,300 | TripAdvisor, Inc. (1) | 748,557 | ||||||
|
| |||||||
Total Internet & Catalog Retail | 1,190,021 | |||||||
|
| |||||||
Internet Software & Services (5.5%) | ||||||||
34,050 | Cornerstone OnDemand, Inc. (1) | 974,851 | ||||||
14,250 | Envestnet, Inc. (1) | 730,455 | ||||||
7,350 | Shutterstock, Inc. (1) | 496,052 | ||||||
10,400 | Yelp, Inc. (1) | 409,656 | ||||||
|
| |||||||
Total Internet Software & Services | 2,611,014 | |||||||
|
| |||||||
Leisure Products (1.5%) | ||||||||
5,150 | Polaris Industries, Inc. | 705,344 | ||||||
|
| |||||||
Life Sciences Tools & Services (1.0%) | ||||||||
2,500 | Illumina, Inc. (1) | 460,625 | ||||||
|
| |||||||
Machinery (7.8%) | ||||||||
5,900 | Graco, Inc. | 422,558 | ||||||
9,700 | Middleby Corp. (The) (1) | 982,998 |
See accompanying notes to financial statements.
45
Table of Contents
TCW SMID Cap Growth Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Machinery (Continued) | ||||||||
10,800 | Proto Labs, Inc. (1) | $ | 756,000 | |||||
6,550 | WABCO Holdings, Inc. (1) | 815,147 | ||||||
8,100 | Wabtec Corp. | 761,805 | ||||||
|
| |||||||
Total Machinery | 3,738,508 | |||||||
|
| |||||||
Media (1.1%) | ||||||||
7,100 | AMC Networks, Inc. (1) | 535,624 | ||||||
|
| |||||||
Road & Rail (1.2%) | ||||||||
5,855 | Kansas City Southern | 600,079 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (1.9%) | ||||||||
41,050 | NVIDIA Corp. | 911,105 | ||||||
|
| |||||||
Software (15.6%) | ||||||||
11,590 | ANSYS, Inc. (1) | 994,886 | ||||||
22,100 | FireEye, Inc. (1) | 912,730 | ||||||
13,277 | Mobileye NV (Netherlands) (1) | 595,606 | ||||||
4,100 | NetSuite, Inc. (1) | 391,837 | ||||||
14,000 | ServiceNow, Inc. (1) | 1,048,040 | ||||||
20,065 | Splunk, Inc. (1) | 1,331,212 | ||||||
6,650 | Tyler Technologies, Inc. (1) | 810,968 | ||||||
2,791 | Ultimate Software Group, Inc. (The) (1) | 463,920 | ||||||
9,820 | Workday, Inc. (1) | 895,682 | ||||||
|
| |||||||
Total Software | 7,444,881 | |||||||
|
| |||||||
Specialty Retail (5.1%) | ||||||||
8,850 | Asbury Automotive Group, Inc. (1) | 743,665 | ||||||
16,600 | Dick’s Sporting Goods, Inc. | 900,716 | ||||||
22,500 | DSW, Inc. | 816,075 | ||||||
|
| |||||||
Total Specialty Retail | 2,460,456 | |||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (4.1%) | ||||||||
21,950 | Kate Spade & Co. (1) | 717,765 | ||||||
9,510 | Under Armour, Inc. (1) | 737,501 | ||||||
27,259 | Vince Holding Corp. (1) | 502,383 | ||||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 1,957,649 | |||||||
|
| |||||||
Total Common Stock (Cost: $36,653,686) (98.7%) | 47,095,531 | |||||||
|
|
See accompanying notes to financial statements.
46
Table of Contents
TCW SMID Cap Growth Fund
April 30, 2015 |
Principal Amount | Short-Term Investments | Value | ||||||
Repurchase Agreement (Cost: $841,666) (1.8%) | ||||||||
$ | 841,666 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $865,000 Federal National Mortgage Association, 2.08%, due 11/02/22 valued at $862,655) (Total Amount to be Received Upon Repurchase $841,666) | $ | 841,666 | ||||
|
| |||||||
Total Investments (Cost: $37,495,352) (100.5%) | 47,937,197 | |||||||
Liabilities in Excess of Other Assets (-0.5%) | (219,673 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 47,717,524 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
See accompanying notes to financial statements.
47
Table of Contents
TCW SMID Cap Growth Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.4 | % | ||
Airlines | 1.3 | |||
Auto Components | 1.4 | |||
Banks | 1.6 | |||
Beverages | 2.1 | |||
Biotechnology | 5.0 | |||
Capital Markets | 5.0 | |||
Communications Equipment | 1.5 | |||
Diversified Consumer Services | 1.2 | |||
Electronic Equipment, Instruments & Components | 3.6 | |||
Energy Equipment & Services | 2.0 | |||
Food & Staples Retailing | 4.2 | |||
Food Products | 4.0 | |||
Health Care Equipment & Supplies | 5.3 | |||
Health Care Providers & Services | 1.4 | |||
Health Care Technology | 2.8 | |||
Hotels, Restaurants & Leisure | 5.6 | |||
Internet & Catalog Retail | 2.5 | |||
Internet Software & Services | 5.5 | |||
Leisure Products | 1.5 | |||
Life Sciences Tools & Services | 1.0 | |||
Machinery | 7.8 | |||
Media | 1.1 | |||
Road & Rail | 1.2 | |||
Semiconductors & Semiconductor Equipment | 1.9 | |||
Software | 15.6 | |||
Specialty Retail | 5.1 | |||
Textiles, Apparel & Luxury Goods | 4.1 | |||
Short-Term Investments | 1.8 | |||
|
| |||
Total | 100.5 | % | ||
|
|
See accompanying notes to financial statements.
48
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
TCW Concentrated Value Fund | TCW Conservative Allocation Fund | TCW Global Real Estate Fund | TCW Growth Equities Fund | |||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||
ASSETS | ||||||||||||||||
Investments, at Value (1) | $ | 13,139 | $ | 310 | $ | 2,474 | $ | 24,404 | ||||||||
Investment in Affiliated Issuers, at Value | — | 34,201 | (2) | — | — | |||||||||||
Foreign Currency, at Value | — | — | 30 | (3) | — | |||||||||||
Cash | — | 469 | — | (4) | — | |||||||||||
Receivable for Securities Sold | 822 | — | — | — | ||||||||||||
Receivable for Fund Shares Sold | 1 | — | — | — | ||||||||||||
Dividends Receivable | 17 | 26 | 2 | 6 | ||||||||||||
Foreign Tax Reclaims Receivable | 2 | — | — | — | ||||||||||||
Receivable from Investment Advisor | 4 | — | 21 | 7 | ||||||||||||
Prepaid Expenses | 17 | 19 | 24 | 16 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 14,002 | 35,025 | 2,551 | 24,433 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Payable for Securities Purchased | — | 25 | — | 63 | ||||||||||||
Payable for Fund Shares Redeemed | 168 | — | — | 35 | ||||||||||||
Disbursements in Excess of Available Cash | 758 | — | — | — | ||||||||||||
Accrued Directors’ Fees and Expenses | 7 | 8 | 9 | 8 | ||||||||||||
Accrued Compliance Expense | — | (4) | 2 | — | (4) | — | (4) | |||||||||
Accrued Management Fees | 8 | — | 2 | 21 | ||||||||||||
Accrued Distribution Fees | 1 | 1 | — | (4) | 1 | |||||||||||
Other Accrued Expenses | 25 | 15 | 15 | 34 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 967 | 51 | 26 | 162 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 13,035 | $ | 34,974 | $ | 2,525 | $ | 24,271 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in Capital | $ | 18,497 | $ | 30,138 | $ | 2,542 | $ | 15,557 | ||||||||
Accumulated Net Realized Gain (Loss) on | (6,707 | ) | 889 | 12 | 1,202 | |||||||||||
Unrealized Appreciation (Depreciation) of | 1,218 | 4,020 | (29 | ) | 7,578 | |||||||||||
Undistributed Net Investment Income (Loss) | 27 | (73 | ) | — | (66 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 13,035 | $ | 34,974 | $ | 2,525 | $ | 24,271 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||
I Class Share | $ | 10,654 | $ | 31,392 | $ | 2,014 | $ | 19,522 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 2,381 | $ | 3,582 | $ | 511 | $ | 4,749 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (5) | ||||||||||||||||
I Class Share | 533,301 | 2,512,228 | 198,848 | 1,585,058 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 120,446 | 287,193 | 50,454 | 388,266 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (6) | ||||||||||||||||
I Class Share | $ | 19.98 | $ | 12.50 | $ | 10.13 | $ | 12.32 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 19.77 | $ | 12.47 | $ | 10.13 | $ | 12.23 | ||||||||
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Concentrated Value Fund, the TCW Conservative Allocation Fund, the TCW Global Real Estate Fund and the TCW Growth Equities Fund at April 30, 2015 was $11,921, $509, $2,503 and $16,826, respectively. |
(2) | The identified cost for investments in affiliated issuers for the TCW Conservative Allocation Fund was $29,982. |
(3) | The identified cost for the TCW Global Real Estate Fund at April 30, 2015 was $30. |
(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 and the TCW Global Real Estate 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, 2015 |
TCW High Dividend Equities Fund | TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | |||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||
ASSETS | ||||||||||||||||
Investments, at Value (1) | $ | 4,885 | $ | 1,121,713 | $ | 729,592 | $ | 139,144 | ||||||||
Receivable for Securities Sold | 44 | 3,279 | 288 | 611 | ||||||||||||
Receivable for Fund Shares Sold | — | 584 | 495 | 58 | ||||||||||||
Dividends Receivable | 3 | 1,031 | 413 | 47 | ||||||||||||
Receivable from Investment Advisor | 20 | — | 1 | 2 | ||||||||||||
Prepaid Expenses | 24 | 43 | 30 | 25 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 4,976 | 1,126,650 | 730,819 | 139,887 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Payable for Securities Purchased | 50 | 2,176 | 1,180 | 691 | ||||||||||||
Payable for Fund Shares Redeemed | — | 398 | 2,338 | 67 | ||||||||||||
Accrued Directors’ Fees and Expenses | 9 | 7 | 8 | 8 | ||||||||||||
Accrued Compliance Expense | — | (2) | 17 | 9 | 1 | |||||||||||
Accrued Management Fees | 2 | 695 | 444 | 93 | ||||||||||||
Accrued Distribution Fees | — | (2) | 191 | 6 | 5 | |||||||||||
Options Written, at Value (3) | — | (2) | — | — | — | |||||||||||
Other Accrued Expenses | 15 | 291 | 200 | 54 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 76 | 3,775 | 4,185 | 919 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 4,900 | $ | 1,122,875 | $ | 726,634 | $ | 138,968 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in Capital | $ | 4,829 | $ | 965,242 | $ | 468,698 | $ | 109,754 | ||||||||
Accumulated Net Realized Gain (Loss) on | (2 | ) | (107,874 | ) | 14,838 | (3,191 | ) | |||||||||
Unrealized Appreciation of Investments and | 74 | 263,828 | 240,830 | 32,474 | ||||||||||||
Undistributed Net Investment Income (Loss) | (1 | ) | 1,679 | 2,268 | (69 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 4,900 | $ | 1,122,875 | $ | 726,634 | $ | 138,968 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||
I Class Share | $ | 4,328 | $ | 197,305 | $ | 699,425 | $ | 111,356 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 572 | $ | 925,570 | $ | 27,209 | $ | 27,612 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (4) | ||||||||||||||||
I Class Share | 418,951 | 11,484,429 | 30,513,598 | 4,506,967 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 55,415 | 52,994,328 | 1,189,492 | 1,143,495 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (5) | ||||||||||||||||
I Class Share | $ | 10.33 | $ | 17.18 | $ | 22.92 | $ | 24.71 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 10.33 | $ | 17.47 | $ | 22.87 | $ | 24.15 | ||||||||
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW High Dividend Equities Fund, the TCW Relative Value Dividend Appreciation Fund, the TCW Relative Value Large Cap Fund and the TCW Relative Value Mid Cap Fund at April 30, 2015 was $4,812, $857,885, $488,762 and $106,670, respectively. |
(2) | Amount rounds to less than $1. |
(3) | Premium received $1. |
(4) | The number of authorized shares, with a par value of $0.001 per share, for the TCW High Dividend Equities Fund, the TCW Relative Value Dividend Appreciation Fund and the TCW Relative Value Large Cap Fund is 2,000,000,000 for each of the I and N class shares, and the TCW Relative Value Mid Cap Fund is 4,000,000,000 for each of the I and N class shares. |
(5) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
50
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2015 |
TCW Select Equities Fund | TCW Small Cap Growth Fund | TCW SMID Cap Growth Fund | ||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||
ASSETS | ||||||||||||
Investments, at Value (1) | $ | 1,690,867 | $ | 149,287 | $ | 47,937 | ||||||
Receivable for Fund Shares Sold | 2,865 | 78 | 3 | |||||||||
Dividends Receivable | 313 | 11 | 5 | |||||||||
Receivable from Investment Advisor | — | 7 | 7 | |||||||||
Prepaid Expenses | 47 | 25 | 18 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,694,092 | 149,408 | 47,970 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Payable for Securities Purchased | — | 378 | 137 | |||||||||
Payable for Fund Shares Redeemed | 1,625 | 213 | 32 | |||||||||
Accrued Directors’ Fees and Expenses | 8 | 8 | 8 | |||||||||
Accrued Compliance Expense | 2 | 6 | — | (2) | ||||||||
Accrued Management Fees | 1,057 | 131 | 41 | |||||||||
Accrued Distribution Fees | 43 | 6 | 5 | |||||||||
Other Accrued Expenses | 435 | 106 | 29 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 3,170 | 848 | 252 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,690,922 | $ | 148,560 | $ | 47,718 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 950,655 | $ | 96,051 | $ | 36,481 | ||||||
Accumulated Net Realized Gain on Investments | 94,746 | 15,326 | 1,367 | |||||||||
Unrealized Appreciation of Investments | 646,336 | 37,869 | 10,442 | |||||||||
Undistributed Net Investment Loss | (815 | ) | (686 | ) | (572 | ) | ||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,690,922 | $ | 148,560 | $ | 47,718 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 1,488,641 | $ | 118,669 | $ | 23,030 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 202,281 | $ | 29,891 | $ | 24,688 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (3) | ||||||||||||
I Class Share | 54,542,247 | 3,918,613 | 1,525,237 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 7,863,163 | 1,057,276 | 1,634,691 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (4) | ||||||||||||
I Class Share | $ | 27.29 | $ | 30.28 | $ | 15.10 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 25.73 | $ | 28.27 | $ | 15.10 | ||||||
|
|
|
|
|
|
(1) | The identified cost for the TCW Select Equities Fund, the TCW Small Cap Growth Fund and the TCW SMID Cap Growth Fund at April 30, 2015 was $1,044,531, $111,418 and $37,495, 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 Select Equities Fund is 1,667,000,000 for each of the I Class and N Class shares, for the TCW Small Cap Growth Fund is 1,666,000,000 each of the I Class and N Class shares and for the TCW SMID Cap Growth Fund is 2,000,000,000 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.
51
Table of Contents
TCW Funds, Inc.
Six Months Ended April 30, 2015 |
TCW Concentrated Value Fund | TCW Conservative Allocation Fund | TCW Global Real Estate Fund (1) | TCW Growth Equities Fund | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Income: | ||||||||||||||||
Dividends | $ | 120 | (2) | $ | — | (3) | $ | 23 | (2) | $ | 85 | (2) | ||||
Dividends from Investment in Affiliated Issuers | — | 204 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 120 | 204 | 23 | 85 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management Fees | 46 | — | 5 | 126 | ||||||||||||
Accounting Services Fees | 2 | 3 | — | (3) | 3 | |||||||||||
Administration Fees | 1 | 1 | — | (3) | 1 | |||||||||||
Transfer Agent Fees: | ||||||||||||||||
I Class | 3 | 3 | 1 | 5 | ||||||||||||
N Class | 3 | 2 | 1 | 4 | ||||||||||||
Custodian Fees | 5 | 3 | 3 | 6 | ||||||||||||
Professional Fees | 16 | 8 | 32 | 17 | ||||||||||||
Directors’ Fees and Expenses | 12 | 13 | 11 | 13 | ||||||||||||
Registration Fees: | ||||||||||||||||
I Class | 7 | 7 | 8 | 7 | ||||||||||||
N Class | 7 | 7 | 8 | 7 | ||||||||||||
Distribution Fees: | ||||||||||||||||
N Class | 3 | 2 | 1 | 6 | ||||||||||||
Compliance Expense | 1 | 3 | — | (3) | — | (3) | ||||||||||
Shareholder Reporting Expense | 1 | 1 | 6 | 2 | ||||||||||||
Other | 1 | 2 | 3 | 3 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 108 | 55 | 79 | 200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
I Class | 16 | — | 44 | 27 | ||||||||||||
N Class | 15 | 6 | 26 | 22 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 77 | 49 | 9 | 151 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 43 | 155 | 14 | (66 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investments | 1,749 | 228 | 7 | 1,299 | ||||||||||||
Investments in Affiliated Issuers | — | 11 | — | — | ||||||||||||
Realized Gain Distributed from Affiliated Issuers | — | 610 | — | — | ||||||||||||
Foreign Currency | — | — | — | (3) | — | |||||||||||
Options Written | — | — | 5 | — | ||||||||||||
Change in unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | (1,271 | ) | (57 | ) | (29 | ) | (86 | ) | ||||||||
Foreign Currency | — | — | — | (3) | — | |||||||||||
Investments in Affiliated Issuers | — | 206 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 478 | 998 | (17 | ) | 1,213 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 521 | $ | 1,153 | $ | (3 | ) | $ | 1,147 | |||||||
|
|
|
|
|
|
|
|
(1) | For the period December 1, 2014 (Commencement of Operations) through April 30, 2015. |
(2) | Net of foreign taxes withheld of $2, $1 and $1 for the TCW Concentrated Value Fund, the TCW Global Real Estate Fund and the TCW Growth Equities Fund, respectively. |
(3) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
52
Table of Contents
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2015 |
TCW High Dividend Equities Fund (1) | TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Income: | ||||||||||||||||
Dividends | $ | 36 | (2) | $ | 14,659 | (2) | $ | 7,023 | (2) | $ | 1,137 | |||||
|
|
|
|
|
|
|
| |||||||||
Total | 36 | 14,659 | 7,023 | 1,137 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management Fees | 6 | 4,317 | 2,681 | 562 | ||||||||||||
Accounting Services Fees | — | (3) | 55 | 35 | 8 | |||||||||||
Administration Fees | — | (3) | 33 | 21 | 5 | |||||||||||
Transfer Agent Fees: | ||||||||||||||||
I Class | 1 | 66 | 282 | 30 | ||||||||||||
N Class | 1 | 484 | 16 | 15 | ||||||||||||
Custodian Fees | 3 | 10 | 9 | 5 | ||||||||||||
Professional Fees | 32 | 25 | 22 | 17 | ||||||||||||
Directors’ Fees and Expenses | 11 | 13 | 13 | 13 | ||||||||||||
Registration Fees: | ||||||||||||||||
I Class | 8 | 12 | 11 | 9 | ||||||||||||
N Class | 8 | 19 | 8 | 8 | ||||||||||||
Distribution Fees: | ||||||||||||||||
N Class | 1 | 1,192 | 34 | 34 | ||||||||||||
Compliance Expense | — | (3) | 11 | 15 | 2 | |||||||||||
Shareholder Reporting Expense | 7 | 4 | 3 | 3 | ||||||||||||
Other | 3 | 75 | 47 | 11 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 81 | 6,316 | 3,197 | 722 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
I Class | 47 | — | — | — | ||||||||||||
N Class | 22 | — | 12 | 15 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 12 | 6,316 | 3,185 | 707 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income | 24 | 8,343 | 3,838 | 430 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investments | (3 | ) | 51,066 | 40,951 | 10,746 | |||||||||||
Options Written | 1 | — | — | — | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | 73 | (21,287 | ) | (10,944 | ) | (4,081 | ) | |||||||||
Options Written | 1 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Option Written | 72 | 29,779 | 30,007 | 6,665 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 96 | $ | 38,122 | $ | 33,845 | $ | 7,095 | ||||||||
|
|
|
|
|
|
|
|
(1) | For the period December 1, 2014 (Commencement of Operations) through April 30, 2015. |
(2) | Net of foreign taxes withheld of $0, $13 and $8 for the TCW High Dividend Equities Fund, the TCW Relative Value Dividend Appreciation Fund and the TCW Relative Value Large Cap Fund, respectively. |
(3) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
53
Table of Contents
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2015 |
TCW Select Equities Fund | TCW Small Cap Growth Fund | TCW SMID Cap Growth Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Dividends | $ | 7,216 | $ | 290 | (1) | $ | 101 | (1) | ||||
|
|
|
|
|
| |||||||
Total | 7,216 | 290 | 101 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 6,645 | 805 | 243 | |||||||||
Accounting Services Fees | 86 | 9 | 3 | |||||||||
Administration Fees | 52 | 5 | 2 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 699 | 38 | 2 | |||||||||
N Class | 123 | 17 | 2 | |||||||||
Custodian Fees | 15 | 11 | 6 | |||||||||
Professional Fees | 30 | 20 | 17 | |||||||||
Directors’ Fees and Expenses | 13 | 13 | 13 | |||||||||
Registration Fees: | ||||||||||||
I Class | 15 | 8 | 7 | |||||||||
N Class | 10 | 8 | 7 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 264 | 39 | 30 | |||||||||
Compliance Expense | 17 | 4 | 1 | |||||||||
Shareholder Reporting Expense | 5 | 4 | 1 | |||||||||
Other | 119 | 28 | 3 | |||||||||
|
|
|
|
|
| |||||||
Total | 8,093 | 1,009 | 337 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | — | — | 8 | |||||||||
N Class | — | 32 | 38 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 8,093 | 977 | 291 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Loss | (877 | ) | (687 | ) | (190 | ) | ||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 96,749 | 19,420 | 1,453 | |||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (120 | ) | (5,522 | ) | 268 | |||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 96,629 | 13,898 | 1,721 | |||||||||
|
|
|
|
|
| |||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 95,752 | $ | 13,211 | $ | 1,531 | ||||||
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $4 and $1 for the TCW Small Cap Growth Fund and the TCW SMID Cap Growth Fund, respectively. |
See accompanying notes to financial statements.
54
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, 2015 (Unaudited) | Year Ended October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 43 | $ | 49 | $ | 155 | $ | 292 | ||||||||
Net Realized Gain on Investments | 1,749 | 1,056 | 849 | 552 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | (1,271 | ) | 743 | 149 | 1,137 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 521 | 1,848 | 1,153 | 1,981 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (42 | ) | (36 | ) | (333 | ) | (512 | ) | ||||||||
N Class | (9 | ) | (4 | ) | (4 | ) | (13 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (158 | ) | — | |||||||||||
N Class | — | — | (4 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (51 | ) | (40 | ) | (499 | ) | (525 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 284 | 751 | (10 | ) | 2,213 | |||||||||||
N Class | 507 | 666 | 2,777 | (284 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Net Capital Shares Transactions | 791 | 1,417 | 2,767 | 1,929 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets | 1,261 | 3,225 | 3,421 | 3,385 | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 11,774 | 8,549 | 31,553 | 28,168 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 13,035 | $ | 11,774 | $ | 34,974 | $ | 31,553 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | 27 | $ | 35 | $ | (73 | ) | $ | 109 |
See accompanying notes to financial statements.
55
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Global Real Estate Fund | TCW Growth Equities Fund | |||||||||||
For the period December 1, 2014 (Commencement of Operations) through April 30, 2015 (Unaudited) | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
OPERATIONS | ||||||||||||
Net Investment Income (Loss) | $ | 14 | $ | (66 | ) | $ | (174 | ) | ||||
Net Realized Gain on Investments and Options Written | 12 | 1,299 | 3,066 | |||||||||
Change in Unrealized Depreciation on Investments | (29 | ) | (86 | ) | (1,084 | ) | ||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets Resulting from Operations | (3 | ) | 1,147 | 1,808 | ||||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||
Distributions from Net Investment Income: | ||||||||||||
I Class | (9 | ) | — | — | ||||||||
N Class | (5 | ) | — | — | ||||||||
Distributions from Net Realized Gain: | ||||||||||||
I Class | — | (2,007 | ) | (8,090 | ) | |||||||
N Class | — | (502 | ) | (2,308 | ) | |||||||
|
|
|
|
|
| |||||||
Total Distributions to Shareholders | (14 | ) | (2,509 | ) | (10,398 | ) | ||||||
|
|
|
|
|
| |||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||
I Class | 2,037 | (1,258 | ) | 4,634 | ||||||||
N Class | 505 | (307 | ) | 897 | ||||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets Resulting from Net Capital | 2,542 | (1,565 | ) | 5,531 | ||||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets | 2,525 | (2,927 | ) | (3,059 | ) | |||||||
NET ASSETS | ||||||||||||
Beginning of Period | — | 27,198 | 30,257 | |||||||||
|
|
|
|
|
| |||||||
End of Period | $ | 2,525 | $ | 24,271 | $ | 27,198 | ||||||
|
|
|
|
|
| |||||||
Undistributed Net Investment Income (Loss) | $ | — | $ | (66 | ) | $ | — |
See accompanying notes to financial statements.
56
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW High Dividend Equities Fund | TCW Relative Value Dividend Appreciation Fund | |||||||||||
For the Period December 1, 2014 (Commencement of Operations) through April 30, 2015 (Unaudited) | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
OPERATIONS | ||||||||||||
Net Investment Income | $ | 24 | $ | 8,343 | $ | 16,460 | ||||||
Net Realized Gain (Loss) on Investments and Options Written | (2 | ) | 51,066 | 75,270 | ||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | 74 | (21,287 | ) | 40,524 | ||||||||
|
|
|
|
|
| |||||||
Increase in Net Assets Resulting from Operations | 96 | 38,122 | 132,254 | |||||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||
Distributions from Net Investment Income: | ||||||||||||
I Class | (19 | ) | (1,356 | ) | (3,214 | ) | ||||||
N Class | (6 | ) | (5,308 | ) | (12,413 | ) | ||||||
|
|
|
|
|
| |||||||
Total Distributions to Shareholders | (25 | ) | (6,664 | ) | (15,627 | ) | ||||||
|
|
|
|
|
| |||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||
I Class | 4,273 | (3,558 | ) | 702 | ||||||||
N Class | 556 | (70,822 | ) | (15,193 | ) | |||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets Resulting from Net Capital | 4,829 | (74,380 | ) | (14,491 | ) | |||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets | 4,900 | (42,922 | ) | 102,136 | ||||||||
NET ASSETS | ||||||||||||
Beginning of Period | — | 1,165,797 | 1,063,661 | |||||||||
|
|
|
|
|
| |||||||
End of Period | $ | 4,900 | $ | 1,122,875 | $ | 1,165,797 | ||||||
|
|
|
|
|
| |||||||
Undistributed Net Investment Income (Loss) | $ | (1 | ) | $ | 1,679 | $ | — |
See accompanying notes to financial statements.
57
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | |||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 3,838 | $ | 6,893 | $ | 430 | $ | 617 | ||||||||
Net Realized Gain on Investments | 40,951 | 33,964 | 10,746 | 20,011 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | (10,944 | ) | 54,700 | (4,081 | ) | (5,406 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 33,845 | 95,557 | 7,095 | 15,222 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (6,775 | ) | (6,862 | ) | (506 | ) | (520 | ) | ||||||||
N Class | (214 | ) | (802 | ) | (90 | ) | (98 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (13,135 | ) | (9,698 | ) | ||||||||||
N Class | — | — | (3,289 | ) | (3,696 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (6,989 | ) | (7,664 | ) | (17,020 | ) | (14,012 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (26,872 | ) | 78,398 | 4,419 | (4,460 | ) | ||||||||||
N Class | (3,423 | ) | (55,337 | ) | 1,193 | (8,482 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (30,295 | ) | 23,061 | 5,612 | (12,942 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (3,439 | ) | 110,954 | (4,313 | ) | (11,732 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 730,073 | 619,119 | 143,281 | 155,013 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 726,634 | $ | 730,073 | $ | 138,968 | $ | 143,281 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | 2,268 | $ | 5,419 | $ | (69 | ) | $ | 97 |
See accompanying notes to financial statements.
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TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Select Equities Fund | TCW Small Cap Growth Fund | |||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Loss | $ | (877 | ) | $ | (2,982 | ) | $ | (687 | ) | $ | (2,151 | ) | ||||
Net Realized Gain on Investments | 96,749 | 72,793 | 19,420 | 42,235 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | (120 | ) | 114,136 | (5,522 | ) | (22,398 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 95,752 | 183,947 | 13,211 | 17,686 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | — | (79 | ) | — | — | |||||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (50,375 | ) | (42,602 | ) | (22,038 | ) | (20,781 | ) | ||||||||
N Class | (7,121 | ) | (13,105 | ) | (5,353 | ) | (17,176 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (57,496 | ) | (55,786 | ) | (27,391 | ) | (37,957 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (157,267 | ) | 176,067 | (10,468 | ) | (15,300 | ) | |||||||||
N Class | (28,698 | ) | (169,232 | ) | 115 | (77,622 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (185,965 | ) | 6,835 | (10,353 | ) | (92,922 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (147,709 | ) | 134,996 | (24,533 | ) | (113,193 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 1,838,631 | 1,703,635 | 173,093 | 286,286 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
End of Period | $ | 1,690,922 | $ | 1,838,631 | $ | 148,560 | $ | 173,093 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | (815 | ) | $ | 62 | $ | (686 | ) | $ | 1 |
See accompanying notes to financial statements.
59
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TCW Funds, Inc.
Statements of Changes in Net Assets
TCW SMID Cap Growth Fund | ||||||||
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | |||||||
Dollar Amounts in Thousands | ||||||||
OPERATIONS | ||||||||
Net Investment Loss | $ | (190 | ) | $ | (428 | ) | ||
Net Realized Gain on Investments | 1,453 | 6,062 | ||||||
Change in Unrealized Appreciation (Depreciation) on Investments | 268 | (3,213 | ) | |||||
|
|
|
| |||||
Increase in Net Assets Resulting from Operations | 1,531 | 2,421 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Distributions from Net Realized Gain: | ||||||||
I Class | (736 | ) | — | |||||
N Class | (750 | ) | — | |||||
|
|
|
| |||||
Total Distributions to Shareholders | (1,486 | ) | — | |||||
|
|
|
| |||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||
I Class | (5,448 | ) | (3,952 | ) | ||||
N Class | 713 | (222 | ) | |||||
|
|
|
| |||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (4,735 | ) | (4,174 | ) | ||||
|
|
|
| |||||
Decrease in Net Assets | (4,690 | ) | (1,753 | ) | ||||
NET ASSETS | ||||||||
Beginning of Period | 52,408 | 54,161 | ||||||
|
|
|
| |||||
End of Period | $ | 47,718 | $ | 52,408 | ||||
|
|
|
| |||||
Undistributed Net Investment Loss | $ | (572 | ) | $ | (382 | ) |
See accompanying notes to financial statements.
60
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
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 22 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 11 U.S. Equity Funds that are covered in this report:
TCW Fund | Investment Objective | |
Diversified U.S. Equity Funds | ||
TCW Concentrated Value Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets in publicly traded equity securities of companies with market capitalizations of greater than $3 billion dollars at the time of acquisition. | |
TCW Global Real Estate Fund | Seeks to maximize total return from current income and long-term capital growth by investing at least 80% of its net assets in equity securities of real estate investment trusts (“REITs”) and real estate companies. | |
TCW Growth Equities Fund | Seeks long-term capital appreciation by investing at least 80% of the value of its net assets in equity securities issued by companies with market capitalizations, at the time of acquisition, within the capitalization range of the companies comprising Russell Mid Cap® Growth Index. | |
TCW High Dividend Equities Fund | Seeks high total return from current income and capital appreciation by investing at least 80% of the value of its net assets in equity securities listed on U.S. financial markets. | |
TCW Relative Value Dividend Appreciation Fund | Seeks to realize a high level of dividend income consistent with prudent investment management, with capital appreciation as a secondary objective, by investing at least 80% of the value of its net assets in equity securities of companies that have a record of paying dividends. | |
TCW Relative Value Large Cap Fund | Seeks capital appreciation, with a secondary goal of current income, by investing at least 80% of the value of its net assets in equity securities of companies with a market capitalization of greater than $1 billion at the time of purchase. | |
TCW Relative Value Mid Cap Fund | Seeks to provide long-term capital appreciation by investing at least 65% of the value of its net assets in equity securities issued by companies with market capitalizations at the time of acquisition, within the capitalization ranges of the companies comprising the Russell Mid Cap® Value Index. |
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 1 — Organization (Continued)
TCW Fund | Investment Objective | |
TCW Select Equities Fund | Seeks to provide long-term capital appreciation by investing primarily in equity securities of mid- and large-capitalization companies. | |
TCW Small Cap Growth Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets in equity securities issued by companies with market capitalizations, at the time of acquisition, within the capitalization range of the companies comprising the Russell 2000® Growth Index. | |
TCW SMID Cap Growth Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets in equity securities issued by companies with market capitalizations at the time of acquisition, within the capitalization range of companies comprising the Russell 2500® Growth Index. | |
Fund of Funds | ||
TCW Conservative Allocation Fund | Seeks to provide 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.
The TCW Conservative Allocation Fund invests in other TCW Funds and in Metropolitan West Funds which are affiliated 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. Each Fund is considered an investment company under the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) No. 946, Financial Services — Investment Companies.
Net Asset Value: The Net Asset Value of each Class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that Class at the close of the New York Stock Exchange (the “NYSE”) (generally 4:00 p.m. Eastern Time or 1:00 p.m. Pacific Time, but the NYSE sometimes closes earlier) on each day that the NYSE is open for trading.
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
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Table of Contents
TCW Funds, Inc.
April 30, 2015 |
Note 2 — Significant Accounting Policies (Continued)
official closing prices as reported by NASDAQ. All other securities for which over-the-counter (“OTC”) market quotations are readily available, including short-term securities, are valued with prices furnished by independent pricing services or by broker dealers. Options are valued at the last reported sales price or the mean of the current bid and asked prices if there are no sales in the trading period. Repurchase agreements are priced at cost which approximates market value. 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.
Securities for which market quotations are not readily available, including circumstances under which it is determined by the Advisor that prices received 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 inputs for disclosure purposes. Inputs that go into fair value measurement 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.
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Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 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 categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant. 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. Certain foreign securities that 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.
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.
Master Limited Partnerships. Master Limited Partnerships 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 using the net asset value as reported by the fund companies. As such, they are categorized in Level 1.
Options contracts. Exchange listed option contracts traded on securities exchanges are fair valued using quoted prices from the applicable exchange; as such, they are categorized in Level 1. Option contracts traded over-the-counter (OTC) are fair valued based on pricing models and incorporate various inputs such as interest rate, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-money contracts on a given strike price. To the extent that these inputs are observable and timely, the fair value of OTC option contracts would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
Restricted securities. Restricted securities held in non-public entities, including illiquid Rule 144A securities, 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 observability of the inputs.
Short-term investments. Short-term investments are valued using market price quotations, and are reflected in Level 2 of the fair value hierarchy. Repurchase agreements are valued at cost, which approximates fair value, and are categorized in Level 2.
The Funds, within the exception of the TCW Global Real Estate Fund, categorized their investments at Level 1, with the corresponding industries as represented in the Schedule of Investments, and all short-term investments at Level 2 as of April 30, 2015.
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TCW Funds, Inc.
April 30, 2015 |
Note 2 — Significant Accounting Policies (Continued)
The following is a summary of the inputs used of as of April 30, 2015 in valuing the TCW Global Real Estate Fund.
TCW Global Real Estate 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 | ||||||||||||||||
Household Durables | $ | 185,894 | $ | — | $ | — | $ | 185,894 | ||||||||
Internet Software & Services | 37,366 | — | — | 37,366 | ||||||||||||
REIT | 1,308,972 | 509,223 | — | 1,818,195 | ||||||||||||
Real Estate Management & Development | — | 277,137 | — | 277,137 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 1,532,232 | 786,360 | — | 2,318,592 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
REIT | 112,029 | — | — | 112,029 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 112,029 | — | — | 112,029 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 43,078 | — | 43,078 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,644,261 | $ | 829,438 | $ | — | $ | 2,473,699 | ||||||||
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|
|
|
|
|
|
|
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, 2015.
The Funds held no investments or other financial instruments at April 30, 2015 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. Distributions received from real estate investment trust securities may include return of capital. Such distributions reduce the cost basis of those investments. Distributions received, if any, in excess of the cost basis of a security is recognized as capital gain.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) the market value of foreign 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.
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Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
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 Funds may not be able to close out a derivative transaction at a favorable time or price.
For the period ended April 30, 2015, the TCW Global Real Estate Fund and the TCW High Dividend Equities Fund had the following derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Notional Amounts or Shares/Units):
Equity Risk | Total | |||||||
TCW Global Real Estate Fund | ||||||||
Statement of Operations: | ||||||||
Realized Gain (Loss) on | ||||||||
Investments (1) | $ | (1 | ) | $ | (1 | ) | ||
Written Options | 5 | 5 | ||||||
|
|
|
| |||||
Total Realized Gain | $ | 4 | $ | 4 | ||||
|
|
|
| |||||
Notional Amounts or Shares/Units (2) | ||||||||
Purchased Options | 6 | 6 | ||||||
Written Options | 12 | 12 | ||||||
TCW High Dividend Equities Fund | ||||||||
Statements of Asset and Liabilities: | ||||||||
Liability Derivatives | ||||||||
Written Options | $ | — | (3) | $ | — | (3) | ||
|
|
|
| |||||
Total Value | $ | — | (3) | $ | — | (3) | ||
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|
|
| |||||
Statement of Operations: | ||||||||
Realized Gain on | ||||||||
Written Options | $ | 1 | $ | 1 | ||||
|
|
|
| |||||
Total Realized Gain | $ | 1 | $ | 1 | ||||
|
|
|
| |||||
Change in Unrealized Appreciation on: | ||||||||
Written Options | $ | 1 | $ | 1 | ||||
|
|
|
| |||||
Total Change in Unrealized Appreciation | $ | 1 | $ | 1 | ||||
|
|
|
| |||||
Notional Amounts or Shares/Units (2) | ||||||||
Written Options | 6 | 6 |
(1) | Represents realized loss for purchased options. |
(2) | Amount disclosed represent average number of contracts or notional amounts, which are representative of the volume traded for the period ended April 30, 2015. |
(3) | Amount rounds to less than $1. |
Options: The Funds may purchase and sell put and call options on an index of securities to enhance investment performance and to protect against changes in market prices. The Funds may also enter into currency options to hedge against currency fluctuations.
A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If a Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may
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Table of Contents
TCW Funds, Inc.
April 30, 2015 |
Note 2 — Significant Accounting Policies (Continued)
purchase call options to hedge against an increase in the price of securities that the Fund ultimately wants to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit a Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. During the period ended April 30, 2015, the TCW Global Real Estate Fund and the TCW High Dividend Equities Fund had written options. Open written options are listed on the Schedule of Investments
Transactions in written option contracts for the period ended April 30, 2015, were as follows:
TCW Global Real Estate Fund
Call Contracts | Call Premiums | |||||||
Options outstanding at December 1, 2014 (Commencement of Operations) | — | $ | — | |||||
Options written | 38 | 6,636 | ||||||
Options terminated in closing purchase transactions | (1 | ) | (364 | ) | ||||
Options exercised | (7 | ) | (1,269 | ) | ||||
Options expired | (30 | ) | (5,003 | ) | ||||
|
|
|
| |||||
Options outstanding at April 30, 2015 | — | $ | — | |||||
|
|
|
|
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Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW High Dividend Equities Fund
Call Contracts | Call Premiums | |||||||
Options outstanding at December 1, 2014 (Commencement of Operations) | — | $ | — | |||||
Options written | 19 | 3,602 | ||||||
Options terminated in closing purchase transactions | — | — | ||||||
Options exercised | (6 | ) | (874 | ) | ||||
Options expired | (8 | ) | (1,352 | ) | ||||
|
|
|
| |||||
Options outstanding at April 30, 2015 | 5 | $ | 1,376 | |||||
|
|
|
|
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. 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 until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If the 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 the 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 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, 2015 (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 Global Real Estate Fund | State Street Bank & Trust Co. | $ | 43 | $ | (43 | ) | $ | — | $ | — | ||||||||
TCW Growth Equities Fund | State Street Bank & Trust Co. | 515 | (515 | ) | — | — | ||||||||||||
TCW High Dividend Equities Fund | State Street Bank & Trust Co. | 234 | (234 | ) | — | — |
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TCW Funds, Inc.
April 30, 2015 |
Note 2 — Significant Accounting Policies (Continued)
Fund Name | Counterparty | Gross Asset Subject to Master Agreement | Collateral Received (1) | Asset/ (Liabilities) Available for Offset | Net Amount of Asset (2) | |||||||||||||
TCW Relative Value Dividend Appreciation Fund | State Street Bank & Trust Co. | $ | 4,344 | $ | (4,344 | ) | $ | — | $ | — | ||||||||
TCW Relative Value Large Cap Fund | State Street Bank & Trust Co. | 23,881 | (23,881 | ) | — | — | ||||||||||||
TCW Relative Value Mid Cap Fund | State Street Bank & Trust Co. | 949 | (949 | ) | — | — | ||||||||||||
TCW Select Equities Fund | State Street Bank & Trust Co. | 20,204 | (20,204 | ) | — | — | ||||||||||||
TCW Small Cap Growth Fund | State Street Bank & Trust Co. | 2,838 | (2,838 | ) | — | — | ||||||||||||
TCW SMID Cap Growth Fund | State Street Bank & Trust Co. | 842 | (842 | ) | — | — |
(1) | Full value of collateral received is disclosed below. Excess collateral is not shown for financial reporting purposes. |
(2) | Represents the net amount receivable from the counterparty in the event of default. |
The following table shows the full value of the collateral received by the Funds (in thousands):
Fund Name | Collateral Value | |||
TCW Global Real Estate Fund | $ | 46 | ||
TCW Growth Equities Fund | 529 | |||
TCW High Dividend Equities Fund | 239 | |||
TCW Relative Value Dividend Appreciation Fund | 4,434 | |||
TCW Relative Value Large Cap Fund | 24,359 | |||
TCW Relative Value Mid Cap Fund | 968 | |||
TCW Select Equities Fund | 20,609 | |||
TCW Small Cap Growth Fund | 2,896 | |||
TCW SMID Cap Growth Fund | 863 |
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, 2015.
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 Global Real Estate Fund, the TCW High Dividend Equities Fund and the TCW Relative Value Dividend Appreciation Fund declare and pay, or reinvest, 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
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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. Distributions 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.
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.
Investment Style Risk: Certain Funds may also be subject to investment style risk. The Advisor’s investment styles may be out of favor at times or may not produce the best results over short or longer time periods and may increase the volatility of a Fund’s share price.
Equity Risk: Equity securities may include common stock, preferred stock or other securities representing an ownership interest of the right to acquire an ownership interest in an issuer. Equity risk is the risk that stocks and other equity securities generally fluctuate in value more than bonds and can decline in value over short or extended periods. The value of stocks and other equity securities will be affected by changes in a company’s financial condition and in overall market, economic and political conditions.
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TCW Funds, Inc.
April 30, 2015 |
Note 3 — Risk Considerations (Continued)
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 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, 2015, 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 | $ | 1,507 | $ | (291 | ) | $ | 1,216 | $ | 11,923 | |||||||
TCW Conservative Allocation Fund | 4,391 | (446 | ) | 3,945 | 30,566 | |||||||||||
TCW Global Real Estate Fund | 40 | (70 | ) | (30 | ) | 2,504 | ||||||||||
TCW Growth Equities Fund | 7,938 | (470 | ) | 7,468 | 16,936 | |||||||||||
TCW High Dividend Equities Fund | 123 | (56 | ) | 67 | 4,818 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | 284,417 | (18,732 | ) | 265,685 | 856,028 | |||||||||||
TCW Relative Value Large Cap Fund | 246,205 | (7,403 | ) | 238,802 | 490,790 | |||||||||||
TCW Relative Value Mid Cap Fund | 34,697 | (3,305 | ) | 31,392 | 107,752 | |||||||||||
TCW Select Equities Fund | 652,096 | (6,624 | ) | 645,472 | 1,045,395 | |||||||||||
TCW Small Cap Growth Fund | 39,454 | (2,809 | ) | 36,645 | 112,642 | |||||||||||
TCW SMID Cap Value Fund | 11,562 | (1,325 | ) | 10,237 | 37,700 |
At October 31, 2014, 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 | $ | 35 | $ | — | $ | 35 | ||||||
TCW Conservative Allocation Fund | 109 | 240 | 349 | |||||||||
TCW Growth Equities Fund | 499 | 2,009 | 2,508 | |||||||||
TCW Relative Value Large Cap Fund | 5,420 | — | 5,420 | |||||||||
TCW Relative Value Mid Cap Fund | — | 16,422 | 16,422 | |||||||||
TCW Select Equities Fund | 3,368 | 54,121 | 57,489 | |||||||||
TCW Small Cap Growth Fund | 5,596 | 18,863 | 24,459 | |||||||||
TCW SMID Cap Growth Fund | — | 1,486 | 1,486 |
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 4 — Federal Income Taxes (Continued)
During the year ended October 31, 2014, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Concentrated Value Fund | $ | 40 | $ | — | $ | 40 | ||||||
TCW Conservative Allocation Fund | 525 | — | 525 | |||||||||
TCW Growth Equities Fund | 2,263 | 8,135 | 10,398 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 15,627 | — | 15,627 | |||||||||
TCW Relative Value Large Cap Fund | 7,664 | — | 7,664 | |||||||||
TCW Relative Value Mid Cap Fund | 1,122 | 12,890 | 14,012 | |||||||||
TCW Select Equities Fund | 1,245 | 54,541 | 55,786 | |||||||||
TCW Small Cap Growth Fund | — | 37,957 | 37,957 |
At October 31, 2014, the following Funds had net realized loss carryforwards for federal income tax purposes (amounts in thousands) which were incurred prior to December 22, 2010:
Expiring In | ||||||||||||
2015 | 2016 | 2017 | ||||||||||
TCW Concentrated Value Fund | $ | — | $ | — | $ | 8,456 | ||||||
TCW Relative Value Dividend Appreciation Fund | — | — | 160,797 | |||||||||
TCW Relative Value Large Cap Fund | — | — | 23,890 | |||||||||
TCW Relative Value Mid Cap Fund (1) | 6,529 | 6,075 | — | |||||||||
TCW Select Equities Fund (1) | — | 148 | — |
(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 after that date will be required to be utilized prior to the losses incurred in the pre-enactment taxable years. 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. There were no capital losses carryforward by the Funds that were incurred after December 22, 2010.
The Funds did not have any unrecognized tax benefits at April 30, 2015, nor were there any increases or decreases in unrecognized tax benefits for the period ended April 30, 2015. The Funds are subject to examination by the U.S. Federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
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:
Fund | Management Fee % | |||||
TCW Concentrated Value Fund | 0.65 | % | ||||
TCW Global Real Estate Fund | 0.80 | % | ||||
TCW Growth Equities Fund | 1.00 | % | ||||
TCW High Dividend Equities Fund | 0.65 | % | ||||
TCW Relative Value Dividend Appreciation Fund | 0.75 | % | ||||
TCW Relative Value Large Cap Fund | 0.75 | % | ||||
TCW Relative Value Mid Cap Fund | 0.80 | % | ||||
TCW Select Equities Fund | 0.75 | % | ||||
TCW Small Cap Growth Fund | 1.00 | % | ||||
TCW SMID Cap Growth Fund | 1.00 | % |
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TCW Funds, Inc.
April 30, 2015 |
Note 5 — Fund Management Fees and Other Expenses (Continued)
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.
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 Concentrated Value Fund | ||||
I Class | 1.09% | (1) | ||
N Class | 1.09% | (1) | ||
TCW Conservative Allocation Fund | ||||
I Class | 0.85% | (1) | ||
N Class | 0.85% | (1) | ||
TCW Global Real Estate Fund | ||||
I Class | 1.46% | (1) | ||
N Class | 1.46% | (1) | ||
TCW Growth Equities Fund | ||||
I Class | 1.20% | (1) | ||
N Class | 1.20% | (1) | ||
TCW High Dividend Equities Fund | ||||
I Class | 1.18% | (1) | ||
N Class | 1.18% | (1) | ||
TCW Relative Value Dividend Appreciation Fund | ||||
I Class | 1.17% | (2) | ||
N Class | 1.17% | (2) | ||
TCW Relative Value Large Cap Fund | ||||
I Class | 1.15% | (2) | ||
N Class | 1.15% | (2) | ||
TCW Relative Value Mid Cap Fund | ||||
I Class | 1.21% | (1) | ||
N Class | 1.21% | (1) | ||
TCW Select Equities Fund | ||||
I Class | 1.18% | (2) | ||
N Class | 1.18% | (2) | ||
TCW Small Cap Growth Fund | ||||
I Class | 1.37% | (2) | ||
N Class | 1.37% | (2) | ||
TCW SMID Cap Growth Fund | ||||
I Class | 1.20% | (1) | ||
N Class | 1.20% | (1) |
(1) | These limitations are based on an agreement between the Advisor and the Company. |
(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, 2015. The advisor may, at its sole discretion, extend or modify the expense limitation at the conclusion of the one-year period. |
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.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 5 — Fund Management Fees and Other Expenses (Continued)
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 is 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.
Note 7 — Transactions with Affiliates
The summary of TCW Conservative Allocation Fund transactions in the affiliated funds for the period ended April 30, 2015, 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 Total Return Bond Fund—I Class | 554,686 | 80,205 | (22,027 | ) | 612,864 | $ | 6,723 | $ | 53 | $ | 15 | |||||||||||||||||
TCW Global Real Estate Fund—I Class | — | 137,850 | (3,490 | ) | 134,360 | 1,361 | 4 | — | ||||||||||||||||||||
TCW Growth Equities Fund—I Class | 115,248 | 29,971 | (4,877 | ) | 140,342 | 1,729 | — | 155 | ||||||||||||||||||||
TCW High Dividend Equities Fund—I Class | — | 170,851 | (4,305 | ) | 166,546 | 1,720 | — | — | ||||||||||||||||||||
TCW Relative Value Large Cap Fund—I Class | 223,994 | 30,724 | (44,416 | ) | 210,302 | 4,820 | 49 | — | ||||||||||||||||||||
TCW Relative Value Mid Cap Fund—I Class | 60,457 | 16,501 | (21,609 | ) | 55,349 | 1,368 | 7 | 184 | ||||||||||||||||||||
TCW Select Equities Fund—I Class | 268,965 | 43,101 | (51,572 | ) | 260,494 | 7,109 | — | 224 | ||||||||||||||||||||
TCW Total Return Bond Fund—I Class | 814,503 | 122,528 | (32,487 | ) | 904,544 | 9,371 | 91 | 32 | ||||||||||||||||||||
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|
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|
| |||||||||||||||||||||||
Total | $ | 34,201 | $ | 204 | $ | 610 | ||||||||||||||||||||||
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TCW Funds, Inc.
April 30, 2015 |
Note 7 — Transactions with Affiliates (Continued)
The ownership percentage of TCW Conservative Allocation Fund in each of the affiliated underlying funds at April 30, 2015 is as follows:
Name of Affiliated Fund | Ownership Percentage (1) | |||
Metropolitan West Total Return Bond Fund | 0.01 | % | ||
TCW Global Real Estate Fund | 53.91 | % | ||
TCW Growth Equities Fund | 7.12 | % | ||
TCW High Dividend Equities Fund | 35.11 | % | ||
TCW Relative Value Large Cap Fund | 0.66 | % | ||
TCW Relative Value Mid Cap Fund | 0.98 | % | ||
TCW Select Equities Fund | 0.42 | % | ||
TCW Total Return Bond Fund | 0.11 | % |
(1) | Percentage ownership based on total net assets of the underlying fund. |
The financial statements of the Metropolitan West Total Return 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.
Note 8 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the six months ended April 30, 2015, 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 | $ | 8,389 | $ | 7,118 | $ | — | $ | — | ||||||||
TCW Conservative Allocation Fund | 7,996 | 4,909 | — | — | ||||||||||||
TCW Global Real Estate Fund | 2,757 | 304 | — | — | ||||||||||||
TCW Growth Equities Fund | 6,324 | 10,642 | — | — | ||||||||||||
TCW High Dividend Equities Fund | 5,212 | 629 | — | — | ||||||||||||
TCW Relative Value Large Cap Fund | 66,822 | 111,259 | — | — | ||||||||||||
TCW Relative Value Midcap Fund | 15,763 | 27,159 | — | — | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 105,073 | 151,729 | — | — | ||||||||||||
TCW Select Equities Fund | 267,638 | 467,142 | — | — | ||||||||||||
TCW Small Cap Growth Fund | 64,607 | 103,721 | — | — | ||||||||||||
TCW SMID Cap Growth Fund | 12,387 | 18,871 | — | — |
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Concentrated Value Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 224,830 | $ | 4,484 | 136,189 | $ | 2,464 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,992 | 41 | 2,110 | 36 | ||||||||||||
Shares Redeemed | (208,220 | ) | (4,241 | ) | (99,718 | ) | (1,749 | ) | ||||||||
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|
|
| |||||||||
Net Increase | 18,602 | $ | 284 | 38,581 | $ | 751 | ||||||||||
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| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 115,049 | $ | 2,278 | 60,228 | $ | 1,087 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 453 | 9 | 251 | 4 | ||||||||||||
Shares Redeemed | (89,181 | ) | (1,780 | ) | (24,415 | ) | (425 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net Increase | 26,321 | $ | 507 | 36,064 | $ | 666 | ||||||||||
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW Conservative Allocation Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 130,083 | $ | 1,621 | 638,319 | $ | 7,515 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 39,548 | 484 | 41,922 | 491 | ||||||||||||
Shares Redeemed | (170,068 | ) | (2,115 | ) | (493,402 | ) | (5,793 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (437 | ) | $ | (10 | ) | 186,839 | $ | 2,213 | ||||||||
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|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 242,360 | $ | 3,042 | 7,837 | $ | 92 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 632 | 8 | 1,083 | 13 | ||||||||||||
Shares Redeemed | (22,100 | ) | (273 | ) | (32,810 | ) | (389 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 220,892 | $ | 2,777 | (23,890 | ) | $ | (284 | ) | ||||||||
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| |||||||||
TCW Global Real Estate Fund | December 1, 2014 (Commencement of Operations) through April 30, 2015 (Unaudited) | |||||||||||||||
I Class | Shares | Amount (in thousands) | ||||||||||||||
Shares Sold | 201,423 | $ | 2,064 | |||||||||||||
Shares Issued upon Reinvestment of Dividends | 916 | 9 | ||||||||||||||
Shares Redeemed | (3,491 | ) | (36 | ) | ||||||||||||
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|
|
| |||||||||||||
Net Increase | 198,848 | $ | 2,037 | |||||||||||||
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|
| |||||||||||||
N Class | Shares | Amount (in thousands) | ||||||||||||||
Shares Sold | 50,000 | $ | 500 | |||||||||||||
Shares Issued upon Reinvestment of Dividends | 454 | 5 | ||||||||||||||
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|
| |||||||||||||
Net Increase | 50,454 | $ | 505 | |||||||||||||
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| |||||||||||||
TCW Growth Equities Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 52,736 | $ | 664 | 340,335 | $ | 4,739 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 160,008 | 1,920 | 592,022 | 7,643 | ||||||||||||
Shares Redeemed | (296,983 | ) | (3,842 | ) | (529,465 | ) | (7,748 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (84,239 | ) | $ | (1,258 | ) | 402,892 | $ | 4,634 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 16,969 | $ | 213 | 70,713 | $ | 945 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 41,507 | 494 | 176,825 | 2,269 | ||||||||||||
Shares Redeemed | (80,095 | ) | (1,014 | ) | (176,507 | ) | (2,317 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (21,619 | ) | $ | (307 | ) | 71,031 | $ | 897 | ||||||||
|
|
|
|
|
|
|
|
76
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
Note 9 — Capital Share Transactions (Continued)
TCW High Dividend Equities Fund | December 1, 2014 (Commencement of Operations) through April 30, 2015 (Unaudited) | |||||||||||||||
I Class | Shares | Amount (in thousands) | ||||||||||||||
Shares Sold | 422,041 | $ | 4,306 | |||||||||||||
Shares Issued upon Reinvestment of Dividends | 1,216 | 12 | ||||||||||||||
Shares Redeemed | (4,306 | ) | (45 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net Increase | 418,951 | $ | 4,273 | |||||||||||||
|
|
|
| |||||||||||||
N Class | Shares | Amount (in thousands) | ||||||||||||||
Shares Sold | 54,862 | $ | 550 | |||||||||||||
Shares Issued upon Reinvestment of Dividends | 553 | 6 | ||||||||||||||
|
|
|
| |||||||||||||
Net Increase | 55,415 | $ | 556 | |||||||||||||
|
|
|
| |||||||||||||
TCW Relative Value Dividend Appreciation Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 938,991 | $ | 16,089 | 3,552,551 | $ | 56,549 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 73,713 | 1,264 | 183,900 | 2,981 | ||||||||||||
Shares Redeemed | (1,218,598 | ) | (20,911 | ) | (3,708,625 | ) | (58,828 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (205,894 | ) | $ | (3,558 | ) | 27,826 | $ | 702 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,900,486 | $ | 67,789 | 14,048,501 | $ | 225,770 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 300,565 | 5,245 | 741,128 | 12,266 | ||||||||||||
Shares Redeemed | (8,308,490 | ) | (143,856 | ) | (15,532,451 | ) | (253,229 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (4,107,439 | ) | $ | (70,822 | ) | (742,822 | ) | $ | (15,193 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Large Cap Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,920,410 | $ | 66,372 | 9,430,786 | $ | 198,832 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 290,399 | 6,627 | 329,438 | 6,730 | ||||||||||||
Shares Redeemed | (4,401,078 | ) | (99,871 | ) | (5,982,918 | ) | (127,164 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (1,190,269 | ) | $ | (26,872 | ) | 3,777,306 | $ | 78,398 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 77,463 | $ | 1,750 | 1,394,553 | $ | 29,254 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 9,147 | 208 | 38,905 | 795 | ||||||||||||
Shares Redeemed | (239,495 | ) | (5,381 | ) | (3,972,849 | ) | (85,386 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (152,885 | ) | $ | (3,423 | ) | (2,539,391 | ) | $ | (55,337 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Mid Cap Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 199,004 | $ | 4,976 | 843,826 | $ | 22,252 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 547,757 | 13,217 | 385,371 | 9,842 | ||||||||||||
Shares Redeemed | (553,722 | ) | (13,774 | ) | (1,363,414 | ) | (36,554 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 193,039 | $ | 4,419 | (134,217 | ) | $ | (4,460 | ) | ||||||||
|
|
|
|
|
|
|
|
77
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW Relative Value Mid Cap Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 22,400 | $ | 550 | 157,263 | $ | 4,077 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 136,665 | 3,227 | 146,281 | 3,667 | ||||||||||||
Shares Redeemed | (106,774 | ) | (2,584 | ) | (626,900 | ) | (16,226 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 52,291 | $ | 1,193 | (323,356 | ) | $ | (8,482 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Select Equities Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 6,934,568 | $ | 186,119 | 24,192,812 | $ | 612,787 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 749,179 | 19,883 | 768,879 | 19,314 | ||||||||||||
Shares Redeemed | (13,469,007 | ) | (363,269 | ) | (18,003,954 | ) | (456,034 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (5,785,260 | ) | $ | (157,267 | ) | 6,957,737 | $ | 176,067 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 226,497 | $ | 5,791 | 2,177,573 | $ | 52,057 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 273,878 | 6,858 | 533,793 | 12,710 | ||||||||||||
Shares Redeemed | (1,633,014 | ) | (41,347 | ) | (9,738,846 | ) | (233,999 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,132,639 | ) | $ | (28,698 | ) | (7,027,480 | ) | $ | (169,232 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Small Cap Growth Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 258,858 | $ | 7,866 | 1,484,889 | $ | 47,783 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 741,101 | 21,433 | 594,180 | 20,000 | ||||||||||||
Shares Redeemed | (1,317,780 | ) | (39,767 | ) | (2,472,858 | ) | (83,083 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (317,821 | ) | $ | (10,468 | ) | (393,789 | ) | $ | (15,300 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 53,724 | $ | 1,546 | 292,175 | $ | 9,222 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 190,980 | 5,160 | 516,641 | 16,460 | ||||||||||||
Shares Redeemed | (230,068 | ) | (6,591 | ) | (3,321,176 | ) | (103,304 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 14,636 | $ | 115 | (2,512,360 | ) | $ | (77,622 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW SMID Cap Growth Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 9,560 | $ | 149 | 218,062 | $ | 3,238 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 47,296 | 696 | — | — | ||||||||||||
Shares Redeemed | (437,079 | ) | (6,293 | ) | (488,310 | ) | (7,190 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (380,223 | ) | $ | (5,448 | ) | (270,248 | ) | $ | (3,952 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 325 | $ | 5 | 4,943 | $ | 76 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 50,974 | 750 | — | — | ||||||||||||
Shares Redeemed | (2,772 | ) | (42 | ) | (20,537 | ) | (298 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 48,527 | $ | 713 | (15,594 | ) | $ | (222 | ) | ||||||||
|
|
|
|
|
|
|
|
78
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
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, 2015.
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.
Note 12 — Recently Issued Accounting Pronouncements
In June 2014, FASB issued Accounting Standards Update No. 2014-11, Transfers & Servicing (Topic 860): “Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures” (“ASU 2014-11”) to improve the financial reporting of repurchase agreements and other similar transactions. ASU 2014-11 includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. ASU 2014-11 is effective for annual reporting periods beginning after December 15, 2014 and interim periods beginning after December 15, 2015. Management is currently evaluating the implications of these changes and their impact on the financial statements.
79
Table of Contents
TCW Concentrated Value Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 19.37 | $ | 16.02 | $ | 12.20 | $ | 10.83 | $ | 10.99 | $ | 9.98 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.09 | 0.08 | 0.05 | 0.04 | 0.03 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.63 | 3.34 | 3.86 | 1.36 | (0.17 | ) | 1.07 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.69 | 3.43 | 3.94 | 1.41 | (0.13 | ) | 1.10 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.08 | ) | (0.12 | ) | (0.04 | ) | (0.03 | ) | (0.09 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 19.98 | $ | 19.37 | $ | 16.02 | $ | 12.20 | $ | 10.83 | $ | 10.99 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.54 | % (2) | 21.46 | % | 32.67 | % | 12.94 | % | (1.23 | )% | 11.05 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 10,654 | $ | 9,970 | $ | 7,628 | $ | 7,007 | $ | 22,496 | $ | 34,285 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.38 | % (3) | 1.60 | % | 1.95 | % | 1.19 | % | 0.96 | % | 0.91 | % | ||||||||||||
After Expense Reimbursement | 1.09 | % (3) | 1.11 | % | 1.14 | % | 1.19 | % | N/A | N/A | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.61 | % (3) | 0.52 | % | 0.56 | % | 0.43 | % | 0.31 | % | 0.32 | % | ||||||||||||
Portfolio Turnover Rate | 52.59 | % (2) | 39.65 | % | 39.65 | % | 24.99 | % | 38.18 | % | 53.50 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
80
Table of Contents
TCW Concentrated Value Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 19.17 | $ | 15.85 | $ | 12.11 | $ | 10.71 | $ | 10.95 | $ | 9.94 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.09 | 0.08 | 0.05 | 0.00 | (2) | 0.01 | |||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.62 | 3.31 | 3.82 | 1.35 | (0.24 | ) | 1.05 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.68 | 3.40 | 3.90 | 1.40 | (0.24 | ) | 1.06 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.08 | ) | (0.16 | ) | — | (0.00 | ) (2) | (0.05 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 19.77 | $ | 19.17 | $ | 15.85 | $ | 12.11 | $ | 10.71 | $ | 10.95 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.52 | % (3) | 21.50 | % | 32.61 | % | 13.07 | % | (2.19 | )% | 10.71 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 2,381 | $ | 1,804 | $ | 921 | $ | 861 | $ | 861 | $ | 30,786 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 2.21 | % (4) | 3.66 | % | 4.15 | % | 3.29 | % | 1.18 | % | 1.17 | % | ||||||||||||
After Expense Reimbursement | 1.09 | % (4) | 1.11 | % | 1.14 | % | 1.18 | % | N/A | N/A | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.61 | % (4) | 0.50 | % | 0.58 | % | 0.45 | % | 0.01 | % | 0.05 | % | ||||||||||||
Portfolio Turnover Rate | 52.59 | % (3) | 39.65 | % | 39.65 | % | 24.99 | % | 38.18 | % | 53.50 | % |
(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, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
81
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 12.24 | $ | 11.66 | $ | 10.91 | $ | 10.51 | $ | 10.79 | $ | 9.87 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.11 | 0.22 | 0.32 | 0.21 | 0.23 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 0.40 | 0.67 | 0.79 | 0.51 | 0.17 | 0.94 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.46 | 0.78 | 1.01 | 0.83 | 0.38 | 1.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.14 | ) | (0.20 | ) | (0.26 | ) | (0.20 | ) | (0.19 | ) | (0.25 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.06 | ) | — | — | (0.23 | ) | (0.47 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.20 | ) | (0.20 | ) | (0.26 | ) | (0.43 | ) | (0.66 | ) | (0.25 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 12.50 | $ | 12.24 | $ | 11.66 | $ | 10.91 | $ | 10.51 | $ | 10.79 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.80 | % (2) | 6.66 | % | 9.42 | % | 8.35 | % | 3.63 | % | 12.08 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 31,392 | $ | 30,746 | $ | 27,121 | $ | 14,705 | $ | 11,356 | $ | 4,746 | ||||||||||||
Ratio of Expenses to Average Net Assets: (3) | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.28 | % (4) | 0.29 | % | 0.40 | % | 0.67 | % | 1.08 | % | 1.74 | % | ||||||||||||
After Expense Reimbursement | N/A | N/A | N/A | N/A | 0.85 | % | 0.89 | % | ||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.98 | % (4) | 0.94 | % | 1.96 | % | 2.98 | % | 1.97 | % | 2.27 | % | ||||||||||||
Portfolio Turnover Rate | 15.31 | % (2) | 40.56 | % | 57.98 | % | 59.12 | % | 93.92 | % | 42.93 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 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.
82
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 12.17 | $ | 11.61 | $ | 10.89 | $ | 10.51 | $ | 10.79 | $ | 9.86 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.03 | 0.05 | 0.18 | 0.29 | 0.21 | 0.22 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 0.39 | 0.66 | 0.78 | 0.52 | 0.17 | 0.96 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.42 | 0.71 | 0.96 | 0.81 | 0.38 | 1.18 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.15 | ) | (0.24 | ) | (0.20 | ) | (0.19 | ) | (0.25 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.06 | ) | — | — | (0.23 | ) | (0.47 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.12 | ) | (0.15 | ) | (0.24 | ) | (0.43 | ) | (0.66 | ) | (0.25 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 12.47 | $ | 12.17 | $ | 11.61 | $ | 10.89 | $ | 10.51 | $ | 10.79 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.56 | % (2) | 6.07 | % | 8.97 | % | 8.09 | % | 3.63 | % | 12.19 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 3,582 | $ | 807 | $ | 1,047 | $ | 815 | $ | 1,149 | $ | 209 | ||||||||||||
Ratio of Expenses to Average Net Assets: (3) | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.77 | % (4) | 3.20 | % | 2.84 | % | 2.70 | % | 3.76 | % | 15.40 | % | ||||||||||||
After Expense Reimbursement | 0.85 | % (4) | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.89 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.50 | % (4) | 0.41 | % | 1.58 | % | 2.72 | % | 1.95 | % | 2.19 | % | ||||||||||||
Portfolio Turnover Rate | 15.31 | % (2) | 40.56 | % | 57.98 | % | 59.12 | % | 93.92 | % | 42.93 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 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.
83
Table of Contents
TCW Global Real Estate Fund
Financial Highlights — I Class
December 1, 2014 (Commencement of Operations through April 30, 2015 (Unaudited) | ||||
Net Asset Value per Share, Beginning of Period | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net Investment Income (1) | 0.09 | |||
Net Realized and Unrealized Gain on Investments | 0.13 | |||
|
| |||
Total from Investment Operations | 0.22 | |||
|
| |||
Less Distributions: | ||||
Distributions from Net Investment Income | (0.09 | ) | ||
|
| |||
Net Asset Value per Share, End of Period | $ | 10.13 | ||
|
| |||
Total Return | 2.22 | % (2) | ||
Ratios/Supplemental Data: | ||||
Net Assets, End of Period (in thousands) | $ | 2,014 | ||
Ratio of Expenses to Average Net Assets: | ||||
Before Expense Reimbursement | 11.29 | % (3) | ||
After Expense Reimbursement | 1.44 | % (3) | ||
Ratio of Net Investment Income to Average Net Assets | 2.03 | % (3) | ||
Portfolio Turnover Rate | 21.10 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 1, 2014 (Commencement of Operations) through April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
84
Table of Contents
TCW Global Real Estate Fund
Financial Highlights — N Class
December 1, 2014 (Commencement of Operations through April 30, 2015 (Unaudited) | ||||
Net Asset Value per Share, Beginning of Period | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net Investment Income (1) | 0.10 | |||
Net Realized and Unrealized Gain on Investments | 0.12 | |||
|
| |||
Total from Investment Operations | 0.22 | |||
|
| |||
Less Distributions: | ||||
Distributions from Net Investment Income | (0.09 | ) | ||
|
| |||
Net Asset Value per Share, End of Period | $ | 10.13 | ||
|
| |||
Total Return | 2.22 | % (2) | ||
Ratios/Supplemental Data: | ||||
Net Assets, End of Period (in thousands) | $ | 511 | ||
Ratio of Expenses to Average Net Assets: | ||||
Before Expense Reimbursement | 13.71 | % (3) | ||
After Expense Reimbursement | 1.44 | % (3) | ||
Ratio of Net Investment Income to Average Net Assets | 2.25 | % (3) | ||
Portfolio Turnover Rate | 21.10 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 1, 2014 (Commencement of Operations) through April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
85
Table of Contents
TCW Growth Equities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 13.10 | $ | 18.86 | $ | 13.87 | $ | 14.66 | $ | 13.95 | $ | 10.87 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.03 | ) | (0.08 | ) | (0.05 | ) | (0.08 | ) | (0.11 | ) | (0.09 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.61 | 1.32 | 5.24 | (0.15 | ) | 0.82 | 3.17 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.58 | 1.24 | 5.19 | (0.23 | ) | 0.71 | 3.08 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | — | — | (0.02 | ) | — | — | — | |||||||||||||||||
Distributions from Net Realized Gain | (1.36 | ) | (7.00 | ) | (0.18 | ) | (0.56 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.36 | ) | (7.00 | ) | (0.20 | ) | (0.56 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 12.32 | $ | 13.10 | $ | 18.86 | $ | 13.87 | $ | 14.66 | $ | 13.95 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.68 | % (2) | 7.06 | % | 37.96 | % | (1.43 | )% | 5.09 | % | 28.33 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 19,522 | $ | 21,863 | $ | 23,891 | $ | 66,951 | $ | 91,091 | $ | 101,943 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.47 | % (3) | 1.42 | % | 1.32 | % | 1.21 | % | 1.20 | % | 1.27 | % | ||||||||||||
After Expense Reimbursement | 1.20 | % (3) | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | N/A | |||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.53 | )% (3) | (0.61 | )% | (0.35 | )% | (0.54 | )% | (0.72 | )% | (0.67 | )% | ||||||||||||
Portfolio Turnover Rate | 25.42 | % (2) | 49.03 | % | 78.65 | % | 48.75 | % | 50.74 | % | 71.30 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
86
Table of Contents
TCW Growth Equities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 13.01 | $ | 18.79 | $ | 13.82 | $ | 14.61 | $ | 13.90 | $ | 10.84 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.03 | ) | (0.08 | ) | (0.06 | ) | (0.08 | ) | (0.11 | ) | (0.09 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.61 | 1.30 | 5.23 | (0.15 | ) | 0.82 | 3.15 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.58 | 1.22 | 5.17 | (0.23 | ) | 0.71 | 3.06 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | — | — | (0.02 | ) | — | — | — | |||||||||||||||||
Distributions from Net Realized Gain | (1.36 | ) | (7.00 | ) | (0.18 | ) | (0.56 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.36 | ) | (7.00 | ) | (0.20 | ) | (0.56 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 12.23 | $ | 13.01 | $ | 18.79 | $ | 13.82 | $ | 14.61 | $ | 13.90 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.72 | % (2) | 7.02 | % | 37.93 | % | (1.44 | )% | 5.11 | % | 28.23 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 4,749 | $ | 5,335 | $ | 6,366 | $ | 9,865 | $ | 9,493 | $ | 10,542 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 2.09 | % (3) | 2.01 | % | 1.93 | % | 1.73 | % | 1.73 | % | 2.03 | % | ||||||||||||
After Expense Reimbursement | 1.20 | % (3) | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | 1.32 | % | ||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.53 | )% (3) | (0.61 | )% | (0.36 | )% | (0.53 | )% | (0.73 | )% | (0.69 | )% | ||||||||||||
Portfolio Turnover Rate | 25.42 | % (2) | 49.03 | % | 78.65 | % | 48.75 | % | 50.74 | % | 71.30 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
87
Table of Contents
TCW High Dividend Equities Fund
Financial Highlights — I Class
December 1, 2014 (Commencement of Operations through April 30, 2015 (Unaudited) | ||||
Net Asset Value per Share, Beginning of Period | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net Investment Income (1) | 0.10 | |||
Net Realized and Unrealized Gain on Investments | 0.34 | |||
|
| |||
Total from Investment Operations | 0.44 | |||
|
| |||
Less Distributions: | ||||
Distributions from Net Investment Income | (0.11 | ) | ||
|
| |||
Net Asset Value per Share, End of Period | $ | 10.33 | ||
|
| |||
Total Return | 4.42 | % (2) | ||
Ratios/Supplemental Data: | ||||
Net Assets, End of Period (in thousands) | $ | 4,328 | ||
Ratio of Expenses to Average Net Assets: | ||||
Before Expense Reimbursement | 7.23 | % (3) | ||
After Expense Reimbursement | 1.17 | % (3) | ||
Ratio of Net Investment Income to Average Net Assets | 2.30 | % (3) | ||
Portfolio Turnover Rate | 27.92 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 1, 2014 (Commencement of Operations) through April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
88
Table of Contents
TCW High Dividend Equities Fund
Financial Highlights — N Class
December 1, 2014 (Commencement of Operations through April 30, 2015 (Unaudited) | ||||
Net Asset Value per Share, Beginning of Period | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net Investment Income (1) | 0.12 | |||
Net Realized and Unrealized Gain on Investments | 0.32 | |||
|
| |||
Total from Investment Operations | 0.44 | |||
|
| |||
Less Distributions: | ||||
Distributions from Net Investment Income | (0.11 | ) | ||
|
| |||
Net Asset Value per Share, End of Period | $ | 10.33 | ||
|
| |||
Total Return | 4.42 | % (2) | ||
Ratios/Supplemental Data: | ||||
Net Assets, End of Period (in thousands) | $ | 572 | ||
Ratio of Expenses to Average Net Assets: | ||||
Before Expense Reimbursement | 11.46 | % (3) | ||
After Expense Reimbursement | 1.17 | % (3) | ||
Ratio of Net Investment Income to Average Net Assets | 2.83 | % (3) | ||
Portfolio Turnover Rate | 27.92 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 1, 2014 (Commencement of Operations) through April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
89
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 16.71 | $ | 15.11 | $ | 11.77 | $ | 10.18 | $ | 9.60 | $ | 8.28 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.14 | 0.27 | 0.25 | 0.22 | 0.18 | 0.18 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 0.45 | 1.61 | 3.36 | 1.60 | 0.59 | 1.31 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.59 | 1.88 | 3.61 | 1.82 | 0.77 | 1.49 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.12 | ) | (0.28 | ) | (0.27 | ) | (0.23 | ) | (0.19 | ) | (0.17 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 17.18 | $ | 16.71 | $ | 15.11 | $ | 11.77 | $ | 10.18 | $ | 9.60 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.52 | % (2) | 12.49 | % | 31.06 | % | 18.03 | % | 8.05 | % | 18.13 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 197,305 | $ | 195,400 | $ | 176,226 | $ | 99,787 | $ | 54,367 | $ | 57,797 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.87 | % (3) | 0.86 | % | 0.82 | % | 0.85 | % | 0.86 | % | 0.90 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.67 | % (3) | 1.67 | % | 1.86 | % | 1.95 | % | 1.76 | % | 1.95 | % | ||||||||||||
Portfolio Turnover Rate | 9.22 | % (2) | 17.33 | % | 18.37 | % | 23.15 | % | 37.51 | % | 25.77 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
90
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 16.99 | $ | 15.34 | $ | 11.92 | $ | 10.29 | $ | 9.68 | $ | 8.36 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.23 | 0.22 | 0.19 | 0.15 | 0.15 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 0.46 | 1.63 | 3.41 | 1.62 | 0.60 | 1.31 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.58 | 1.86 | 3.63 | 1.81 | 0.75 | 1.46 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.10 | ) | (0.21 | ) | (0.21 | ) | (0.18 | ) | (0.14 | ) | (0.14 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 17.47 | $ | 16.99 | $ | 15.34 | $ | 11.92 | $ | 10.29 | $ | 9.68 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.40 | % (2) | 12.19 | % | 30.71 | % | 17.68 | % | 7.73 | % | 17.66 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 925,570 | $ | 970,397 | $ | 887,435 | $ | 601,397 | $ | 514,153 | $ | 550,305 | ||||||||||||
Ratio of Expenses to Average Net Assets | 1.15 | % (3) | 1.14 | % | 1.11 | % | 1.14 | % | 1.17 | % | 1.20 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.40 | % (3) | 1.40 | % | 1.60 | % | 1.70 | % | 1.45 | % | 1.68 | % | ||||||||||||
Portfolio Turnover Rate | 9.22 | % (2) | 17.33 | % | 18.37 | % | 23.15 | % | 37.51 | % | 25.77 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
91
Table of Contents
TCW Relative Value Large Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 22.09 | $ | 19.47 | $ | 14.91 | $ | 13.05 | $ | 12.42 | $ | 11.06 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.21 | 0.19 | 0.16 | 0.12 | 0.13 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 0.93 | 2.65 | 4.53 | 1.82 | 0.65 | 1.41 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.05 | 2.86 | 4.72 | 1.98 | 0.77 | 1.54 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.22 | ) | (0.24 | ) | (0.16 | ) | (0.12 | ) | (0.14 | ) | (0.18 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 22.92 | $ | 22.09 | $ | 19.47 | $ | 14.91 | $ | 13.05 | $ | 12.42 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.76 | % (2) | 14.79 | % | 31.99 | % | 15.33 | % | 6.16 | % | 14.14 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 699,425 | $ | 700,484 | $ | 543,669 | $ | 741,996 | $ | 396,729 | $ | 373,921 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.88 | % (3) | 0.88 | % | 0.87 | % | 0.89 | % | 0.92 | % | 1.07 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.08 | % (3) | 1.02 | % | 1.13 | % | 1.14 | % | 0.90 | % | 1.14 | % | ||||||||||||
Portfolio Turnover Rate | 9.40 | % (2) | 18.77 | % | 37.33 | % | 19.71 | % | 26.76 | % | 34.49 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
92
Table of Contents
TCW Relative Value Large Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 22.04 | $ | 19.44 | $ | 14.89 | $ | 13.00 | $ | 12.38 | $ | 11.03 | ||||||||||||
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| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.09 | 0.16 | 0.15 | 0.13 | 0.09 | 0.12 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 0.92 | 2.65 | 4.52 | 1.83 | 0.64 | 1.40 | ||||||||||||||||||
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| |||||||||||||
Total from Investment Operations | 1.01 | 2.81 | 4.67 | 1.96 | 0.73 | 1.52 | ||||||||||||||||||
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| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.18 | ) | (0.21 | ) | (0.12 | ) | (0.07 | ) | (0.11 | ) | (0.17 | ) | ||||||||||||
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| |||||||||||||
Net Asset Value per Share, End of Period | $ | 22.87 | $ | 22.04 | $ | 19.44 | $ | 14.89 | $ | 13.00 | $ | 12.38 | ||||||||||||
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| |||||||||||||
Total Return | 4.59 | % (2) | 14.52 | % | 31.64 | % | 15.11 | % | 5.88 | % | 13.96 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 27,209 | $ | 29,589 | $ | 75,450 | $ | 50,212 | $ | 50,341 | $ | 67,688 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.25 | % (3) | 1.12 | % | 1.13 | % | 1.14 | % | 1.18 | % | 1.19 | % | ||||||||||||
After Expense Reimbursement | 1.16 | % (3) | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.81 | % (3) | 0.77 | % | 0.83 | % | 0.92 | % | 0.65 | % | 1.06 | % | ||||||||||||
Portfolio Turnover Rate | 9.40 | % (2) | 18.77 | % | 37.33 | % | 19.71 | % | 26.76 | % | 34.49 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
93
Table of Contents
TCW Relative Value Mid Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 26.62 | $ | 26.56 | $ | 20.10 | $ | 17.43 | $ | 16.94 | $ | 14.12 | ||||||||||||
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| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.08 | 0.13 | 0.16 | 0.15 | 0.12 | 0.11 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 1.21 | 2.70 | 6.48 | 2.63 | 0.51 | 2.81 | ||||||||||||||||||
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Total from Investment Operations | 1.29 | 2.83 | 6.64 | 2.78 | 0.63 | 2.92 | ||||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.12 | ) | (0.14 | ) | (0.17 | ) | (0.11 | ) | (0.14 | ) | (0.10 | ) | ||||||||||||
Distributions from Net Realized Gain | (3.08 | ) | (2.63 | ) | (0.01 | ) | — | — | — | |||||||||||||||
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| |||||||||||||
Total Distributions | (3.20 | ) | (2.77 | ) | (0.18 | ) | (0.11 | ) | (0.14 | ) | (0.10 | ) | ||||||||||||
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| |||||||||||||
Net Asset Value per Share, End of Period | $ | 24.71 | $ | 26.62 | $ | 26.56 | $ | 20.10 | $ | 17.43 | $ | 16.94 | ||||||||||||
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| |||||||||||||
Total Return | 5.12 | % (2) | 11.09 | % | 33.30 | % | 16.04 | % | 3.67 | % | 20.78 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 111,356 | $ | 114,823 | $ | 118,138 | $ | 95,698 | $ | 99,211 | $ | 152,391 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.96 | % (3) | 0.95 | % | 0.94 | % | 1.01 | % | 0.99 | % | 1.00 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.66 | % (3) | 0.49 | % | 0.68 | % | 0.79 | % | 0.66 | % | 0.68 | % | ||||||||||||
Portfolio Turnover Rate | 11.23 | % (2) | 21.67 | % | 28.91 | % | 32.87 | % | 89.67 | % | 61.51 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
94
Table of Contents
TCW Relative Value Mid Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 26.08 | $ | 26.07 | $ | 19.74 | $ | 17.06 | $ | 16.61 | $ | 13.85 | ||||||||||||
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| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.05 | 0.06 | 0.09 | 0.10 | 0.05 | 0.05 | ||||||||||||||||||
Net Realized and Unrealized Gain on Investments | 1.18 | 2.65 | 6.37 | 2.59 | 0.50 | 2.77 | ||||||||||||||||||
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| |||||||||||||
Total from Investment Operations | 1.23 | 2.71 | 6.46 | 2.69 | 0.55 | 2.82 | ||||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.07 | ) | (0.12 | ) | (0.01 | ) | (0.10 | ) | (0.06 | ) | ||||||||||||
Distributions from Net Realized Gain | (3.08 | ) | (2.63 | ) | (0.01 | ) | — | — | — | |||||||||||||||
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| |||||||||||||
Total Distributions | (3.16 | ) | (2.70 | ) | (0.13 | ) | (0.01 | ) | (0.10 | ) | (0.06 | ) | ||||||||||||
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| |||||||||||||
Net Asset Value per Share, End of Period | $ | 24.15 | $ | 26.08 | $ | 26.07 | $ | 19.74 | $ | 17.06 | $ | 16.61 | ||||||||||||
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| |||||||||||||
Total Return | 5.00 | % (2) | 10.80 | % | 32.90 | % | 15.75 | % | 3.26 | % | 20.42 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 27,612 | $ | 28,458 | $ | 36,875 | $ | 32,292 | $ | 33,247 | $ | 54,041 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.32 | % (3) | 1.27 | % | 1.32 | % | 1.40 | % | 1.48 | % | 1.41 | % | ||||||||||||
After Expense Reimbursement | 1.21 | % (3) | 1.20 | % | 1.23 | % | 1.27 | % | 1.35 | % | 1.34 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.41 | % (3) | 0.23 | % | 0.40 | % | 0.53 | % | 0.27 | % | 0.31 | % | ||||||||||||
Portfolio Turnover Rate | 11.23 | % (2) | 21.67 | % | 28.91 | % | 32.87 | % | 89.67 | % | 61.51 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
95
Table of Contents
TCW Select Equities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 26.71 | $ | 24.84 | $ | 19.81 | $ | 18.17 | $ | 16.18 | $ | 13.45 | ||||||||||||
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| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.01 | ) | (0.03 | ) | 0.03 | (0.00 | ) (2) | (0.04 | ) | (0.03 | ) | |||||||||||||
Net Realized and Unrealized Gain on Investments | 1.43 | 2.71 | 5.34 | 1.86 | 2.03 | 2.76 | ||||||||||||||||||
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| |||||||||||||
Total from Investment Operations | 1.42 | 2.68 | 5.37 | 1.86 | 1.99 | 2.73 | ||||||||||||||||||
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| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | — | (0.00 | ) (2) | (0.05 | ) | — | — | — | ||||||||||||||||
Distributions from Net Realized Gain | (0.84 | ) | (0.81 | ) | (0.29 | ) | (0.22 | ) | — | — | ||||||||||||||
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| |||||||||||||
Total Distributions | (0.84 | ) | (0.81 | ) | (0.34 | ) | (0.22 | ) | — | — | ||||||||||||||
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| |||||||||||||
Net Asset Value per Share, End of Period | $ | 27.29 | $ | 26.71 | $ | 24.84 | $ | 19.81 | $ | 18.17 | $ | 16.18 | ||||||||||||
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| |||||||||||||
Total Return | 5.42 | % (3) | 11.01 | % | 27.53 | % | 10.37 | % | 12.30 | % | 20.30 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,488,641 | $ | 1,611,400 | $ | 1,325,609 | $ | 802,524 | $ | 432,203 | $ | 388,735 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.88 | % (4) | 0.86 | % | 0.83 | % | 0.86 | % | 0.90 | % | 0.92 | % | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.06 | )% (4) | (0.11 | )% | 0.15 | % | (0.01 | )% | (0.23 | )% | (0.19 | )% | ||||||||||||
Portfolio Turnover Rate | 15.19 | % (3) | 25.79 | % | 24.55 | % | 19.74 | % | 28.13 | % | 23.75 | % |
(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, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
96
Table of Contents
TCW Select Equities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 25.26 | $ | 23.59 | $ | 18.84 | $ | 17.34 | $ | 15.48 | $ | 12.92 | ||||||||||||
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| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.05 | ) | (0.10 | ) | (0.02 | ) | (0.06 | ) | (0.09 | ) | (0.07 | ) | ||||||||||||
Net Realized and Unrealized Gain on Investments | 1.36 | 2.58 | 5.06 | 1.78 | 1.95 | 2.63 | ||||||||||||||||||
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| |||||||||||||
Total from Investment Operations | 1.31 | 2.48 | 5.04 | 1.72 | 1.86 | 2.56 | ||||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Realized Gain | (0.84 | ) | (0.81 | ) | (0.29 | ) | (0.22 | ) | — | — | ||||||||||||||
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| |||||||||||||
Net Asset Value per Share, End of Period | $ | 25.73 | $ | 25.26 | $ | 23.59 | $ | 18.84 | $ | 17.34 | $ | 15.48 | ||||||||||||
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| |||||||||||||
Total Return | 5.30 | % (2) | 10.73 | % | 27.14 | % | 10.06 | % | 12.02 | % | 19.81 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 202,281 | $ | 227,231 | $ | 378,026 | $ | 292,448 | $ | 182,151 | $ | 125,638 | ||||||||||||
Ratio of Expenses to Average Net Assets | 1.17 | % (3) | 1.13 | % | 1.10 | % | 1.14 | % | 1.20 | % | 1.24 | % | ||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.36 | )% (3) | (0.40 | )% | (0.10 | )% | (0.31 | )% | (0.55 | )% | (0.51 | )% | ||||||||||||
Portfolio Turnover Rate | 15.19 | % (2) | 25.79 | % | 24.55 | % | 19.74 | % | 28.13 | % | 23.75 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
97
Table of Contents
TCW Small Cap Growth Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 33.15 | $ | 35.69 | $ | 26.74 | $ | 27.84 | $ | 26.52 | $ | 21.18 | ||||||||||||
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| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.13 | ) | (0.32 | ) | (0.20 | ) | (0.24 | ) | (0.26 | ) | (0.17 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.63 | 2.93 | 9.15 | (0.86 | ) | 1.58 | 5.51 | |||||||||||||||||
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Total from Investment Operations | 2.50 | 2.61 | 8.95 | (1.10 | ) | 1.32 | 5.34 | |||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Realized Gain | (5.37 | ) | (5.15 | ) | — | — | — | — | ||||||||||||||||
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Net Asset Value per Share, End of Period | $ | 30.28 | $ | 33.15 | $ | 35.69 | $ | 26.74 | $ | 27.84 | $ | 26.52 | ||||||||||||
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| |||||||||||||
Total Return | 8.29 | % (2) | 7.22 | % | 33.32 | % | (3.95 | )% | 4.98 | % | 25.21 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 118,669 | $ | 140,438 | $ | 165,248 | $ | 828,435 | $ | 956,904 | $ | 584,581 | ||||||||||||
Ratio of Expenses to Average Net Assets | 1.17 | % (3) | 1.20 | % | 1.18 | % | 1.16 | % | 1.22 | % | 1.19 | % | ||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.81 | )% (3) | (0.97 | )% | (0.71 | )% | (0.89 | )% | (0.88 | )% | (0.71 | )% | ||||||||||||
Portfolio Turnover Rate | 40.88 | % (2) | 75.51 | % | 84.46 | % | 79.27 | % | 93.47 | % | 105.57 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
98
Table of Contents
TCW Small Cap Growth Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 31.32 | $ | 34.05 | $ | 25.60 | $ | 26.73 | $ | 25.53 | $ | 20.44 | ||||||||||||
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| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.15 | ) | (0.37 | ) | (0.29 | ) | (0.31 | ) | (0.32 | ) | (0.23 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.47 | 2.79 | 8.74 | (0.82 | ) | 1.52 | 5.32 | |||||||||||||||||
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Total from Investment Operations | 2.32 | 2.42 | 8.45 | (1.13 | ) | 1.20 | 5.09 | |||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Realized Gain | (5.37 | ) | (5.15 | ) | — | — | — | — | ||||||||||||||||
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Net Asset Value per Share, End of Period | $ | 28.27 | $ | 31.32 | $ | 34.05 | $ | 25.60 | $ | 26.73 | $ | 25.53 | ||||||||||||
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| |||||||||||||
Total Return | 8.19 | % (2) | 6.98 | % | 32.85 | % | (4.23 | )% | 4.70 | % | 24.90 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 29,891 | $ | 32,655 | $ | 121,038 | $ | 186,245 | $ | 237,982 | $ | 187,375 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.58 | % (3) | 1.46 | % | 1.47 | % | 1.44 | % | 1.49 | % | 1.51 | % | ||||||||||||
After Expense Reimbursement | 1.37 | % (3) | 1.41 | % | 1.46 | % | N/A | N/A | N/A | |||||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (1.01 | )% (3) | (1.17 | )% | (1.02 | )% | (1.16 | )% | (1.14 | )% | (0.97 | )% | ||||||||||||
Portfolio Turnover Rate | 40.88 | % (2) | 75.51 | % | 84.46 | % | 79.27 | % | 93.47 | % | 105.57 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
99
Table of Contents
TCW SMID Cap Growth Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | November 1, 2010 (Commencement of Operations) through October 31, 2011 | ||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 15.01 | $ | 14.34 | $ | 10.26 | $ | 10.42 | $ | 10.00 | ||||||||||
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| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.06 | ) | (0.11 | ) | (0.09 | ) | (0.08 | ) | (0.10 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.62 | 0.78 | 4.17 | (0.08 | ) | 0.52 | ||||||||||||||
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| |||||||||||
Total from Investment Operations | 0.56 | 0.67 | 4.08 | (0.16 | ) | 0.42 | ||||||||||||||
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Less Distributions: | ||||||||||||||||||||
Distributions from Net Realized Gain | (0.47 | ) | — | — | — | — | ||||||||||||||
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Net Asset Value per Share, End of Period | $ | 15.10 | $ | 15.01 | $ | 14.34 | $ | 10.26 | $ | 10.42 | ||||||||||
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Total Return | 3.83 | % (2) | 4.67 | % | 39.77 | % | (1.54 | )% | 4.20 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 23,030 | $ | 28,598 | $ | 31,193 | $ | 22,084 | $ | 23,057 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.26 | % (3) | 1.23 | % | 1.34 | % | 1.36 | % | 2.16 | % | ||||||||||
After Expense Reimbursement | 1.20 | % (3) | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.77 | )% (3) | (0.78 | )% | (0.72 | )% | (0.75 | )% | (0.96 | )% | ||||||||||
Portfolio Turnover Rate | 25.95 | % (2) | 66.58 | % | 72.89 | % | 78.76 | % | 89.56 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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TCW SMID Cap Growth Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | November 1, 2010 (Commencement of Operations) through October 31, 2011 | ||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 15.01 | $ | 14.34 | $ | 10.27 | $ | 10.42 | $ | 10.00 | ||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.06 | ) | (0.12 | ) | (0.09 | ) | (0.08 | ) | (0.10 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.62 | 0.79 | 4.16 | (0.07 | ) | 0.52 | ||||||||||||||
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Total from Investment Operations | 0.56 | 0.67 | 4.07 | (0.15 | ) | 0.42 | ||||||||||||||
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Less Distributions: | ||||||||||||||||||||
Distributions from Net Realized Gain | (0.47 | ) | — | — | — | — | ||||||||||||||
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Net Asset Value per Share, End of Period | $ | 15.10 | $ | 15.01 | $ | 14.34 | $ | 10.27 | $ | 10.42 | ||||||||||
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Total Return | 3.83 | % (2) | 4.67 | % | 39.63 | % | (1.44 | )% | 4.20 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 24,688 | $ | 23,810 | $ | 22,968 | $ | 17,116 | $ | 22,927 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.52 | % (3) | 1.51 | % | 1.61 | % | 1.64 | % | 2.23 | % | ||||||||||
After Expense Reimbursement | 1.20 | % (3) | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.80 | )% (3) | (0.79 | )% | (0.72 | )% | (0.76 | )% | (0.96 | )% | ||||||||||
Portfolio Turnover Rate | 25.95 | % (2) | 66.58 | % | 72.89 | % | 78.76 | % | 89.56 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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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, 2014 to April 30, 2015 (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, 2014 | Ending Account Value April 30, 2015 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2014 to April 30, 2015) | ||||||||||||
TCW Concentrated Value Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.40 | 1.09 | % | $ | 5.50 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.39 | 1.09 | % | 5.46 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.20 | 1.09 | % | $ | 5.50 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.39 | 1.09 | % | 5.46 | |||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.00 | 0.28 | % (1) | $ | 1.41 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.41 | 0.28 | % (1) | 1.40 | (1) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.60 | 0.85 | % (1) | $ | 4.29 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.58 | 0.85 | % (1) | 4.26 | (1) | ||||||||||
TCW Global Real Estate Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.20 | 1.44 | % | $ | 6.02 | (2) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.65 | 1.44 | % | 7.20 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.20 | 1.44 | % | $ | 6.02 | (2) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.65 | 1.44 | % | 7.20 |
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TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value November 1, 2014 | Ending Account Value April 30, 2015 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2014 to April 30, 2015) | ||||||||||||
TCW Growth Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,046.80 | 1.20 | % | $ | 6.09 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.84 | 1.20 | % | 6.01 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,047.20 | 1.20 | % | $ | 6.09 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.84 | 1.20 | % | 6.01 | |||||||||||
TCW High Dividend Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,044.20 | 1.17 | % | $ | 4.95 | (2) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.99 | 1.17 | % | 5.85 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,044.20 | 1.17 | % | $ | 4.95 | (2) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.99 | 1.17 | % | 5.85 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.20 | 0.87 | % | $ | 4.39 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.48 | 0.87 | % | 4.36 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,034.00 | 1.15 | % | $ | 5.80 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.09 | 1.15 | % | 5.76 | |||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,047.60 | 0.88 | % | $ | 4.47 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.43 | 0.88 | % | 4.41 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.90 | 1.16 | % | $ | 5.88 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.04 | 1.16 | % | 5.81 | |||||||||||
TCW Relative Value Midcap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,051.20 | 0.96 | % | $ | 4.88 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.03 | 0.96 | % | 4.81 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,050.00 | 1.21 | % | $ | 6.15 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.79 | 1.21 | % | 6.06 | |||||||||||
TCW Select Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,054.20 | 0.88 | % | $ | 4.48 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.43 | 0.88 | % | 4.41 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,053.00 | 1.17 | % | $ | 5.96 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.99 | 1.17 | % | 5.86 |
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TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value November 1, 2014 | Ending Account Value April 30, 2015 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2014 to April 30, 2015) | ||||||||||||
TCW Small Cap Growth Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,082.90 | 1.17 | % | $ | 6.04 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.99 | 1.17 | % | 5.86 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,081.90 | 1.37 | % | $ | 7.07 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.00 | 1.37 | % | 6.85 | |||||||||||
TCW SMID Cap Growth Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.30 | 1.20 | % | $ | 6.06 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.84 | 1.20 | % | 6.01 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.30 | 1.20 | % | $ | 6.06 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.84 | 1.20 | % | 6.01 |
(1) | Does not included Expenses of the underlying affiliated investments. |
(2) | Actual expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period from inception of the Fund on December 1, 2014 through April 30, 2015, multiplied by the number of days in the inception period and divided by the number of days in the year. Hypothetical expenses are calculated using the annualized expense ratio, multiplied by the average account value for the six months ended April 30, 2015, multiplied by the number of days in the six month period and divided by the number of days in the year. |
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TCW Funds, Inc.
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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TCWFunds TCW Family of Funds 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 555 West 5th Street Los Angeles, California 90013 Custodian & Administrator State Street Bank & Trust Company One Lincoln Street Boston, Massachusetts 02111 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 and Secretary Richard M. Villa Treasurer and Chief Financial Officer Jeffrey A. Engelsman Chief Compliance Officer Peter A. Brown Senior Vice President Patrick W. Dennis Assistant Secretary George N. Winn Assistant Treasurer TCW FAMILY OF FUNDS Equity Funds TCW Concentrated Value Fund TCW Global Real Estate Fund TCW Growth Equities Fund TCW High Dividend Equities Fund TCW Relative Value Dividend Appreciation Fund TCW Relative Value Large Cap Fund TCW Relative Value Mid Cap Fund TCW Select Equities Fund TCW Small Cap Growth Fund TCW SMID Cap Growth 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 FUNDsarEQ0415
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TCWFunds TCW Family of Funds APRIL 30 2015 SEMI-ANNUAL REPORT U.S. 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
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TCW Funds, Inc.
April 30, 2015 |
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|
David S. DeVito President, Chief Executive Officer & Director |
Dear Valued Investors:
I am pleased to present the semi-annual report for the TCW Funds, Inc. covering the six-month period ended April 30, 2015. 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, 2015, the TCW Funds held total net assets of approximately $19.3 billion.
This report contains information outlining the performance of the TCW Funds and a listing of the portfolio holdings as of April 30, 2015.
About the TCW Funds
The TCW Funds offer shareholders a choice of 22 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
When the Federal Reserve announced in December 2013 that the time had come to begin drawing down its purchases of U.S. Treasury securities and agency mortgages, the market reacted with a backup in yields that saw the 10-Year Note climb above 3% for the first time since 2011. That wasn’t so surprising; after all, the Fed was removing itself — and $85 billion of monthly purchasing power — from those markets, a considerable technical drag. What wasn’t expected, however, was that would be the last time the 10-Year saw a yield as high as 3%! Despite a reasonably good pace of economic growth through 2014 and strong gains in employment in the past 15 months, U.S. rates have fallen, primarily due to a global environment of central bank accommodation that has rates across most of the developed
markets lower than within the U.S. So, it’s ironic that despite the lack of sustained upward rate pressure out the yield curve, much of the current rates discussion focuses on when rate hikes will begin and the anticipated pace of follow-up. And it would seem that the Fed’s objectives are at least twofold: one, to take the Fed Funds rate off the zero bound while remaining accommodating and, two, to avoid a violent reaction to the regime change presaged in the May 2013 “Taper Tantrum.”
The U.S. Stock Market and our U.S. Equity Funds
U.S. stocks posted solid gains during the six month period ended April 30, 2015, with the S&P 500 Index advancing 4.4% on a total return basis despite a number of headwinds during the period. The 58% decline in the price of WTI crude oil from mid-June 2014 to late January of this year, coupled with a nearly 20% gain in the DXY U.S. Dollar Index, undercut stock market investors’ confidence in the resilience of corporate earnings estimates. At the same time, a steady stream of weak macroeconomic data emanating from Europe, Japan, China and many emerging market countries stoked concerns that the U.S. economy could be dragged down by the slowdown in global growth. However, these worries were assuaged by both the Fed’s statement that it would continue to remain patient in terms of the timetable for hiking interest rates, as well as the ECB’s announcement that it would embark upon a quantitative easing program entailing asset purchases totaling at least 1.1 trillion Euros through September 2016. Importantly, corporate earnings results for the first quarter of 2015 proved better than expected and provided support to U.S. stock prices.
For the six months ended April 30, 2015, our value-oriented equity strategies outperformed their respective benchmarks, in many cases boosted by their exposure to names in the top-performing consumer discretionary, healthcare, and technology sectors. Several of our more aggressive growth-oriented equity funds trailed their respective benchmarks during the same period, as global growth concerns raised doubts about the strength of the US economic recovery and hurt investor sentiment towards higher beta aggressive growth names.
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Letter to Shareholders (Continued) |
The U.S. Fixed Income Market and our U.S. Fixed Income Funds
Through early 2015, U.S. Treasury yields fell, led by a vigorous rally in January, after which rates retraced higher on a strong February job report, before finishing on a downtrend due to a dovish interpretation of the March FOMC meeting, where the governors uniformly lowered estimates of future Fed Funds levels. The lower yields fueled price appreciation across the market, with modestly narrowing investment grade corporate spreads delivering a solid gain. Agency residential mortgage-backed securities (MBS) struggled to keep up with the strong U.S. Treasury performance in January and spent the remainder of the quarter playing catch-up, ultimately resulting in a nearly 50 basis point lag on a duration-adjusted basis. Both agency and non-agency commercial MBS (CMBS) generated good relative performance, while asset-backed securities (ABS), overwhelmingly floating rate in nature and thus limited in interest rate duration, produced positive relative returns as well. High yield corporates enjoyed a very good start to the year, especially in February, with a rebound in energy issues, overcoming considerable volatility and a disappointing end to 2014.
International/Global Markets and our Emerging Markets Funds
The Emerging Markets (EM) have been volatile — a default in Argentina, a border crisis in Russia, the threat of a downgrade in Brazil and a significant repricing of the commodity complex. Throughout this period of volatility, however, EM sovereigns as a whole have been able to retain strong balance sheets, with external debt to GDP in the 40% range – at or near the levels before the Global Financial Crisis — and significantly below that of many developed economies. Against this backdrop, Emerging Markets hard currency debt has outperformed or performed in line with various developed market fixed income indices this year. EM local currency debt, however, has underperformed due to dollar strength, although we believe this segment of the market could be an attractive investment opportunity as we get closer to the first Fed rate hike (dollar strength has typically peaked at or before the first Fed move in previous cycles).
For the six months ended April 30, 2015, the TCW Emerging Markets Income Fund I Share returned a negative 3.59% versus the J.P. Morgan EMBI Global Diversified Index return of +1.37%. Underperformance during this period was primarily driven by an active restructuring in the portfolio in December and January to
reduce corporate exposure and add sovereign exposure. Since we made this shift, we have been tracking more in line with the index. During the same period, the TCW Emerging Markets Local Currency Fund I Share returned a negative 6.46%, outperforming the J.P. Morgan GBI-EM Global Diversified Index which returned a negative 8.24%. This outperformance was driven by our focus on reform-oriented countries and active currency hedging.
An Update on the TCW Fund Family
We wanted to update our shareholders on the TCW Funds family over the past six months. During the first quarter, Ray Prasad, CFA, Managing Director, was named Lead Portfolio Manager, and Andrey Glukhov, CFA, Senior Vice President, was named Co-Portfolio Manager for the TCW International Small Cap Fund (TGICX and TGNIX) and the TCW International Growth Fund (TGIBX and TGIDX). Rohit Sah, who served as Portfolio Manager of the funds, left TCW to pursue other opportunities.
Looking Ahead
As a basis for strategy from a forward-looking perspective, through much of 2014, U.S. economic data had been largely consistent with an effort by the Fed to begin removing monetary accommodation, either by raising rates or shrinking its balance sheet. However, with global growth languishing and a strong U.S. dollar, any move by the Fed to begin tightening policy runs a risk of importing a slower economic pace and spurring market volatility. As a result, the pundits will talk about the Fed looking to “thread the needle” of removing incentives to misallocate capital, while not inadvertently bringing havoc to the markets. Exacerbating the risk of volatility is a liquidity environment that could amplify such effects to the downside, as the reduced size of bank trading books may prove insufficient to meet investor needs. That, in fact, could be an opportunity to capture returns across all the markets in which the Funds operate through disciplined strategy implementation and rigorous security selection, as well as being a provider of liquidity to those most willing to pay for it.
With respect to U.S. equities, looking forward, we believe that should the Fed initiate an interest rate hike this Fall, such a rate hike would not necessarily portend a negative backdrop for U.S. stocks if accompanied by sufficient underlying strength in the real economy. Yet, we note that because 2015 U.S. earnings growth expectations have declined from the high to the
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mid-single digits on the back of a dismal energy sector earnings outlook, consensus stock valuations have drifted up to approximately 17 times forward earnings, which is slightly above their three-decade average of around 16 times. We would add, however, that current valuation levels are in many cases warranted by strong company fundamentals, including deleveraged balance sheets, high cash balances, and near-record profit margins in the midst of a low, stable inflation environment. We remain mindful, of course, of the prospect for heightened volatility until greater clarity emerges with respect to the nature and timing of the Fed’s monetary policy shift to “normalize” interest rates, as well as the resiliency of corporate earnings.
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, 2015 (1) | ||||||||||||||||||||||||
NAV | 1-Year | 5-Year | 10-Year | Since Inception | Inception Date | |||||||||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||||||||||
I Class | $ | 11.29 | 4.02 | % | 4.89 | % | 6.00 | % | 6.51 | % (2) | 01/01/90 | (3) | ||||||||||||
N Class | $ | 11.28 | 3.75 | % | 4.55 | % | 5.69 | % | 5.72 | % | 03/01/99 | |||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||||||||||
I Class | $ | 6.32 | (23.73 | )% | N/A | N/A | (8.81 | )% | 04/01/11 | |||||||||||||||
N Class | $ | 6.33 | (23.66 | )% | N/A | N/A | (8.79 | )% | 04/01/11 | |||||||||||||||
TCW Global Bond Fund | ||||||||||||||||||||||||
I Class | $ | 10.01 | (3.14 | )% | N/A | N/A | 3.01 | % | 12/01/11 | |||||||||||||||
N Class | $ | 10.01 | (3.14 | )% | N/A | N/A | 3.01 | % | 12/01/11 | |||||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||||||||||
I Class | $ | 6.34 | 3.07 | % | 6.46 | % | 6.69 | % | 7.50 | % (2) | 02/01/89 | (3) | ||||||||||||
N Class | $ | 6.39 | 2.91 | % | 6.29 | % | 6.46 | % | 5.50 | % | 03/01/99 | |||||||||||||
TCW Short Term Bond Fund | ||||||||||||||||||||||||
I Class | $ | 8.72 | 0.45 | % | 1.54 | % | 2.35 | % | 4.30 | % (2) | 02/01/90 | (3) | ||||||||||||
TCW Total Return Bond Fund | ||||||||||||||||||||||||
I Class | $ | 10.36 | 4.50 | % | 6.45 | % | 7.06 | % | 7.02 | % | 06/17/93 | |||||||||||||
N Class | $ | 10.69 | 4.19 | % | 6.15 | % | 6.74 | % | 6.66 | % | 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. |
4
Table of Contents
April 30, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Corporate Bonds (16.4% of Net Assets) | ||||||||||
Airlines (0.7%) | ||||||||||
$ | 2,445,364 | America West Airlines, Inc. Pass-Through Certificates, (01-1), | $ | 2,755,631 | ||||||
59,243 | Continental Airlines, Inc. Pass-Through Certificates, (00-2-A1), 7.707%, due 10/02/22 (EETC) | 66,500 | ||||||||
1,051,063 | Continental Airlines, Inc. Pass-Through Certificates, (07-1-A), | 1,194,271 | ||||||||
774,652 | Continental Airlines, Inc. Pass-Through Certificates, (09-2-A1), | 901,017 | ||||||||
986,341 | Continental Airlines, Inc. Pass-Through Certificates, (09-2-A1), | 1,072,646 | ||||||||
796,734 | Continental Airlines, Inc. Pass-Through Certificates, (99-1-A), | 888,857 | ||||||||
506,081 | Northwest Airlines LLC Pass-Through Certificates, (01-1-A1), | 606,032 | ||||||||
556,324 | US Airways Group, Inc. Pass-Through Certificates, (10-1A), | 638,381 | ||||||||
2,198,380 | US Airways Group, Inc. Pass-Through Certificates, (12-1A), | 2,530,886 | ||||||||
905,683 | US Airways Group, Inc. Pass-Through Certificates, (12-2-A), | 980,968 | ||||||||
|
| |||||||||
Total Airlines | 11,635,189 | |||||||||
|
| |||||||||
Auto Manufacturers (0.5%) | ||||||||||
3,000,000 | Ford Motor Credit Co. LLC, 1.214%, due 01/09/18 (1) | 3,009,786 | ||||||||
3,000,000 | Ford Motor Credit Co. LLC, 1.7%, due 05/09/16 | 3,016,216 | ||||||||
2,500,000 | General Motors Financial Co., Inc., 3.45%, due 04/10/22 | 2,486,719 | ||||||||
|
| |||||||||
Total Auto Manufacturers | 8,512,721 | |||||||||
|
| |||||||||
Banks (4.6%) | ||||||||||
1,500,000 | Bank of America Corp., 1.144%, due 04/01/19 (1) | 1,511,596 | ||||||||
3,000,000 | Bank of America Corp., 1.5%, due 10/09/15 | 3,009,450 | ||||||||
1,100,000 | Bank of America Corp., 5.65%, due 05/01/18 | 1,218,396 | ||||||||
2,550,000 | Bank of America N.A., 0.551%, due 06/15/16 (1) | 2,539,187 | ||||||||
1,000,000 | Bank of America N.A., 0.571%, due 06/15/17 (1) | 994,247 | ||||||||
1,250,000 | Bank of America N.A., 5.3%, due 03/15/17 | 1,332,234 | ||||||||
2,300,000 | Bank of America N.A., 6.1%, due 06/15/17 | 2,504,719 | ||||||||
250,000 | Barclays Bank PLC (United Kingdom), 5%, due 09/22/16 | 263,696 | ||||||||
1,000,000 | Chase Capital VI, 0.879%, due 08/01/28 (1) | 860,000 | ||||||||
1,930,000 | Citigroup, Inc., 1.237%, due 07/25/16 (1) | 1,941,892 | ||||||||
1,062,000 | Citigroup, Inc., 4.7%, due 05/29/15 | 1,065,009 | ||||||||
4,717,000 | Citigroup, Inc., 5.3%, due 01/07/16 | 4,857,086 | ||||||||
1,110,000 | Citigroup, Inc., 5.375%, due 08/09/20 | 1,265,326 | ||||||||
425,000 | Citigroup, Inc., 6%, due 08/15/17 | 466,320 | ||||||||
275,000 | Citigroup, Inc., 6.125%, due 05/15/18 | 309,298 | ||||||||
725,000 | Citigroup, Inc., 8.5%, due 05/22/19 | 897,825 |
See accompanying notes to financial statements.
5
Table of Contents
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 | $ | 1,768,794 | ||||||
475,000 | First Chicago NBD Institutional Capital I, 0.8%, due 02/01/27 (1) | 412,063 | ||||||||
1,000,000 | Goldman Sachs Group, Inc. (The), 1.437%, due 04/23/20 (1) | 1,011,947 | ||||||||
2,000,000 | Goldman Sachs Group, Inc. (The), 1.6%, due 11/23/15 | 2,009,153 | ||||||||
1,500,000 | Goldman Sachs Group, Inc. (The), 1.861%, due 11/29/23 (1) | 1,521,288 | ||||||||
1,000,000 | Goldman Sachs Group, Inc. (The), 5.25%, due 07/27/21 | 1,134,028 | ||||||||
2,000,000 | Goldman Sachs Group, Inc. (The), 5.35%, due 01/15/16 | 2,062,667 | ||||||||
2,000,000 | Goldman Sachs Group, Inc. (The), 5.95%, due 01/18/18 | 2,219,132 | ||||||||
50,000 | Goldman Sachs Group, Inc. (The), 6%, due 06/15/20 | 58,066 | ||||||||
1,550,000 | Goldman Sachs Group, Inc. (The), 6.15%, due 04/01/18 | 1,736,789 | ||||||||
4,000,000 | HBOS PLC (United Kingdom), (144A), 6.75%, due 05/21/18 (2) | 4,477,650 | ||||||||
1,500,000 | JPMorgan Chase & Co., 3.15%, due 07/05/16 | 1,538,793 | ||||||||
475,000 | JPMorgan Chase & Co., 7.25%, due 02/01/18 | 544,843 | ||||||||
500,000 | JPMorgan Chase Bank N.A., 5.875%, due 06/13/16 | 526,653 | ||||||||
3,875,000 | JPMorgan Chase Bank N.A., 6%, due 10/01/17 | 4,284,150 | ||||||||
730,000 | JPMorgan Chase Capital XIII, 1.223%, due 09/30/34 (1) | 616,850 | ||||||||
5,750,000 | JPMorgan Chase Capital XXI, 1.204%, due 01/15/87 (1) | 4,844,375 | ||||||||
2,000,000 | JPMorgan Chase Capital XXIII, 1.257%, due 05/15/77 (1) | 1,622,500 | ||||||||
850,000 | Lloyds TSB Bank PLC (United Kingdom), (144A), 5.8%, due 01/13/20 (2) | 992,705 | ||||||||
2,750,000 | Macquarie Bank, Ltd. (Australia), (144A), 6.625%, due 04/07/21 (2) | 3,240,146 | ||||||||
1,290,000 | Morgan Stanley, 0.725%, due 10/18/16 (1) | 1,290,515 | ||||||||
400,000 | Morgan Stanley, 0.755%, due 10/15/15 (1) | 400,525 | ||||||||
1,500,000 | Morgan Stanley, 4.75%, due 03/22/17 | 1,592,835 | ||||||||
575,000 | Morgan Stanley, 5.45%, due 01/09/17 | 613,662 | ||||||||
600,000 | Morgan Stanley, 5.5%, due 07/24/20 | 684,147 | ||||||||
1,750,000 | Morgan Stanley, 5.625%, due 09/23/19 | 1,981,657 | ||||||||
975,000 | Morgan Stanley, 6.625%, due 04/01/18 | 1,105,237 | ||||||||
375,000 | Morgan Stanley, 7.3%, due 05/13/19 | 445,721 | ||||||||
3,000,000 | Royal Bank of Scotland PLC (The) (United Kingdom), 2.55%, due 09/18/15 | 3,016,357 | ||||||||
875,000 | Royal Bank of Scotland PLC (The) (United Kingdom), 6.1%, due 06/10/23 | 963,844 | ||||||||
3,305,000 | �� | UBS AG (Switzerland), 1.8%, due 03/26/18 | 3,310,415 | |||||||
|
| |||||||||
Total Banks | 77,063,788 | |||||||||
|
| |||||||||
Chemicals (0.0%) | ||||||||||
101,000 | Rohm and Haas Co., 6%, due 09/15/17 | 111,600 | ||||||||
|
| |||||||||
Commercial Services (0.3%) | ||||||||||
1,250,000 | Autopistas Metropolitanas de Puerto Rico LLC, (144A), 6.75%, due 06/30/35 (2) | 1,021,875 | ||||||||
4,185,000 | Catholic Health Initiatives, 4.2%, due 08/01/23 | 4,498,674 | ||||||||
|
| |||||||||
Total Commercial Services | 5,520,549 | |||||||||
|
| |||||||||
Diversified Financial Services (0.5%) | ||||||||||
565,000 | General Electric Capital Corp., 0.635%, due 05/05/26 (1) | 541,079 | ||||||||
3,315,000 | General Electric Capital Corp., 0.737%, due 08/15/36 (1) | 3,001,162 | ||||||||
1,000,000 | General Electric Capital Corp., 3.15%, due 09/07/22 | 1,041,508 | ||||||||
1,250,000 | General Electric Capital Corp., 4.375%, due 09/16/20 | 1,391,996 |
See accompanying notes to financial statements.
6
Table of Contents
TCW Core Fixed Income Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Diversified Financial Services (Continued) | ||||||||||
$ | 1,000,000 | General Electric Capital Corp., 4.65%, due 10/17/21 | $ | 1,142,514 | ||||||
250,000 | General Electric Capital Corp., 5.5%, due 01/08/20 | 289,674 | ||||||||
1,000,000 | International Lease Finance Corp., (144A), 6.75%, due 09/01/16 (2) | 1,060,000 | ||||||||
|
| |||||||||
Total Diversified Financial Services | 8,467,933 | |||||||||
|
| |||||||||
Electric (1.0%) | ||||||||||
2,205,000 | Berkshire Hathaway Energy Co., 4.5%, due 02/01/45 | 2,367,661 | ||||||||
2,250,000 | El Paso Electric Co., 3.3%, due 12/15/22 | 2,242,316 | ||||||||
3,000,000 | Entergy Mississippi, Inc., 3.1%, due 07/01/23 | 3,052,182 | ||||||||
3,300,000 | Metropolitan Edison Co., (144A), 3.5%, due 03/15/23 (2) | 3,364,831 | ||||||||
1,000,000 | Niagara Mohawk Power Corp., (144A), 2.721%, due 11/28/22 (2) | 999,443 | ||||||||
400,000 | NiSource Finance Corp., 6.8%, due 01/15/19 | 468,607 | ||||||||
150,000 | Oncor Electric Delivery Co. LLC, 5.25%, due 09/30/40 | 179,489 | ||||||||
2,545,000 | Public Service Co. of New Mexico, 7.95%, due 05/15/18 | 3,001,553 | ||||||||
250,000 | Southern Power Co., 4.875%, due 07/15/15 | 252,145 | ||||||||
1,000,000 | Tucson Electric Power Co., 5.15%, due 11/15/21 | 1,124,618 | ||||||||
|
| |||||||||
Total Electric | 17,052,845 | |||||||||
|
| |||||||||
Energy-Alternate Sources (0.1%) | ||||||||||
1,274,157 | Alta Wind Holdings LLC, (144A), 7%, due 06/30/35 (2) | 1,510,029 | ||||||||
|
| |||||||||
Engineering & Construction (0.1%) | ||||||||||
2,000,000 | Sydney Airport Finance Co. Pty, Ltd. (Australia), (144A), | 2,081,792 | ||||||||
|
| |||||||||
Food (0.0%) | ||||||||||
143,000 | Kraft Foods Group, Inc., 5.375%, due 02/10/20 | 162,779 | ||||||||
|
| |||||||||
Gas (0.4%) | ||||||||||
460,000 | CenterPoint Energy Resources Corp., 6.15%, due 05/01/16 | 483,343 | ||||||||
1,750,000 | CenterPoint Energy Resources Corp., 6.25%, due 02/01/37 | 2,153,466 | ||||||||
3,265,000 | KeySpan Gas East Corp., (144A), 5.819%, due 04/01/41 (2) | 4,207,599 | ||||||||
|
| |||||||||
Total Gas | 6,844,408 | |||||||||
|
| |||||||||
Healthcare-Products (0.0%) | ||||||||||
250,000 | Covidien International Finance S.A. (Ireland), 6%, due 10/15/17 | 279,068 | ||||||||
|
| |||||||||
Healthcare-Services (1.2%) | ||||||||||
175,000 | Anthem, Inc., 5.875%, due 06/15/17 | 191,182 | ||||||||
2,545,000 | Hartford HealthCare Corp., 5.746%, due 04/01/44 | 2,850,093 | ||||||||
3,000,000 | North Shore Long Island Jewish Health Care, Inc., 4.8%, due 11/01/42 | 2,956,290 | ||||||||
1,305,000 | North Shore Long Island Jewish Health Care, Inc., 6.15%, due 11/01/43 | 1,611,842 | ||||||||
3,000,000 | NYU Hospitals Center, 4.428%, due 07/01/42 | 2,948,617 | ||||||||
60,000 | NYU Hospitals Center, 5.75%, due 07/01/43 | 71,623 | ||||||||
3,860,000 | Providence Health & Services Obligated Group, 1.224%, due 10/01/17 (1) | 3,883,408 | ||||||||
3,290,000 | Saint Barnabas Health Care System, 4%, due 07/01/28 | 3,350,985 | ||||||||
2,270,000 | Sutter Health, 2.286%, due 08/15/53 | 2,281,350 | ||||||||
|
| |||||||||
Total Healthcare-Services | 20,145,390 | |||||||||
|
|
See accompanying notes to financial statements.
7
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Insurance (1.3%) | ||||||||||
$ | 1,625,000 | Farmers Exchange Capital, (144A), 7.2%, due 07/15/48 (2) | $ | 2,143,535 | ||||||
2,250,000 | Farmers Exchange Capital II, (144A), 6.151%, due 11/01/53 (1)(2) | 2,565,000 | ||||||||
800,000 | MetLife, Inc., 4.368%, due 09/15/23 | 883,836 | ||||||||
300,000 | MetLife, Inc., 5.7%, due 06/15/35 | 375,634 | ||||||||
2,300,000 | Metropolitan Life Global Funding I, (144A), 0.805%, due 07/15/16 (1)(2) | 2,311,332 | ||||||||
3,460,000 | Metropolitan Life Global Funding I, (144A), 3.875%, due 04/11/22 (2) | 3,717,372 | ||||||||
4,000,000 | Pricoa Global Funding I, (144A), 1.6%, due 05/29/18 (2) | 3,999,930 | ||||||||
1,000,000 | Prudential Financial, Inc., 4.5%, due 11/15/20 | 1,108,501 | ||||||||
3,700,000 | ZFS Finance USA Trust II, (144A), 6.45%, due 12/15/65 (1)(2) | 3,889,625 | ||||||||
|
| |||||||||
Total Insurance | 20,994,765 | |||||||||
|
| |||||||||
Iron & Steel (0.0%) | ||||||||||
380,000 | ArcelorMittal (Luxembourg), 5.25%, due 02/25/17 | 398,050 | ||||||||
|
| |||||||||
Media (0.0%) | ||||||||||
200,000 | NBCUniversal Media LLC, 5.15%, due 04/30/20 | 229,216 | ||||||||
|
| |||||||||
Mining (0.2%) | ||||||||||
2,400,000 | Barrick Gold Corp. (Canada), 4.1%, due 05/01/23 | 2,375,652 | ||||||||
300,000 | Southern Copper Corp. (Peru), 7.5%, due 07/27/35 | 347,550 | ||||||||
|
| |||||||||
Total Mining | 2,723,202 | |||||||||
|
| |||||||||
Miscellaneous Manufacturers (0.1%) | ||||||||||
1,835,000 | General Electric Co., 4.5%, due 03/11/44 | 2,023,726 | ||||||||
|
| |||||||||
Oil & Gas (0.1%) | ||||||||||
250,000 | Anadarko Petroleum Corp., 5.95%, due 09/15/16 | 266,048 | ||||||||
1,700,000 | Exxon Mobil Corp., 3.567%, due 03/06/45 | 1,706,513 | ||||||||
|
| |||||||||
Total Oil & Gas | 1,972,561 | |||||||||
|
| |||||||||
Pharmaceuticals (0.2%) | ||||||||||
2,600,000 | Actavis Funding SCS, 4.75%, due 03/15/45 | 2,638,870 | ||||||||
|
| |||||||||
Pipelines (1.7%) | ||||||||||
1,000,000 | El Paso Pipeline Partners Operating Co. LLC, 5%, due 10/01/21 | 1,079,118 | ||||||||
3,500,000 | Energy Transfer Partners LP, 5.95%, due 10/01/43 | 3,784,462 | ||||||||
2,000,000 | Florida Gas Transmission Co. LLC, (144A), 3.875%, due 07/15/22 (2) | 2,028,290 | ||||||||
500,000 | Florida Gas Transmission Co. LLC, (144A), 4%, due 07/15/15 (2) | 502,787 | ||||||||
250,000 | Florida Gas Transmission Co. LLC, (144A), 7.9%, due 05/15/19 (2) | 299,163 | ||||||||
675,000 | Panhandle Eastern Pipe Line Co. LP, 7%, due 06/15/18 | 771,724 | ||||||||
825,000 | Panhandle Eastern Pipe Line Co. LP, 8.125%, due 06/01/19 | 992,093 | ||||||||
2,500,000 | Plains All American Pipeline LP / PAA Finance Corp., 2.85%, due 01/31/23 | 2,421,939 | ||||||||
3,350,000 | Ruby Pipeline LLC, (144A), 6%, due 04/01/22 (2) | 3,647,539 | ||||||||
2,590,000 | Southern Natural Gas Co. LLC, 7.35%, due 02/15/31 | 3,184,559 | ||||||||
3,245,000 | Spectra Energy Partners LP, 4.5%, due 03/15/45 | 3,170,761 | ||||||||
2,000,000 | TC PipeLines LP, 4.375%, due 03/13/25 | 2,041,974 | ||||||||
1,005,000 | Tennessee Gas Pipeline Co., 8%, due 02/01/16 | 1,054,359 | ||||||||
2,090,000 | Tennessee Gas Pipeline Co., 8.375%, due 06/15/32 | 2,634,318 |
See accompanying notes to financial statements.
8
Table of Contents
TCW Core Fixed Income Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Pipelines (Continued) | ||||||||||
$ | 375,000 | TransCanada PipeLines, Ltd. (Canada), 6.1%, due 06/01/40 | $ | 467,428 | ||||||
|
| |||||||||
Total Pipelines | 28,080,514 | |||||||||
|
| |||||||||
Real Estate (0.1%) | ||||||||||
850,000 | Post Apartment Homes, LP, 4.75%, due 10/15/17 | 910,472 | ||||||||
|
| |||||||||
REIT (2.2%) | ||||||||||
2,250,000 | Alexandria Real Estate Equities, Inc., 4.6%, due 04/01/22 | 2,414,794 | ||||||||
3,000,000 | ARC Properties Operating Partnership LP / Clark Acquisition LLC, 2%, due 02/06/17 | 2,932,500 | ||||||||
3,000,000 | AvalonBay Communities, Inc., 2.95%, due 09/15/22 | 2,999,766 | ||||||||
1,000,000 | AvalonBay Communities, Inc., 3.95%, due 01/15/21 | 1,069,210 | ||||||||
2,200,000 | Boston Properties LP, 5.875%, due 10/15/19 | 2,546,808 | ||||||||
2,295,000 | HCP, Inc., 3.875%, due 08/15/24 | 2,331,785 | ||||||||
3,000,000 | HCP, Inc., 6%, due 01/30/17 | 3,238,338 | ||||||||
715,000 | HCP, Inc., 6.3%, due 09/15/16 | 763,435 | ||||||||
605,000 | Health Care REIT, Inc., 3.75%, due 03/15/23 | 621,310 | ||||||||
545,000 | Health Care REIT, Inc., 4.95%, due 01/15/21 | 604,967 | ||||||||
3,400,000 | Health Care REIT, Inc., 6.125%, due 04/15/20 | 3,949,630 | ||||||||
710,000 | Health Care REIT, Inc., 6.5%, due 03/15/41 | 917,626 | ||||||||
2,900,000 | Healthcare Realty Trust, Inc., 5.75%, due 01/15/21 | 3,276,764 | ||||||||
350,000 | Healthcare Realty Trust, Inc., 6.5%, due 01/17/17 | 382,031 | ||||||||
1,459,000 | Highwoods Realty LP, 7.5%, due 04/15/18 | 1,690,171 | ||||||||
1,925,000 | Nationwide Health Properties, Inc., 6%, due 05/20/15 | 1,929,152 | ||||||||
2,440,000 | SL Green Realty Corp., 5%, due 08/15/18 | 2,626,633 | ||||||||
1,000,000 | SL Green Realty Corp., 7.75%, due 03/15/20 | 1,210,660 | ||||||||
1,500,000 | Ventas Realty LP / Ventas Capital Corp., 2.7%, due 04/01/20 | 1,517,889 | ||||||||
|
| |||||||||
Total REIT | 37,023,469 | |||||||||
|
| |||||||||
Retail (0.3%) | ||||||||||
2,100,000 | Wal-Mart Stores, Inc., 4.75%, due 10/02/43 | 2,370,854 | ||||||||
3,000,000 | Walgreens Boots Alliance, Inc., 0.706%, due 05/18/16 (1) | 3,005,679 | ||||||||
|
| |||||||||
Total Retail | 5,376,533 | |||||||||
|
| |||||||||
Software (0.1%) | ||||||||||
2,000,000 | Microsoft Corp., 3.75%, due 02/12/45 | 1,899,756 | ||||||||
|
| |||||||||
Telecommunications (0.6%) | ||||||||||
1,500,000 | AT&T, Inc., 4.75%, due 05/15/46 (3) | 1,472,328 | ||||||||
1,500,000 | AT&T, Inc., 5.35%, due 09/01/40 | 1,582,451 | ||||||||
739,000 | AT&T, Inc., 6.5%, due 09/01/37 | 885,250 | ||||||||
1,500,000 | Qwest Corp., 7.25%, due 09/15/25 | 1,742,376 | ||||||||
2,000,000 | Verizon Communications, Inc., 2.021%, due 09/14/18 (1) | 2,083,682 | ||||||||
2,000,000 | Verizon Communications, Inc., 4.862%, due 08/21/46 | 2,025,694 | ||||||||
125,000 | Verizon Communications, Inc., 6.25%, due 04/01/37 | 150,120 | ||||||||
600,000 | Verizon Communications, Inc., (144A), 4.522%, due 09/15/48 (2) | 570,376 | ||||||||
|
| |||||||||
Total Telecommunications | 10,512,277 | |||||||||
|
|
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 | ||||||||
Transportation (0.1%) | ||||||||||
$ | 2,385,000 | Burlington Northern Santa Fe LLC, 4.15%, due 04/01/45 | $ | 2,400,339 | ||||||
|
| |||||||||
Total Corporate Bonds (Cost: $263,711,801) | 276,571,841 | |||||||||
|
| |||||||||
Municipal Bonds (1.3%) | ||||||||||
1,465,000 | City of Chicago, Illinois, General Obligation Unlimited, 6.05%, due 01/01/29 | 1,483,210 | ||||||||
1,740,000 | City of Houston, Texas, General Obligation, 6.29%, due 03/01/32 | 2,167,275 | ||||||||
1,500,000 | City of New York, General Obligation Unlimited, 5.047%, due 10/01/24 | 1,712,910 | ||||||||
1,250,000 | City of New York, General Obligation Unlimited, 5.517%, due 10/01/37 | 1,526,250 | ||||||||
840,000 | Fiscal Year 2005 Securitization Corp., Special Obligation Bond for the City of New York, 4.93%, due 04/01/20 | 928,074 | ||||||||
1,500,000 | Illinois State, General Obligation Bond, 4.35%, due 06/01/18 | 1,565,925 | ||||||||
1,505,000 | Illinois State, General Obligation Unlimited, 4.95%, due 06/01/23 | 1,608,529 | ||||||||
3,000,000 | Illinois State, General Obligation Unlimited, 6.2%, due 07/01/21 | 3,354,210 | ||||||||
3,000,000 | New York City Transitional Finance Authority Future Tax Secured, Build America Bonds, Revenue Bond, 5.572%, due 11/01/38 (4) | 3,769,200 | ||||||||
2,000,000 | New York City Water & Sewer System, Revenue Bond, 5.882%, due 06/15/44 | 2,693,440 | ||||||||
730,000 | New York State, Build America Bonds, General Obligation Unlimited, 5.817%, due 10/01/31 | 824,323 | ||||||||
|
| |||||||||
Total Municipal Bonds (Cost: $20,847,531) | 21,633,346 | |||||||||
|
| |||||||||
Foreign Government Bonds (Cost: $198,914) (0.0%) | ||||||||||
200,000 | Province of Manitoba (Canada), 4.9%, due 12/06/16 | 213,131 | ||||||||
|
| |||||||||
Asset-Backed Securities (9.3%) | ||||||||||
2,020,510 | 321 Henderson Receivables I LLC (13-3A-A), (144A), 4.08%, due 01/17/73 (2) | 2,140,289 | ||||||||
2,329,321 | 321 Henderson Receivables I LLC (14-2A-A), (144A), 3.61%, due 01/17/73 (2) | 2,390,553 | ||||||||
2,800,000 | Academic Loan Funding Trust (12-1A-A2), (144A), 1.281%, due 12/27/44 (1)(2) | 2,810,242 | ||||||||
2,500,000 | ALM Loan Funding (12-7A-A1), (144A), 1.695%, due 10/19/24 (1)(2) | 2,502,337 | ||||||||
2,350,000 | AMMC CDO (14-14A-A1L), (144A), 1.727%, due 07/27/26 (1)(2) | 2,345,234 | ||||||||
1,000,000 | Babson CLO, Ltd. (14-IIA-A), (144A), 1.664%, due 10/17/26 (1)(2) | 998,207 | ||||||||
1,000,000 | Babson CLO, Ltd. (15-IA-A), (144A), 1.709%, due 04/20/27 (1)(2) | 1,000,897 | ||||||||
1,600,000 | Ballyrock CLO, Ltd. (14-1A-A1), (144A), 1.755%, due 10/20/26 (1)(2) | 1,601,673 | ||||||||
2,149,760 | Bayview Commercial Asset Trust (06-4A-A1), (144A), | 1,901,225 | ||||||||
1,485,544 | Beacon Container Finance LLC (12-1A-A), (144A), 3.72%, due 09/20/27 (2) | 1,519,709 | ||||||||
1,749,827 | Brazos Education Loan Authority, Inc. (12-1-A1), 0.881%, due 12/26/35 (1) | 1,747,626 | ||||||||
661,675 | Brazos Higher Education Authority, Inc. (06-2-A9), 0.276%, due 12/26/24 (1) | 650,421 | ||||||||
675,000 | Brazos Higher Education Authority, Inc. (10-1-A2), 1.433%, due 02/25/35 (1) | 693,924 | ||||||||
1,695,000 | Brazos Higher Education Authority, Inc. (11-1-A3), 1.283%, due 11/25/33 (1) | 1,721,630 | ||||||||
1,848,750 | CAL Funding II, Ltd. (12-1A-A), (144A), 3.47%, due 10/25/27 (2) | 1,871,413 | ||||||||
860,086 | College Loan Corp. Trust (05-2-A3), 0.405%, due 04/15/25 (1) | 858,731 | ||||||||
3,960,000 | Dryden Senior Loan Fund (15-37A-A), (144A), 1.816%, due 04/15/27 (1)(2) | 3,964,122 | ||||||||
3,180,566 | Educational Funding of the South, Inc. (11-1-A2), 0.927%, due 04/25/35 (1) | 3,177,556 | ||||||||
1,528,141 | Educational Services of America, Inc. (12-2-A), (144A), 0.911%, due 04/25/39 (1)(2) | 1,537,662 | ||||||||
2,500,000 | Flatiron CLO, Ltd. (14-1A-A1), (144A), 1.654%, due 07/17/26 (1)(2) | 2,490,383 |
See accompanying notes to financial statements.
10
Table of Contents
TCW Core Fixed Income Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Asset-Backed Securities (Continued) | ||||||||||
$ | 3,182,864 | GCO Education Loan Funding Trust (06-2AR-A1RN), (144A), | $ | 3,077,924 | ||||||
188,582 | GE Business Loan Trust (03-1-A), (144A), 0.612%, due 04/15/31 (1)(2) | 180,440 | ||||||||
194,256 | GE Business Loan Trust (04-1-A), (144A), 0.472%, due 05/15/32 (1)(2) | 189,062 | ||||||||
794,324 | GE Business Loan Trust (04-2A-A), (144A), 0.402%, due 12/15/32 (1)(2) | 774,883 | ||||||||
3,186,625 | Global SC Finance SRL (14-1A-A2), (144A), 3.09%, due 07/17/29 (2) | 3,188,139 | ||||||||
2,836,940 | Higher Education Funding I (14-1-A), (144A), 1.311%, due 05/25/34 (1)(2) | 2,872,682 | ||||||||
1,879,145 | Iowa Student Loan Liquidity Corp. (11-1-A), 1.517%, due 06/25/42 (1) | 1,902,333 | ||||||||
3,600,000 | Limerock CLO II, Ltd. (14-2A-A), (144A), 1.775%, due 04/18/26 (1)(2) | 3,601,645 | ||||||||
3,400,000 | Magnetite XI, Ltd. (14-11A-A1), (144A), 1.725%, due 01/18/27 (1)(2) | 3,405,882 | ||||||||
3,260,000 | Magnetite XII, Ltd. (15-12A-A), (144A), 1.817%, due 04/15/27 (1)(2) | 3,263,512 | ||||||||
2,400,000 | Montana Higher Education Student Assistance Corp. (12-1-A3), 1.231%, due 07/20/43 (1) | 2,394,182 | ||||||||
5,655,116 | Navient Student Loan Trust (14-2-A), 0.814%, due 03/25/43 (1) | 5,619,085 | ||||||||
5,636,582 | Navient Student Loan Trust (14-3-A), 0.794%, due 03/25/43 (1) | 5,596,117 | ||||||||
2,801,990 | Navient Student Loan Trust (14-4-A), 0.801%, due 03/25/43 (1) | 2,780,805 | ||||||||
4,832,677 | Nelnet Student Loan Trust (11-1A-A), (144A), 1.031%, due 02/25/43 (1)(2) | 4,923,413 | ||||||||
2,965,000 | Nelnet Student Loan Trust (14-4A-A2), (144A), 1.121%, due 11/25/43 (1)(2) | 2,987,458 | ||||||||
7,175,000 | Nelnet Student Loan Trust (15-2A-A2), (144A), 0.821%, due 09/25/42 (1)(2) | 7,187,486 | ||||||||
3,000,000 | Nomad CLO, Ltd. (13-1A-A1), (144A), 1.475%, due 01/15/25 (1)(2) | 2,968,518 | ||||||||
2,600,000 | Oak Hill Credit Partners (12-7A-A), (144A), 1.681%, due 11/20/23 (1)(2) | 2,601,760 | ||||||||
2,173,864 | Octagon Investment Partners XI, Ltd. (07-1A-A1B), (144A), | 2,145,615 | ||||||||
3,490,000 | PHEAA Student Loan Trust (15-1A-A), (144A), 0.933%, due 10/25/41 (1)(2) | 3,493,365 | ||||||||
2,404,206 | SLC Student Loan Trust (05-3-B), 0.521%, due 06/15/40 (1) | 2,188,095 | ||||||||
5,572,601 | SLM Student Loan Trust (04-10-A5B), (144A), 0.677%, due 04/25/23 (1)(2) | 5,576,003 | ||||||||
1,168,655 | SLM Student Loan Trust (05-6-B), 0.567%, due 01/25/44 (1) | 1,053,795 | ||||||||
1,195,117 | SLM Student Loan Trust (06-10-B), 0.497%, due 03/25/44 (1) | 1,052,689 | ||||||||
3,400,000 | SLM Student Loan Trust (06-2-A6), 0.447%, due 01/25/41 (1) | 3,202,616 | ||||||||
3,400,000 | SLM Student Loan Trust (06-8-A6), 0.437%, due 01/25/41 (1) | 3,189,076 | ||||||||
1,190,522 | SLM Student Loan Trust (07-1-B), 0.497%, due 01/27/42 (1) | 1,045,086 | ||||||||
636,631 | SLM Student Loan Trust (07-6-B), 1.127%, due 04/27/43 (1) | 580,114 | ||||||||
710,000 | SLM Student Loan Trust (08-2-B), 1.477%, due 01/25/29 (1) | 664,273 | ||||||||
710,000 | SLM Student Loan Trust (08-3-B), 1.477%, due 04/25/29 (1) | 662,519 | ||||||||
8,380,000 | SLM Student Loan Trust (08-4-A4), 1.927%, due 07/25/22 (1) | 8,734,206 | ||||||||
710,000 | SLM Student Loan Trust (08-4-B), 2.127%, due 04/25/29 (1) | 692,720 | ||||||||
710,000 | SLM Student Loan Trust (08-5-B), 2.127%, due 07/25/29 (1) | 722,021 | ||||||||
7,450,000 | SLM Student Loan Trust (08-6-A3), 1.027%, due 01/25/19 (1)(4) | 7,493,369 | ||||||||
710,000 | SLM Student Loan Trust (08-6-B), 2.127%, due 07/25/29 (1) | 712,645 | ||||||||
710,000 | SLM Student Loan Trust (08-7-B), 2.127%, due 07/25/29 (1) | 715,006 | ||||||||
710,000 | SLM Student Loan Trust (08-8-B), 2.527%, due 10/25/29 (1) | 735,534 | ||||||||
6,331,093 | SLM Student Loan Trust (08-9-A), 1.777%, due 04/25/23 (1) | 6,504,553 | ||||||||
710,000 | SLM Student Loan Trust (08-9-B), 2.527%, due 10/25/29 (1) | 746,173 | ||||||||
2,000,000 | SLM Student Loan Trust (11-2-A2), 1.381%, due 10/25/34 (1) | 2,054,531 | ||||||||
2,600,000 | SLM Student Loan Trust (12-7-A3), 0.831%, due 05/26/26 (1)(4) | 2,603,464 | ||||||||
2,416,702 | SLM Student Loan Trust (13-4-A), 0.731%, due 06/25/27 (1) | 2,420,971 |
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 | ||||||||
Asset-Backed Securities (Continued) | ||||||||||
$ | 470,000 | TAL Advantage I LLC (06-1A-NOTE), (144A), 0.371%, due 04/20/21 (1)(2) | $ | 467,394 | ||||||
|
| |||||||||
Total Asset-Backed Securities (Cost: $154,616,242) | 156,894,993 | |||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — Agency (6.3%) | ||||||||||
3,425,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K004-A2), 4.186%, due 08/25/19 | 3,760,160 | ||||||||
2,915,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K009-A2), 3.808%, due 08/25/20 | 3,181,720 | ||||||||
2,755,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K013-A2), 3.974%, due 01/25/21 (1) | 3,040,127 | ||||||||
7,095,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K041-A2), 3.171%, due 10/25/24 | 7,466,498 | ||||||||
3,936,510 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (KF02-A3), 0.811%, due 07/25/20 (1) | 3,970,719 | ||||||||
7,846,472 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (KF05-A), 0.523%, due 09/25/21 (1) | 7,866,064 | ||||||||
2,100,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (KSCT-A2), 4.285%, due 01/25/20 | 2,337,352 | ||||||||
5,606,895 | Federal National Mortgage Association, (12-M12-1A), 2.935%, due 08/25/22 (ACES) (1) | 5,844,028 | ||||||||
5,056,369 | Federal National Mortgage Association, (12-M15-A), | 5,166,572 | ||||||||
8,424,675 | Federal National Mortgage Association, (14-M12-FA), | 8,473,528 | ||||||||
5,648,062 | Federal National Mortgage Association, Pool #462237, | 5,894,428 | ||||||||
1,193,437 | Federal National Mortgage Association, Pool #464959, 4.12%, due 04/01/20 | 1,313,606 | ||||||||
3,045,000 | Federal National Mortgage Association, Pool #467944, 4.25%, due 04/01/21 | 3,391,562 | ||||||||
1,819,457 | Federal National Mortgage Association, Pool #468048, 4.41%, due 05/01/21 | 2,056,353 | ||||||||
4,199,446 | Federal National Mortgage Association, Pool #745935, | 4,341,707 | ||||||||
2,305,000 | Federal National Mortgage Association, Pool #AE0134, | 2,565,536 | ||||||||
3,918,346 | Federal National Mortgage Association, Pool #AE0918, | 4,259,800 | ||||||||
2,046,324 | Federal National Mortgage Association, Pool #Al0151, | 2,289,994 | ||||||||
6,428,443 | Federal National Mortgage Association, Pool #AL3382, | 6,471,337 | ||||||||
5,555,000 | Federal National Mortgage Association, Pool #AL6829, | 5,651,345 | ||||||||
2,305,000 | Federal National Mortgage Association, Pool #AM1551, | 2,302,000 | ||||||||
3,300,000 | Federal National Mortgage Association, Pool #AM4125, | 3,593,439 |
See accompanying notes to financial statements.
12
Table of Contents
TCW Core Fixed Income Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Commercial Mortgage-Backed Securities — Agency (Continued) | ||||||||||
$ | 2,461,721 | Federal National Mortgage Association, Pool #FN0000, | $ | 2,658,439 | ||||||
3,362,134 | Federal National Mortgage Association, Pool #FN0001, | 3,657,022 | ||||||||
2,655,342 | Federal National Mortgage Association, Pool #FN0003, | 2,963,486 | ||||||||
1,747,111 | NCUA Guaranteed Notes (11-C1-2A), 0.708%, due 03/09/21 (1) | 1,752,069 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities — Agency | 106,268,891 | |||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — Non-Agency (3.5%) | ||||||||||
3,192,193 | Bear Stearns Commercial Mortgage Securities Trust (05-T20-A4A), | 3,213,517 | ||||||||
226,961 | DBRR Trust (13-EZ2-A), (144A), 0.853%, due 02/25/45 (1)(2) | 226,914 | ||||||||
935,870 | GE Capital Commercial Mortgage Corp. (05-C4-A3A), | 934,869 | ||||||||
3,400,000 | GE Capital Commercial Mortgage Corp. (05-C4-A4), | 3,432,538 | ||||||||
1,378,944 | JPMorgan Chase Commercial Mortgage Securities Trust (06-LDP8-A1A), | 1,434,307 | ||||||||
1,526,737 | JPMorgan Chase Commercial Mortgage Securities Trust (11-C3-A2), (144A), | 1,566,333 | ||||||||
4,570,000 | JPMorgan Chase Commercial Mortgage Securities Trust (11-C3-A3), (144A), | 4,921,401 | ||||||||
7,401,116 | LB-UBS Commercial Mortgage Trust (06-C7-A2), 5.3%, due 11/15/38 | 7,468,855 | ||||||||
2,627,996 | Merrill Lynch/Countrywide Commercial Mortgage Trust (06-4-A1A), | 2,762,024 | ||||||||
8,100,000 | Morgan Stanley Capital I Trust (07-HQ11-A4), 5.447%, due 02/12/44 (1)(4) | 8,571,813 | ||||||||
865,905 | Morgan Stanley Capital I Trust (07-HQ12-A2FX), 5.861%, due 04/12/49 (1) | 864,638 | ||||||||
8,000,000 | Morgan Stanley Capital I Trust (07-HQ12-A5), 5.861%, due 04/12/49 (1)(4) | 8,016,240 | ||||||||
1,095,948 | Morgan Stanley Capital I Trust (11-C3-A2), 3.224%, due 07/15/49 | 1,122,346 | ||||||||
4,300,000 | WF-RBS Commercial Mortgage Trust (11-C4-A3), (144A), | 4,657,812 | ||||||||
3,600,000 | WF-RBS Commercial Mortgage Trust (11-C5-A4), 3.667%, due 11/15/44 | 3,871,267 | ||||||||
2,800,000 | WF-RBS Commercial Mortgage Trust (12-C7-A2), 3.431%, due 06/15/45 | 2,971,204 | ||||||||
2,275,000 | WF-RBS Commercial Mortgage Trust (12-C8-A3), 3.001%, due 08/15/45 | 2,347,926 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency | 58,384,004 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Agency (22.6%) | ||||||||||
317,598 | Federal Home Loan Mortgage Corp. (2439-KZ), 6.5%, due 04/15/32 | 360,257 | ||||||||
755,373 | Federal Home Loan Mortgage Corp. (2575-FD), 0.632%, due 02/15/33 | 761,608 | ||||||||
486,672 | Federal Home Loan Mortgage Corp. (2662-MT), 4.5%, due 08/15/33 (TAC) | 519,018 | ||||||||
7,959,539 | Federal Home Loan Mortgage Corp. (277-30), 3%, due 09/15/42 (4) | 8,074,368 |
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) | ||||||||||
$ | 209,641 | Federal Home Loan Mortgage Corp. (3315-S), | $ | 22,517 | ||||||
1,047,164 | Federal Home Loan Mortgage Corp. (3339-JS), | 2,062,169 | ||||||||
974,405 | Federal Home Loan Mortgage Corp. (3351-ZC), 5.5%, due 07/15/37 | 1,100,818 | ||||||||
1,411,487 | Federal Home Loan Mortgage Corp. (3380-SM), | 229,896 | ||||||||
1,067,402 | Federal Home Loan Mortgage Corp. (3382-FL), 0.882%, due 11/15/37 (1) | 1,078,876 | ||||||||
4,884,122 | Federal Home Loan Mortgage Corp. (3439-SC), | 736,350 | ||||||||
1,949,034 | Federal Home Loan Mortgage Corp. (3578-DI), | 350,619 | ||||||||
5,239,394 | Federal Home Loan Mortgage Corp. (4139-PA), 2.5%, due 11/15/41 (PAC) | 5,360,739 | ||||||||
56,954 | Federal Home Loan Mortgage Corp., Pool #1A1127, 2.515%, due 01/01/37 (1) | 58,399 | ||||||||
3,880,955 | Federal Home Loan Mortgage Corp., Pool #A97179, 4.5%, due 03/01/41 | 4,342,682 | ||||||||
29,562 | Federal Home Loan Mortgage Corp., Pool #B15026, 5%, due 06/01/19 | 31,108 | ||||||||
14,389 | Federal Home Loan Mortgage Corp., Pool #B15591, 5%, due 07/01/19 | 15,246 | ||||||||
29,808 | Federal Home Loan Mortgage Corp., Pool #C90526, 5.5%, due 02/01/22 | 33,600 | ||||||||
4,347,703 | Federal Home Loan Mortgage Corp., Pool #G06360, 4%, due 03/01/41 | 4,748,259 | ||||||||
3,457,782 | Federal Home Loan Mortgage Corp., Pool #G06498, 4%, due 04/01/41 | 3,763,744 | ||||||||
2,409,454 | Federal Home Loan Mortgage Corp., Pool #G06499, 4%, due 03/01/41 | 2,611,725 | ||||||||
1,283,703 | Federal Home Loan Mortgage Corp., Pool #G06620, 4.5%, due 07/01/41 | 1,406,106 | ||||||||
15,662,421 | Federal Home Loan Mortgage Corp., Pool #G07924, 3.5%, due 01/01/45 | 16,453,496 | ||||||||
14,932,449 | Federal Home Loan Mortgage Corp., Pool #G08632, 3.5%, due 03/01/45 | 15,635,325 | ||||||||
3,628,735 | Federal Home Loan Mortgage Corp., Pool #Q05261, 3.5%, due 12/01/41 | 3,827,890 | ||||||||
5,746,022 | Federal Home Loan Mortgage Corp., Pool #Q20178, 3.5%, due 07/01/43 | 6,088,138 | ||||||||
319,326 | Federal National Mortgage Association (01-14-SH), 10.797%, due 03/25/30 (I/F) (1) | 533,166 | ||||||||
431,692 | Federal National Mortgage Association (01-34-FV), | 437,327 | ||||||||
2,271 | Federal National Mortgage Association (03-62-MA), 3.5%, due 07/25/33 | 2,301 | ||||||||
2,000,000 | Federal National Mortgage Association (04-W10-A6), | 2,347,654 | ||||||||
1,732,222 | Federal National Mortgage Association (07-89-GF), | 1,750,106 | ||||||||
368,213 | Federal National Mortgage Association (08-30-SA), | 44,648 | ||||||||
498,614 | Federal National Mortgage Association (08-62-SN), | 63,150 | ||||||||
4,000,000 | Federal National Mortgage Association (09-64-TB), 4%, due 08/25/29 | 4,277,437 | ||||||||
228,671 | Federal National Mortgage Association (09-68-SA), | 37,524 | ||||||||
3,442,212 | Federal National Mortgage Association (10-26-AS), | 516,239 | ||||||||
4,000,000 | Federal National Mortgage Association (11-111-DB), 4%, due 11/25/41 | 4,445,770 |
See accompanying notes to financial statements.
14
Table of Contents
TCW Core Fixed Income Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||||
$ | 33,751 | Federal National Mortgage Association, Pool #254634, 5.5%, due 02/01/23 | $ | 37,978 | ||||||
24,571 | Federal National Mortgage Association, Pool #596686, 6.5%, due 11/01/31 | 28,405 | ||||||||
102,896 | Federal National Mortgage Association, Pool #725275, 4%, due 03/01/19 | 108,607 | ||||||||
98,873 | Federal National Mortgage Association, Pool #727575, 5%, due 06/01/33 | 108,087 | ||||||||
109,648 | Federal National Mortgage Association, Pool #748751, 5.5%, due 10/01/33 | 117,310 | ||||||||
2,140,165 | Federal National Mortgage Association, Pool #AB2127, | 2,291,954 | ||||||||
2,067,534 | Federal National Mortgage Association, Pool #AB3679, | 2,180,222 | ||||||||
3,687,729 | Federal National Mortgage Association, Pool #AB3685, | 3,991,678 | ||||||||
2,788,738 | Federal National Mortgage Association, Pool #AB3864, | 2,944,515 | ||||||||
5,654,624 | Federal National Mortgage Association, Pool #AB4045, | 5,999,025 | ||||||||
4,189,721 | Federal National Mortgage Association, Pool #AC1604, 4%, due 08/01/39 | 4,554,030 | ||||||||
1,224,468 | Federal National Mortgage Association, Pool #AL0209, | 1,370,573 | ||||||||
1,895,674 | Federal National Mortgage Association, Pool #AL0851, 6%, due 10/01/40 | 2,175,697 | ||||||||
10,967,378 | Federal National Mortgage Association, Pool #AT5914, | 11,582,581 | ||||||||
11,379,043 | Federal National Mortgage Association, Pool #MA1404, | 12,018,977 | ||||||||
5,344,806 | Federal National Mortgage Association, Pool #MA1561, 3%, due 09/01/33 | 5,544,615 | ||||||||
9,577,314 | Federal National Mortgage Association, Pool #MA1584, | 10,103,148 | ||||||||
10,352,522 | Federal National Mortgage Association, Pool #MA1608, | 10,920,329 | ||||||||
1,745,000 | Federal National Mortgage Association TBA, 2.5% (5) | 1,789,170 | ||||||||
3,775,000 | Federal National Mortgage Association TBA, 3% (5) | 3,950,478 | ||||||||
36,365,000 | Federal National Mortgage Association TBA, 3% (5) | 37,005,003 | ||||||||
18,000,000 | Federal National Mortgage Association TBA, 3% (5) | 18,277,032 | ||||||||
2,780,000 | Federal National Mortgage Association TBA, 3.5% (5) | 2,951,361 | ||||||||
43,345,000 | Federal National Mortgage Association TBA, 3.5% (5) | 45,414,045 | ||||||||
26,065,000 | Federal National Mortgage Association TBA, 4% (5) | 27,861,041 | ||||||||
11,985,000 | Federal National Mortgage Association TBA, 4.5% (5) | 13,045,858 | ||||||||
1,378,272 | Government National Mortgage Association (04-30-UC), | 1,477,027 | ||||||||
800,258 | Government National Mortgage Association (08-27-SI), | 136,116 | ||||||||
3,163,342 | Government National Mortgage Association (08-81-S), | 533,228 | ||||||||
1,363,018 | Government National Mortgage Association (09-66-UF), | 1,393,236 | ||||||||
5,245,967 | Government National Mortgage Association (10-1-S), | 764,122 |
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 | ||||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||||
$ | 123,793 | Government National Mortgage Association, Pool #608259, | $ | 137,216 | ||||||
312,145 | Government National Mortgage Association, Pool #782114, | 351,031 | ||||||||
7,930,000 | Government National Mortgage Association II, Pool #MA2754, | 8,379,160 | ||||||||
2,875,000 | Government National Mortgage Association II TBA, 3% (5) | 2,956,533 | ||||||||
27,795,000 | Government National Mortgage Association II TBA, 3.5% (5) | 29,323,726 | ||||||||
1,515,000 | Government National Mortgage Association II TBA, 4% (5) | 1,618,979 | ||||||||
3,515,000 | Government National Mortgage Association II TBA, 4.5% (5) | 3,815,972 | ||||||||
2,254,159 | NCUA Guaranteed Notes (10-R1-1A), 0.628%, due 10/07/20 (1) | 2,266,750 | ||||||||
1,280,922 | NCUA Guaranteed Notes (10-R2-1A), 0.548%, due 11/06/17 (1) | 1,283,975 | ||||||||
1,078,077 | NCUA Guaranteed Notes (10-R3-1A), 0.736%, due 12/08/20 (1) | 1,087,552 | ||||||||
916,793 | NCUA Guaranteed Notes (10-R3-2A), 0.736%, due 12/08/20 (1) | 924,743 | ||||||||
1,296,017 | NCUA Guaranteed Notes (11-R1-1A), 0.624%, due 01/08/20 (1) | 1,303,185 | ||||||||
1,266,765 | NCUA Guaranteed Notes (11-R2-1A), 0.578%, due 02/06/20 (1) | 1,271,862 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Agency | 379,524,407 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Non-Agency (9.7%) | ||||||||||
46,330 | Argent Securities, Inc. (05-W2-A2B1), 0.381%, due 10/25/35 (1) | 46,333 | ||||||||
753,087 | Asset-Backed Funding Certificates (05-WMC1-M1), | 746,884 | ||||||||
2,410,709 | Asset-Backed Securities Corp. Home Equity (05-HE6-M2), | 2,397,839 | ||||||||
8,004,658 | Banc of America Funding Trust (15-R2-9A1), (144A), | 7,729,659 | ||||||||
4,284,061 | Bear Stearns Asset Backed Securities I Trust (06-HE3-A2), | 4,259,680 | ||||||||
3,970,000 | Bear Stearns Asset-Backed Securities Trust (06-HE1-1M1), | 3,839,256 | ||||||||
726,845 | Carrington Mortgage Loan Trust (05-NC5-A2), 0.501%, due 10/25/35 (1) | 725,829 | ||||||||
714,507 | Centex Home Equity (02-C-AF6), 4.5%, due 09/25/32 (1) | 721,530 | ||||||||
1,252,710 | Centex Home Equity (03-B-AF6), 3.173%, due 06/25/33 (1) | 1,259,054 | ||||||||
654,967 | Citigroup Mortgage Loan Trust, Inc. (05-5-2A2), 5.75%, due 08/25/35 (6) | 572,912 | ||||||||
1,796,058 | Conseco Financial Corp. (98-6-A8), 6.66%, due 06/01/30 | 1,918,598 | ||||||||
3,198,783 | Countrywide Asset-Backed Certificates (05-11-MV1), | 3,188,077 | ||||||||
21,665 | Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA), | 23,210 | ||||||||
7,405,125 | Credit Suisse Mortgage Trust (15-1R-7A3), 2.508%, due 07/27/36 | 7,562,484 | ||||||||
7,479,252 | CSMC Trust (14-7R-8A1), (144A), 2.253%, due 07/27/37 (1)(2) | 7,510,366 | ||||||||
537,846 | GSAA Trust (05-3-M1), 0.849%, due 12/25/34 (1) | 536,049 | ||||||||
845,000 | GSAMP Trust (05-HE5-M1), 0.601%, due 11/25/35 (1) | 813,386 | ||||||||
1,686,400 | HSBC Home Equity Loan Trust USA (07-1-AM), 0.421%, due 03/20/36 (1) | 1,676,271 | ||||||||
396,929 | HSBC Home Equity Loan Trust USA (07-2-AM), 0.421%, due 07/20/36 (1) | 394,796 |
See accompanying notes to financial statements.
16
Table of Contents
TCW Core Fixed Income Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||
$ | 2,183,704 | HSBC Home Equity Loan Trust USA (07-3-APT), 1.381%, due 11/20/36 (1) | $ | 2,179,262 | ||||||
1,677,681 | HSI Asset Securitization Corp. Trust (06-OPT1-2A3), | 1,650,088 | ||||||||
1,550,160 | Indymac Index Mortgage Loan Trust (05-AR6-2A1), 0.421%, due 04/25/35 (1) | 1,387,928 | ||||||||
6,856,235 | JPMorgan Mortgage Acquisition Corp. (05-OPT1-M1), | 6,820,644 | ||||||||
7,528,143 | Merrill Lynch Mortgage Investors Trust (05-2-2A), 2.35%, due 10/25/35 (1) | 7,609,613 | ||||||||
1,919,032 | Mid-State Trust (04-1-B), 8.9%, due 08/15/37 | 2,299,665 | ||||||||
2,807,932 | Morgan Stanley ABS Capital I, Inc. Trust (05-WMC6-M2), | 2,845,202 | ||||||||
2,093,386 | Morgan Stanley Capital, Inc. (04-WMC2-M1), 1.096%, due 07/25/34 (1) | 2,041,577 | ||||||||
6,239,000 | Morgan Stanley Home Equity Loan Trust (05-1-M3), | 6,104,830 | ||||||||
441,087 | Morgan Stanley Mortgage Loan Trust (04-3-4A), 5.67%, due 04/25/34 (1) | 448,955 | ||||||||
2,248,995 | New Century Home Equity Loan Trust (05-1-A2C), 0.881%, due 03/25/35 (1) | 2,231,943 | ||||||||
3,671,092 | New Century Home Equity Loan Trust (05-2-M1), 0.611%, due 06/25/35 (1) | 3,657,066 | ||||||||
3,070,338 | New Century Home Equity Loan Trust (05-3-M1), 0.661%, due 07/25/35 (1) | 3,062,686 | ||||||||
7,107,984 | New Century Home Equity Loan Trust (05-3-M2), 0.671%, due 07/25/35 (1) | 6,837,682 | ||||||||
2,119,148 | New Century Home Equity Loan Trust (05-4-A2C), 0.551%, due 09/25/35 (1) | 2,120,543 | ||||||||
4,397,969 | Nomura Resecuritization Trust (14-5R-3A1), (144A), | 4,280,751 | ||||||||
6,634,343 | Nomura Resecuritization Trust (15-1R-6A1), (144A), 1%, due 05/26/47 (1)(2) | 6,432,646 | ||||||||
7,832,142 | Nomura Resecuritization Trust (15-4R-3A1), (144A), | 8,121,872 | ||||||||
7,500,000 | Nomura Resecuritization Trust (15-5R-2A1), (144A), 1%, due 04/26/35 (2) | 7,622,250 | ||||||||
1,100,257 | Park Place Securities, Inc. (04-WWF1-M2), 1.201%, due 12/25/34 (1) | 1,096,810 | ||||||||
2,426,118 | Park Place Securities, Inc. (05-WCH1-M2), 0.961%, due 01/25/36 (1) | 2,419,201 | ||||||||
4,634,595 | Park Place Securities, Inc. (05-WCW2-A2D), 0.551%, due 07/25/35 (1) | 4,640,620 | ||||||||
3,347,774 | Park Place Securities, Inc. (05-WHQ2-A1B), 0.451%, due 05/25/35 (1) | 3,346,155 | ||||||||
5,070,106 | Park Place Securities, Inc. (05-WHQ4-A2D), 0.551%, due 09/25/35 (1) | 5,043,504 | ||||||||
7,248,320 | RAMP Trust (06-RZ3-A2), 0.341%, due 08/25/36 (1) | 7,180,681 | ||||||||
1,404,396 | RASC Trust (06-KS4-A3), 0.331%, due 06/25/36 (1) | 1,406,935 | ||||||||
987,306 | Structured Asset Securities Corp. (03-34A-5A4), 2.617%, due 11/25/33 (1) | 992,763 | ||||||||
1,314,800 | Structured Asset Securities Corp. (05-GEL4-M1), 0.694%, due 08/25/35 (1) | 1,299,596 | ||||||||
221,587 | Structured Asset Securities Corp. (05-WF4-A4), 0.541%, due 11/25/35 (1) | 221,966 | ||||||||
3,819,429 | WaMu Mortgage Pass-Through Certificates (05-AR3-A2), | 3,829,692 | ||||||||
335,363 | Wells Fargo Alternative Loan Trust (07-PA3-2A1), 6%, due 07/25/37 (6) | 326,924 | ||||||||
8,215,342 | Wells Fargo Home Equity Trust (04-2-A33), 0.681%, due 10/25/34 (1) | 8,002,840 | ||||||||
325,397 | Wells Fargo Home Equity Trust (05-2-M1), 0.581%, due 05/25/35 (1) | 326,067 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Non-Agency | 163,811,170 | |||||||||
|
| |||||||||
U.S. Government Agency Obligations (1.1%) | ||||||||||
5,860,000 | Federal Farm Credit Bank Funding Corp., 0.199%, due 09/14/16 (1) | 5,860,996 | ||||||||
6,065,000 | Federal Farm Credit Bank Funding Corp., 0.211%, due 04/26/17 (1) | 6,067,905 |
See accompanying notes to financial statements.
17
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
U.S. Government Agency Obligations (Continued) | ||||||||||
$ | 6,050,000 | Federal Home Loan Bank, 0.75%, due 05/26/28 | $ | 6,053,385 | ||||||
|
| |||||||||
Total U.S. Government Agency Obligations | 17,982,286 | |||||||||
|
| |||||||||
U.S. Treasury Securities (31.0%) | ||||||||||
42,200,000 | U.S. Treasury Bond, 2.5%, due 02/15/45 (4) | 40,057,034 | ||||||||
3,655,000 | U.S. Treasury Bond, 2.875%, due 05/15/43 (4) | 3,745,520 | ||||||||
15,858,714 | U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (4)(7) | 16,086,683 | ||||||||
4,501,640 | U.S. Treasury Inflation Indexed Bond, 0.625%, due 02/15/43 (7) | 4,364,460 | ||||||||
6,712,303 | U.S. Treasury Inflation Indexed Bond, 0.75%, due 02/15/45 (7) | 6,752,311 | ||||||||
12,599,394 | U.S. Treasury Inflation Indexed Note, 0.125%, due 04/15/16 (4)(7) | 12,757,869 | ||||||||
5,388,503 | U.S. Treasury Inflation Indexed Note, 0.125%, due 04/15/17 (7) | 5,505,116 | ||||||||
13,392,685 | U.S. Treasury Inflation Indexed Note, 0.125%, due 07/15/24 (4)(7) | 13,485,753 | ||||||||
22,400,493 | U.S. Treasury Inflation Indexed Note, 1.375%, due 02/15/44 (4)(7) | 26,131,355 | ||||||||
3,174,851 | U.S. Treasury Inflation Indexed Note, 2%, due 01/15/16 (7) | 3,255,464 | ||||||||
8,000,000 | U.S. Treasury Note, 0.375%, due 01/15/16 (4) | 8,011,248 | ||||||||
43,930,000 | U.S. Treasury Note, 0.5%, due 03/31/17 | 43,880,234 | ||||||||
134,465,000 | U.S. Treasury Note, 0.5%, due 04/30/17 | 134,260,149 | ||||||||
16,905,000 | U.S. Treasury Note, 0.875%, due 05/15/17 (4) | 16,994,799 | ||||||||
6,925,000 | U.S. Treasury Note, 0.875%, due 07/15/17 (4) | 6,954,784 | ||||||||
108,200,000 | U.S. Treasury Note, 1.375%, due 04/30/20 | 107,866,100 | ||||||||
70,710,000 | U.S. Treasury Note, 2%, due 02/15/25 | 70,449,377 | ||||||||
|
| |||||||||
Total U.S. Treasury Securities (Cost: $520,031,465) | 520,558,256 | |||||||||
|
| |||||||||
Total Fixed Income Securities (Cost: $1,675,145,433) (101.2%) | 1,701,842,325 | |||||||||
|
| |||||||||
Number of Shares | Money Market Investments | |||||||||
16,645,000 | Dreyfus Institutional Cash Advantage Fund, 0.07% (8) | 16,645,000 | ||||||||
16,645,000 | Morgan Stanley Liquidity Fund — Government Portfolio, 0.04% (8) | 16,645,000 | ||||||||
|
| |||||||||
Total Money Market Investments (Cost: $33,290,000) (2.0%) | 33,290,000 | |||||||||
|
| |||||||||
Principal Amount | Short-Term Investments | |||||||||
Certificate of Deposit (0.4%) | ||||||||||
Banks (Cost: $6,000,000) (0.4%) | ||||||||||
$ | 6,000,000 | Credit Suisse/New York (Switzerland), 0.583%, due 08/24/15 (1) | 6,000,846 | |||||||
|
| |||||||||
Discount Notes (5.3%) | ||||||||||
50,000,000 | Federal Home Loan Bank Discount Note, 0.061%, due 05/01/15 (9) | 50,000,000 | ||||||||
40,000,000 | Federal National Mortgage Association Discount Note, | 39,993,400 | ||||||||
|
| |||||||||
Total Discount Notes (Cost: $89,988,000) | 89,993,400 | |||||||||
|
|
See accompanying notes to financial statements.
18
Table of Contents
TCW Core Fixed Income Fund
April 30, 2015
Principal Amount | Short-Term Investments | Value | ||||||||
Repurchase Agreement (Cost: $48,251,386) (2.9%) | ||||||||||
$ | 48,251,386 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by | $ | 48,251,386 | ||||||
|
| |||||||||
Total Short-Term Investments (Cost: $144,239,386) (8.6%) | 144,245,632 | |||||||||
|
| |||||||||
Total Investments (Cost: $1,852,674,819) (111.8%) | 1,879,377,957 | |||||||||
Liabilities in Excess of Other Assets (-11.8%) | (198,740,005 | ) | ||||||||
|
| |||||||||
Net Assets (100.0%) | $ | 1,680,637,952 | ||||||||
|
|
Notes to the Schedule of Investments:
ABS - Asset-Backed | Securities. |
ACES - Alternative | Credit Enhancement Securities. |
CDO - Collateralized | Debt Obligation. |
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) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2015. |
(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, 2015, the value of these securities amounted to $183,680,150 or 10.9% 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) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(4) | All or a portion of this security is segregated to cover 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) | Interest rate for this security is a stated rate. Interest payments are determined based on the inflation-adjusted principal. |
(8) | Rate disclosed is the 7-day net yield as of April 30, 2015. |
(9) | Rate shown represents yield-to-maturity. |
See accompanying notes to financial statements.
19
Table of Contents
TCW Core Fixed Income Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Airlines | 0.7 | % | ||
Asset-Backed Securities | 9.3 | |||
Auto Manufacturers | 0.5 | |||
Banks | 4.6 | |||
Chemicals | 0.0 | * | ||
Commercial Mortgage-Backed Securities — Agency | 6.3 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 3.5 | |||
Commercial Services | 0.3 | |||
Diversified Financial Services | 0.5 | |||
Electric | 1.0 | |||
Energy-Alternate Sources | 0.1 | |||
Engineering & Construction | 0.1 | |||
Food | 0.0 | * | ||
Foreign Government Bonds | 0.0 | * | ||
Gas | 0.4 | |||
Healthcare-Products | 0.0 | * | ||
Healthcare-Services | 1.2 | |||
Insurance | 1.3 | |||
Iron & Steel | 0.0 | * | ||
Media | 0.0 | * | ||
Mining | 0.2 | |||
Miscellaneous Manufacturers | 0.1 | |||
Municipal Bonds | 1.3 | |||
Oil & Gas | 0.1 | |||
Pharmaceuticals | 0.2 | |||
Pipelines | 1.7 | |||
REIT | 2.2 | |||
Real Estate | 0.1 | |||
Residential Mortgage-Backed Securities — Agency | 22.6 | |||
Residential Mortgage-Backed Securities — Non-Agency | 9.7 | |||
Retail | 0.3 | |||
Software | 0.1 | |||
Telecommunications | 0.6 | |||
Transportation | 0.1 | |||
U.S. Government Agency Obligations | 1.1 | |||
U.S. Treasury Securities | 31.0 | |||
Money Market Investments | 2.0 | |||
Short-Term Investments | 8.6 | |||
|
| |||
Total | 111.8 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
20
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited) | April 30, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Asset-Backed Securities (1.2% of Net Assets) | ||||||||||||
$ | 15,281 | Educational Services of America, Inc. (12-2-A), (144A), 0.911%, due 04/25/39 (1)(2) | $ | 15,377 | ||||||||
7,277 | Goal Capital Funding Trust (06-1-A3), 0.382%, due 11/25/26 (2) | 7,249 | ||||||||||
7,293 | Nelnet Student Loan Trust (12-5A-A), (144A), 0.781%, due 10/27/36 (1)(2) | 7,357 | ||||||||||
6,341 | Scholar Funding Trust (11-A-A), (144A), 1.179%, due 10/28/43 (1)(2) | 6,393 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities (Cost: $36,265) | 36,376 | |||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — Agency (0.8%) | ||||||||||||
19,814 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass- Through Certificates (KF05-A), 0.523%, due 09/25/21 (2) | 19,864 | ||||||||||
3,213 | Government National Mortgage Association (10-96-A), 2.207%, due 09/16/39 | 3,233 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $23,035) | 23,097 | |||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — Non-Agency (1.4%) | ||||||||||||
1,746 | Banc of America Commercial Mortgage Trust (06-5-A2), 5.317%, due 09/10/47 | 1,746 | ||||||||||
20 | Bear Stearns Commercial Mortgage Securities Trust (04-PWR4-A3), | 20 | ||||||||||
12,873 | Bear Stearns Commercial Mortgage Securities Trust (07-PW16-AAB), 5.897%, due 06/11/40 (2) | 12,933 | ||||||||||
3,904 | JPMorgan Chase Commercial Mortgage Securities Trust (06-LDP7-ASB), 6.057%, due 04/15/45 (2) | 3,943 | ||||||||||
6,955 | JPMorgan Chase Commercial Mortgage Securities Trust (07-LD12-ASB), 5.833%, due 02/15/51 (2) | 7,222 | ||||||||||
9,968 | Morgan Stanley Capital I Trust (07-IQ14-A2), 5.61%, due 04/15/49 | 10,089 | ||||||||||
8,306 | Wachovia Bank Commercial Mortgage Trust (06-C26-APB), 5.997%, due 06/15/45 | 8,434 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $45,639) | 44,387 | |||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — Agency (2.7%) | ||||||||||||
11,317 | Federal Home Loan Mortgage Corp. (3346-FA), 0.412%, due 02/15/19 (2) | 11,330 | ||||||||||
10,853 | Federal Home Loan Mortgage Corp. (242-F29), 0.432%, due 11/15/36 (2) | 10,888 | ||||||||||
15,196 | Federal National Mortgage Association (01-70-OF), 1.131%, due 10/25/31 (2) | 15,496 | ||||||||||
26,896 | Federal National Mortgage Association (05-W3-2AF), 0.401%, due 03/25/45 (2) | 26,985 | ||||||||||
4,874 | Federal National Mortgage Association (10-87-GA), 4%, due 02/25/24 | 4,927 | ||||||||||
7,698 | Federal National Mortgage Association (93-247-FM), 1.9%, due 12/25/23 (2) | 7,936 | ||||||||||
4,544 | NCUA Guaranteed Notes (11-R6-1A), 0.555%, due 05/07/20 (2)(3) | 4,546 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $80,385) | 82,108 | |||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — Non-Agency (16.0%) | ||||||||||||
19,231 | Banc of America Alternative Loan Trust (03-4-1A5), 5.5%, due 06/25/33 | 19,872 | ||||||||||
18,796 | Banc of America Alternative Loan Trust (03-9-1CB5), 5.5%, due 11/25/33 | 19,247 | ||||||||||
9,821 | Bear Stearns Alt-A Trust (04-13-A1), 0.921%, due 11/25/34 (2) | 9,772 | ||||||||||
6,597 | Bear Stearns Asset-Backed Securities Trust (05-SD1-1A3), 0.581%, due 08/25/43 (2) | 6,528 | ||||||||||
19,307 | Bombardier Capital Mortgage Securitization Corp. (01-A-A), 6.805%, due 12/15/30 (2) | 20,020 | ||||||||||
56,358 | Centex Home Equity Loan Trust (05-A-AF5), 5.28%, due 01/25/35 | 58,566 | ||||||||||
19,551 | Conseco Financial Corp. (97-7-A9), 7.37%, due 07/15/28 (2) | 20,535 | ||||||||||
15,041 | Credit-Based Asset Servicing and Securitization LLC (03-CB5-M1), 1.194%, due 11/25/33 (2) | 14,390 | ||||||||||
23,089 | Credit-Based Asset Servicing and Securitization LLC (05-CB4-AF3), 5.334%, due 07/25/35 | 23,411 |
See accompanying notes to financial statements.
21
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) | ||||||||||||
$ | 19,329 | First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C), | $ | 18,797 | ||||||||
12,193 | Homestar Mortgage Acceptance Corp. (04-5-A1), 0.631%, due 10/25/34 (2) | 12,242 | ||||||||||
58,110 | JPMorgan Mortgage Trust (05-A6-7A1), 2.529%, due 08/25/35 (2)(4) | 55,247 | ||||||||||
41,990 | MASTR Seasoned Securitization Trust (04-1-4A1), 2.485%, due 10/25/32 (2) | 42,146 | ||||||||||
35,576 | MASTR Seasoned Securitization Trust (05-1-4A1), 2.436%, due 10/25/32 (2) | 35,844 | ||||||||||
35,394 | Mid-State Trust (04-1-M1), 6.497%, due 08/15/37 | 38,571 | ||||||||||
14,401 | Morgan Stanley Mortgage Loan Trust (04-6AR-1A), 0.624%, due 07/25/34 (2) | 13,957 | ||||||||||
27,149 | Origen Manufactured Housing (05-A-M1), 5.46%, due 06/15/36 (2) | 28,428 | ||||||||||
8,061 | Residential Asset Mortgage Products, Inc. (03-RZ3-A6), 3.9%, due 03/25/33 | 8,115 | ||||||||||
27,200 | Residential Asset Mortgage Products, Inc. (04-SL3-A2), 6.5%, due 12/25/31 | 28,660 | ||||||||||
19,449 | Wells Fargo Mortgage-Backed Securities Trust (03-17-2A10), 5.5%, due 01/25/34 | 19,899 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $451,644) | 494,247 | |||||||||||
|
| |||||||||||
Corporate Bonds (20.5%) | ||||||||||||
Airlines (4.2%) | ||||||||||||
84,696 | Continental Airlines, Inc. Pass-Through Certificates (00-1-A1), | 96,024 | ||||||||||
33,199 | JetBlue Airways Corp. Pass-Through Certificates (04-2-G1), | 32,929 | ||||||||||
|
| |||||||||||
Total Airlines (Cost: $120,918) | 128,953 | |||||||||||
|
| |||||||||||
Banks (8.0%) | ||||||||||||
10,000 | Bank of America Corp., 5.625%, due 10/14/16 | 10,625 | ||||||||||
80,000 | Bank of America N.A., 0.551%, due 06/15/16 (2) | 79,661 | ||||||||||
7,000 | Citigroup, Inc., 0.812%, due 08/25/36 (2) | 5,536 | ||||||||||
75,000 | Citigroup, Inc., 1.957%, due 05/15/18 (2) | 77,404 | ||||||||||
75,000 | JPMorgan Chase Bank N.A., 0.6%, due 06/13/16 (2) | 74,909 | ||||||||||
|
| |||||||||||
Total Banks (Cost: $243,707) | 248,135 | |||||||||||
|
| |||||||||||
Diversified Financial Services (Cost: $46,512) (1.8%) | ||||||||||||
60,000 | General Electric Capital Corp., 0.635%, due 05/05/26 (2) | 57,460 | ||||||||||
|
| |||||||||||
Electric (Cost: $25,015) (0.8%) | ||||||||||||
25,000 | NextEra Energy Capital Holdings, Inc., 1.339%, due 09/01/15 | 25,067 | ||||||||||
|
| |||||||||||
Insurance (Cost: $67,661) (2.3%) | ||||||||||||
70,000 | Nationwide Mutual Insurance Co., (144A), 2.561%, due 12/15/24 (1)(2) | 69,956 | ||||||||||
|
| |||||||||||
REIT (2.9%) | ||||||||||||
15,000 | HCP, Inc., 3.15%, due 08/01/22 | 14,771 | ||||||||||
70,000 | Health Care REIT, Inc., 6.2%, due 06/01/16 | 73,836 | ||||||||||
|
| |||||||||||
Total REIT (Cost: $86,358) | 88,607 | |||||||||||
|
| |||||||||||
Retail (Cost: $15,000) (0.5%) | ||||||||||||
15,000 | Walgreens Boots Alliance, Inc., 0.706%, due 05/18/16 (2) | 15,028 | ||||||||||
|
| |||||||||||
Total Corporate Bonds (Cost: $605,171) | 633,206 | |||||||||||
|
|
See accompanying notes to financial statements.
22
Table of Contents
TCW Enhanced Commodity Strategy Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||||
U.S. Government Agency Obligation (Cost: $20,000) (0.7%) | ||||||||||||
$ | 20,000 | Federal Farm Credit Bank, 0.236%, due 02/27/17 (2) | $ | 20,026 | ||||||||
|
| |||||||||||
Total Fixed Income Securities (Cost: $1,262,139) (43.3%) | 1,333,447 | |||||||||||
|
| |||||||||||
Number of Shares | Money Market Investments | |||||||||||
30,000 | Dreyfus Institutional Cash Advantage Fund, 0.07% (5) | 30,000 | ||||||||||
30,000 | Morgan Stanley Institutional Liquidity Fund — Government Portfolio, 0.04% (5) | 30,000 | ||||||||||
|
| |||||||||||
Total Money Market Investments (Cost: $60,000) (2.0%) | 60,000 | |||||||||||
|
| |||||||||||
Principal Amount | Short-Term Investments | |||||||||||
Discount Notes (34.2%) | ||||||||||||
$ | 130,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.055%, due 05/06/15 (6) | 130,000 | |||||||||
130,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.07%, due 07/07/15 (6) | 129,988 | ||||||||||
17,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.07%, due 06/26/15 (3)(6) | 16,999 | ||||||||||
76,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.075%, due 06/17/15 (6) | 75,996 | ||||||||||
100,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.08%, due 06/11/15 (6) | 99,996 | ||||||||||
105,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.08%, due 06/09/15 (6) | 104,996 | ||||||||||
50,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.15%, due 06/16/15 (6) | 49,998 | ||||||||||
85,000 | Federal National Mortgage Association Discount Note, 0.01%, due 05/18/15 (6) | 84,999 | ||||||||||
95,000 | Federal National Mortgage Association Discount Note, 0.06%, due 06/16/15 (6) | 94,996 | ||||||||||
100,000 | Federal National Mortgage Association Discount Note, 0.06%, due 05/21/15 (6) | 99,999 | ||||||||||
18,000 | Federal National Mortgage Association Discount Note, 0.06%, due 05/18/15 (3)(6) | 18,000 | ||||||||||
15,000 | Federal National Mortgage Association Discount Note, 0.07%, due 06/03/15 (3)(6) | 14,999 | ||||||||||
135,000 | Federal National Mortgage Association Discount Note, 0.08%, due 06/03/15 (6) | 134,995 | ||||||||||
|
| |||||||||||
Total Discount Notes (Cost: $1,055,922) | 1,055,961 | |||||||||||
|
| |||||||||||
Repurchase Agreement (Cost: $176,925) (5.7%) | ||||||||||||
176,925 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $185,000 Federal Home Loan Mortgage Corp., 2%, due 11/02/22 valued at $182,780) (Total Amount to be Received Upon Repurchase $176,925) | 176,925 | ||||||||||
|
| |||||||||||
Time Deposit (Cost: $19,240) (0.6%) | ||||||||||||
19,240 | State Street Euro Dollar Time Deposit, Inc., 0.01%, due 05/01/15 (3) | 19,240 | ||||||||||
|
| |||||||||||
Total Short-Term Investments (Cost: $1,252,087) (40.5%) | 1,252,126 | |||||||||||
|
| |||||||||||
Total Investments (Cost: $2,574,226) (85.8%) | 2,645,573 | |||||||||||
Excess of Other Assets over Liabilities (14.2%) | 437,899 | |||||||||||
|
| |||||||||||
Net Assets (100.0%) | $ | 3,083,472 | ||||||||||
|
|
See accompanying notes to financial statements.
23
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited)
Total Return Swaps (3) | ||||||||||||||||||||||
Notional | Expiration Date | Counterparty | Payment Made | Payment Received | Unrealized Appreciation | Premium Paid | Value | |||||||||||||||
OTC Swaps | ||||||||||||||||||||||
$1,818,742 | 5/19/15 | Credit Suisse First Boston Corp. | 3-Month U.S. Treasury Bills plus 0.2% | Credit Suisse Custom 24 Total Return Index (7) | $ 33,663 | $ | — | $ 33,663 | ||||||||||||||
1,208,370 | 5/19/15 | Citigroup Global Markets, Inc. | 3-Month U.S. Treasury Bills plus 0.2% | Citi Custom CIVICS H Index (8) | 22,552 | — | 22,552 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ 56,215 | $ | — | $ 56,215 | |||||||||||||||||||
|
|
|
|
|
|
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, 2015, the value of these securities amounted to $99,083 or 3.2% 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. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2015. |
(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 is the 7-day net yield as of April 30, 2015. |
(6) | Rate shown represents yield-to-maturity. |
(7) | Custom Index has exposure to the following commodities: HRW Wheat, Cotton, Lean Hogs, Soybean Meal, Nickel Primary, Soybean Oil, Zinc High Grade, RBOB Gasoline, SRW Wheat, Heating Oil, Silver, Coffee ‘C’ Arabica, Sugar #11, Live Cattle, Soybeans, Brent Crude Oil, Aluminum Primary, Corn, Copper High Grade, WTI Crude Oil, Natural Gas, and Gold. |
(8) | Custom Index has exposure to the following commodities: Natural Gas, Crude Oil, Coffee, Brent Crude, Soybean Oil, Heating Oil, RBOB Gasoline, Gold, Kansas Wheat, Lean Hogs, Live Cattle, Wheat, Cotton, Soybean Meal, Zinc, Sugar, COMEX Silver, Soybeans, Aluminum, Nickel, Copper, and Corn. |
See accompanying notes to financial statements.
24
Table of Contents
TCW Enhanced Commodity Strategy Fund
April 30, 2015
Industry | Percentage of Net Assets | |||
Airlines | 4.2 | % | ||
Asset-Backed Securities | 1.2 | |||
Banks | 8.0 | |||
Commercial Mortgage-Backed Securities — Agency | 0.8 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 1.4 | |||
Diversified Financial Services | 1.8 | |||
Electric | 0.8 | |||
Insurance | 2.3 | |||
REIT | 2.9 | |||
Residential Mortgage-Backed Securities — Agency | 2.7 | |||
Residential Mortgage-Backed Securities — Non-Agency | 16.0 | |||
Retail | 0.5 | |||
U.S. Government Agency Obligations | 0.7 | |||
Money Market Investments | 2.0 | |||
Short-Term Investments | 40.5 | |||
|
| |||
Total | 85.8 | % | ||
|
|
See accompanying notes to financial statements.
25
Table of Contents
Schedule of Investments (Unaudited)
Principal Amount | Fixed Income Securities | Value | ||||||||
Corporate Bonds (17.7% of Net Assets) | ||||||||||
Airlines (2.8%) | ||||||||||
$ | 183,168 | American Airlines, Inc. Pass-Through Trust (13-2A), 4.95%, due 07/15/24 (EETC) | $ | 200,341 | ||||||
105,598 | Continental Airlines, Inc. Pass-Through Trust (01-1A-1), 6.703%, due 12/15/22 | 112,990 | ||||||||
81,485 | Delta Air Lines, Inc. Pass-Through Certificates (02-1G1), 6.718%, due 07/02/24 | 95,542 | ||||||||
18,544 | US Airways Group, Inc. Pass-Through Certificates (10-1A), 6.25%, due 10/22/24 | 21,279 | ||||||||
|
| |||||||||
Total Airlines | 430,152 | |||||||||
|
| |||||||||
Auto Manufacturers (0.7%) | ||||||||||
100,000 | Ford Motor Credit Co. LLC, 8%, due 12/15/16 | 110,312 | ||||||||
|
| |||||||||
Banks (7.7%) | ||||||||||
45,000 | Abbey National Treasury Services PLC (United Kingdom), (Reg. S), | 52,182 | ||||||||
250,000 | Bank of America N.A., 6.1%, due 06/15/17 (2) | 272,252 | ||||||||
200,000 | BBVA Bancomer S.A. (Mexico), (144A), 6.75%, due 09/30/22 (3) | 228,619 | ||||||||
300,000 | Chase Capital VI, 0.879%, due 08/01/28 (4) | 258,000 | ||||||||
110,000 | Goldman Sachs Group, Inc. (The), 5.95%, due 01/18/18 | 122,052 | ||||||||
40,000 | HBOS PLC (United Kingdom), (144A), 6.75%, due 05/21/18 (3) | 44,776 | ||||||||
50,000 | Macquarie Bank, Ltd. (Australia), (144A), 0.907%, due 10/27/17 (3)(4) | 50,025 | ||||||||
100,000 | Rabobank Nederland Utrecht (Netherlands), 3.375%, due 01/19/17 | 103,930 | ||||||||
50,000 | Royal Bank of Scotland PLC (The) (United Kingdom), 5.625%, due 08/24/20 | 57,800 | ||||||||
|
| |||||||||
Total Banks | 1,189,636 | |||||||||
|
| |||||||||
Diversified Financial Services (1.2%) | ||||||||||
200,000 | General Electric Capital Corp., 0.737%, due 08/15/36 (4) | 181,066 | ||||||||
|
| |||||||||
Electric (0.5%) | ||||||||||
75,000 | IPALCO Enterprises, Inc., 5%, due 05/01/18 | 80,110 | ||||||||
|
| |||||||||
Insurance (1.2%) | ||||||||||
100,000 | Farmers Exchange Capital II, (144A), 6.151%, due 11/01/53 (3)(4) | 114,000 | ||||||||
65,000 | ZFS Finance USA Trust II, (144A), 6.45%, due 12/15/65 (3)(4) | 68,331 | ||||||||
|
| |||||||||
Total Insurance | 182,331 | |||||||||
|
| |||||||||
Pipelines (0.3%) | ||||||||||
50,000 | Energy Transfer Partners LP, 5.15%, due 03/15/45 | 48,717 | ||||||||
|
| |||||||||
Real Estate (1.3%) | ||||||||||
200,000 | WEA Finance LLC / Westfield UK & Europe Finance PLC (Australia), (144A), | 201,313 | ||||||||
|
| |||||||||
REIT (1.3%) | ||||||||||
50,000 | ARC Properties Operating Partnership LP / Clark Acquisition LLC, | 48,875 | ||||||||
50,000 | HCP, Inc., 3.15%, due 08/01/22 | 49,237 |
See accompanying notes to financial statements.
26
Table of Contents
TCW Global Bond Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
REIT (Continued) | ||||||||||
$ | 100,000 | SL Green Realty Corp., 5%, due 08/15/18 | $ | 107,649 | ||||||
|
| |||||||||
Total REIT | 205,761 | |||||||||
|
| |||||||||
Retail (0.4%) | ||||||||||
65,000 | Walgreens Boots Alliance, Inc., 0.706%, due 05/18/16 (4) | 65,123 | ||||||||
|
| |||||||||
Telecommunications (0.3%) | ||||||||||
45,000 | AT&T, Inc., 1.155%, due 06/30/20 (4)(5) | 45,417 | ||||||||
|
| |||||||||
Total Corporate Bonds (Cost: $2,569,752) (17.7%) | 2,739,938 | |||||||||
|
| |||||||||
Foreign Government Bonds (37.1%) | ||||||||||
AUD | 382,000 | Australia Government Bond, 2.75%, due 04/21/24 | 305,259 | |||||||
EUR | 240,000 | Bundesrepublik Deutschland (Germany), 2.25%, due 09/04/21 (2) | 305,762 | |||||||
CAD | 430,000 | Canada Housing Trust No. 1, (144A), 3.35%, due 12/15/20 (3) | 390,550 | |||||||
DKK | 900,000 | Denmark Government Bond, 1.75%, due 11/15/25 | 153,298 | |||||||
EUR | 65,000 | France Government Bond OAT, 3.25%, due 10/25/21 (2) | 86,904 | |||||||
EUR | 200,000 | France Government Bond OAT, 2.5%, due 05/25/30 | 273,181 | |||||||
EUR | 55,000 | Ireland Government Bond, (Reg. S), 3.4%, due 03/18/24 (1) | 75,406 | |||||||
ILS | 880,000 | Israel Government Bond, 5.5%, due 01/31/22 | 292,970 | |||||||
EUR | 627,000 | Italy Buoni Poliennali Del Tesoro, 4.5%, due 03/01/24 | 882,791 | |||||||
JPY | 95,800,000 | Japan Government Ten-Year Bond, 1%, due 09/20/21 (2) | 845,690 | |||||||
JPY | 27,000,000 | Japan Government Thirty-Year Bond, 2%, due 03/20/42 | 261,199 | |||||||
NOK | 1,350,000 | Norway Government Bond, 3.75%, due 05/25/21 | 205,031 | |||||||
EUR | 110,000 | Portugal Obrigacoes do Tesouro OT, (Reg. S), 5.65%, due 02/15/24 (1) | 160,945 | |||||||
$ | 250,000 | Romanian Government International Bond, (Reg. S), | 275,937 | |||||||
SGD | 350,000 | Singapore Government Bond, 2.5%, due 06/01/19 (2) | 274,897 | |||||||
EUR | 118,000 | Spain Government Bond, (Reg. S), 2.75%, due 10/31/24 (1) | 147,589 | |||||||
SEK | 1,500,000 | Sweden Government Bond, 3.5%, due 06/01/22 | 220,864 | |||||||
GBP | 352,000 | United Kingdom Gilt, (Reg. S), 2.75%, due 09/07/24 (1) | 581,901 | |||||||
|
| |||||||||
Total Foreign Government Bonds (Cost: $6,202,791) | 5,740,174 | |||||||||
|
| |||||||||
Asset-Backed Securities (5.7%) | ||||||||||
$ | 40,000 | Dryden Senior Loan Fund, (144A), 1.816%, due 04/15/27 (3)(4) | 40,042 | |||||||
49,980 | Educational Funding of the South, Inc. (11-1-A2), 0.927%, due 04/25/35 (4) | 49,933 | ||||||||
28,596 | GE Business Loan Trust (04-2A-A), (144A), 0.402%, due 12/15/32 (3)(4) | 27,896 | ||||||||
44,653 | Iowa Student Loan Liquidity Corp. (11-1-A), 1.517%, due 06/25/42 (4) | 45,204 | ||||||||
40,000 | Limerock CLO II, Ltd. (14-2A-A), (144A), 1.775%, due 04/18/26 (3)(4) | 40,018 | ||||||||
20,000 | Magnetite XI, Ltd. (14-11A-A1), (144A), 1.725%, due 01/18/27 (3)(4) | 20,035 | ||||||||
40,000 | Magnetite XII, Ltd. (15-12A-A), (144A), 1.817%, due 04/15/27 (3)(4) | 40,043 | ||||||||
80,000 | Navient Student Loan Trust (14-8-A3), 0.774%, due 05/27/31 (4) | 80,129 | ||||||||
115,000 | Nelnet Education Loan Corp. (04-1A-B1), (144A), 1.5%, due 02/25/36 (3)(4) | 92,241 | ||||||||
80,000 | SLC Student Loan Trust (08-1-A4A), 1.871%, due 12/15/32 (4) | 83,391 | ||||||||
50,000 | SLM Student Loan Trust (07-3-A4), 0.337%, due 01/25/22 (4) | 48,712 | ||||||||
80,000 | SLM Student Loan Trust (07-6-A4), 0.657%, due 10/25/24 (4) | 79,666 | ||||||||
21,018 | SLM Student Loan Trust (08-9-A), 1.777%, due 04/25/23 (4) | 21,594 | ||||||||
50,000 | SLM Student Loan Trust (11-2-A2), 1.381%, due 10/25/34 (4) | 51,363 |
See accompanying notes to financial statements.
27
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Asset-Backed Securities (Continued) | ||||||||||||
$ | 76,248 | Spirit Master Funding LLC (14-1A-A1), (144A), 5.05%, due 07/20/40 (3) | $ | 80,466 | ||||||||
50,000 | Student Loan Consolidation Center (02-2-B2), (144A), | 38,119 | ||||||||||
40,000 | Voya CLO, Ltd. (14-4A-A1), (144A), 1.777%, due 10/14/26 (3)(4) | 40,021 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities (Cost: $851,228) | 878,873 | |||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — Agency (4.0%) | ||||||||||||
32,942 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through | 32,951 | ||||||||||
371,805 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through | 16,500 | ||||||||||
110,488 | Federal National Mortgage Association, Pool #AL3306, 2.46%, due 04/01/23 (2) | 111,895 | ||||||||||
73,240 | Federal National Mortgage Association, Pool #467731, 4.62%, due 04/01/21 | 81,815 | ||||||||||
72,367 | Federal National Mortgage Association, Pool #460605, 6.09%, due 01/01/17 | 77,708 | ||||||||||
125,697 | Federal National Mortgage Association (12-M10-AFL), 0.631%, due 09/25/22 (4) | 125,904 | ||||||||||
67,263 | Federal National Mortgage Association (14-M12-FA), 0.505%, due 10/25/21 (4) | 67,653 | ||||||||||
63,033 | Federal National Mortgage Association (14-M8-FA), 0.452%, due 05/25/18 (4) | 63,161 | ||||||||||
40,370 | NCUA Guaranteed Note Trust (10-C1-A1), 1.6%, due 10/29/20 | 40,416 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $619,423) | 618,003 | |||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — Non-Agency (2.1%) | ||||||||||||
4,229,568 | Bank of America-First Union NB Commercial Mortgage (01-3-XC), (144A), | 11,321 | ||||||||||
5,420,282 | COMM Mortgage Trust (04-LB3A-X), (144A), 1.072%, due 07/10/37 (I/O) (3)(4) | 24,243 | ||||||||||
41,137 | GE Capital Commercial Mortgage Corp. (05-C4-A3A), 5.493%, due 11/10/45 (4) | 41,093 | ||||||||||
69,170 | JP Morgan Chase Commercial Mortgage Securities Corp. (06-LDP7-A4), | 71,598 | ||||||||||
96,536 | Morgan Stanley Capital I Trust (06-IQ12-A4), 5.332%, due 12/15/43 | 101,223 | ||||||||||
2,152,507 | Morgan Stanley Capital I Trust (99-RM1-X), (144A), 0.892%, due 12/15/31 | 10,249 | ||||||||||
65,000 | WFRBS Commercial Mortgage Trust (11-C4-A3), (144A), | 70,409 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $337,257) | 330,136 | |||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — Agency (11.0%) | ||||||||||||
25,730 | Federal Home Loan Mortgage Corp. (2990-ND), 16.429%, due 12/15/34 (I/F) | 31,010 | ||||||||||
186,506 | Federal Home Loan Mortgage Corp. (3439-SC), 5.719%, due 04/15/38 (I/O) | 28,118 | ||||||||||
215,033 | Federal National Mortgage Association (07-52-LS), 5.869%, due 06/25/37 (I/O) | 35,296 | ||||||||||
182,817 | Federal National Mortgage Association (08-18-SM), 6.819%, due 03/25/38 | 30,089 | ||||||||||
131,929 | Federal National Mortgage Association (09-115-SB), 6.069%, due 01/25/40 | 20,740 |
See accompanying notes to financial statements.
28
Table of Contents
TCW Global Bond Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||||||
$ | 268,495 | Federal National Mortgage Association (10-116-SE), 6.419%, due 10/25/40 | $ | 46,083 | ||||||||
49,360 | Federal National Mortgage Association (10-35-IA), 5%, due 07/25/38 (I/O) | 947 | ||||||||||
206,753 | Federal National Mortgage Association, Pool #AB3679, 3.5%, due 10/01/41 (2) | 218,022 | ||||||||||
215,379 | Federal National Mortgage Association, Pool #AB4045, 3.5%, due 12/01/41 (2) | 228,497 | ||||||||||
86,609 | Federal National Mortgage Association, Pool #AT5914, 3.5%, due 06/01/43 (2) | 91,467 | ||||||||||
109,341 | Federal National Mortgage Association, Pool #MA1527, 3%, due 08/01/33 (2) | 113,531 | ||||||||||
92,928 | Federal National Mortgage Association, Pool #MA1652, 3.5%, due 11/01/33 | 98,192 | ||||||||||
80,000 | Federal National Mortgage Association TBA, 2.5% (6) | 82,025 | ||||||||||
20,000 | Federal National Mortgage Association TBA, 3% (6) | 20,930 | ||||||||||
80,000 | Federal National Mortgage Association TBA, 3% (6) | 81,231 | ||||||||||
160,000 | Federal National Mortgage Association TBA, 3.5% (6) | 167,637 | ||||||||||
130,000 | Federal National Mortgage Association TBA, 4% (6) | 138,958 | ||||||||||
50,000 | Federal National Mortgage Association TBA, 4.5% (6) | 54,426 | ||||||||||
148,033 | Government National Mortgage Association (11-146-EI), 5%, due 11/16/41 | 33,354 | ||||||||||
394,608 | Government National Mortgage Association (11-69-GI), 5%, due 05/16/40 | 51,246 | ||||||||||
437,001 | Government National Mortgage Association (12-7-PI), 3.5%, due 01/20/38 | 26,842 | ||||||||||
95,000 | Government National Mortgage Association II TBA, 3.5% (6) | 100,225 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $1,689,174) | 1,698,866 | |||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — Non-Agency (6.3%) | ||||||||||||
140,074 | American Home Mortgage Investment Trust (07-1-GA1C), | 100,489 | ||||||||||
142,333 | First Horizon Mortgage Pass-Through Trust (05-AR4-2A1), | 125,507 | ||||||||||
61,579 | Green Tree Financial Corp. (98-6-A8), 6.66%, due 06/01/30 | 65,781 | ||||||||||
199,483 | Lehman XS Trust (06-9-A1B), 0.341%, due 05/25/46 (4)(7) | 170,179 | ||||||||||
1,251,739 | Merrill Lynch Alternative Note Asset Trust (07-A3-A2D), | 206,132 | ||||||||||
134,378 | Structured Adjustable Rate Mortgage Loan Trust (04-18-4A1), | 133,226 | ||||||||||
260,409 | Structured Asset Mortgage Investments, Inc. (06-AR3-22A1), | 167,075 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $699,939) | 968,389 | |||||||||||
|
| |||||||||||
U.S. Government Agency Obligations (1.6%) | ||||||||||||
80,000 | Federal Farm Credit Bank, 0.199%, due 09/14/16 (4) | 80,014 | ||||||||||
80,000 | Federal Farm Credit Bank, 0.211%, due 04/26/17 (2)(4) | 80,038 | ||||||||||
80,000 | Federal Farm Credit Bank, 0.23%, due 04/17/17 (4) | 80,086 | ||||||||||
|
| |||||||||||
Total U.S. Government Agency Obligations (Cost: $239,975) | 240,138 | |||||||||||
|
| |||||||||||
U.S. Treasury Securities (9.7%) | ||||||||||||
455,000 | U.S. Treasury Bond, 2.5%, due 02/15/45 | 431,894 | ||||||||||
130,000 | U.S. Treasury Note, 1.375%, due 04/30/20 | 129,599 |
See accompanying notes to financial statements.
29
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
U.S. Treasury Securities (Continued) | ||||||||||
$ | 935,000 | U.S. Treasury Note, 2%, due 02/15/25 (2) | $ | 931,554 | ||||||
|
| |||||||||
Total U.S. Treasury Securities (Cost: $1,510,625) | 1,493,047 | |||||||||
|
| |||||||||
Total Fixed Income Securities (Cost: $14,720,164) (95.2%) | 14,707,564 | |||||||||
|
| |||||||||
Number of Shares | Money Market Investments | |||||||||
13,000 | Dreyfus Institutional Cash Advantage Fund, 0.07% (8) | 13,000 | ||||||||
161,000 | Morgan Stanley Liquidity Fund — Government Portfolio, 0.04% (8) | 161,000 | ||||||||
|
| |||||||||
Total Money Market Investments (Cost: $174,000) (1.1%) | 174,000 | |||||||||
|
| |||||||||
Principal Amount | Short-Term Investments | |||||||||
Certificate of Deposit (Cost: $70,000) (0.4%) | ||||||||||
Banks (0.4%) | ||||||||||
$ | 70,000 | Credit Suisse / New York (Switzerland), 0.583%, due 08/24/15 (4) | 70,009 | |||||||
|
| |||||||||
Discount Notes (Cost: $274,997) (1.8%) | ||||||||||
275,000 | Federal Home Loan Bank Discount Note, 0.01%, due 05/08/15 (9) | 274,999 | ||||||||
|
| |||||||||
Repurchase Agreement (Cost: $768,799) (5.0%) | ||||||||||
768,799 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by | 768,799 | ||||||||
|
| |||||||||
Total Short-Term Investments (Cost: $1,113,796) (7.2%) | 1,113,807 | |||||||||
|
| |||||||||
Total Investments (Cost: $16,007,960) (103.5%) | 15,995,371 | |||||||||
Liabilities in Excess of Other Assets (-3.5%) | (539,604 | ) | ||||||||
|
| |||||||||
Total Net Assets (100.0%) | $ | 15,455,767 | ||||||||
|
|
See accompanying notes to financial statements.
30
Table of Contents
TCW Global Bond Fund
April 30, 2015
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 (10) | ||||||||||||||||||||||||
Barclays Capital | EUR | 785,000 | 07/17/15 | $ | 837,715 | $ | 880,484 | $ | 42,769 | |||||||||||||||
Barclays Capital | JPY | 59,700,000 | 07/17/15 | 500,978 | 499,305 | (1,673 | ) | |||||||||||||||||
JP Morgan Chase Bank | KRW | 170,000,000 | 07/17/15 | 155,348 | 158,262 | 2,914 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 1,494,041 | $ | 1,538,051 | $ | 44,010 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (11) | ||||||||||||||||||||||||
Barclays Capital | ILS | 890,000 | 07/17/15 | $ | 222,405 | $ | 230,425 | $ | (8,020 | ) | ||||||||||||||
Barclays Capital | SGD | 300,000 | 07/16/15 | 220,313 | 226,209 | (5,896 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 442,718 | $ | 456,634 | $ | (13,916 | ) | ||||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
AUD - | Australian Dollar. |
CAD - | Canadian Dollar. |
DKK - | Danish Krone. |
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. |
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. |
TBA - | To be Announced. |
(1) | 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, 2015, the value of these securities amounted to $1,293,960 or 8.4% of net assets. |
(2) | All or a portion of this security is segregated to cover when-issued, delayed-delivery or forward commitments. (Note 2) |
(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, 2015, the value of these securities amounted to $1,632,717 or 10.6% 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. |
(4) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2015. |
(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) | Rate disclosed is the 7-day net yield as of April 30, 2015. |
(9) | Rate shown represents yield-to-maturity. |
(10) | Fund buys foreign currency, sells U.S. Dollar. |
(11) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
31
Table of Contents
TCW Global Bond Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Airlines | 2.8 | % | ||
Asset-Backed Securities | 5.7 | |||
Auto Manufacturers | 0.7 | |||
Banks | 7.7 | |||
Commercial Mortgage-Backed Securities — Agency | 4.0 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 2.1 | |||
Diversified Financial Services | 1.2 | |||
Electric | 0.5 | |||
Foreign Government Bonds | 37.1 | |||
Insurance | 1.2 | |||
Pipelines | 0.3 | |||
REIT | 1.3 | |||
Real Estate | 1.3 | |||
Residential Mortgage-Backed Securities — Agency | 11.0 | |||
Residential Mortgage-Backed Securities — Non-Agency | 6.3 | |||
Retail | 0.4 | |||
Telecommunications | 0.3 | |||
U.S. Government Agency Obligations | 1.6 | |||
U.S. Treasury Securities | 9.7 | |||
Money Market Investments | 1.1 | |||
Short-Term Investments | 7.2 | |||
|
| |||
Total | 103.5 | % | ||
|
|
See accompanying notes to financial statements.
32
Table of Contents
TCW Global Bond Fund
Investments by Country (Unaudited) | April 30, 2015 |
Country | Percentage of Net Assets | |||
Australia | 2.3 | % | ||
Canada | 2.5 | |||
Denmark | 1.0 | |||
France | 2.4 | |||
Germany | 2.0 | |||
Ireland | 0.5 | |||
Israel | 1.9 | |||
Italy | 5.7 | |||
Japan | 7.2 | |||
Mexico | 1.5 | |||
Netherlands | 0.7 | |||
Norway | 1.3 | |||
Portugal | 1.0 | |||
Romania | 1.8 | |||
Singapore | 1.8 | |||
Spain | 0.9 | |||
Sweden | 1.4 | |||
Switzerland | 0.4 | |||
United Kingdom | 4.8 | |||
United States | 62.4 | |||
|
| |||
Total | 103.5 | % | ||
|
|
See accompanying notes to financial statements.
33
Table of Contents
Schedule of Investments (Unaudited)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Bank Loans (3.0% of Net Assets) | ||||||||||||
Electric (1.7%) | ||||||||||||
$ | 457,490 | Lonestar Generation LLC, Term Loan B, 6.346%, due 02/22/21(1) | $ | 454,059 | ||||||||
173,085 | Utility Services Associates, Inc., Term Loan B, 7.3%, due 10/18/19 (1) | 174,384 | ||||||||||
|
| |||||||||||
Total Electric | 628,443 | |||||||||||
|
| |||||||||||
Healthcare-Services (0.6%) | ||||||||||||
248,125 | Regionalcare Hospitals Partners, Inc., First Lien Term Loan, | 249,134 | ||||||||||
|
| |||||||||||
Packaging & Containers (0.7%) | ||||||||||||
249,372 | BWAY Holding Company, Inc., New Term Loan B, 5.996%, due 08/14/20 (1) | 252,395 | ||||||||||
|
| |||||||||||
Total Bank Loans (Cost: $1,030,845) | 1,129,972 | |||||||||||
|
| |||||||||||
Corporate Bonds (88.0%) | ||||||||||||
Advertising (0.7%) | ||||||||||||
140,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., | 145,250 | ||||||||||
100,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., | 107,125 | ||||||||||
|
| |||||||||||
Total Advertising | 252,375 | |||||||||||
|
| |||||||||||
Aerospace/Defense (0.7%) | ||||||||||||
150,000 | KLX, Inc., (144A), 5.875%, due 12/01/22 (2) | 151,882 | ||||||||||
125,000 | TransDigm, Inc., 5.5%, due 10/15/20 | 123,438 | ||||||||||
|
| |||||||||||
Total Aerospace/Defense | 275,320 | |||||||||||
|
| |||||||||||
Airlines (2.3%) | ||||||||||||
456,823 | American Airlines, Inc. Pass-Through Trust (13-1-B), (144A), | 481,949 | ||||||||||
183,168 | American Airlines, Inc. Pass-Through Trust (13-2-A), | 200,340 | ||||||||||
183,249 | Continental Airlines, Inc. Pass-Through Certificates (99-1-A), | 204,437 | ||||||||||
|
| |||||||||||
Total Airlines | 886,726 | |||||||||||
|
| |||||||||||
Auto Manufacturers (1.7%) | ||||||||||||
475,000 | Fiat Chrysler Automobiles NV (Netherlands), (144A), 4.5%, due 04/15/20 (2) | 479,275 | ||||||||||
45,000 | General Motors Co., 5%, due 04/01/35 | 47,054 | ||||||||||
40,000 | General Motors Financial Co., Inc., 4%, due 01/15/25 | 40,180 | ||||||||||
70,000 | General Motors Financial Co., Inc., 4.375%, due 09/25/21 | 74,725 | ||||||||||
|
| |||||||||||
Total Auto Manufacturers | 641,234 | |||||||||||
|
| |||||||||||
Auto Parts & Equipment (0.7%) | ||||||||||||
65,000 | Lear Corp., 5.25%, due 01/15/25 | 66,706 | ||||||||||
35,000 | Tenneco, Inc., 5.375%, due 12/15/24 | 36,838 | ||||||||||
150,000 | ZF North America Capital, Inc., (144A), 4.5%, due 04/29/22 (2) | 150,570 | ||||||||||
|
| |||||||||||
Total Auto Parts & Equipment | 254,114 | |||||||||||
|
|
See accompanying notes to financial statements.
34
Table of Contents
TCW High Yield Bond Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||||
Banks (4.0%) | ||||||||||||
$ | 500,000 | CIT Group, Inc., 5%, due 08/15/22 | $ | 516,250 | ||||||||
500,000 | Citigroup, Inc., 0.812%, due 08/25/36 (3)(4) | 395,420 | ||||||||||
750,000 | JPMorgan Chase Capital XXIII, 1.257%, due 05/15/77 (3) | 608,438 | ||||||||||
|
| |||||||||||
Total Banks | 1,520,108 | |||||||||||
|
| |||||||||||
Beverages (1.8%) | ||||||||||||
110,000 | Cott Beverages, Inc., (144A), 6.75%, due 01/01/20 (2) | 115,225 | ||||||||||
470,000 | DS Services of America, Inc., (144A), 10%, due 09/01/21 (2) | 554,600 | ||||||||||
|
| |||||||||||
Total Beverages | 669,825 | |||||||||||
|
| |||||||||||
Chemicals (1.1%) | ||||||||||||
75,000 | Momentive Performance Materials, Inc., 3.88%, due 10/24/21 | 67,500 | ||||||||||
75,000 | MPM Escrow LLC, 8.875%, due 10/15/20(5) | — | ||||||||||
85,000 | Platform Specialty Products Corp., (144A), 6.5%, due 02/01/22 (2) | 89,250 | ||||||||||
245,000 | W.R. Grace & Co. — Conn, (144A), 5.125%, due 10/01/21 (2) | 256,025 | ||||||||||
|
| |||||||||||
Total Chemicals | 412,775 | |||||||||||
|
| |||||||||||
Coal (0.1%) | ||||||||||||
15,000 | Walter Energy, Inc., (144A), 9.5%, due 10/15/19 (2) | 9,638 | ||||||||||
66,950 | Walter Energy, Inc., (144A), 11%, due 04/01/20 (2) | 8,034 | ||||||||||
|
| |||||||||||
Total Coal | 17,672 | |||||||||||
|
| |||||||||||
Commercial Services (0.2%) | ||||||||||||
80,000 | United Rentals North America, Inc., 4.625%, due 07/15/23 | 81,800 | ||||||||||
|
| |||||||||||
Computers (0.7%) | ||||||||||||
250,000 | IHS, Inc., (144A), 5%, due 11/01/22 (2) | 251,250 | ||||||||||
|
| |||||||||||
Diversified Financial Services (2.4%) | ||||||||||||
50,000 | AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust (Netherlands), | 53,660 | ||||||||||
325,000 | Ally Financial, Inc., 4.125%, due 02/13/22 | 319,312 | ||||||||||
400,000 | International Lease Finance Corp., 6.25%, due 05/15/19 | 443,000 | ||||||||||
50,000 | Navient Corp., 5%, due 10/26/20 | 48,875 | ||||||||||
55,000 | Navient Corp., 5.5%, due 01/15/19 | 56,238 | ||||||||||
|
| |||||||||||
Total Diversified Financial Services | 921,085 | |||||||||||
|
| |||||||||||
Electric (7.9%) | ||||||||||||
550,000 | AES Corp, 7.375%, due 07/01/21 | 614,795 | ||||||||||
100,000 | AES Corp., 3.262%, due 06/01/19 (3) | 100,250 | ||||||||||
130,000 | Calpine Corp., 5.5%, due 02/01/24 | 130,650 | ||||||||||
250,000 | Calpine Corp., (144A), 5.875%, due 01/15/24 (2) | 268,750 | ||||||||||
40,000 | Calpine Corp., (144A), 6%, due 01/15/22 (2) | 42,800 | ||||||||||
85,000 | Dynegy, Inc., (144A), 6.75%, due 11/01/19 (2) | 89,250 | ||||||||||
125,000 | FirstEnergy Corp., 4.25%, due 03/15/23 | 130,089 | ||||||||||
75,000 | GenOn Americas Generation LLC, 8.5%, due 10/01/21 | 73,500 |
See accompanying notes to financial statements.
35
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Electric (Continued) | ||||||||||||
$ | 153,865 | Homer City Generation LP, 8.137%, due 10/01/19 | $ | 156,366 | ||||||||
672,140 | Homer City Generation LP, 8.734%, due 10/01/26 | 685,583 | ||||||||||
97,429 | Mirant Mid-Atlantic Pass-Through Certificates, Series C, | 108,086 | ||||||||||
365,629 | Red Oak Power LLC, 8.54%, due 11/30/19 | 392,137 | ||||||||||
200,000 | RJS Power Holdings LLC, (144A), 5.125%, due 07/15/19 (2) | 198,500 | ||||||||||
|
| |||||||||||
Total Electric | 2,990,756 | |||||||||||
|
| |||||||||||
Engineering & Construction (0.8%) | ||||||||||||
150,000 | MasTec, Inc., 4.875%, due 03/15/23 | 142,500 | ||||||||||
50,000 | SBA Communications Corp., (144A), 4.875%, due 07/15/22 (2) | 49,628 | ||||||||||
100,000 | SBA Communications Corp., 5.625%, due 10/01/19 | 105,312 | ||||||||||
|
| |||||||||||
Total Engineering & Construction | 297,440 | |||||||||||
|
| |||||||||||
Entertainment (1.6%) | ||||||||||||
575,000 | Isle of Capri Casinos, Inc., (144A), 5.875%, due 03/15/21 (2) | 592,969 | ||||||||||
|
| |||||||||||
Food (0.2%) | ||||||||||||
60,000 | HJ Heinz Co., (144A), 4.875%, due 02/15/25 (2) | 65,625 | ||||||||||
|
| |||||||||||
Gas (0.3%) | ||||||||||||
125,000 | Southern Star Central Corp., (144A), 5.125%, due 07/15/22 (2) | 130,625 | ||||||||||
|
| |||||||||||
Healthcare-Products (1.9%) | ||||||||||||
175,000 | Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Luxembourg), | 178,719 | ||||||||||
175,000 | Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Luxembourg), | 179,375 | ||||||||||
350,000 | Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Luxembourg), | 362,687 | ||||||||||
|
| |||||||||||
Total Healthcare-Products | 720,781 | |||||||||||
|
| |||||||||||
Healthcare-Services (10.3%) | ||||||||||||
200,000 | CHS/Community Health Systems, Inc., 5.125%, due 08/15/18 | 208,000 | ||||||||||
280,000 | CHS/Community Health Systems, Inc., 5.125%, due 08/01/21 | 291,200 | ||||||||||
350,000 | DaVita HealthCare Partners, Inc., 5.125%, due 07/15/24 | 358,312 | ||||||||||
375,000 | DaVita, Inc., 5.75%, due 08/15/22 | 399,844 | ||||||||||
20,000 | Fresenius Medical Care US Finance II, Inc., (144A), 5.625%, due 07/31/19 (2) | 22,000 | ||||||||||
400,000 | Fresenius Medical Care US Finance II, Inc., (144A), 5.875%, due 01/31/22 (2) | 440,000 | ||||||||||
50,000 | HCA, Inc., 5.25%, due 04/15/25 | 54,250 | ||||||||||
100,000 | HCA, Inc., 5.375%, due 02/01/25 | 105,500 | ||||||||||
410,000 | HCA, Inc., 6.5%, due 02/15/20 | 468,548 | ||||||||||
400,000 | HealthSouth Corp., 5.75%, due 11/01/24 | 424,000 | ||||||||||
180,000 | LifePoint Hospitals, Inc., 5.5%, due 12/01/21 | 189,760 | ||||||||||
135,000 | Tenet Healthcare Corp., 4.5%, due 04/01/21 | 135,338 | ||||||||||
630,000 | Tenet Healthcare Corp., 6%, due 10/01/20 | 674,100 | ||||||||||
120,000 | Tenet Healthcare Corp., 6.25%, due 11/01/18 | 130,392 | ||||||||||
|
| |||||||||||
Total Healthcare-Services | 3,901,244 | |||||||||||
|
|
See accompanying notes to financial statements.
36
Table of Contents
TCW High Yield Bond Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||||
Holding Companies — Diversified (0.5%) | ||||||||||||
$ | 165,000 | Nielsen Co. Luxembourg SARL (The) (Luxembourg), (144A), | $ | 170,775 | ||||||||
|
| |||||||||||
Home Builders (0.1%) | ||||||||||||
50,000 | Shea Homes LP / Shea Homes Funding Corp., (144A), 6.125%, due 04/01/25 (2) | 51,500 | ||||||||||
|
| |||||||||||
Housewares (0.3%) | ||||||||||||
120,000 | RSI Home Products, Inc., (144A), 6.5%, due 03/15/23 (2) | 126,000 | ||||||||||
|
| |||||||||||
Iron & Steel (0.2%) | ||||||||||||
75,000 | ArcelorMittal (Luxembourg), 10.6%, due 06/01/19 | 90,562 | ||||||||||
|
| |||||||||||
Leisure Time (0.3%) | ||||||||||||
90,000 | NCL Corp., Ltd. — Class C, (144A), 5.25%, due 11/15/19 (2) | 93,150 | ||||||||||
|
| |||||||||||
Lodging (0.9%) | ||||||||||||
320,000 | Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., | 339,200 | ||||||||||
|
| |||||||||||
Media (9.4%) | ||||||||||||
45,000 | CCO Holdings LLC / CCO Holdings Capital Corp., (144A), | 44,663 | ||||||||||
100,000 | CCO Holdings LLC / CCO Holdings Capital Corp., (144A), | 98,750 | ||||||||||
200,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 6.625%, due 01/31/22 | 214,000 | ||||||||||
555,000 | Clear Channel Worldwide Holdings, Inc., 6.5%, due 11/15/22 | 589,687 | ||||||||||
55,000 | CSC Holdings LLC, (144A), 5.25%, due 06/01/24 (2) | 57,234 | ||||||||||
350,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 396,813 | ||||||||||
170,000 | DISH DBS Corp., 5.875%, due 11/15/24 | 167,875 | ||||||||||
310,000 | DISH DBS Corp., 6.75%, due 06/01/21 | 329,012 | ||||||||||
65,000 | LIN Television Corp., 6.375%, due 01/15/21 | 67,844 | ||||||||||
275,000 | Nexstar Broadcasting, Inc., (144A), 6.125%, due 02/15/22 (2) | 286,000 | ||||||||||
200,000 | Numericable-SFR (France), (144A), 4.875%, due 05/15/19 (2) | 202,750 | ||||||||||
460,000 | Sinclair Television Group, Inc., 6.125%, due 10/01/22 | 486,737 | ||||||||||
375,000 | Univision Communications, Inc., (144A), 5.125%, due 05/15/23 (2) | 381,094 | ||||||||||
250,000 | Univision Communications, Inc., (144A), 5.125%, due 02/15/25 (2) | 252,506 | ||||||||||
|
| |||||||||||
Total Media | 3,574,965 | |||||||||||
|
| |||||||||||
Oil & Gas (8.1%) | ||||||||||||
200,000 | Blue Racer Midstream LLC / Blue Racer Finance Corp., (144A), | 209,000 | ||||||||||
170,000 | Chesapeake Energy Corp., 4.875%, due 04/15/22 | 158,100 | ||||||||||
330,000 | Chesapeake Energy Corp., 6.625%, due 08/15/20 | 341,550 | ||||||||||
115,000 | Cimarex Energy Co., 5.875%, due 05/01/22 | 122,619 | ||||||||||
240,000 | Concho Resources, Inc., 5.5%, due 04/01/23 | 244,500 | ||||||||||
185,000 | EP Energy LLC / Everest Acquisition Finance, Inc., 6.875%, due 05/01/19 | 191,660 | ||||||||||
60,000 | Gulfport Energy Corp., (144A), 6.625%, due 05/01/23 (2) | 61,200 | ||||||||||
75,000 | Halcon Resources Corp., (144A), 8.625%, due 02/01/20 (2)(6) | 78,234 | ||||||||||
195,000 | MEG Energy Corp., (144A), 6.5%, due 03/15/21 (2) | 194,025 | ||||||||||
250,000 | Newfield Exploration Co., 5.375%, due 01/01/26 | 260,313 | ||||||||||
125,000 | Newfield Exploration Co., 5.625%, due 07/01/24 | 133,281 | ||||||||||
210,000 | QEP Resources, Inc., 5.25%, due 05/01/23 | 211,579 |
See accompanying notes to financial statements.
37
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Oil & Gas (Continued) | ||||||||||||
$ | 200,000 | SM Energy Co., 6.5%, due 01/01/23 | $ | 211,000 | ||||||||
250,000 | Summit Midstream Holdings LLC / Summit Midstream Finance Corp., | 261,250 | ||||||||||
75,000 | Sunoco LP / Sunoco Finance Corp., (144A), 6.375%, due 04/01/23 (2) | 78,525 | ||||||||||
125,000 | Whiting Petroleum Corp., 5%, due 03/15/19 | 125,156 | ||||||||||
200,000 | WPX Energy, Inc., 5.25%, due 09/15/24 | 186,000 | ||||||||||
|
| |||||||||||
Total Oil & Gas | 3,067,992 | |||||||||||
|
| |||||||||||
Packaging & Containers (3.7%) | ||||||||||||
500,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., (144A), | 495,000 | ||||||||||
75,000 | Ball Corp., 4%, due 11/15/23 | 73,781 | ||||||||||
40,000 | Owens-Brockway Glass Container, Inc., (144A), 5%, due 01/15/22 (2) | 41,200 | ||||||||||
750,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group | 785,625 | ||||||||||
|
| |||||||||||
Total Packaging & Containers | 1,395,606 | |||||||||||
|
| |||||||||||
Pharmaceuticals (2.5%) | ||||||||||||
115,000 | Endo Finance LLC / Endo Finco, Inc., (144A), 7.25%, due 01/15/22 (2) | 122,188 | ||||||||||
80,000 | Valeant Pharmaceuticals International, Inc. (Canada), | 81,200 | ||||||||||
185,000 | Valeant Pharmaceuticals International, Inc. (Canada), | 191,359 | ||||||||||
230,000 | Valeant Pharmaceuticals International, Inc. (Canada), | 241,787 | ||||||||||
250,000 | Valeant Pharmaceuticals International, Inc. (Canada), | 266,875 | ||||||||||
25,000 | VPII Escrow Corp. (Canada), (144A), 7.5%, due 07/15/21 (2) | 27,219 | ||||||||||
|
| |||||||||||
Total Pharmaceuticals | 930,628 | |||||||||||
|
| |||||||||||
Pipelines (6.6%) | ||||||||||||
200,000 | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., | 205,000 | ||||||||||
75,000 | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., | 78,000 | ||||||||||
231,000 | El Paso LLC, 7.8%, due 08/01/31 | 277,760 | ||||||||||
355,000 | Energy Transfer Partners LP, 3.272%, due 11/01/66 (3) | 310,181 | ||||||||||
190,000 | MarkWest Energy Partners LP / MarkWest Energy Finance Corp., | 197,723 | ||||||||||
125,000 | Regency Energy Partners LP / Regency Energy Finance Corp., | 129,063 | ||||||||||
160,000 | Rockies Express Pipeline LLC, (144A), 5.625%, due 04/15/20 (2) | 169,600 | ||||||||||
105,000 | Rockies Express Pipeline LLC, (144A), 6%, due 01/15/19 (2) | 112,350 | ||||||||||
35,000 | Rockies Express Pipeline LLC, (144A), 6.875%, due 04/15/40 (2) | 38,413 | ||||||||||
100,000 | Rose Rock Midstream LP / Rose Rock Finance Corp., 5.625%, due 07/15/22 | 100,500 | ||||||||||
505,000 | Sabine Pass Liquefaction LLC, 5.625%, due 02/01/21 | 519,054 | ||||||||||
350,000 | Sabine Pass LNG, LP, (144A), 7.5%, due 11/30/16 (2) | 373,625 | ||||||||||
|
| |||||||||||
Total Pipelines | 2,511,269 | |||||||||||
|
|
See accompanying notes to financial statements.
38
Table of Contents
TCW High Yield Bond Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
REIT (0.8%) | ||||||||||
$ | 155,000 | Communications Sales & Leasing, Inc., (144A), 6%, due 04/15/23 (2) | $ | 156,395 | ||||||
65,000 | Crown Castle International Corp., 4.875%, due 04/15/22 | 67,925 | ||||||||
70,000 | DuPont Fabros Technology LP, 5.875%, due 09/15/21 | 72,887 | ||||||||
|
| |||||||||
Total REIT | 297,207 | |||||||||
|
| |||||||||
Retail (1.4%) | ||||||||||
510,000 | Family Tree Escrow LLC, (144A), 5.75%, due 03/01/23 (2) | 538,050 | ||||||||
|
| |||||||||
Semiconductors (0.1%) | ||||||||||
50,000 | Freescale Semiconductor, Inc., (144A), 5%, due 05/15/21 (2) | 52,875 | ||||||||
|
| |||||||||
Software (2.3%) | ||||||||||
185,000 | Audatex North America, Inc., (144A), 6%, due 06/15/21 (2) | 191,764 | ||||||||
605,000 | First Data Corp., (144A), 6.75%, due 11/01/20 (2) | 645,837 | ||||||||
40,000 | MSCI, Inc., (144A), 5.25%, due 11/15/24 (2) | 41,700 | ||||||||
|
| |||||||||
Total Software | 879,301 | |||||||||
|
| |||||||||
Telecommunications (11.4%) | ||||||||||
200,000 | Altice Financing SA (Luxembourg), (144A), 6.625%, due 02/15/23 (2) | 207,500 | ||||||||
200,000 | CenturyLink, Inc., 5.8%, due 03/15/22 | 208,500 | ||||||||
10,000 | Frontier Communications Corp., 7.125%, due 03/15/19 | 10,906 | ||||||||
240,000 | Frontier Communications Corp., 8.5%, due 04/15/20 | 267,000 | ||||||||
360,000 | Inmarsat Finance PLC (United Kingdom), (144A), 4.875%, due 05/15/22 (2) | 360,450 | ||||||||
50,000 | Intelsat Jackson Holdings SA (Luxembourg), 7.25%, due 10/15/20 | 51,750 | ||||||||
705,000 | Intelsat Jackson Holdings SA (Luxembourg), 7.5%, due 04/01/21 | 734,117 | ||||||||
150,000 | Level 3 Financing, Inc., 6.125%, due 01/15/21 | 159,188 | ||||||||
147,000 | Level 3 Financing, Inc., 7%, due 06/01/20 | 158,025 | ||||||||
150,000 | MetroPCS Wireless, Inc., 6.625%, due 11/15/20 | 156,945 | ||||||||
225,000 | Qwest Corp., 7.25%, due 09/15/25 | 261,356 | ||||||||
200,000 | Softbank Corp. (Japan), (144A), 4.5%, due 04/15/20 (2) | 205,500 | ||||||||
760,000 | Sprint Communications, Inc., (144A), 9%, due 11/15/18 (2) | 866,628 | ||||||||
130,000 | Sprint Nextel Corp., 9.25%, due 04/15/22 | 145,600 | ||||||||
300,000 | T-Mobile USA, Inc., 6.542%, due 04/28/20 | 317,610 | ||||||||
200,000 | Virgin Media Secured Finance PLC (United Kingdom), 5.25%, due 01/15/21 | 214,250 | ||||||||
|
| |||||||||
Total Telecommunications | 4,325,325 | |||||||||
|
| |||||||||
Total Corporate Bonds (Cost: $33,059,635) (88.0%) | 33,328,129 | |||||||||
|
| |||||||||
Total Fixed Income Securities (Cost: $34,090,480) (91.0%) | 34,458,101 | |||||||||
|
|
See accompanying notes to financial statements.
39
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Money Market Investments | Value | ||||||||
194,000 | Morgan Stanley Liquidity Fund — Government Portfolio, 0.04% (7) | $ | 194,000 | |||||||
|
| |||||||||
Total Money Market Investments (Cost: $194,000) (0.5%) | 194,000 | |||||||||
|
| |||||||||
Principal Amount | Short-Term Investments | |||||||||
Discount Notes (Cost: $1,059,979) (2.8%) | ||||||||||
$ | 1,060,000 | Federal Home Loan Bank Discount Note, 0.06%, due 05/13/15 (8) | 1,059,993 | |||||||
|
| |||||||||
Repurchase Agreement (Cost: $1,743,110) (4.6%) | ||||||||||
1,743,110 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by | 1,743,110 | ||||||||
|
| |||||||||
Total Short-Term Investments (Cost: $2,803,089) (7.4%) | 2,803,103 | |||||||||
|
| |||||||||
Total Investments (Cost: $37,087,569) (98.9%) | 37,455,204 | |||||||||
Excess of Other Assets over Liabilities (1.1%) | 412,536 | |||||||||
|
| |||||||||
Net Assets (100.0%) | $ | 37,867,740 | ||||||||
|
|
See accompanying notes to financial statements.
40
Table of Contents
TCW High Yield Bond Fund
April 30, 2015
Credit Default Swaps—Buy Protection | ||||||||||||||||||||||||||
Notional | Implied Credit Spread (10) | Expiration Date | Counterparty | Fixed Deal Pay Rate | Reference Entity | Unrealized Appreciation (Depreciation) | Premium (Paid) | Value (11) | ||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||
$ 150,000 | 1.86% | 3/20/19 | Credit Suisse International | 1 | % | Freeport-McMoRan Copper & Gold Inc. | $ | 1,522 | $ | 2,542 | $ | 4,064 | ||||||||||||||
350,000 | 1.18% | 3/20/19 | Goldman Sachs International | 1 | % | ALCOA, Inc. | (9,534 | ) | 10,816 | 1,282 | ||||||||||||||||
250,000 | 1.18% | 3/20/19 | Goldman Sachs International | 1 | % | ALCOA, Inc. | (5,609 | ) | 6,524 | 915 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (13,621) | $ | 19,882 | $ | 6,261 | |||||||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
EETC | Enhanced Equipment Trust Certificate. |
REIT | Real Estate Investment Trust. |
(1) | Rate stated is the effective yield. |
(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, 2015, the value of these securities amounted to $13,113,207 or 34.6% 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) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2015. |
(4) | All or a portion of this security is segregated to cover when-issued, delayed-delivery or forward commitments. (Note 2) |
(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) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(7) | Rate disclosed is the 7-day net yield as of April 30, 2015. |
(8) | Rate shown represents yield-to-maturity. |
(9) | The maximum potential amount the Fund could receive as buyer or pay as seller of protection if a credit event occurred as defined under the terms of that particular swap agreement. |
(10) | 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. |
(11) | 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 worthiness 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.
41
Table of Contents
TCW High Yield Bond Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Advertising | 0.7 | % | ||
Aerospace/Defense | 0.7 | |||
Airlines | 2.3 | |||
Auto Manufacturers | 1.7 | |||
Auto Parts & Equipment | 0.7 | |||
Banks | 4.0 | |||
Beverages | 1.8 | |||
Chemicals | 1.1 | |||
Coal | 0.1 | |||
Commercial Services | 0.2 | |||
Computers | 0.7 | |||
Diversified Financial Services | 2.4 | |||
Electric | 9.6 | |||
Engineering & Construction | 0.8 | |||
Entertainment | 1.6 | |||
Food | 0.2 | |||
Gas | 0.3 | |||
Healthcare-Products | 1.9 | |||
Healthcare-Services | 10.9 | |||
Holding Companies — Diversified | 0.5 | |||
Home Builders | 0.1 | |||
Housewares | 0.3 | |||
Iron & Steel | 0.2 | |||
Leisure Time | 0.3 | |||
Lodging | 0.9 | |||
Media | 9.4 | |||
Oil & Gas | 8.1 | |||
Packaging & Containers | 4.4 | |||
Pharmaceuticals | 2.5 | |||
Pipelines | 6.6 | |||
REIT | 0.8 | |||
Retail | 1.4 | |||
Semiconductors | 0.1 | |||
Software | 2.3 | |||
Telecommunications | 11.4 | |||
Money Market Investments | 0.5 | |||
Short-Term Investments | 7.4 | |||
|
| |||
Total | 98.9 | % | ||
|
|
See accompanying notes to financial statements.
42
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Commercial Mortgage-Backed Securities — Agency (7.8% of Net Assets) | ||||||||||
$ | 152,952 | Federal Home Loan Mortgage Corp., Pool #310005, 4.683%, due 11/01/19 (1) | $ | 156,710 | ||||||
133,747 | Federal Home Loan Mortgage Corp. (KF05-A), 0.523%, due 09/25/21 (1) | 134,081 | ||||||||
100,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through | 109,150 | ||||||||
43,320 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through | 43,367 | ||||||||
100,980 | Federal National Mortgage Association, Pool #467288, 2.8%, due 03/01/18 | 104,858 | ||||||||
84,633 | Federal National Mortgage Association, Pool #468220, 3.05%, due 06/01/16 | 86,540 | ||||||||
81,666 | Federal National Mortgage Association, Pool #FN0002, | 85,501 | ||||||||
90,348 | Federal National Mortgage Association, Pool #467173, 4.64%, due 01/01/21 | 101,638 | ||||||||
52,946 | Federal National Mortgage Association, Pool #745506, 5.663%, due 02/01/16 | 53,814 | ||||||||
88,283 | Federal National Mortgage Association, (14-M12-FA), | 88,794 | ||||||||
85,987 | Federal National Mortgage Association (14-M6-FA), 0.494%, due 12/25/17 (1) | 85,467 | ||||||||
36,919 | Government National Mortgage Association (05-76-B), | 37,762 | ||||||||
49,551 | Government National Mortgage Association (11-77-A), 2.105%, due 04/16/33 | 49,835 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $1,151,092) | 1,137,517 | |||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — Non-Agency (8.9%) | ||||||||||
11,824 | Banc of America Commercial Mortgage Trust (06-2-A3), | 11,837 | ||||||||
41,637 | Bear Stearns Commercial Mortgage Securities Trust (05-T20-A4A), | 41,915 | ||||||||
52,539 | Bear Stearns Commercial Mortgage Securities Trust (99-CLF1-A4), | 56,457 | ||||||||
100,000 | Citigroup Commercial Mortgage Trust (12-GC8-A2), 1.813%, due 09/10/45 | 101,287 | ||||||||
41,320 | Credit Suisse Commercial Mortgage Trust (07-C1-AAB), | 42,322 | ||||||||
2,680 | Credit Suisse First Boston Mortgage Securities Corp. (05-C4-A5), | 2,679 | ||||||||
5,812 | DBRR Trust (13-EZ2-A), (144A), 0.853%, due 02/25/45 (1)(2) | 5,811 | ||||||||
69,059 | GS Mortgage Securities Trust (11-GC3-A2), (144A), 3.645%, due 03/10/44 (2) | 69,943 | ||||||||
2,244 | JPMorgan Chase Commercial Mortgage Securities Trust (06-CB14-ASB), | 2,247 | ||||||||
51,805 | JPMorgan Chase Commercial Mortgage Securities Trust (06-CB15-ASB), | 52,483 | ||||||||
24,093 | JPMorgan Chase Commercial Mortgage Securities Trust (06-LDP9-A3S), | 24,116 | ||||||||
42,468 | JPMorgan Chase Commercial Mortgage Securities Trust (07-C1-ASB), | 44,339 | ||||||||
2,583 | JPMorgan Chase Commercial Mortgage Securities Trust (07-CB19-A3), | 2,580 | ||||||||
56,945 | JPMorgan Chase Commercial Mortgage Securities Trust (07-CB20-ASB), | 58,930 |
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 | ||||||||
Commercial Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||
$ | 8,614 | JPMorgan Chase Commercial Mortgage Securities Trust (10-C1-A1), (144A), | $ | 8,613 | ||||||
100,000 | JPMorgan Chase Commercial Mortgage Securities Trust (11-C4-A3), (144A), | 107,043 | ||||||||
54,583 | LB-UBS Commercial Mortgage Trust (06-C7-A2), 5.3%, due 11/15/38 | 55,083 | ||||||||
39,548 | Merrill Lynch / Countrywide Commercial Mortgage Trust (06-4-A1A), | 41,565 | ||||||||
72,457 | Morgan Stanley Bank of America Merrill Lynch Trust (12-C5-A1), | 72,536 | ||||||||
5,391 | Morgan Stanley Capital I Trust (06-T21-A3), 5.185%, due 10/12/52 (1) | 5,383 | ||||||||
112,899 | Morgan Stanley Capital I Trust (07-HQ11-A31), 5.439%, due 02/12/44 | 112,760 | ||||||||
63,318 | Morgan Stanley Capital I Trust (07-IQ14-A2), 5.61%, due 04/15/49 | 64,087 | ||||||||
1,892 | TIAA Seasoned Commercial Mortgage Trust (07-C4-A3), | 1,895 | ||||||||
73,902 | Wachovia Bank Commercial Mortgage Trust (05-C21-A4), | 74,228 | ||||||||
76,536 | Wachovia Bank Commercial Mortgage Trust (07-C30-A3), | 77,443 | ||||||||
43,355 | Wachovia Bank Commercial Mortgage Trust (07-C32-APB), | 43,528 | ||||||||
35,272 | WF-RBS Commercial Mortgage Trust (11-C2-A1), (144A), | 35,374 | ||||||||
79,373 | WF-RBS Commercial Mortgage Trust (12-C9-A1), 0.673%, due 11/15/45 | 79,330 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency | 1,295,814 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Agency (38.0%) |
| |||||||||
17,214 | Federal Home Loan Mortgage Corp. (2550-FI), | 17,227 | ||||||||
1,214 | Federal Home Loan Mortgage Corp. (2581-F), 0.632%, due 12/15/32 (1) | 1,214 | ||||||||
201,162 | Federal Home Loan Mortgage Corp. (2591-EF), 0.682%, due 03/15/32 (1) | 201,881 | ||||||||
88,609 | Federal Home Loan Mortgage Corp. (263-F5), 0.682%, due 06/15/42 (1) | 89,403 | ||||||||
181,662 | Federal Home Loan Mortgage Corp. (2763-FB), 0.532%, due 04/15/32 (1) | 182,244 | ||||||||
172,240 | Federal Home Loan Mortgage Corp. (2828-TA), 0.582%, due 10/15/30 (1) | 172,608 | ||||||||
202,776 | Federal Home Loan Mortgage Corp. (2835-LE), 0.532%, due 11/15/30 (1) | 203,008 | ||||||||
135,014 | Federal Home Loan Mortgage Corp. (2990-DE), 0.562%, due 11/15/34 (1) | 135,657 | ||||||||
30,057 | Federal Home Loan Mortgage Corp. (3001-HS), | 33,868 | ||||||||
66,406 | Federal Home Loan Mortgage Corp. (3174-FM), | 66,458 | ||||||||
109,546 | Federal Home Loan Mortgage Corp. (3300-FA), 0.482%, due 08/15/35 (1) | 109,776 | ||||||||
125,794 | Federal Home Loan Mortgage Corp. (3318-F), 0.432%, due 05/15/37 (1) | 125,922 | ||||||||
177,190 | Federal Home Loan Mortgage Corp. (3335-BF), 0.332%, due 07/15/19 (1) | 177,287 | ||||||||
167,635 | Federal Home Loan Mortgage Corp. (3335-FT), 0.332%, due 08/15/19 (1) | 167,784 | ||||||||
126,114 | Federal Home Loan Mortgage Corp. (3345-FP), 0.382%, due 11/15/36 (1) | 126,209 |
See accompanying notes to financial statements.
44
Table of Contents
TCW Short Term Bond Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Agency (Continued) |
| |||||||||
$ | 27,160 | Federal Home Loan Mortgage Corp. (3346-FA), 0.412%, due 02/15/19 (1) | $ | 27,193 | ||||||
146,766 | Federal Home Loan Mortgage Corp. (3347-PF), | 147,219 | ||||||||
175,131 | Federal Home Loan Mortgage Corp. (3737-GF), | 175,540 | ||||||||
163,849 | Federal Home Loan Mortgage Corp. (3767-JF), | 164,374 | ||||||||
105,261 | Federal Home Loan Mortgage Corp. (3798-BF), | 105,437 | ||||||||
170,416 | Federal Home Loan Mortgage Corp. (3803-DF), | 170,872 | ||||||||
139,320 | Federal Home Loan Mortgage Corp. (3824-FA), | 139,390 | ||||||||
63,370 | Federal Home Loan Mortgage Corp. (3946-FG), | 63,587 | ||||||||
36,773 | Federal National Mortgage Association (03-11-FA), | 37,732 | ||||||||
38,707 | Federal National Mortgage Association (03-64-KS), | 41,586 | ||||||||
108,740 | Federal National Mortgage Association (06-60-DF), 0.611%, due 04/25/35 (1) | 109,396 | ||||||||
47,919 | Federal National Mortgage Association (06-84-WF), | 48,044 | ||||||||
110,873 | Federal National Mortgage Association (07-64-FA), 0.651%, due 07/25/37 (1) | 111,937 | ||||||||
137,514 | Federal National Mortgage Association (07-67-FA), 0.431%, due 04/25/37 (1) | 137,441 | ||||||||
26,648 | Federal National Mortgage Association (08-47-PF), | 26,803 | ||||||||
59,526 | Federal National Mortgage Association (09-33-FB), 1.001%, due 03/25/37 (1) | 60,513 | ||||||||
18,046 | Federal National Mortgage Association (10-2-TF), 0.681%, due 06/25/27 (1) | 18,059 | ||||||||
38,657 | Federal National Mortgage Association (10-50-FA), 0.531%, due 01/25/24 (1) | 38,658 | ||||||||
42,659 | Federal National Mortgage Association (10-9-MG), 3%, due 09/25/30 (PAC) | 42,729 | ||||||||
144,369 | Federal National Mortgage Association (11-75-HP), | 148,952 | ||||||||
32,472 | Federal National Mortgage Association, Pool #254548, 5.5%, due 12/01/32 | 36,955 | ||||||||
56,888 | Federal National Mortgage Association, Pool #600187, 7%, due 07/01/31 | 66,433 | ||||||||
4,019 | Federal National Mortgage Association, Pool #661691, | 4,200 | ||||||||
44,496 | Federal National Mortgage Association, Pool #786884, | 46,578 | ||||||||
50,109 | Federal National Mortgage Association, Pool #995364, 6%, due 10/01/38 | 57,434 | ||||||||
21,501 | Federal National Mortgage Association, Pool #AL0851, 6%, due 10/01/40 | 24,677 | ||||||||
23,498 | Government National Mortgage Association (04-104-FJ), | 23,511 | ||||||||
102,271 | Government National Mortgage Association (10-108-PF), | 102,604 | ||||||||
168,800 | Government National Mortgage Association (10-163-FJ), | 169,360 | ||||||||
127,269 | Government National Mortgage Association (10-2-FA), | 127,527 |
See accompanying notes to financial statements.
45
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Agency (Continued) |
| |||||||||
$ | 153,293 | Government National Mortgage Association (12-13-KF), | $ | 153,630 | ||||||
29,285 | Government National Mortgage Association II, Pool #80022, | 29,660 | ||||||||
21,110 | Government National Mortgage Association II, Pool #80636, | 21,923 | ||||||||
14,487 | Government National Mortgage Association II, Pool #80757, | 14,699 | ||||||||
117,113 | Government National Mortgage Association II, Pool #80797, | 121,516 | ||||||||
47,762 | Government National Mortgage Association II, Pool #80937, | 49,762 | ||||||||
95,055 | NCUA Guaranteed Notes (10-R1-1A), 0.628%, due 10/07/20 (1) | 95,586 | ||||||||
60,321 | NCUA Guaranteed Notes (10-R2-1A), 0.548%, due 11/06/17 (1) | 60,465 | ||||||||
243,225 | NCUA Guaranteed Notes (10-R3-1A), 0.736%, due 12/08/20 (1) | 245,362 | ||||||||
239,166 | NCUA Guaranteed Notes (10-R3-2A), 0.736%, due 12/08/20 (1) | 241,240 | ||||||||
86,371 | NCUA Guaranteed Notes (11-R2-1A), 0.578%, due 02/06/20 (1) | 86,718 | ||||||||
47,593 | NCUA Guaranteed Notes (11-R3-1A), 0.58%, due 03/11/20 (1) | 47,781 | ||||||||
61,941 | NCUA Guaranteed Notes (11-R5-1A), 0.554%, due 04/06/20 (1) | 61,992 | ||||||||
5,309 | NCUA Guaranteed Notes (11-R6-1A), 0.555%, due 05/07/20 (1) | 5,310 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $5,491,914) | 5,520,931 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Non-Agency (2.0%) |
| |||||||||
13,194 | Bear Stearns Asset-Backed Securities Trust (05-SD1-1A3), | 13,055 | ||||||||
145,495 | Credit Suisse First Boston Mortgage Securities Corp. (02-AR31-6A1), | 147,224 | ||||||||
38,658 | First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C), | 37,594 | ||||||||
24,064 | Homestar Mortgage Acceptance Corp. (04-5-A1), 0.631%, due 10/25/34 (1) | 24,161 | ||||||||
26,526 | JPMorgan Mortgage Acquisition Corp. (05-WMC1-M1), | 26,243 | ||||||||
28,801 | Morgan Stanley Mortgage Loan Trust (04-6AR-1A), 0.624%, due 07/25/34 (1) | 27,914 | ||||||||
10,993 | Residential Accredit Loans, Inc. (02-QS16-A2), 0.731%, due 10/25/17 (1) | 10,666 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Non-Agency | 286,857 | |||||||||
|
| |||||||||
Corporate Bonds (28.4%) |
| |||||||||
Airlines (1.6%) | ||||||||||
98,795 | Continental Airlines, Inc. Pass-Through Certificates, (99-1-A), | 110,218 | ||||||||
50,000 | JetBlue Airways Corp. Pass-Through Trust, (04-2-G2), | 49,325 | ||||||||
71,232 | United Airlines, Inc. Pass-Through Trust, (09-2A), | 78,622 | ||||||||
|
| |||||||||
Total Airlines | 238,165 | |||||||||
|
|
See accompanying notes to financial statements.
46
Table of Contents
TCW Short Term Bond Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Auto Manufacturers (0.5%) | ||||||||||
$ | 75,000 | Nissan Motor Acceptance Corp. (Japan), (144A), 0.969%, due 09/26/16 (1)(2) | $ | 75,480 | ||||||
|
| |||||||||
Banks (6.7%) | ||||||||||
250,000 | Bank of America N.A., 0.551%, due 06/15/16 (1) | 248,940 | ||||||||
75,000 | Citigroup, Inc., 1.237%, due 07/25/16 (1) | 75,462 | ||||||||
30,000 | Goldman Sachs Group, Inc. (The), 3.3%, due 05/03/15 | 30,000 | ||||||||
75,000 | Goldman Sachs Group, Inc. (The), 1.6%, due 11/23/15 | 75,343 | ||||||||
300,000 | JPMorgan Chase Bank N.A., 0.6%, due 06/13/16 (1) | 299,635 | ||||||||
75,000 | Macquarie Bank, Ltd. (Australia), (144A), 0.721%, due 06/15/16 (1)(2) | 75,012 | ||||||||
50,000 | Macquarie Bank, Ltd. (Australia), (144A), 0.907%, due 10/27/17 (1)(2) | 50,025 | ||||||||
65,000 | Morgan Stanley, 1.011%, due 01/05/18 (1) | 65,280 | ||||||||
60,000 | Royal Bank of Scotland PLC (The) (United Kingdom), 2.55%, due 09/18/15 | 60,327 | ||||||||
|
| |||||||||
Total Banks | 980,024 | |||||||||
|
| |||||||||
Diversified Financial Services (0.5%) | ||||||||||
75,000 | General Electric Capital Corp., 0.926%, due 07/12/16 (1) | 75,585 | ||||||||
|
| |||||||||
Electric (1.4%) | ||||||||||
120,000 | NextEra Energy Capital Holdings, Inc., 1.339%, due 09/01/15 | 120,319 | ||||||||
50,000 | Oncor Electric Delivery Co. LLC, 6.8%, due 09/01/18 | 58,280 | ||||||||
30,000 | PNM Resources, Inc., 9.25%, due 05/15/15 | 30,098 | ||||||||
|
| |||||||||
Total Electric | 208,697 | |||||||||
|
| |||||||||
Engineering & Construction (1.4%) | ||||||||||
200,000 | Heathrow Funding, Ltd. (United Kingdom), (144A), 2.5%, due 06/25/17 (2) | 200,239 | ||||||||
|
| |||||||||
Food (0.4%) | ||||||||||
50,000 | Kraft Foods Group, Inc., 1.625%, due 06/04/15 | 50,043 | ||||||||
|
| |||||||||
Healthcare-Services (0.6%) | ||||||||||
85,000 | Providence Health & Services Obligated Group, 1.224%, due 10/01/17 (1) | 85,515 | ||||||||
|
| |||||||||
Insurance (0.7%) | ||||||||||
100,000 | Metropolitan Life Global Funding I, (144A), 1.7%, due 06/29/15 (2) | 100,224 | ||||||||
|
| |||||||||
Oil & Gas (0.4%) | ||||||||||
50,000 | Devon Energy Corp., 0.721%, due 12/15/15 (1) | 49,988 | ||||||||
|
| |||||||||
Pharmaceuticals (1.0%) | ||||||||||
100,000 | McKesson Corp., 0.665%, due 09/10/15 (1) | 100,036 | ||||||||
50,000 | Mylan, Inc., 1.8%, due 06/24/16 | 50,326 | ||||||||
|
| |||||||||
Total Pharmaceuticals | 150,362 | |||||||||
|
| |||||||||
Pipelines (1.2%) | ||||||||||
100,000 | Florida Gas Transmission Co. LLC, (144A), 4%, due 07/15/15 (2) | 100,557 | ||||||||
75,000 | TransCanada Pipelines, Ltd. (Canada), 0.953%, due 06/30/16 (1) | 75,310 | ||||||||
|
| |||||||||
Total Pipelines | 175,867 | |||||||||
|
| |||||||||
Real Estate (1.8%) | ||||||||||
50,000 | Post Apartment Homes, LP, 4.75%, due 10/15/17 | 53,557 | ||||||||
200,000 | WEA Finance LLC / Westfield UK & Europe Finance PLC (Australia), (144A), | 201,313 | ||||||||
|
| |||||||||
Total Real Estate | 254,870 | |||||||||
|
|
See accompanying notes to financial statements.
47
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
REIT (8.5%) | ||||||||||
$ | 75,000 | ARC Properties Operating Partnership LP / Clark Acquisition LLC, | $ | 73,313 | ||||||
100,000 | BioMed Realty LP, 3.85%, due 04/15/16 | 102,366 | ||||||||
100,000 | Camden Property Trust, 5%, due 06/15/15 | 100,486 | ||||||||
50,000 | Essex Portfolio LP, 5.5%, due 03/15/17 | 53,682 | ||||||||
75,000 | HCP, Inc., 6%, due 01/30/17 | 80,958 | ||||||||
100,000 | HCP, Inc., 7.072%, due 06/08/15 | 100,610 | ||||||||
100,000 | Healthcare Realty Trust, Inc., 6.5%, due 01/17/17 | 109,152 | ||||||||
85,000 | Hospitality Properties Trust, 6.3%, due 06/15/16 | 87,473 | ||||||||
85,000 | Host Hotels & Resorts LP, 5.875%, due 06/15/19 | 87,897 | ||||||||
75,000 | Mid-America Apartments LP, 5.5%, due 10/01/15 | 76,413 | ||||||||
85,000 | Pan Pacific Retail Properties, Inc., 5.25%, due 09/01/15 | 86,200 | ||||||||
75,000 | Realty Income Corp., 5.5%, due 11/15/15 | 76,735 | ||||||||
50,000 | SL Green Realty Corp., 5%, due 08/15/18 | 53,824 | ||||||||
75,000 | UDR, Inc., 5.25%, due 01/15/16 | 77,070 | ||||||||
75,000 | Ventas Realty LP, 1.55%, due 09/26/16 | 75,547 | ||||||||
|
| |||||||||
Total REIT | 1,241,726 | |||||||||
|
| |||||||||
Retail (0.6%) | ||||||||||
85,000 | Walgreens Boots Alliance, Inc., 0.706%, due 05/18/16 (1) | 85,161 | ||||||||
|
| |||||||||
Telecommunications (1.1%) | ||||||||||
67,000 | AT&T, Inc., 2.5%, due 08/15/15 | 67,330 | ||||||||
87,000 | Verizon Communications, Inc., 1.801%, due 09/15/16 (1) | 88,384 | ||||||||
|
| |||||||||
Total Telecommunications | 155,714 | |||||||||
|
| |||||||||
Total Corporate Bonds (Cost: $4,193,448) | 4,127,660 | |||||||||
|
| |||||||||
Municipal Bonds (1.6%) | ||||||||||
100,000 | Illinois State, General Obligation Bond, 4.35%, due 06/01/18 | 104,395 | ||||||||
125,000 | State of California, General Obligation Unlimited, 5.95%, due 04/01/16 | 131,155 | ||||||||
|
| |||||||||
Total Municipal Bonds (Cost: $248,184) | 235,550 | |||||||||
|
| |||||||||
U.S. Government Agency Obligations (5.3%) | ||||||||||
105,000 | Federal Farm Credit Bank, 0.199%, due 09/14/16 (1) | 105,018 | ||||||||
205,000 | Federal Farm Credit Bank, 0.21%, due 05/08/17 (1) | 205,181 | ||||||||
215,000 | Federal Farm Credit Bank, 0.211%, due 04/26/17 (1) | 215,103 | ||||||||
135,000 | Federal Farm Credit Bank, 0.23%, due 04/17/17 (1) | 135,145 | ||||||||
110,000 | Federal Farm Credit Bank, 0.236%, due 02/27/17 (1) | 110,144 | ||||||||
|
| |||||||||
Total U.S. Government Agency Obligations (Cost: $769,948) | 770,591 | |||||||||
|
| |||||||||
U.S. Treasury Securities (7.4%) | ||||||||||
50,000 | U.S. Treasury Note, 0.25%, due 08/15/15 | 50,033 | ||||||||
1,030,000 | U.S. Treasury Note, 0.375%, due 06/30/15 | 1,030,604 | ||||||||
|
| |||||||||
Total U.S. Treasury Securities (Cost: $1,080,519) | 1,080,637 | |||||||||
|
| |||||||||
Total Fixed Income Securities (Cost: $14,422,608) (99.4%) | 14,455,557 | |||||||||
|
|
See accompanying notes to financial statements.
48
Table of Contents
TCW Short Term Bond Fund
April 30, 2015
Number of Shares | Money Market Investments | Value | ||||||||
40,000 | Morgan Stanley Liquidity Fund — Government Portfolio, 0.04% (3) | $ | 40,000 | |||||||
|
| |||||||||
Total Money Market Investments (Cost: $40,000) (0.3%) | 40,000 | |||||||||
|
| |||||||||
Principal Amount | Short-Term Investments | |||||||||
Certificate of Deposit (Cost: $100,000) (0.7%) | ||||||||||
Banks (0.7%) | ||||||||||
$ | 100,000 | Credit Suisse / New York (Switzerland), 0.583%, due 08/24/15 (1) | 100,014 | |||||||
|
| |||||||||
Repurchase Agreement (Cost: $181,199) (1.2%) | ||||||||||
181,199 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by | 181,199 | ||||||||
|
| |||||||||
Total Short-Term Investments (Cost: $281,199) (1.9%) | 281,213 | |||||||||
|
| |||||||||
Total Investments (Cost: $14,743,807) (101.6%) | 14,776,770 | |||||||||
Liabilities in Excess of Other Assets (-1.6%) | (230,569 | ) | ||||||||
|
| |||||||||
Net Assets (100.0%) | $ | 14,546,201 | ||||||||
|
|
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, 2015. |
(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, 2015, the value of these securities amounted to $1,053,750 or 7.2% 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) | Rate disclosed is the 7-day net yield as of April 30, 2015. |
See accompanying notes to financial statements.
49
Table of Contents
TCW Short Term Bond Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Airlines | 1.6 | % | ||
Auto Manufacturers | 0.5 | |||
Banks | 6.7 | |||
Commercial Mortgage-Backed Securities — Agency | 7.8 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 8.9 | |||
Diversified Financial Services | 0.5 | |||
Electric | 1.4 | |||
Engineering & Construction | 1.4 | |||
Food | 0.4 | |||
Healthcare-Services | 0.6 | |||
Insurance | 0.7 | |||
Municipal Bonds | 1.6 | |||
Oil & Gas | 0.4 | |||
Pharmaceuticals | 1.0 | |||
Pipelines | 1.2 | |||
REIT | 8.5 | |||
Real Estate | 1.8 | |||
Residential Mortgage-Backed Securities — Agency | 38.0 | |||
Residential Mortgage-Backed Securities — Non-Agency | 2.0 | |||
Retail | 0.6 | |||
Telecommunications | 1.1 | |||
U.S. Government Agency Obligations | 5.3 | |||
U.S. Treasury Securities | 7.4 | |||
Money Market Investments | 0.3 | |||
Short-Term Investments | 1.9 | |||
|
| |||
Total | 101.6 | % | ||
|
|
See accompanying notes to financial statements.
50
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Asset-Backed Securities (7.4% of Net Assets) | ||||||||||
$ | 9,842,437 | 321 Henderson Receivables I LLC (13-3A-A), (144A), 4.08%, due 01/17/73 (1) | $ | 10,425,911 | ||||||
20,000,000 | Academic Loan Funding Trust (12-1A-A2), (144A), 1.281%, due 12/27/44 (1)(2) | 20,073,160 | ||||||||
9,975,315 | ACE Securities Corp. Home Equity Loan Trust (05-HE7-A2D), 0.834%, due | 9,972,452 | ||||||||
15,000,000 | AMMC CDO (14-14A-A1L), (144A), 1.727%, due 07/27/26 (1)(2) | 14,969,580 | ||||||||
17,000,000 | Babson CLO, Ltd. (13-IA-A), (144A), 1.375%, due 04/20/25 (1)(2) | 16,819,069 | ||||||||
4,014,000 | Babson CLO, Ltd. (14-IIA-A), (144A), 1.664%, due 10/17/26 (1)(2) | 4,006,803 | ||||||||
7,517,009 | Bayview Commercial Asset Trust (04-1-A), (144A), 0.541%, due 04/25/34 (1)(2) | 7,219,576 | ||||||||
18,700,000 | Brazos Higher Education Authority, Inc. (11-1-A3), 1.283%, due 11/25/33 (2) | 18,993,788 | ||||||||
11,775,000 | Brazos Higher Education Authority, Inc. (11-2-A3), 1.277%, due 10/27/36 (2) | 12,015,804 | ||||||||
7,900,000 | Cent CLO, Ltd. (13-18A-A), (144A), 1.397%, due 07/23/25 (1)(2) | 7,775,449 | ||||||||
5,899,927 | CIT Education Loan Trust (07-1-A), (144A), 0.357%, due 03/25/42 (1)(2) | 5,693,176 | ||||||||
12,500,000 | Eaton Vance CLO, Ltd. (14-1A-A), (144A), 1.725%, due 07/15/26 (1)(2) | 12,494,900 | ||||||||
15,269,229 | Educational Funding of the South, Inc. (12-1-A), 1.231%, due 03/25/36 (2) | 15,514,004 | ||||||||
16,675,000 | EFS Volunteer LLC (10-1-A2), (144A), 1.127%, due 10/25/35 (1)(2) | 16,761,234 | ||||||||
7,225,000 | EFS Volunteer No 2 LLC (12-1-A2), (144A), 1.521%, due 03/25/36 (1)(2) | 7,429,833 | ||||||||
17,750,000 | EFS Volunteer No 3 LLC (12-1-A3), (144A), 1.171%, due 04/25/33 (1)(2) | 18,002,228 | ||||||||
11,000,000 | Flagship CLO (14-8A-A), (144A), 1.836%, due 01/16/26 (1)(2) | 11,007,618 | ||||||||
18,570,000 | Flatiron CLO, Ltd. (14-1A-A1), (144A), 1.654%, due 07/17/26 (1)(2) | 18,498,561 | ||||||||
3,307,440 | GE Business Loan Trust (04-2A-A), (144A), 0.402%, due 12/15/32 (1)(2) | 3,226,489 | ||||||||
21,353,625 | Global SC Finance SRL (14-1A-A2), (144A), 3.09%, due 07/17/29 (1) | 21,363,769 | ||||||||
25,000,000 | GoldenTree Loan Opportunities VII, Ltd. (13-7A-A), (144A), 1.427%, due | 24,723,700 | ||||||||
14,931,010 | Higher Education Funding I (14-1-A), (144A), 1.311%, due 05/25/34 (1)(2) | 15,119,123 | ||||||||
2,315,492 | Jasper CLO, Ltd. (05-1A-A), (144A), 0.502%, due 08/01/17 (1)(2) | 2,313,431 | ||||||||
4,482,187 | JFIN CLO, Ltd. (07-1A-A1A), (144A), 0.48%, due 07/20/21 (1)(2) | 4,464,633 | ||||||||
5,000,000 | Limerock CLO III LLC (14-3A-A1), (144A), 1.759%, due 10/20/26 (1)(2) | 5,003,796 | ||||||||
18,000,000 | Montana Higher Education Student Assistance Corp. (12-1-A3), 1.231%, due | 17,956,365 | ||||||||
200,000 | National Collegiate Master Student Loan Trust I (02-2-AR10), (144A), 3.673%, | 200,061 | ||||||||
7,129,608 | National Collegiate Student Loan Trust (06-3-A3), 0.331%, due 10/25/27 (2) | 7,061,235 | ||||||||
37,974,817 | Navient Student Loan Trust (14-2-A), 0.814%, due 03/25/43 (2) | 37,732,860 | ||||||||
37,850,361 | Navient Student Loan Trust (14-3-A), 0.794%, due 03/25/43 (2) | 37,578,633 | ||||||||
21,827,264 | Navient Student Loan Trust (14-4-A), 0.801%, due 03/25/43 (2) | 21,662,239 | ||||||||
30,185,000 | Nelnet Student Loan Trust (14-4A-A2), (144A), 1.121%, due 11/25/43 (1)(2) | 30,413,632 | ||||||||
8,473,749 | Pangaea CLO, Ltd. (07-1A-A1), (144A), 0.526%, due 10/21/21 (1)(2) | 8,411,722 | ||||||||
16,000,000 | Panhandle-Plains Higher Education Authority, Inc. (11-1-A3), 1.224%, due | 16,175,170 | ||||||||
1,105,696 | Red River CLO, Ltd. (1A-A), (144A), 0.524%, due 07/27/18 (1)(2) | 1,101,010 | ||||||||
3,953,908 | SLM Student Loan Trust (04-8-B), 0.737%, due 01/25/40 (2) | 3,619,489 | ||||||||
7,534,000 | SLM Student Loan Trust (05-5-A5), 1.027%, due 10/25/40 (2) | 7,382,401 | ||||||||
6,455,975 | SLM Student Loan Trust (07-6-B), 1.127%, due 04/27/43 (2) | 5,882,849 | ||||||||
4,572,219 | SLM Student Loan Trust (07-8-B), 1.277%, due 04/27/43 (2) | 4,308,727 | ||||||||
7,405,000 | SLM Student Loan Trust (08-2-B), 1.477%, due 01/25/29 (2) | 6,928,085 | ||||||||
6,549,000 | SLM Student Loan Trust (08-3-B), 1.477%, due 04/25/29 (2) | 6,111,042 |
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 | ||||||||
Asset-Backed Securities (Continued) | ||||||||||
$ | 3,270,000 | SLM Student Loan Trust (08-4-B), 2.127%, due 04/25/29 (2) | $ | 3,190,416 | ||||||
17,785,000 | SLM Student Loan Trust (08-5-A4), 1.977%, due 07/25/23 (2)(3) | 18,530,423 | ||||||||
16,200,000 | SLM Student Loan Trust (08-5-B), 2.127%, due 07/25/29 (2) | 16,474,282 | ||||||||
6,380,000 | SLM Student Loan Trust (08-6-B), 2.127%, due 07/25/29 (2) | 6,403,770 | ||||||||
6,380,000 | SLM Student Loan Trust (08-7-B), 2.127%, due 07/25/29 (2) | 6,424,985 | ||||||||
5,696,000 | SLM Student Loan Trust (08-8-B), 2.527%, due 10/25/29 (2) | 5,900,851 | ||||||||
15,950,000 | SLM Student Loan Trust (08-9-B), 2.527%, due 10/25/29 (2) | 16,762,623 | ||||||||
12,800,000 | SLM Student Loan Trust (11-1-A2), 1.331%, due 10/25/34 (2) | 13,303,859 | ||||||||
17,780,000 | SLM Student Loan Trust (11-2-A2), 1.381%, due 10/25/34 (2) | 18,264,781 | ||||||||
8,557,216 | SLM Student Loan Trust (12-2-A), 0.881%, due 01/25/29 (2) | 8,619,702 | ||||||||
6,391,909 | Telos CLO, Ltd. (06-1A-A2), (144A), 0.676%, due 10/11/21 (1)(2) | 6,365,315 | ||||||||
18,920,000 | Voya CLO, Ltd. (14-2A-A1), (144A), 1.725%, due 07/17/26 (1)(2) | 18,921,135 | ||||||||
|
| |||||||||
Total Asset-Backed Securities (Cost: $641,441,966) | 655,575,749 | |||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — Agency (5.3%) | ||||||||||
45,330,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through | 50,139,694 | ||||||||
24,280,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through | 26,860,624 | ||||||||
29,110,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through | 31,773,536 | ||||||||
32,350,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through | 36,183,718 | ||||||||
25,890,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through | 28,569,473 | ||||||||
52,468,326 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through | 52,599,340 | ||||||||
49,094,990 | Federal National Mortgage Association (12-M12-1A), | 51,171,366 | ||||||||
34,740,752 | Federal National Mortgage Association (12-M15-A), | 35,497,927 | ||||||||
34,985,102 | Federal National Mortgage Association (14-M12-FA), | 35,187,975 | ||||||||
2,930,567 | Federal National Mortgage Association, Pool #AE0918, | 3,185,943 | ||||||||
19,168,094 | Federal National Mortgage Association, Pool #AL0290, | 21,607,730 | ||||||||
20,548,775 | Federal National Mortgage Association, Pool #AL0600, | 23,016,699 | ||||||||
15,920,962 | Federal National Mortgage Association, Pool #AL2660, | 16,209,202 | ||||||||
44,759,948 | Federal National Mortgage Association, Pool #AL3366, | 45,078,184 | ||||||||
12,422,421 | Federal National Mortgage Association, Pool #FN0003, | 13,864,001 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $470,858,616) | 470,945,412 | |||||||||
|
|
See accompanying notes to financial statements.
52
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TCW Total Return Bond Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Commercial Mortgage-Backed Securities — Non-Agency (0.7%) |
| |||||||||
$ | 6,440,000 | COMM Mortgage Trust (12-LC4-A4), 3.288%, due 12/10/44 | $ | 6,788,504 | ||||||
10,301,320 | DBRR Trust (11-LC2-A4A), (144A), 4.537%, due 07/12/44 (1)(2) | 11,476,088 | ||||||||
17,505,000 | GS Mortgage Securities Corp. II (11-GC5-A4), 3.707%, due 08/10/44 | 18,855,078 | ||||||||
3,460,000 | Morgan Stanley Capital I Trust (11-C3-A4), 4.118%, due 07/15/49 | 3,790,338 | ||||||||
17,835,000 | WF-RBS Commercial Mortgage Trust (11-C5-A4), 3.667%, due 11/15/44 | 19,178,903 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $56,270,228) | 60,088,911 | |||||||||
|
| |||||||||
Residential Mortgage-Backed Securities — Agency (42.5%) |
| |||||||||
310,657 | Federal Home Loan Mortgage Corp. (1829-ZB), 6.5%, due 03/15/26 (3) | 343,092 | ||||||||
403,870 | Federal Home Loan Mortgage Corp. (2367-ZK), 6%, due 10/15/31 (3) | 456,159 | ||||||||
5,323,206 | Federal Home Loan Mortgage Corp. (2514-PZ), 5.5%, due 10/15/32 (PAC) (3) | 5,974,700 | ||||||||
13,252,280 | Federal Home Loan Mortgage Corp. (2571-PZ), 5.5%, due 02/15/33 (PAC) (3) | 14,745,151 | ||||||||
1,405,924 | Federal Home Loan Mortgage Corp. (2642-AR), 4.5%, due 07/15/23 (3) | 1,506,846 | ||||||||
894,932 | Federal Home Loan Mortgage Corp. (2647-OV), 0%, due 07/15/33 (P/O) (3)(4) | 790,709 | ||||||||
5,368,736 | Federal Home Loan Mortgage Corp. (2662-MT), 4.5%, due 08/15/33 (TAC) (3) | 5,725,561 | ||||||||
3,096,803 | Federal Home Loan Mortgage Corp. (2666-BD), 4.5%, due 08/15/23 (3) | 3,319,779 | ||||||||
4,382,120 | Federal Home Loan Mortgage Corp. (2700-B), 4.5%, due 11/15/23 (3) | 4,697,922 | ||||||||
31,824,675 | Federal Home Loan Mortgage Corp. (2752-GZ), 5%, due 02/15/34 (PAC) (3) | 35,977,620 | ||||||||
53,597,201 | Federal Home Loan Mortgage Corp. (276-30), 3%, due 09/15/42 (3) | 54,401,990 | ||||||||
59,163,684 | Federal Home Loan Mortgage Corp. (277-30), 3%, due 09/15/42 (3) | 60,017,215 | ||||||||
1,463,813 | Federal Home Loan Mortgage Corp. (2882-JH), 4.5%, due 10/15/34 (PAC) (3) | 1,541,267 | ||||||||
854,095 | Federal Home Loan Mortgage Corp. (2903-PO), 0%, due 11/15/23 (P/O) (3)(4) | 805,211 | ||||||||
6,865,939 | Federal Home Loan Mortgage Corp. (3045-HZ), 4.5%, due 10/15/35 (3) | 7,397,671 | ||||||||
50,000,000 | Federal Home Loan Mortgage Corp. (3063-YG), 5.5%, due 11/15/35 (PAC) (3) | 55,955,078 | ||||||||
35,300,870 | Federal Home Loan Mortgage Corp. (3114-KZ), 5%, due 02/15/36 (3) | 39,284,206 | ||||||||
12,522,580 | Federal Home Loan Mortgage Corp. (3146-GE), 5.5%, due 04/15/26 (3) | 14,051,831 | ||||||||
11,326,261 | Federal Home Loan Mortgage Corp. (3149-OD), | 10,295,770 | ||||||||
10,291,122 | Federal Home Loan Mortgage Corp. (3315-S), | 1,105,353 | ||||||||
7,879,371 | Federal Home Loan Mortgage Corp. (3376-SX), | 1,291,246 | ||||||||
11,552,983 | Federal Home Loan Mortgage Corp. (3410-IS), | 1,651,624 | ||||||||
9,719,048 | Federal Home Loan Mortgage Corp. (3424-BI), | 1,927,947 | ||||||||
7,964,490 | Federal Home Loan Mortgage Corp. (3512-AY), | 8,488,291 | ||||||||
3,516,105 | Federal Home Loan Mortgage Corp. (3519-SH), | 395,629 | ||||||||
17,872,397 | Federal Home Loan Mortgage Corp. (3531-SC), | 2,441,459 | ||||||||
4,220,648 | Federal Home Loan Mortgage Corp. (3541-SA), | 474,308 | ||||||||
16,834,639 | Federal Home Loan Mortgage Corp. (3550-GS), | 3,278,344 | ||||||||
6,913,756 | Federal Home Loan Mortgage Corp. (3551-VZ), | 7,719,956 |
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 — Agency (Continued) |
| |||||||||
$ | 34,370,816 | Federal Home Loan Mortgage Corp. (3557-NB), 4.5%, due 07/15/29 (3) | $ | 37,148,249 | ||||||
15,219,481 | Federal Home Loan Mortgage Corp. (3557-KB), 4.5%, due 07/15/29 (3) | 16,644,148 | ||||||||
16,365,932 | Federal Home Loan Mortgage Corp. (3558-KB), 4%, due 08/15/29 (3) | 17,605,917 | ||||||||
25,000,000 | Federal Home Loan Mortgage Corp. (3565-XB), 4%, due 08/15/24 (3) | 26,581,460 | ||||||||
1,971,077 | Federal Home Loan Mortgage Corp. (3575-D), 4.5%, due 03/15/37 (3) | 2,120,802 | ||||||||
20,115,000 | Federal Home Loan Mortgage Corp. (3626-MD), 5%, due 01/15/38 (PAC) (3) | 22,759,891 | ||||||||
20,025,406 | Federal Home Loan Mortgage Corp. (3719-PJ), 4.5%, due 09/15/40 (PAC) (3) | 23,211,879 | ||||||||
32,076,250 | Federal Home Loan Mortgage Corp. (3770-ZB), 5%, due 12/15/40 (3) | 36,977,249 | ||||||||
21,257,456 | Federal Home Loan Mortgage Corp. (3788-SB), | 3,543,072 | ||||||||
5,346,743 | Federal Home Loan Mortgage Corp. (3885-PO), | 4,834,949 | ||||||||
10,470,000 | Federal Home Loan Mortgage Corp. (3930-KE), 4%, due 09/15/41 (PAC) (3) | 11,574,778 | ||||||||
9,130,089 | Federal Home Loan Mortgage Corp. (4030-HS), | 1,726,391 | ||||||||
12,122,322 | Federal Home Loan Mortgage Corp. (R002-ZA), 5.5%, due 06/15/35 (3) | 13,625,501 | ||||||||
8,206,209 | Federal Home Loan Mortgage Corp., Pool #A88591, 5%, due 09/01/39 (3) | 9,184,436 | ||||||||
43,241,519 | Federal Home Loan Mortgage Corp., Pool #A91162, 5%, due 02/01/40 (3) | 49,242,977 | ||||||||
13,250,579 | Federal Home Loan Mortgage Corp., Pool #A92195, 5%, due 05/01/40 (3) | 14,964,848 | ||||||||
27,969,435 | Federal Home Loan Mortgage Corp., Pool #A97038, 4%, due 02/01/41 (3) | 30,138,162 | ||||||||
5,917 | Federal Home Loan Mortgage Corp., Pool #B15322, 5%, due 07/01/19 (3) | 6,214 | ||||||||
10,975 | Federal Home Loan Mortgage Corp., Pool #B15490, 5%, due 07/01/19 (3) | 11,523 | ||||||||
52,746 | Federal Home Loan Mortgage Corp., Pool #B15557, 5%, due 07/01/19 | 55,542 | ||||||||
22,155 | Federal Home Loan Mortgage Corp., Pool #B15802, 5%, due 07/01/19 (3) | 23,470 | ||||||||
93,245 | Federal Home Loan Mortgage Corp., Pool #C90552, 6%, due 06/01/22 (3) | 105,102 | ||||||||
332,447 | Federal Home Loan Mortgage Corp., Pool #G01959, 5%, due 12/01/35 (3) | 370,489 | ||||||||
46,579,863 | Federal Home Loan Mortgage Corp., Pool #G06173, 4%, due 11/01/40 (3) | 50,864,113 | ||||||||
13,863,103 | Federal Home Loan Mortgage Corp., Pool #G07556, 4%, due 11/01/43 (3) | 15,134,940 | ||||||||
51,907,418 | Federal Home Loan Mortgage Corp., Pool #G07786, 4%, due 08/01/44 (3) | 56,507,705 | ||||||||
106,223,540 | Federal Home Loan Mortgage Corp., Pool #G07848, 3.5%, due 04/01/44 (3) | 112,020,195 | ||||||||
54,446,025 | Federal Home Loan Mortgage Corp., Pool #G07924, 3.5%, due 01/01/45 | 57,195,977 | ||||||||
83,766,197 | Federal Home Loan Mortgage Corp., Pool #G08627, 3.5%, due 02/01/45 | 87,709,101 | ||||||||
522,185 | Federal Home Loan Mortgage Corp., Pool #G11678, 4.5%, due 04/01/20 (3) | 550,499 | ||||||||
1,381,394 | Federal Home Loan Mortgage Corp., Pool #G12635, 5.5%, due 03/01/22 (3) | 1,460,580 | ||||||||
1,678,182 | Federal Home Loan Mortgage Corp., Pool #G12702, 4.5%, due 09/01/20 (3) | 1,760,887 | ||||||||
2,009,868 | Federal Home Loan Mortgage Corp., Pool #G13390, 6%, due 01/01/24 (3) | 2,236,037 | ||||||||
23,857 | Federal Home Loan Mortgage Corp., Pool #G30194, 6.5%, due 04/01/21 (3) | 26,786 | ||||||||
3,560,287 | Federal Home Loan Mortgage Corp., Pool #G30450, 6%, due 01/01/29 (3) | 4,068,099 | ||||||||
3,910,730 | Federal Home Loan Mortgage Corp., Pool #G30452, 6%, due 10/01/28 (3) | 4,468,527 | ||||||||
5,666,604 | Federal Home Loan Mortgage Corp., Pool #G30454, 5%, due 05/01/29 (3) | 6,328,690 | ||||||||
933,888 | Federal Home Loan Mortgage Corp., Pool #H82001, 5.5%, due 07/01/37 (3) | 1,048,253 | ||||||||
7,207,643 | Federal Home Loan Mortgage Corp., Pool #N70081, 5.5%, due 07/01/38 (3) | 8,156,663 | ||||||||
7,731,010 | Federal Home Loan Mortgage Corp., Pool #P51350, 5%, due 03/01/36 (3) | 8,591,571 | ||||||||
3,400,081 | Federal Home Loan Mortgage Corp., Pool #U99114, 3.5%, due 02/01/44 | 3,586,282 | ||||||||
37,507,421 | Federal Home Loan Mortgage Corp., Pool #V80284, 3.5%, due 08/01/43 (3) | 39,554,216 | ||||||||
50,835,248 | Federal Home Loan Mortgage Corp., Pool #V80353, 3%, due 08/01/43 (3) | 51,879,752 | ||||||||
447,055 | Federal National Mortgage Association (01-40-Z), 6%, due 08/25/31 (3) | 502,957 |
See accompanying notes to financial statements.
54
Table of Contents
TCW Total Return Bond Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Agency (Continued) |
| |||||||||
$ | 1,227,171 | Federal National Mortgage Association (03-117-TG), | $ | 1,343,650 | ||||||
1,265,130 | Federal National Mortgage Association (04-52-SW), | 217,035 | ||||||||
3,243,137 | Federal National Mortgage Association (04-65-LT), 4.5%, due 08/25/24 (3) | 3,498,645 | ||||||||
3,417,195 | Federal National Mortgage Association (04-68-LC), 5%, due 09/25/29 (3) | 3,718,742 | ||||||||
12,108,659 | Federal National Mortgage Association (05-117-LC), | 13,238,617 | ||||||||
647,966 | Federal National Mortgage Association (05-74-CP), | 1,008,035 | ||||||||
4,902,813 | Federal National Mortgage Association (07-20-SI), | 766,500 | ||||||||
4,902,367 | Federal National Mortgage Association (07-21-SE), | 678,449 | ||||||||
6,058,934 | Federal National Mortgage Association (07-56-SG), | 766,366 | ||||||||
13,786,608 | Federal National Mortgage Association (07-58-SV), | 1,753,837 | ||||||||
3,418,059 | Federal National Mortgage Association (07-65-S), | 445,835 | ||||||||
1,632,068 | Federal National Mortgage Association (07-88-FY), 0.641%, due 09/25/37 (2)(3) | 1,636,264 | ||||||||
15,943,032 | Federal National Mortgage Association (07-103-AI), | 2,503,220 | ||||||||
34,263,887 | Federal National Mortgage Association (07-B2-ZA), 5.5%, due 06/25/37 (3) | 38,557,922 | ||||||||
14,560,242 | Federal National Mortgage Association (08-1-AI), | 2,558,987 | ||||||||
10,100,138 | Federal National Mortgage Association (08-13-SB), | 1,656,127 | ||||||||
18,292,728 | Federal National Mortgage Association (08-23-SB), | 2,923,132 | ||||||||
2,514,073 | Federal National Mortgage Association (08-35-SD), | 508,150 | ||||||||
25,921,431 | Federal National Mortgage Association (08-66-SG), | 3,475,172 | ||||||||
10,170,573 | Federal National Mortgage Association (08-68-SA), | 1,261,852 | ||||||||
7,819,049 | Federal National Mortgage Association (09-3-SH), | 919,207 | ||||||||
2,535,315 | Federal National Mortgage Association (09-47-SV), | 320,285 | ||||||||
10,985,674 | Federal National Mortgage Association (09-51-SA), | 1,700,039 | ||||||||
5,363,622 | Federal National Mortgage Association (09-6-SD), | 740,581 | ||||||||
13,882,011 | Federal National Mortgage Association (09-68-KB), 4%, due 09/25/24 (3) | 14,713,509 | ||||||||
26,860,368 | Federal National Mortgage Association (09-71-LB), 4%, due 09/25/29 (3) | 28,854,624 | ||||||||
34,000,000 | Federal National Mortgage Association (09-72-AC), 4%, due 09/25/29 (3) | 36,676,536 |
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 — Agency (Continued) |
| |||||||||||
$ | 3,042,925 | Federal National Mortgage Association (09-72-JS), | $ | 512,914 | ||||||||
20,937,000 | Federal National Mortgage Association (10-136-CX), | 22,850,987 | ||||||||||
50,000,000 | Federal National Mortgage Association (11-111-DB), | 55,572,120 | ||||||||||
11,738,000 | Federal National Mortgage Association (12-128-UY), | 10,884,261 | ||||||||||
51,032,791 | Federal National Mortgage Association (12-133-GC), | 52,194,927 | ||||||||||
22,456,466 | Federal National Mortgage Association (12-153-PC), | 22,581,638 | ||||||||||
11,389,170 | Federal National Mortgage Association (13-101-BO), | 9,056,536 | ||||||||||
26,245,724 | Federal National Mortgage Association (13-101-CO), | 20,952,630 | ||||||||||
29,523,062 | Federal National Mortgage Association (13-21-EC), | 29,585,725 | ||||||||||
21,400,000 | Federal National Mortgage Association (13-95-PN), | 21,562,178 | ||||||||||
136,032 | Federal National Mortgage Association (93-202-SZ), | 156,859 | ||||||||||
765,005 | Federal National Mortgage Association (95-21-C), | 755,723 | ||||||||||
62,071 | Federal National Mortgage Association (G92-29-J), 8%, due 07/25/22 (3) | 68,847 | ||||||||||
70,585 | Federal National Mortgage Association, Pool #254442, 5.5%, due 09/01/17 (3) | 74,027 | ||||||||||
270,005 | Federal National Mortgage Association, Pool #254634, 5.5%, due 02/01/23 (3) | 303,820 | ||||||||||
3,526,910 | Federal National Mortgage Association, Pool #257536, 5%, due 01/01/29 (3) | 3,923,963 | ||||||||||
1,927,269 | Federal National Mortgage Association, Pool #310033, 6%, due 07/01/47 (3) | 2,196,625 | ||||||||||
8,189,710 | Federal National Mortgage Association, Pool #555424, 5.5%, due 05/01/33 (3) | 9,312,954 | ||||||||||
716,944 | Federal National Mortgage Association, Pool #555811, 4%, due 10/01/18 (3) | 756,739 | ||||||||||
59,777 | Federal National Mortgage Association, Pool #661856, | 59,688 | ||||||||||
336,329 | Federal National Mortgage Association, Pool #671133, | 348,548 | ||||||||||
97,494 | Federal National Mortgage Association, Pool #672272, | 102,501 | ||||||||||
249,248 | Federal National Mortgage Association, Pool #687847, | 265,407 | ||||||||||
883,843 | Federal National Mortgage Association, Pool #692104, | 916,912 | ||||||||||
513,629 | Federal National Mortgage Association, Pool #699866, | 537,856 | ||||||||||
254,019 | Federal National Mortgage Association, Pool #704454, | 272,982 |
See accompanying notes to financial statements.
56
Table of Contents
TCW Total Return Bond Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Agency (Continued) |
| |||||||||||
$ | 270,495 | Federal National Mortgage Association, Pool #708820, | $ | 271,376 | ||||||||
360,136 | Federal National Mortgage Association, Pool #725275, | 380,126 | ||||||||||
276,930 | Federal National Mortgage Association, Pool #728824, | 294,181 | ||||||||||
957,315 | Federal National Mortgage Association, Pool #734384, | 1,065,144 | ||||||||||
24,172 | Federal National Mortgage Association, Pool #785677, 5%, due 07/01/19 (3) | 25,461 | ||||||||||
1,160,125 | Federal National Mortgage Association, Pool #888593, 7%, due 06/01/37 (3) | 1,352,836 | ||||||||||
1,277,683 | Federal National Mortgage Association, Pool #934103, 5%, due 07/01/38 (3) | 1,405,544 | ||||||||||
2,033,918 | Federal National Mortgage Association, Pool #979563, 5%, due 04/01/28 (3) | 2,262,892 | ||||||||||
1,301,298 | Federal National Mortgage Association, Pool #995040, 5%, due 06/01/23 (3) | 1,420,319 | ||||||||||
6,582,434 | Federal National Mortgage Association, Pool #995425, 6%, due 01/01/24 (3) | 7,270,271 | ||||||||||
4,631,401 | Federal National Mortgage Association, Pool #995573, 6%, due 01/01/49 (3) | 5,138,936 | ||||||||||
9,547,884 | Federal National Mortgage Association, Pool #995953, 6%, due 11/01/28 (3) | 10,897,436 | ||||||||||
5,357,057 | Federal National Mortgage Association, Pool #995954, 6%, due 03/01/29 (3) | 6,114,254 | ||||||||||
5,032,823 | Federal National Mortgage Association, Pool #AA3303, | 5,689,908 | ||||||||||
61,495,196 | Federal National Mortgage Association, Pool #AB1617, 4%, due 10/01/40 (3) | 67,242,814 | ||||||||||
43,991,905 | Federal National Mortgage Association, Pool #AB6210, 3%, due 09/01/42 (3) | 44,912,215 | ||||||||||
8,398,177 | Federal National Mortgage Association, Pool #AC1602, | 9,282,112 | ||||||||||
16,492,297 | Federal National Mortgage Association, Pool #AE0588, 6%, due 08/01/37 (3) | 18,979,133 | ||||||||||
13,556,397 | Federal National Mortgage Association, Pool #AL0851, 6%, due 10/01/40 (3) | 15,558,910 | ||||||||||
9,650,269 | Federal National Mortgage Association, Pool #AL1594, 6%, due 07/01/40 (3) | 11,075,780 | ||||||||||
68,128,599 | Federal National Mortgage Association, Pool #AL4597, 4%, due 01/01/44 (3) | 74,477,536 | ||||||||||
20,680,228 | Federal National Mortgage Association, Pool #AQ8803, | 21,841,499 | ||||||||||
19,095,139 | Federal National Mortgage Association, Pool #MA0843, | 20,836,825 | ||||||||||
84,732,721 | Federal National Mortgage Association, Pool #MA1177, | 89,492,851 | ||||||||||
17,735,382 | Federal National Mortgage Association, Pool #MA1251, 3.5%, due 11/01/42 | 18,731,585 | ||||||||||
15,912,350 | Federal National Mortgage Association, Pool #MA1283, | 16,806,771 | ||||||||||
5,575,732 | Federal National Mortgage Association, Pool #MA1404, 3.5%, due 04/01/43 | 5,889,300 | ||||||||||
23,832,651 | Federal National Mortgage Association, Pool #MA1442, | 25,938,490 | ||||||||||
73,513,350 | Federal National Mortgage Association, Pool #MA1561, | 76,261,562 | ||||||||||
57,458,484 | Federal National Mortgage Association, Pool #MA1584, | 60,613,193 | ||||||||||
63,802,951 | Federal National Mortgage Association, Pool #MA1608, | 67,302,365 | ||||||||||
44,375,000 | Federal National Mortgage Association TBA, 2.5% (5) | 45,498,242 | ||||||||||
29,485,000 | Federal National Mortgage Association TBA, 3% (5) | 30,855,591 | ||||||||||
290,105,000 | Federal National Mortgage Association TBA, 3% (5) | 295,210,683 |
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 — Agency (Continued) |
| |||||||||||
$ | 128,000,000 | Federal National Mortgage Association TBA, 3% (5) | $ | 129,970,003 | ||||||||
359,000,000 | Federal National Mortgage Association TBA, 3.5% (5) | 376,136,624 | ||||||||||
215,985,000 | Federal National Mortgage Association TBA, 4% (5) | 230,867,716 | ||||||||||
111,070,000 | Federal National Mortgage Association TBA, 4.5% (5) | 120,901,411 | ||||||||||
1,400,445 | Government National Mortgage Association (03-42-SH), | 287,538 | ||||||||||
15,214,700 | Government National Mortgage Association (11-70-BO), | 12,387,573 | ||||||||||
27,686,346 | Government National Mortgage Association, Pool #782902, | 31,182,831 | ||||||||||
469,920 | Government National Mortgage Association II, Pool #80963, | 483,828 | ||||||||||
43,020,000 | Government National Mortgage Association II TBA, 3% (5) | 44,240,019 | ||||||||||
65,285,000 | Government National Mortgage Association II TBA, 3.5% (5) | 68,875,677 | ||||||||||
69,840,000 | Government National Mortgage Association II TBA, 4% (5) | 74,633,317 | ||||||||||
6,510,000 | Government National Mortgage Association II TBA, 4.5% (5) | 7,067,419 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $3,676,935,326) | 3,771,849,596 | |||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — Non-Agency (28.9%) |
| |||||||||||
4,256,149 | Accredited Mortgage Loan Trust (05-3-A2D), 0.54%, due 09/25/35 (2) | 4,244,959 | ||||||||||
16,697,679 | ACE Securities Corp. (06-ASP1-A2D), 0.491%, due 12/25/35 (2) | 15,830,092 | ||||||||||
19,977,397 | ACE Securities Corp. (07-ASP1-A2C), 0.441%, due 03/25/37 (2) | 12,072,550 | ||||||||||
10,737,639 | ACE Securities Corp. (07-ASP1-A2D), 0.561%, due 03/25/37 (2) | 6,601,636 | ||||||||||
2,314,476 | Adjustable Rate Mortgage Trust (04-5-3A1), 2.505%, due 04/25/35 (2) | 2,304,655 | ||||||||||
23,002,000 | Ameriquest Mortgage Securities, Inc. (05-R10-A2C), | 22,664,331 | ||||||||||
6,824,409 | Asset-Backed Funding Certificates (05-HE2-M2), 0.931%, due 06/25/35 (2) | 6,769,285 | ||||||||||
21,712,973 | Asset-Backed Funding Certificates (07-WMC1-A2A), | 14,619,019 | ||||||||||
2,559,746 | Asset-Backed Securities Corp. Home Equity (05-HE5-M2), | 2,558,174 | ||||||||||
49,898,350 | Asset-Backed Securities Corp. Home Equity (07-HE1-A4), | 42,926,902 | ||||||||||
2,131,754 | Banc of America Alternative Loan Trust (03-3-A4), 5.75%, due 05/25/33 | 2,193,025 | ||||||||||
698,070 | Banc of America Alternative Loan Trust (03-4-1A5), 5.5%, due 06/25/33 | 721,349 | ||||||||||
17,104,290 | Banc of America Alternative Loan Trust (03-9-1CB5), 5.5%, due 11/25/33 | 17,514,328 | ||||||||||
907,285 | Banc of America Funding Corp. (04-B-3A1), 2.766%, due 12/20/34 (2) | 521,984 | ||||||||||
226,904 | Banc of America Funding Corp. (06-D-2A1), 2.822%, due 05/20/36 (2)(6) | 167,092 | ||||||||||
7,403,268 | Banc of America Funding Corp. (06-D-3A1), 2.797%, due 05/20/36 (2)(6) | 6,615,761 | ||||||||||
16,949,110 | Banc of America Funding Corp. (06-G-2A1), 0.401%, due 07/20/36 (2) | 15,899,960 | ||||||||||
2,088,369 | Banc of America Funding Trust (06-3-4A14), 6%, due 03/25/36 | 2,106,912 | ||||||||||
8,833,802 | Banc of America Funding Trust (06-3-5A3), 5.5%, due 03/25/36 (6) | 8,370,363 | ||||||||||
3,587,966 | BCAP LLC Trust (07-AA1-1A2), 0.341%, due 02/25/47 (2)(6) | 3,336,593 | ||||||||||
30,687,475 | BCAP LLC Trust (08-IND2-A1), 1.831%, due 04/25/38 (2) | 30,623,062 | ||||||||||
395,670 | BCAP LLC Trust (09-RR1-21A1), (144A), 2.613%, due 11/26/34 (1)(2) | 398,260 | ||||||||||
1,521,809 | BCAP LLC Trust (09-RR1-22A1), (144A), 2.618%, due 05/26/35 (1)(2) | 1,536,915 |
See accompanying notes to financial statements.
58
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April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) |
| |||||||||||
$ | 975,161 | BCAP LLC Trust (09-RR1-23A1), (144A), 2.627%, due 05/26/35 (1)(2) | $ | 987,744 | ||||||||
7,561,284 | BCAP LLC Trust (11-RR2-3A6), (144A), 2.63%, due 11/21/35 (1)(2) | 7,117,693 | ||||||||||
1,120,065 | BCAP LLC Trust (11-RR3-1A5), (144A), 2.714%, due 05/27/37 (1)(2) | 1,115,761 | ||||||||||
1,796,674 | BCAP LLC Trust (11-RR3-5A3), (144A), 5.094%, due 11/27/37 (1)(2) | 1,745,660 | ||||||||||
7,302,270 | BCAP LLC Trust (11-RR4-1A3), (144A), 2.901%, due 03/26/36 (1)(2) | 7,159,693 | ||||||||||
6,458,083 | BCAP LLC Trust (11-RR4-2A3), (144A), 1%, due 06/26/47 (1)(2) | 6,426,652 | ||||||||||
8,165,020 | BCAP LLC Trust (11-RR4-3A3), (144A), 2.533%, due 07/26/36 (1)(2) | 7,612,632 | ||||||||||
10,156,248 | BCAP LLC Trust (11-RR5-1A3), (144A), 2.499%, due 03/26/37 (1)(2) | 9,995,600 | ||||||||||
2,919,773 | BCAP LLC Trust (11-RR5-2A3), (144A), 2.669%, due 06/26/37 (1)(2) | 2,925,857 | ||||||||||
18,003,678 | BCAP LLC Trust (11-RR9-7A1), (144A), 1.943%, due 04/26/37 (1)(2) | 17,901,669 | ||||||||||
7,134,832 | BCAP LLC Trust (12-RR2-9A3), (144A), 2.616%, due 03/26/35 (1)(2) | 7,191,647 | ||||||||||
5,293,050 | BCAP LLC Trust (12-RR7-1A1), (144A), 0.344%, due 08/26/36 (1)(2) | 5,192,874 | ||||||||||
14,791,496 | BCAP LLC Trust (12-RR8-3A1), (144A), 2.527%, due 08/26/36 (1)(2) | 14,619,782 | ||||||||||
2,494,188 | BCAP LLC Trust (12-RR8-5A3), (144A), 0.451%, due 05/26/37 (1)(2) | 2,449,308 | ||||||||||
5,006,514 | BCAP LLC Trust (12-RR9-1A1), (144A), 0.351%, due 07/26/35 (1)(2)(6) | 4,861,280 | ||||||||||
8,367,072 | BCAP LLC Trust (13-RR2-6A1), (144A), 2.701%, due 06/26/37 (1)(2) | 8,361,832 | ||||||||||
2,527,248 | Bear Stearns Alt-A Trust (04-13-A1), 0.921%, due 11/25/34 (2) | 2,514,687 | ||||||||||
9,429 | Bear Stearns Alt-A Trust (05-2-2A4), 2.516%, due 04/25/35 (2) | 9,045 | ||||||||||
11,829,768 | Bear Stearns Alt-A Trust (05-4-23A1), 2.526%, due 05/25/35 (2) | 11,505,248 | ||||||||||
917,641 | Bear Stearns Alt-A Trust (06-4-32A1), 2.744%, due 07/25/36 (2)(6) | 639,021 | ||||||||||
1,716,698 | Bear Stearns ARM Trust (04-12-1A1), 2.601%, due 02/25/35 (2) | 1,595,011 | ||||||||||
4,369,471 | Bear Stearns ARM Trust (06-2-2A1), 2.71%, due 07/25/36 (2)(6) | 3,752,012 | ||||||||||
491,221 | Bear Stearns ARM Trust (07-1-2A1), 2.721%, due 02/25/47 (2)(6) | 414,111 | ||||||||||
2,416,279 | Bear Stearns ARM Trust (07-5-3A1), 4.869%, due 08/25/47 (2)(6) | 2,245,166 | ||||||||||
3,298,560 | Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A3), | 3,329,051 | ||||||||||
7,052,881 | Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A4), | 7,084,905 | ||||||||||
8,518,245 | Bear Stearns Asset-Backed Securities I Trust (06-HE9-1A2), | 6,987,737 | ||||||||||
999,354 | Bear Stearns Mortgage Funding Trust (06-AR3-1A1), | 759,639 | ||||||||||
4,018,623 | Bear Stearns Mortgage Funding Trust (07-AR4-1A1), | 3,340,247 | ||||||||||
177,740 | BNC Mortgage Loan Trust (07-1-A2), 0.241%, due 03/25/37 (2) | 178,282 | ||||||||||
2,161,782 | BNC Mortgage Loan Trust (07-3-A2), 0.241%, due 07/25/37 (2) | 2,139,879 | ||||||||||
2,023,526 | Carrington Mortgage Loan Trust (05-NC5-A2), 0.501%, due 10/25/35 (2) | 2,020,697 | ||||||||||
16,507,175 | Carrington Mortgage Loan Trust (05-NC5-A3), 0.601%, due 10/25/35 (2) | 15,969,833 | ||||||||||
7,644,098 | Centex Home Equity (05-D-M1), 0.611%, due 10/25/35 (2) | 7,634,084 | ||||||||||
1,681,513 | Chase Mortgage Finance Corp. (06-A1-2A1), 2.499%, due 09/25/36 (2)(6) | 1,497,806 | ||||||||||
9,156,081 | Chase Mortgage Finance Corp. (07-A1-8A1), 2.518%, due 02/25/37 (2) | 9,263,866 | ||||||||||
5,256,986 | Chaseflex Trust (05-1-1A5), 6.5%, due 02/25/35 (6) | 5,223,857 | ||||||||||
24,227,000 | Chaseflex Trust (06-1-A3), 6.295%, due 06/25/36 (2) | 24,155,240 | ||||||||||
1,072,322 | Citicorp Mortgage Securities Trust, Inc. (07-4-3A1), 5.5%, due 05/25/37 | 1,062,744 | ||||||||||
7,389,179 | Citicorp Residential Mortgage Trust, Inc. (06-2-A4), 5.775%, due 09/25/36 | 7,756,866 | ||||||||||
8,509,449 | Citigroup Mortgage Loan Trust, Inc. (06-AR5-1A1A), | 7,408,173 |
See accompanying notes to financial statements.
59
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Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) |
| |||||||||
$ | 10,056,210 | Citigroup Mortgage Loan Trust, Inc. (06-AR9-1A2), 0.351%, due 11/25/36 (2) | $ | 10,009,519 | ||||||
4,969,670 | Citigroup Mortgage Loan Trust, Inc. (06-WFH2-A2A), | 4,854,028 | ||||||||
5,800,908 | Citigroup Mortgage Loan Trust, Inc. (07-12-2A1), (144A), | 4,617,333 | ||||||||
5,525,423 | Citigroup Mortgage Loan Trust, Inc. (08-AR4-1A1A), (144A), | 5,615,868 | ||||||||
2,860,803 | Citigroup Mortgage Loan Trust, Inc. (09-5-7A1), (144A), | 2,721,204 | ||||||||
3,753,919 | Citigroup Mortgage Loan Trust, Inc. (10-4-4A5), (144A), | 3,866,988 | ||||||||
169,896 | Citigroup Mortgage Loan Trust, Inc. (10-6-3A1), (144A), | 170,305 | ||||||||
1,268,027 | Citigroup Mortgage Loan Trust, Inc. (10-9-5A5), (144A), | 1,293,260 | ||||||||
10,884,885 | Citigroup Mortgage Loan Trust, Inc. (12-10-3A1), (144A), | 11,069,809 | ||||||||
16,565,611 | Citigroup Mortgage Loan Trust, Inc. (12-11-1A1), (144A), | 16,008,560 | ||||||||
5,418,369 | Citigroup Mortgage Loan Trust, Inc. (12-8-4A1), (144A), | 5,161,818 | ||||||||
8,951,945 | Citigroup Mortgage Loan Trust, Inc. (14-10-2A1), (144A), | 8,660,416 | ||||||||
6,088,818 | Citigroup Mortgage Loan Trust, Inc. (14-2-3A1), (144A), | 5,993,135 | ||||||||
17,475,000 | Citigroup Mortgage Loan Trust, Inc. (15-5-1A1), 1%, due 01/25/36 (7) | 17,005,335 | ||||||||
1,791,768 | CitiMortgage Alternative Loan Trust (05-A1-2A1), 5%, due 07/25/20 | 1,840,422 | ||||||||
5,458,075 | Conseco Financial Corp. (99-2-A7), 6.44%, due 12/01/30 | 5,711,301 | ||||||||
1,479,820 | Countrywide Alternative Loan Trust (05-20CB-4A1), 5.25%, due 07/25/20 (6) | 1,471,153 | ||||||||
509,173 | Countrywide Alternative Loan Trust (05-84-1A1), 2.478%, due 02/25/36 (2)(6) | 388,681 | ||||||||
1,870,144 | Countrywide Alternative Loan Trust (05-J1-2A1), 5.5%, due 02/25/25 | 1,884,459 | ||||||||
8,494,420 | Countrywide Alternative Loan Trust (06-HY12-A5), 3.563%, due 08/25/36 (2) | 8,206,306 | ||||||||
1,292,959 | Countrywide Alternative Loan Trust (06-J3-3A1), 5.5%, due 04/25/21 | 1,310,753 | ||||||||
1,120,330 | Countrywide Alternative Loan Trust (07-HY5R-2A1A), | 1,115,269 | ||||||||
18,671,229 | Countrywide Home Loans Mortgage Pass-Through Trust (04-13-1A3), | 19,679,176 | ||||||||
20,348,806 | Countrywide Home Loans Mortgage Pass-Through Trust (05-9-1A1), | 17,557,743 | ||||||||
66,705 | Countrywide Home Loans Mortgage Pass-Through Trust (05-HYB5-4A1), | 58,843 | ||||||||
20,686 | Countrywide Home Loans Mortgage Pass-Through Trust (07-HY5-1A1), | 18,242 | ||||||||
70,726 | Countrywide Home Loans Mortgage Pass-Through Trust (07-HYB1-1A1), | 58,211 | ||||||||
1,905,872 | Credit Suisse Commercial Mortgage Trust (10-1R-8A1), (144A), | 1,924,676 |
See accompanying notes to financial statements.
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April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) |
| |||||||||
$ | 26,204,937 | Credit Suisse Commercial Mortgage Trust (13-2R-2A1), (144A), | $ | 25,509,602 | ||||||
6,916,871 | Credit Suisse Commercial Mortgage Trust (13-7R-4A1), (144A), | 6,382,335 | ||||||||
86,661 | Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA), | 92,842 | ||||||||
3,444,992 | Credit Suisse First Boston Mortgage Securities Corp. (05-11-1A1), | 2,741,866 | ||||||||
13,334,196 | Credit Suisse First Boston Mortgage Securities Corp. (05-12-1A1), | 10,441,943 | ||||||||
2,528,385 | Credit Suisse Mortgage Capital Certificates (10-1R-7A1), (144A), | 2,538,092 | ||||||||
5,413,399 | Credit-Based Asset Servicing and Securitization LLC (06-CB1-AF2), | 4,052,756 | ||||||||
40,029,422 | Credit-Based Asset Servicing and Securitization LLC (06-CB7-A4), | 28,111,941 | ||||||||
21,326,680 | Credit-Based Asset Servicing and Securitization LLC (06-CB9-A4), | 12,499,695 | ||||||||
17,750,040 | Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2C), | 13,360,437 | ||||||||
15,390,650 | CSMC Mortgage-Backed Trust (06-8-3A1), 6%, due 10/25/21 (6) | 15,043,967 | ||||||||
8,072,139 | CSMC Mortgage-Backed Trust (06-9-5A1), 5.5%, due 11/25/36 | 7,920,637 | ||||||||
20,131,045 | CSMC Mortgage-Backed Trust (07-2-3A4), 5.5%, due 03/25/37 (6) | 19,088,519 | ||||||||
13,224,900 | CSMC Mortgage-Backed Trust (14-11R-11A1), (144A), | 13,205,018 | ||||||||
776,753 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AR6-A6), | 583,474 | ||||||||
5,101,908 | DSLA Mortgage Loan Trust (05-AR6-2A1A), 0.471%, due 10/19/45 (2) | 4,497,853 | ||||||||
42,284,618 | DSLA Mortgage Loan Trust (06-AR2-2A1A), 0.381%, due 10/19/36 (2) | 34,510,042 | ||||||||
4,526,478 | DSLA Mortgage Loan Trust (07-AR1-2A1A), 0.321%, due 04/19/47 (2) | 3,792,011 | ||||||||
3,482,979 | EquiFirst Mortgage Loan Trust (04-2-1A1), 0.741%, due 10/25/34 (2) | 3,480,983 | ||||||||
6,057,806 | Fieldstone Mortgage Investment Corp. (07-1-2A2), 0.444%, due 04/25/47 (2) | 4,127,286 | ||||||||
36,821,251 | First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2C), | 24,893,891 | ||||||||
21,607,599 | First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2D), | 14,719,788 | ||||||||
7,637,330 | First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2C), | 4,651,514 | ||||||||
32,030,158 | First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2D), | 21,175,362 | ||||||||
5,068,000 | First Franklin Mortgage Loan Trust (06-FF9-2A4), 0.431%, due 06/25/36 (2) | 2,936,777 | ||||||||
10,130,960 | First Horizon Alternative Mortgage Securities Trust (05-AA3-3A1), | 9,728,575 | ||||||||
6,888,196 | First Horizon Alternative Mortgage Securities Trust (05-AA7-1A1), | 5,886,232 | ||||||||
6,937,626 | First Horizon Alternative Mortgage Securities Trust (05-AA7-2A1), | 6,293,501 |
See accompanying notes to financial statements.
61
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Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) |
| |||||||||
$ | 12,822,523 | First Horizon Alternative Mortgage Securities Trust (06-AA7-A1), | $ | 10,609,124 | ||||||
15,007,692 | Fremont Home Loan Trust (05-E-2A4), 0.511%, due 01/25/36 (2) | 12,241,189 | ||||||||
6,037,569 | Fremont Home Loan Trust (06-1-2A3), 0.361%, due 04/25/36 (2) | 5,462,642 | ||||||||
5,143,426 | GMAC Mortgage Loan Trust (05-AR5-2A1), 2.936%, due 09/19/35 (2) | 4,773,382 | ||||||||
865,888 | GreenPoint Mortgage Funding Trust (05-AR3-1A1), 0.421%, due 08/25/45 (2) | 733,081 | ||||||||
23,363,893 | GreenPoint Mortgage Funding Trust (06-AR5-A2A2), | 22,918,343 | ||||||||
1,648,687 | GS Mortgage Securities Corp. (09-1R-3A1), (144A), | 1,665,526 | ||||||||
5,235,043 | GSAA Home Equity Trust (05-7-AF5), 4.611%, due 05/25/35 | 5,494,743 | ||||||||
2,583,183 | GSAA Home Equity Trust (05-9-2A3), 0.551%, due 08/25/35 (2) | 2,367,593 | ||||||||
7,606,330 | GSR Mortgage Loan Trust (04-9-3A1), 2.529%, due 08/25/34 (2) | 7,676,786 | ||||||||
3,140,485 | GSR Mortgage Loan Trust (05-4F-4A3), 5.5%, due 05/25/35 (PAC) | 3,235,888 | ||||||||
24,458,554 | GSR Mortgage Loan Trust (07-3F-3A7), 6%, due 05/25/37 | 23,927,363 | ||||||||
2,472,808 | GSR Mortgage Loan Trust (07-AR2-2A1), 2.781%, due 05/25/37 (2)(6) | 2,240,561 | ||||||||
4,167,650 | GSR Mortgage Loan Trust (07-AR2-5A1A), 5.191%, due 05/25/37 (2)(6) | 3,738,945 | ||||||||
4,299,753 | Harborview Mortgage Loan Trust (05-9-2A1A), 0.521%, due 06/20/35 (2) | 4,030,558 | ||||||||
33,457,574 | Harborview Mortgage Loan Trust (06-8-2A1A), 0.37%, due 07/21/36 (2) | 27,984,016 | ||||||||
9,549,452 | Home Equity Asset Trust (05-8-2A4), 0.541%, due 02/25/36 (2) | 9,505,379 | ||||||||
4,828,987 | Homestar Mortgage Acceptance Corp. (04-3-AV2C), | 4,822,869 | ||||||||
1,564,472 | Homestar Mortgage Acceptance Corp. (04-5-A1), 0.631%, due 10/25/34 (2)(3) | 1,570,808 | ||||||||
20,000,000 | HSBC Home Equity Loan Trust USA (06-4-M1), 0.441%, due 03/20/36 (2) | 19,314,430 | ||||||||
1,819,220 | HSI Asset Loan Obligation Trust (07-2-2A12), 6%, due 09/25/37 | 1,732,061 | ||||||||
14,601 | Impac CMB Trust (04-5-1A1), 0.901%, due 10/25/34 (2) | 13,993 | ||||||||
2,119,987 | Impac CMB Trust (05-1-1A1), 0.701%, due 04/25/35 (2) | 1,947,825 | ||||||||
10,819,963 | Impac CMB Trust (05-5-A2), 0.621%, due 08/25/35 (2) | 9,604,957 | ||||||||
12,512,579 | Indymac Index Mortgage Loan Trust (04-AR4-2A), 2.473%, due 08/25/34 (2) | 12,355,334 | ||||||||
2,115,203 | Indymac Index Mortgage Loan Trust (04-AR9-4A), 2.554%, due 11/25/34 (2) | 1,909,123 | ||||||||
8,252,933 | Indymac Index Mortgage Loan Trust (05-AR17-3A1), | 7,174,663 | ||||||||
7,061,176 | Indymac Index Mortgage Loan Trust (05-AR23-2A1), | 6,074,157 | ||||||||
8,818,027 | Indymac Index Mortgage Loan Trust (05-AR23-6A1), | 7,490,257 | ||||||||
4,995,388 | Indymac Index Mortgage Loan Trust (05-AR25-2A1), | 4,493,756 | ||||||||
6,820,755 | Indymac Index Mortgage Loan Trust (05-AR7-2A1), 2.303%, due 06/25/35 (2) | 5,589,097 | ||||||||
7,318,056 | Indymac Index Mortgage Loan Trust (06-AR19-4A1), | 5,526,786 | ||||||||
14,829,955 | Indymac Index Mortgage Loan Trust (06-AR39-A1), | 12,097,684 | ||||||||
9,649,652 | Indymac Index Mortgage Loan Trust (06-AR8-A3A), | 7,939,791 | ||||||||
34,889 | Indymac Index Mortgage Loan Trust (07-AR11-1A1), | 26,608 |
See accompanying notes to financial statements.
62
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TCW Total Return Bond Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) |
| |||||||||
$ | 17,222,091 | Indymac Index Mortgage Loan Trust (07-AR13-4A1), | $ | 11,107,939 | ||||||
27,094,747 | Indymac Index Mortgage Loan Trust (07-AR5-2A1), | 21,264,391 | ||||||||
6,988,759 | Indymac Index Mortgage Loan Trust (07-AR7-1A1), 2.71%, due 11/25/37 (2) | 6,652,859 | ||||||||
20,178,897 | Indymac Index Mortgage Loan Trust (07-FLX1-A2), 0.361%, due 02/25/37 (2) | 19,174,888 | ||||||||
801,074 | Jefferies & Co., Inc. (09-R3-1A1), (144A), 2.392%, due 12/26/35 (1)(2) | 807,434 | ||||||||
378,571 | Jefferies & Co., Inc. (11-R1-2A1), (144A), 0.295%, due 08/26/47 (1)(2) | 378,245 | ||||||||
12,527,708 | JPMorgan Alternative Loan Trust (06-A2-5A1), 4.841%, due 05/25/36 (2)(6) | 9,662,408 | ||||||||
13,788,279 | JPMorgan Alternative Loan Trust (06-A4-A8), 6.2%, due 09/25/36 (2)(6) | 13,597,794 | ||||||||
9,333,017 | JPMorgan Mortgage Acquisition Corp. (06-CH2-AF4), 5.763%, due 10/25/36 | 7,609,271 | ||||||||
29,015,000 | JPMorgan Mortgage Acquisition Corp. (07-CH4-A4), | 26,550,669 | ||||||||
1,018,042 | JPMorgan Mortgage Trust (05-A6-7A1), 2.529%, due 08/25/35 (2)(6) | 967,880 | ||||||||
6,612,391 | JPMorgan Mortgage Trust (06-A2-5A3), 2.433%, due 11/25/33 (2) | 6,635,649 | ||||||||
1,096,669 | JPMorgan Mortgage Trust (06-A4-1A4), 2.593%, due 06/25/36 (2)(6) | 968,280 | ||||||||
48,704 | JPMorgan Mortgage Trust (06-A7-2A4R), 2.548%, due 01/25/37 (2)(6) | 45,000 | ||||||||
2,429,377 | JPMorgan Mortgage Trust (06-S2-2A2), 5.875%, due 06/25/21 (6) | 2,431,472 | ||||||||
4,115,881 | JPMorgan Resecuritization Trust Series (10-4-1A1), (144A), | 4,139,958 | ||||||||
1,076,012 | JPMorgan Resecuritization Trust Series (10-5-3A1), (144A), | 1,081,120 | ||||||||
9,569,071 | JPMorgan Resecuritization Trust Series (12-3-A3), (144A), | 9,284,883 | ||||||||
1,368,912 | Lehman Mortgage Trust (05-1-6A1), 5%, due 11/25/20 (6) | 1,233,296 | ||||||||
4,972,471 | Lehman Mortgage Trust (06-4-4A1), 6%, due 08/25/21 (6) | 4,932,314 | ||||||||
3,671,564 | Lehman Mortgage Trust (07-10-4A1), 6%, due 01/25/27 (6) | 2,820,297 | ||||||||
32,393,906 | Lehman XS Trust (06-10N-1A3A), 0.391%, due 07/25/46 (2)(6) | 25,902,750 | ||||||||
9,499,931 | Lehman XS Trust (06-12N-A31A), 0.381%, due 08/25/46 (2)(6) | 7,320,020 | ||||||||
10,595,563 | Lehman XS Trust (06-13-1A2), 0.351%, due 09/25/36 (2)(6) | 9,511,944 | ||||||||
10,689,929 | Lehman XS Trust (06-19-A2), 0.351%, due 12/25/36 (2)(6) | 8,921,494 | ||||||||
23,017,264 | Lehman XS Trust (06-9-A1B), 0.341%, due 05/25/46 (2)(6) | 19,636,051 | ||||||||
2,032 | Lehman XS Trust (06-GP1-A2A), 0.351%, due 05/25/46 (2)(6) | 2,041 | ||||||||
9,894,306 | Lehman XS Trust (06-GP4-3A2A), 0.341%, due 08/25/46 (2)(6) | 9,526,055 | ||||||||
2,523,195 | Lehman XS Trust (07-4N-1A1), 0.311%, due 03/25/47 (2)(6) | 2,457,736 | ||||||||
12,591,242 | Long Beach Mortgage Loan Trust (06-WL1-1A3), 0.511%, due 01/25/46 (2) | 11,255,228 | ||||||||
14,950,000 | Long Beach Mortgage Loan Trust (06-WL1-2A4), 0.521%, due 01/25/46 (2) | 12,523,406 | ||||||||
8,589,982 | Luminent Mortgage Trust (07-2-1A3), 0.401%, due 05/25/37 (2)(6) | 7,864,541 | ||||||||
10,950,000 | Madison Avenue Manufactured Housing Contract (02-A-B1), | 11,232,618 | ||||||||
16,992,259 | MASTR Adjustable Rate Mortgages Trust (04-9-M1), | 16,742,915 | ||||||||
417,011 | MASTR Adjustable Rate Mortgages Trust (07-2-A2), | 409,381 | ||||||||
8,776,797 | MASTR Alternative Loans Trust (05-4-1A1), 6.5%, due 05/25/35 | 8,800,556 | ||||||||
83,539 | MASTR Alternative Loans Trust (06-2-2A1), 0.581%, due 03/25/36 (2)(6) | 20,952 |
See accompanying notes to financial statements.
63
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Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) |
| |||||||||
$ | 252,033 | MASTR Asset Securitization Trust (03-8-1A1), 5.5%, due 09/25/33 | $ | 259,464 | ||||||
94,188 | MASTR Asset Securitization Trust (06-3-2A1), 0.631%, due 10/25/36 (2)(6) | 64,095 | ||||||||
1,732,769 | MASTR Asset-Backed Securities Trust (06-AB1-A2), 0.411%, due 02/25/36 (2) | 1,702,220 | ||||||||
4,058,968 | MASTR Asset-Backed Securities Trust (06-AB1-A4), 5.719%, due 02/25/36 | 4,123,578 | ||||||||
27,885,597 | MASTR Asset-Backed Securities Trust (06-HE5-A3), 0.341%, due 11/25/36 (2) | 18,503,140 | ||||||||
15,081 | MASTR Seasoned Securitization Trust (04-1-4A1), 2.485%, due 10/25/32 (2) | 15,137 | ||||||||
2,609,763 | Merrill Lynch Alternative Note Asset Trust (07-A1-A2C), | 1,327,096 | �� | |||||||
1,342,462 | Merrill Lynch Alternative Note Asset Trust (07-A1-A3), | 633,212 | ||||||||
10,519,295 | Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2B), | 6,253,710 | ||||||||
36,813,091 | Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2C), | 22,155,112 | ||||||||
9,072,796 | Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2D), | 5,535,050 | ||||||||
8,277,517 | Merrill Lynch First Franklin Mortgage Loan Trust (07-2-A2C), | 4,843,379 | ||||||||
4,180,421 | Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2B), | 2,870,737 | ||||||||
50,141,697 | Merrill Lynch First Franklin Mortgage Loan Trust (07-4-2A3), | 32,377,246 | ||||||||
4,181,611 | Merrill Lynch Mortgage-Backed Securities Trust (07-2-1A1), | 3,881,915 | ||||||||
4,667,735 | Mid-State Trust (05-1-A), 5.745%, due 01/15/40 | 5,060,990 | ||||||||
2,036,489 | Morgan Stanley ABS Capital I, Inc. Trust (04-NC8-M2), | 1,984,208 | ||||||||
5,687,000 | Morgan Stanley ABS Capital I, Inc. Trust (05-HE3-M3), | 5,512,335 | ||||||||
15,560,492 | Morgan Stanley ABS Capital I, Inc. Trust (05-HE5-M1), | 15,316,006 | ||||||||
4,413,000 | Morgan Stanley Home Equity Loan Trust (05-2-M3), | 4,385,728 | ||||||||
5,155,000 | Morgan Stanley Home Equity Loan Trust (06-2-A4), 0.461%, due 02/25/36 (2) | 4,784,358 | ||||||||
7,073,081 | Morgan Stanley Mortgage Loan Trust (05-6AR-1A1), | 6,858,557 | ||||||||
1,356,675 | Morgan Stanley Mortgage Loan Trust (07-3XS-2A6), 5.763%, due 01/25/47 | 925,819 | ||||||||
4,902,839 | Morgan Stanley Mortgage Loan Trust (07-7AX-2A1), | 2,465,701 | ||||||||
6,806,639 | Morgan Stanley REREMIC Trust (10-R2-2B), (144A), | 6,755,928 | ||||||||
�� | 19,803,012 | Morgan Stanley REREMIC Trust (13-R2-1A), (144A), | 19,640,247 | |||||||
5,063,085 | Morgan Stanley REREMIC Trust (13-R3-12A), (144A), | 5,074,222 |
See accompanying notes to financial statements.
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April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) |
| |||||||||
$ | 16,970,320 | Morgan Stanley Resecuritization Trust (14-R2-2A), (144A), 2.011%, due | $ | 16,946,497 | ||||||
14,333,820 | MortgageIT Trust (05-3-A1), 0.481%, due 08/25/35 (2) | 13,766,322 | ||||||||
7,077,440 | MortgageIT Trust (05-4-A1), 0.461%, due 10/25/35 (2) | 6,495,158 | ||||||||
10,000,000 | Nationstar Home Equity Loan Trust (07-B-2AV3), 0.431%, due 04/25/37 (2) | 8,424,890 | ||||||||
7,490,800 | New Century Home Equity Loan Trust (05-1-A1SS), 0.701%, due 03/25/35 (2) | 7,485,751 | ||||||||
16,239,600 | New Century Home Equity Loan Trust (05-2-M1), 0.611%, due 06/25/35 (2) | 16,177,555 | ||||||||
16,671,785 | New Century Home Equity Loan Trust (05-3-M1), 0.661%, due 07/25/35 (2) | 16,630,239 | ||||||||
8,600,819 | Nomura Resecuritization Trust (12-3R-1A1), (144A), | 8,294,769 | ||||||||
21,005,013 | Nomura Resecuritization Trust (15-1R-2A1), (144A), | 20,849,169 | ||||||||
12,148,138 | Nomura Resecuritization Trust (15-2R-1A1), (144A), | 12,067,075 | ||||||||
19,810,337 | Nomura Resecuritization Trust (15-4R-2A1), (144A), | 19,126,595 | ||||||||
14,069,464 | Nomura Resecuritization Trust (15-4R-3A1), (144A), | 14,589,928 | ||||||||
22,866,000 | Nomura Resecuritization Trust (15-5R-2A1), (144A), 2.41%, due 04/26/35 (1) | 23,238,716 | ||||||||
4,954,803 | Oakwood Mortgage Investors, Inc. (02-A-A4), 6.97%, due 03/15/32 (2) | 5,385,348 | ||||||||
21,377,509 | Opteum Mortgage Acceptance Corp. (06-1-2A1), 5.75%, due 04/25/36 (2) | 21,666,768 | ||||||||
2,354,826 | Origen Manufactured Housing Contract Trust (04-A-M2), | 2,575,562 | ||||||||
1,906,322 | Origen Manufactured Housing Contract Trust (04-B-B1), | 2,137,228 | ||||||||
1,167,742 | Origen Manufactured Housing Contract Trust (04-B-M2), | 1,277,556 | ||||||||
1,108,602 | Origen Manufactured Housing Contract Trust (05-A-B), | 1,196,694 | ||||||||
904,981 | Origen Manufactured Housing Contract Trust (05-A-M2), | 979,890 | ||||||||
19,300,000 | Ownit Mortgage Loan Asset-Backed Certificates (06-3-A2D), | 13,918,894 | ||||||||
22,948,776 | Ownit Mortgage Loan Asset-Backed Certificates (06-6-A2C), | 13,859,591 | ||||||||
8,662,444 | Park Place Securities, Inc. (05-WCH1-M2), 0.961%, due 01/25/36 (2) | 8,637,748 | ||||||||
14,715,000 | Park Place Securities, Inc. (05-WCW1-M1), 0.631%, due 09/25/35 (2) | 14,648,106 | ||||||||
6,580,120 | Prime Mortgage Trust (06-1-1A1), 5.5%, due 06/25/36 (6) | 6,213,462 | ||||||||
7,108,693 | RAAC Series Trust (05-SP1-4A1), 7%, due 09/25/34 | 7,733,067 | ||||||||
4,059,701 | RAAC Series Trust (07-SP1-A3), 0.661%, due 03/25/37 (2) | 3,933,986 | ||||||||
1,498,448 | RALI Trust (05-QA13-2A1), 3.556%, due 12/25/35 (2)(6) | 1,297,484 | ||||||||
6,816,253 | RALI Trust (05-QA7-A21), 2.916%, due 07/25/35 (2)(6) | 6,114,922 | ||||||||
13,536,351 | RALI Trust (06-QA3-A1), 0.381%, due 04/25/36 (2)(6) | 12,271,207 | ||||||||
1,026,713 | RBSSP Resecuritization Trust (10-12-4A1), (144A), 4%, due 05/21/36 (1)(2) | 1,036,069 | ||||||||
15,321,192 | Residential Accredit Loans, Inc. (05-QA8-CB21), 3.183%, due 07/25/35 (2)(6) | 12,680,026 | ||||||||
2,272,168 | Residential Accredit Loans, Inc. (05-QS7-A1), 5.5%, due 06/25/35 (6) | 2,040,955 |
See accompanying notes to financial statements.
65
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Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) |
| |||||||||
$ | 34,702 | Residential Accredit Loans, Inc. (06-QA1-A21), 3.752%, due 01/25/36 (2)(6) | $ | 28,038 | ||||||
29,184,226 | Residential Accredit Loans, Inc. (06-QA10-A2), 0.361%, due 12/25/36 (2)(6) | 22,765,827 | ||||||||
42,874 | Residential Accredit Loans, Inc. (06-QA2-1A1), 0.431%, due 02/25/36 (2)(6) | 30,641 | ||||||||
9,988,684 | Residential Accredit Loans, Inc. (06-QO1-3A1), 0.451%, due 02/25/46 (2) | 6,346,430 | ||||||||
80,416,782 | Residential Accredit Loans, Inc. (06-QS10-AV), | 1,833,945 | ||||||||
80,862,976 | Residential Accredit Loans, Inc. (06-QS11-AV), 0.34%, due 08/25/36 (I/O)(2) | 1,149,427 | ||||||||
6,771,592 | Residential Accredit Loans, Inc. (06-QS5-A5), 6%, due 05/25/36 (6) | 5,824,057 | ||||||||
112,534,995 | Residential Accredit Loans, Inc. (06-QS6-1AV), | 3,596,787 | ||||||||
24,282,246 | Residential Accredit Loans, Inc. (06-QS7-AV), 0.654%, due 06/25/36 (I/O)(2) | 778,369 | ||||||||
1,294,628 | Residential Accredit Loans, Inc. (06-RS3-A3), 0.381%, due 05/25/36 (2)(6) | 1,274,960 | ||||||||
5,394,938 | Residential Accredit Loans, Inc. (07-QS1-2AV), | 40,919 | ||||||||
40,579,044 | Residential Accredit Loans, Inc. (07-QS2-AV), 0.326%, due 01/25/37 (I/O)(2) | 565,873 | ||||||||
155,056,010 | Residential Accredit Loans, Inc. (07-QS3-AV), 0.327%, due 02/25/37 (I/O)(2) | 2,571,356 | ||||||||
18,196,693 | Residential Accredit Loans, Inc. (07-QS4-3AV), | 254,544 | ||||||||
25,997,819 | Residential Accredit Loans, Inc. (07-QS5-AV), 0.249%, due 03/25/37 (I/O)(2) | 324,843 | ||||||||
5,941,458 | Residential Accredit Loans, Inc. (07-QS6-A45), 5.75%, due 04/25/37 (6) | 4,799,279 | ||||||||
37,478,726 | Residential Accredit Loans, Inc. (07-QS8-AV), 0.395%, due 06/25/37 (I/O)(2) | 613,358 | ||||||||
59,371 | Residential Funding Mortgage Securities I (05-SA5-2A), | 52,782 | ||||||||
4,019,378 | Residential Funding Mortgage Securities I (06-S10-1A1), | 3,654,205 | ||||||||
1,395,606 | Residential Funding Mortgage Securities I (06-S9-A3), | 1,242,984 | ||||||||
15,169,319 | Residential Funding Mortgage Securities I (07-S2-A9), 6%, due 02/25/37 (6) | 14,065,387 | ||||||||
53,052 | Residential Funding Mortgage Securities I (07-SA2-2A2), | 46,644 | ||||||||
17,194,533 | Saxon Asset Securities Trust (06-2-A2), 0.311%, due 09/25/36 (2) | 16,582,012 | ||||||||
20,637,033 | Saxon Asset Securities Trust (06-3-A3), 0.351%, due 10/25/46 (2) | 17,056,632 | ||||||||
26,071,310 | Saxon Asset Securities Trust (07-2-A2D), 0.781%, due 05/25/47 (2) | 18,994,040 | ||||||||
4,008,890 | Securitized Asset-Backed Receivables LLC Trust (07-BR1-A2C), | 2,508,350 | ||||||||
51,882,369 | Securitized Asset-Backed Receivables LLC Trust (07-BR2-A2), | 28,706,992 | ||||||||
25,197,476 | Securitized Asset-Backed Receivables LLC Trust (07-NC2-A2B), | 17,069,262 | ||||||||
1,660,053 | Sequoia Mortgage Trust (03-8-A1), 0.821%, due 01/20/34 (2) | 1,522,051 | ||||||||
6,055,223 | SG Mortgage Securities Trust (05-OPT1-A3), 0.531%, due 10/25/35 (2) | 5,935,681 | ||||||||
28,801,259 | SG Mortgage Securities Trust (07-NC1-A2), (144A), | 17,463,039 | ||||||||
2,825,156 | Soundview Home Equity Loan Trust (05-OPT3-A4), 0.481%, due 11/25/35 (2) | 2,814,339 | ||||||||
19,565,573 | Soundview Home Equity Loan Trust (06-2-A4), 0.451%, due 03/25/36 (2) | 19,354,460 |
See accompanying notes to financial statements.
66
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April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) |
| |||||||||
$ | 10,400,000 | Soundview Home Equity Loan Trust (06-OPT4-2A4), | $ | 7,341,329 | ||||||
3,262,340 | Soundview Home Equity Loan Trust (06-WF2-A2C), 0.321%, due 12/25/36 (2) | 3,222,469 | ||||||||
4,000,000 | Soundview Home Equity Loan Trust (07-OPT3-2A4), | 2,925,392 | ||||||||
1,138,149 | Specialty Underwriting & Residential Finance (05-BC3-M1), | 1,141,530 | ||||||||
2,075,324 | Specialty Underwriting & Residential Finance (05-BC4-A2C), | 2,054,058 | ||||||||
25,976 | Specialty Underwriting & Residential Finance (06-AB3-A2B), | 15,364 | ||||||||
4,943,669 | Structured Adjustable Rate Mortgage Loan Trust (04-12-2A), | 4,934,850 | ||||||||
8,866,529 | Structured Adjustable Rate Mortgage Loan Trust (04-14-2A), | 9,123,343 | ||||||||
11,737,417 | Structured Adjustable Rate Mortgage Loan Trust (05-16XS-A2A), | 11,202,120 | ||||||||
2,163,905 | Structured Adjustable Rate Mortgage Loan Trust (05-23-1A3), | 2,083,871 | ||||||||
909,216 | Structured Adjustable Rate Mortgage Loan Trust (06-2-5A1), | 766,037 | ||||||||
3,793,381 | Structured Adjustable Rate Mortgage Loan Trust (06-4-5A1), | 3,307,016 | ||||||||
8,952,470 | Structured Adjustable Rate Mortgage Loan Trust (06-5-1A1), | 7,573,104 | ||||||||
6,119,082 | Structured Adjustable Rate Mortgage Loan Trust (07-1-1A1), | 5,301,891 | ||||||||
2,063,191 | Structured Asset Investment Loan Trust (05-3-M1), 0.751%, due 04/25/35 (2) | 2,064,435 | ||||||||
256,600 | Structured Asset Mortgage Investments, Inc. (06-AR3-24A1), | 174,830 | ||||||||
43,542,648 | Structured Asset Mortgage Investments, Inc. (07-AR6-A1), | 36,796,019 | ||||||||
1,851,672 | Structured Asset Securities Corp. (05-2XS-1A5B), 4.65%, due 02/25/35 | 1,873,207 | ||||||||
22,668,599 | Structured Asset Securities Corp. (06-EQ1A-A4), (144A), | 22,180,567 | ||||||||
14,345,000 | Structured Asset Securities Corp. (06-WF2-A4), 0.491%, due 07/25/36 (2) | 13,361,277 | ||||||||
88,745 | Structured Asset Securities Corp. (07-BC3-2A1), 0.241%, due 05/25/47 (2) | 89,015 | ||||||||
478,270 | Suntrust Adjustable Rate Mortgage Loan Trust (07-2-2A1), | 399,294 | ||||||||
22,170 | Suntrust Adjustable Rate Mortgage Loan Trust (07-3-1A1), | 20,234 | ||||||||
1,730,666 | Suntrust Adjustable Rate Mortgage Loan Trust (07-S1-2A1), | 1,719,021 | ||||||||
352,510 | Wachovia Mortgage Loan Trust LLC (06-AMN1-A3), | 222,111 | ||||||||
14,237,986 | WaMu Mortgage Pass-Through Certificates (04-AR14-A1), | 14,408,743 |
See accompanying notes to financial statements.
67
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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) |
| |||||||||
$ | 14,568,139 | WaMu Mortgage Pass-Through Certificates (05-AR13-A1A1), | $ | 13,673,514 | ||||||
1,179,958 | WaMu Mortgage Pass-Through Certificates (05-AR13-A1A2), | 1,177,951 | ||||||||
3,105,349 | WaMu Mortgage Pass-Through Certificates (05-AR14-2A1), | 2,861,784 | ||||||||
4,731,542 | WaMu Mortgage Pass-Through Certificates (05-AR18-1A1), | 4,560,917 | ||||||||
445,134 | WaMu Mortgage Pass-Through Certificates (05-AR2-2A1A), | 418,241 | ||||||||
283,971 | WaMu Mortgage Pass-Through Certificates (05-AR7-A2), | 284,209 | ||||||||
11,895,056 | WaMu Mortgage Pass-Through Certificates (05-AR9-A1A), | 11,429,769 | ||||||||
31,761,679 | WaMu Mortgage Pass-Through Certificates (06-AR1-2A1A), | 30,987,377 | ||||||||
7,829,131 | WaMu Mortgage Pass-Through Certificates (06-AR11-1A), | 6,754,343 | ||||||||
8,555,234 | WaMu Mortgage Pass-Through Certificates (06-AR17-1A1A), | 7,908,365 | ||||||||
155,276 | Washington Mutual Alternative Mortgage Pass-Through Certificates | 155,343 | ||||||||
2,462,170 | Washington Mutual Alternative Mortgage Pass-Through Certificates | 2,259,903 | ||||||||
4,064,599 | Washington Mutual Alternative Mortgage Pass-Through Certificates | 2,610,016 | ||||||||
6,859,116 | Washington Mutual Alternative Mortgage Pass-Through Certificates | 5,437,825 | ||||||||
8,373,172 | Washington Mutual Alternative Mortgage Pass-Through Certificates | 5,679,096 | ||||||||
7,718,377 | Washington Mutual Alternative Mortgage Pass-Through Certificates | 5,548,564 | ||||||||
2,820,038 | Washington Mutual Alternative Mortgage Pass-Through Certificates | 2,161,477 | ||||||||
8,257,779 | Washington Mutual Alternative Mortgage Pass-Through Certificates | 6,887,565 | ||||||||
11,691,000 | Washington Mutual Asset-Backed Certificates (06-HE1-2A4), | 10,197,834 | ||||||||
17,378,012 | Wells Fargo Home Equity Asset-Backed Securities (06-3-A2), | 16,591,205 | ||||||||
5,521,000 | Wells Fargo Home Equity Asset-Backed Securities (07-1-A3), | 3,959,673 | ||||||||
11,282,003 | Wells Fargo Mortgage Loan Trust (11-RR3-A1), (144A), | 11,106,465 | ||||||||
9,646,609 | Wells Fargo Mortgage Loan Trust (12-RR2-1A1), (144A), | 9,310,965 | ||||||||
7,155,033 | Wells Fargo Mortgage-Backed Securities Trust (04-DD-2A6), | 7,144,808 | ||||||||
12,109,592 | Wells Fargo Mortgage-Backed Securities Trust (06-AR11-A6), | 11,262,220 |
See accompanying notes to financial statements.
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TCW Total Return Bond Fund
April 30, 2015
Principal Amount | Fixed Income Securities | Value | ||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) |
| |||||||||
$ | 8,310,707 | Wells Fargo Mortgage-Backed Securities Trust (06-AR6-4A1), | $ | 8,279,501 | ||||||
4,654,855 | Wells Fargo Mortgage-Backed Securities Trust (06-AR7-2A4), | 4,287,292 | ||||||||
9,799,185 | Wells Fargo Mortgage-Backed Securities Trust (07-10-1A32), | 9,671,306 | ||||||||
836,857 | Wells Fargo Mortgage-Backed Securities Trust (07-AR4-A1), | 745,668 | ||||||||
4,767,916 | Wells Fargo Mortgage-Backed Securities Trust (08-1-4A1), | 5,041,573 | ||||||||
|
| |||||||||
Total Residential Mortgage-Backed Securities — Non-Agency | 2,566,622,729 | |||||||||
|
| |||||||||
U.S. Government Agency Obligation (Cost: $76,620,000) (0.9%) | ||||||||||
76,620,000 | Federal Home Loan Bank, 0.75%, due 05/26/28 (3) | 76,662,869 | ||||||||
|
| |||||||||
U.S. Treasury Securities (20.7%) | ||||||||||
372,320,000 | U.S. Treasury Bond, 2.5%, due 02/15/45 (3) | 353,413,143 | ||||||||
241,760,000 | U.S. Treasury Note, 0.25%, due 08/15/15 (3) | 241,920,529 | ||||||||
377,955,000 | U.S. Treasury Note, 0.25%, due 11/30/15 (3) | 378,202,228 | ||||||||
44,295,000 | U.S. Treasury Note, 0.375%, due 06/30/15 (3) | 44,320,089 | ||||||||
107,980,000 | U.S. Treasury Note, 1.375%, due 04/30/20 | 107,646,779 | ||||||||
85,000,000 | U.S. Treasury Note, 1.75%, due 07/31/15 (3) | 85,358,615 | ||||||||
89,000,000 | U.S. Treasury Note, 1.875%, due 06/30/15 (3) | 89,271,183 | ||||||||
450,370,000 | U.S. Treasury Note, 2%, due 02/15/25 | 448,710,022 | ||||||||
80,935,000 | U.S. Treasury Note, 2.625%, due 08/15/20 (3) | 85,474,968 | ||||||||
|
| |||||||||
Total U.S. Treasury Securities (Cost: $1,838,796,547) | 1,834,317,556 | |||||||||
|
| |||||||||
Total Fixed Income Securities (Cost: $8,951,517,735) (106.4%) | 9,436,062,822 | |||||||||
|
| |||||||||
Number of Shares | Money Market Investments | |||||||||
113,021,000 | Morgan Stanley Liquidity Fund — Government Portfolio, 0.04% (8) | 113,021,000 | ||||||||
|
| |||||||||
Total Money Market Investments (Cost: $113,021,000) (1.3%) | 113,021,000 | |||||||||
|
| |||||||||
Principal Amount | Short-Term Investments | |||||||||
Discount Notes (8.4%) | ||||||||||
$ | 200,000,000 | Federal Home Loan Bank Discount Note, 0.01%, due 06/11/15 (9) | 199,991,600 | |||||||
175,000,000 | Federal Home Loan Bank Discount Note, 0.01%, due 05/27/15 (3)(9) | 174,997,550 | ||||||||
190,000,000 | Federal Home Loan Bank Discount Note, 0.01%, due 05/22/15 (9) | 189,997,720 | ||||||||
101,563,000 | Federal Home Loan Bank Discount Note, 0.05%, due 05/06/15 (9) | 101,562,695 | ||||||||
80,000,000 | Federal National Mortgage Association Discount Note, | 79,986,800 | ||||||||
|
| |||||||||
Total Discount Notes (Cost: $746,507,516) | 746,536,365 | |||||||||
|
|
See accompanying notes to financial statements.
69
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TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Short-Term Investments | Value | ||||||||
U.S. Treasury Securities (0.1%) | ||||||||||
$ | 4,680,000 | U.S. Treasury Bill, 0.01%, due 06/11/15(9) | $ | 4,680,000 | ||||||
53,000 | U.S. Treasury Bill, 0.01%, due 05/07/15(9) | 53,000 | ||||||||
|
| |||||||||
Total U.S. Treasury Securities (Cost: $4,733,000) | 4,733,000 | |||||||||
|
| |||||||||
Total Short-Term Investments (Cost: $751,240,516) (8.5%) | 751,269,365 | |||||||||
|
| |||||||||
Total Investments (Cost: $9,815,779,251) (116.2%) | 10,300,353,187 | |||||||||
Liabilities in Excess of Other Assets (-16.2%) | (1,434,977,678 | ) | ||||||||
|
| |||||||||
Net Assets (100.0%) | $ | 8,865,375,509 | ||||||||
|
|
Futures Contracts | ||||||||||||||||
Number of | Type | Expiration Date | Notional Contract Value | Net Unrealized Appreciation | ||||||||||||
BUY | ||||||||||||||||
2,255 | 90 Day Eurodollar Futures | 03/14/16 | $ | 559,268,187 | $ | 1,825,941 | ||||||||||
2,255 | 90 Day Eurodollar Futures | 06/13/16 | 558,197,062 | 1,656,055 | ||||||||||||
2,255 | 90 Day Eurodollar Futures | 09/19/16 | 557,069,563 | 1,486,930 | ||||||||||||
2,255 | 90 Day Eurodollar Futures | 12/19/16 | 555,998,438 | 1,403,129 | ||||||||||||
|
|
|
| |||||||||||||
$ | 2,230,533,250 | $ | 6,372,055 | |||||||||||||
|
|
|
|
Notes to the Schedule of Investments:
ABS - | Asset-Backed Securities. |
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, 2015, the value of these securities amounted to $771,657,697 or 8.7% 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, 2015. |
(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) | As of April 30, 2015, security is not accruing interest. |
(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) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(8) | Rate disclosed is the 7-day net yield as of April 30, 2015. |
(9) | Rate shown represents yield-to-maturity. |
See accompanying notes to financial statements.
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Table of Contents
TCW Total Return Bond Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Asset-Backed Securities | 7.4 | % | ||
Commercial Mortgage-Backed Securities — Agency | 5.3 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.7 | |||
Residential Mortgage-Backed Securities — Agency | 42.5 | |||
Residential Mortgage-Backed Securities — Non-Agency | 28.9 | |||
U.S. Government Agency Obligations | 0.9 | |||
U.S. Treasury Securities | 20.7 | |||
Money Market Investments | 1.3 | |||
Short-Term Investments | 8.5 | |||
|
| |||
Total | 116.2 | % | ||
|
|
See accompanying notes to Schedule of Investments.
71
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
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) | $ | 1,879,378 | $ | 2,646 | $ | 15,995 | ||||||
Cash | 15 | — | (3) | — | ||||||||
Receivable for Securities Sold | 1 | — | — | |||||||||
Receivable for When-Issued Securities | 41,911 | — | 82 | |||||||||
Receivable for Fund Shares Sold | 10,783 | — | — | |||||||||
Interest and Dividends Receivable | 5,201 | 8 | 112 | |||||||||
Receivable from Investment Advisor | — | 18 | 6 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | — | 46 | |||||||||
Cash Collateral Held for Brokers | — | 397 | 10 | |||||||||
Open Swap Agreements, at Value | — | 56 | — | |||||||||
Prepaid Expenses | 47 | 24 | 20 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,937,336 | 3,149 | 16,271 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 229 | — | — | |||||||||
Payable for Securities Purchased | 7,565 | 1 | — | |||||||||
Payable for When-Issued Securities | 245,654 | — | 773 | |||||||||
Payable for Fund Shares Redeemed | 2,333 | — | — | |||||||||
Accrued Directors’ Fees and Expenses | 8 | 8 | 7 | |||||||||
Accrued Compliance Expense | 7 | — | (3) | — | (3) | |||||||
Accrued Management Fees | 549 | 1 | 7 | |||||||||
Accrued Distribution Fees | 122 | — | (3) | 2 | ||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | — | 16 | |||||||||
Other Accrued Expenses | 231 | 56 | 10 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 256,698 | 66 | 815 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,680,638 | $ | 3,083 | $ | 15,456 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 1,634,710 | $ | 4,198 | $ | 15,294 | ||||||
Accumulated Net Realized Gain (Loss) on Investments, Swap Agreements | 22,095 | (1,205 | ) | 20 | ||||||||
Unrealized Appreciation of Investments, Swap Agreements and Foreign Currency | 26,703 | 128 | 16 | |||||||||
Undistributed (Overdistributed) Net Investment Income | (2,870 | ) | (38 | ) | 126 | |||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,680,638 | $ | 3,083 | $ | 15,456 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 1,088,090 | $ | 1,714 | $ | 8,001 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 592,548 | $ | 1,369 | $ | 7,455 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (4) | ||||||||||||
I Class Share | 96,349,455 | 271,217 | 799,068 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 52,549,891 | 216,301 | 744,553 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (5) | ||||||||||||
I Class Share | $ | 11.29 | $ | 6.32 | $ | 10.01 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 11.28 | $ | 6.33 | $ | 10.01 | ||||||
|
|
|
|
|
|
(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, 2015 was $1,852,675, $2,574 and $16,008, 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 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. |
(5) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
72
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2015 |
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) | $ | 37,455 | $ | 14,777 | $ | 10,300,353 | ||||||
Cash | — | — | 2,124 | |||||||||
Receivable for Securities Sold | 750 | 3 | 3,536 | |||||||||
Receivable for When-Issued Securities | 66 | — | 130,858 | |||||||||
Receivable for Fund Shares Sold | 72 | — | 26,798 | |||||||||
Interest and Dividends Receivable | 476 | 46 | 17,442 | |||||||||
Receivable from Investment Advisor | 12 | 15 | 752 | |||||||||
Open Swap Agreements, at Value | 6 | — | — | |||||||||
Prepaid Expenses | 27 | 12 | 203 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 38,864 | 14,853 | 10,482,066 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 23 | 2 | 3,732 | |||||||||
Payable for Securities Purchased | 719 | — | 22,748 | |||||||||
Payable for When-Issued Securities | 140 | — | 1,573,980 | |||||||||
Payable for Fund Shares Redeemed | 52 | 283 | 9,924 | |||||||||
Accrued Directors’ Fees and Expenses | 8 | 8 | 8 | |||||||||
Accrued Compliance Expense | — | (2) | 1 | 20 | ||||||||
Accrued Management Fees | 14 | 4 | 3,648 | |||||||||
Accrued Distribution Fees | 3 | — | 494 | |||||||||
Interest Payable on Swap Agreements | 1 | — | — | |||||||||
Payable for Daily Variation Margin on Open Financial Futures Contracts | — | — | 677 | |||||||||
Other Accrued Expenses | 36 | 9 | 1,459 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 996 | 307 | 1,616,690 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 37,868 | $ | 14,546 | $ | 8,865,376 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 38,497 | $ | 22,089 | $ | 8,277,736 | ||||||
Accumulated Net Realized Gain (Loss) on Investments and Swap Agreements | (957 | ) | (7,532 | ) | 86,610 | |||||||
Unrealized Appreciation of Investments, Futures Contracts and Swap Agreements | 353 | 33 | 490,946 | |||||||||
Undistributed (Overdistributed) Net Investment Income | (25 | ) | (44 | ) | 10,084 | |||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 37,868 | $ | 14,546 | $ | 8,865,376 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 21,207 | $ | 14,546 | $ | 6,455,600 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 16,661 | $ | 2,409,776 | ||||||||
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (3) | ||||||||||||
I Class Share | 3,343,740 | 1,667,461 | 623,215,227 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 2,606,317 | 225,480,499 | ||||||||||
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (4) | ||||||||||||
I Class Share | $ | 6.34 | $ | 8.72 | $ | 10.36 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 6.39 | $ | 10.69 | ||||||||
|
|
|
|
(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, 2015 was $37,088, $14,744 and $9,815,779, 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.
73
Table of Contents
TCW Funds, Inc.
Six Months Ended April 30, 2015 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | TCW Global Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 14,464 | $ | 25 | $ | 246 | ||||||
|
|
|
|
|
| |||||||
Total | 14,464 | 25 | 246 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 3,056 | 9 | 42 | |||||||||
Accounting Services Fees | 58 | 12 | 2 | |||||||||
Administration Fees | 35 | 18 | 1 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 177 | 4 | 2 | |||||||||
N Class | 304 | 3 | 2 | |||||||||
Custodian Fees | 24 | 13 | 10 | |||||||||
Professional Fees | 46 | 22 | 15 | |||||||||
Directors’ Fees and Expenses | 13 | 13 | 13 | |||||||||
Registration Fees: | ||||||||||||
I Class | 18 | 7 | 7 | |||||||||
N Class | 12 | 7 | 7 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 751 | 2 | 9 | |||||||||
Compliance Expense | 8 | — | (2) | — | (2) | |||||||
Shareholder Reporting Expense | 4 | 1 | 1 | |||||||||
Other | 72 | 3 | 1 | |||||||||
|
|
|
|
|
| |||||||
Total | 4,578 | 114 | 112 | |||||||||
|
|
|
|
|
| |||||||
Less expenses waived/reimbursed | — | 83 | — | |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | — | 9 | 10 | |||||||||
N Class | — | 11 | 19 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 4,578 | 11 | 83 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 9,886 | 14 | 163 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 18,601 | (1 | ) | 218 | ||||||||
Foreign Currency | — | — | (191 | ) | ||||||||
Swap Agreements | — | (453 | ) | — | ||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (2,650 | ) | (6 | ) | (512 | ) | ||||||
Foreign Currency | — | — | 79 | |||||||||
Swap Agreements | — | 47 | — | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 15,951 | (413 | ) | (406 | ) | |||||||
|
|
|
|
|
| |||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 25,837 | $ | (399 | ) | $ | (243 | ) | ||||
|
|
|
|
|
|
(1) | Consolidated Statement of Operations (See Note 2). |
(2) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
74
Table of Contents
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2015 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 751 | $ | 96 | $ | 123,295 | ||||||
|
|
|
|
|
| |||||||
Total | 751 | 96 | 123,295 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 72 | 33 | 21,620 | |||||||||
Accounting Services Fees | 13 | 1 | 376 | |||||||||
Administration Fees | 1 | 1 | 224 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 6 | 9 | 1,877 | |||||||||
N Class | 4 | — | 971 | |||||||||
Custodian Fees | 10 | 11 | 73 | |||||||||
Professional Fees | 18 | 27 | 159 | |||||||||
Directors’ Fees and Expenses | 13 | 13 | 13 | |||||||||
Registration Fees: | ||||||||||||
I Class | 7 | 9 | 52 | |||||||||
N Class | 8 | — | 62 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 14 | — | 2,835 | |||||||||
Compliance Expense | — | (1) | 1 | 58 | ||||||||
Shareholder Reporting Expense | 2 | — | 13 | |||||||||
Other | 3 | 2 | 473 | |||||||||
|
|
|
|
|
| |||||||
Total | 171 | 107 | 28,806 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 42 | 65 | 3,252 | |||||||||
N Class | 27 | — | 965 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 102 | 42 | 24,589 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 649 | 54 | 98,706 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Loss on Investments | (342 | ) | (1 | ) | 64,640 | |||||||
Swap Agreements | (4 | ) | — | — | ||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 356 | (15 | ) | (15,093 | ) | |||||||
Futures Contracts | — | — | 8,287 | |||||||||
Swap Agreements | 3 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 13 | (16 | ) | 57,834 | ||||||||
|
|
|
|
|
| |||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 662 | $ | 38 | $ | 156,540 | ||||||
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
75
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | |||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 9,886 | $ | 20,838 | $ | 14 | $ | 49 | ||||||||
Net Realized Gain (Loss) on Investments and Swap Agreements | 18,601 | 9,559 | (454 | ) | (265 | ) | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments and Swap Agreements | (2,650 | ) | 15,013 | 41 | 78 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 25,837 | 45,410 | (399 | ) | (138 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (8,207 | ) | (9,930 | ) | (10 | ) | (30 | ) | ||||||||
N Class | (4,338 | ) | (9,957 | ) | (7 | ) | (23 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (2,547 | ) | — | — | (8 | ) | ||||||||||
N Class | (1,706 | ) | — | — | (7 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (16,798 | ) | (19,887 | ) | (17 | ) | (68 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 436,618 | 44,731 | 12 | 36 | ||||||||||||
N Class | (19,520 | ) | (103,887 | ) | 7 | 28 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 417,098 | (59,156 | ) | 19 | 64 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 426,137 | (33,633 | ) | (397 | ) | (142 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 1,254,501 | 1,288,134 | 3,480 | 3,622 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 1,680,638 | $ | 1,254,501 | $ | 3,083 | $ | 3,480 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Overdistributed Net Investment Income | $ | (2,870 | ) | $ | (211 | ) | $ | (38 | ) | $ | (35 | ) |
(1) | Consolidated Statement of Changes in Net Assets (See Note 2). |
See accompanying notes to financial statements.
76
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Global Bond Fund | TCW High Yield Bond Fund | |||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 163 | $ | 344 | $ | 649 | $ | 1,538 | ||||||||
Net Realized Gain (Loss) on Investments, Swap Agreements and Foreign Currency Transactions | 27 | (101 | ) | (346 | ) | 448 | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments, Foreign Currency Transactions and Swap Agreements | (433 | ) | (305 | ) | 359 | (208 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (243 | ) | (62 | ) | 662 | 1,778 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (56 | ) | (102 | ) | (454 | ) | (1,077 | ) | ||||||||
N Class | (52 | ) | (96 | ) | (256 | ) | (531 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (13 | ) | (62 | ) | — | — | ||||||||||
N Class | (12 | ) | (58 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (133 | ) | (318 | ) | (710 | ) | (1,608 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 58 | (2,844 | ) | 583 | (5,576 | ) | ||||||||||
N Class | 71 | (3,989 | ) | 4,129 | (2,112 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 129 | (6,833 | ) | 4,712 | (7,688 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (247 | ) | (7,213 | ) | 4,664 | (7,518 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 15,703 | 22,916 | 33,204 | 40,722 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 15,456 | $ | 15,703 | $ | 37,868 | $ | 33,204 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | 126 | $ | 71 | $ | (25 | ) | $ | 36 |
See accompanying notes to financial statements.
77
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Short Term Bond Fund | TCW Total Return Bond Fund | |||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 54 | $ | 137 | $ | 98,706 | $ | 198,899 | ||||||||
Net Realized Gain (Loss) on Investments | (1 | ) | 28 | 64,640 | 88,840 | |||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts | (15 | ) | (36 | ) | (6,806 | ) | 49,704 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 38 | 129 | 156,540 | 337,443 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (97 | ) | (232 | ) | (67,082 | ) | (140,589 | ) | ||||||||
N Class | — | — | (20,012 | ) | (56,526 | ) | ||||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (25,108 | ) | — | |||||||||||
N Class | — | — | (8,273 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (97 | ) | (232 | ) | (120,475 | ) | (197,115 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (6,475 | ) | 5,981 | 299,741 | 946,073 | |||||||||||
N Class | — | — | 222,984 | (357,669 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (6,475 | ) | 5,981 | 522,725 | 588,404 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (6,534 | ) | 5,878 | 558,790 | 728,732 | |||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 21,080 | 15,202 | 8,306,586 | 7,577,854 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 14,546 | $ | 21,080 | $ | 8,865,376 | $ | 8,306,586 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | (44 | ) | $ | (1 | ) | $ | 10,084 | $ | (1,528 | ) |
See accompanying notes to financial statements.
78
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
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 22 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 consistent with prudent investment management over a full market cycle by investing at least 80% of the value of its net assets in debt securities. | |
TCW High Yield Bond Fund | Seeks to maximize income and achieve above average total return consistent with reasonable risk over a full market cycle by investing at least 80% of the value of its net assets in high yield/below investment grade bonds, commonly known as “junk” bonds. | |
TCW Short Term Bond Fund | Seeks to maximize current income by investing at least 80% of the value 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 governmental or private sector issuers. | |
TCW Total Return Bond Fund | Seeks to maximize current income and achieve above average total return consistent with prudent investment management over a full market cycle by investing at least 80% of the value of its net assets in debt securities. | |
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. TCW Cayman Enhanced Commodity Fund is a wholly owned subsidiary of the TCW Enhanced Commodity Strategy Fund. | |
TCW Global Bond Fund | Seeks total return by investing at least 80% of its net assets in debt securities of government and corporate issuers in at least three countries, and will invest at least 30% of its net assets in securities of issuers located outside the United States. |
79
Note 1 — Organization
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 1 — Organization (Continued)
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. Each Fund is considered an investment company under the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) No. 946, Financial Services — Investment Companies.
Principles of Consolidation: The financial statements of the TCW Enhanced Commodity Strategy Fund (“Parent”) are consolidated with the TCW Cayman Enhanced Commodity Fund, Ltd (“Subsidiary”), organized under the laws of the Cayman Islands. The Parent gains exposure to the commodity markets, in whole or in part, through investments in the Subsidiary which has the same objective, investment policies and restrictions as the Parent. The accompanying consolidated financial statements include the accounts of the Subsidiary. The Parent may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at April 30, 2015 were $490,520 or 15.91% of the Parent’s consolidated net assets. Intercompany balances and transactions have been eliminated in consolidation.
Net Asset Value: The Net Asset Value of each Class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that Class at the close of the New York Stock Exchange (the “NYSE”) (generally 4:00 p.m. Eastern Time or 1:00 p.m. Pacific Time, but the NYSE sometimes closes earlier) on each day that the NYSE is open for trading.
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 including short-term 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. Repurchase agreements are priced at cost which approximates market value.
Securities for which market quotations are not readily available, including circumstances under which it is determined by the Advisor that prices received 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 inputs for disclosure purposes. Inputs that go into fair value measurement refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may
80
Table of Contents
TCW Funds, Inc.
April 30, 2015
Note 2 — Significant Accounting Policies (Continued)
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.
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.
81
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 prices, spreads, or any of the other aforementioned 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.
Foreign currency contracts. The fair value of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. To the extent that these factors can be observed, foreign currency contracts 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. As such they are categorized in Level 1.
Money market funds. Money market funds are open-end 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.
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.
Short-term investments. Short-term investments are valued using market price quotations, and are reflected in Level 2 of the fair value hierarchy.
Total return swaps. Total return swaps are fair valued using pricing models that take into account among other factor, 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. and foreign government and agency securities. U.S. and foreign 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. and foreign 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.
82
Table of Contents
TCW Funds, Inc.
April 30, 2015
Note 2 — Significant Accounting Policies (Continued)
The following is a summary of the inputs used as of April 30, 2015 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* | $ | — | $ | 276,571,841 | $ | — | $ | 276,571,841 | ||||||||
Municipal Bonds | — | 21,633,346 | — | 21,633,346 | ||||||||||||
Foreign Government Bonds | — | 213,131 | — | 213,131 | ||||||||||||
Asset-Backed Securities | — | 156,894,993 | — | 156,894,993 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 106,268,891 | — | 106,268,891 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 58,384,004 | — | 58,384,004 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 379,524,407 | — | 379,524,407 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 163,811,170 | — | 163,811,170 | ||||||||||||
U.S. Government Agency Obligations | — | 17,982,286 | — | 17,982,286 | ||||||||||||
U.S. Treasury Securities | 432,219,245 | 88,339,011 | — | 520,558,256 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 432,219,245 | 1,269,623,080 | — | 1,701,842,325 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 33,290,000 | — | — | 33,290,000 | ||||||||||||
Short-Term Investments* | — | 144,245,632 | — | 144,245,632 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 465,509,245 | $ | 1,413,868,712 | $ | — | $ | 1,879,377,957 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
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 | $ | — | $ | 36,376 | $ | — | $ | 36,376 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 23,097 | — | 23,097 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 44,387 | — | 44,387 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 82,108 | — | 82,108 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 494,247 | — | 494,247 | ||||||||||||
Corporate Bonds* | — | 633,206 | — | 633,206 | ||||||||||||
U.S. Government Agency Obligations | — | 20,026 | — | 20,026 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 1,333,447 | — | 1,333,447 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 60,000 | — | — | 60,000 | ||||||||||||
Short-Term Investments* | — | 1,252,126 | — | 1,252,126 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 60,000 | 2,585,573 | — | 2,645,573 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Commodity Risk | — | 56,215 | — | 56,215 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 60,000 | $ | 2,641,788 | $ | — | $ | 2,701,788 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
83
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
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* | $ | — | $ | 2,739,938 | $ | — | $ | 2,739,938 | ||||||||
Foreign Government Bonds | — | 5,740,174 | — | 5,740,174 | ||||||||||||
Asset-Backed Securities | — | 878,873 | — | 878,873 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 618,003 | — | 618,003 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 284,323 | 45,813 | 330,136 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 1,698,866 | — | 1,698,866 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 968,389 | — | 968,389 | ||||||||||||
U.S. Government Agency Obligations | — | 240,138 | — | 240,138 | ||||||||||||
U.S. Treasury Securities | 1,493,047 | — | — | 1,493,047 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 1,493,047 | 13,168,704 | 45,813 | 14,707,564 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 174,000 | — | — | 174,000 | ||||||||||||
Short-Term Investments* | — | 1,113,807 | — | 1,113,807 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,667,047 | 14,282,511 | 45,813 | 15,995,371 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 45,683 | — | 45,683 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,667,047 | $ | 14,328,194 | $ | 45,813 | $ | 16,041,054 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (15,589 | ) | $ | — | $ | (15,589 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (15,589 | ) | $ | — | $ | (15,589 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
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* | $ | — | $ | 1,129,972 | $ | — | $ | 1,129,972 | ||||||||
Corporate Bonds* | — | 33,328,129 | — | 33,328,129 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 34,458,101 | — | 34,458,101 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 194,000 | — | — | 194,000 | ||||||||||||
Short-Term Investments* | — | 2,803,103 | — | 2,803,103 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 194,000 | 37,261,204 | — | 37,455,204 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | 6,261 | — | 6,261 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 194,000 | $ | 37,267,465 | $ | — | $ | 37,461,465 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
84
Table of Contents
TCW Funds, Inc.
April 30, 2015
Note 2 — Significant Accounting Policies (Continued)
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 | $ | — | $ | 1,137,517 | $ | — | $ | 1,137,517 | ||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 1,295,814 | — | 1,295,814 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 5,520,931 | — | 5,520,931 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 286,857 | — | 286,857 | ||||||||||||
Corporate Bonds* | — | 4,127,660 | — | 4,127,660 | ||||||||||||
Municipal Bonds | — | 235,550 | — | 235,550 | ||||||||||||
U.S. Government Agency Obligations | — | 770,591 | — | 770,591 | ||||||||||||
U.S. Treasury Securities | 1,080,637 | — | — | 1,080,637 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 1,080,637 | 13,374,920 | — | 14,455,557 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 40,000 | — | — | 40,000 | ||||||||||||
Short-Term Investments* | — | 281,213 | — | 281,213 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,120,637 | $ | 13,656,133 | $ | — | $ | 14,776,770 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
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 | $ | — | $ | 655,575,749 | $ | — | $ | 655,575,749 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 470,945,412 | — | 470,945,412 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 60,088,911 | — | 60,088,911 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 3,771,849,596 | — | 3,771,849,596 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 2,554,893,308 | 11,729,421 | 2,566,622,729 | ||||||||||||
U.S. Government Agency Obligations | — | 76,662,869 | — | 76,662,869 | ||||||||||||
U.S. Treasury Securities | 1,834,317,556 | — | — | 1,834,317,556 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 1,834,317,556 | 7,590,015,845 | 11,729,421 | 9,436,062,822 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 113,021,000 | — | — | 113,021,000 | ||||||||||||
Short-Term Investments* | 4,733,000 | 746,536,365 | — | 751,269,365 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,952,071,556 | 8,336,552,210 | 11,729,421 | 10,300,353,187 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures | ||||||||||||||||
Interest Rate Risk | 6,372,055 | — | — | 6,372,055 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,958,443,611 | $ | 8,336,552,210 | $ | 11,729,421 | $ | 10,306,725,242 | ||||||||
|
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|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
85
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
The Funds did not have any transfers in or out of Level 1 and Level 2 of the fair value hierarchy during the period ended April 30, 2015.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
TCW Global Bond Fund | TCW High Yield Bond Fund | TCW Total Return Bond Fund | ||||||||||
Balance as of October 31, 2014 | $ | — | $ | — | $ | 12,420,671 | ||||||
Accrued Discounts (Premiums) | 1,088 | — | — | |||||||||
Realized Gain (Loss) | — | 2,874 | (783,933 | ) | ||||||||
Change in Unrealized Appreciation | (659 | ) | — | 92,683 | ||||||||
Purchases | 45,384 | — | — | |||||||||
Sales | — | (2,874 | ) | — | ||||||||
Transfers in to Level 3 (1) | — | — | — | |||||||||
Transfers out of Level 3 (1) | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Balance as of April 30, 2015 | $ | 45,813 | $ | — | $ | 11,729,421 | ||||||
|
|
|
|
|
| |||||||
Change in Unrealized Appreciation from Investments Still | $ | (659 | ) | $ | — | $ | 92,683 | |||||
|
|
|
|
|
|
(1) | The Funds recognize transfers in and out at the beginning of the period. |
Significant unobservable valuations inputs for Level 3 investments as of April 30, 2015, are as follows:
Description | Fair Value at 04/30/2015 | Valuation Techniques* | Unobservable Input | Range | ||||||||||
TCW Global Bond Fund | ||||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | $ | 45,813 | Third-party Vendor | Vendor Prices | $ | 0.27–0.48 | ||||||||
TCW Total Return Bond Fund | ||||||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Interest Only, Collateral Strip Rate Securities) | $ | 11,729,421 | Third-party Vendor | Vendor Prices | $ | 0.76–3.21 |
* | The valuation technique employed on the Level 3 securities involves the use of the vendor prices. The Advisor monitors the effectiveness of vendor pricing 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.
86
Table of Contents
TCW Funds, Inc.
April 30, 2015
Note 2 — Significant Accounting Policies (Continued)
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.
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.
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. 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. 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 period ended April 30, 2015, the Funds had the following derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Notional Amounts or Shares/Units):
Commodity Risk | Total | |||||||
TCW Enhanced Commodity Strategy Fund | ||||||||
Statements of Asset and Liabilities: | ||||||||
Asset Derivatives | ||||||||
Open Swap Agreements, at Value | $ | 56 | $ | 56 | ||||
|
|
|
| |||||
Total Value | $ | 56 | $ | 56 | ||||
|
|
|
| |||||
Statement of Operations: | ||||||||
Realized Loss on | ||||||||
Swap Agreements | $ | (453 | ) | $ | (453 | ) | ||
|
|
|
| |||||
Total Realized Loss | $ | (453 | ) | $ | (453 | ) | ||
|
|
|
| |||||
Change in Unrealized Appreciation on: | ||||||||
Swap Agreements | $ | 47 | $ | 47 | ||||
|
|
|
| |||||
Total Change in Unrealized Appreciation | $ | 47 | $ | 47 | ||||
|
|
|
| |||||
Notional Amounts or Shares/Units (2) | ||||||||
Swap Agreements | $ | 3,134,670 | $ | 3,134,670 |
87
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW Global Bond Fund | ||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 46 | $ | — | $ | 46 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | 46 | $ | — | $ | 46 | ||||||||
|
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|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | (16 | ) | $ | — | $ | (16 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | (16 | ) | $ | — | $ | (16 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Loss on | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | (193 | ) | $ | — | $ | (193 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Loss | $ | — | $ | (193 | ) | $ | — | $ | (193 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Change in Unrealized Appreciation on: | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 77 | $ | — | $ | 77 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Unrealized Appreciation | $ | — | $ | 77 | $ | — | $ | 77 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts or Shares/Units (2) | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 2,343,766 | $ | — | $ | 2,343,766 | ||||||||
TCW High Yield Bond Fund | ||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Open Swap Agreements, at Value | $ | 6 | $ | — | $ | — | $ | 6 | ||||||||
|
|
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|
|
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| |||||||||
Total Value | $ | 6 | $ | — | $ | — | $ | 6 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Loss on | ||||||||||||||||
Swap Agreements | $ | (4 | ) | $ | — | $ | — | $ | (4 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Loss | $ | (4 | ) | $ | — | $ | — | $ | (4 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Change in Unrealized Appreciation on: | ||||||||||||||||
Swap Agreements | $ | 3 | $ | — | $ | — | $ | 3 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Unrealized Appreciation | $ | 3 | $ | — | $ | — | $ | 3 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts or Shares/Units (2) | ||||||||||||||||
Swap Agreements | $ | 750,000 | $ | — | $ | — | $ | 750,000 | ||||||||
TCW Total Return Bond Fund | ||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | 6,372 | $ | 6,372 | ||||||||
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|
|
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|
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| |||||||||
Total Value | $ | — | $ | — | $ | 6,372 | $ | 6,372 | ||||||||
|
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|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Change in Unrealized Appreciation on: | ||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | 8,287 | $ | 8,287 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Unrealized Appreciation | $ | — | $ | — | $ | 8,287 | $ | 8,287 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts or Shares/Units (2) | ||||||||||||||||
Futures Contracts | — | — | 9,020 | 9,020 |
(1) | Includes cumulative appreciation of futures contracts as reported in the Schedule of Investments. Only variation margin on April 30, 2015 is reported within the Statement of Assets and Liabilities. |
(2) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended April 30, 2015. |
88
Table of Contents
TCW Funds, Inc.
April 30, 2015
Note 2 — Significant Accounting Policies (Continued)
Counterparty Credit Risk: Derivative contracts may be exposed to counterparty risk. Losses can 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 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 their 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 declines by a stated percentage or a Fund fails 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. 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
89
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 FASB ASU 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.
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of Master Repurchase Agreements (“MRA”). The MRA permits a 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 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, a Fund receives 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, a 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 year are listed in the Funds’ Schedule of Investments.
The following table presents the Funds’ OTC derivatives assets and liabilities by counterparty net of amounts available for offset under ISDA and/or MRA and net of the related collateral received by the Funds as of April 30, 2015 (in thousands):
TCW Core Fixed Income Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
State Street Bank & Trust Company (Repurchase Agreement) | $ | 48,251 | $ | — | $ | 48,251 | $ | (48,251) | (2) | $ | — | |||||||||
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|
|
|
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|
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|
| |||||||||||
Total | $ | 48,251 | $ | — | $ | 48,251 | $ | (48,251) | $ | — | ||||||||||
|
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|
|
|
|
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|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Collateral with a value of $49,217 has been received in connection with a master repurchase agreement. Excess 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 | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Citigroup Global Markets, Inc. (Derivatives) | $ | 22 | $ | — | $ | 22 | $ | — | $ | 22 | ||||||||||
Credit Suisse First Boston Corp. (Derivatives) | 34 | — | 34 | — | 34 | |||||||||||||||
State Street Bank & Trust Company (Repurchase Agreement) | 177 | — | $ | 177 | $ | (177 | ) (2) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 233 | $ | — | $ | 233 | $ | (177 | ) | $ | 56 | |||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Collateral with a value of $183 has been received in connection with a master repurchase agreement. Excess collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
90
Table of Contents
TCW Funds, Inc.
April 30, 2015
Note 2 — Significant Accounting Policies (Continued)
TCW Global Bond Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Barclays Capital (Derivatives) | $ | 43 | $ | (16 | ) | $ | 27 | $ | — | $ | 27 | |||||||||
JP Morgan Chase Bank (Derivatives) | 3 | — | 3 | — | 3 | |||||||||||||||
State Street Bank & Trust Company (Repurchase Agreement) | 769 | — | 769 | (769 | ) (2) | — | ||||||||||||||
|
|
|
|
|
|
|
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|
| |||||||||||
Total | $ | 815 | $ | (16 | ) | $ | 799 | $ | (769 | ) | $ | 30 | ||||||||
|
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|
|
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|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Collateral with a value of $785 has been received in connection with a master repurchase agreement. Excess 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 | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Credit Suisse International (Derivatives) | $ | 4 | $ | — | $ | 4 | $ | — | $ | 4 | ||||||||||
Goldman Sachs International (Derivatives) | 2 | — | 2 | — | 2 | |||||||||||||||
State Street Bank & Trust Company (Repurchase Agreement) | 1,743 | — | 1,743 | (1,743 | ) (2) | — | ||||||||||||||
|
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|
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| |||||||||||
Total | $ | 1,749 | $ | — | $ | 1,749 | $ | (1,743 | ) | $ | 6 | |||||||||
|
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|
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|
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|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Collateral with a value of $1,780 has been received in connection with a master repurchase agreement. Excess collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
TCW Short Term Bond Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
State Street Bank & Trust Company (Repurchase Agreement) | $ | 181 | $ | — | $ | 181 | $ | (181 | ) (2) | $ | — | |||||||||
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|
| |||||||||||
Total | $ | 181 | $ | — | $ | 181 | $ | (181 | ) | $ | — | |||||||||
|
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|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Collateral with a value of $189 has been received in connection with a master repurchase agreement. Excess 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 Funds as an unrealized gain or loss in the Statement of Assets and Liabilities. When the contract is closed or delivery is taken, the Funds record 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, 2015 are disclosed in the Schedule of Investments.
91
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Futures 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 a 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 a Fund to enter into a closing transaction with respect to a futures contract it has entered into at a favorable time or price. When a 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 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, 2015 are listed in the 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).
92
Table of Contents
TCW Funds, Inc.
April 30, 2015
Note 2 — Significant Accounting Policies (Continued)
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. A 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 a 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
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Note 2 — Significant Accounting Policies (Continued)
realized gains and losses, respectively. During the period ended April 30, 2015, the TCW High Yield Bond Fund utilized credit default swaps to manage credit market exposure; 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, 2015 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 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.
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Note 2 — Significant Accounting Policies (Continued)
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.
While the values of these securities are expected to be protected from long-term inflationary trends, short term increases in inflation may lead to declines in values. 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 Funds’ existing portfolios. 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 of securities by a Fund 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, a 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 a 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, 2015.
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Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Reverse Repurchase Agreements: The Funds may enter into reverse repurchase agreements. Reverse repurchase agreements involve sales of portfolio securities by a Fund concurrently with an agreement by the same 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, 2015.
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, 2015.
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 a Fund 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 that 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 yearend 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 strategies, 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 perception of credit quality on securities backed by commercial and residential mortgage
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Notes to Financial Statements (Continued)
Note 3 — Risk Considerations (Continued)
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 (passthrough, 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 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, 2015, 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 | $ | 31,775 | $ | (5,562 | ) | $ | 26,213 | $ | 1,853,165 | |||||||
TCW Enhanced Commodity Strategy Fund | 54 | (4 | ) | 50 | 2,596 | |||||||||||
TCW Global Bond Fund | 690 | (686 | ) | 4 | 15,991 | |||||||||||
TCW High Yield Bond Fund | 750 | (255 | ) | 495 | 36,960 | |||||||||||
TCW Short Term Bond Fund | 83 | (130 | ) | (47 | ) | 14,824 | ||||||||||
TCW Total Return Bond Fund | 529,368 | (33,471 | ) | 495,897 | 9,804,456 |
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April 30, 2015
Note 4 — Federal Income Taxes (Continued)
At October 31, 2014 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 | $ | 9,424 | $ | 612 | $ | 10,036 | ||||||
TCW Enhanced Commodity Strategy Fund | — | 2 | 2 | |||||||||
TCW Global Bond Fund | — | 25 | 25 | |||||||||
TCW High Yield Bond Fund | 131 | — | 131 | |||||||||
TCW Short Term Bond Fund | 29 | — | 29 | |||||||||
TCW Total Return Bond Fund | 29,550 | 25,786 | 55,336 |
For the year ended October 31, 2014, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Core Fixed Income Fund | $ | 19,887 | $ | — | $ | 19,887 | ||||||
TCW Enhanced Commodity Strategy Fund | 47 | 21 | 68 | |||||||||
TCW Global Bond Fund | 1 | 317 | 318 | |||||||||
TCW High Yield Bond Fund | 1,608 | — | 1,608 | |||||||||
TCW Short Term Bond Fund | 232 | — | 232 | |||||||||
TCW Total Return Bond Fund | 197,115 | — | 197,115 |
At October 31, 2014, the following Fund had net realized loss carryforwards for federal income tax purposes (amounts in thousands) which were incurred prior to December 22, 2010:
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 after that date 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.
The following Funds had net realized losses that will be carried forward indefinitely for federal income tax purposes (amounts in thousands):
Short-Term Capita Losses | Long-Term Capita Losses | Total | ||||||||||
TCW High Yield Bond Fund | $ | 727 | $ | — | $ | 727 | ||||||
TCW Short Term Bond Fund | 76 | 20 | 96 |
The Funds did not have any unrecognized tax benefits at April 30, 2015, nor were there any increases or decreases in unrecognized tax benefits for the period ended April 30, 2015. 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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Notes to Financial Statements (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:
Fund | Management Fee % | |||
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 Company. |
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.
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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 period ended April 30, 2015, 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 | $ | 256,139 | $ | 95,104 | $ | 2,803,939 | $ | 2,524,495 | ||||||||
TCW Enhanced Commodity Strategy Fund | 31 | 257 | 20 | 19 | ||||||||||||
TCW Global Bond Fund | 3,910 | 2,616 | 8,618 | 8,236 | ||||||||||||
TCW High Yield Bond Fund | 29,380 | 23,697 | — | — | ||||||||||||
TCW Short Term Bond Fund | 150 | 1,368 | 340 | 1,878 | ||||||||||||
TCW Total Return Bond Fund | 353,693 | 377,274 | 12,509,495 | 12,295,314 |
Note 8 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Core Fixed Income Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 46,633,122 | $ | 525,824 | 33,896,593 | $ | 376,655 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 987,821 | 11,137 | 792,969 | 8,785 | ||||||||||||
Shares Redeemed | (8,886,533 | ) | (100,343 | ) | (30,829,103 | ) | (340,709 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 38,734,410 | $ | 436,618 | 3,860,459 | $ | 44,731 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 6,506,698 | $ | 73,335 | 12,036,222 | $ | 132,668 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 493,816 | 5,558 | 736,566 | 8,146 | ||||||||||||
Shares Redeemed | (8,726,101 | ) | (98,413 | ) | (22,160,767 | ) | (244,701 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,725,587 | ) | $ | (19,520 | ) | (9,387,979 | ) | $ | (103,887 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Enhanced Commodity Strategy Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 397 | $ | 3 | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,516 | 9 | 4,675 | 36 | ||||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,913 | $ | 12 | 4,675 | $ | 36 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 692 | $ | 6 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,139 | 7 | 3,637 | 28 | ||||||||||||
Shares Redeemed | — | — | (692 | ) | (6 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,139 | $ | 7 | 3,637 | $ | 28 | ||||||||||
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|
|
|
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|
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|
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Note 8 — Capital Share Transactions (Continued)
TCW Global Bond Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 338 | $ | 4 | 3,706 | $ | 38 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,806 | 69 | 14,821 | 152 | ||||||||||||
Shares Redeemed | (1,496 | ) | (15 | ) | (294,020 | ) | (3,034 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 5,648 | $ | 58 | (275,493 | ) | $ | (2,844 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 676 | $ | 7 | 4,583 | $ | 47 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,333 | 64 | 15,014 | 154 | ||||||||||||
Shares Redeemed | (39 | ) | — | (406,026 | ) | (4,190 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 6,970 | $ | 71 | (386,429 | ) | $ | (3,989 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW High Yield Bond Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,641,120 | $ | 22,902 | 1,559,647 | $ | 10,022 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 60,675 | 383 | 132,419 | 846 | ||||||||||||
Shares Redeemed | (3,607,940 | ) | (22,702 | ) | (2,568,395 | ) | (16,444 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 93,855 | $ | 583 | (876,329 | ) | $ | (5,576 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,882,868 | $ | 18,335 | 4,318,604 | $ | 27,894 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 40,010 | 255 | 77,544 | 499 | ||||||||||||
Shares Redeemed | (2,276,127 | ) | (14,461 | ) | (4,730,653 | ) | (30,505 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 646,751 | $ | 4,129 | (334,505 | ) | $ | (2,112 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Short Term Bond Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 127,548 | $ | 1,115 | 1,693,772 | $ | 14,868 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 11,042 | 97 | 23,590 | 207 | ||||||||||||
Shares Redeemed | (880,192 | ) | (7,687 | ) | (1,036,350 | ) | (9,094 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (741,602 | ) | $ | (6,475 | ) | 681,012 | $ | 5,981 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Total Return Bond Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 131,629,208 | $ | 1,363,922 | 272,113,412 | $ | 2,778,014 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,923,390 | 71,604 | 9,879,731 | 100,459 | ||||||||||||
Shares Redeemed | (109,569,065 | ) | (1,135,785 | ) | (189,753,095 | ) | (1,932,400 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 28,983,533 | $ | 299,741 | 92,240,048 | $ | 946,073 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 51,240,461 | $ | 548,019 | 85,626,790 | $ | 900,384 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,750,319 | 29,349 | 5,402,497 | 56,613 | ||||||||||||
Shares Redeemed | (33,159,405 | ) | (354,384 | ) | (124,807,799 | ) | (1,314,666 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 20,831,375 | $ | 222,984 | (33,778,512 | ) | $ | (357,669 | ) | ||||||||
|
|
|
|
|
|
|
|
102
Table of Contents
TCW Funds, Inc.
April 30, 2015
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, 2015.
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
In June 2014, FASB issued Accounting Standards Update No. 2014-11, Transfers & Servicing (Topic 860): “Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures” (“ASU 2014-11”) to improve the financial reporting of repurchase agreements and other similar transactions. ASU 2014-11 includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. ASU 2014-11 is effective for annual reporting periods beginning after December 15, 2014 and interim periods beginning after December 15, 2015. Management is currently evaluating the implications of these changes and their impact on the financial statements.
103
Table of Contents
TCW Core Fixed Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | Year Ended October 31, 2011 | Year Ended October 31, 2010 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.22 | $ | 10.97 | $ | 11.34 | $ | 10.90 | $ | 11.01 | $ | 10.59 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.08 | 0.21 | 0.21 | 0.24 | 0.36 | 0.63 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.12 | 0.24 | (0.27 | ) | 0.57 | 0.17 | 0.52 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.20 | 0.45 | (0.06 | ) | 0.81 | 0.53 | 1.15 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.10 | ) | (0.20 | ) | (0.20 | ) | (0.28 | ) | (0.42 | ) | (0.64 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.03 | ) | — | (0.11 | ) | (0.09 | ) | (0.22 | ) | (0.09 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.13 | ) | (0.20 | ) | (0.31 | ) | (0.37 | ) | (0.64 | ) | (0.73 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.29 | $ | 11.22 | $ | 10.97 | $ | 11.34 | $ | 10.90 | $ | 11.01 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.77 | % (2) | 4.14 | % | (0.49 | )% | 7.57 | % | 5.06 | % | 11.34 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,088,090 | $ | 646,372 | $ | 589,911 | $ | 501,448 | $ | 264,366 | $ | 197,877 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.48 | % (3) | 0.49 | % | 0.48 | % | 0.49 | % | 0.55 | % | 0.56 | % | ||||||||||||
After Expense Reimbursement | N/A | 0.47 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.42 | % (3) | 1.92 | % | 1.89 | % | 2.20 | % | 3.35 | % | 5.89 | % | ||||||||||||
Portfolio Turnover Rate | 169.77 | % (2) | 249.94 | % | 197.42 | % | 213.82 | % | 280.49 | % | 258.36 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
104
Table of Contents
TCW Core Fixed Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | Year Ended October 31, 2011 | Year Ended October 31, 2010 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.20 | $ | 10.97 | $ | 11.34 | $ | 10.91 | $ | 11.03 | $ | 10.63 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.18 | 0.17 | 0.21 | 0.33 | 0.57 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.13 | 0.22 | (0.25 | ) | 0.56 | 0.17 | 0.54 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.19 | 0.40 | (0.08 | ) | 0.77 | 0.50 | 1.11 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.17 | ) | (0.18 | ) | (0.25 | ) | (0.40 | ) | (0.62 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.03 | ) | — | (0.11 | ) | (0.09 | ) | (0.22 | ) | (0.09 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.11 | ) | (0.17 | ) | (0.29 | ) | (0.34 | ) | (0.62 | ) | (0.71 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.28 | $ | 11.20 | $ | 10.97 | $ | 11.34 | $ | 10.91 | $ | 11.03 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.72 | % (2) | 3.68 | % | (0.74 | )% | 7.21 | % | 4.76 | % | 10.88 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 592,548 | $ | 608,129 | $ | 698,223 | $ | 530,935 | $ | 207,882 | $ | 141,451 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.79 | % (3) | 0.80 | % | 0.77 | % | 0.79 | % | 0.85 | % | 0.88 | % | ||||||||||||
After Expense Reimbursement | N/A | N/A | 0.77 | % (4) | 0.78 | % | 0.78 | % | 0.78 | % | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.10 | % (3) | 1.59 | % | 1.56 | % | 1.86 | % | 3.00 | % | 5.32 | % | ||||||||||||
Portfolio Turnover Rate | 169.77 | % (2) | 249.94 | % | 197.42 | % | 213.82 | % | 280.49 | % | 258.36 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 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.
105
Table of Contents
TCW Enhanced Commodity Strategy Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | April 1, 2011 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 7.18 | $ | 7.61 | $ | 8.58 | $ | 8.73 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | 0.03 | 0.10 | 0.16 | 0.16 | 0.08 | |||||||||||||||
Net Realized and Unrealized Loss on Investments | (0.85 | ) | (0.39 | ) | (0.92 | ) | (0.11 | ) | (1.26 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.82 | ) | (0.29 | ) | (0.76 | ) | 0.05 | (1.18 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.04 | ) | (0.11 | ) | (0.16 | ) | (0.18 | ) | (0.09 | ) | ||||||||||
Distributions from Net Realized Gain | — | (0.03 | ) | (0.05 | ) | (0.02 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.04 | ) | (0.14 | ) | (0.21 | ) | (0.20 | ) | (0.09 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 6.32 | $ | 7.18 | $ | 7.61 | $ | 8.58 | $ | 8.73 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (11.48 | )% (3) | (3.90 | )% | (9.05 | )% | 0.55 | % | (11.80 | )% (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,714 | $ | 1,934 | $ | 2,013 | $ | 2,218 | $ | 2,647 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 7.10 | % (4) | 5.90 | % | 5.67 | % | 5.94 | % | 5.54 | % (4) | ||||||||||
After Expense Reimbursement | 0.70 | % (4) | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % (4) | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.92 | % (4) | 1.30 | % | 2.01 | % | 1.95 | % | 1.51 | % (4) | ||||||||||
Portfolio Turnover Rate | 3.41 | % (3) | 4.13 | % | 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, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
106
Table of Contents
TCW Enhanced Commodity Strategy Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | April 1, 2011 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 7.18 | $ | 7.61 | $ | 8.58 | $ | 8.73 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | 0.03 | 0.10 | 0.16 | 0.16 | 0.08 | |||||||||||||||
Net Realized and Unrealized Loss on Investments | (0.85 | ) | (0.39 | ) | (0.92 | ) | (0.11 | ) | (1.26 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.82 | ) | (0.29 | ) | (0.76 | ) | 0.05 | (1.18 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.03 | ) | (0.11 | ) | (0.16 | ) | (0.18 | ) | (0.09 | ) | ||||||||||
Distributions from Net Realized Gain | — | (0.03 | ) | (0.05 | ) | (0.02 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.03 | ) | (0.14 | ) | (0.21 | ) | (0.20 | ) | (0.09 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 6.33 | $ | 7.18 | $ | 7.61 | $ | 8.58 | $ | 8.73 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (11.37 | )% (3) | (3.92 | )% | (9.05 | )% | 0.55 | % | (11.80 | )% (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,369 | $ | 1,546 | $ | 1,609 | $ | 1,773 | $ | 1,764 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 7.60 | % (4) | 6.45 | % | 6.14 | % | 6.30 | % | 5.95 | % (4) | ||||||||||
After Expense Reimbursement | 0.75 | % (4) | 0.73 | % | 0.70 | % | 0.70 | % | 0.70 | % (4) | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.87 | % (4) | 1.27 | % | 2.01 | % | 1.94 | % | 1.50 | % (4) | ||||||||||
Portfolio Turnover Rate | 3.41 | % (3) | 4.13 | % | 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, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
107
Table of Contents
TCW Global Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Year Ended October 31, 2013 | December 1, (Commencement of Operations) through 2012 | |||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.26 | $ | 10.45 | $ | 10.97 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (1) | 0.11 | 0.22 | 0.35 | 0.27 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.27 | ) | (0.20 | ) | (0.40 | ) | 0.99 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | (0.16 | ) | 0.02 | (0.05 | ) | 1.26 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.07 | ) | (0.13 | ) | (0.16 | ) | (0.29 | ) | ||||||||
Distributions from Net Realized Gain | (0.02 | ) | (0.08 | ) | (0.31 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.09 | ) | (0.21 | ) | (0.47 | ) | (0.29 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 10.01 | $ | 10.26 | $ | 10.45 | $ | 10.97 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | (1.60 | )% (3) | 0.21 | % | (0.46 | )% | 12.74 | % (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 8,001 | $ | 8,138 | $ | 11,170 | $ | 11,253 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 1.32 | % (4) | 1.39 | % | 1.38 | % | 1.42 | % (4) | ||||||||
After Expense Reimbursement | 1.08 | % (4) | 1.12 | % | 1.14 | % | 1.15 | % (4) | ||||||||
Ratio of Net Investment Income to Average Net Assets | 2.13 | % (4) | 2.11 | % | 3.31 | % | 2.80 | % (4) | ||||||||
Portfolio Turnover Rate | 74.16 | % (3) | 125.54 | % | 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, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
108
Table of Contents
TCW Global Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Year Ended October 31, 2013 | December 1, (Commencement of Operations) through 2012 | |||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.26 | $ | 10.45 | $ | 10.97 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (1) | 0.11 | 0.22 | 0.35 | 0.27 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.27 | ) | (0.20 | ) | (0.40 | ) | 0.99 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | (0.16 | ) | 0.02 | (0.05 | ) | 1.26 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.07 | ) | (0.13 | ) | (0.16 | ) | (0.29 | ) | ||||||||
Distributions from Net Realized Gain | (0.02 | ) | (0.08 | ) | (0.31 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.09 | ) | (0.21 | ) | (0.47 | ) | (0.29 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 10.01 | $ | 10.26 | $ | 10.45 | $ | 10.97 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | (1.60 | )% (3) | 0.21 | % | (0.46 | )% | 12.74 | % (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 7,455 | $ | 7,565 | $ | 11,746 | $ | 11,602 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 1.60 | % (4) | 1.67 | % | 1.62 | % | 1.68 | % (4) | ||||||||
After Expense Reimbursement | 1.08 | % (4) | 1.12 | % | 1.14 | % | 1.15 | % (4) | ||||||||
Ratio of Net Investment Income to Average Net Assets | 2.12 | % (4) | 2.12 | % | 3.30 | % | 2.79 | % (4) | ||||||||
Portfolio Turnover Rate | 74.16 | % (3) | 125.54 | % | 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, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
109
Table of Contents
TCW High Yield Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | Year Ended October 31, 2011 | Year Ended October 31, 2010 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 6.35 | $ | 6.33 | $ | 6.30 | $ | 5.99 | $ | 6.45 | $ | 5.93 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.13 | 0.29 | 0.33 | 0.33 | 0.44 | 0.52 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.00 | ) (2) | 0.04 | 0.06 | 0.37 | (0.42 | ) | 0.51 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.13 | 0.33 | 0.39 | 0.70 | 0.02 | 1.03 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.14 | ) | (0.31 | ) | (0.36 | ) | (0.37 | ) | (0.48 | ) | (0.51 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | — | (0.02 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.14 | ) | (0.31 | ) | (0.36 | ) | (0.39 | ) | (0.48 | ) | (0.51 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 6.34 | $ | 6.35 | $ | 6.33 | $ | 6.30 | $ | 5.99 | $ | 6.45 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 2.05 | % (3) | 5.25 | % | 6.44 | % | 12.03 | % | 0.24 | % | 18.18 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 21,207 | $ | 20,649 | $ | 26,102 | $ | 35,006 | $ | 39,648 | $ | 76,897 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.96 | % (4) | 0.90 | % | 1.00 | % | 1.14 | % | 1.06 | % | 0.96 | % | ||||||||||||
After Expense Reimbursement | 0.55 | % (4) | 0.53 | % | 0.63 | % | N/A | N/A | N/A | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.12 | % (4) | 4.60 | % | 5.14 | % | 5.39 | % | 6.93 | % | 8.49 | % | ||||||||||||
Portfolio Turnover Rate | 82.56 | % (3) | 145.14 | % | 114.95 | % | 111.02 | % | 154.82 | % | 176.77 | % |
(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, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
110
Table of Contents
TCW High Yield Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | Year Ended October 31, 2011 | Year Ended October 31, 2010 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 6.41 | $ | 6.37 | $ | 6.35 | $ | 6.02 | $ | 6.49 | $ | 5.94 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.28 | 0.32 | 0.33 | 0.45 | 0.51 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.01 | ) | 0.05 | 0.06 | 0.38 | (0.44 | ) | 0.52 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.11 | 0.33 | 0.38 | 0.71 | 0.01 | 1.03 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.13 | ) | (0.29 | ) | (0.36 | ) | (0.36 | ) | (0.48 | ) | (0.48 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | — | (0.02 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.13 | ) | (0.29 | ) | (0.36 | ) | (0.38 | ) | (0.48 | ) | (0.48 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 6.39 | $ | 6.41 | $ | 6.37 | $ | 6.35 | $ | 6.02 | $ | 6.49 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.79 | % (2) | 5.24 | % | 6.12 | % | 12.11 | % | 0.04 | % | 17.86 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 16,661 | $ | 12,555 | $ | 14,620 | $ | 20,498 | $ | 14,507 | $ | 47,485 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.27 | % (3) | 1.39 | % | 1.34 | % | 1.51 | % | 1.38 | % | 1.27 | % | ||||||||||||
After Expense Reimbursement | 0.80 | % (3) | 0.78 | % | 0.83 | % | 1.17 | % | 1.20 | % | 1.20 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.91 | % (3) | 4.30 | % | 4.96 | % | 5.34 | % | 6.87 | % | 8.22 | % | ||||||||||||
Portfolio Turnover Rate | 82.56 | % (2) | 145.14 | % | 114.95 | % | 111.02 | % | 154.82 | % | 176.77 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
111
Table of Contents
TCW Short Term Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | Year Ended October 31, 2011 | Year Ended October 31, 2010 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.75 | $ | 8.80 | $ | 8.85 | $ | 8.77 | $ | 8.94 | $ | 8.57 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.02 | 0.06 | 0.09 | 0.11 | 0.17 | 0.32 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.00 | ) (2) | 0.00 | (2) | (0.03 | ) | 0.13 | (0.09 | ) | 0.45 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.02 | 0.06 | 0.06 | 0.24 | 0.08 | 0.77 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.05 | ) | (0.11 | ) | (0.11 | ) | (0.15 | ) | (0.25 | ) | (0.40 | ) | ||||||||||||
Distributions from Return of Capital | — | — | — | (0.01 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.05 | ) | (0.11 | ) | (0.11 | ) | (0.16 | ) | (0.25 | ) | (0.40 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 8.72 | $ | 8.75 | $ | 8.80 | $ | 8.85 | $ | 8.77 | $ | 8.94 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 0.18 | % (3) | 0.65 | % | 0.67 | % | 2.74 | % | 0.84 | % | 9.21 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 14,546 | $ | 21,080 | $ | 15,202 | $ | 12,814 | $ | 6,874 | $ | 75,849 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.13 | % (4) | 1.23 | % | 1.33 | % | 1.63 | % | 0.84 | % | 0.76 | % | ||||||||||||
After Expense Reimbursement | 0.44 | % (4) | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.57 | % (4) | 0.70 | % | 1.01 | % | 1.21 | % | 1.96 | % | 3.66 | % | ||||||||||||
Portfolio Turnover Rate | 3.29 | % (3) | 67.27 | % | 71.48 | % | 81.91 | % | 57.84 | % | 83.26 | % |
(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, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
112
Table of Contents
TCW Total Return Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | Year Ended October 31, 2011 | Year Ended October 31, 2010 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.31 | $ | 10.13 | $ | 10.27 | $ | 9.76 | $ | 10.37 | $ | 10.21 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.27 | 0.27 | 0.52 | 0.65 | 0.75 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.08 | 0.18 | 0.06 | 0.64 | (0.31 | ) | 0.25 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.20 | 0.45 | 0.33 | 1.16 | 0.34 | 1.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.27 | ) | (0.33 | ) | (0.63 | ) | (0.68 | ) | (0.84 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.04 | ) | — | — | (0.02 | ) | (0.27 | ) | — | |||||||||||||||
Distributions from Return of Capital | — | — | (0.14 | ) | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.15 | ) | (0.27 | ) | (0.47 | ) | (0.65 | ) | (0.95 | ) | (0.84 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 10.36 | $ | 10.31 | $ | 10.13 | $ | 10.27 | $ | 9.76 | $ | 10.37 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.93 | % (2) | 4.49 | % | 3.26 | % | 12.35 | % | 3.44 | % | 10.32 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 6,455,600 | $ | 6,129,426 | $ | 5,085,781 | $ | 5,837,581 | $ | 3,256,269 | $ | 3,185,878 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.59 | % (3) | 0.59 | % | 0.57 | % | 0.57 | % | 0.60 | % | 0.61 | % | ||||||||||||
After Expense Reimbursement | 0.49 | % (3) | 0.47 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.36 | % (3) | 2.65 | % | 2.60 | % | 5.21 | % | 6.48 | % | 7.37 | % | ||||||||||||
Portfolio Turnover Rate | 144.34 | % (2) | 201.30 | % | 190.79 | % | 123.43 | % | 141.33 | % | 76.43 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
113
Table of Contents
TCW Total Return Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | Year Ended October 31, 2011 | Year Ended October 31, 2010 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.64 | $ | 10.45 | $ | 10.61 | $ | 10.09 | $ | 10.72 | $ | 10.55 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.11 | 0.25 | 0.24 | 0.52 | 0.64 | 0.73 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.07 | 0.19 | 0.07 | 0.65 | (0.32 | ) | 0.27 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.18 | 0.44 | 0.31 | 1.17 | 0.32 | 1.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.25 | ) | (0.33 | ) | (0.63 | ) | (0.68 | ) | (0.83 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.04 | ) | — | — | (0.02 | ) | (0.27 | ) | — | |||||||||||||||
Distributions from Return of Capital | — | — | (0.14 | ) | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.13 | ) | (0.25 | ) | (0.47 | ) | (0.65 | ) | (0.95 | ) | (0.83 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 10.69 | $ | 10.64 | $ | 10.45 | $ | 10.61 | $ | 10.09 | $ | 10.72 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.73 | % (2) | 4.24 | % | 2.96 | % | 12.03 | % | 3.12 | % | 10.00 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 2,409,776 | $ | 2,177,160 | $ | 2,492,073 | $ | 2,342,406 | $ | 2,081,438 | $ | 2,211,097 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.88 | % (3) | 0.87 | % | 0.83 | % | 0.83 | % | 0.86 | % | 0.88 | % | ||||||||||||
After Expense Reimbursement | 0.79 | % (3) | 0.77 | % | 0.73 | % | 0.73 | % | 0.74 | % | 0.74 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.06 | % (3) | 2.36 | % | 2.31 | % | 5.02 | % | 6.19 | % | 6.98 | % | ||||||||||||
Portfolio Turnover Rate | 144.34 | % (2) | 201.30 | % | 190.79 | % | 123.43 | % | 141.33 | % | 76.43 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
114
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, 2014 to April 30, 2015 (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, 2014 | Ending Account Value April 30, 2015 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2014 to April 30, 2015) | ||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.70 | 0.48 | % | $ | 2.40 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.41 | 0.48 | % | 2.41 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.20 | 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 | $ | 885.20 | 0.70 | % | $ | 3.27 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.32 | 0.70 | % | 3.51 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 886.30 | 0.75 | % | $ | 3.51 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.08 | 0.75 | % | 3.76 | |||||||||||
TCW Global Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 984.00 | 1.08 | % | $ | 5.31 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.44 | 1.08 | % | 5.41 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 984.00 | 1.08 | % | $ | 5.31 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.44 | 1.08 | % | 5.41 |
115
Table of Contents
TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value November 1, 2014 | Ending Account Value April 30, 2015 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2014 to April 30, 2015) | ||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.50 | 0.55 | % | $ | 2.76 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.07 | 0.55 | % | 2.76 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.90 | 0.80 | % | $ | 4.00 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.83 | 0.80 | % | 4.01 | |||||||||||
TCW Short Term Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.80 | 0.44 | % | $ | 2.18 | ||||||||
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 | $ | 1,019.30 | 0.49 | % | $ | 2.45 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.37 | 0.49 | % | 2.46 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.30 | 0.79 | % | $ | 3.95 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.88 | 0.79 | % | 3.96 |
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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). |
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TCWFunds TCW Family of Funds 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 555 West 5th Street Los Angeles, California 90013 Custodian & Administrator State Street Bank & Trust Company One Lincoln Street Boston, Massachusetts 02111 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 and Secretary Richard M. Villa Treasurer and Chief Financial Officer Jeffrey A. Engelsman Chief Compliance Officer Peter A. Brown Senior Vice President Patrick W. Dennis Assistant Secretary George N. Winn Assistant Treasurer TCW FAMILY OF FUNDS Equity Funds TCW Concentrated Value Fund TCW Global Real Estate Fund TCW Growth Equities Fund TCW High Dividend Equities Fund TCW Relative Value Dividend Appreciation Fund TCW Relative Value Large Cap Fund TCW Relative Value Mid Cap Fund TCW Select Equities Fund TCW Small Cap Growth Fund TCW SMID Cap Growth 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 FUNDsarFI0415
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TCWFunds TCW Family of Funds APRIL 30 2015 SEMI-ANNUAL REPORT 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
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TCW Funds, Inc.
April 30, 2015 |
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|
David S. DeVito President, Chief Executive Officer & Director |
Dear Valued Investors:
I am pleased to present the semi-annual report for the TCW Funds, Inc. covering the six-month period ended April 30, 2015. 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, 2015, the TCW Funds held total net assets of approximately $19.3 billion.
This report contains information outlining the performance of the TCW Funds and a listing of the portfolio holdings as of April 30, 2015.
About the TCW Funds
The TCW Funds offer shareholders a choice of 22 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
When the Federal Reserve announced in December 2013 that the time had come to begin drawing down its purchases of U.S. Treasury securities and agency mortgages, the market reacted with a backup in yields that saw the 10-Year Note climb above 3% for the first time since 2011. That wasn’t so surprising; after all, the Fed was removing itself — and $85 billion of monthly purchasing power — from those markets, a considerable technical drag. What wasn’t expected, however, was that would be the last time the 10-Year saw a yield as high as 3%! Despite a reasonably good pace of economic growth through 2014 and strong gains in employment in the past 15 months, U.S. rates have fallen, primarily due to a global environment of central bank accommodation that has rates across most of the developed
markets lower than within the U.S. So, it’s ironic that despite the lack of sustained upward rate pressure out the yield curve, much of the current rates discussion focuses on when rate hikes will begin and the anticipated pace of follow-up. And it would seem that the Fed’s objectives are at least twofold: one, to take the Fed Funds rate off the zero bound while remaining accommodating and, two, to avoid a violent reaction to the regime change presaged in the May 2013 “Taper Tantrum.”
The U.S. Stock Market and our U.S. Equity Funds
U.S. stocks posted solid gains during the six month period ended April 30, 2015, with the S&P 500 Index advancing 4.4% on a total return basis despite a number of headwinds during the period. The 58% decline in the price of WTI crude oil from mid-June 2014 to late January of this year, coupled with a nearly 20% gain in the DXY U.S. Dollar Index, undercut stock market investors’ confidence in the resilience of corporate earnings estimates. At the same time, a steady stream of weak macroeconomic data emanating from Europe, Japan, China and many emerging market countries stoked concerns that the U.S. economy could be dragged down by the slowdown in global growth. However, these worries were assuaged by both the Fed’s statement that it would continue to remain patient in terms of the timetable for hiking interest rates, as well as the ECB’s announcement that it would embark upon a quantitative easing program entailing asset purchases totaling at least 1.1 trillion Euros through September 2016. Importantly, corporate earnings results for the first quarter of 2015 proved better than expected and provided support to U.S. stock prices.
For the six months ended April 30, 2015, our value-oriented equity strategies outperformed their respective benchmarks, in many cases boosted by their exposure to names in the top-performing consumer discretionary, healthcare, and technology sectors. Several of our more aggressive growth-oriented equity funds trailed their respective benchmarks during the same period, as global growth concerns raised doubts about the strength of the US economic recovery and hurt investor sentiment towards higher beta aggressive growth names.
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Letter to Shareholders (Continued) |
The U.S. Fixed Income Market and our U.S. Fixed Income Funds
Through early 2015, U.S. Treasury yields fell, led by a vigorous rally in January, after which rates retraced higher on a strong February job report, before finishing on a downtrend due to a dovish interpretation of the March FOMC meeting, where the governors uniformly lowered estimates of future Fed Funds levels. The lower yields fueled price appreciation across the market, with modestly narrowing investment grade corporate spreads delivering a solid gain. Agency residential mortgage-backed securities (MBS) struggled to keep up with the strong U.S. Treasury performance in January and spent the remainder of the quarter playing catch-up, ultimately resulting in a nearly 50 basis point lag on a duration-adjusted basis. Both agency and non-agency commercial MBS (CMBS) generated good relative performance, while asset-backed securities (ABS), overwhelmingly floating rate in nature and thus limited in interest rate duration, produced positive relative returns as well. High yield corporates enjoyed a very good start to the year, especially in February, with a rebound in energy issues, overcoming considerable volatility and a disappointing end to 2014.
International/Global Markets and our Emerging Markets Funds
The Emerging Markets (EM) have been volatile — a default in Argentina, a border crisis in Russia, the threat of a downgrade in Brazil and a significant repricing of the commodity complex. Throughout this period of volatility, however, EM sovereigns as a whole have been able to retain strong balance sheets, with external debt to GDP in the 40% range – at or near the levels before the Global Financial Crisis — and significantly below that of many developed economies. Against this backdrop, Emerging Markets hard currency debt has outperformed or performed in line with various developed market fixed income indices this year. EM local currency debt, however, has underperformed due to dollar strength, although we believe this segment of the market could be an attractive investment opportunity as we get closer to the first Fed rate hike (dollar strength has typically peaked at or before the first Fed move in previous cycles).
For the six months ended April 30, 2015, the TCW Emerging Markets Income Fund I Share returned a negative 3.59% versus the J.P. Morgan EMBI Global Diversified Index return of +1.37%. Underperformance during this period was primarily driven by an active restructuring in the portfolio in December and January to
reduce corporate exposure and add sovereign exposure. Since we made this shift, we have been tracking more in line with the index. During the same period, the TCW Emerging Markets Local Currency Fund I Share returned a negative 6.46%, outperforming the J.P. Morgan GBI-EM Global Diversified Index which returned a negative 8.24%. This outperformance was driven by our focus on reform-oriented countries and active currency hedging.
An Update on the TCW Fund Family
We wanted to update our shareholders on the TCW Funds family over the past six months. During the first quarter, Ray Prasad, CFA, Managing Director, was named Lead Portfolio Manager, and Andrey Glukhov, CFA, Senior Vice President, was named Co-Portfolio Manager for the TCW International Small Cap Fund (TGICX and TGNIX) and the TCW International Growth Fund (TGIBX and TGIDX). Rohit Sah, who served as Portfolio Manager of the funds, left TCW to pursue other opportunities.
Looking Ahead
As a basis for strategy from a forward-looking perspective, through much of 2014, U.S. economic data had been largely consistent with an effort by the Fed to begin removing monetary accommodation, either by raising rates or shrinking its balance sheet. However, with global growth languishing and a strong U.S. dollar, any move by the Fed to begin tightening policy runs a risk of importing a slower economic pace and spurring market volatility. As a result, the pundits will talk about the Fed looking to “thread the needle” of removing incentives to misallocate capital, while not inadvertently bringing havoc to the markets. Exacerbating the risk of volatility is a liquidity environment that could amplify such effects to the downside, as the reduced size of bank trading books may prove insufficient to meet investor needs. That, in fact, could be an opportunity to capture returns across all the markets in which the Funds operate through disciplined strategy implementation and rigorous security selection, as well as being a provider of liquidity to those most willing to pay for it.
With respect to U.S. equities, looking forward, we believe that should the Fed initiate an interest rate hike this Fall, such a rate hike would not necessarily portend a negative backdrop for U.S. stocks if accompanied by sufficient underlying strength in the real economy. Yet, we note that because 2015 U.S. earnings growth expectations have declined from the high to the
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mid-single digits on the back of a dismal energy sector earnings outlook, consensus stock valuations have drifted up to approximately 17 times forward earnings, which is slightly above their three-decade average of around 16 times. We would add, however, that current valuation levels are in many cases warranted by strong company fundamentals, including deleveraged balance sheets, high cash balances, and near-record profit margins in the midst of a low, stable inflation environment. We remain mindful, of course, of the prospect for heightened volatility until greater clarity emerges with respect to the nature and timing of the Fed’s monetary policy shift to “normalize” interest rates, as well as the resiliency of corporate earnings.
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, 2015 (1) | ||||||||||||||||||||||||
NAV | 1-Year | 5-Year | 10-Year | Since Inception | Inception Date | |||||||||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||||||||||
I Class | $ | 8.05 | (0.54 | )% | 6.01 | % | 8.44 | % | 9.89 | % (2) | 09/04/96 | (3) | ||||||||||||
N Class | $ | 10.39 | (0.80 | )% | 5.74 | % | 8.11 | % | 8.43 | % | 03/01/04 | |||||||||||||
TCW Emerging Markets Local Currency | ||||||||||||||||||||||||
I Class | $ | 9.04 | (7.60 | )% | N/A | N/A | 0.43 | % | 12/15/10 | |||||||||||||||
N Class | $ | 9.03 | (7.61 | )% | N/A | N/A | 0.39 | % | 12/15/10 | |||||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||||||||||
I Class | $ | 10.84 | 5.42 | % | N/A | N/A | 5.99 | % | 07/01/13 | |||||||||||||||
N Class | $ | 10.80 | 5.43 | % | N/A | N/A | 5.77 | % | 07/01/13 | |||||||||||||||
TCW International Growth Fund | ||||||||||||||||||||||||
I Class | $ | 11.10 | 8.49 | % | N/A | N/A | 10.92 | % | 11/01/12 | |||||||||||||||
N Class | $ | 11.06 | 8.23 | % | N/A | N/A | 10.59 | % | 11/01/12 | |||||||||||||||
TCW International Small Cap Fund | ||||||||||||||||||||||||
I Class | $ | 8.76 | (2.56 | )% | N/A | N/A | (1.18 | )% | 02/28/11 | |||||||||||||||
N Class | $ | 8.77 | (2.63 | )% | N/A | N/A | (1.24 | )% | 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. |
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TCW Emerging Markets Income Fund
April 30, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Argentina (3.8% of Net Assets) | ||||||||||
EUR | 20,450,000 | Argentine Republic Government International Bond, | $ | 12,231,012 | ||||||
$ | 24,767,001 | Argentine Republic Government International Bond, | 25,410,943 | |||||||
40,659,102 | Argentine Republic Government International Bond, | 41,716,239 | ||||||||
68,460,000 | Argentine Republic Government International Bond, | 67,563,174 | ||||||||
21,080,000 | YPF S.A., (Reg. S), 8.875%, due 12/19/18 (2) | 22,344,800 | ||||||||
|
| |||||||||
Total Argentina (Cost: $156,961,697) | 169,266,168 | |||||||||
|
| |||||||||
Bahrain (Cost: $32,459,942) (0.7%) | ||||||||||
32,000,000 | Bahrain Government International Bond, (144A), | 31,472,000 | ||||||||
|
| |||||||||
Brazil (9.8%) | ||||||||||
51,850,000 | Brazil Minas SPE via State of Minas Gerais, (Reg. S), | 51,072,250 | ||||||||
BRL | 54,800,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/17 (4) | 17,422,079 | |||||||
BRL | 62,700,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/21 | 18,767,899 | |||||||
BRL | 54,000,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/23 | 15,782,916 | |||||||
$ | 44,000,000 | Brazilian Government International Bond, 2.625%, due 01/05/23 | 40,268,800 | |||||||
22,720,000 | Brazilian Government International Bond, 4.25%, due 01/07/25 (4) | 22,492,800 | ||||||||
50,990,000 | Brazilian Government International Bond, 5%, due 01/27/45 (4) | 48,058,075 | ||||||||
22,400,000 | Brazilian Government International Bond, 5.625%, due 01/07/41 | 23,184,000 | ||||||||
22,658,000 | Minerva Luxembourg S.A., (Reg. S), 7.75%, due 01/31/23 (2) | 22,658,000 | ||||||||
70,800,000 | Petrobras Global Finance BV, 4.875%, due 03/17/20 | 68,534,400 | ||||||||
81,000,000 | Petrobras Global Finance BV, 5.875%, due 03/01/18 | 83,275,290 | ||||||||
21,000,000 | Petrobras Global Finance BV, 7.875%, due 03/15/19 | 22,806,000 | ||||||||
|
| |||||||||
Total Brazil (Cost: $434,807,363) | 434,322,509 | |||||||||
|
| |||||||||
Chile (1.5%) | ||||||||||
42,520,000 | Empresa Electrica Angamos S.A., (144A), 4.875%, due 05/25/29 (3) | 42,945,200 | ||||||||
24,050,000 | Guanay Finance, Ltd., (144A), 6%, due 12/15/20 (3) | 25,327,055 | ||||||||
|
| |||||||||
Total Chile (Cost: $67,176,060) | 68,272,255 | |||||||||
|
| |||||||||
China (2.1%) | ||||||||||
9,400,000 | Country Garden Holdings Co. Ltd., (Reg. S), 7.25%, due 04/04/21 (2) | 9,752,500 | ||||||||
37,000,000 | Industrial & Commercial Bank of China, Ltd., (144A), | 38,896,250 | ||||||||
42,500,000 | Tencent Holdings, Ltd., (144A), 3.8%, due 02/11/25 (3) | 42,597,353 | ||||||||
|
| |||||||||
Total China (Cost: $89,728,771) | 91,246,103 | |||||||||
|
| |||||||||
Colombia (6.6%) | ||||||||||
54,325,000 | Avianca Holdings S.A., (144A), 8.375%, due 05/10/20 (3) | 54,596,625 | ||||||||
43,000,000 | Bancolombia S.A., 6.125%, due 07/26/20 (4) | 46,300,861 | ||||||||
16,500,000 | BBVA Colombia S.A., (144A), 4.875%, due 04/21/25 (3) | 16,685,625 |
See accompanying notes to financial statements.
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TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Colombia (Continued) | ||||||||||
$ | 25,000,000 | Colombia Government International Bond, | $ | 23,562,500 | ||||||
49,254,000 | Colombia Government International Bond, 4%, due 02/26/24 | 50,830,128 | ||||||||
77,850,000 | Colombia Government International Bond, 5%, due 06/15/45 | 79,601,625 | ||||||||
21,700,000 | Colombia Telecomunicaciones S.A. ESP, (Reg. S), | 22,192,590 | ||||||||
|
| |||||||||
Total Colombia (Cost: $296,427,739) | 293,769,954 | |||||||||
|
| |||||||||
Croatia (Cost: $61,286,902) (1.4%) | ||||||||||
57,250,000 | Croatia Government International Bond, (Reg. S), | 61,059,987 | ||||||||
|
| |||||||||
Dominican Republic (2.6%) | ||||||||||
33,100,000 | Dominican Republic International Bond, (144A), 5.5%, due 01/27/25 (3) | 34,424,000 | ||||||||
33,600,000 | Dominican Republic International Bond, (144A), | 35,448,000 | ||||||||
44,900,000 | Dominican Republic International Bond, (Reg. S), | 47,818,500 | ||||||||
|
| |||||||||
Total Dominican Republic (Cost: $113,812,171) | 117,690,500 | |||||||||
|
| |||||||||
El Salvador (Cost: $32,391,711) (0.7%) | ||||||||||
32,000,000 | El Salvador Government International Bond, (144A), | 32,680,000 | ||||||||
|
| |||||||||
Ghana (Cost: $43,995,969) (1.0%) | ||||||||||
46,900,000 | Republic of Ghana, (Reg. S), 7.875%, due 08/07/23 (2) | 45,501,442 | ||||||||
|
| |||||||||
Guatemala (1.6%) | ||||||||||
31,300,000 | Comcel Trust via Comunicaciones Celulares S.A., (Reg. S), | 33,647,500 | ||||||||
38,100,000 | Industrial Senior Trust, (144A), 5.5%, due 11/01/22 (3) | 37,639,942 | ||||||||
|
| |||||||||
Total Guatemala (Cost: $71,403,165) | 71,287,442 | |||||||||
|
| |||||||||
Honduras (Cost: $22,229,951) (0.5%) | ||||||||||
20,000,000 | Republic of Honduras, (Reg. S), 8.75%, due 12/16/20 (2)(4) | 23,050,000 | ||||||||
|
| |||||||||
Hungary (4.7%) | ||||||||||
41,000,000 | Hungary Government International Bond, 5.375%, due 02/21/23 (4) | 46,026,600 | ||||||||
43,000,000 | Hungary Government International Bond, 5.375%, due 03/25/24 (4) | 48,491,100 | ||||||||
47,730,000 | Hungary Government International Bond, 5.75%, due 11/22/23 (4) | 55,092,352 | ||||||||
59,200,000 | Magyar Export-Import Bank Zrt, (144A), 4%, due 01/30/20 (3)(4) | 60,458,000 | ||||||||
|
| |||||||||
Total Hungary (Cost: $191,540,049) | 210,068,052 | |||||||||
|
| |||||||||
India (4.6%) | ||||||||||
INR | 477,000,000 | Export-Import Bank of India, 8.87%, due 10/30/29 | 7,775,832 | |||||||
$ | 42,415,000 | ICICI Bank, Ltd., (Reg. S), 6.375%, due 04/30/22 (2)(5) | 44,363,757 | |||||||
INR | 1,940,000,000 | India Government Bond, 7.28%, due 06/03/19 | 30,158,959 | |||||||
INR | 2,500,000,000 | India Government Bond, 8.83%, due 11/25/23 | 41,668,937 | |||||||
INR | 1,850,000,000 | Power Finance Corp., Ltd., 8.76%, due 11/07/19 | 29,401,966 | |||||||
INR | 1,500,000,000 | Power Finance Corp., Ltd., 8.98%, due 10/08/24 | 24,135,818 |
See accompanying notes to financial statements.
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TCW Emerging Markets Income Fund
April 30, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
India (Continued) | ||||||||||
$ | 7,750,000 | Reliance Industries, Ltd., (144A), 4.875%, due 02/10/45 (3) | $ | 7,419,835 | ||||||
INR | 1,300,000,000 | Rural Electrification Corp., Ltd., 8.3%, due 04/10/25 | 20,380,209 | |||||||
|
| |||||||||
Total India (Cost: $207,653,954) | 205,305,313 | |||||||||
|
| |||||||||
Indonesia (5.6%) | ||||||||||
$ | 51,900,000 | Indonesia Government International Bond, (144A), | 52,970,437 | |||||||
30,700,000 | Indonesia Government International Bond, (144A), | 31,799,060 | ||||||||
40,000,000 | Indonesia Government International Bond, (Reg. S), | 40,860,000 | ||||||||
39,300,000 | Pertamina Persero PT, (Reg. S), 4.3%, due 05/20/23 (2) | 39,290,175 | ||||||||
20,000,000 | Pertamina Persero PT, (Reg. S), 4.875%, due 05/03/22 (2) | 20,770,000 | ||||||||
61,400,000 | Perusahaan Penerbit SBSN Indonesia III, (144A), | 63,073,150 | ||||||||
|
| |||||||||
Total Indonesia (Cost: $247,226,279) | 248,762,822 | |||||||||
|
| |||||||||
Israel (1.6%) | ||||||||||
27,925,000 | Delek & Avner Tamar Bond, Ltd., (144A), | 28,659,427 | ||||||||
17,847,000 | Israel Electric Corp., Ltd., (144A), 5%, due 11/12/24 (3) | 18,962,438 | ||||||||
24,200,000 | Israel Government International Bond, 4.5%, due 01/30/43 | 25,470,500 | ||||||||
|
| |||||||||
Total Israel (Cost: $72,485,216) | 73,092,365 | |||||||||
|
| |||||||||
Ivory Coast (Cost: $25,272,390) (0.6%) | ||||||||||
25,800,000 | Ivory Coast Government International Bond, (144A), | 26,058,000 | ||||||||
|
| |||||||||
Jamaica (Cost: $11,040,000) (0.2%) | ||||||||||
11,500,000 | Digicel Group Ltd., (Reg. S), 7.125%, due 04/01/22 (2) | 10,921,869 | ||||||||
|
| |||||||||
Kenya (Cost: $24,851,300) (0.6%) | ||||||||||
24,400,000 | Kenya Government International Bond, (Reg. S), | 25,298,652 | ||||||||
|
| |||||||||
Lebanon (0.9%) | ||||||||||
17,000,000 | Lebanon Government International Bond, | 17,862,750 | ||||||||
22,000,000 | Lebanon Government International Bond, (Reg. S), | 22,693,000 | ||||||||
|
| |||||||||
Total Lebanon (Cost: $40,495,958) | 40,555,750 | |||||||||
|
| |||||||||
Mexico (8.1%) | ||||||||||
38,000,000 | BBVA Bancomer S.A., (144A), 6.75%, due 09/30/22 (3) | 43,437,800 | ||||||||
40,500,000 | Cemex S.A.B. de C.V., (Reg. S), 7.25%, due 01/15/21 (2)(4) | 43,942,500 | ||||||||
10,091,000 | Controladora Mabe S.A. de C.V., (Reg. S), 7.875%, due 10/28/19 (2) | 11,497,736 | ||||||||
60,000,000 | Corp. GEO S.A.B. de C.V., (144A), 8.875%, due 03/27/22 (1)(3) | 2,700,000 | ||||||||
42,850,000 | Mexico Government International Bond, 3.6%, due 01/30/25 (4) | 43,552,740 |
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 | ||||||||
Mexico (Continued) | ||||||||||
$ | 32,200,000 | Mexico Government International Bond, 3.625%, due 03/15/22 (4) | $ | 33,351,150 | ||||||
39,622,000 | Mexico Government International Bond, 4.6%, due 01/23/46 (4) | 39,671,527 | ||||||||
18,500,000 | Petroleos Mexicanos, (Reg. S), 4.25%, due 01/15/25 (2) | 18,657,250 | ||||||||
26,300,000 | Petroleos Mexicanos, (Reg. S), 5.5%, due 06/27/44 (2) | 26,071,190 | ||||||||
56,000,000 | Petroleos Mexicanos, (Reg. S), 5.625%, due 01/23/46 (2) | 56,257,600 | ||||||||
38,000,000 | Tenedora Nemak S.A. de C.V., (144A), 5.5%, due 02/28/23 (3) | 39,995,000 | ||||||||
|
| |||||||||
Total Mexico (Cost: $418,601,981) | 359,134,493 | |||||||||
|
| |||||||||
Mongolia (Cost: $15,785,785) (0.4%) | ||||||||||
18,000,000 | Mongolia Government International Bond, (Reg. S), | 16,087,500 | ||||||||
|
| |||||||||
Nigeria (0.9%) | ||||||||||
26,450,000 | Nigeria Government International Bond, (Reg. S), | 27,838,625 | ||||||||
12,500,000 | Nigeria Government International Bond, (Reg. S), | 13,437,500 | ||||||||
|
| |||||||||
Total Nigeria (Cost: $39,859,434) | 41,276,125 | |||||||||
|
| |||||||||
Oman (Cost: $32,000,000) (0.7%) | ||||||||||
32,000,000 | Lamar Funding, Ltd., (144A), 3.958%, due 05/07/25 (3)(7) | 32,401,600 | ||||||||
|
| |||||||||
Pakistan (Cost: $17,653,552) (0.4%) | ||||||||||
17,600,000 | Pakistan Government International Bond, (144A), 7.25%, due 04/15/19 (3) | 18,645,704 | ||||||||
|
| |||||||||
Panama (2.6%) | ||||||||||
12,100,000 | Global Bank Corp., (144A), 4.75%, due 10/05/17 (3) | 12,487,079 | ||||||||
46,475,000 | Global Bank Corp., (144A), 5.125%, due 10/30/19 (3) | 48,162,042 | ||||||||
24,900,000 | Panama Government International Bond, 3.75%, due 03/16/25 | 25,542,420 | ||||||||
26,400,000 | Panama Government International Bond, 4%, due 09/22/24 (4) | 27,522,000 | ||||||||
|
| |||||||||
Total Panama (Cost: $110,628,336) | 113,713,541 | |||||||||
|
| |||||||||
Paraguay (2.1%) | ||||||||||
18,440,000 | Banco Continental SAECA, (144A), 8.875%, due 10/15/17 (3) | 19,315,900 | ||||||||
22,950,000 | Banco Regional SAECA, (144A), 8.125%, due 01/24/19 (3) | 24,653,693 | ||||||||
15,000,000 | Republic of Paraguay, (144A), 4.625%, due 01/25/23 (3) | 15,487,500 | ||||||||
32,500,000 | Telefonica Celular del Paraguay S.A., (Reg. S), 6.75%, due 12/13/22 (2) | 34,072,399 | ||||||||
|
| |||||||||
Total Paraguay (Cost: $91,171,957) | 93,529,492 | |||||||||
|
| |||||||||
Peru (4.7%) | ||||||||||
45,600,000 | BBVA Banco Continental S.A., (144A), 5.25%, due 09/22/29 (3)(4)(5) | 47,134,518 | ||||||||
34,500,000 | Corp. Financiera de Desarrollo S.A., (144A), 5.25%, due | 36,269,850 | ||||||||
21,300,000 | Fondo MIVIVIENDA S.A., (Reg. S), 3.5%, due 01/31/23 (2) | 21,080,610 | ||||||||
17,430,000 | InRetail Consumer, (Reg. S), 5.25%, due 10/10/21 (2)(4) | 18,019,134 | ||||||||
35,400,000 | Southern Copper Corp., 5.875%, due 04/23/45 | 34,985,820 | ||||||||
26,250,000 | Union Andina de Cementos SAA, (144A), 5.875%, due 10/30/21 (3) | 26,874,750 | ||||||||
26,200,000 | Volcan Cia Minera SAA, (Reg. S), 5.375%, due 02/02/22 (2) | 25,780,800 | ||||||||
|
| |||||||||
Total Peru (Cost: $207,563,605) | 210,145,482 | |||||||||
|
|
See accompanying notes to financial statements.
8
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Romania (1.3%) | ||||||||||
$ | 13,800,000 | Romanian Government International Bond, (Reg. S), | $ | 14,697,000 | ||||||
40,700,000 | Romanian Government International Bond, (Reg. S), | 44,922,625 | ||||||||
|
| |||||||||
Total Romania (Cost: $60,294,318) | 59,619,625 | |||||||||
|
| |||||||||
Russia (5.7%) | ||||||||||
23,660,000 | Mobile Telesystems OJSC via MTS International Funding, Ltd., (Reg. S), 8.625%, due 06/22/20 (2) | 25,818,738 | ||||||||
RUB | 1,982,390,000 | Russian Federal Bond — OFZ, 7.4%, due 06/14/17 | 36,197,404 | |||||||
$ | 41,600,000 | Russian Foreign Bond — Eurobond, (Reg. S), 3.5%, due 01/16/19 (2) | 40,955,200 | |||||||
74,400,000 | Russian Foreign Bond — Eurobond, (Reg. S), 4.5%, due 04/04/22 (2) | 72,712,608 | ||||||||
61,600,000 | Russian Foreign Bond — Eurobond, (Reg. S), | 60,676,000 | ||||||||
17,400,000 | Russian Foreign Bond — Eurobond, (Reg. S), 5%, due | 17,726,250 | ||||||||
|
| |||||||||
Total Russia (Cost: $255,203,282) | 254,086,200 | |||||||||
|
| |||||||||
Serbia (1.6%) | ||||||||||
46,000,000 | Republic of Serbia, (Reg. S), 4.875%, due 02/25/20 (2)(4) | 47,352,400 | ||||||||
20,994,000 | Republic of Serbia, (Reg. S), 5.875%, due 12/03/18 (2) | 22,346,014 | ||||||||
|
| |||||||||
Total Serbia (Cost: $68,978,418) | 69,698,414 | |||||||||
|
| |||||||||
Slovenia (Cost: $49,526,671) (1.1%) | ||||||||||
42,750,000 | Slovenia Government International Bond, (Reg. S), | 49,491,247 | ||||||||
|
| |||||||||
South Africa (2.9%) | ||||||||||
13,850,000 | AngloGold Ashanti Holdings PLC, 5.125%, due 08/01/22 | 13,451,812 | ||||||||
10,300,000 | AngloGold Ashanti Holdings PLC, 5.375%, due 04/15/20 | 10,417,750 | ||||||||
29,054,000 | Gold Fields Orogen Holding BVI, Ltd., (Reg. S), | 26,366,505 | ||||||||
10,000,000 | South Africa Government International Bond, 5.5%, due 03/09/20 | 11,000,000 | ||||||||
10,000,000 | Transnet SOC, Ltd., (Reg. S), 4%, due 07/26/22 (2) | 9,690,800 | ||||||||
57,250,000 | ZAR Sovereign Capital Fund Propriety, Ltd., (Reg. S), | 58,772,850 | ||||||||
|
| |||||||||
Total South Africa (Cost: $129,611,018) | 129,699,717 | |||||||||
|
| |||||||||
Sri Lanka (1.1%) | ||||||||||
14,650,000 | Sri Lanka Government International Bond, (Reg. S), | 15,157,989 | ||||||||
31,000,000 | Sri Lanka Government International Bond, (Reg. S), | 32,131,500 | ||||||||
|
| |||||||||
Total Sri Lanka (Cost: $47,992,717) | 47,289,489 | |||||||||
|
| |||||||||
Tunisia (Cost: $24,462,871) (0.6%) | ||||||||||
24,150,000 | Banque Centrale de Tunisie S.A., (144A), 5.75%, due 01/30/25 (3) | 25,025,438 | ||||||||
|
|
See accompanying notes to financial statements.
9
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | �� | Fixed Income Securities | Value | |||||||
Turkey (3.5%) | ||||||||||
$ | 45,550,000 | Hazine Mustesarligi Varlik Kiralama AS, (144A), 4.489%, due 11/25/24 (3) | $ | 45,777,750 | ||||||
70,800,000 | Turkey Government International Bond, 3.25%, due 03/23/23 (4) | 66,552,000 | ||||||||
41,700,000 | Turkey Government International Bond, 5.125%, due 03/25/22 | 44,202,000 | ||||||||
|
| |||||||||
Total Turkey (Cost: $160,222,391) | 156,531,750 | |||||||||
|
| |||||||||
Ukraine (1.6%) | ||||||||||
9,500,000 | MHP S.A., (Reg. S), 8.25%, due 04/02/20 (2) | 7,742,500 | ||||||||
22,300,000 | Ukraine Government International Bond, (Reg. S), | 10,369,500 | ||||||||
101,927,000 | Ukraine Government International Bond, (Reg. S), | 53,002,040 | ||||||||
|
| |||||||||
Total Ukraine (Cost: $127,127,983) | 71,114,040 | |||||||||
|
| |||||||||
United Arab Emirates (Cost: $27,210,000) (0.6%) | ||||||||||
24,000,000 | DP World, Ltd., (Reg. S), 6.85%, due 07/02/37 (2) | 27,052,800 | ||||||||
|
| |||||||||
Uruguay (1.1%) | ||||||||||
18,200,000 | Uruguay Government International Bond, 4.5%, due 08/14/24 | 19,633,250 | ||||||||
29,350,000 | Uruguay Government International Bond, 5.1%, due 06/18/50 (4) | 30,047,062 | ||||||||
|
| |||||||||
Total Uruguay (Cost: $49,776,499) | 49,680,312 | |||||||||
|
| |||||||||
Venezuela (3.7%) | ||||||||||
84,500,000 | Petroleos de Venezuela S.A., (Reg. S), 6%, due 11/15/26 (2)(4) | 35,388,600 | ||||||||
27,850,000 | Petroleos de Venezuela S.A., (Reg. S), 8.5%, due 11/02/17 (2) | 21,611,600 | ||||||||
25,900,000 | Venezuela Government International Bond, 7.65%, due 04/21/25 | 11,201,750 | ||||||||
75,000,000 | Venezuela Government International Bond, (Reg. S), | 35,062,500 | ||||||||
92,300,000 | Venezuela Government International Bond, (Reg. S), | 40,842,750 | ||||||||
45,000,000 | Venezuela Government International Bond, (Reg. S), | 20,700,000 | ||||||||
|
| |||||||||
Total Venezuela (Cost: $245,317,787) | 164,807,200 | |||||||||
|
| |||||||||
Vietnam (Cost: $24,613,414) (0.6%) | ||||||||||
23,658,000 | Vietnam Government International Bond, (144A), | 24,752,183 | ||||||||
|
| |||||||||
Zambia (Cost: $24,635,299) (0.6%) | ||||||||||
26,250,000 | Zambia Government International Bond, (Reg. S), | 24,460,538 | ||||||||
|
| |||||||||
Total Fixed Income Securities (Cost: $4,471,483,905) (97.0%) | 4,317,924,073 | |||||||||
|
|
See accompanying notes to financial statements.
10
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2015 |
Number of Shares | Equity Securities | Value | ||||||||
Mexico (0.0%) | ||||||||||
240,079 | Hipotecaria Su Casita S.A. de C.V., SOFOM E.N.R. (1) | $ | — | |||||||
|
| |||||||||
Total Equity Securities (Cost: $0) (0%) | — | |||||||||
|
| |||||||||
Principal Amount | Short-Term Investments | |||||||||
Repurchase Agreement (Cost: $97,321,336) (2.2%) | ||||||||||
$ | 97,321,336 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $100,905,000 Federal Home Loan Mortgage Corp., rates ranging from 2%-2.06% and maturity dates ranging from 10/17/22-11/02/22, valued at $99,272,128) (Total Amount to be Received Upon Repurchase $97,321,336) | 97,321,336 | |||||||
|
| |||||||||
U.S. Treasury Securities (0.1%) | ||||||||||
13,000 | U.S. Treasury Bill, 0.008%, due 05/07/15 (8) | 13,000 | ||||||||
366,000 | U.S. Treasury Bill, 0.01%, due 05/07/15 (8) | 366,000 | ||||||||
2,026,000 | U.S. Treasury Bill, 0.01%, due 06/11/15 (8) | 2,026,000 | ||||||||
|
| |||||||||
Total U.S. Treasury Securities (Cost: $2,405,000) | 2,405,000 | |||||||||
|
| |||||||||
Total Short-Term Investments (Cost: $99,726,336) (2.3%) | 99,726,336 | |||||||||
|
| |||||||||
Total Investments (Cost: $4,571,210,241) (99.3%) | 4,417,650,409 | |||||||||
Excess of Other Assets over Liabilities (0.7%) | 30,833,719 | |||||||||
|
| |||||||||
Total Net Assets (100.0%) | $ | 4,448,484,128 | ||||||||
|
|
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 | EUR | 81,905,463 | 06/08/15 | $ | 88,374,766 | $ | 91,818,179 | $ | 3,443,413 | |||||||||||||||
Bank of America | EUR | 33,853,995 | 06/16/15 | 36,991,347 | 37,955,412 | 964,065 | ||||||||||||||||||
Bank of America | EUR | 61,500,022 | 06/22/15 | 68,010,452 | 68,956,472 | 946,020 | ||||||||||||||||||
Bank of America | HUF | 12,540,514,000 | 06/08/15 | 46,376,783 | 46,311,375 | (65,408 | ) | |||||||||||||||||
Bank of America | SGD | 61,762,020 | 06/03/15 | 45,991,526 | 46,600,741 | 609,215 | ||||||||||||||||||
Bank of America | SGD | 62,334,720 | 06/12/15 | 46,411,079 | 47,026,147 | 615,068 | ||||||||||||||||||
Citibank N.A. | INR | 2,872,350,000 | 06/10/15 | 44,845,433 | 44,864,752 | 19,319 | ||||||||||||||||||
Citibank N.A. | TRY | 112,172,550 | 05/04/15 | 42,176,474 | 41,931,312 | (245,162 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 419,177,860 | $ | 425,464,390 | $ | 6,286,530 | |||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
11
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) | ||||||||||||||||||
SELL (10) | ||||||||||||||||||||||||
Bank of America | BRL | 72,254,600 | 06/30/15 | $ | 22,000,000 | $ | 23,644,881 | $ | (1,644,881 | ) | ||||||||||||||
Bank of America | EUR | 81,905,463 | 06/08/15 | 91,000,000 | 91,818,179 | (818,179 | ) | |||||||||||||||||
Bank of America | EUR | 33,853,995 | 06/16/15 | 36,000,000 | 37,955,412 | (1,955,412 | ) | |||||||||||||||||
Bank of America | EUR | 61,500,022 | 06/22/15 | 65,850,000 | 68,956,471 | (3,106,471 | ) | |||||||||||||||||
Bank of America | HUF | 12,540,514,000 | 06/08/15 | 45,200,000 | 46,311,375 | (1,111,375 | ) | |||||||||||||||||
Bank of America | RUB | 2,348,710,000 | 07/24/15 | 44,500,000 | 44,224,115 | 275,885 | ||||||||||||||||||
Bank of America | SGD | 61,762,020 | 06/03/15 | 45,300,000 | 46,600,741 | (1,300,741 | ) | |||||||||||||||||
Bank of America | SGD | 62,334,720 | 06/12/15 | 44,800,000 | 47,026,147 | (2,226,147 | ) | |||||||||||||||||
Bank of America | TRY | 124,212,360 | 07/28/15 | 44,700,000 | 45,311,571 | (611,571 | ) | |||||||||||||||||
Citibank N.A. | BRL | 66,766,200 | 07/31/15 | 22,300,000 | 21,621,879 | 678,121 | ||||||||||||||||||
Citibank N.A. | INR | 2,872,350,000 | 06/10/15 | 45,000,000 | 44,864,752 | 135,248 | ||||||||||||||||||
Citibank N.A. | TRY | 112,172,550 | 05/04/15 | 45,460,000 | 41,931,312 | 3,528,688 | ||||||||||||||||||
Citibank N.A. | TRY | 119,482,500 | 06/12/15 | 44,500,000 | 44,157,145 | 342,855 | ||||||||||||||||||
Citibank N.A. | TRY | 121,717,860 | 07/31/15 | 44,600,000 | 44,364,801 | 235,199 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 641,210,000 | $ | 648,788,781 | $ | (7,578,781 | ) | ||||||||||||||||||
|
|
|
|
|
|
Futures Contracts | ||||||||||||||||
Number of | Type | Expiration | Notional Value | Net Unrealized | ||||||||||||
SELL | ||||||||||||||||
2,641 | 5-Year U.S. Treasury Note Futures | 06/30/15 | $ | 317,270,759 | $ | (2,089,778 | ) | |||||||||
|
|
|
|
Notes to the Schedule of Investments:
BRL - | Brazilian Real. |
EUR - | Euro Currency. |
HUF - | Hungarian Forint. |
INR - | Indian Rupee. |
RUB - | Russian Ruble. |
SGD - | Singapore Dollar. |
TRY - | New Turkish Lira. |
OJSC | Open Joint-Stock Company. |
(1) | 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. |
(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, 2015, the value of these securities amounted to $1,643,249,795 or 36.9% of net assets. |
(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, 2015, the value of these securities amounted to $1,173,071,829 or 26.4% 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) | All or a portion of this security is segregated to cover when-issued, delayed-delivery or forward commitments. (Note 2) |
(5) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2015. |
(6) | Perpetual Maturity. |
(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. |
See accompanying notes to financial statements.
12
Table of Contents
TCW Emerging Markets Income Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Agriculture | 0.2 | % | ||
Airlines | 1.2 | |||
Banks | 9.3 | |||
Building Materials | 1.7 | |||
Commercial Services | 0.6 | |||
Diversified Financial Services | 3.1 | |||
Electric | 2.4 | |||
Food | 0.5 | |||
Foreign Government Bonds | 58.3 | |||
Government Regional/Local | 1.2 | |||
Holding Companies-Diversified | 0.9 | |||
Household Products/Wares | 0.2 | |||
Internet | 1.0 | |||
Mining | 2.5 | |||
Oil & Gas | 10.2 | |||
Real Estate | 0.2 | |||
Retail | 0.4 | |||
Telecommunications | 2.9 | |||
Transportation | 0.2 | |||
Short-Term Investments | 2.3 | |||
|
| |||
Total | 99.3 | % | ||
|
|
See accompanying notes to financial statements.
13
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited)
Principal Amount | Fixed Income Securities | Value | ||||||||
Brazil (11.2% of Net Assets) | ||||||||||
BRL | 15,680,000 | Brazil Letras do Tesouro Nacional, 0%, due 01/01/18 | $ | 3,769,464 | ||||||
BRL | 6,458,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/17 | 2,052,120 | |||||||
BRL | 21,690,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/18 | 6,778,133 | |||||||
BRL | 19,700,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/21 | 5,896,772 | |||||||
BRL | 9,900,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/23 | 2,895,100 | |||||||
BRL | 21,010,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/25 | 6,012,062 | |||||||
$ | 2,450,000 | Petrobras Global Finance BV, 5.875%, due 03/01/18 | 2,518,820 | |||||||
|
| |||||||||
Total Brazil (Cost: $32,873,482) | 29,922,471 | |||||||||
|
| |||||||||
Chile (Cost: $1,407,703) (0.5%) | ||||||||||
CLP | 815,000,000 | Chile Government International Bond, (Reg. S), 6%, due 01/01/20 (1) | 1,440,485 | |||||||
|
| |||||||||
Colombia (8.4%) | ||||||||||
COP | 5,056,000,000 | Colombian TES (Treasury) Bond, 5%, due 11/21/18 | 2,092,920 | |||||||
COP | 14,510,000,000 | Colombian TES (Treasury) Bond, 6%, due 04/28/28 (2) | 5,382,483 | |||||||
COP | 8,462,000,000 | Colombian TES (Treasury) Bond, 7%, due 09/11/19 | 3,728,055 | |||||||
COP | 7,156,000,000 | Colombian TES (Treasury) Bond, 7%, due 05/04/22 | 3,087,325 | |||||||
COP | 6,050,000,000 | Colombian TES (Treasury) Bond, 7.25%, due 06/15/16 | 2,587,761 | |||||||
COP | 1,800,000,000 | Colombian TES (Treasury) Bond, 7.75%, due 09/18/30 | 769,815 | |||||||
COP | 9,445,000,000 | Colombian TES (Treasury) Bond, 10%, due 07/24/24 | 4,797,933 | |||||||
|
| |||||||||
Total Colombia (Cost: $24,896,490) | 22,446,292 | |||||||||
|
| |||||||||
Ghana (Cost: $1,393,378) (0.5%) | ||||||||||
$ | 1,425,000 | Republic of Ghana, (Reg. S), 7.875%, due 08/07/23 (1) | 1,382,507 | |||||||
|
| |||||||||
Hungary (4.7%) | ||||||||||
HUF | 659,000,000 | Hungary Government Bond, 3.5%, due 06/24/20 | 2,502,431 | |||||||
HUF | 337,370,000 | Hungary Government Bond, 6%, due 11/24/23 | 1,488,944 | |||||||
HUF | 608,400,000 | Hungary Government Bond, 6.5%, due 06/24/19 | 2,577,093 | |||||||
HUF | 808,000,000 | Hungary Government Bond, 6.75%, due 11/24/17 | 3,353,345 | |||||||
HUF | 580,500,000 | Hungary Government Bond, 7.5%, due 11/12/20 | 2,628,476 | |||||||
|
| |||||||||
Total Hungary (Cost: $13,352,430) | 12,550,289 | |||||||||
|
| |||||||||
India (6.4%) | ||||||||||
INR | 145,000,000 | Export-Import Bank of India, 8.87%, due 10/30/29 | 2,363,723 | |||||||
INR | 175,000,000 | India Government Bond, 7.28%, due 06/03/19 | 2,720,525 | |||||||
INR | 173,000,000 | India Government Bond, 8.83%, due 11/25/23 | 2,883,490 | |||||||
INR | 100,000,000 | Power Finance Corp., Ltd., 8.98%, due 10/08/24 | 1,609,054 | |||||||
INR | 50,000,000 | Power Grid Corp. of India, Ltd., 9.64%, due 05/31/17 | 806,380 | |||||||
INR | 125,000,000 | Power Grid Corp. of India, Ltd., 9.64%, due 05/31/18 | 2,036,332 | |||||||
INR | 175,000,000 | Power Grid Corp. of India, Ltd., 9.64%, due 05/31/19 | 2,862,475 | |||||||
INR | 110,000,000 | Rural Electrification Corp., Ltd., 8.3%, due 04/10/25 | 1,724,479 | |||||||
|
| |||||||||
Total India (Cost: $19,246,978) | 17,006,458 | |||||||||
|
| |||||||||
Indonesia (8.6%) | ||||||||||
IDR | 65,452,000,000 | Indonesia Treasury Bond, 5.25%, due 05/15/18 | 4,742,032 | |||||||
IDR | 27,406,000,000 | Indonesia Treasury Bond, 5.625%, due 05/15/23 | 1,847,857 |
14
Table of Contents
TCW Emerging Markets Local Currency Income Fund
April 30, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Indonesia (Continued) | ||||||||||
IDR | 16,063,000,000 | Indonesia Treasury Bond, 7%, due 05/15/22 | $ | 1,194,963 | ||||||
IDR | 18,063,000,000 | Indonesia Treasury Bond, 8.25%, due 06/15/32 | 1,417,400 | |||||||
IDR | 58,558,000,000 | Indonesia Treasury Bond, 8.375%, due 03/15/24 | 4,699,548 | |||||||
IDR | 22,500,000,000 | Indonesia Treasury Bond, 8.375%, due 03/15/34 | 1,789,412 | |||||||
IDR | 48,099,000,000 | Indonesia Treasury Bond, 9%, due 03/15/29 | 4,045,697 | |||||||
IDR | 16,411,000,000 | Indonesia Treasury Bond, 9.5%, due 07/15/31 | 1,430,634 | |||||||
IDR | 20,569,000,000 | Indonesia Treasury Bond, 10.5%, due 08/15/30 | 1,925,909 | |||||||
|
| |||||||||
Total Indonesia (Cost: $24,740,696) | 23,093,452 | |||||||||
|
| |||||||||
Malaysia (8.2%) | ||||||||||
MYR | 6,809,000 | Malaysia Government Bond, 3.48%, due 03/15/23 (2) | 1,865,356 | |||||||
MYR | 960,000 | Malaysia Government Bond, 3.844%, due 04/15/33 (2) | 257,554 | |||||||
MYR | 8,471,000 | Malaysia Government Bond, 4.012%, due 09/15/17 (2) | 2,416,548 | |||||||
MYR | 9,147,000 | Malaysia Government Bond, 4.16%, due 07/15/21 (2) | 2,627,371 | |||||||
MYR | 12,310,000 | Malaysia Government Bond, 4.262%, due 09/15/16 (2) | 3,505,732 | |||||||
MYR | 17,048,000 | Malaysia Government Bond, 4.378%, due 11/29/19 (2) | 4,941,359 | |||||||
MYR | 5,341,000 | Malaysia Government Bond, 4.392%, due 04/15/26 (2) | 1,555,136 | |||||||
MYR | 15,900,000 | Malaysia Government Bond, 4.498%, due 04/15/30 (2) | 4,694,592 | |||||||
|
| |||||||||
Total Malaysia (Cost: $22,360,637) | 21,863,648 | |||||||||
|
| |||||||||
Mexico (10.4%) | ||||||||||
MXN | 21,900,000 | Mexican BONOS Government Bond, 5%, due 12/11/19 | 1,412,766 | |||||||
MXN | 82,200,000 | Mexican BONOS Government Bond, 7.75%, due 12/14/17 | 5,788,446 | |||||||
MXN | 38,070,000 | Mexican BONOS Government Bond, 7.75%, due 05/29/31 | 2,835,328 | |||||||
MXN | 29,100,000 | Mexican BONOS Government Bond, 7.75%, due 11/23/34 | 2,191,355 | |||||||
MXN | 32,350,000 | Mexican BONOS Government Bond, 8%, due 06/11/20 (2) | 2,357,663 | |||||||
MXN | 87,200,000 | Mexican BONOS Government Bond, 8%, due 12/07/23 (2) | 6,486,216 | |||||||
MXN | 53,700,000 | Mexican BONOS Government Bond, 8.5%, due 12/13/18 | 3,910,166 | |||||||
MXN | 22,500,000 | Mexican BONOS Government Bond, 8.5%, due 05/31/29 (2) | 1,779,114 | |||||||
MXN | 12,590,000 | Mexican BONOS Government Bond, 10%, due 12/05/24 (2) | 1,065,579 | |||||||
|
| |||||||||
Total Mexico (Cost: $30,152,879) | 27,826,633 | |||||||||
|
| |||||||||
Nigeria (1.0%) | ||||||||||
$ | 1,200,000 | Nigeria Government International Bond, (Reg. S), | 1,263,000 | |||||||
1,375,000 | Nigeria Government International Bond, (Reg. S), | 1,478,125 | ||||||||
|
| |||||||||
Total Nigeria (Cost: $2,643,903) | 2,741,125 | |||||||||
|
| |||||||||
Peru (1.6%) | ||||||||||
PEN | 5,400,000 | Peruvian Government International Bond, (144A), | 1,707,648 | |||||||
PEN | 2,500,000 | Peruvian Government International Bond, (Reg. S), | 828,800 | |||||||
PEN | 3,110,000 | Peruvian Government International Bond, (Reg. S), | 1,131,871 |
See accompanying notes to financial statements.
15
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Peru (Continued) | ||||||||||
PEN | 1,580,000 | Peruvian Government International Bond, (Reg. S), | $ | 589,833 | ||||||
|
| |||||||||
Total Peru (Cost: $4,685,909) | 4,258,152 | |||||||||
|
| |||||||||
Romania (Cost: $2,921,056) (1.0%) | ||||||||||
RON | 9,950,000 | Romania Government Bond, 4.75%, due 06/24/19 | 2,760,163 | |||||||
|
| |||||||||
Russia (7.3%) | ||||||||||
RUB | 96,400,000 | Russian Federal Bond — OFZ, 6.8%, due 12/11/19 | 1,609,792 | |||||||
RUB | 238,000,000 | Russian Federal Bond — OFZ, 6.9%, due 08/03/16 | 4,412,187 | |||||||
RUB | 203,000,000 | Russian Federal Bond — OFZ, 7%, due 01/25/23 | 3,230,571 | |||||||
RUB | 131,500,000 | Russian Federal Bond — OFZ, 7.05%, due 01/19/28 | 1,965,504 | |||||||
RUB | 114,897,000 | Russian Federal Bond — OFZ, 7.4%, due 06/14/17 | 2,097,959 | |||||||
RUB | 267,200,000 | Russian Federal Bond — OFZ, 7.5%, due 03/15/18 | 4,780,550 | |||||||
RUB | 87,700,000 | Russian Federal Bond — OFZ, 7.6%, due 04/14/21 | 1,480,651 | |||||||
|
| |||||||||
Total Russia (Cost: $19,405,463) | 19,577,214 | |||||||||
|
| |||||||||
Serbia (2.1%) | ||||||||||
RSD | 80,000,000 | Serbia Treasury Bond, 10%, due 09/28/15 | 751,540 | |||||||
RSD | 108,500,000 | Serbia Treasury Bond, 10%, due 04/25/16 | 1,030,905 | |||||||
RSD | 99,000,000 | Serbia Treasury Bond, 10%, due 06/12/16 | 942,939 | |||||||
RSD | 150,000,000 | Serbia Treasury Bond, 10%, due 06/27/16 | 1,424,808 | |||||||
RSD | 159,500,000 | Serbia Treasury Bond, 10%, due 10/17/16 | 1,514,201 | |||||||
|
| |||||||||
Total Serbia (Cost: $5,421,710) | 5,664,393 | |||||||||
|
| |||||||||
South Africa (11.5%) | ||||||||||
ZAR | 48,650,400 | South Africa Government Bond, 6.25%, due 03/31/36 (2) | 3,179,571 | |||||||
ZAR | 34,264,000 | South Africa Government Bond, 6.75%, due 03/31/21 (2) | 2,760,917 | |||||||
ZAR | 16,000,000 | South Africa Government Bond, 6.75%, due 03/31/21 | 1,289,244 | |||||||
ZAR | 9,100,000 | South Africa Government Bond, 7%, due 02/28/31 | 669,020 | |||||||
ZAR | 39,469,000 | South Africa Government Bond, 7%, due 02/28/31 | 2,901,708 | |||||||
ZAR | 44,800,000 | South Africa Government Bond, 7.25%, due 01/15/20 (2) | 3,722,670 | |||||||
ZAR | 32,860,000 | South Africa Government Bond, 8%, due 12/21/18 | 2,815,986 | |||||||
ZAR | 18,300,000 | South Africa Government Bond, 8%, due 01/31/30 (2) | 1,485,287 | |||||||
ZAR | 15,000,000 | South Africa Government Bond, 8.25%, due 09/15/17 (2) | 1,288,818 | |||||||
ZAR | 37,500,000 | South Africa Government Bond, 8.25%, due 09/15/17 | 3,222,046 | |||||||
ZAR | 20,500,000 | South Africa Government Bond, 10.5%, due 12/21/26 | 2,045,002 | |||||||
ZAR | 54,707,000 | South Africa Government Bond, 10.5%, due 12/21/26 (2) | 5,457,362 | |||||||
|
| |||||||||
Total South Africa (Cost: $34,454,279) | 30,837,631 | |||||||||
|
| |||||||||
Thailand (6.5%) | ||||||||||
THB | 162,700,000 | Thailand Government Bond, 3.25%, due 06/16/17 (2) | 5,108,819 | |||||||
THB | 34,000,000 | Thailand Government Bond, 3.58%, due 12/17/27 (2) | 1,124,841 | |||||||
THB | 86,300,000 | Thailand Government Bond, 3.625%, due 06/16/23 (2) | 2,855,063 | |||||||
THB | 65,300,000 | Thailand Government Bond, 3.65%, due 12/17/21 (2) | 2,146,293 | |||||||
THB | 106,300,000 | Thailand Government Bond, 3.875%, due 06/13/19 (2) | 3,474,480 | |||||||
THB | 68,600,000 | Thailand Government Bond, 4.875%, due 06/22/29 (2) | 2,575,856 | |||||||
|
| |||||||||
Total Thailand (Cost: $17,111,310) | 17,285,352 | |||||||||
|
|
See accompanying notes to financial statements.
16
Table of Contents
TCW Emerging Markets Local Currency Income Fund
April 30, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Turkey (7.0%) | ||||||||||
TRY | 10,960,000 | Turkey Government Bond, 6.3%, due 02/14/18 | $ | 3,786,306 | ||||||
TRY | 9,800,000 | Turkey Government Bond, 8.2%, due 11/16/16 | 3,582,789 | |||||||
TRY | 7,900,000 | Turkey Government Bond, 8.3%, due 10/07/15 | 2,931,678 | |||||||
TRY | 15,350,000 | Turkey Government Bond, 8.3%, due 06/20/18 (2) | 5,561,427 | |||||||
TRY | 7,535,000 | Turkey Government Bond, 10.7%, due 02/24/16 (2) | 2,828,495 | |||||||
|
| |||||||||
Total Turkey (Cost: $22,004,712) | 18,690,695 | |||||||||
|
| |||||||||
Zambia (Cost: $1,416,644) (0.5%) | ||||||||||
$ | 1,500,000 | Zambia Government International Bond, (Reg. S), | 1,397,745 | |||||||
|
| |||||||||
Total Fixed Income Securities (Cost: $280,489,659) (97.4%) | 260,744,705 | |||||||||
|
| |||||||||
Short-Term Investments | ||||||||||
Zambia (Cost: $1,271,500) (0.4%) | ||||||||||
ZMW | 10,500,000 | Republic of Zambia Treasury Bills, 0%, due 03/08/16 | 1,179,251 | |||||||
|
| |||||||||
Repurchase Agreement (Cost: $1,298,523) (0.5%) | ||||||||||
$ | 1,298,523 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $1,330,000 Federal National Mortgage Association, 2.08%, due 11/02/22 valued at $1,326,394) (Total Amount to be Received Upon Repurchase $1,298,523) | 1,298,523 | |||||||
|
| |||||||||
Total Short-Term Investments (Cost: $2,570,023) (0.9%) | 2,477,774 | |||||||||
|
| |||||||||
Total Investments (Cost: $283,059,682) (98.3%) | 263,222,479 | |||||||||
Excess of Other Assets over Liabilities (1.7%) | 4,595,901 | |||||||||
|
| |||||||||
Total Net Assets (100.0%) | $ | 267,818,380 | ||||||||
|
|
See accompanying notes to financial statements.
17
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 | EUR | 2,960,266 | 05/12/15 | $ | 3,192,890 | $ | 3,317,422 | $ | 124,532 | |||||||||||||||
Bank of America | EUR | 5,220,348 | 06/08/15 | 5,606,140 | 5,852,148 | 246,008 | ||||||||||||||||||
Bank of America | EUR | 1,833,758 | 06/16/15 | 2,003,698 | 2,055,918 | 52,220 | ||||||||||||||||||
Bank of America | EUR | 3,922,553 | 06/22/15 | 4,336,043 | 4,398,134 | 62,091 | ||||||||||||||||||
Bank of America | HUF | 804,590,500 | 06/08/15 | 2,975,502 | 2,971,305 | (4,197 | ) | |||||||||||||||||
Bank of America | SGD | 3,953,860 | 06/03/15 | 2,944,270 | 2,983,270 | 39,000 | ||||||||||||||||||
Bank of America | SGD | 3,965,490 | 06/12/15 | 2,952,490 | 2,991,618 | 39,128 | ||||||||||||||||||
Bank of America | TRY | 14,337,600 | 05/04/15 | 5,395,564 | 5,359,550 | (36,014 | ) | |||||||||||||||||
Citibank N.A. | COP | 7,432,800,000 | 06/11/15 | 3,093,777 | 3,085,986 | (7,791 | ) | |||||||||||||||||
Citibank N.A. | INR | 165,418,500 | 05/29/15 | 2,600,000 | 2,590,248 | (9,752 | ) | |||||||||||||||||
Citibank N.A. | INR | 185,107,000 | 06/10/15 | 2,890,039 | 2,891,284 | 1,245 | ||||||||||||||||||
Citibank N.A. | MYR | 10,926,000 | 05/27/15 | 3,052,121 | 3,061,630 | 9,509 | ||||||||||||||||||
Citibank N.A. | THB | 49,470,000 | 06/02/15 | 1,495,918 | 1,499,464 | 3,546 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 42,538,452 | $ | 43,057,977 | $ | 519,525 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (5) | ||||||||||||||||||||||||
Bank of America | EUR | 2,960,266 | 05/12/15 | $ | 3,350,000 | $ | 3,317,422 | $ | 32,578 | |||||||||||||||
Bank of America | EUR | 5,220,348 | 06/08/15 | 5,800,000 | 5,852,148 | (52,148 | ) | |||||||||||||||||
Bank of America | EUR | 1,833,758 | 06/16/15 | 1,950,000 | 2,055,918 | (105,918 | ) | |||||||||||||||||
Bank of America | EUR | 3,922,553 | 06/22/15 | 4,200,000 | 4,398,135 | (198,135 | ) | |||||||||||||||||
Bank of America | HUF | 1,609,181,000 | 06/08/15 | 5,800,000 | 5,942,610 | (142,610 | ) | |||||||||||||||||
Bank of America | PEN | 8,778,000 | 07/23/15 | 2,850,000 | 2,775,744 | 74,256 | ||||||||||||||||||
Bank of America | RUB | 145,676,500 | 06/24/15 | 2,350,000 | 2,772,610 | (422,610 | ) | |||||||||||||||||
Bank of America | RUB | 137,228,000 | 07/24/15 | 2,600,000 | 2,583,881 | 16,119 | ||||||||||||||||||
Bank of America | SGD | 3,953,860 | 06/03/15 | 2,900,000 | 2,983,270 | (83,270 | ) | |||||||||||||||||
Bank of America | SGD | 3,965,490 | 06/12/15 | 2,850,000 | 2,991,619 | (141,619 | ) | |||||||||||||||||
Bank of America | TRY | 7,181,850 | 05/04/15 | 2,900,000 | 2,684,653 | 215,347 | ||||||||||||||||||
Bank of America | TRY | 7,829,300 | 07/08/15 | 2,950,000 | 2,871,941 | 78,059 | ||||||||||||||||||
Bank of America | TRY | 7,419,396 | 07/28/15 | 2,670,000 | 2,706,530 | (36,530 | ) | |||||||||||||||||
Bank of America | ZAR | 34,340,320 | 06/24/15 | 2,800,000 | 2,848,673 | (48,673 | ) | |||||||||||||||||
Bank of America | ZAR | 35,473,750 | 07/09/15 | 2,950,000 | 2,935,385 | 14,615 | ||||||||||||||||||
Citibank N.A. | BRL | 9,193,888 | 07/13/15 | 2,935,000 | 2,995,727 | (60,727 | ) | |||||||||||||||||
Citibank N.A. | BRL | 8,083,800 | 07/31/15 | 2,700,000 | 2,617,896 | 82,104 | ||||||||||||||||||
Citibank N.A. | COP | 7,432,800,000 | 06/11/15 | 2,850,000 | 3,085,985 | (235,985 | ) | |||||||||||||||||
Citibank N.A. | INR | 185,107,000 | 06/10/15 | 2,900,000 | 2,891,284 | 8,716 | ||||||||||||||||||
Citibank N.A. | MYR | 10,926,000 | 05/27/15 | 3,000,000 | 3,061,630 | (61,630 | ) | |||||||||||||||||
Citibank N.A. | THB | 49,470,000 | 06/02/15 | 1,500,000 | 1,499,464 | 536 | ||||||||||||||||||
Citibank N.A. | TRY | 7,155,750 | 05/04/15 | 2,900,000 | 2,674,897 | 225,103 | ||||||||||||||||||
Citibank N.A. | TRY | 14,764,431 | 07/31/15 | 5,410,000 | 5,381,470 | 28,530 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 73,115,000 | $ | 73,928,892 | $ | (813,892 | ) | ||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
18
Table of Contents
TCW Emerging Markets Local Currency Income Fund
April 30, 2015 |
Cross Currency Forwards | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver/ | Settlement | Contracts to Receive/ | Unrealized | ||||||||||||||||||||
Citibank N.A. | EUR | 5,230,000 | 06/09/15 | PLN | 21,738,495 | $ | 152,984 | |||||||||||||||||
Citibank N.A. | EUR | 5,420,000 | 07/16/15 | PLN | 21,879,335 | (31,525 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 121,459 | |||||||||||||||||||||||
|
|
Notes to the Schedule of Investments:
BRL - | Brazilian Real. |
CLP - | Chilean Peso. |
COP - | Colombian Peso. |
EUR - | Euro Currency. |
HUF - | Hungarian Forint. |
IDR - | Indonesian Rupiah. |
INR - | Indian Rupee. |
MXN - | Mexican Peso. |
MYR - | Malaysian Ringgit. |
PEN - | Peruvian Nouveau Sol. |
PLN - | Polish Zloty. |
RON - | New Romanian Leu. |
RSD - | Serbian Dinar. |
RUB - | Russian Ruble. |
SGD - | Singapore Dollar. |
THB - | Thai Baht. |
TRY - | New Turkish Lira. |
ZAR - | South African Rand. |
ZMW - | Zambian Kwacha. |
(1) | 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, 2015, the value of these securities amounted to $9,512,366 or 3.6% of net assets. |
(2) | All or a portion of this security is segregated to cover when-issued, delayed-delivery or forward commitments. (Note 2) |
(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, 2015, the value of these securities amounted to $1,707,648 or 0.6% 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. |
(4) | Fund buys foreign currency, sells U.S. Dollar. |
(5) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
19
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Investments by Industry (Unaudited) April 30, 2015 |
Industry | Percentage of Net Assets | |||
Banks | 0.9 | % | ||
Diversified Financial Services | 0.6 | |||
Electric | 2.8 | |||
Foreign Government Bonds | 92.2 | |||
Oil & Gas | 0.9 | |||
Short-Term Investments | 0.9 | |||
|
| |||
Total | 98.3 | % | ||
|
|
See accompanying notes to financial statements.
20
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) | April 30, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Argentina (1.5% of Net Assets) | ||||||||||
EUR | 195,000 | Argentine Republic Government International Bond, 2.26%, due 12/31/38 (1) | $ | 116,628 | ||||||
$ | 154,224 | Argentine Republic Government International Bond, 8.28%, due 12/31/33 (1) | 158,234 | |||||||
70,102 | Argentine Republic Government International Bond, 8.28%, due 12/31/33 (1) | 71,924 | ||||||||
363,000 | Argentine Republic Government International Bond, 8.75%, due 06/02/17 (1) | 358,245 | ||||||||
100,000 | YPF S.A., (Reg. S), 8.875%, due 12/19/18 (2) | 106,000 | ||||||||
|
| |||||||||
Total Argentina (Cost: $765,415) | 811,031 | |||||||||
|
| |||||||||
Brazil (4.2%) | ||||||||||
400,000 | Brazil Minas SPE via State of Minas Gerais, (Reg. S), 5.333%, due 02/15/28 (2) | 394,000 | ||||||||
BRL | 340,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/17 | 108,041 | |||||||
BRL | 100,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/21 | 29,933 | |||||||
BRL | 470,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/23 | 137,444 | |||||||
$ | 150,000 | Brazilian Government International Bond, 2.625%, due 01/05/23 | 137,280 | |||||||
450,000 | Brazilian Government International Bond, 4.25%, due 01/07/25 | 445,500 | ||||||||
140,000 | Brazilian Government International Bond, 5.625%, due 01/07/41 | 144,900 | ||||||||
630,000 | Petrobras Global Finance BV, 4.875%, due 03/17/20 | 609,840 | ||||||||
30,000 | Petrobras Global Finance BV, 5.75%, due 01/20/20 | 30,026 | ||||||||
250,000 | Petrobras Global Finance BV, 5.875%, due 03/01/18 | 257,022 | ||||||||
|
| |||||||||
Total Brazil (Cost: $2,241,479) | 2,293,986 | |||||||||
|
| |||||||||
Chile (0.9%) | ||||||||||
250,000 | Empresa Electrica Angamos S.A., (144A), 4.875%, due 05/25/29 (3) | 252,500 | ||||||||
250,000 | Guanay Finance, Ltd., (144A), 6%, due 12/15/20 (3) | 263,275 | ||||||||
|
| |||||||||
Total Chile (Cost: $498,437) | 515,775 | |||||||||
|
| |||||||||
China (1.2%) | ||||||||||
250,000 | Industrial & Commercial Bank of China, Ltd., (144A), 6%, due 12/29/49 (3)(4)(5) | 262,813 | ||||||||
400,000 | Tencent Holdings, Ltd., (144A), 3.8%, due 02/11/25 (3) | 400,916 | ||||||||
|
| |||||||||
Total China (Cost: $653,936) | 663,729 | |||||||||
|
| |||||||||
Colombia (2.9%) | ||||||||||
200,000 | Avianca Holdings S.A., (144A), 8.375%, due 05/10/20 (3) | 201,000 | ||||||||
350,000 | Bancolombia S.A., 5.125%, due 09/11/22 (6) | 358,925 | ||||||||
150,000 | BBVA Colombia S.A., (144A), 4.875%, due 04/21/25 (3) | 151,687 | ||||||||
450,000 | Colombia Government International Bond, 4%, due 02/26/24 (6) | 464,400 | ||||||||
200,000 | Colombia Government International Bond, 5%, due 06/15/45 | 204,500 | ||||||||
200,000 | Colombia Telecomunicaciones S.A. ESP, (Reg. S), 5.375%, due 09/27/22 (2) | 204,540 | ||||||||
|
| |||||||||
Total Colombia (Cost: $1,573,799) | 1,585,052 | |||||||||
|
| |||||||||
Croatia (Cost: $213,176) (0.4%) | ||||||||||
200,000 | Croatia Government International Bond, (Reg. S), 5.5%, due 04/04/23 (2)(6) | 213,310 | ||||||||
|
|
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 | ||||||||
Dominican Republic (1.1%) | ||||||||||
$ | 200,000 | Dominican Republic International Bond, (144A), 5.5%, due 01/27/25 (3) | $ | 208,000 | ||||||
200,000 | Dominican Republic International Bond, (144A), 6.85%, due 01/27/45 (3) | 211,000 | ||||||||
200,000 | Dominican Republic International Bond, (Reg. S), | 213,000 | ||||||||
|
| |||||||||
Total Dominican Republic (Cost: $610,456) | 632,000 | |||||||||
|
| |||||||||
El Salvador (Cost: $200,000) (0.4%) | ||||||||||
200,000 | El Salvador Government International Bond, (144A), | 204,250 | ||||||||
|
| |||||||||
Ghana (Cost: $181,437) (0.3%) | ||||||||||
200,000 | Republic of Ghana, (Reg. S), 8.125%, due 01/18/26 (2) | 194,016 | ||||||||
|
| |||||||||
Guatemala (0.8%) | ||||||||||
250,000 | Comcel Trust via Comunicaciones Celulares S.A., (Reg. S), | 268,750 | ||||||||
180,000 | Industrial Senior Trust, (144A), 5.5%, due 11/01/22 (3) | 177,827 | ||||||||
|
| |||||||||
Total Guatemala (Cost: $438,326) | 446,577 | |||||||||
|
| |||||||||
Honduras (Cost: $223,167) (0.4%) | ||||||||||
200,000 | Republic of Honduras, (Reg. S), 8.75%, due 12/16/20 (2)(6) | 230,500 | ||||||||
|
| |||||||||
Hungary (1.6%) | ||||||||||
400,000 | Hungary Government International Bond, 5.375%, due 03/25/24 | 451,080 | ||||||||
200,000 | Hungary Government International Bond, 5.75%, due 11/22/23 (6) | 230,850 | ||||||||
225,000 | Magyar Export-Import Bank Zrt, (144A), 4%, due 01/30/20 (3)(6) | 229,781 | ||||||||
|
| |||||||||
Total Hungary (Cost: $853,740) | 911,711 | |||||||||
|
| |||||||||
India (1.8%) | ||||||||||
INR | 15,000,000 | Export-Import Bank of India, 8.87%, due 10/30/29 | 244,523 | |||||||
$ | 200,000 | ICICI Bank, Ltd., (Reg. S), 6.375%, due 04/30/22 (2)(4) | 209,189 | |||||||
INR | 9,500,000 | �� | India Government Bond, 7.28%, due 06/03/19 | 147,686 | ||||||
INR | 13,000,000 | Power Finance Corp., Ltd., 8.98%, due 10/08/24 | 209,177 | |||||||
$ | 200,000 | Reliance Industries, Ltd., (144A), 4.125%, due 01/28/25 (3) | 203,900 | |||||||
|
| |||||||||
Total India (Cost: $1,016,698) | 1,014,475 | |||||||||
|
| |||||||||
Indonesia (2.8%) | ||||||||||
400,000 | Indonesia Government International Bond, (144A), | 408,250 | ||||||||
200,000 | Indonesia Government International Bond, (Reg. S), | 204,300 | ||||||||
200,000 | Indonesia Government International Bond, (Reg. S), | 210,260 | ||||||||
IDR | 1,500,000,000 | Indonesia Treasury Bond, 5.625%, due 05/15/23 | 101,138 | |||||||
$ | 200,000 | Pertamina Persero PT, (Reg. S), 4.3%, due 05/20/23 (2) | 199,950 | |||||||
200,000 | Perusahaan Gas Negara Persero Tbk PT, (144A), 5.125%, due 05/16/24 (3) | 210,000 | ||||||||
200,000 | Perusahaan Penerbit SBSN Indonesia III, (144A), 4.35%, due 09/10/24 (3) | 205,450 | ||||||||
|
| |||||||||
Total Indonesia (Cost: $1,523,865) | 1,539,348 | |||||||||
|
|
See accompanying notes to financial statements.
22
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Israel (0.6%) | ||||||||||
$ | 110,000 | Delek & Avner Tamar Bond, Ltd., (144A), 5.412%, due 12/30/25 (3) | $ | 112,893 | ||||||
200,000 | Israel Government International Bond, 4.5%, due 01/30/43 | 210,500 | ||||||||
|
| |||||||||
Total Israel (Cost: $329,460) | 323,393 | |||||||||
|
| |||||||||
Ivory Coast (Cost: $195,910) (0.4%) | ||||||||||
200,000 | Ivory Coast Government International Bond, (144A), | 202,000 | ||||||||
|
| |||||||||
Kenya (Cost: $203,713) (0.4%) | ||||||||||
200,000 | Kenya Government International Bond, (Reg. S), 5.875%, due 06/24/19 (2) | 207,366 | ||||||||
|
| |||||||||
Lebanon (0.4%) | ||||||||||
100,000 | Lebanon Government International Bond, (Reg. S), 5.8%, due 04/14/20 (2) | 101,730 | ||||||||
115,000 | Lebanon Government International Bond, (Reg. S), 6%, due 05/20/19 (2) | 118,623 | ||||||||
|
| |||||||||
Total Lebanon (Cost: $220,467) | 220,353 | |||||||||
|
| |||||||||
Mexico (3.7%) | ||||||||||
250,000 | BBVA Bancomer S.A., (144A), 4.375%, due 04/10/24 (3) | 262,350 | ||||||||
168,000 | BBVA Bancomer S.A., (144A), 6.75%, due 09/30/22 (3) | 192,041 | ||||||||
200,000 | Cemex S.A.B. de C.V., (144A), 6.5%, due 12/10/19 (3) | 214,760 | ||||||||
100,000 | Controladora Mabe S.A. de C.V., (Reg. S), 7.875%, due 10/28/19 (2) | 113,941 | ||||||||
300,000 | Mexico Government International Bond, 3.6%, due 01/30/25 (6) | 304,920 | ||||||||
500,000 | Mexico Government International Bond, 3.625%, due 03/15/22 (6) | 517,875 | ||||||||
250,000 | Mexico Government International Bond, 4.6%, due 01/23/46 | 250,312 | ||||||||
200,000 | Petroleos Mexicanos, (Reg. S), 5.5%, due 06/27/44 (2) | 198,260 | ||||||||
|
| |||||||||
Total Mexico (Cost: $2,024,597) | 2,054,459 | |||||||||
|
| |||||||||
Nigeria (Cost: $206,711) (0.4%) | ||||||||||
200,000 | Nigeria Government International Bond, (Reg. S), 6.375%, due 07/12/23 (2) | 210,500 | ||||||||
|
| |||||||||
Oman (Cost: $200,005) (0.4%) | ||||||||||
200,000 | Lamar Funding, Ltd., (144A), 3.958%, due 05/07/25 (3)(7) | 202,510 | ||||||||
|
| |||||||||
Pakistan (Cost: $199,000) (0.4%) | ||||||||||
200,000 | Pakistan Government International Bond, (144A), 8.25%, due 04/15/24 (3) | 219,000 | ||||||||
|
| |||||||||
Panama (1.2%) | ||||||||||
200,000 | Global Bank Corp., (144A), 4.75%, due 10/05/17 (3) | 206,398 | ||||||||
250,000 | Global Bank Corp., (144A), 5.125%, due 10/30/19 (3) | 259,075 | ||||||||
200,000 | Panama Government International Bond, 3.75%, due 03/16/25 | 205,160 | ||||||||
|
| |||||||||
Total Panama (Cost: $644,864) | 670,633 | |||||||||
|
| |||||||||
Paraguay (0.6%) | ||||||||||
150,000 | Banco Continental SAECA, (144A), 8.875%, due 10/15/17 (3) | 157,125 | ||||||||
150,000 | Banco Regional SAECA, (144A), 8.125%, due 01/24/19 (3) | 161,135 | ||||||||
|
| |||||||||
Total Paraguay (Cost: $305,640) | 318,260 | |||||||||
|
|
See accompanying notes to financial statements.
23
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Peru (2.0%) | ||||||||||
$ | 200,000 | BBVA Banco Continental S.A., (144A), 5.25%, due 09/22/29 (3)(4) | $ | 206,730 | ||||||
250,000 | Corp. Financiera de Desarrollo S.A., (144A), 5.25%, due 07/15/29 (3)(4) | 262,825 | ||||||||
200,000 | Fondo MIVIVIENDA S.A., (Reg. S), 3.5%, due 01/31/23 (2) | 197,940 | ||||||||
150,000 | InRetail Consumer, (Reg. S), 5.25%, due 10/10/21 (2) | 155,070 | ||||||||
180,000 | Southern Copper Corp., 5.875%, due 04/23/45 | 177,894 | ||||||||
115,000 | Volcan Cia Minera SAA, (Reg. S), 5.375%, due 02/02/22 (2) | 113,160 | ||||||||
|
| |||||||||
Total Peru (Cost: $1,087,440) | 1,113,619 | |||||||||
|
| |||||||||
Romania (0.6%) | ||||||||||
100,000 | Romanian Government International Bond, (Reg. S), | 106,500 | ||||||||
200,000 | Romanian Government International Bond, (Reg. S), | 220,750 | ||||||||
|
| |||||||||
Total Romania (Cost: $330,996) | 327,250 | |||||||||
|
| |||||||||
Russia (2.9%) | ||||||||||
200,000 | Gazprom OAO via Gaz Capital S.A., (Reg. S), 4.95%, due 07/19/22 (2) | 186,500 | ||||||||
115,000 | Mobile Telesystems OJSC via MTS International Funding, Ltd., (Reg. S), 8.625%, due 06/22/20 (2) | 125,493 | ||||||||
RUB | 10,115,000 | Russian Federal Bond — OFZ, 7.4%, due 06/14/17 | 184,694 | |||||||
$ | 400,000 | Russian Foreign Bond — Eurobond, (Reg. S), 4.5%, due 04/04/22 (2) | 390,928 | |||||||
400,000 | Russian Foreign Bond — Eurobond, (Reg. S), 4.875%, due | 394,000 | ||||||||
300,000 | Russian Foreign Bond — Eurobond, (Reg. S), 5%, due 04/29/20 (2) | 305,625 | ||||||||
|
| |||||||||
Total Russia (Cost: $1,601,564) | 1,587,240 | |||||||||
|
| |||||||||
Serbia (0.8%) | ||||||||||
200,000 | Republic of Serbia, (Reg. S), 4.875%, due 02/25/20 (2)(6) | 205,880 | ||||||||
200,000 | Republic of Serbia, (Reg. S), 5.875%, due 12/03/18 (2) | 212,880 | ||||||||
|
| |||||||||
Total Serbia (Cost: $404,049) | 418,760 | |||||||||
|
| |||||||||
Slovenia (Cost: $231,390) (0.4%) | ||||||||||
200,000 | Slovenia Government International Bond, (Reg. S), 5.5%, due 10/26/22 (2)(6) | 231,538 | ||||||||
|
| |||||||||
South Africa (1.1%) | ||||||||||
100,000 | AngloGold Ashanti Holdings PLC, 5.375%, due 04/15/20 | 101,143 | ||||||||
ZAR | 2,000,000 | South Africa Government Bond, 10.5%, due 12/21/26 | 199,513 | |||||||
$ | 100,000 | South Africa Government International Bond, 5.5%, due 03/09/20 | 110,000 | |||||||
200,000 | ZAR Sovereign Capital Fund Propriety, Ltd., (Reg. S), | 205,320 | ||||||||
|
| |||||||||
Total South Africa (Cost: $632,162) | 615,976 | |||||||||
|
| |||||||||
Tunisia (Cost: $198,130) (0.4%) | ||||||||||
200,000 | Banque Centrale de Tunisie S.A., (144A), 5.75%, due 01/30/25 (3) | 207,250 | ||||||||
|
|
See accompanying notes to financial statements.
24
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Turkey (1.6%) | ||||||||||
$ | 300,000 | Hazine Mustesarligi Varlik Kiralama AS, (144A), 4.489%, due 11/25/24 (3) | $ | 301,500 | ||||||
250,000 | Turkey Government International Bond, 3.25%, due 03/23/23 | 235,000 | ||||||||
350,000 | Turkey Government International Bond, 5.125%, due 03/25/22 | 371,000 | ||||||||
|
| |||||||||
Total Turkey (Cost: $930,710) | 907,500 | |||||||||
|
| |||||||||
Ukraine (Cost: $545,623) (0.5%) | ||||||||||
575,000 | Ukraine Government International Bond, (Reg. S), | 299,000 | ||||||||
|
| |||||||||
United Arab Emirates (Cost: $226,713) (0.4%) | ||||||||||
200,000 | DP World, Ltd., (Reg. S), 6.85%, due 07/02/37 (2) | 225,440 | ||||||||
|
| |||||||||
Uruguay (Cost: $563,640) (1.0%) | ||||||||||
550,000 | Uruguay Government International Bond, 5.1%, due 06/18/50 | 563,063 | ||||||||
|
| |||||||||
Venezuela (1.4%) | ||||||||||
900,000 | Petroleos de Venezuela S.A., (Reg. S), 6%, due 11/15/26 (2)(6) | 376,920 | ||||||||
450,000 | Venezuela Government International Bond, (Reg. S), | 193,500 | ||||||||
100,000 | Venezuela Government International Bond, (Reg. S), 7.75%, due 10/13/19 (2) | 46,750 | ||||||||
350,000 | Venezuela Government International Bond, (Reg. S), 8.25%, due 10/13/24 (2) | 154,875 | ||||||||
|
| |||||||||
Total Venezuela (Cost: $1,201,507) | 772,045 | |||||||||
|
| |||||||||
Vietnam (Cost: $210,776) (0.4%) | ||||||||||
200,000 | Vietnam Government International Bond, (144A), 4.8%, due 11/19/24 (3) | 209,250 | ||||||||
|
| |||||||||
Zambia (Cost: $187,064) (0.3%) | ||||||||||
200,000 | Zambia Government International Bond, (Reg. S), | 186,366 | ||||||||
|
| |||||||||
Total Fixed Income Securities (Cost: $23,876,062) (42.6%) | 23,548,531 | |||||||||
|
| |||||||||
Number of Shares | Preferred Stock | |||||||||
Brazil (Cost: $275,305) (0.6%) | ||||||||||
25,200 | Itau Unibanco Holding S.A., 4.07% (ADR) | 323,064 | ||||||||
|
| |||||||||
Total Preferred Stock (Cost: $275,305) (0.6%) | 323,064 | |||||||||
|
| |||||||||
Common Stock | ||||||||||
Argentina (Cost: $376,389) (0.8%) | ||||||||||
14,730 | YPF S.A. (SP ADR) | 449,854 | ||||||||
|
| |||||||||
Brazil (1.1%) | ||||||||||
48,700 | Ambev S.A. (ADR) | 308,271 | ||||||||
56,500 | CCR S.A. | 312,732 | ||||||||
|
| |||||||||
Total Brazil (Cost: $674,991) | 621,003 | |||||||||
|
|
See accompanying notes to financial statements.
25
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||||
China (17.9%) | ||||||||||
56,200 | AIA Group, Ltd. | $ | 373,728 | |||||||
2,850 | Alibaba Group Holding, Ltd. (SP ADR) (8) | 231,676 | ||||||||
156,000 | AviChina Industry & Technology Co., Ltd. — Class H | 178,129 | ||||||||
344,000 | Beijing Enterprises Water Group, Ltd. (8) | 294,888 | ||||||||
845,000 | China Construction Bank Corp. — Class H | 820,207 | ||||||||
184,500 | China Everbright International, Ltd. | 344,021 | ||||||||
48,000 | China Everbright, Ltd. | 158,052 | ||||||||
35,219 | China Life Insurance Co., Ltd. — Class H | 171,141 | ||||||||
239,000 | China Minsheng Banking Corp., Ltd. | 350,178 | ||||||||
73,120 | China Mobile, Ltd. | 1,042,426 | ||||||||
185,000 | Chongqing Rural Commercial Bank Co., Ltd. — Class H | 166,198 | ||||||||
209,000 | CNOOC, Ltd. | 355,277 | ||||||||
579,000 | Cosmo Lady China Holdings Co., Ltd. (8) | 484,994 | ||||||||
436,000 | CT Environmental Group, Ltd. (8) | 610,787 | ||||||||
23,900 | Hengan International Group Co., Ltd. | 294,830 | ||||||||
330,916 | HKT Trust & HKT, Ltd. | 444,071 | ||||||||
1,179,460 | Industrial & Commercial Bank of China, Ltd. — Class H | 1,026,092 | ||||||||
9,500 | JD.com, Inc. (ADR) (8) | 318,820 | ||||||||
24,750 | Ping An Insurance Group Co. of China, Ltd. — Class H | 355,199 | ||||||||
108,700 | SAIC Motor Corp., Ltd. | 473,332 | ||||||||
237,700 | Sihuan Pharmaceutical Holdings Group, Ltd. | 135,239 | ||||||||
61,612 | Tencent Holdings, Ltd. | 1,271,504 | ||||||||
|
| |||||||||
Total China (Cost: $8,088,009) | 9,900,789 | |||||||||
|
| |||||||||
Egypt (1.2%) | ||||||||||
39,126 | Commercial International Bank Egypt SAE | 284,147 | ||||||||
8,350 | Eastern Tobacco | 213,400 | ||||||||
24,500 | ElSwedy Electric Co. (8) | 152,102 | ||||||||
|
| |||||||||
Total Egypt (Cost: $558,436) | 649,649 | |||||||||
|
| |||||||||
Hungary (Cost: $175,946) (0.4%) | ||||||||||
9,000 | OTP Bank PLC | 199,005 | ||||||||
|
| |||||||||
India (2.9%) | ||||||||||
89,375 | Bharti Infratel, Ltd. | 562,859 | ||||||||
17,500 | Divi’s Laboratories, Ltd. | 473,242 | ||||||||
85,000 | ITC, Ltd. | 432,528 | ||||||||
5,725 | Lupin, Ltd. | 160,029 | ||||||||
|
| |||||||||
Total India (Cost: $1,398,940) | 1,628,658 | |||||||||
|
| |||||||||
Indonesia (1.5%) | ||||||||||
589,000 | Bank Rakyat Indonesia Persero Tbk PT | 525,859 | ||||||||
4,630,000 | Multipolar Tbk PT | 286,681 | ||||||||
|
| |||||||||
Total Indonesia (Cost: $871,608) | 812,540 | |||||||||
|
| |||||||||
Japan (Cost: $229,828) (0.5%) | ||||||||||
1,345 | FANUC Corp. | 295,182 | ||||||||
|
|
See accompanying notes to financial statements.
26
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||||
Kenya (Cost: $361,886) (1.0%) | ||||||||||
2,973,000 | Safari.com, Ltd. | $ | 547,997 | |||||||
|
| |||||||||
Malaysia (Cost: $242,604) (0.4%) | ||||||||||
332,129 | My EG Services BHD | 235,212 | ||||||||
|
| |||||||||
Mexico (1.2%) | ||||||||||
4,300 | Fomento Economico Mexicano S.A.B. de C.V. (SP ADR) (8) | 389,107 | ||||||||
46,700 | Grupo Financiero Banorte S.A.B. de C.V. | 264,587 | ||||||||
|
| |||||||||
Total Mexico (Cost: $699,115) | 653,694 | |||||||||
|
| |||||||||
Nigeria (Cost: $225,525) (0.4%) | ||||||||||
297,594 | Nigerian Breweries PLC | 235,047 | ||||||||
|
| |||||||||
Pakistan (1.7%) | ||||||||||
54,500 | Engro Corp., Ltd. | 169,098 | ||||||||
105,010 | Fauji Fertilizer Co., Ltd. | 146,888 | ||||||||
238,939 | Habib Bank, Ltd. | 468,902 | ||||||||
31,000 | Lucky Cement, Ltd. | 148,773 | ||||||||
|
| |||||||||
Total Pakistan (Cost: $859,255) | 933,661 | |||||||||
|
| |||||||||
Russia (4.4%) | ||||||||||
10,256 | Lukoil OAO (SP ADR) | 525,620 | ||||||||
9,515 | Magnit PJSC (Reg. S) (GDR) (2) | 524,752 | ||||||||
105,844 | Mobile TeleSystems OJSC | 540,315 | ||||||||
263,525 | Sberbank of Russia | 391,099 | ||||||||
22,127 | Yandex N.V. (8) | 425,724 | ||||||||
|
| |||||||||
Total Russia (Cost: $2,282,570) | 2,407,510 | |||||||||
|
| |||||||||
South Africa (3.5%) | ||||||||||
8,860 | Aspen Pharmacare Holdings, Ltd. (8) | 268,079 | ||||||||
32,371 | MTN Group, Ltd. (7) | 646,718 | ||||||||
4,100 | Naspers, Ltd. — N Shares | 640,009 | ||||||||
25,300 | Shoprite Holdings, Ltd. | 360,177 | ||||||||
|
| |||||||||
Total South Africa (Cost: $1,624,006) | 1,914,983 | |||||||||
|
| |||||||||
South Korea (5.2%) | ||||||||||
3,490 | Coway Co., Ltd. | 293,100 | ||||||||
410 | Hyundai Mobis | 90,150 | ||||||||
1,985 | Hyundai Motor Co. | 311,528 | ||||||||
12,580 | KB Financial Group, Inc. | 479,729 | ||||||||
1,277 | Samsung Electronics Co., Ltd. | 1,675,237 | ||||||||
|
| |||||||||
Total South Korea (Cost: $2,716,988) | 2,849,744 | |||||||||
|
| |||||||||
Taiwan (6.1%) | ||||||||||
31,223 | Advantech Co., Ltd. | 257,207 | ||||||||
270,170 | Cathay Financial Holding Co., Ltd. | 471,993 | ||||||||
118,000 | Chailease Holding Co., Ltd. | 323,413 | ||||||||
7,417 | Hermes Microvision, Inc. | 521,547 |
See accompanying notes to financial statements.
27
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||||
Taiwan (Continued) | ||||||||||
3,965 | Largan Precision Co., Ltd. | $ | 397,317 | |||||||
12,500 | Taiwan Semiconductor Manufacturing Co., Ltd. (SP ADR) | 305,500 | ||||||||
191,012 | Taiwan Semiconductor Manufacturing Co., Ltd. | 919,584 | ||||||||
272,500 | Yuanta Financial Holding Co., Ltd. | 158,385 | ||||||||
|
| |||||||||
Total Taiwan (Cost: $2,683,965) | 3,354,946 | |||||||||
|
| |||||||||
Turkey (1.9%) | ||||||||||
74,500 | Akbank TAS | 216,852 | ||||||||
199,000 | Global Yatirim Holding A.S. (8) | 190,343 | ||||||||
151,500 | Turkiye Garanti Bankasi A.S. | 481,576 | ||||||||
30,000 | Turkiye Halk Bankasi A.S. | 151,830 | ||||||||
|
| |||||||||
Total Turkey (Cost: $1,212,609) | 1,040,601 | |||||||||
|
| |||||||||
United Arab Emirates (Cost: $181,196) (0.3%) | ||||||||||
430,500 | Air Arabia PJSC | 191,076 | ||||||||
|
| |||||||||
Total Common Stocks (Cost: $25,463,866) (52.4%) | 28,921,151 | |||||||||
|
| |||||||||
Participation Notes | ||||||||||
Saudi Arabia (1.8%) | ||||||||||
10,250 | Al Mouwasat Medical Services (HSBC) (expires 4/16/18) | 367,116 | ||||||||
2,650 | Bupa Arabia For Cooperative Insurance (HSBC) (expires 2/6/19) | 156,104 | ||||||||
10,152 | Saudi Airlines Catering Co. (HSBC) (expires 1/07/16) | 469,297 | ||||||||
|
| |||||||||
Total Saudi Arabia (Cost: $1,023,034) | 992,517 | |||||||||
|
| |||||||||
Total Participation Notes (Cost: $1,023,034) (1.8%) | 992,517 | |||||||||
|
| |||||||||
Principal Amount | Short-Term Investments | |||||||||
Repurchase Agreement (Cost: $928,200) (1.7%) | ||||||||||
$ | 928,200 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $960,000 Federal Home Loan Mortgage Corp., 2%, due 11/02/22 valued at $948,478) (Total Amount to be Received Upon Repurchase $928,200) | 928,200 | |||||||
|
| |||||||||
Total Investments (Cost: $51,566,467) (99.1%) | 54,713,463 | |||||||||
Excess of Other Assets over Liabilities (0.9%) | 474,830 | |||||||||
|
| |||||||||
Total Net Assets (100.0%) | $ | 55,188,293 | ||||||||
|
|
See accompanying notes to financial statements.
28
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2015 |
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 | EUR | 396,026 | 06/08/15 | $ | 427,307 | $ | 443,957 | $ | 16,650 | |||||||||||||||
Bank of America | EUR | 246,382 | 06/16/15 | 269,215 | 276,231 | 7,016 | ||||||||||||||||||
Bank of America | EUR | 318,007 | 06/22/15 | 351,762 | 356,563 | 4,801 | ||||||||||||||||||
Bank of America | HUF | 63,812,350 | 06/08/15 | 235,988 | 235,655 | (333 | ) | |||||||||||||||||
Bank of America | SGD | 313,582 | 06/03/15 | 233,511 | 236,604 | 3,093 | ||||||||||||||||||
Bank of America | SGD | 314,456 | 06/12/15 | 234,127 | 237,230 | 3,103 | ||||||||||||||||||
Citibank N.A. | INR | 14,936,220 | 06/10/15 | 233,197 | 233,297 | 100 | ||||||||||||||||||
Citibank N.A. | TRY | 567,525 | 05/04/15 | 213,387 | 212,147 | (1,240 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 2,198,494 | $ | 2,231,684 | $ | 33,190 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (10) | ||||||||||||||||||||||||
Bank of America | BRL | 377,695 | 06/30/15 | $ | 115,000 | $ | 123,598 | $ | (8,598 | ) | ||||||||||||||
Bank of America | EUR | 396,026 | 06/08/15 | 440,000 | 443,956 | (3,956 | ) | |||||||||||||||||
Bank of America | EUR | 246,382 | 06/16/15 | 262,000 | 276,231 | (14,231 | ) | |||||||||||||||||
Bank of America | EUR | 318,007 | 06/22/15 | 340,500 | 356,563 | (16,063 | ) | |||||||||||||||||
Bank of America | HUF | 63,812,350 | 06/08/15 | 230,000 | 235,655 | (5,655 | ) | |||||||||||||||||
Bank of America | RUB | 12,456,080 | 07/24/15 | 236,000 | 234,537 | 1,463 | ||||||||||||||||||
Bank of America | SGD | 313,582 | 06/03/15 | 230,000 | 236,604 | (6,604 | ) | |||||||||||||||||
Bank of America | SGD | 314,456 | 06/12/15 | 226,000 | 237,230 | (11,230 | ) | |||||||||||||||||
Bank of America | TRY | 653,018 | 07/28/15 | 235,000 | 238,215 | (3,215 | ) | |||||||||||||||||
Citibank N.A. | BRL | 359,280 | 07/31/15 | 120,000 | 116,351 | 3,649 | ||||||||||||||||||
Citibank N.A. | INR | 14,936,220 | 06/10/15 | 234,000 | 233,297 | 703 | ||||||||||||||||||
Citibank N.A. | TRY | 567,525 | 05/04/15 | 230,000 | 212,147 | 17,853 | ||||||||||||||||||
Citibank N.A. | TRY | 604,125 | 06/12/15 | 225,000 | 223,267 | 1,733 | ||||||||||||||||||
Citibank N.A. | TRY | 641,339 | 07/31/15 | 235,000 | 233,761 | 1,239 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 3,358,500 | $ | 3,401,412 | $ | (42,912 | ) | ||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
29
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
BRL - | Brazilian Real. |
EUR - | Euro Currency. |
HUF - | Hungarian Forint. |
IDR - | Indonesian Rupiah. |
INR - | Indian Rupee. |
RUB - | Russian Ruble. |
SGD - | Singapore Dollar. |
TRY - | New Turkish Lira. |
ZAR - | South African Rand. |
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 is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. |
(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, 2015, the value of these securities amounted to $8,657,422 or 15.9% of net assets. |
(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, 2015, the value of these securities amounted to $6,967,491 or 12.6% 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. |
(4) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2015. |
(5) | Perpetual Maturity. |
(6) | All or a portion of this security is segregated to cover when-issued, delayed-delivery or forward commitments. (Note 2) |
(7) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(8) | Non-income producing security. |
(9) | Fund buys foreign currency, sells U.S. Dollar. |
(10) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
30
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Industry (Unaudited) April 30, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace/Defense | 0.3 | % | ||
Agriculture | 1.2 | |||
Airlines | 0.7 | |||
Apparel | 0.9 | |||
Auto Manufacturers | 1.5 | |||
Auto Parts & Equipment | 0.2 | |||
Banks | 15.9 | |||
Beverages | 1.6 | |||
Building Materials | 0.7 | |||
Chemicals | 0.6 | |||
Commercial Services | 1.0 | |||
Computers | 1.0 | |||
Diversified Financial Services | 3.8 | |||
Electric | 0.8 | |||
Electrical Compo & Equip | 1.2 | |||
Environmental Control | 1.7 | |||
Food | 1.5 | |||
Food Service | 0.8 | |||
Foreign Government Bonds | 25.0 | |||
Gas | 0.4 | |||
Government Regional/Local | 0.7 | |||
Healthcare-Products | 1.0 | |||
Healthcare-Services | 0.7 | |||
Holding Companies-Diversified | 0.3 | |||
Home Furnishings | 0.5 | |||
Household Products/Wares | 0.2 | |||
Insurance | 2.8 | |||
Internet | 5.2 | |||
Machinery-Diversified | 0.5 | |||
Media | 1.2 | |||
Mining | 0.7 | |||
Miscellaneous Manufacturers | 0.7 | |||
Oil & Gas | 6.7 | |||
Pharmaceuticals | 1.4 | |||
Retail | 0.3 | |||
Semiconductors | 5.2 | |||
Telecommunications | 8.0 | |||
Water | 0.5 | |||
Short-Term Investments | 1.7 | |||
|
| |||
Total | 99.1 | % | ||
|
|
See accompanying notes to financial statements.
31
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Country (Unaudited) | April 30, 2015 |
Country | Percentage of Net Assets | |||
Argentina | 2.3 | % | ||
Brazil | 5.9 | |||
Chile | 0.9 | |||
China | 19.1 | |||
Colombia | 2.9 | |||
Croatia | 0.4 | |||
Dominican Republic | 1.1 | |||
Egypt | 1.2 | |||
El Salvador | 0.4 | |||
Ghana | 0.3 | |||
Guatemala | 0.8 | |||
Honduras | 0.4 | |||
Hungary | 2.0 | |||
India | 4.7 | |||
Indonesia | 4.3 | |||
Israel | 0.6 | |||
Ivory Coast | 0.4 | |||
Japan | 0.5 | |||
Kenya | 1.4 | |||
Lebanon | 0.4 | |||
Malaysia | 0.4 | |||
Mexico | 4.9 | |||
Nigeria | 0.8 | |||
Oman | 0.4 | |||
Pakistan | 2.1 | |||
Panama | 1.2 | |||
Paraguay | 0.6 | |||
Peru | 2.0 | |||
Romania | 0.6 | |||
Russia | 7.3 | |||
Saudi Arabia | 1.8 | |||
Serbia | 0.8 | |||
Slovenia | 0.4 | |||
South Africa | 4.6 | |||
South Korea | 5.2 | |||
Taiwan | 6.1 | |||
Tunisia | 0.4 | |||
Turkey | 3.5 | |||
Ukraine | 0.5 | |||
United Arab Emirates | 0.7 | |||
United States | 1.7 | |||
Uruguay | 1.0 | |||
Venezuela | 1.4 | |||
Vietnam | 0.4 | |||
Zambia | 0.3 | |||
|
| |||
Total | 99.1 | % | ||
|
|
See accompanying notes to financial statements.
32
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Argentina (Cost: $26,491) (1.1% of Net Assets) | ||||||||
970 | YPF S.A. (SP ADR) | $ | 29,624 | |||||
|
| |||||||
Belgium (Cost: $26,492) (1.0%) | ||||||||
181 | Solvay S.A. | 26,597 | ||||||
|
| |||||||
China (14.8%) | ||||||||
40,000 | China Animal Healthcare, Ltd. (1) | 26,835 | ||||||
16,000 | China Gas Holdings, Ltd. | 28,185 | ||||||
7,000 | China Life Insurance Co., Ltd. — Class H | 34,015 | ||||||
12,000 | China Merchants Bank Co., Ltd. — Class H | 36,247 | ||||||
180 | CNOOC, Ltd. (SP ADR) | 30,825 | ||||||
25,000 | Cosmo Lady China Holdings Co., Ltd. (2) | 20,941 | ||||||
5,240 | Great Wall Motor Co., Ltd. — Class H | 39,756 | ||||||
20,343 | HKT Trust & HKT, Ltd. | 27,299 | ||||||
875 | JD.com, Inc. (ADR) (2) | 29,365 | ||||||
3,000 | Ping An Insurance Group Co. of China, Ltd. — Class H | 43,054 | ||||||
8,000 | Shanghai Fosun Pharmaceutical Group Co., Ltd. | 30,342 | ||||||
1,373 | Tencent Holdings, Ltd. | 28,335 | ||||||
15,400 | Travelsky Technology, Ltd. — Class H (1) | 29,978 | ||||||
|
| |||||||
Total China (Cost: $343,780) | 405,177 | |||||||
|
| |||||||
Denmark (3.0%) | ||||||||
1,174 | GN Store Nord A/S | 25,306 | ||||||
479 | Novo Nordisk A/S (SP ADR) | 26,953 | ||||||
300 | Pandora A/S | 30,959 | ||||||
|
| |||||||
Total Denmark (Cost: $77,918) | 83,218 | |||||||
|
| |||||||
Egypt (1.7%) | ||||||||
3,528 | Commercial International Bank Egypt SAE (1) | 25,622 | ||||||
850 | Eastern Tobacco | 21,723 | ||||||
|
| |||||||
Total Egypt (Cost: $45,337) | 47,345 | |||||||
|
| |||||||
Finland (Cost: $26,447) (0.9%) | ||||||||
1,341 | UPM-Kymmene OYJ | 24,215 | ||||||
|
| |||||||
France (6.1%) | ||||||||
380 | Atos SE | 29,640 | ||||||
395 | Dassault Systemes (1) | 30,375 | ||||||
145 | LVMH Moet Hennessy Louis Vuitton SE | 25,304 | ||||||
1,635 | Orange S.A. | 26,875 | ||||||
341 | Publicis Groupe S.A. | 28,541 | ||||||
525 | �� | Sanofi (ADR) | 26,539 | |||||
|
| |||||||
Total France (Cost: $160,029) | 167,274 | |||||||
|
| |||||||
Germany (5.5%) | ||||||||
261 | BASF SE | 25,877 | ||||||
200 | Bayerische Motoren Werke AG | 23,544 | ||||||
235 | Fresenius Medical Care AG & Co., KGaA (1) | 19,709 |
See accompanying notes to financial statements.
33
Table of Contents
TCW International Growth Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Germany (Continued) | ||||||||
331 | HeidelbergCement AG | $ | 25,356 | |||||
530 | ProSiebenSat.1 Media AG | 27,042 | ||||||
225 | Wacker Chemie AG | 27,849 | ||||||
|
| |||||||
Total Germany (Cost: $151,550) | 149,377 | |||||||
|
| |||||||
Hungary (Cost: $13,978) (0.6%) | ||||||||
715 | OTP Bank PLC | 15,810 | ||||||
|
| |||||||
India (Cost: $22,614) (1.0%) | ||||||||
1,500 | Housing Development Finance Corp. | 27,825 | ||||||
|
| |||||||
Indonesia (2.2%) | ||||||||
30,000 | Bank Central Asia Tbk PT (1) | 31,062 | ||||||
21,000 | Matahari Department Store Tbk PT | 28,243 | ||||||
|
| |||||||
Total Indonesia (Cost: $54,377) | 59,305 | |||||||
|
| |||||||
Ireland (2.9%) | ||||||||
429 | Allegion PLC | 26,233 | ||||||
2,289 | James Hardie Industries PLC (ADR) | 26,204 | ||||||
105 | Shire PLC (ADR) | 25,569 | ||||||
|
| |||||||
Total Ireland (Cost: $78,399) | 78,006 | |||||||
|
| |||||||
Israel (Cost: $25,085) (1.3%) | ||||||||
3,000 | Plus500, Ltd. (1) | 34,600 | ||||||
|
| |||||||
Italy (Cost: $28,774) (1.2%) | ||||||||
4,500 | FinecoBank Banca Fineco SpA (1)(2) | 33,902 | ||||||
|
| |||||||
Japan (20.7%) | ||||||||
1,082 | Alps Electric Co., Ltd. (1) | 26,817 | ||||||
432 | COOKPAD, Inc. | 18,349 | ||||||
600 | CyberAgent, Inc. (1) | 28,807 | ||||||
1,800 | Dai-ichi Life Insurance Co., Ltd. (The) | 29,518 | ||||||
609 | Dentsu, Inc. (1) | 28,324 | ||||||
119 | FANUC Corp. (1) | 26,116 | ||||||
970 | GMO Payment Gateway, Inc. (1) | 24,860 | ||||||
10,009 | Ichigo Group Holdings Co., Ltd. (1) | 27,439 | ||||||
1,000 | Japan Exchange Group, Inc. (1) | 28,827 | ||||||
1,329 | Komatsu, Ltd. | 26,678 | ||||||
5,000 | Leopalace21 Corp. (2) | 28,772 | ||||||
2,000 | M3, Inc. (1) | 37,706 | ||||||
2,212 | Mitsubishi Electric Corp. | 28,823 | ||||||
4,000 | Mitsubishi UFJ Financial Group, Inc. (SP ADR) | 28,400 | ||||||
397 | Nidec Corp. | 29,630 | ||||||
400 | Nippon Telegraph & Telephone Corp. | 26,949 | ||||||
1,780 | NSK, Ltd. | 27,737 | ||||||
400 | ORIX Corp. (SP ADR) (2) | 30,820 |
See accompanying notes to financial statements.
34
Table of Contents
TCW International Growth Fund
April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Japan (Continued) | ||||||||
2,000 | Rakuten, Inc. (1)(2) | $ | 34,862 | |||||
6,000 | Sumitomo Mitsui Trust Holdings, Inc. | 26,352 | ||||||
|
| |||||||
Total Japan (Cost: $523,382) | 565,786 | |||||||
|
| |||||||
Netherlands (Cost: $26,079) (1.0%) | ||||||||
245 | ASML Holding NV (1) | 26,311 | ||||||
|
| |||||||
Nigeria (Cost: $15,053) (0.5%) | ||||||||
18,652 | Nigerian Breweries PLC | 14,732 | ||||||
|
| |||||||
Norway (Cost: $28,574) (1.1%) | ||||||||
1,400 | Statoil ASA (SP ADR) | 29,722 | ||||||
|
| |||||||
Pakistan (2.0%) | ||||||||
4,850 | Engro Corp., Ltd | 15,048 | ||||||
8,800 | Fauji Fertilizer Co., Ltd. | 12,309 | ||||||
7,000 | Habib Bank, Ltd. | 13,737 | ||||||
2,750 | Lucky Cement, Ltd. | 13,198 | ||||||
|
| |||||||
Total Pakistan (Cost: $50,896) | 54,292 | |||||||
|
| |||||||
Russia (4.7%) | ||||||||
565 | Lukoil OAO (SP ADR) | 28,956 | ||||||
585 | Magnit PJSC (GDR) (3) | 32,263 | ||||||
25,000 | Sberbank of Russia | 37,103 | ||||||
1,500 | Yandex NV (2) | 28,860 | ||||||
|
| |||||||
Total Russia (Cost: $114,250) | 127,182 | |||||||
|
| |||||||
South Africa (2.7%) | ||||||||
2,600 | Coronation Fund Managers, Ltd. (1) | 19,766 | ||||||
1,300 | Mondi PLC | 26,353 | ||||||
1,409 | MTN Group, Ltd. | 28,149 | ||||||
|
| |||||||
Total South Africa (Cost: $76,667) | 74,268 | |||||||
|
| |||||||
South Korea (2.5%) | ||||||||
335 | Coway Co., Ltd. | 28,134 | ||||||
30 | Samsung Electronics Co., Ltd. (1) | 39,356 | ||||||
|
| |||||||
Total South Korea (Cost: $64,281) | 67,490 | |||||||
|
| |||||||
Spain (3.5%) | ||||||||
427 | Aena S.A. (1)(2) | 40,149 | ||||||
610 | Amadeus IT Holding S.A. | 27,748 | ||||||
600 | Bolsas y Mercados Espanoles SHMSF S.A. (1) | 26,787 | ||||||
|
| |||||||
Total Spain (Cost: $89,772) | 94,684 | |||||||
|
| |||||||
Sweden (Cost: $25,667) (1.0%) | ||||||||
840 | Atlas Copco AB (1) | 26,165 | ||||||
|
|
See accompanying notes to financial statements.
35
Table of Contents
TCW International Growth Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Switzerland (4.0%) | ||||||||
6,000 | Glencore PLC (1)(2) | $ | 28,536 | |||||
340 | Nestle S.A. | 26,268 | ||||||
100 | Roche Holding AG | 28,495 | ||||||
160 | Schindler Holding AG | 26,541 | ||||||
|
| |||||||
Total Switzerland (Cost: $104,474) | 109,840 | |||||||
|
| |||||||
Taiwan (Cost: $33,036) (1.3%) | ||||||||
365 | Largan Precision Co., Ltd. | 36,575 | ||||||
|
| |||||||
Turkey (1.5%) | ||||||||
3,350 | Turkiye Garanti Bankasi A.S. | 10,649 | ||||||
4,000 | Ulker Biskuvi Sanayi AS (1) | 30,536 | ||||||
|
| |||||||
Total Turkey (Cost: $41,649) | 41,185 | |||||||
|
| |||||||
United Kingdom (5.8%) | ||||||||
3,675 | Aberdeen Asset Management PLC (1) | 26,716 | ||||||
533 | ARM Holdings PLC (SP ADR) | 27,178 | ||||||
385 | BT Group PLC (SP ADR) (1) | 26,904 | ||||||
7,008 | ITV PLC | 27,240 | ||||||
650 | London Stock Exchange Group PLC | 25,330 | ||||||
1,100 | WPP PLC (1) | 25,683 | ||||||
|
| |||||||
Total United Kingdom (Cost: $153,683) | 159,051 | |||||||
|
| |||||||
Total Common Stock (Cost: $2,428,734) (95.6%) | 2,609,558 | |||||||
|
| |||||||
Preferred Stock | ||||||||
Brazil (Cost: $26,161) (1.1%) | ||||||||
2,395 | Itau Unibanco Holding S.A., 4.07% (ADR) | 30,704 | ||||||
|
| |||||||
Total Preferred Stock (Cost: $26,161) (1.1%) | 30,704 | |||||||
|
| |||||||
Total Investments (Cost: $2,454,895) (96.7%) | 2,640,262 | |||||||
Excess of Other Assets over Liabilities (3.3%) | 89,900 | |||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 2,730,162 | ||||||
|
|
See accompanying notes to financial statements.
36
Table of Contents
TCW International Growth Fund
April 30, 2015 |
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 | JPY | 14,100,000 | 09/24/15 | $ | 119,709 | $ | 118,057 | $ | (1,652 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 119,709 | $ | 118,057 | $ | (1,652 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (5) | ||||||||||||||||||||||||
Bank of America | JPY | 68,044,515 | 09/24/15 | $ | 630,000 | $ | 569,724 | $ | 60,276 | |||||||||||||||
Bank of America | JPY | 5,069,034 | 11/07/16 | 45,000 | 43,074 | 1,926 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 675,000 | $ | 612,798 | $ | 62,202 | |||||||||||||||||||
�� |
|
|
|
|
|
|
Notes to the Schedule of Investments:
JPY - | Japanese Yen. |
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. |
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) | All or a portion of this security is segregated to cover for forward commitments. |
(2) | Non-income producing security. |
(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, 2015, the value of these securities amounted to $32,263 or 1.2% 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.
37
Table of Contents
TCW International Growth Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Air Freight & Logistics | 1.1 | % | ||
Automobiles | 2.3 | |||
Banks | 10.6 | |||
Beverages | 0.5 | |||
Building Products | 1.0 | |||
Capital Markets | 2.7 | |||
Chemicals | 3.9 | |||
Construction Materials | 2.4 | |||
Diversified Financial Services | 5.4 | |||
Diversified Telecommunication Services | 4.0 | |||
Electrical Equipment | 2.1 | |||
Electronic Equipment, Instruments & Components | 2.3 | |||
Food & Staples Retailing | 1.2 | |||
Food Products | 2.1 | |||
Gas Utilities | 1.0 | |||
Health Care Equipment & Supplies | 0.9 | |||
Health Care Providers & Services | 0.7 | |||
Health Care Technology | 1.4 | |||
Household Durables | 1.0 | |||
Insurance | 3.9 | |||
Internet & Catalog Retail | 2.4 | |||
Internet Software & Services | 2.8 | |||
IT Services | 4.1 | |||
Machinery | 4.9 | |||
Media | 6.1 | |||
Metals & Mining | 1.0 | |||
Multiline Retail | 1.0 | |||
Oil, Gas & Consumable Fuels | 3.3 | |||
Paper & Forest Products | 1.9 | |||
Pharmaceuticals | 6.0 | |||
Real Estate Management & Development | 1.1 | |||
Semiconductors & Semiconductor Equipment | 2.0 | |||
Software | 1.1 | |||
Technology Hardware, Storage & Peripherals | 1.4 | |||
Textiles, Apparel & Luxury Goods | 2.8 | |||
Thrifts & Mortgage Finance | 1.0 | |||
Tobacco | 0.8 | |||
Transportation Infrastructure | 1.5 | |||
Wireless Telecommunication Services | 1.0 | |||
|
| |||
Total | 96.7 | % | ||
|
|
See accompanying notes to financial statements.
38
Table of Contents
TCW International Small Cap Fund
Schedule of Investments (Unaudited) | April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Australia (4.1% of Net Assets) | ||||||||
5,150 | Ansell, Ltd. (1) | $ | 105,640 | |||||
18,400 | Challenger, Ltd. | 101,835 | ||||||
26,934 | Charter Hall Group | 108,444 | ||||||
98,000 | Drillsearch Energy, Ltd. (2) | 92,931 | ||||||
10,500 | Invocare, Ltd. (1) | 110,598 | ||||||
13,654 | M2 Group, Ltd. | 117,771 | ||||||
2,492 | Perpetual, Ltd. (1) | 105,776 | ||||||
|
| |||||||
Total Australia (Cost: $726,038) | 742,995 | |||||||
|
| |||||||
Austria (2.4%) | ||||||||
2,122 | ams AG (1) | 114,881 | ||||||
8,500 | CA Immobilien Anlagen AG (2) | 153,941 | ||||||
10,000 | Wienerberger AG (1) | 162,424 | ||||||
|
| |||||||
Total Austria (Cost: $421,227) | 431,246 | |||||||
|
| |||||||
Belgium (0.6%) | ||||||||
1,474 | Befimmo S.A. (1) | 101,520 | ||||||
3 | Cofinimmo S.A. | 331 | ||||||
|
| |||||||
Total Belgium (Cost: $106,191) | 101,851 | |||||||
|
| |||||||
Canada (2.2%) | ||||||||
14,500 | Algonquin Power & Utilities Corp. (1) | 117,676 | ||||||
8,057 | Amaya, Inc. (1)(2) | 187,780 | ||||||
1,250 | Concordia Healthcare Corp. | 87,307 | ||||||
|
| |||||||
Total Canada (Cost: $443,335) | 392,763 | |||||||
|
| |||||||
China (6.9%) | ||||||||
10,460 | ASM Pacific Technology, Ltd. | 116,872 | ||||||
338,522 | China Animal Healthcare, Ltd. (1) | 227,104 | ||||||
27,300 | China Everbright, Ltd. | 89,892 | ||||||
15,000 | Chlitina Holding, Ltd. | 92,101 | ||||||
147,000 | Cosmo Lady China Holdings Co., Ltd. (2) | 123,133 | ||||||
306,579 | Travelsky Technology, Ltd. — Class H (1) | 596,783 | ||||||
|
| |||||||
Total China (Cost: $981,282) | 1,245,885 | |||||||
|
| |||||||
Denmark (1.2%) | ||||||||
4,567 | GN Store Nord A/S (1) | 98,441 | ||||||
3,424 | Sydbank A/S | 128,325 | ||||||
|
| |||||||
Total Denmark (Cost: $209,939) | 226,766 | |||||||
|
| |||||||
France (1.6%) | ||||||||
1,717 | Groupe Crit | 92,255 | ||||||
5,207 | Haulotte Group S.A. | 101,057 | ||||||
11,528 | Havas S.A. | 96,108 | ||||||
|
| |||||||
Total France (Cost: $276,562) | 289,420 | |||||||
|
|
See accompanying notes to financial statements.
39
Table of Contents
TCW International Small Cap Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Germany (5.9%) | ||||||||
2,493 | Aareal Bank AG (1) | $ | 107,009 | |||||
11,000 | DIC Asset AG (1) | 110,570 | ||||||
958 | Duerr AG | 97,858 | ||||||
7,160 | Freenet AG (1) | 231,438 | ||||||
1,877 | Gerresheimer AG (1) | 106,014 | ||||||
2,800 | Grammer AG (1) | 107,317 | ||||||
2,257 | Indus Holding AG | 117,821 | ||||||
1,020 | Krones AG | 112,338 | ||||||
1,400 | Leoni AG | 89,473 | ||||||
|
| |||||||
Total Germany (Cost: $1,048,246) | 1,079,838 | |||||||
|
| |||||||
India (Cost: $133,448) (0.7%) | ||||||||
26,539 | Sadbhav Engineering, Ltd. | 124,795 | ||||||
|
| |||||||
Indonesia (2.6%) | ||||||||
223,467 | Matahari Department Store Tbk PT | 300,543 | ||||||
1,300,000 | Summarecon Agung Tbk PT (1) | 177,610 | ||||||
|
| |||||||
Total Indonesia (Cost: $452,541) | 478,153 | |||||||
|
| |||||||
Ireland (1.6%) | ||||||||
24,250 | Beazley PLC (1) | 104,408 | ||||||
6,037 | Smurfit Kappa Group PLC | 184,406 | ||||||
|
| |||||||
Total Ireland (Cost: $284,459) | 288,814 | |||||||
|
| |||||||
Israel (Cost: $176,969) (1.3%) | ||||||||
21,164 | Plus500, Ltd. (1) | 244,091 | ||||||
|
| |||||||
Italy (6.3%) | ||||||||
16,700 | Amplifon SpA (1) | 129,810 | ||||||
3,570 | Azimut Holding SpA (1) | 104,574 | ||||||
3,323 | Banca Generali SpA (1) | 111,299 | ||||||
204,885 | Banca Popolare di Milano Scarl (1)(2) | 210,686 | ||||||
15,250 | Davide Campari-Milano SpA | 117,699 | ||||||
1,980 | Ei Towers SpA (1)(2) | 120,031 | ||||||
15,064 | FinecoBank Banca Fineco SpA (2) | 113,489 | ||||||
45,256 | Hera SpA | 119,133 | ||||||
23,300 | Mediaset SpA (1)(2) | 119,508 | ||||||
|
| |||||||
Total Italy (Cost: $1,040,393) | 1,146,229 | |||||||
|
| |||||||
Japan (21.6%) | ||||||||
8,400 | Alps Electric Co., Ltd. (1) | 208,189 | ||||||
1,600 | Asahi Intecc Co., Ltd. (1) | 98,311 | ||||||
3,881 | Azbil Corp. | 102,003 | ||||||
13,483 | Benefit One, Inc. (1) | 195,597 | ||||||
3,700 | CyberAgent, Inc. (1) | 177,645 | ||||||
3,185 | Daiichikosho Co., Ltd. | 102,490 | ||||||
26,200 | Denki Kagaku Kogyo KK | 106,738 |
See accompanying notes to financial statements.
40
Table of Contents
TCW International Small Cap Fund
April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
Japan (Continued) | ||||||||
34,001 | DIC Corp. | $ | 102,637 | |||||
979 | Disco Corp. | 88,953 | ||||||
23,400 | Ebara Corp. (1) | 103,791 | ||||||
22,200 | Financial Products Group Co., Ltd. (1) | 228,789 | ||||||
8,293 | GMO Internet, Inc. (1) | 104,018 | ||||||
8,811 | GMO Payment Gateway, Inc. (1) | 225,816 | ||||||
79,838 | Ichigo Group Holdings Co., Ltd. (1) | 218,869 | ||||||
10,700 | Infomart Corp. | 105,507 | ||||||
35,300 | Kawasaki Kisen Kaisha, Ltd. | 90,978 | ||||||
50,000 | Kenedix, Inc. (1)(2) | 198,658 | ||||||
4,400 | Kewpie Corp. | 107,111 | ||||||
39,940 | Leopalace21 Corp. (1)(2) | 229,832 | ||||||
2,850 | Nifco, Inc. | 100,709 | ||||||
7,225 | Nippon Shokubai Co., Ltd. | 99,528 | ||||||
4,904 | Obic Co., Ltd. | 204,674 | ||||||
26,100 | Sapporo Holdings, Ltd. | 102,218 | ||||||
1,700 | Sawai Pharmaceutical Co., Ltd. | 96,555 | ||||||
22,177 | Sun Frontier Fudousan Co., Ltd. (1) | 210,833 | ||||||
26,820 | Tokai Tokyo Financial Holdings, Inc. (1) | 205,620 | ||||||
11,428 | Zuken, Inc. (1) | 102,027 | ||||||
|
| |||||||
Total Japan (Cost: $3,608,772) | 3,918,096 | |||||||
|
| |||||||
Luxembourg (Cost: $212,519) (1.2%) | ||||||||
770 | Eurofins Scientific SE (1) | 216,453 | ||||||
|
| |||||||
Netherlands (1.1%) | ||||||||
3,350 | Aalberts Industries NV (1) | 103,646 | ||||||
2,511 | Euronext NV (2) | 105,198 | ||||||
|
| |||||||
Total Netherlands (Cost: $210,289) | 208,844 | |||||||
|
| |||||||
New Zealand (Cost: $103,505) (0.6%) | ||||||||
21,500 | Fisher & Paykel Healthcare Corp., Ltd. (1) | 106,212 | ||||||
|
| |||||||
Pakistan (2.2%) | ||||||||
41,000 | Engro Corp., Ltd. | 127,211 | ||||||
118,455 | Fauji Fertilizer Co., Ltd. | 165,695 | ||||||
23,000 | Lucky Cement, Ltd. | 110,380 | ||||||
|
| |||||||
Total Pakistan (Cost: $376,677) | 403,286 | |||||||
|
| |||||||
Russia (Cost: $298,866) (2.1%) | ||||||||
259,573 | Moscow Exchange MICEX-RTS OAO | 388,221 | ||||||
|
| |||||||
Singapore (Cost: $105,085) (0.6%) | ||||||||
94,900 | Mapletree Industrial Trust | 115,239 | ||||||
|
| |||||||
South Africa (1.9%) | ||||||||
23,331 | Famous Brands, Ltd. (1) | 238,068 | ||||||
5,200 | Mondi PLC (1) | 105,411 | ||||||
|
| |||||||
Total South Africa (Cost: $331,455) | 343,479 | |||||||
|
|
See accompanying notes to financial statements.
41
Table of Contents
TCW International Small Cap Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
South Korea (Cost: $162,368) (1.0%) | ||||||||
3,480 | CJ E&M Corp. (2) | $ | 190,186 | |||||
|
| |||||||
Spain (2.1%) | ||||||||
6,465 | Bolsas y Mercados Espanoles S.A. (1) | 288,631 | ||||||
6,900 | Gamesa Corp. Tecnologica S.A. (2) | 92,081 | ||||||
|
| |||||||
Total Spain (Cost: $362,073) | 380,712 | |||||||
|
| |||||||
Sweden (4.7%) | ||||||||
6,500 | BillerudKorsnas AB (1) | 112,286 | ||||||
3,800 | Intrum Justitia AB (1) | 119,427 | ||||||
9,464 | Net Entertainment NE AB (1)(2) | 357,091 | ||||||
5,600 | Trelleborg AB (1) | 109,521 | ||||||
8,180 | Wihlborgs Fastigheter AB (1) | 157,997 | ||||||
|
| |||||||
Total Sweden (Cost: $773,267) | 856,322 | |||||||
|
| |||||||
Switzerland (2.5%) | ||||||||
4,972 | GAM Holding AG | 111,700 | ||||||
152 | Georg Fischer AG | 107,057 | ||||||
180 | Kaba Holding AG | 117,720 | ||||||
700 | Rieter Holding AG (1)(2) | 114,820 | ||||||
|
| |||||||
Total Switzerland (Cost: $417,221) | 451,297 | |||||||
|
| |||||||
Taiwan (1.0%) | ||||||||
17,000 | Hu Lane Associate, Inc. | 86,162 | ||||||
29,000 | Taiwan Secom Co., Ltd. | 87,263 | ||||||
|
| |||||||
Total Taiwan (Cost: $175,378) | 173,425 | |||||||
|
| |||||||
Turkey (1.8%) | ||||||||
157,000 | Global Yatirim Holding A.S. (1)(2) | 150,170 | ||||||
20,300 | TAV Havalimanlari Holding AS | 178,305 | ||||||
|
| |||||||
Total Turkey (Cost: $268,775) | 328,475 | |||||||
|
| |||||||
United Kingdom (13.1%) | ||||||||
3,639 | Bellway PLC (1) | 110,760 | ||||||
6,150 | Berendsen PLC (1) | 97,881 | ||||||
11,000 | Bovis Homes Group PLC (1) | 156,801 | ||||||
9,424 | BTG PLC (2) | 104,104 | ||||||
4,350 | Close Brothers Group PLC (1) | 101,799 | ||||||
8,300 | Greene King PLC (1) | 105,646 | ||||||
49,449 | Henderson Group PLC (1) | 211,240 | ||||||
30,342 | Howden Joinery Group PLC (1) | 216,245 | ||||||
14,000 | Jupiter Fund Management PLC | 92,284 | ||||||
47,080 | Lookers PLC | 113,115 | ||||||
25,027 | National Express Group PLC | 110,344 | ||||||
26,851 | Optimal Payments PLC (1)(2) | 122,159 | ||||||
15,000 | Playtech, PLC | 188,656 | ||||||
49,745 | Rentokil Initial PLC | 102,428 |
See accompanying notes to financial statements.
42
Table of Contents
TCW International Small Cap Fund
April 30, 2015 |
Number of Shares | Common Stock | Value | ||||||
United Kingdom (Continued) | ||||||||
2,362 | Rightmove PLC | $ | 114,473 | |||||
21,100 | Senior PLC | 101,434 | ||||||
91,441 | Taylor Wimpey PLC (1) | 232,450 | ||||||
13,770 | Vesuvius PLC (1) | 95,873 | ||||||
|
| |||||||
Total United Kingdom (Cost: $2,261,558) | 2,377,692 | |||||||
|
| |||||||
Total Common Stock (Cost: $15,968,438) (94.9%) | 17,250,785 | |||||||
|
| |||||||
Rights | ||||||||
Belgium (Cost: $0.0) (0.0%) | ||||||||
903 | Cofinimmo S.A., Strike Price EUR 95, Expires 05/06/15 (2) | 536 | ||||||
|
| |||||||
Total Rights (Cost: $0) (0.0%) | 536 | |||||||
|
| |||||||
Warrants | ||||||||
Canada (Cost: $0.0) (0.0%) | ||||||||
625,000 | Petro-Victory Energy Corp., Strike Price CAD 0.50, | — | ||||||
|
| |||||||
Total Warrants (Cost: $0) (0.0%) | — | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Repurchase Agreement (Cost: $139,835) (0.8%) | ||||||||
$ | 139,835 | State Street Bank & Trust Company, 0%, due 05/01/15 (collateralized by $145,000 U.S. Treasury Note, 0.75%, due 12/31/17 valued at $145,151) (Total Amount to be Received Upon Repurchase $139,835) | 139,835 | |||||
|
| |||||||
Total Investments (Cost: $16,108,273) (95.7%) | 17,391,156 | |||||||
Excess of Other Assets over Liabilities (4.3%) | 779,313 | |||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 18,170,469 | ||||||
|
|
See accompanying notes to financial statements.
43
Table of Contents
TCW International Small Cap 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 (3) | ||||||||||||||||||||||||
Bank of America | JPY | 58,900,000 | 09/24/15 | $ | 500,062 | $ | 493,159 | $ | (6,903 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 500,062 | $ | 493,159 | $ | (6,903 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (4) | ||||||||||||||||||||||||
Bank of America | JPY | 533,638,290 | 09/24/15 | $ | 4,950,000 | $ | 4,468,052 | $ | 481,948 | |||||||||||||||
Bank of America | JPY | 209,701,800 | 11/07/16 | 1,865,000 | 1,781,921 | 83,079 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 6,815,000 | $ | 6,249,973 | $ | 565,027 | |||||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
CAD - | Canadian Dollar. |
EUR - | Euro Currency. |
JPY - | Japanese Yen. |
(1) | All or a portion of this security is segregated to cover for forward commitments. |
(2) | Non-income producing security. |
(3) | Fund buys foreign currency, sells U.S. Dollar. |
(4) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
44
Table of Contents
TCW International Small Cap Fund
Investments by Industry (Unaudited) | April 30, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 0.5 | % | ||
Auto Components | 2.1 | |||
Banks | 2.5 | |||
Beverages | 1.2 | |||
Building Products | 0.9 | |||
Capital Markets | 7.5 | |||
Chemicals | 3.3 | |||
Commercial Services & Supplies | 2.9 | |||
Communications Equipment | 0.7 | |||
Construction & Engineering | 0.7 | |||
Construction Materials | 0.6 | |||
Containers & Packaging | 1.6 | |||
Diversified Consumer Services | 0.6 | |||
Diversified Financial Services | 8.2 | |||
Diversified Telecommunication Services | 0.6 | |||
Electrical Equipment | 0.5 | |||
Electronic Equipment, Instruments & Components | 1.7 | |||
Food Products | 0.6 | |||
Health Care Equipment & Supplies | 2.2 | |||
Health Care Providers & Services | 0.7 | |||
Hotels, Restaurants & Leisure | 2.9 | |||
Household Durables | 2.8 | |||
Independent Power and Renewable Electricity Producers | 0.7 | |||
Industrial Conglomerates | 0.6 | |||
Insurance | 0.6 | |||
Internet Software & Services | 3.2 | |||
IT Services | 6.9 | |||
Life Sciences Tools & Services | 1.8 | |||
Machinery | 5.2 | |||
Marine | 0.5 | |||
Media | 4.4 | |||
Multi-Utilities | 0.6 | |||
Multiline Retail | 1.6 | |||
Oil, Gas & Consumable Fuels | 0.5 | |||
Paper & Forest Products | 0.6 | |||
Personal Products | 0.5 | |||
Pharmaceuticals | 2.8 | |||
Professional Services | 1.6 | |||
REIT | 1.8 | |||
Real Estate Management & Development | 7.0 | |||
Road & Rail | 0.6 | |||
Semiconductors & Semiconductor Equipment | 1.7 | |||
Software | 1.0 | |||
Specialty Retail | 1.8 | |||
Textiles, Apparel & Luxury Goods | 0.7 | |||
Thrifts & Mortgage Finance | 0.6 | |||
Transportation Infrastructure | 1.0 | |||
Wireless Telecommunication Services | 1.3 | |||
Short-Term Investments | 0.8 | |||
|
| |||
Total | 95.7 | % | ||
|
|
See accompanying notes to financial statements.
45
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
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) | $ | 4,417,650 | $ | 263,222 | $ | 54,713 | $ | 2,640 | $ | 17,391 | ||||||||||
Foreign Currency, at Value (2) | — | (3) | 502 | 365 | 83 | 536 | ||||||||||||||
Cash | 1,352 | — | — | — | — | |||||||||||||||
Receivable for Securities Sold | 86,180 | 517 | 894 | — | — | |||||||||||||||
Receivable for Fund Shares Sold | 11,295 | 2,297 | 8 | — | 16 | |||||||||||||||
Interest and Dividends Receivable | 59,412 | 6,200 | 333 | 8 | 70 | |||||||||||||||
Foreign Tax Reclaims Receivable | — | — | 1 | — | (3) | 6 | ||||||||||||||
Receivable from Investment Advisor | — | 22 | 22 | 10 | 12 | |||||||||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | 11,793 | 1,506 | 61 | 62 | 565 | |||||||||||||||
Receivable for Daily Variation Margin on Open Financial Futures Contracts | 268 | — | — | — | — | |||||||||||||||
Cash Collateral Held for Brokers | — | 60 | — | — | 560 | |||||||||||||||
Prepaid Expenses | 105 | 49 | 17 | 5 | 24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 4,588,055 | 274,375 | 56,414 | 2,808 | 19,180 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES | ||||||||||||||||||||
Distributions Payable | 3,577 | — | — | — | — | |||||||||||||||
Payable for Securities Purchased | 77,006 | 951 | 674 | 5 | 354 | |||||||||||||||
Payable for When-Issued Securities | 32,000 | — | 349 | — | — | |||||||||||||||
Payable for Fund Shares Redeemed | 9,329 | 3,401 | — | — | 9 | |||||||||||||||
Accrued Capital Gain Withholding Taxes | 292 | 151 | 45 | 1 | 13 | |||||||||||||||
Disbursements in Excess of Available Cash | — | — | — | 39 | — | |||||||||||||||
Accrued Directors’ Fees and Expenses | 8 | 7 | 9 | 7 | 8 | |||||||||||||||
Accrued Compliance Expense | 22 | 2 | — | (3) | — | (3) | — | (3) | ||||||||||||
Accrued Management Fees | 2,745 | 176 | 43 | 2 | 12 | |||||||||||||||
Accrued Distribution Fees | 130 | 27 | 1 | — | (3) | 2 | ||||||||||||||
Payable to Broker for Collateral Pledged | — | 60 | — | — | 560 | |||||||||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | 13,085 | 1,679 | 71 | 2 | 7 | |||||||||||||||
Other Accrued Expenses | 1,377 | 103 | 34 | 22 | 45 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 139,571 | 6,557 | 1,226 | 78 | 1,010 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 4,448,484 | $ | 267,818 | $ | 55,188 | $ | 2,730 | $ | 18,170 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
46
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) (Continued) | April 30, 2015 |
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) | ||||||||||||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||||||
Paid-in Capital | $ | 5,105,887 | $ | 314,758 | $ | 52,273 | $ | 2,476 | $ | 20,394 | ||||||||||
Accumulated Net Realized Gain (Loss) on Investments, Futures Contracts and Foreign Currency | (484,845 | ) | (32,715 | ) | (512 | ) | 31 | (3,825 | ) | |||||||||||
Unrealized Appreciation (Depreciation) of Investments, Futures Contracts and Foreign Currency | (157,264 | ) | (20,275 | ) | 3,094 | 246 | 1,840 | |||||||||||||
Undistributed (Overdistributed) Net Investment Income | (15,294 | ) | 6,050 | 333 | (23 | ) | (239 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 4,448,484 | $ | 267,818 | $ | 55,188 | $ | 2,730 | $ | 18,170 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||||||
I Class Share | $ | 3,814,827 | $ | 132,928 | $ | 50,883 | $ | 1,446 | $ | 9,532 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 633,657 | $ | 134,890 | $ | 4,305 | $ | 1,284 | $ | 8,638 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
CAPITAL SHARES OUTSTANDING: (4) | ||||||||||||||||||||
I Class Share | 473,622,100 | 14,700,067 | 4,695,780 | 130,308 | 1,087,606 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | 60,993,555 | 14,933,630 | 398,806 | 116,103 | 984,699 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSET VALUE PER SHARE: (5) | ||||||||||||||||||||
I Class Share | $ | 8.05 | $ | 9.04 | $ | 10.84 | $ | 11.10 | $ | 8.76 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 10.39 | $ | 9.03 | $ | 10.80 | $ | 11.06 | $ | 8.77 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(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, 2015 was $4,571,210, $283,060, $51,566, $2,455 and $16,108, 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, the TCW International Growth Fund and the TCW International Small Cap Fund at April 30, 2015 was $0, $519, $365, $83 and $536, 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.
47
Table of Contents
TCW Funds, Inc.
Six Months Ended April 30, 2015 |
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 | $ | — | $ | — | $ | 154 | (1) | $ | 17 | (1) | $ | 152 | (1) | |||||||
Interest | 156,540 | 8,161 | (2) | 734 | (2) | — | — | |||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
Total | 156,540 | 8,161 | 888 | 17 | 152 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: | ||||||||||||||||||||
Management Fees | 17,624 | 996 | 250 | 11 | 94 | |||||||||||||||
Accounting Services Fees | 235 | 5 | 2 | 1 | 2 | |||||||||||||||
Administration Fees | 143 | 4 | 1 | — | 1 | |||||||||||||||
Transfer Agent Fees: | ||||||||||||||||||||
I Class | 1,719 | 52 | 5 | 2 | 6 | |||||||||||||||
N Class | 342 | 12 | 2 | 2 | 5 | |||||||||||||||
Custodian Fees | 290 | 134 | 53 | 18 | 23 | |||||||||||||||
Professional Fees | 64 | 19 | 17 | 9 | 17 | |||||||||||||||
Directors’ Fees and Expenses | 13 | 13 | 14 | 12 | 13 | |||||||||||||||
Registration Fees: | ||||||||||||||||||||
I Class | 39 | 9 | 8 | 1 | 8 | |||||||||||||||
N Class | 29 | 8 | 6 | — | (3) | 7 | ||||||||||||||
Distribution Fees: | ||||||||||||||||||||
N Class | 847 | 130 | 4 | 2 | 11 | |||||||||||||||
Compliance Expense | 55 | 3 | 1 | — | (3) | — | (3) | |||||||||||||
Shareholder Reporting Expense | 10 | 3 | 2 | 1 | 2 | |||||||||||||||
Other | 365 | 14 | 14 | 11 | 18 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 21,775 | 1,402 | 379 | 70 | 207 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||||||
I Class | — | — | 42 | 29 | 5 | |||||||||||||||
N Class | — | 105 | 12 | 25 | 21 | |||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 21,775 | 1,297 | 325 | 16 | 181 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | 134,765 | 6,864 | 563 | 1 | (29 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net Realized (Loss) on: | ||||||||||||||||||||
Investments | (269,717 | ) (4) | (18,507 | ) (4) | (440 | ) (4) | 51 | (4) | (1,905 | ) (4) | ||||||||||
Foreign Currency | 67,393 | 5,096 | 249 | 13 | 342 | |||||||||||||||
Futures Contracts | (8,601 | ) | — | — | — | — | ||||||||||||||
Change in Unrealized (Depreciation) on: | ||||||||||||||||||||
Investments | (122,173 | ) (5) | (8,284 | ) (5) | 90 | (5) | 1 | (5) | 1,201 | (5) | ||||||||||
Foreign Currency | (16,745 | ) | (1,329 | ) | (50 | ) | 41 | 392 | ||||||||||||
Futures contracts | 1,364 | — | — | — | — | |||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments, Future Contracts and Foreign Currency Transactions | (348,479 | ) | (23,024 | ) | (151 | ) | 106 | 30 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (213,714 | ) | $ | (16,160 | ) | $ | 412 | $ | 107 | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $22, $3 and $16 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 $346 and $1 for the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund. |
(3) | Amount rounds to less than $1. |
(4) | Net of capital gain withholding taxes of $158, $82, $49, $24 and $455 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, respectively. |
(5) | Net of capital gain withholding tax of $292, $151, $43, $0 and $2 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, respectively. |
See accompanying notes to financial statements.
48
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | |||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 134,765 | $ | 283,261 | $ | 6,864 | $ | 14,670 | ||||||||
Net Realized Loss on Investments, Swap Agreements, Futures Contracts and Foreign Currency Transactions | (210,925 | ) | (155,204 | ) | (13,411 | ) | (30,488 | ) | ||||||||
Change in Unrealized Appreciation (Depreciation) on Investments, Swap Agreements, Futures Contracts and Foreign Currency Transactions | (137,554 | ) | 131,273 | (9,613 | ) | 3,007 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (213,714 | ) | 259,330 | (16,160 | ) | (12,811 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (104,099 | ) | (200,178 | ) | — | — | ||||||||||
N Class | (16,401 | ) | (53,495 | ) | — | — | ||||||||||
Distributions from Return of Capital: | ||||||||||||||||
I Class | — | — | (450 | ) | (2,220 | ) | ||||||||||
N Class | — | — | (335 | ) | (1,195 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (120,500 | ) | (253,673 | ) | (785 | ) | (3,415 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (500,860 | ) | 348,897 | (33,796 | ) | (46,169 | ) | |||||||||
N Class | (101,033 | ) | (649,328 | ) | 84,703 | (54,824 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (601,893 | ) | (300,431 | ) | 50,907 | (100,993 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (936,107 | ) | (294,774 | ) | 33,962 | (117,219 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 5,384,591 | 5,679,365 | 233,856 | 351,075 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 4,448,484 | $ | 5,384,591 | $ | 267,818 | $ | 233,856 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | (15,294 | ) | $ | (29,559 | ) | $ | 6,050 | $ | (814 | ) |
See accompanying notes to financial statements.
49
Table of Contents
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, 2015 (Unaudited) | Year Ended October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 563 | $ | 965 | $ | 1 | $ | 17 | ||||||||
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | (191 | ) | (274 | ) | 64 | 311 | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currency Transactions | 40 | 843 | 42 | (250 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 412 | 1,534 | 107 | 78 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (937 | ) | (296 | ) | (21 | ) | (10 | ) | ||||||||
N Class | (77 | ) | — | (1) | (17 | ) | (5 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (155 | ) | (4 | ) | ||||||||||
N Class | — | — | (140 | ) | (4 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (1,014 | ) | (296 | ) | (333 | ) | (23 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (2,013 | ) | 11,510 | 182 | 12 | |||||||||||
N Class | 4,062 | 59 | 157 | 8 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Net Capital Shares Transactions | 2,049 | 11,569 | 339 | 20 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets | 1,447 | 12,807 | 113 | 75 | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 53,741 | 40,934 | 2,617 | 2,542 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 55,188 | $ | 53,741 | $ | 2,730 | $ | 2,617 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | 333 | $ | 784 | $ | (23 | ) | $ | 14 |
(1) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
50
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW International Small Cap Fund | ||||||||
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | |||||||
OPERATIONS | ||||||||
Net Investment Income (Loss) | $ | (29 | ) | $ | 29 | |||
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | (1,563 | ) | 3,478 | |||||
Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currency Transactions | 1,593 | (3,996 | ) | |||||
|
|
|
| |||||
Increase (Decrease) in Net Assets Resulting from Operations | 1 | (489 | ) | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Distributions from Net Investment Income: | ||||||||
I Class | (119 | ) | (191 | ) | ||||
N Class | (50 | ) | (75 | ) | ||||
|
|
|
| |||||
Total Distributions to Shareholders | (169 | ) | (266 | ) | ||||
|
|
|
| |||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||
I Class | (10,064 | ) | (3,942 | ) | ||||
N Class | (821 | ) | (2,193 | ) | ||||
|
|
|
| |||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (10,885 | ) | (6,135 | ) | ||||
|
|
|
| |||||
Decrease in Net Assets | (11,053 | ) | (6,890 | ) | ||||
NET ASSETS | ||||||||
Beginning of Period | 29,223 | 36,113 | ||||||
|
|
|
| |||||
End of Period | $ | 18,170 | $ | 29,223 | ||||
|
|
|
| |||||
Undistributed Net Investment Loss | $ | (239 | ) | $ | (41 | ) |
See accompanying notes to financial statements.
51
Table of Contents
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 22 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 Fund | ||
TCW Emerging Markets Income Fund | Seeks high total return from current income and capital appreciation by investing at least 80% of the value of its net assets in debt securities issued or guaranteed by companies, financial institutions and government entities in emerging market countries. | |
Non-Diversified Fixed Income Fund | ||
TCW Emerging Markets Local Currency Income Fund | Seeks to provide high total return from current income and capital appreciation through investment in debt securities denominated in the local currencies of various emerging market countries and by investing at least 80% of the value of its net assets in debt securities issued or guaranteed by non-financial companies, financial institutions and government entities in emerging market countries denominated in the local currencies of the issuer and in derivative instruments that provide investment exposure to such securities. | |
Diversified International Equity Fund | ||
TCW International Small Cap Fund | Seeks long-term capital appreciation by investing at least 80% of its net assets in equity securities of small capitalization companies that are generally outside the United States or whose primary business operations are outside the United States. | |
Non-Diversified International Equity Fund | ||
TCW International Growth Fund | Seeks long-term capital appreciation by investing primarily in equity securities of companies across all market capitalizations that are domiciled outside the United States or whose primary business operations are outside the United States. | |
Non-Diversified Balanced Fund | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | Seeks current income and long term capital appreciation by investing at least 80% of the value of its 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).
52
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
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. Each Fund is considered an investment company under the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) No. 946, Financial Services — Investment Companies.
Net Asset Value: The Net Asset Value of each Class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that Class at the close of the New York Stock Exchange (the “NYSE”) (generally 4:00 p.m. Eastern Time or 1:00 p.m. Pacific Time, but the NYSE sometimes closes earlier) on each day that the NYSE is open for trading.
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 including short-term securities are valued with prices furnished by independent pricing services or by broker dealers. Repurchase agreements are priced at cost which approximates market value. Exchange traded derivatives are valued at the last sale price, or if no sales are reported, the mean price for purchased and written options, and the last ask price for 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.
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 valued at their fair value as determined in good faith 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 that go into fair value measurement 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
53
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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.
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:
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 prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
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. Certain foreign securities that may be 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.
54
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
Note 2 — Significant Accounting Policies (Continued)
Foreign currency contracts. The fair value of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. To the extent that these factors can be observed, foreign currency contracts 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.
Participation Notes. Participation Notes are fair valued based on underlying equity security valuations. Valuation of underlying equity securities is derived from the market exchange or quotations from dealers. Participation Notes are generally categorized in Level 2 of the fair value hierarchy.
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.
Rights. Rights are generally valued based on quoted prices from the applicable exchange. They are categorized in Level 1 of the fair value hierarchy.
Short-term investments. Short-term investments are valued using market price quotations, and are reflected in Level 2 of the fair value hierarchy. Repurchase agreements are valued at cost, which approximates fair value, and are categorized in Level 2.
Warrants. Warrants are generally valued based on quoted prices from the applicable exchange. They are categorized in Level 1 of the fair value hierarchy.
The following is a summary of the inputs used as of April 30, 2015 in valuing the TCW 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 | ||||||||||||||||
Agriculture | $ | — | $ | 7,742,500 | $ | — | $ | 7,742,500 | ||||||||
Airlines | — | 54,596,625 | — | 54,596,625 | ||||||||||||
Banks | — | 411,878,737 | — | 411,878,737 | ||||||||||||
Building Materials | — | 73,517,250 | — | 73,517,250 | ||||||||||||
Commercial Services | — | 27,052,800 | — | 27,052,800 | ||||||||||||
Diversified Financial Services | — | 136,215,299 | — | 136,215,299 | ||||||||||||
Electric | — | 114,689,447 | — | 114,689,447 | ||||||||||||
Food | — | 22,658,000 | — | 22,658,000 | ||||||||||||
Foreign Government Bonds | — | 2,598,206,692 | — | 2,598,206,692 | ||||||||||||
Government Regional/Local | — | 51,072,250 | — | 51,072,250 | ||||||||||||
Holding Companies — Diversified | — | 39,995,000 | — | 39,995,000 | ||||||||||||
Household Products/Wares | — | 11,497,736 | — | 11,497,736 | ||||||||||||
Internet | — | 42,597,353 | — | 42,597,353 | ||||||||||||
Mining | — | 111,002,687 | — | 111,002,687 |
55
Table of Contents
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 | ||||||||||||
Oil & Gas | $ | — | $ | 451,086,167 | $ | — | $ | 451,086,167 | ||||||||
Real Estate | — | 9,752,500 | — | 9,752,500 | ||||||||||||
Retail | — | 18,019,134 | — | 18,019,134 | ||||||||||||
Telecommunications | — | 126,653,096 | — | 126,653,096 | ||||||||||||
Transportation | — | 9,690,800 | — | 9,690,800 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 4,317,924,073 | — | 4,317,924,073 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Securities | ||||||||||||||||
Diversified Financial Services | — | * | — | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity Securities | — | * | — | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | 2,405,000 | 97,321,336 | — | 99,726,336 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,405,000 | 4,415,245,409 | — | 4,417,650,409 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 11,793,096 | — | 11,793,096 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,405,000 | $ | 4,427,038,505 | $ | — | $ | 4,429,443,505 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (13,085,347 | ) | $ | — | $ | (13,085,347 | ) | ||||||
Futures | ||||||||||||||||
Interest Rate Risk | (2,089,778 | ) | — | — | (2,089,778 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,089,778 | ) | $ | (13,085,347 | ) | $ | — | $ | (15,175,125 | ) | |||||
|
|
|
|
|
|
|
|
* | Amount rounds to less than $1. |
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 | ||||||||||||||||
Banks | $ | — | $ | 2,363,723 | $ | — | $ | 2,363,723 | ||||||||
Diversified Financial Services | — | 1,609,055 | — | 1,609,055 | ||||||||||||
Electric | — | 7,429,666 | — | 7,429,666 | ||||||||||||
Foreign Government Bonds | — | 246,823,441 | — | 246,823,441 | ||||||||||||
Oil & Gas | — | 2,518,820 | — | 2,518,820 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 260,744,705 | — | 260,744,705 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 2,477,774 | — | 2,477,774 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | — | 263,222,479 | — | 263,222,479 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 1,506,226 | — | 1,506,226 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 264,728,705 | $ | — | $ | 264,728,705 | ||||||||
|
|
|
|
|
|
|
|
56
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Local Currency 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 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (1,679,134 | ) | $ | — | $ | (1,679,134 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (1,679,134 | ) | $ | — | $ | (1,679,134 | ) | ||||||
|
|
|
|
|
|
|
|
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 | $ | — | $ | 201,000 | $ | — | $ | 201,000 | ||||||||
Banks | — | 3,057,068 | — | 3,057,068 | ||||||||||||
Building Materials | — | 214,760 | — | 214,760 | ||||||||||||
Commercial Services | — | 225,440 | — | 225,440 | ||||||||||||
Diversified Financial Services | — | 933,217 | — | 933,217 | ||||||||||||
Electric | — | 455,010 | — | 455,010 | ||||||||||||
Foreign Government Bonds | — | 13,915,819 | — | 13,915,819 | ||||||||||||
Gas | — | 210,000 | — | 210,000 | ||||||||||||
Government Regional/Local | — | 394,000 | — | 394,000 | ||||||||||||
Household Products/Wares | — | 113,940 | — | 113,940 | ||||||||||||
Internet | — | 400,916 | — | 400,916 | ||||||||||||
Mining | — | 392,197 | — | 392,197 | ||||||||||||
Oil & Gas | — | 2,281,311 | — | 2,281,311 | ||||||||||||
Retail | — | 155,070 | — | 155,070 | ||||||||||||
Telecommunications | — | 598,783 | — | 598,783 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 23,548,531 | — | 23,548,531 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Banks | 323,064 | — | — | 323,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 323,064 | — | — | 323,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks | ||||||||||||||||
Aerospace/Defense | — | 178,129 | — | 178,129 | ||||||||||||
Agriculture | 645,927 | — | — | 645,927 | ||||||||||||
Airlines | — | 191,076 | — | 191,076 | ||||||||||||
Apparel | — | 484,994 | — | 484,994 | ||||||||||||
Auto Manufacturers | 473,333 | 311,528 | — | 784,861 | ||||||||||||
Auto Parts & Equipment | — | 90,150 | — | 90,150 | ||||||||||||
Banks | 733,489 | 4,613,043 | — | 5,346,532 | ||||||||||||
Beverages | 697,378 | 235,047 | — | 932,425 | ||||||||||||
Building Materials | 148,773 | — | — | 148,773 | ||||||||||||
Chemicals | 169,098 | 146,888 | — | 315,986 | ||||||||||||
Commercial Services | 312,732 | — | — | 312,732 | ||||||||||||
Computers | — | 543,888 | — | 543,888 | ||||||||||||
Diversified Financial Services | — | 1,119,580 | — | 1,119,580 | ||||||||||||
Electrical Compo & Equip | — | 673,649 | — | 673,649 | ||||||||||||
Environmental Control | — | 954,808 | — | 954,808 |
57
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 | ||||||||||||
Food | $ | 524,752 | $ | 360,177 | $ | — | $ | 884,929 | ||||||||
Healthcare-Products | — | 562,909 | — | 562,909 | ||||||||||||
Holding Companies — Diversified | — | 190,343 | — | 190,343 | ||||||||||||
Home Furnishings | — | 293,100 | — | 293,100 | ||||||||||||
Insurance | — | 1,372,061 | — | 1,372,061 | ||||||||||||
Internet | 976,220 | 1,506,716 | — | 2,482,936 | ||||||||||||
Machinery-Diversified | — | 295,182 | — | 295,182 | ||||||||||||
Media | — | 640,009 | — | 640,009 | ||||||||||||
Miscellaneous Manufacturers | — | 397,317 | — | 397,317 | ||||||||||||
Oil & Gas | 975,474 | 355,277 | — | 1,330,751 | ||||||||||||
Pharmaceuticals | 135,239 | 633,271 | — | 768,510 | ||||||||||||
Semiconductors | 305,500 | 2,594,821 | — | 2,900,321 | ||||||||||||
Telecommunications | 1,110,856 | 2,673,529 | — | 3,784,385 | ||||||||||||
Water | — | 294,888 | — | 294,888 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 7,208,771 | 21,712,380 | — | 28,921,151 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Participation Notes | ||||||||||||||||
Food Service | — | 469,297 | — | 469,297 | ||||||||||||
Healthcare-Services | — | 367,116 | — | 367,116 | ||||||||||||
Insurance | — | 156,104 | — | 156,104 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Participation Notes | — | 992,517 | — | 992,517 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 928,200 | — | 928,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 7,531,835 | 47,181,628 | — | 54,713,463 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 61,403 | — | 61,403 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 7,531,835 | $ | 47,243,031 | $ | — | $ | 54,774,866 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (71,125 | ) | $ | — | $ | (71,125 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (71,125 | ) | $ | — | $ | (71,125 | ) | ||||||
|
|
|
|
|
|
|
|
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 | $ | 29,624 | $ | — | $ | — | $ | 29,624 | ||||||||
Automobiles | — | 63,300 | — | 63,300 | ||||||||||||
Banks | 42,137 | 216,746 | — | 258,883 | ||||||||||||
Beverages | — | 14,732 | — | 14,732 | ||||||||||||
Building Products | 26,233 | — | — | 26,233 | ||||||||||||
Capital Markets | — | 73,921 | — | 73,921 | ||||||||||||
Chemicals | 15,048 | 92,632 | — | 107,680 |
58
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
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 | ||||||||||||
Construction Materials | $ | 13,197 | $ | 51,560 | $ | — | $ | 64,757 | ||||||||
Diversified Financial Services | 65,420 | 80,944 | — | 146,364 | ||||||||||||
Diversified Telecommunication Services | 26,904 | 81,123 | — | 108,027 | ||||||||||||
Electrical Equipment | — | 58,453 | — | 58,453 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 63,392 | — | 63,392 | ||||||||||||
Food & Staples Retailing | 32,263 | — | — | 32,263 | ||||||||||||
Food Products | — | 56,803 | — | 56,803 | ||||||||||||
Gas Utilities | — | 28,185 | — | 28,185 | ||||||||||||
Health Care Equipment & Supplies | — | 25,306 | — | 25,306 | ||||||||||||
Health Care Providers & Services | — | 19,709 | — | 19,709 | ||||||||||||
Health Care Technology | — | 37,706 | — | 37,706 | ||||||||||||
Household Durables | — | 28,134 | — | 28,134 | ||||||||||||
Insurance | — | 106,588 | — | 106,588 | ||||||||||||
Internet & Catalog Retail | 29,365 | 34,862 | — | 64,227 | ||||||||||||
Internet Software & Services | 28,860 | 46,684 | — | 75,544 | ||||||||||||
IT Services | — | 112,226 | — | 112,226 | ||||||||||||
Machinery | — | 133,238 | — | 133,238 | ||||||||||||
Media | — | 165,637 | — | 165,637 | ||||||||||||
Metals & Mining | — | 28,536 | — | 28,536 | ||||||||||||
Multiline Retail | — | 28,243 | — | 28,243 | ||||||||||||
Oil, Gas & Consumable Fuels | 89,503 | — | — | 89,503 | ||||||||||||
Paper & Forest Products | — | 50,568 | — | 50,568 | ||||||||||||
Pharmaceuticals | 105,895 | 58,837 | — | 164,732 | ||||||||||||
Real Estate Management & Development | — | 28,772 | — | 28,772 | ||||||||||||
Semiconductors & Semiconductor Equipment | 27,178 | 26,311 | — | 53,489 | ||||||||||||
Software | — | 30,375 | — | 30,375 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 39,356 | — | 39,356 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 77,204 | — | 77,204 | ||||||||||||
Thrifts & Mortgage Finance | — | 27,826 | — | 27,826 | ||||||||||||
Tobacco | 21,723 | — | — | 21,723 | ||||||||||||
Transportation Infrastructure | 40,149 | — | — | 40,149 | ||||||||||||
Wireless Telecommunication Services | — | 28,150 | — | 28,150 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 593,499 | 2,016,059 | — | 2,609,558 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Banks | 30,704 | — | — | 30,704 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 30,704 | — | — | 30,704 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 624,203 | 2,016,059 | — | 2,640,262 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 62,202 | — | 62,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 624,203 | $ | 2,078,261 | $ | — | $ | 2,702,464 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (1,652 | ) | $ | — | $ | (1,652 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (1,652 | ) | $ | — | $ | (1,652 | ) | ||||||
|
|
|
|
|
|
|
|
59
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 | ||||||||||||||||
Aerospace & Defense | $ | — | $ | 101,434 | $ | — | $ | 101,434 | ||||||||
Auto Components | — | 383,660 | — | 383,660 | ||||||||||||
Banks | — | 452,501 | — | 452,501 | ||||||||||||
Beverages | — | 219,916 | — | 219,916 | ||||||||||||
Building Products | 162,424 | — | — | 162,424 | ||||||||||||
Capital Markets | — | 1,353,054 | — | 1,353,054 | ||||||||||||
Chemicals | 127,212 | 474,598 | — | 601,810 | ||||||||||||
Commercial Services & Supplies | — | 524,719 | — | 524,719 | ||||||||||||
Communications Equipment | 120,031 | — | — | 120,031 | ||||||||||||
Construction & Engineering | — | 124,795 | — | 124,795 | ||||||||||||
Construction Materials | 110,380 | — | — | 110,380 | ||||||||||||
Containers & Packaging | — | 296,693 | — | 296,693 | ||||||||||||
Diversified Consumer Services | — | 110,598 | — | 110,598 | ||||||||||||
Diversified Financial Services | 244,091 | 1,262,844 | — | 1,506,935 | ||||||||||||
Diversified Telecommunication Services | — | 117,771 | — | 117,771 | ||||||||||||
Electrical Equipment | — | 92,080 | — | 92,080 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 310,192 | — | 310,192 | ||||||||||||
Food Products | — | 107,111 | — | 107,111 | ||||||||||||
Health Care Equipment & Supplies | — | 408,604 | — | 408,604 | ||||||||||||
Health Care Providers & Services | — | 129,810 | — | 129,810 | ||||||||||||
Hotels, Restaurants & Leisure | 425,848 | 105,646 | — | 531,494 | ||||||||||||
Household Durables | — | 500,011 | — | 500,011 | ||||||||||||
Independent Power and Renewable Electricity Producers | 117,676 | — | — | 117,676 | ||||||||||||
Industrial Conglomerates | — | 117,821 | — | 117,821 | ||||||||||||
Insurance | — | 104,408 | — | 104,408 | ||||||||||||
Internet Software & Services | — | 566,615 | — | 566,615 | ||||||||||||
IT Services | — | 1,251,459 | — | 1,251,459 | ||||||||||||
Life Sciences Tools & Services | — | 322,467 | — | 322,467 | ||||||||||||
Machinery | 101,057 | 844,904 | — | 945,961 | ||||||||||||
Marine | — | 90,978 | — | 90,978 | ||||||||||||
Media | 96,108 | 704,302 | — | 800,410 | ||||||||||||
Multi-Utilities | — | 119,133 | — | 119,133 | ||||||||||||
Multiline Retail | — | 300,543 | — | 300,543 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 92,931 | — | 92,931 | ||||||||||||
Paper & Forest Products | — | 105,410 | — | 105,410 | ||||||||||||
Personal Products | — | 92,101 | — | 92,101 | ||||||||||||
Pharmaceuticals | 314,410 | 200,659 | — | 515,069 | ||||||||||||
Professional Services | 92,255 | 195,597 | — | 287,852 | ||||||||||||
REIT | — | 325,534 | — | 325,534 | ||||||||||||
Real Estate Management & Development | — | 1,239,442 | — | 1,239,442 | ||||||||||||
Road & Rail | — | 110,344 | — | 110,344 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 320,707 | — | 320,707 | ||||||||||||
Software | — | 188,656 | — | 188,656 | ||||||||||||
Specialty Retail | — | 329,360 | — | 329,360 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 123,133 | — | 123,133 | ||||||||||||
Thrifts & Mortgage Finance | — | 107,009 | — | 107,009 | ||||||||||||
Transportation Infrastructure | — | 178,305 | — | 178,305 | ||||||||||||
Wireless Telecommunication Services | — | 231,438 | — | 231,438 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 1,911,492 | 15,339,293 | — | 17,250,785 | ||||||||||||
|
|
|
|
|
|
|
|
60
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
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 | ||||||||||||
Rights | ||||||||||||||||
Real Estate Management & Development | $ | 536 | $ | — | $ | — | $ | 536 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | 536 | — | — | 536 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Oil, Gas & Consumable Fuels | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 139,835 | — | 139,835 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,912,028 | 15,479,128 | — | 17,391,156 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 565,027 | — | 565,027 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,912,028 | $ | 16,044,155 | $ | — | $ | 17,956,183 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (6,903 | ) | — | (6,903 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (6,903 | ) | $ | — | $ | (6,903 | ) | ||||||
|
|
|
|
|
|
|
|
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 | $ | — | $ | 1,443,358 | ||||
TCW International Growth Fund | — | 34,600 | ||||||
TCW International Small Cap Fund | — | 244,091 |
* | The Funds recognized 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, 2015, were due to utilization of exchange closing prices rather than “fair value” prices.
The Funds held no investments or other financial instruments at April 30, 2015 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.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) the market value of foreign 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.
61
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 period ended April 30, 2015, the Funds had the following derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Notional Amounts or Shares/Units):
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
TCW Emerging Markets Income Fund | ||||||||||||
Statements of Asset and Liabilities: | ||||||||||||
Asset Derivatives | ||||||||||||
Forward Currency Contracts | $ | 11,793 | $ | — | $ | 11,793 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | 11,793 | $ | — | $ | 11,793 | ||||||
|
|
|
|
|
| |||||||
Liability Derivatives | ||||||||||||
Forward Currency Contracts | $ | (13,085 | ) | $ | — | $ | (13,085 | ) | ||||
Futures Contracts (1) | — | (2,090 | ) | (2,090 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (13,085 | ) | $ | (2,090 | ) | $ | (15,175 | ) | |||
|
|
|
|
|
| |||||||
Statement of Operations: | ||||||||||||
Realized Gain (Loss) on | ||||||||||||
Forward Currency Contracts | $ | 67,399 | $ | — | $ | 67,399 | ||||||
Futures Contracts | — | (8,601 | ) | (8,601 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | 67,399 | $ | (8,601 | ) | $ | 58,798 | |||||
|
|
|
|
|
| |||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Forward Currency Contracts | $ | (16,817 | ) | $ | — | $ | (16,817 | ) | ||||
Futures Contracts | — | 1,364 | 1,364 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Unrealized Appreciation (Depreciation) | $ | (16,817 | ) | $ | 1,364 | $ | (15,453 | ) | ||||
|
|
|
|
|
| |||||||
Notional Amounts or Shares/Units (2) | ||||||||||||
Forward Currency Contracts | $ | 944,484,546 | $ | — | $ | 944,484,546 | ||||||
Futures Contracts | — | 2,949 | 2,949 | |||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||
Statements of Asset and Liabilities: | ||||||||||||
Asset Derivatives | ||||||||||||
Forward Currency Contracts | $ | 1,506 | $ | — | $ | 1,506 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | 1,506 | $ | — | $ | 1,506 | ||||||
|
|
|
|
|
| |||||||
Liability Derivatives | ||||||||||||
Forward Currency Contracts | $ | (1,679 | ) | $ | — | $ | (1,679 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | (1,679 | ) | $ | — | $ | (1,679 | ) | ||||
|
|
|
|
|
|
62
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
Note 2 — Significant Accounting Policies (Continued)
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
TCW Emerging Markets Local Currency Income Fund (Continued) | ||||||||||||
Statement of Operations: | ||||||||||||
Realized Gain on | ||||||||||||
Forward Currency Contracts | $ | 7,145 | $ | — | $ | 7,145 | ||||||
|
|
|
|
|
| |||||||
Total Realized Gain | $ | 7,145 | $ | — | $ | 7,145 | ||||||
|
|
|
|
|
| |||||||
Statement of Operations: | ||||||||||||
Change in Unrealized Depreciation on: | ||||||||||||
Forward Currency Contracts | $ | (1,309 | ) | $ | — | $ | (1,309 | ) | ||||
|
|
|
|
|
| |||||||
Total Change in Unrealized Appreciation | $ | (1,309 | ) | $ | — | $ | (1,309 | ) | ||||
|
|
|
|
|
| |||||||
Notional Amounts or Shares/Units (2) | ||||||||||||
Forward Currency Contracts | $ | 114,601,210 | $ | — | $ | 114,601,210 | ||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||
Statements of Asset and Liabilities: | ||||||||||||
Asset Derivatives | ||||||||||||
Forward Currency Contracts | $ | 61 | $ | — | $ | 61 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | 61 | $ | — | $ | 61 | ||||||
|
|
|
|
|
| |||||||
Liability Derivatives | ||||||||||||
Forward Currency Contracts | $ | (71 | ) | $ | — | $ | (71 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | (71 | ) | $ | — | $ | (71 | ) | ||||
|
|
|
|
|
| |||||||
Statement of Operations: | ||||||||||||
Realized Gain on | ||||||||||||
Forward Currency Contracts | $ | 257 | $ | — | $ | 257 | ||||||
|
|
|
|
|
| |||||||
Total Realized Gain | $ | 257 | $ | — | $ | 257 | ||||||
|
|
|
|
|
| |||||||
Change in Unrealized Depreciation on: | ||||||||||||
Forward Currency Contracts | $ | (50 | ) | $ | — | $ | (50 | ) | ||||
|
|
|
|
|
| |||||||
Total Change in Unrealized Depreciation | $ | (50 | ) | $ | — | $ | (50 | ) | ||||
|
|
|
|
|
| |||||||
Notional Amounts or Shares/Units (2) | ||||||||||||
Forward Currency Contracts | $ | 3,890,792 | $ | — | $ | 3,890,792 | ||||||
TCW International Growth Fund | ||||||||||||
Statements of Asset and Liabilities: | ||||||||||||
Asset Derivatives | ||||||||||||
Forward Currency Contracts | $ | 62 | $ | — | $ | 62 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | 62 | $ | — | $ | 62 | ||||||
|
|
|
|
|
| |||||||
Liability Derivatives | ||||||||||||
Forward Currency Contracts | $ | (2 | ) | $ | — | $ | (2 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | (2 | ) | $ | — | $ | (2 | ) | ||||
|
|
|
|
|
| |||||||
Statement of Operations: | ||||||||||||
Realized Gain on | ||||||||||||
Investments (2) | $ | — | $ | — | $ | — | ||||||
Forward Currency Contracts | 17 | — | 17 | |||||||||
|
|
|
|
|
| |||||||
Total Realized Gain | $ | 17 | $ | — | $ | 17 | ||||||
|
|
|
|
|
| |||||||
Change in Unrealized Appreciation on: | ||||||||||||
Investments (3) | $ | — | $ | — | $ | — | ||||||
Forward Currency Contracts | 40 | — | 40 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Unrealized Appreciation | $ | 40 | $ | — | $ | 40 | ||||||
|
|
|
|
|
|
63
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
TCW International Growth Fund (Continued) | ||||||||||||
Notional Amounts or Shares/Units (2) | ||||||||||||
Forward Currency Contracts | $ | 1,086,524 | $ | — | $ | 1,086,524 | ||||||
Purchased Options | — | — | — | |||||||||
TCW International Small Cap Fund | ||||||||||||
Statements of Asset and Liabilities: | ||||||||||||
Forward Currency Contracts | $ | 565 | $ | — | $ | 565 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | 565 | $ | — | $ | 565 | ||||||
|
|
|
|
|
| |||||||
Liability Derivatives | ||||||||||||
Forward Currency Contracts | $ | (7 | ) | $ | — | $ | (7 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | (7 | ) | $ | — | $ | (7 | ) | ||||
|
|
|
|
|
| |||||||
Statement of Operations: | ||||||||||||
Realized Gain on | ||||||||||||
Forward Currency Contracts | $ | 356 | $ | — | $ | 356 | ||||||
|
|
|
|
|
| |||||||
Total Realized Gain | $ | 356 | $ | — | $ | 356 | ||||||
|
|
|
|
|
| |||||||
Change in Unrealized Appreciation on: | ||||||||||||
Forward Currency Contracts | $ | 389 | $ | — | $ | 389 | ||||||
|
|
|
|
|
| |||||||
Total Change in Unrealized Appreciation | $ | 389 | $ | — | $ | 389 | ||||||
|
|
|
|
|
| |||||||
Notional Amounts or Shares/Units (2) | ||||||||||||
Forward Currency Contracts | $ | 12,485,417 | $ | — | $ | 12,485,417 |
(1) | Includes cumulative (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin on April 30, 2015 is reported within the Statement of Assets and Liabilities. |
(2) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended April 30, 2015. |
Counterparty Credit Risk: Derivative contracts may be exposed to counterparty risk. Losses can 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 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
64
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
Note 2 — Significant Accounting Policies (Continued)
Agreement”) or similar agreement with their 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, a Fund 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. 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 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 Statements of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to FASB ASU 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.
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of Master Repurchase Agreements (“MRA”). The MRA permits a 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 Funds upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds recognize 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 Funds’ Schedule of Investments.
65
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
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 ISDA Master Agreement or MRA and net of the related collateral received by the Funds as of April 30, 2015 (in thousands):
TCW Emerging Markets Income Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America (Derivatives) | $ | 6,854 | $ | (12,840 | ) | $ | (5,986 | ) | $ | — | $ | (5,986 | ) | |||||||
Citibank N.A. (Derivatives) | 4,939 | (245 | ) | 4,694 | — | 4,694 | ||||||||||||||
State Street Bank & Trust Company | 97,321 | — | 97,321 | (97,321 | ) (2) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 109,114 | $ | (13,085 | ) | $ | 96,029 | $ | (97,321 | ) | $ | (1,292 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Collateral with a value of $99,272 has been received in connection with a master repurchase agreement. Excess collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
TCW Emerging Markets Local Currency Income Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America (Derivatives) | $ | 994 | $ | (1,272 | ) | $ | (278 | ) | $ | (60 | ) | $ | (338 | ) | ||||||
Citibank N.A. (Derivatives) | 512 | (407 | ) | 105 | — | 105 | ||||||||||||||
State Street Bank & Trust Company | 1,299 | — | 1,299 | (1,299 | ) (2) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,805 | $ | (1,679 | ) | $ | 1,126 | $ | (1,359 | ) | $ | (233 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Collateral with a value of $1,326 has been received in connection with a master repurchase agreement. Excess collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
TCW Emerging Markets Multi-Asset Opportunities Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America (Derivatives) | $ | 36 | $ | (70 | ) | $ | (34 | ) | $ | — | $ | (34 | ) | |||||||
Citibank N.A. (Derivatives) | 25 | (1 | ) | 24 | — | 24 | ||||||||||||||
State Street Bank & Trust Company | 928 | — | 928 | (928 | ) (2) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 989 | $ | (71 | ) | $ | 918 | $ | (928 | ) | $ | (10 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Collateral with a value of $948 has been received in connection with a master repurchase agreement. Excess collateral received from the individual master repurchase agreement is not shown for financial reporting purposes. |
66
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
Note 2 — Significant Accounting Policies (Continued)
TCW International Growth Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America (Derivatives) | $ | 62 | $ | (2 | ) | $ | 60 | $ | — | $ | 60 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 62 | $ | (2 | ) | $ | 60 | $ | — | $ | 60 | |||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
TCW International Small Cap Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America (Derivatives) | $ | 565 | $ | (7 | ) | $ | 558 | $ | (560 | ) | $ | (2 | ) | |||||||
State Street Bank & Trust Company | 140 | — | 140 | (140 | ) (2) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 705 | $ | (7 | ) | $ | 698 | $ | (700 | ) | $ | (2 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Collateral with a value of $145 has been received in connection with a master repurchase agreement. Excess 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 each Fund as an unrealized gain or loss in the Statement of Assets and Liabilities. When the contract is closed or delivery is taken, a 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. Forward foreign currency contracts outstanding at April 30, 2015 are listed in each of the Fund’s 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 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 each 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
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Note 2 — Significant Accounting Policies (Continued)
subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a 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 interest rate duration and credit market exposure. Futures contracts outstanding at April 30, 2015 are listed in the Schedules of Investments.
Options: The Funds may purchase and sell put and call options on an index of securities to enhance investment performance and to protect against changes in market prices. The Funds may also enter into currency options to hedge against currency fluctuations.
A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If a Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund ultimately wants to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit a Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to
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April 30, 2015 |
Note 2 — Significant Accounting Policies (Continued)
perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. During the period ended April 30, 2015, the Funds did not purchase or write any options.
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 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 a 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.
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Note 2 — Significant Accounting Policies (Continued)
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, 2015, the Funds did not enter into such agreements.
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.
Participation Notes: The Funds may invest in participation notes of equity-linked instruments (collectively, participation notes), through which a counterparty provides exposure to common stock, in the form of an unsecured interest, in markets where direct investment by a Fund is not possible. Participation
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Note 2 — Significant Accounting Policies (Continued)
notes provide the economic benefit of common stock ownership to a Fund, while legal ownership and voting rights are retained by the counterparty. Although participation notes are usually structured with a defined maturity or termination date, early redemption may be possible. Risks associated with participation notes include the possible failure of counterparty to perform in accordance with the terms of the agreement, inability to transfer or liquidate the notes, potential delays or an inability to redeem before maturity under certain market conditions, and limited legal recourse against the issuer of the underlying common stock. The TCW Emerging Markets Multi-Asset Opportunities Fund held participation notes as of April 30, 2015, which are listed on 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 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, 2015.
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.
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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.
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.
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.
Foreign Currency Risk: The Funds may be exposed to the risk that the value of the Funds’ investments denominated in foreign currencies will decline in value because the foreign currency has declined in value relative to the U.S. dollar.
Foreign Investing Risk: The Funds may be exposed to the risk that the Funds share prices will fluctuate with market conditions, currency exchange rates and the economic and political climates in countries where the Funds invest.
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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TCW Funds, Inc.
April 30, 2015 |
Note 4 — Federal Income Taxes (Continued)
At April 30, 2015, 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 | $ | 80,884 | $ | (234,807 | ) | $ | (153,923 | ) | $ | 4,571,573 | ||||||
TCW Emerging Markets Local Currency Income Fund | 3,217 | (26,074 | ) | (22,857 | ) | 286,079 | ||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 4,554 | (1,527 | ) | 3,027 | 51,686 | |||||||||||
TCW International Growth Fund | 213 | (34 | ) | 179 | 2,461 | |||||||||||
TCW International Small Cap Fund | 1,622 | (382 | ) | 1,240 | 16,151 |
At October 31, 2014, 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 Income Fund | $ | 7,943 | $ | — | $ | 7,943 | ||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 825 | — | 825 | |||||||||
TCW International Growth Fund | 200 | 133 | 333 | |||||||||
TCW International Small Cap Fund | 168 | — | 168 |
For the year ended October 31, 2014, 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 | $ | 253,673 | $ | — | $ | — | $ | 253,673 | ||||||||
TCW Emerging Markets Local Currency Income Fund | — | — | 3,415 | 3,415 | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 296 | — | — | 296 | ||||||||||||
TCW International Growth Fund | 23 | — | — | 23 | ||||||||||||
TCW International Small Cap Fund | 266 | — | — | 266 |
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. These losses will retain their character as either short-term or long-term capital losses.
The following Funds had net realized losses that will be carried forward indefinitely for federal income tax purposes (amounts in thousands):
Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Emerging Markets Income Fund | $ | 196,332 | $ | 81,668 | $ | 278,000 | ||||||
TCW Emerging Markets Local Currency Income Fund | 15,255 | 3,718 | 18,973 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 191 | — | 191 | |||||||||
TCW International Small Cap Fund | 972 | 637 | 1,609 |
There were no capital losses carryforward by the Funds that were incurred prior to December 22, 2010.
The Funds did not have any unrecognized tax benefits at April 30, 2015, nor were there any increases or decreases in unrecognized tax benefits for the period ended April 30, 2015. The Funds are subject to
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Notes to Financial Statements (Unaudited) (Continued)
Note 4 — Federal Income Taxes (Continued)
examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
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:
Management Fee % | ||||
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.
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 | 1.17% | (1) | ||
N Class | 1.17% | (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, 2015. These limitations are voluntary and terminable in a six months notice. |
(2) | These limitations are based on an agreement between the Advisor and Company. |
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
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April 30, 2015 |
Note 6 — Distribution Plan (Continued)
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 period ended April 30, 2015, 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 | $ | 4,586,057 | $ | 4,980,636 | $ | — | $ | — | ||||||||
TCW Emerging Markets Local Currency Income Fund | 318,285 | 255,903 | — | — | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 43,199 | 39,749 | — | — | ||||||||||||
TCW International Growth Fund | 3,842 | 3,785 | — | — | ||||||||||||
TCW International Small Cap Fund | 35,574 | 45,221 | — | — |
Note 8 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Emerging Markets Income Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 104,247,232 | $ | 847,050 | 252,134,294 | $ | 2,166,670 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 11,268,042 | 91,742 | 17,423,555 | 148,759 | ||||||||||||
Shares Redeemed | (178,811,473 | ) | (1,439,652 | ) | (231,815,647 | ) | (1,966,532 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (63,296,199 | ) | $ | (500,860 | ) | 37,742,202 | $ | 348,897 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 12,009,181 | $ | 124,685 | 42,900,671 | $ | 470,506 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,752,022 | 18,400 | 4,911,888 | 54,027 | ||||||||||||
Shares Redeemed | (23,543,405 | ) | (244,118 | ) | (106,000,303 | ) | (1,173,861 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (9,782,202 | ) | $ | (101,033 | ) | (58,187,744 | ) | $ | (649,328 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Local Currency Income Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,982,721 | $ | 36,529 | 12,890,363 | $ | 127,596 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 45,913 | 424 | 219,510 | 2,119 | ||||||||||||
Shares Redeemed | (7,775,746 | ) | (70,749 | ) | (18,096,617 | ) | (175,884 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (3,747,112 | ) | $ | (33,796 | ) | (4,986,744 | ) | $ | (46,169 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 11,140,034 | $ | 101,934 | 5,636,002 | $ | 55,023 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 36,326 | 335 | 123,381 | 1,188 | ||||||||||||
Shares Redeemed | (1,924,249 | ) | (17,566 | ) | (11,271,492 | ) | (111,035 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 9,252,111 | $ | 84,703 | (5,512,109 | ) | $ | (54,824 | ) | ||||||||
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|
|
|
|
|
|
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Note 8 — Capital Share Transactions (Continued)
TCW Emerging Markets Multi-Asset Opportunities Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 173,546 | $ | 1,828 | 2,319,276 | $ | 24,870 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 77,170 | 793 | 22,231 | 238 | ||||||||||||
Shares Redeemed | (447,356 | ) | (4,634 | ) | (1,278,816 | ) | (13,598 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (196,640 | ) | $ | (2,013 | ) | 1,062,691 | $ | 11,510 | ||||||||
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|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 388,410 | $ | 4,041 | 11,784 | $ | 128 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 7,546 | 77 | 24 | — | (1) | |||||||||||
Shares Redeemed | (5,325 | ) | (56 | ) | (6,554 | ) | (69 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 390,631 | $ | 4,062 | 5,254 | $ | 59 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW International Growth Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,345 | $ | 25 | 1 | $ | — | (1) | |||||||||
Shares Issued upon Reinvestment of Dividends | 17,271 | 175 | 943 | 12 | ||||||||||||
Shares Redeemed | (1,605 | ) | (18 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 18,011 | $ | 182 | 944 | $ | 12 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 15,472 | 157 | 631 | 8 | ||||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 15,472 | $ | 157 | 631 | $ | 8 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW International Small Cap Fund | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 85,010 | $ | 712 | 423,275 | $ | 3,948 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 14,610 | 118 | 20,632 | 187 | ||||||||||||
Shares Redeemed | (1,281,567 | ) | (10,894) | (893,892 | ) | (8,077 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,181,947 | ) | $ | (10,064 | ) | (449,985 | ) | $ | (3,942) | |||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 53,064 | $ | 448 | 185,019 | $ | 1,742 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,103 | 49 | 7,891 | 71 | ||||||||||||
Shares Redeemed | (156,765 | ) | (1,318 | ) | (439,079 | ) | (4,006 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (97,598 | ) | $ | (821 | ) | (246,169 | ) | $ | (2,193 | ) | ||||||
|
|
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
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, 2015.
76
Table of Contents
TCW Funds, Inc.
April 30, 2015 |
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
In June 2014, FASB issued Accounting Standards Update No. 2014-11, Transfers & Servicing (Topic 860): “Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures” (“ASU 2014-11”) to improve the financial reporting of repurchase agreements and other similar transactions. ASU 2014-11 includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. ASU 2014-11 is effective for annual reporting periods beginning after December 15, 2014 and interim periods beginning after December 15, 2015. Management is currently evaluating the implications of these changes and their impact on the financial statements.
77
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.57 | $ | 8.53 | $ | 9.30 | $ | 8.43 | $ | 8.84 | $ | 7.60 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.23 | 0.47 | 0.55 | 0.64 | 0.65 | 0.60 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.54 | ) | (0.01 | ) | (0.59 | ) | 0.75 | (0.36 | ) | 1.19 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.31 | ) | 0.46 | (0.04 | ) | 1.39 | 0.29 | 1.79 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.21 | ) | (0.42 | ) | (0.44 | ) | (0.52 | ) | (0.59 | ) | (0.54 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.22 | ) | — | (0.11 | ) | (0.01 | ) | |||||||||||||||
Distributions from Return of Capital | — | — | (0.07 | ) | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.21 | ) | (0.42 | ) | (0.73 | ) | (0.52 | ) | (0.70 | ) | (0.55 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 8.05 | $ | 8.57 | $ | 8.53 | $ | 9.30 | $ | 8.43 | $ | 8.84 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (3.59 | )% (2) | 5.52 | % | (0.68 | )% | 16.99 | % | 3.35 | % | 24.44 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 3,814,827 | $ | 4,602,207 | $ | 4,260,067 | $ | 4,223,485 | $ | 1,861,675 | $ | 622,371 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.89 | %(3) | 0.85 | % | 0.83 | % | 0.84 | % | 0.87 | % | 0.92 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.78 | % (3) | 5.44 | % | 6.09 | % | 7.24 | % | 7.49 | % | 7.22 | % | ||||||||||||
Portfolio Turnover Rate | 100.52 | % (2) | 165.55 | % | 150.21 | % | 174.98 | % | 137.87 | % | 172.75 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
78
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.05 | $ | 11.01 | $ | 11.93 | $ | 10.81 | $ | 11.31 | $ | 9.72 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.28 | 0.57 | 0.68 | 0.81 | 0.80 | 0.74 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.68 | ) | (0.02 | ) | (0.76 | ) | 0.93 | (0.45 | ) | 1.52 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.40 | ) | 0.55 | (0.08 | ) | 1.74 | 0.35 | 2.26 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.26 | ) | (0.51 | ) | (0.53 | ) | (0.62 | ) | (0.74 | ) | (0.66 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | (0.22 | ) | — | (0.11 | ) | (0.01 | ) | |||||||||||||||
Distributions from Return of Capital | — | — | (0.09 | ) | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.26 | ) | (0.51 | ) | (0.84 | ) | (0.62 | ) | (0.85 | ) | (0.67 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 10.39 | $ | 11.05 | $ | 11.01 | $ | 11.93 | $ | 10.81 | $ | 11.31 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (3.64 | )% (2) | 5.11 | % | (0.86 | )% | 16.64 | % | 3.13 | % | 24.03 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 633,657 | $ | 782,384 | $ | 1,419,298 | $ | 1,286,033 | $ | 975,772 | $ | 498,489 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.17 | % (3) | 1.13 | % | 1.10 | % | 1.11 | % | 1.15 | % | 1.25 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.49 | % (3) | 5.21 | % | 5.83 | % | 7.23 | % | 7.18 | % | 6.88 | % | ||||||||||||
Portfolio Turnover Rate | 100.52 | % (2) | 165.55 | % | 150.21 | % | 174.98 | % | 137.87 | % | 172.75 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
79
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | December 15, 2010 (Commencement of Operations) through October 31, 2011 | ||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.69 | $ | 10.14 | $ | 10.52 | $ | 9.89 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.23 | 0.55 | 0.54 | 0.64 | 0.51 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.85 | ) | (0.88 | ) | (0.62 | ) | 0.23 | (0.08 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.62 | ) | (0.33 | ) | (0.08 | ) | 0.87 | 0.43 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | — | — | (0.06 | ) | (0.18 | ) | (0.54 | ) | ||||||||||||
Distributions from Return of Capital | (0.03 | ) | (0.12 | ) | (0.24 | ) | (0.06 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.03 | ) | (0.12 | ) | (0.30 | ) | (0.24 | ) | (0.54 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 9.04 | $ | 9.69 | $ | 10.14 | $ | 10.52 | $ | 9.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (6.46 | )% (3) | (3.29 | )% | (0.89 | )% | 9.02 | % | 4.25 | % (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 132,928 | $ | 178,828 | $ | 237,695 | $ | 122,196 | $ | 99,529 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.97 | % (4) | 0.95 | % | 0.90 | % | 0.96 | % | 1.05 | % (4) | ||||||||||
After Expense Reimbursement | N/A | N/A | N/A | N/A | 0.99 | % (4) | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.15 | % (4) | 5.61 | % | 5.19 | % | 6.39 | % | 5.64 | % (4) | ||||||||||
Portfolio Turnover Rate | 101.35 | % (3) | 223.55 | % | 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, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
80
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | December 15, 2010 (Commencement of Operations) through October 31, 2011 | ||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.69 | $ | 10.13 | $ | 10.52 | $ | 9.89 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.23 | 0.58 | 0.54 | 0.62 | 0.51 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.86 | ) | (0.91 | ) | (0.64 | ) | 0.25 | (0.08 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.63 | ) | (0.33 | ) | (0.10 | ) | 0.87 | 0.43 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | — | — | (0.05 | ) | (0.18 | ) | (0.54 | ) | ||||||||||||
Distributions from Return of Capital | (0.03 | ) | (0.11 | ) | (0.24 | ) | (0.06 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.03 | ) | (0.11 | ) | (0.29 | ) | (0.24 | ) | (0.54 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 9.03 | $ | 9.69 | $ | 10.13 | $ | 10.52 | $ | 9.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (6.46 | )% (3) | (3.37 | )% | (0.91 | )% | 8.92 | % | 4.25 | % (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 134,890 | $ | 55,028 | $ | 113,380 | $ | 89,410 | $ | 68,560 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.19 | % (4) | 1.24 | % | 1.15 | % | 1.25 | % | 1.48 | % (4) | ||||||||||
After Expense Reimbursement | 0.99 | % (4) | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % (4) | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.20 | % (4) | 5.87 | % | 5.15 | % | 6.20 | % | 5.68 | % (4) | ||||||||||
Portfolio Turnover Rate | 101.35 | % (3) | 223.55 | % | 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, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
81
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | July 1, 2013 (Commencement of Operations) through October 31, 2013 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.97 | $ | 10.68 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.11 | 0.22 | 0.07 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.04 | ) | 0.14 | 0.61 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.07 | 0.36 | 0.68 | |||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.20 | ) | (0.07 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 10.84 | $ | 10.97 | $ | 10.68 | ||||||
|
|
|
|
|
| |||||||
Total Return | 0.71 | % (2) | 3.43 | % | 6.80 | % (3) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Period (in thousands) | $ | 50,883 | $ | 53,652 | $ | 40,903 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 1.40 | % (4) | 1.43 | % | 1.72 | % (4) | ||||||
After Expense Reimbursement | 1.23 | % (4) | 1.21 | % | 1.26 | % (4) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.14 | % (4) | 2.04 | % | 2.06 | % (4) | ||||||
Portfolio Turnover Rate | 79.03 | % (2) | 151.61 | % | 52.53 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 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.
82
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | July 1, 2013 (Commencement of Operations) through October 31, 2013 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.92 | $ | 10.62 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.11 | 0.22 | 0.06 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.03 | ) | 0.15 | 0.56 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.08 | 0.37 | 0.62 | |||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.20 | ) | (0.07 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 10.80 | $ | 10.92 | $ | 10.62 | ||||||
|
|
|
|
|
| |||||||
Total Return | 0.80 | % (2) | 3.54 | % | 6.20 | % (3) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Period (in thousands) | $ | 4,305 | $ | 89 | $ | 31 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 2.08 | % (4) | 48.38 | % | 480.73 | % (4) | ||||||
After Expense Reimbursement | 1.23 | % (4) | 1.21 | % | 1.26 | % (4) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.13 | % (4) | 2.01 | % | 1.72 | % (4) | ||||||
Portfolio Turnover Rate | 79.03 | % (2) | 151.61 | % | 52.53 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 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.
83
Table of Contents
TCW International Growth Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | November 1, 2012 (Commencement of Operations) through October 31, 2013 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 12.31 | $ | 12.04 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.02 | 0.10 | 0.05 | |||||||||
Net Realized and Unrealized Gain on Investments | 0.35 | 0.30 | 1.99 | |||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.37 | 0.40 | 2.04 | |||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.19 | ) | (0.09 | ) | — | |||||||
Distributions from Net Realized Gain | (1.39 | ) | (0.04 | ) | — | |||||||
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Total Distributions | (1.58 | ) | (0.13 | ) | — | |||||||
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Net Asset Value per Share, End of Period | $ | 11.10 | $ | 12.31 | $ | 12.04 | ||||||
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Total Return | 4.17 | % (2) | 3.27 | % | 20.40 | % | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,446 | $ | 1,383 | $ | 1,341 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 5.27 | % (3) | 4.95 | % | 7.74 | % | ||||||
After Expense Reimbursement | 1.04 | % (3) | 1.04 | % | 1.04 | % | ||||||
Ratio of Net Investment Income to Average Net Assets | 0.31 | % (3) | 0.82 | % | 0.46 | % | ||||||
Portfolio Turnover Rate | 149.80 | % (2) | 318.07 | % | 309.74 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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TCW International Growth Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | November 1, 2012 (Commencement of Operations) through October 31, 2013 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 12.27 | $ | 12.01 | $ | 10.00 | ||||||
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Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.00 | (2) | 0.06 | 0.02 | ||||||||
Net Realized and Unrealized Gain on Investments | 0.35 | 0.30 | 1.99 | |||||||||
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Total from Investment Operations | 0.35 | 0.36 | 2.01 | |||||||||
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Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.17 | ) | (0.06 | ) | — | |||||||
Distributions from Net Realized Gain | (1.39 | ) | (0.04 | ) | — | |||||||
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Total Distributions | (1.56 | ) | (0.10 | ) | — | |||||||
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Net Asset Value per Share, End of Period | $ | 11.06 | $ | 12.27 | $ | 12.01 | ||||||
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Total Return | 4.00 | % (3) | 2.92 | % | 20.10 | % | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,284 | $ | 1,234 | $ | 1,201 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 5.49 | % (4) | 5.23 | % | 7.99 | % | ||||||
After Expense Reimbursement | 1.34 | % (4) | 1.34 | % | 1.34 | % | ||||||
Ratio of Net Investment Income to Average Net Assets | 0.01 | % (4) | 0.52 | % | 0.15 | % | ||||||
Portfolio Turnover Rate | 149.80 | % (3) | 318.07 | % | 309.74 | % |
(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, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
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TCW International Small Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | February 28, 2011 (Commencement of Operations) through October 31, 2011 | ||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.72 | $ | 8.92 | $ | 7.83 | $ | 7.68 | $ | 10.00 | ||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.01 | ) | 0.01 | (0.01 | ) | 0.09 | (0.04 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.10 | (0.13 | ) | 1.55 | 0.13 | (2.28 | ) | |||||||||||||
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Total from Investment Operations | 0.09 | (0.12 | ) | 1.54 | 0.22 | (2.32 | ) | |||||||||||||
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Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.05 | ) | (0.08 | ) | (0.45 | ) | (0.07 | ) | — | |||||||||||
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Net Asset Value per Share, End of Period | $ | 8.76 | $ | 8.72 | $ | 8.92 | $ | 7.83 | $ | 7.68 | ||||||||||
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Total Return | 1.12 | % (3) | (1.39 | )% | 20.77 | % | 2.92 | % | (23.20 | )% (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 9,532 | $ | 19,786 | $ | 24,266 | $ | 18,354 | $ | 12,988 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.50 | % (4) | 1.37 | % | 1.36 | % | 1.32 | % | 1.60 | % (4) | ||||||||||
After Expense Reimbursement | 1.44 | % (4) | N/A | N/A | N/A | 1.44 | % (4) | |||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.28 | )% (4) | 0.12 | % | (0.17 | )% | 1.16 | % | (0.69 | )% (4) | ||||||||||
Portfolio Turnover Rate | 147.47 | % (3) | 259.88 | % | 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, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
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TCW International Small Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, | February 28, 2011 (Commencement of Operations) through October 31, 2011 | ||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.72 | $ | 8.92 | $ | 7.82 | $ | 7.68 | $ | 10.00 | ||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.00 | ) (2) | 0.00 | (2) | (0.02 | ) | 0.08 | (0.04 | ) | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.10 | (0.13 | ) | 1.56 | 0.12 | (2.28 | ) | |||||||||||||
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Total from Investment Operations | 0.10 | (0.13 | ) | 1.54 | 0.20 | (2.32 | ) | |||||||||||||
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Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.05 | ) | (0.07 | ) | (0.44 | ) | (0.06 | ) | — | |||||||||||
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Net Asset Value per Share, End of Period | $ | 8.77 | $ | 8.72 | $ | 8.92 | $ | 7.82 | $ | 7.68 | ||||||||||
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Total Return | 1.16 | % (4) | (1.52 | )% | 20.77 | % | 2.75 | % | (23.20 | )% (3) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 8,638 | $ | 9,437 | $ | 11,847 | $ | 11,715 | $ | 11,192 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.93 | % (5) | 1.75 | % | 1.67 | % | 1.64 | % | 1.94 | % (5) | ||||||||||
After Expense Reimbursement | 1.44 | % (5) | 1.44 | % | 1.44 | % | 1.44 | % | 1.44 | % (5) | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.11 | )% (5) | 0.04 | % | (0.23 | )% | 1.00 | % | (0.65 | )% (5) | ||||||||||
Portfolio Turnover Rate | 147.47 | % (4) | 259.88 | % | 301.86 | % | 139.84 | % | 86.04 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the period February 28, 2011 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(4) | For the six months ended April 30, 2015 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying notes to financial statements.
87
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, 2014 to April 30, 2015 (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, 2014 | Ending Account Value April 30, 2015 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2014 to April 30, 2015) | ||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 964.10 | 0.89 | % | $ | 4.33 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.38 | 0.89 | % | 4.46 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 963.60 | 1.17 | % | $ | 5.70 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.99 | 1.17 | % | 5.86 | |||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 935.40 | 0.97 | % | $ | 4.65 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.98 | 0.97 | % | 4.86 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 935.40 | 0.99 | % | $ | 4.75 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.89 | 0.99 | % | 4.96 |
88
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TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value November 1, 2014 | Ending Account Value April 30, 2015 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2014 to April 30, 2015) | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,007.10 | 1.23 | % | $ | 6.12 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.70 | 1.23 | % | 6.16 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,008.00 | 1.23 | % | $ | 6.12 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.70 | 1.23 | % | 6.16 | |||||||||||
TCW International Growth Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.70 | 1.04 | % | $ | 5.26 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.64 | 1.04 | % | 5.21 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,040.00 | 1.34 | % | $ | 6.78 | ||||||||
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 | $ | 1,011.20 | 1.44 | % | $ | 7.18 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.65 | 1.44 | % | 7.20 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.60 | 1.44 | % | $ | 7.18 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.65 | 1.44 | % | 7.20 |
89
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). |
90
Table of Contents
TCWFunds TCW Family of Funds 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 555 West 5th Street Los Angeles, California 90013 Custodian & Administrator State Street Bank & Trust Company One Lincoln Street Boston, Massachusetts 02111 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 and Secretary Richard M. Villa Treasurer and Chief Financial Officer Jeffrey A. Engelsman Chief Compliance Officer Peter A. Brown Senior Vice President Patrick W. Dennis Assistant Secretary George N. Winn Assistant Treasurer TCW FAMILY OF FUNDS Equity Funds TCW Concentrated Value Fund TCW Global Real Estate Fund TCW Growth Equities Fund TCW High Dividend Equities Fund TCW Relative Value Dividend Appreciation Fund TCW Relative Value Large Cap Fund TCW Relative Value Mid Cap Fund TCW Select Equities Fund TCW Small Cap Growth Fund TCW SMID Cap Growth 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 FUNDsarINT0415
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-3(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 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. |
2
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.
3
Table of Contents
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 26, 2015 |
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 26, 2015 | |
By (Signature and Title) | /s/ Richard M. Villa | |
Richard M. Villa | ||
Chief Financial Officer | ||
Date | June 26, 2015 |
4