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: 811-07170
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, 2017
Item 1. | Report to Shareholders. |
2
APRIL 30
SEMI-ANNUAL
R E P O R T
EQUITY FUNDS
TCW Focused Equities Fund
TCW Global Real Estate Fund
TCW High Dividend Equities Fund
TCW New America Premier Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
ASSET ALLOCATION FUND
TCW Conservative Allocation Fund
TCW Funds, Inc.
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 89 |
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David S. DeVito President, Chief Executive Officer and 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, 2017. I would like to express our appreciation for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of April 30, 2017, the TCW Funds held total net assets of approximately $17 billion.
This report contains information outlining the performance and a list of portfolio holdings as of April 30, 2017 for the TCW Funds’ Equity Funds and the TCW Conservative Allocation Fund.
The U.S. Stock Market
U.S. stocks rose 13.3% (S&P 500 Index-Total Return) during the period under review, with the Dow Jones Industrial Average’s 8% gain in the five weeks following Donald Trump’s election victory representing the biggest surge following any presidential election in U.S. history. The rally in equity prices was driven, in part, by expectations that the Trump administration’s policy agenda of tax reform, infrastructure investment and deregulation would stoke economic growth. Yet, a lack of progress on the legislative front dampened those expectations and, coupled with the naming of a special counsel to investigate claims of Russian meddling in the election, caused the “reflationary” trade to lose steam. At the same time, most macroeconomic data releases in April pointed to softness in the U.S. economy. As a result, the yield on the 10-year U.S. Treasury note, which had risen to 2.60% in mid-December, finished the period at 2.28% despite the U.S. Fed raising its Fed Funds target interest rate 25 bps at both its December and March meetings. Yet, the broader equity market remained quite resilient, with the S&P 500 index making a record high at the beginning of March. First-quarter corporate earnings results provided perhaps the most important support for equity prices, as revenue and earnings grew year-over-year about 7% and 11%, respectively (per RBC’s estimates). While these
figures were admittedly boosted by the recovery in energy companies’ earnings following the rebound in crude oil prices, corporate earnings results were broadly better than expectations and augured well for full calendar year 2017.
Looking Ahead
Looking forward, investors will be keenly focused both on the strength of corporate earnings and prospects for the single Trump administration agenda item that is potentially most consequential for stock prices — namely, tax reform. Even partial implementation of the blueprint for corporate and individual tax reform released by U.S. Treasury Secretary Mnuchin could provide a considerable boost to the pace of corporate earnings growth. We are mindful, of course, that the Fed continues to transition away from its extraordinary monetary accommodation of the past eight years via a series of interest rate hikes, while the path forward for implementation of a pro-growth, fiscal-stimulus agenda remains to be determined. That said, stocks ended the period trading at an elevated valuation level of approximately 18 times forward earnings, which represents a near 13 year high. So, while we are optimistic about the medium-to-long term prospects for equity prices, we believe that caution remains warranted in the near-term given the anemic growth of the economy, the likelihood of further Fed interest rate hikes, the uncertain fate of the Trump administration’s reform agenda in congress, and the fact that stock market volatility remains near record lows (as measured by the CBOE VIX index).
Fund Performance
With just one exception, our U.S. Equity Funds posted double-digit gains during the period under review, and half of them exceeded their respective benchmarks. In general, those Funds exhibiting the greatest sensitivity to the overall economy fared best in the wake of the post-election stock market rally, while those Funds possessing more defensive, income-oriented exposure lagged the broader
1
Letter to Shareholders (Continued) |
market. We continue to believe that our emphasis on rigorous bottom-up stock research will serve our Funds participants well over the longer term even if political and macroeconomic developments in the near term may overshadow the compelling investment fundamentals of the stocks assembled in our U.S. Equity Funds’ portfolios.
An Update on the TCW Funds Equity Funds
There were a few changes to our equity funds over the last six months that we would like to share with our investors:
• | The TCW Small Cap Growth Fund (TGSCX/TGSNX) and TCW Growth Equities Fund (TGGEX/TGDNX) were liquidated effective March 15, 2017. |
• | The TCW SMID Cap Growth Fund (TGSDX/TGMDX) was liquidated effective October 27, 2016. |
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 further correspondence with you through our annual report later this year.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
2
TCW Funds, Inc.
Performance Summary (Unaudited)
NAV | Six Months Return as of April 30, 2017 | Total Return | ||||||||||||||||||||||||||
Annualized as of April 30, 2017 (1) | ||||||||||||||||||||||||||||
1-Year | 5-Year | 10-Year | Since Inception | Inception Date | ||||||||||||||||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||||||||||||||
I Class | $ | 11.72 | 3.31 | % | 5.04 | % | 5.29 | % | 4.96 | % | 5.11 | % | 11/16/06 | |||||||||||||||
N Class | $ | 11.72 | 2.97 | % | 4.52 | % | 4.77 | % | 4.69 | % | 4.86 | % | 11/16/06 | |||||||||||||||
TCW Focused Equities Fund | ||||||||||||||||||||||||||||
I Class | $ | 20.43 | 10.82 | % | 12.02 | % | 11.78 | % | 3.59 | % | 5.69 | % | 10/29/04 | |||||||||||||||
N Class | $ | 20.21 | �� | 10.82 | % | 11.98 | % | 11.82 | % | 3.40 | % | 5.56 | % (2) | 07/20/98 | (3) | |||||||||||||
TCW Global Real Estate Fund | ||||||||||||||||||||||||||||
I Class | $ | 9.71 | 4.99 | % | 4.61 | % | N/A | N/A | 1.90 | % | 11/28/14 | |||||||||||||||||
N Class | $ | 9.71 | 4.99 | % | 4.61 | % | N/A | N/A | 1.91 | % | 11/28/14 | |||||||||||||||||
TCW High Dividend Equities Fund | ||||||||||||||||||||||||||||
I Class | $ | 9.70 | 10.12 | % | 12.25 | % | N/A | N/A | 1.26 | % | 11/28/14 | |||||||||||||||||
N Class | $ | 9.70 | 10.12 | % | 12.25 | % | N/A | N/A | 1.26 | % | 11/28/14 | |||||||||||||||||
TCW New America Premier Equities Fund | ||||||||||||||||||||||||||||
I Class | $ | 12.89 | 17.07 | % | 25.45 | % | N/A | N/A | 24.62 | % | 01/29/16 | |||||||||||||||||
N Class | $ | 12.89 | 17.07 | % | 25.45 | % | N/A | N/A | 24.62 | % | 01/29/16 | |||||||||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||||||||||||||
I Class | $ | 18.57 | 10.63 | % | 16.34 | % | 12.18 | % | 5.43 | % | 7.38 | % | 10/29/04 | |||||||||||||||
N Class | $ | 18.90 | 10.48 | % | 16.07 | % | 11.86 | % | 5.13 | % | 9.25 | % (4) | 09/19/86 | (3) | ||||||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||||||||||||||
I Class | $ | 22.81 | 14.10 | % | 19.35 | % | 12.73 | % | 5.28 | % | 7.79 | % | 12/31/03 | |||||||||||||||
N Class | $ | 22.75 | 13.95 | % | 19.10 | % | 12.46 | % | 5.06 | % | 6.49 | % (4) | 12/31/97 | (3) | ||||||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||||||||||||||
I Class | $ | 23.59 | 18.49 | % | 26.92 | % | 11.86 | % | 5.67 | % | 10.62 | % (5) | 11/01/96 | (3) | ||||||||||||||
N Class | $ | 22.99 | 18.36 | % | 26.67 | % | 11.59 | % | 5.37 | % | 8.05 | % | 10/31/00 | |||||||||||||||
TCW Select Equities Fund | ||||||||||||||||||||||||||||
I Class | $ | 27.57 | 12.81 | % | 16.24 | % | 11.04 | % | 8.40 | % | 9.82 | % (5) | 07/01/91 | (3) | ||||||||||||||
N Class | $ | 25.62 | 12.72 | % | 15.96 | % | 10.75 | % | 8.11 | % | 5.64 | % | 02/26/99 |
(1) | Past performance is not indicative of future performance. |
(2) | Performance data includes the performance of the predecessor separately managed account for periods before the Fund’s registration became effective. The predecessor separately managed account was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If the separately managed account had been registered under the 1940 Act, the separately managed account’s performance may have been lower. |
(3) | Inception date of the predecessor entity. |
(4) | Performance data includes the performance of the predecessor SG Cowen Fund. The predecessor SG Cowen Fund was an investment company registered under the 1940 Act. |
(5) | Performance data includes the performance of the predecessor limited partnership for periods before the Fund’s registration became effective. The predecessor limited partnership was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the limited partnership had been registered under the 1940 Act, the limited partnership’s performance may have been lower. |
3
TCW Conservative Allocation Fund
Schedule of Investments (Unaudited)
Number of Shares | Exchange Trade Fund | Value | ||||||
Exchange-Traded Fund (Cost: $608,630) (2.0% of Net Assets) | ||||||||
5,075 | SPDR Gold Shares (1) | $ | 612,908 | |||||
|
| |||||||
Investment Companies | ||||||||
Diversified Equity Funds (36.4%) | ||||||||
227,702 | TCW / Gargoyle Dynamic 500 Fund — I Class (2) | 2,509,273 | ||||||
92,812 | TCW / Gargoyle Hedged Value Fund — I Class (2) | 855,726 | ||||||
130,265 | TCW High Dividend Equities Fund — I Class (2) | 1,263,575 | ||||||
75,316 | TCW International Growth Fund — I Class (2) | 809,646 | ||||||
134,599 | TCW New America Premier Equities Fund — I Class (2) | 1,734,976 | ||||||
90,975 | TCW Relative Value Large Cap Fund — I Class (2) | 2,075,145 | ||||||
68,737 | TCW Select Equities Fund — I Class (2) | 1,895,089 | ||||||
|
| |||||||
Total Diversified Equity Funds | 11,143,430 | |||||||
|
| |||||||
Diversified Fixed Income Funds (57.6%) | ||||||||
345,001 | Metropolitan West Low Duration Bond Fund — I Class (2) | 3,011,858 | ||||||
386,783 | Metropolitan West Total Return Bond Fund — I Class (2) | 4,111,500 | ||||||
503,884 | Metropolitan West Unconstrained Bond Fund — I Class (2) | 5,996,215 | ||||||
74,430 | TCW Global Bond Fund — I Class (2) | 713,782 | ||||||
383,636 | TCW Total Return Bond Fund — I Class (2) | 3,817,181 | ||||||
|
| |||||||
Total Diversified Fixed Income Funds | 17,650,536 | |||||||
|
| |||||||
Total Investment Companies (Cost: $26,467,854) (94.0%) | 28,793,966 | |||||||
|
| |||||||
Money Market Investments | ||||||||
856,992 | Fidelity Institutional Government Portfolio — Select Class, 0.94% (3) | 856,992 | ||||||
457,937 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (3) | 457,937 | ||||||
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| |||||||
Total Money Market Investments (Cost: $1,314,929) (4.3%) | 1,314,929 | |||||||
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| |||||||
Total Investments (Cost: $28,391,413) (100.3%) | 30,721,803 | |||||||
Liabilities in Excess of Other Assets (-0.3%) | (96,566 | ) | ||||||
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| |||||||
Net Assets (100.0%) | $ | 30,625,237 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Affiliated issuer. |
(3) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
See accompanying notes to financial statements.
4
TCW Conservative Allocation Fund
Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Exchange-Traded Fund | 2.0 | % | ||
Diversified Equity Funds | 36.4 | |||
Diversified Fixed Income Funds | 57.6 | |||
Money Market Investments | 4.3 | |||
|
| |||
Total | 100.3 | % | ||
|
|
See accompanying notes to financial statements.
5
TCW Conservative Allocation Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Exchange-Traded Fund | $ | 612,908 | $ | — | $ | — | $ | 612,908 | ||||||||
Investment Companies | 28,793,966 | — | — | 28,793,966 | ||||||||||||
Money Market Investments | 1,314,929 | — | — | 1,314,929 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 30,721,803 | $ | — | $ | — | $ | 30,721,803 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
6
Schedule of Investments (Unaudited) | April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (2.3% of Net Assets) | ||||||||
1,685 | Honeywell International, Inc. | $ | 220,971 | |||||
|
| |||||||
Banks (13.7%) | ||||||||
2,885 | JPMorgan Chase & Co. | 250,995 | ||||||
2,035 | M&T Bank Corp. | 316,260 | ||||||
4,990 | US Bancorp | 255,887 | ||||||
8,680 | Wells Fargo & Co. | 467,331 | ||||||
|
| |||||||
Total Banks | 1,290,473 | |||||||
|
| |||||||
Beverages (3.0%) | ||||||||
2,500 | Anheuser-Busch InBev NV (Belgium) (SP ADR) | 283,100 | ||||||
|
| |||||||
Biotechnology (6.1%) | ||||||||
1,565 | Amgen, Inc. | 255,596 | ||||||
2,545 | Celgene Corp. (1) | 315,707 | ||||||
|
| |||||||
Total Biotechnology | 571,303 | |||||||
|
| |||||||
Capital Markets (2.7%) | ||||||||
1,160 | Goldman Sachs Group, Inc. (The) | 259,608 | ||||||
|
| |||||||
Chemicals (8.3%) | ||||||||
2,120 | Air Products & Chemicals, Inc. | 297,860 | ||||||
2,345 | Ecolab, Inc. | 302,716 | ||||||
11,000 | Potash Corp. of Saskatchewan, Inc. (Canada) | 185,680 | ||||||
|
| |||||||
Total Chemicals | 786,256 | |||||||
|
| |||||||
Containers & Packaging (2.8%) | ||||||||
6,025 | Sealed Air Corp. | 265,220 | ||||||
|
| |||||||
Energy Equipment & Services (1.2%) | ||||||||
1,535 | Schlumberger, Ltd. (Netherlands) | 111,426 | ||||||
|
| |||||||
Food & Staples Retailing (2.3%) | ||||||||
2,685 | CVS Health Corp. | 221,351 | ||||||
|
| |||||||
Food Products (3.3%) | ||||||||
1,130 | Mead Johnson Nutrition Co. | 100,254 | ||||||
4,765 | Mondelez International, Inc. | 214,568 | ||||||
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| |||||||
Total Food Products | 314,822 | |||||||
|
| |||||||
Health Care Providers & Services (2.4%) | ||||||||
1,610 | McKesson Corp. | 222,647 | ||||||
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| |||||||
Hotels, Restaurants & Leisure (5.2%) | ||||||||
5,005 | Las Vegas Sands Corp. | 295,245 | ||||||
3,285 | Starbucks Corp. | 197,297 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 492,542 | |||||||
|
|
See accompanying notes to financial statements.
7
TCW Focused Equities Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Industrial Conglomerates (5.2%) | ||||||||
3,715 | Danaher Corp. | $ | 309,571 | |||||
835 | Roper Technologies, Inc. | 182,614 | ||||||
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| |||||||
Total Industrial Conglomerates | 492,185 | |||||||
|
| |||||||
Insurance (1.7%) | ||||||||
1,155 | Chubb, Ltd. (Switzerland) | 158,524 | ||||||
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| |||||||
Internet Software & Services (3.3%) | ||||||||
345 | Alphabet, Inc. — Class C (1) | 312,556 | ||||||
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| |||||||
Machinery (2.8%) | ||||||||
2,535 | IDEX Corp. | 265,567 | ||||||
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| |||||||
Multiline Retail (3.0%) | ||||||||
3,395 | Dollar Tree, Inc. (1) | 281,004 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (7.6%) | ||||||||
8,135 | Devon Energy Corp. | 321,251 | ||||||
4,300 | EOG Resources, Inc. | 397,750 | ||||||
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| |||||||
Total Oil, Gas & Consumable Fuels | 719,001 | |||||||
|
| |||||||
Pharmaceuticals (5.5%) | ||||||||
2,165 | AbbVie, Inc. | 142,760 | ||||||
1,527 | Allergan plc (Ireland) | 372,374 | ||||||
|
| |||||||
Total Pharmaceuticals | 515,134 | |||||||
|
| |||||||
Road & Rail (4.0%) | ||||||||
3,415 | Union Pacific Corp. | 382,343 | ||||||
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| |||||||
Software (4.2%) | ||||||||
2,930 | Adobe Systems, Inc. (1) | 391,858 | ||||||
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| |||||||
Specialty Retail (1.6%) | ||||||||
1,075 | Advance Auto Parts, Inc. | 152,801 | ||||||
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Textiles, Apparel & Luxury Goods (1.6%) | ||||||||
1,460 | PVH Corp. | 147,504 | ||||||
|
| |||||||
Total Common Stock (Cost: $7,288,474) (93.8%) | 8,858,196 | |||||||
|
| |||||||
Master Limited Partnership | ||||||||
Oil, Gas & Consumable Fuels (2.4%) | ||||||||
2,876 | EQT Midstream Partners LP | 224,443 | ||||||
|
| |||||||
Total Master Limited Partnership (Cost: $203,293) (2.4%) | 224,443 | |||||||
|
|
See accompanying notes to financial statements.
8
TCW Focused Equities Fund
April 30, 2017 |
Number of Shares | Money Market Investments | Value | ||||||
337,300 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (2) | $ | 337,300 | |||||
|
| |||||||
Total Money Market Investments (Cost: $337,300) (3.6%) | 337,300 | |||||||
|
| |||||||
Total Investments (Cost: $7,829,067) (99.8%) | 9,419,939 | |||||||
Excess of Other Assets over Liabilities (0.2%) | 18,031 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 9,437,970 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
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.
9
TCW Focused Equities Fund
Investments by Industry (Unaudited)
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.3 | % | ||
Banks | 13.7 | |||
Beverages | 3.0 | |||
Biotechnology | 6.1 | |||
Capital Markets | 2.7 | |||
Chemicals | 8.3 | |||
Containers & Packaging | 2.8 | |||
Energy Equipment & Services | 1.2 | |||
Food & Staples Retailing | 2.3 | |||
Food Products | 3.3 | |||
Health Care Providers & Services | 2.4 | |||
Hotels, Restaurants & Leisure | 5.2 | |||
Industrial Conglomerates | 5.2 | |||
Insurance | 1.7 | |||
Internet Software & Services | 3.3 | |||
Machinery | 2.8 | |||
Multiline Retail | 3.0 | |||
Oil, Gas & Consumable Fuels | 10.0 | |||
Pharmaceuticals | 5.5 | |||
Road & Rail | 4.0 | |||
Software | 4.2 | |||
Specialty Retail | 1.6 | |||
Textiles, Apparel & Luxury Goods | 1.6 | |||
Money Market Investments | 3.6 | |||
|
| |||
Total | 99.8 | % | ||
|
|
See accompanying notes to financial statements.
10
TCW Focused Equities Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 220,971 | $ | — | $ | — | $ | 220,971 | ||||||||
Banks | 1,290,473 | — | — | 1,290,473 | ||||||||||||
Beverages | 283,100 | — | — | 283,100 | ||||||||||||
Biotechnology | 571,303 | — | — | 571,303 | ||||||||||||
Capital Markets | 259,608 | — | — | 259,608 | ||||||||||||
Chemicals | 786,256 | — | — | 786,256 | ||||||||||||
Containers & Packaging | 265,220 | — | — | 265,220 | ||||||||||||
Energy Equipment & Services | 111,426 | — | — | 111,426 | ||||||||||||
Food & Staples Retailing | 221,351 | — | — | 221,351 | ||||||||||||
Food Products | 314,822 | — | — | 314,822 | ||||||||||||
Health Care Providers & Services | 222,647 | — | — | 222,647 | ||||||||||||
Hotels, Restaurants & Leisure | 492,542 | — | — | 492,542 | ||||||||||||
Industrial Conglomerates | 492,185 | — | — | 492,185 | ||||||||||||
Insurance | 158,524 | — | — | 158,524 | ||||||||||||
Internet Software & Services | 312,556 | — | — | 312,556 | ||||||||||||
Machinery | 265,567 | — | — | 265,567 | ||||||||||||
Multiline Retail | 281,004 | — | — | 281,004 | ||||||||||||
Oil, Gas & Consumable Fuels | 719,001 | — | — | 719,001 | ||||||||||||
Pharmaceuticals | 515,134 | — | — | 515,134 | ||||||||||||
Road & Rail | 382,343 | — | — | 382,343 | ||||||||||||
Software | 391,858 | — | — | 391,858 | ||||||||||||
Specialty Retail | 152,801 | — | — | 152,801 | ||||||||||||
Textiles, Apparel & Luxury Goods | 147,504 | — | — | 147,504 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 8,858,196 | — | — | 8,858,196 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Master Limited Partnership | ||||||||||||||||
Oil, Gas & Consumable Fuels | 224,443 | — | — | 224,443 | ||||||||||||
Money Market Investments | 337,300 | — | — | 337,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 9,419,939 | $ | — | $ | — | $ | 9,419,939 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
11
Schedule of Investments (Unaudited)
Number of Shares | Common Stock | Value | ||||||
Australia (5.7% of Net Assets) | ||||||||
32,368 | Scentre Group | $ | 104,303 | |||||
10,883 | Westfield Corp. | 73,915 | ||||||
|
| |||||||
Total Australia (Cost: $174,312) | 178,218 | |||||||
|
| |||||||
China (4.1%) | ||||||||
23,000 | China Overseas Land & Investment, Ltd. | 66,720 | ||||||
8,832 | Link REIT (The) | 63,491 | ||||||
|
| |||||||
Total China (Cost: $120,728) | 130,211 | |||||||
|
| |||||||
France (5.2%) | ||||||||
1,631 | Klepierre | 63,996 | ||||||
404 | Unibail — Rodamco SE | 99,167 | ||||||
|
| |||||||
Total France (Cost: $172,734) | 163,163 | |||||||
|
| |||||||
Germany (Cost: $57,963) (2.4%) | ||||||||
2,233 | Deutsche Wohnen AG | 76,330 | ||||||
|
| |||||||
Japan (9.5%) | ||||||||
4,000 | Mitsubishi Estate Co., Ltd. | 76,595 | ||||||
3,000 | Mitsui Fudosan Co., Ltd. | 66,010 | ||||||
57 | Mori Hills REIT Investment Corp. | 74,043 | ||||||
40 | Nippon Prologis REIT, Inc. | 84,530 | ||||||
|
| |||||||
Total Japan (Cost: $291,741) | 301,178 | |||||||
|
| |||||||
Singapore (Cost: $40,176) (1.9%) | ||||||||
29,343 | Global Logistic Properties, Ltd. | 60,428 | ||||||
|
| |||||||
United Kingdom (Cost: $59,661) (1.7%) | ||||||||
6,208 | British Land Co. PLC (The) | 52,729 | ||||||
|
| |||||||
United States (61.8%) | ||||||||
1,157 | American Tower Corp. | 145,713 | ||||||
425 | AvalonBay Communities, Inc. | 80,682 | ||||||
404 | Boston Properties, Inc. | 51,146 | ||||||
2,388 | Chimera Investment Corp. | 48,620 | ||||||
11,261 | Colony NorthStar, Inc. | 147,181 | ||||||
2,442 | Colony Starwood Homes | 84,420 | ||||||
540 | Digital Realty Trust, Inc. | 62,014 | ||||||
2,910 | DR Horton, Inc. | 95,710 | ||||||
3,741 | Empire State Realty Trust, Inc. | 77,813 | ||||||
192 | Equinix, Inc. | 80,198 | ||||||
1,025 | Equity Residential | 66,195 | ||||||
485 | Extra Space Storage, Inc. | 36,632 | ||||||
1,913 | Gaming and Leisure Properties, Inc. | 66,572 | ||||||
1,566 | GGP, Inc. | 33,841 | ||||||
1,615 | Hospitality Properties Trust | 51,405 | ||||||
3,820 | Host Hotels & Resorts, Inc. | 68,569 | ||||||
552 | Macerich Co. (The) | 34,461 |
See accompanying notes to financial statements.
12
TCW Global Real Estate Fund
April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
United States (Continued) | ||||||||
1,559 | Prologis, Inc. | $ | 84,825 | |||||
400 | Public Storage | 83,752 | ||||||
2,655 | Seritage Growth Properties | 110,183 | ||||||
785 | Simon Property Group, Inc. | 129,729 | ||||||
2,703 | Toll Brothers, Inc. | 97,281 | ||||||
1,140 | Ventas, Inc. | 72,971 | ||||||
666 | Vornado Realty Trust | 64,096 | ||||||
1,052 | Welltower, Inc. | 75,155 | ||||||
|
| |||||||
Total United States (Cost: $1,811,621) | 1,949,164 | |||||||
|
| |||||||
Total Common Stock (Cost: $2,728,936) (92.3%) | 2,911,421 | |||||||
|
| |||||||
Preferred Stock | ||||||||
United States (Cost: $39,488) (1.3%) | ||||||||
1,493 | Public Storage, 6% | 39,953 | ||||||
|
| |||||||
Total Preferred Stock (Cost: $39,488) (1.3%) | 39,953 | |||||||
|
| |||||||
Money Market Investments | ||||||||
183,701 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (1) | 183,701 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $183,701) (5.8%) | 183,701 | |||||||
|
| |||||||
Total Investments (Cost: $2,952,125) (99.4%) | 3,135,075 | |||||||
Excess of Other Assets over Liabilities (0.6%) | 18,268 | |||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 3,153,343 | ||||||
|
|
Notes to the Schedule of Investments:
REIT - Real Estate Investment Trust.
(1) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
See accompanying notes to financial statements.
13
TCW Global Real Estate Fund
Investments by Industry (Unaudited)
Industry | Percentage of Net Assets | |||
Building-Residential/Commercial | 6.1 | % | ||
Casino Services | 2.1 | |||
REITS-Apartments | 7.4 | |||
REITS-Diversified | 22.4 | |||
REITS-Health Care | 4.7 | |||
REITS-Hotels | 3.8 | |||
REITS-Mortgage | 1.5 | |||
REITS-Office Property | 4.1 | |||
REITS-Regional Malls | 6.3 | |||
REITS-Shopping Centers | 11.1 | |||
REITS-Storage | 5.2 | |||
REITS-Warehouse/Industrial | 5.4 | |||
Real Estate Management/Services | 4.9 | |||
Real Estate Operations/Development | 6.1 | |||
Web Hosting/Design | 2.5 | |||
Money Market Investments | 5.8 | |||
|
| |||
Total | 99.4 | % | ||
|
|
See accompanying notes to financial statements.
14
TCW Global Real Estate Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Building-Residential/Commercial | $ | 192,991 | $ | — | $ | — | $ | 192,991 | ||||||||
Casino Services | 66,572 | — | — | 66,572 | ||||||||||||
REITS-Apartments | 231,297 | — | — | 231,297 | ||||||||||||
REITS-Diversified | 493,047 | 215,892 | — | 708,939 | ||||||||||||
REITS-Health Care | 148,126 | — | — | 148,126 | ||||||||||||
REITS-Hotels | 119,974 | — | — | 119,974 | ||||||||||||
REITS-Mortgage | 48,620 | — | — | 48,620 | ||||||||||||
REITS-Office Property | 128,959 | — | — | 128,959 | ||||||||||||
REITS-Regional Malls | 198,031 | — | — | 198,031 | ||||||||||||
REITS-Shopping Centers | 110,183 | 241,709 | — | 351,892 | ||||||||||||
REITS-Storage | 120,384 | — | — | 120,384 | ||||||||||||
REITS-Warehouse/Industrial | 84,825 | 84,530 | — | 169,355 | ||||||||||||
Real Estate Management/Services | — | 152,925 | — | 152,925 | ||||||||||||
Real Estate Operations/Development | — | 193,158 | — | 193,158 | ||||||||||||
Web Hosting/Design | 80,198 | — | — | 80,198 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 2,023,207 | 888,214 | — | 2,911,421 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
REITS-Storage | 39,953 | — | — | 39,953 | ||||||||||||
Money Market Investments | 183,701 | — | — | 183,701 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,246,861 | $ | 888,214 | $ | — | $ | 3,135,075 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
15
TCW High Dividend Equities Fund
Schedule of Investments (Unaudited)
Number of Shares | Common Stock | Value | ||||||
Banks (6.7% of Net Assets) | ||||||||
4,315 | US Bancorp | $ | 221,273 | |||||
5,405 | Wells Fargo & Co. | 291,005 | ||||||
|
| |||||||
Total Banks | 512,278 | |||||||
|
| |||||||
Capital Markets (9.0%) | ||||||||
27,570 | Ares Capital Corp. | 485,232 | ||||||
11,025 | Triangle Capital Corp. | 208,593 | ||||||
|
| |||||||
Total Capital Markets | 693,825 | |||||||
|
| |||||||
Commercial Services & Supplies (3.3%) | ||||||||
5,775 | KAR Auction Services, Inc. | 251,906 | ||||||
|
| |||||||
Food & Staples Retailing (3.1%) | ||||||||
2,930 | CVS Health Corp. | 241,549 | ||||||
|
| |||||||
Health Care Providers & Services (2.6%) | ||||||||
2,800 | Cardinal Health, Inc. | 203,252 | ||||||
|
| |||||||
Household Durables (11.1%) | ||||||||
10,980 | DR Horton, Inc. | 361,132 | ||||||
5,200 | Newell Brands, Inc. | 248,248 | ||||||
6,685 | Toll Brothers, Inc. | 240,593 | ||||||
|
| |||||||
Total Household Durables | 849,973 | |||||||
|
| |||||||
Household Products (3.2%) | ||||||||
1,725 | Spectrum Brands Holdings, Inc. | 247,934 | ||||||
|
| |||||||
IT Services (3.9%) | ||||||||
1,850 | International Business Machines Corp. | 296,536 | ||||||
|
| |||||||
Machinery (8.5%) | ||||||||
9,260 | EnPro Industries, Inc. | 654,219 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (6.6%) | ||||||||
3,310 | ConocoPhillips | 158,582 | ||||||
17,015 | Kinder Morgan, Inc. | 351,020 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 509,602 | |||||||
|
| |||||||
REIT (19.4%) | ||||||||
3,170 | American Tower Corp. | 399,230 | ||||||
41,056 | Colony NorthStar, Inc. | 536,602 | ||||||
6,755 | Seritage Growth Properties | 280,333 | ||||||
1,655 | Simon Property Group, Inc. | 273,505 | ||||||
|
| |||||||
Total REIT | 1,489,670 | |||||||
|
| |||||||
Specialty Retail (4.5%) | ||||||||
6,600 | Monro Muffler Brake, Inc. | 342,210 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (3.5%) | ||||||||
1,855 | Apple, Inc. | 266,471 | ||||||
|
|
See accompanying notes to financial statements.
16
TCW High Dividend Equities Fund
April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
Tobacco (5.1%) | ||||||||
18,135 | Vector Group, Ltd. | $ | 393,892 | |||||
|
| |||||||
Total Common Stock (Cost: $6,474,062) (90.5%) | 6,953,317 | |||||||
|
| |||||||
Money Market Investments | ||||||||
721,313 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (1) | 721,313 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $721,313) (9.4%) | 721,313 | |||||||
|
| |||||||
Total Investments (Cost: $7,195,375) (99.9%) | 7,674,630 | |||||||
Excess of Other Assets over Liabilities (0.1%) | 10,282 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 7,684,912 | ||||||
|
|
Notes to the Schedule of Investments:
REIT - Real | Estate Investment Trust. |
(1) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
See accompanying notes to financial statements.
17
TCW High Dividend Equities Fund
Investments by Industry (Unaudited)
Industry | Percentage of Net Assets | |||
Banks | 6.7 | % | ||
Capital Markets | 9.0 | |||
Commercial Services & Supplies | 3.3 | |||
Food & Staples Retailing | 3.1 | |||
Health Care Providers & Services | 2.6 | |||
Household Durables | 11.1 | |||
Household Products | 3.2 | |||
IT Services | 3.9 | |||
Machinery | 8.5 | |||
Oil, Gas & Consumable Fuels | 6.6 | |||
REIT | 19.4 | |||
Specialty Retail | 4.5 | |||
Technology Hardware, Storage & Peripherals | 3.5 | |||
Tobacco | 5.1 | |||
Money Market Investments | 9.4 | |||
|
| |||
Total | 99.9 | % | ||
|
|
See accompanying notes to financial statements.
18
TCW High Dividend Equities Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Banks | $ | 512,278 | $ | — | $ | — | $ | 512,278 | ||||||||
Capital Markets | 693,825 | — | — | 693,825 | ||||||||||||
Commercial Services & Supplies | 251,906 | — | — | 251,906 | ||||||||||||
Food & Staples Retailing | 241,549 | — | — | 241,549 | ||||||||||||
Health Care Providers & Services | 203,252 | — | — | 203,252 | ||||||||||||
Household Durables | 849,973 | — | — | 849,973 | ||||||||||||
Household Products | 247,934 | — | — | 247,934 | ||||||||||||
IT Services | 296,536 | — | — | 296,536 | ||||||||||||
Machinery | 654,219 | — | — | 654,219 | ||||||||||||
Oil, Gas & Consumable Fuels | 509,602 | — | — | 509,602 | ||||||||||||
REIT | 1,489,670 | — | — | 1,489,670 | ||||||||||||
Specialty Retail | 342,210 | — | — | 342,210 | ||||||||||||
Technology Hardware, Storage & Peripherals | 266,471 | — | — | 266,471 | ||||||||||||
Tobacco | 393,892 | — | — | 393,892 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 6,953,317 | — | — | 6,953,317 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 721,313 | — | — | 721,313 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 7,674,630 | $ | — | $ | — | $ | 7,674,630 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
19
TCW New America Premier Equities Fund
Schedule of Investments (Unaudited)
Number of Shares | Common Stock | Value | ||||||
Biotechnology (0.8% of Net Assets) | ||||||||
1,395 | Bioverativ, Inc. (1) | $ | 82,040 | |||||
|
| |||||||
Chemicals (8.7%) | ||||||||
56 | AdvanSix, Inc. (1) | 1,527 | ||||||
3,968 | Air Products & Chemicals, Inc. | 557,504 | ||||||
3,962 | Celanese Corp. — Series A | 344,852 | ||||||
|
| |||||||
Total Chemicals | 903,883 | |||||||
|
| |||||||
Communications Equipment (1.5%) | ||||||||
1,808 | Motorola Solutions, Inc. | 155,434 | ||||||
|
| |||||||
Containers & Packaging (3.8%) | ||||||||
9,005 | Sealed Air Corp. | 396,400 | ||||||
|
| |||||||
Diversified Financial Services (4.3%) | ||||||||
2,721 | Berkshire Hathaway, Inc. — Class B (1) | 449,536 | ||||||
|
| |||||||
Electrical Equipment (1.1%) | ||||||||
3,218 | Philips Lighting NV (Netherlands) (1) | 108,842 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (3.2%) | ||||||||
6,041 | Agilent Technologies, Inc. | 332,557 | ||||||
|
| |||||||
Food Products (6.2%) | ||||||||
7,202 | Conagra Brands, Inc. | 279,293 | ||||||
20,919 | Hostess Brands, Inc. (1) | 358,552 | ||||||
|
| |||||||
Total Food Products | 637,845 | |||||||
|
| |||||||
Health Care Equipment & Supplies (5.1%) | ||||||||
9,532 | Baxter International, Inc. | 530,742 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.4%) | ||||||||
5,000 | Freshii, Inc. (1) | 45,345 | ||||||
|
| |||||||
Industrial Conglomerates (7.8%) | ||||||||
5,473 | Danaher Corp. | 456,065 | ||||||
1,631 | Roper Technologies, Inc. | 356,700 | ||||||
|
| |||||||
Total Industrial Conglomerates | 812,765 | |||||||
|
| |||||||
Internet Software & Services (4.6%) | ||||||||
740 | Okta, Inc. (1) | 19,277 | ||||||
7,396 | Trade Desk, Inc. (The) (1) | 276,241 | ||||||
3,673 | Yahoo!, Inc. (1) | 177,075 | ||||||
250 | Yext, Inc. (1) | 3,710 | ||||||
|
| |||||||
Total Internet Software & Services | 476,303 | |||||||
|
| |||||||
IT Services (0.9%) | ||||||||
812 | Mastercard, Inc. | 94,452 | ||||||
|
|
See accompanying notes to financial statements.
20
TCW New America Premier Equities Fund
April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
Machinery (6.3%) | ||||||||
4,866 | IDEX Corp. | $ | 509,762 | |||||
1,040 | Illinois Tool Works, Inc. | 143,614 | ||||||
|
| |||||||
Total Machinery | 653,376 | |||||||
|
| |||||||
Professional Services (14.4%) | ||||||||
9,236 | IHS Markit, Ltd. (1) | 400,842 | ||||||
27,433 | TransUnion (1) | 1,098,143 | ||||||
|
| |||||||
Total Professional Services | 1,498,985 | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.5%) | ||||||||
30,962 | Marvell Technology Group, Ltd. | 465,049 | ||||||
|
| |||||||
Software (18.9%) | ||||||||
5,706 | Activision Blizzard, Inc. | 298,138 | ||||||
486 | Constellation Software, Inc. | 221,915 | ||||||
7,056 | Microsoft Corp. | 483,054 | ||||||
20,301 | Oracle Corp. | 912,733 | ||||||
2,065 | Snap, Inc. (1) | 46,566 | ||||||
|
| |||||||
Total Software | 1,962,406 | |||||||
|
| |||||||
Specialty Retail (2.1%) | ||||||||
6,667 | Floor & Decor Holdings, Inc. (1) | 216,011 | ||||||
|
| |||||||
Total Common Stock (Cost: $8,386,711) (94.6%) | 9,821,971 | |||||||
|
| |||||||
Money Market Investments | ||||||||
191,844 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (2) | 191,844 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $191,844) (1.9%) | 191,844 | |||||||
|
| |||||||
Total Investments (Cost: $8,578,555) (96.5%) | 10,013,815 | |||||||
Excess of Other Assets over Liabilities (3.5%) | 368,358 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 10,382,173 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
See accompanying notes to financial statements.
21
TCW New America Premier Equities Fund
Investments by Industry (Unaudited)
Industry | Percentage of Net Assets | |||
Biotechnology | 0.8 | % | ||
Chemicals | 8.7 | |||
Communications Equipment | 1.5 | |||
Containers & Packaging | 3.8 | |||
Diversified Financial Services | 4.3 | |||
Electrical Equipment | 1.1 | |||
Electronic Equipment, Instruments & Components | 3.2 | |||
Food Products | 6.2 | |||
Health Care Equipment & Supplies | 5.1 | |||
Hotels, Restaurants & Leisure | 0.4 | |||
Industrial Conglomerates | 7.8 | |||
Internet Software & Services | 4.6 | |||
IT Services | 0.9 | |||
Machinery | 6.3 | |||
Professional Services | 14.4 | |||
Semiconductors & Semiconductor Equipment | 4.5 | |||
Software | 18.9 | |||
Specialty Retail | 2.1 | |||
Money Market Investments | 1.9 | |||
|
| |||
Total | 96.5 | % | ||
|
|
See accompanying notes to financial statements.
22
TCW New America Premier Equities Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Biotechnology | $ | 82,040 | $ | — | $ | — | $ | 82,040 | ||||||||
Chemicals | 903,883 | — | — | 903,883 | ||||||||||||
Communications Equipment | 155,434 | — | — | 155,434 | ||||||||||||
Containers & Packaging | 396,400 | — | — | 396,400 | ||||||||||||
Diversified Financial Services | 449,536 | — | — | 449,536 | ||||||||||||
Electrical Equipment | 108,842 | — | — | 108,842 | ||||||||||||
Electronic Equipment, Instruments & Components | 332,557 | — | — | 332,557 | ||||||||||||
Food Products | 637,845 | — | — | 637,845 | ||||||||||||
Health Care Equipment & Supplies | 530,742 | — | — | 530,742 | ||||||||||||
Hotels, Restaurants & Leisure | 45,345 | — | — | 45,345 | ||||||||||||
Industrial Conglomerates | 812,765 | — | — | 812,765 | ||||||||||||
Internet Software & Services | 476,303 | — | — | 476,303 | ||||||||||||
IT Services | 94,452 | — | — | 94,452 | ||||||||||||
Machinery | 653,376 | — | — | 653,376 | ||||||||||||
Professional Services | 1,498,985 | — | — | 1,498,985 | ||||||||||||
Semiconductors & Semiconductor Equipment | 465,049 | — | — | 465,049 | ||||||||||||
Software | 1,962,406 | — | — | 1,962,406 | ||||||||||||
Specialty Retail | 216,011 | — | — | 216,011 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 9,821,971 | — | — | 9,821,971 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 191,844 | — | — | 191,844 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 10,013,815 | $ | — | $ | — | $ | 10,013,815 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
23
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited)
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (2.2% of Net Assets) | ||||||||
322,706 | Textron, Inc. | $ | 15,057,462 | |||||
|
| |||||||
Air Freight & Logistics (1.8%) | ||||||||
65,885 | FedEx Corp. | 12,498,385 | ||||||
|
| |||||||
Auto Components (1.8%) | ||||||||
301,189 | Johnson Controls International PLC (Ireland) | 12,520,427 | ||||||
|
| |||||||
Banks (9.6%) | ||||||||
451,804 | Citigroup, Inc. | 26,710,652 | ||||||
327,586 | JPMorgan Chase & Co. | 28,499,982 | ||||||
266,025 | Zions Bancorp. | 10,648,981 | ||||||
|
| |||||||
Total Banks | 65,859,615 | |||||||
|
| |||||||
Beverages (2.5%) | ||||||||
150,673 | PepsiCo, Inc. | 17,068,237 | ||||||
|
| |||||||
Biotechnology (2.3%) | ||||||||
230,280 | Gilead Sciences, Inc. | 15,785,694 | ||||||
|
| |||||||
Capital Markets (3.5%) | ||||||||
215,321 | Invesco, Ltd. | 7,092,674 | ||||||
203,619 | State Street Corp. | 17,083,634 | ||||||
|
| |||||||
Total Capital Markets | 24,176,308 | |||||||
|
| |||||||
Chemicals (2.2%) | ||||||||
239,211 | Dow Chemical Co. (The) | 15,022,451 | ||||||
|
| |||||||
Communications Equipment (4.6%) | ||||||||
759,681 | Cisco Systems, Inc. | 25,882,332 | ||||||
1,036,174 | Nokia OYJ (Finland) (SP ADR) | 5,937,277 | ||||||
|
| |||||||
Total Communications Equipment | 31,819,609 | |||||||
|
| |||||||
Consumer Finance (1.4%) | ||||||||
356,655 | Synchrony Financial | 9,915,009 | ||||||
|
| |||||||
Containers & Packaging (0.8%) | ||||||||
97,293 | WestRock Co. | 5,211,013 | ||||||
|
| |||||||
Diversified Financial Services (2.2%) | ||||||||
252,570 | Intercontinental Exchange, Inc. | 15,204,714 | ||||||
|
| |||||||
Diversified Telecommunication Services (2.4%) | ||||||||
288,347 | AT&T, Inc. | 11,427,191 | ||||||
288,961 | Deutsche Telekom AG (Germany) (SP ADR) | 5,070,688 | ||||||
|
| |||||||
Total Diversified Telecommunication Services | 16,497,879 | |||||||
|
| |||||||
Electronic Equipment, Instruments & Components (2.3%) | ||||||||
559,764 | Corning, Inc. | 16,149,191 | ||||||
|
|
See accompanying notes to financial statements.
24
TCW Relative Value Dividend Appreciation Fund
April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
Energy Equipment & Services (5.3%) | ||||||||
262,003 | Baker Hughes, Inc. | $ | 15,555,118 | |||||
574,685 | Nabors Industries, Ltd. | 5,942,243 | ||||||
207,658 | Schlumberger, Ltd. | 15,073,894 | ||||||
|
| |||||||
Total Energy Equipment & Services | 36,571,255 | |||||||
|
| |||||||
Food Products (1.5%) | ||||||||
274,389 | Conagra Brands, Inc. | 10,640,805 | ||||||
|
| |||||||
Health Care Equipment & Supplies (0.8%) | ||||||||
62,319 | Medtronic PLC (Ireland) | 5,178,086 | ||||||
|
| |||||||
Health Care Providers & Services (1.5%) | ||||||||
94,790 | Quest Diagnostics, Inc. | 10,001,293 | ||||||
|
| |||||||
Household Durables (1.8%) | ||||||||
240,782 | Lennar Corp. | 12,159,491 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (2.1%) | ||||||||
1,284,265 | AES Corp. (The) | 14,525,037 | ||||||
|
| |||||||
Industrial Conglomerates (6.6%) | ||||||||
882,955 | General Electric Co. | 25,596,866 | ||||||
581,967 | Koninklijke Philips Electronics NV (Netherlands) (NYRS) | 20,031,304 | ||||||
|
| |||||||
Total Industrial Conglomerates | 45,628,170 | |||||||
|
| |||||||
Insurance (3.2%) | ||||||||
83,970 | Allstate Corp. (The) | 6,825,921 | ||||||
297,378 | MetLife, Inc. | 15,407,154 | ||||||
|
| |||||||
Total Insurance | 22,233,075 | |||||||
|
| |||||||
Leisure Products (0.8%) | ||||||||
244,601 | Mattel, Inc. | 5,483,954 | ||||||
|
| |||||||
Machinery (1.6%) | ||||||||
171,882 | Pentair PLC (United Kingdom) | 11,088,108 | ||||||
|
| |||||||
Media (4.5%) | ||||||||
531,294 | Comcast Corp. | 20,821,412 | ||||||
207,786 | Regal Entertainment Group | 4,585,837 | ||||||
370,846 | Time, Inc. | 5,636,859 | ||||||
|
| |||||||
Total Media | 31,044,108 | |||||||
|
| |||||||
Multiline Retail (1.0%) | ||||||||
1,242,043 | J.C. Penney Co., Inc. (1) | 6,682,191 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (4.8%) | ||||||||
228,725 | Chevron Corp. | 24,404,958 | ||||||
167,338 | Royal Dutch Shell PLC (United Kingdom) (SP ADR) | 8,733,370 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 33,138,328 | |||||||
|
|
See accompanying notes to financial statements.
25
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Pharmaceuticals (4.7%) | ||||||||
302,076 | Merck & Co., Inc. | $ | 18,828,397 | |||||
389,790 | Pfizer, Inc. | 13,221,677 | ||||||
|
| |||||||
Total Pharmaceuticals | 32,050,074 | |||||||
|
| |||||||
REIT (1.5%) | ||||||||
249,958 | Kimco Realty Corp. | 5,071,648 | ||||||
66,134 | Life Storage, Inc. | 5,184,244 | ||||||
|
| |||||||
Total REIT | 10,255,892 | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (9.0%) | ||||||||
1,348,814 | Cypress Semiconductor Corp. | 18,896,884 | ||||||
421,506 | Intel Corp. | 15,237,442 | ||||||
368,448 | Maxim Integrated Products, Inc. | 16,266,979 | ||||||
156,635 | Microchip Technology, Inc. | 11,838,474 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 62,239,779 | |||||||
|
| |||||||
Software (3.6%) | ||||||||
364,289 | Microsoft Corp. | 24,939,225 | ||||||
|
| |||||||
Specialty Retail (0.3%) | ||||||||
11,397 | Home Depot, Inc. (The) | 1,779,072 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (1.6%) | ||||||||
269,138 | Seagate Technology PLC (Netherlands) | 11,338,784 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (2.5%) | ||||||||
434,754 | Coach, Inc. | 17,124,960 | ||||||
|
| |||||||
Thrifts & Mortgage Finance (1.5%) | ||||||||
791,362 | New York Community Bancorp, Inc. | 10,517,201 | ||||||
|
| |||||||
Total Common Stock (Cost: $587,528,878) (99.8%) | 687,404,882 | |||||||
|
| |||||||
Money Market Investments | ||||||||
5,304,299 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (2) | 5,304,299 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $5,304,299) (0.8%) | 5,304,299 | |||||||
|
| |||||||
Total Investments (Cost: $592,833,177) (100.6%) | 692,709,181 | |||||||
Liabilities in Excess of Other Assets (-0.6%) | (4,199,638 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 688,509,543 | ||||||
|
|
Notes to the Schedule of Investments:
NYRS - New York Registry Shares.
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. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
See accompanying notes to financial statements.
26
TCW Relative Value Dividend Appreciation Fund
Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.2 | % | ||
Air Freight & Logistics | 1.8 | |||
Auto Components | 1.8 | |||
Banks | 9.6 | |||
Beverages | 2.5 | |||
Biotechnology | 2.3 | |||
Capital Markets | 3.5 | |||
Chemicals | 2.2 | |||
Communications Equipment | 4.6 | |||
Consumer Finance | 1.4 | |||
Containers & Packaging | 0.8 | |||
Diversified Financial Services | 2.2 | |||
Diversified Telecommunication Services | 2.4 | |||
Electronic Equipment, Instruments & Components | 2.3 | |||
Energy Equipment & Services | 5.3 | |||
Food Products | 1.5 | |||
Health Care Equipment & Supplies | 0.8 | |||
Health Care Providers & Services | 1.5 | |||
Household Durables | 1.8 | |||
Independent Power and Renewable Electricity Producers | 2.1 | |||
Industrial Conglomerates | 6.6 | |||
Insurance | 3.2 | |||
Leisure Products | 0.8 | |||
Machinery | 1.6 | |||
Media | 4.5 | |||
Multiline Retail | 1.0 | |||
Oil, Gas & Consumable Fuels | 4.8 | |||
Pharmaceuticals | 4.7 | |||
REIT | 1.5 | |||
Semiconductors & Semiconductor Equipment | 9.0 | |||
Software | 3.6 | |||
Specialty Retail | 0.3 | |||
Technology Hardware, Storage & Peripherals | 1.6 | |||
Textiles, Apparel & Luxury Goods | 2.5 | |||
Thrifts & Mortgage Finance | 1.5 | |||
Money Market Investments | 0.8 | |||
|
| |||
Total | 100.6 | % | ||
|
|
See accompanying notes to financial statements.
27
TCW Relative Value Dividend Appreciation Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 15,057,462 | $ | — | $ | — | $ | 15,057,462 | ||||||||
Air Freight & Logistics | 12,498,385 | — | — | 12,498,385 | ||||||||||||
Auto Components | 12,520,427 | — | — | 12,520,427 | ||||||||||||
Banks | 65,859,615 | — | — | 65,859,615 | ||||||||||||
Beverages | 17,068,237 | — | — | 17,068,237 | ||||||||||||
Biotechnology | 15,785,694 | — | — | 15,785,694 | ||||||||||||
Capital Markets | 24,176,308 | — | — | 24,176,308 | ||||||||||||
Chemicals | 15,022,451 | — | — | 15,022,451 | ||||||||||||
Communications Equipment | 31,819,609 | — | — | 31,819,609 | ||||||||||||
Consumer Finance | 9,915,009 | — | — | 9,915,009 | ||||||||||||
Containers & Packaging | 5,211,013 | — | — | 5,211,013 | ||||||||||||
Diversified Financial Services | 15,204,714 | — | — | 15,204,714 | ||||||||||||
Diversified Telecommunication Services | 16,497,879 | — | — | 16,497,879 | ||||||||||||
Electronic Equipment, Instruments & Components | 16,149,191 | — | — | 16,149,191 | ||||||||||||
Energy Equipment & Services | 36,571,255 | — | — | 36,571,255 | ||||||||||||
Food Products | 10,640,805 | — | — | 10,640,805 | ||||||||||||
Health Care Equipment & Supplies | 5,178,086 | — | — | 5,178,086 | ||||||||||||
Health Care Providers & Services | 10,001,293 | — | — | 10,001,293 | ||||||||||||
Household Durables | 12,159,491 | — | — | 12,159,491 | ||||||||||||
Independent Power and Renewable Electricity Producers | 14,525,037 | — | — | 14,525,037 | ||||||||||||
Industrial Conglomerates | 45,628,170 | — | — | 45,628,170 | ||||||||||||
Insurance | 22,233,075 | — | — | 22,233,075 | ||||||||||||
Leisure Products | 5,483,954 | — | — | 5,483,954 | ||||||||||||
Machinery | 11,088,108 | — | — | 11,088,108 | ||||||||||||
Media | 31,044,108 | — | — | 31,044,108 | ||||||||||||
Multiline Retail | 6,682,191 | — | — | 6,682,191 | ||||||||||||
Oil, Gas & Consumable Fuels | 33,138,328 | — | — | 33,138,328 | ||||||||||||
Pharmaceuticals | 32,050,074 | — | — | 32,050,074 | ||||||||||||
REIT | 10,255,892 | — | — | 10,255,892 | ||||||||||||
Semiconductors & Semiconductor Equipment | 62,239,779 | — | — | 62,239,779 | ||||||||||||
Software | 24,939,225 | — | — | 24,939,225 | ||||||||||||
Specialty Retail | 1,779,072 | — | — | 1,779,072 | ||||||||||||
Technology Hardware, Storage & Peripherals | 11,338,784 | — | — | 11,338,784 | ||||||||||||
Textiles, Apparel & Luxury Goods | 17,124,960 | — | — | 17,124,960 | ||||||||||||
Thrifts & Mortgage Finance | 10,517,201 | — | — | 10,517,201 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 687,404,882 | — | — | 687,404,882 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 5,304,299 | — | — | 5,304,299 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 692,709,181 | $ | — | $ | — | $ | 692,709,181 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
28
TCW Relative Value Large Cap Fund
Schedule of Investments (Unaudited) | April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (3.5% of Net Assets) | ||||||||
359,510 | Textron, Inc. | $ | 16,774,737 | |||||
|
| |||||||
Auto Components (3.8%) | ||||||||
425,470 | Dana, Inc. | 8,262,627 | ||||||
240,468 | Johnson Controls International PLC (Ireland) | 9,996,255 | ||||||
|
| |||||||
Total Auto Components | 18,258,882 | |||||||
|
| |||||||
Banks (9.5%) | ||||||||
295,800 | Citigroup, Inc. | 17,487,696 | ||||||
215,858 | JPMorgan Chase & Co. | 18,779,646 | ||||||
230,300 | Zions Bancorp. | 9,218,909 | ||||||
|
| |||||||
Total Banks | 45,486,251 | |||||||
|
| |||||||
Beverages (2.4%) | ||||||||
99,900 | PepsiCo, Inc. | 11,316,672 | ||||||
|
| |||||||
Biotechnology (2.3%) | ||||||||
157,854 | Gilead Sciences, Inc. | 10,820,892 | ||||||
|
| |||||||
Capital Markets (2.6%) | ||||||||
81,600 | Invesco, Ltd. | 2,687,904 | ||||||
117,400 | State Street Corp. | 9,849,860 | ||||||
|
| |||||||
Total Capital Markets | 12,537,764 | |||||||
|
| |||||||
Chemicals (1.8%) | ||||||||
138,686 | Dow Chemical Co. (The) | 8,709,481 | ||||||
|
| |||||||
Communications Equipment (3.5%) | ||||||||
492,590 | Cisco Systems, Inc. | 16,782,541 | ||||||
|
| |||||||
Consumer Finance (1.4%) | ||||||||
233,492 | Synchrony Financial | 6,491,078 | ||||||
|
| |||||||
Containers & Packaging (2.1%) | ||||||||
146,453 | Sealed Air Corp. | 6,446,861 | ||||||
69,700 | WestRock Co. | 3,733,132 | ||||||
|
| |||||||
Total Containers & Packaging | 10,179,993 | |||||||
|
| |||||||
Diversified Financial Services (2.6%) | ||||||||
204,605 | Intercontinental Exchange, Inc. | 12,317,221 | ||||||
|
| |||||||
Diversified Telecommunication Services (1.5%) | ||||||||
176,500 | AT&T, Inc. | 6,994,695 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (2.7%) | ||||||||
449,190 | Corning, Inc. | 12,959,131 | ||||||
|
| |||||||
Energy Equipment & Services (3.9%) | ||||||||
233,550 | Baker Hughes, Inc. | 13,865,863 | ||||||
440,931 | Nabors Industries, Ltd. | 4,559,227 | ||||||
|
| |||||||
Total Energy Equipment & Services | 18,425,090 | |||||||
|
|
See accompanying notes to financial statements.
29
TCW Relative Value Large Cap Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Food Products (1.8%) | ||||||||
216,100 | Conagra Brands, Inc. | $ | 8,380,358 | |||||
|
| |||||||
Health Care Equipment & Supplies (0.8%) | ||||||||
46,100 | Medtronic PLC (Ireland) | 3,830,449 | ||||||
|
| |||||||
Health Care Providers & Services (4.6%) | ||||||||
35,284 | Anthem, Inc. | 6,276,671 | ||||||
84,800 | Cardinal Health, Inc. | 6,155,632 | ||||||
65,800 | Centene Corp. (1) | 4,895,520 | ||||||
30,606 | Cigna Corp. | 4,785,860 | ||||||
|
| |||||||
Total Health Care Providers & Services | 22,113,683 | |||||||
|
| |||||||
Household Durables (2.9%) | ||||||||
272,263 | Lennar Corp. | 13,749,281 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (1.9%) | ||||||||
783,500 | AES Corp. (The) | 8,861,385 | ||||||
|
| |||||||
Industrial Conglomerates (3.5%) | ||||||||
572,836 | General Electric Co. | 16,606,516 | ||||||
|
| |||||||
Insurance (2.7%) | ||||||||
262,384 | Hartford Financial Services Group, Inc. | 12,688,890 | ||||||
|
| |||||||
IT Services (0.7%) | ||||||||
216,500 | First Data Corp. (1) | 3,381,730 | ||||||
|
| |||||||
Machinery (3.4%) | ||||||||
99,867 | Pentair PLC (United Kingdom) | 6,442,420 | ||||||
278,430 | Terex Corp. | 9,739,482 | ||||||
|
| |||||||
Total Machinery | 16,181,902 | |||||||
|
| |||||||
Media (4.0%) | ||||||||
490,410 | Comcast Corp. | 19,219,168 | ||||||
|
| |||||||
Metals & Mining (1.3%) | ||||||||
486,200 | Freeport-McMoRan, Inc. (1) | 6,199,050 | ||||||
|
| |||||||
Multiline Retail (1.4%) | ||||||||
1,255,676 | J.C. Penney Co., Inc. (1) | 6,755,537 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.7%) | ||||||||
127,600 | Chevron Corp. | 13,614,920 | ||||||
113,100 | Newfield Exploration Co. (1) | 3,915,522 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 17,530,442 | |||||||
|
| |||||||
Pharmaceuticals (4.2%) | ||||||||
197,650 | Merck & Co., Inc. | 12,319,524 | ||||||
232,550 | Pfizer, Inc. | 7,888,096 | ||||||
|
| |||||||
Total Pharmaceuticals | 20,207,620 | |||||||
|
|
See accompanying notes to financial statements.
30
TCW Relative Value Large Cap Fund
April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
Real Estate Management & Development (1.8%) | ||||||||
76,800 | Jones Lang LaSalle, Inc. | $ | 8,821,248 | |||||
|
| |||||||
Semiconductors & Semiconductor Equipment (6.6%) | ||||||||
874,900 | Cypress Semiconductor Corp. | 12,257,349 | ||||||
178,939 | Intel Corp. | 6,468,645 | ||||||
294,400 | Micron Technology, Inc. (1) | 8,146,048 | ||||||
314,367 | ON Semiconductor Corp. (1) | 4,457,724 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 31,329,766 | |||||||
|
| |||||||
Software (3.4%) | ||||||||
239,190 | Microsoft Corp. | 16,374,947 | ||||||
|
| |||||||
Specialty Retail (1.5%) | ||||||||
45,200 | Home Depot, Inc. (The) | 7,055,720 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (3.1%) | ||||||||
164,340 | Western Digital Corp. | 14,637,764 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.6%) | ||||||||
195,442 | Coach, Inc. | 7,698,460 | ||||||
|
| |||||||
Total Common Stock (Cost: $296,419,286) (98.5%) | 469,678,344 | |||||||
|
| |||||||
Money Market Investments | ||||||||
8,352,206 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (2) | 8,352,206 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $8,352,206) (1.7%) | 8,352,206 | |||||||
|
| |||||||
Total Investments (Cost: $304,771,492) (100.2%) | 478,030,550 | |||||||
Liabilities in Excess of Other Assets (-0.2%) | (1,014,389 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 477,016,161 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
See accompanying notes to financial statements.
31
TCW Relative Value Large Cap Fund
Investments by Industry (Unaudited)
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.5 | % | ||
Auto Components | 3.8 | |||
Banks | 9.5 | |||
Beverages | 2.4 | |||
Biotechnology | 2.3 | |||
Capital Markets | 2.6 | |||
Chemicals | 1.8 | |||
Communications Equipment | 3.5 | |||
Consumer Finance | 1.4 | |||
Containers & Packaging | 2.1 | |||
Diversified Financial Services | 2.6 | |||
Diversified Telecommunication Services | 1.5 | |||
Electronic Equipment, Instruments & Components | 2.7 | |||
Energy Equipment & Services | 3.9 | |||
Food Products | 1.8 | |||
Health Care Equipment & Supplies | 0.8 | |||
Health Care Providers & Services | 4.6 | |||
Household Durables | 2.9 | |||
Independent Power and Renewable Electricity Producers | 1.9 | |||
Industrial Conglomerates | 3.5 | |||
Insurance | 2.7 | |||
IT Services | 0.7 | |||
Machinery | 3.4 | |||
Media | 4.0 | |||
Metals & Mining | 1.3 | |||
Multiline Retail | 1.4 | |||
Oil, Gas & Consumable Fuels | 3.7 | |||
Pharmaceuticals | 4.2 | |||
Real Estate Management & Development | 1.8 | |||
Semiconductors & Semiconductor Equipment | 6.6 | |||
Software | 3.4 | |||
Specialty Retail | 1.5 | |||
Technology Hardware, Storage & Peripherals | 3.1 | |||
Textiles, Apparel & Luxury Goods | 1.6 | |||
Money Market Investments | 1.7 | |||
|
| |||
Total | 100.2 | % | ||
|
|
See accompanying notes to financial statements.
32
TCW Relative Value Large Cap Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 16,774,737 | $ | — | $ | — | $ | 16,774,737 | ||||||||
Auto Components | 18,258,882 | — | — | 18,258,882 | ||||||||||||
Banks | 45,486,251 | — | — | 45,486,251 | ||||||||||||
Beverages | 11,316,672 | — | — | 11,316,672 | ||||||||||||
Biotechnology | 10,820,892 | — | — | 10,820,892 | ||||||||||||
Capital Markets | 12,537,764 | — | — | 12,537,764 | ||||||||||||
Chemicals | 8,709,481 | — | — | 8,709,481 | ||||||||||||
Communications Equipment | 16,782,541 | — | — | 16,782,541 | ||||||||||||
Consumer Finance | 6,491,078 | — | — | 6,491,078 | ||||||||||||
Containers & Packaging | 10,179,993 | — | — | 10,179,993 | ||||||||||||
Diversified Financial Services | 12,317,221 | — | — | 12,317,221 | ||||||||||||
Diversified Telecommunication Services | 6,994,695 | — | — | 6,994,695 | ||||||||||||
Electronic Equipment, Instruments & Components | 12,959,131 | — | — | 12,959,131 | ||||||||||||
Energy Equipment & Services | 18,425,090 | — | — | 18,425,090 | ||||||||||||
Food Products | 8,380,358 | — | — | 8,380,358 | ||||||||||||
Health Care Equipment & Supplies | 3,830,449 | — | — | 3,830,449 | ||||||||||||
Health Care Providers & Services | 22,113,683 | — | — | 22,113,683 | ||||||||||||
Household Durables | 13,749,281 | — | — | 13,749,281 | ||||||||||||
Independent Power and Renewable Electricity Producers | 8,861,385 | — | — | 8,861,385 | ||||||||||||
Industrial Conglomerates | 16,606,516 | — | — | 16,606,516 | ||||||||||||
Insurance | 12,688,890 | — | — | 12,688,890 | ||||||||||||
IT Services | 3,381,730 | — | — | 3,381,730 | ||||||||||||
Machinery | 16,181,902 | — | — | 16,181,902 | ||||||||||||
Media | 19,219,168 | — | — | 19,219,168 | ||||||||||||
Metals & Mining | 6,199,050 | — | — | 6,199,050 | ||||||||||||
Multiline Retail | 6,755,537 | — | — | 6,755,537 | ||||||||||||
Oil, Gas & Consumable Fuels | 17,530,442 | — | — | 17,530,442 | ||||||||||||
Pharmaceuticals | 20,207,620 | — | — | 20,207,620 | ||||||||||||
Real Estate Management & Development | 8,821,248 | — | — | 8,821,248 | ||||||||||||
Semiconductors & Semiconductor Equipment | 31,329,766 | — | — | 31,329,766 | ||||||||||||
Software | 16,374,947 | — | — | 16,374,947 | ||||||||||||
Specialty Retail | 7,055,720 | — | — | 7,055,720 | ||||||||||||
Technology Hardware, Storage & Peripherals | 14,637,764 | — | — | 14,637,764 | ||||||||||||
Textiles, Apparel & Luxury Goods | 7,698,460 | — | — | 7,698,460 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 469,678,344 | — | — | 469,678,344 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 8,352,206 | — | — | 8,352,206 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 478,030,550 | $ | — | $ | — | $ | 478,030,550 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
33
TCW Relative Value Mid Cap Fund
Schedule of Investments (Unaudited)
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (2.7% of Net Assets) | ||||||||
60,445 | Textron, Inc. | $ | 2,820,364 | |||||
|
| |||||||
Auto Components (3.0%) | ||||||||
93,150 | Dana, Inc. | 1,808,973 | ||||||
20,115 | Tenneco, Inc. | 1,267,848 | ||||||
|
| |||||||
Total Auto Components | 3,076,821 | |||||||
|
| |||||||
Banks (14.1%) | ||||||||
24,966 | Comerica, Inc. | 1,765,096 | ||||||
251,542 | KeyCorp | 4,588,126 | ||||||
70,565 | Popular, Inc. | 2,957,379 | ||||||
62,829 | Synovus Financial Corp. | 2,626,253 | ||||||
52,100 | Umpqua Holdings Corp. | 920,607 | ||||||
45,700 | Zions Bancorp. | 1,829,371 | ||||||
|
| |||||||
Total Banks | 14,686,832 | |||||||
|
| |||||||
Capital Markets (5.6%) | ||||||||
63,100 | E*TRADE Financial Corp. (1) | 2,180,105 | ||||||
27,700 | Evercore Partners, Inc. | 2,042,875 | ||||||
49,288 | Invesco, Ltd. | 1,623,547 | ||||||
|
| |||||||
Total Capital Markets | 5,846,527 | |||||||
|
| |||||||
Communications Equipment (1.5%) | ||||||||
127,400 | Brocade Communications Systems, Inc. | 1,601,418 | ||||||
|
| |||||||
Construction & Engineering (2.2%) | ||||||||
40,933 | Jacobs Engineering Group, Inc. | 2,248,040 | ||||||
|
| |||||||
Containers & Packaging (2.2%) | ||||||||
34,432 | Sealed Air Corp. | 1,515,697 | ||||||
13,400 | WestRock Co. | 717,704 | ||||||
|
| |||||||
Total Containers & Packaging | 2,233,401 | |||||||
|
| |||||||
Diversified Telecommunication Services (0.8%) | ||||||||
22,900 | Zayo Group Holdings, Inc. (1) | 803,103 | ||||||
|
| |||||||
Energy Equipment & Services (4.6%) | ||||||||
30,800 | Forum Energy Technologies, Inc. (1) | 520,520 | ||||||
110,140 | Nabors Industries, Ltd. | 1,138,847 | ||||||
341,572 | Newpark Resources, Inc. (1) | 2,613,026 | ||||||
17,800 | TechnipFMC PLC (United Kingdom) (1) | 536,314 | ||||||
|
| |||||||
Total Energy Equipment & Services | 4,808,707 | |||||||
|
| |||||||
Food Products (2.2%) | ||||||||
48,500 | Conagra Brands, Inc. | 1,880,830 | ||||||
5,000 | TreeHouse Foods, Inc. (1) | 438,000 | ||||||
|
| |||||||
Total Food Products | 2,318,830 | |||||||
|
|
See accompanying notes to financial statements.
34
TCW Relative Value Mid Cap Fund
April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
Health Care Providers & Services (4.9%) | ||||||||
14,600 | Centene Corp. (1) | $ | 1,086,240 | |||||
6,700 | Cigna Corp. | 1,047,679 | ||||||
28,400 | Quest Diagnostics, Inc. | 2,996,484 | ||||||
|
| |||||||
Total Health Care Providers & Services | 5,130,403 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.0%) | ||||||||
48,800 | Bloomin’ Brands, Inc. | 1,058,472 | ||||||
|
| |||||||
Household Durables (8.1%) | ||||||||
69,855 | Beazer Homes USA, Inc. (1) | 866,901 | ||||||
25,300 | DR Horton, Inc. | 832,117 | ||||||
113,760 | KB Home | 2,343,456 | ||||||
39,000 | Lennar Corp. | 1,969,500 | ||||||
67,400 | Toll Brothers, Inc. (1) | 2,425,726 | ||||||
|
| |||||||
Total Household Durables | 8,437,700 | |||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (2.6%) | ||||||||
240,100 | AES Corp. (The) | 2,715,531 | ||||||
|
| |||||||
Insurance (2.9%) | ||||||||
10,786 | Arch Capital Group, Ltd. (1) | 1,045,918 | ||||||
50,305 | Assured Guaranty, Ltd. | 1,918,130 | ||||||
|
| |||||||
Total Insurance | 2,964,048 | |||||||
|
| |||||||
IT Services (0.7%) | ||||||||
43,900 | First Data Corp. (1) | 685,718 | ||||||
|
| |||||||
Leisure Products (0.2%) | ||||||||
9,370 | Mattel, Inc. | 210,075 | ||||||
|
| |||||||
Machinery (8.2%) | ||||||||
22,109 | Dover Corp. | 1,743,958 | ||||||
31,300 | Kennametal, Inc. | 1,301,454 | ||||||
349,600 | Manitowoc Co., Inc. (The) (1) | 2,087,112 | ||||||
31,955 | SPX FLOW, Inc. (1) | 1,154,854 | ||||||
63,798 | Terex Corp. | 2,231,654 | ||||||
|
| |||||||
Total Machinery | 8,519,032 | |||||||
|
| |||||||
Marine (1.3%) | ||||||||
18,900 | Kirby Corp. (1) | 1,334,340 | ||||||
|
| |||||||
Media (0.4%) | ||||||||
28,000 | Time, Inc. | 425,600 | ||||||
|
| |||||||
Metals & Mining (3.9%) | ||||||||
40,507 | Commercial Metals Co. | 755,050 | ||||||
103,200 | Freeport-McMoRan, Inc. (1) | 1,315,800 | ||||||
46,240 | Worthington Industries, Inc. | 2,011,440 | ||||||
|
| |||||||
Total Metals & Mining | 4,082,290 | |||||||
|
|
See accompanying notes to financial statements.
35
TCW Relative Value Mid Cap Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Multi-Utilities (0.5%) | ||||||||
12,100 | Avista Corp. | $ | 488,114 | |||||
|
| |||||||
Multiline Retail (1.5%) | ||||||||
298,187 | J.C. Penney Co., Inc. (1) | 1,604,246 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.1%) | ||||||||
39,500 | Newfield Exploration Co. (1) | 1,367,490 | ||||||
102,800 | SRC Energy, Inc. (1) | 775,112 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 2,142,602 | |||||||
|
| |||||||
Real Estate Management & Development (2.5%) | ||||||||
22,875 | Jones Lang LaSalle, Inc. | 2,627,422 | ||||||
|
| |||||||
REIT (2.2%) | ||||||||
37,200 | Kimco Realty Corp. | 754,788 | ||||||
9,300 | Life Storage, Inc. | 729,027 | ||||||
8,100 | Mid-America Apartment Communities, Inc. | 803,601 | ||||||
|
| |||||||
Total REIT | 2,287,416 | |||||||
|
| |||||||
Road & Rail (0.7%) | ||||||||
10,400 | Genesee & Wyoming, Inc. (1) | 704,704 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (9.1%) | ||||||||
172,800 | Cypress Semiconductor Corp. | 2,420,928 | ||||||
58,246 | Maxim Integrated Products, Inc. | 2,571,561 | ||||||
59,700 | Micron Technology, Inc. (1) | 1,651,899 | ||||||
8,002 | NXP Semiconductors NV (Netherlands) (1) | 846,211 | ||||||
55,311 | ON Semiconductor Corp. (1) | 784,310 | ||||||
34,248 | Teradyne, Inc. | 1,207,927 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 9,482,836 | |||||||
|
| |||||||
Software (0.5%) | ||||||||
28,400 | Nuance Communications, Inc. (1) | 508,076 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (3.9%) | ||||||||
45,880 | Western Digital Corp. | 4,086,532 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (2.7%) | ||||||||
70,143 | Coach, Inc. | 2,762,933 | ||||||
|
| |||||||
Thrifts & Mortgage Finance (0.7%) | ||||||||
56,700 | New York Community Bancorp, Inc. | 753,543 | ||||||
|
| |||||||
Total Common Stock (Cost: $74,843,168) (99.5%) | 103,455,676 | |||||||
|
| |||||||
Total Investments (Cost: $74,843,168) (99.5%) | 103,455,676 | |||||||
Excess of Other Assets over Liabilities (0.5%) | 473,374 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 103,929,050 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
See accompanying notes to financial statements.
36
TCW Relative Value Mid Cap Fund
Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.7 | % | ||
Auto Components | 3.0 | |||
Banks | 14.1 | |||
Capital Markets | 5.6 | |||
Communications Equipment | 1.5 | |||
Construction & Engineering | 2.2 | |||
Containers & Packaging | 2.2 | |||
Diversified Telecommunication Services | 0.8 | |||
Energy Equipment & Services | 4.6 | |||
Food Products | 2.2 | |||
Health Care Providers & Services | 4.9 | |||
Hotels, Restaurants & Leisure | 1.0 | |||
Household Durables | 8.1 | |||
Independent Power and Renewable Electricity Producers | 2.6 | |||
Insurance | 2.9 | |||
IT Services | 0.7 | |||
Leisure Products | 0.2 | |||
Machinery | 8.2 | |||
Marine | 1.3 | |||
Media | 0.4 | |||
Metals & Mining | 3.9 | |||
Multi-Utilities | 0.5 | |||
Multiline Retail | 1.5 | |||
Oil, Gas & Consumable Fuels | 2.1 | |||
Real Estate Management & Development | 2.5 | |||
REIT | 2.2 | |||
Road & Rail | 0.7 | |||
Semiconductors & Semiconductor Equipment | 9.1 | |||
Software | 0.5 | |||
Technology Hardware, Storage & Peripherals | 3.9 | |||
Textiles, Apparel & Luxury Goods | 2.7 | |||
Thrifts & Mortgage Finance | 0.7 | |||
|
| |||
Total | 99.5 | % | ||
|
|
See accompanying notes to financial statements.
37
TCW Relative Value Mid Cap Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 2,820,364 | $ | — | $ | — | $ | 2,820,364 | ||||||||
Auto Components | 3,076,821 | — | — | 3,076,821 | ||||||||||||
Banks | 14,686,832 | — | — | 14,686,832 | ||||||||||||
Capital Markets | 5,846,527 | — | — | 5,846,527 | ||||||||||||
Communications Equipment | 1,601,418 | — | — | 1,601,418 | ||||||||||||
Construction & Engineering | 2,248,040 | — | — | 2,248,040 | ||||||||||||
Containers & Packaging | 2,233,401 | — | — | 2,233,401 | ||||||||||||
Diversified Telecommunication Services | 803,103 | — | — | 803,103 | ||||||||||||
Energy Equipment & Services | 4,808,707 | — | — | 4,808,707 | ||||||||||||
Food Products | 2,318,830 | — | — | 2,318,830 | ||||||||||||
Health Care Providers & Services | 5,130,403 | — | — | 5,130,403 | ||||||||||||
Hotels, Restaurants & Leisure | 1,058,472 | — | — | 1,058,472 | ||||||||||||
Household Durables | 8,437,700 | — | — | 8,437,700 | ||||||||||||
Independent Power and Renewable Electricity Producers | 2,715,531 | — | — | 2,715,531 | ||||||||||||
Insurance | 2,964,048 | — | — | 2,964,048 | ||||||||||||
IT Services | 685,718 | — | — | 685,718 | ||||||||||||
Leisure Products | 210,075 | — | — | 210,075 | ||||||||||||
Machinery | 8,519,032 | — | — | 8,519,032 | ||||||||||||
Marine | 1,334,340 | — | — | 1,334,340 | ||||||||||||
Media | 425,600 | — | — | 425,600 | ||||||||||||
Metals & Mining | 4,082,290 | — | — | 4,082,290 | ||||||||||||
Multi-Utilities | 488,114 | — | — | 488,114 | ||||||||||||
Multiline Retail | 1,604,246 | — | — | 1,604,246 | ||||||||||||
Oil, Gas & Consumable Fuels | 2,142,602 | — | — | 2,142,602 | ||||||||||||
Real Estate Management & Development | 2,627,422 | — | — | 2,627,422 | ||||||||||||
REIT | 2,287,416 | — | — | 2,287,416 | ||||||||||||
Road & Rail | 704,704 | — | — | 704,704 | ||||||||||||
Semiconductors & Semiconductor Equipment | 9,482,836 | — | — | 9,482,836 | ||||||||||||
Software | 508,076 | — | — | 508,076 | ||||||||||||
Technology Hardware, Storage & Peripherals | 4,086,532 | — | — | 4,086,532 | ||||||||||||
Textiles, Apparel & Luxury Goods | 2,762,933 | — | — | 2,762,933 | ||||||||||||
Thrifts & Mortgage Finance | 753,543 | — | — | 753,543 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 103,455,676 | — | — | 103,455,676 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 103,455,676 | $ | — | $ | — | $ | 103,455,676 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
38
Schedule of Investments (Unaudited) | April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
Beverages (2.3% of Net Assets) | ||||||||
463,700 | Monster Beverage Corp. (1) | $ | 21,042,706 | |||||
|
| |||||||
Biotechnology (8.9%) | ||||||||
158,672 | Alexion Pharmaceuticals, Inc. (1) | 20,275,108 | ||||||
191,713 | BioMarin Pharmaceutical, Inc. (1) | 18,373,774 | ||||||
346,080 | Celgene Corp. (1) | 42,931,224 | ||||||
|
| |||||||
Total Biotechnology | 81,580,106 | |||||||
|
| |||||||
Capital Markets (3.1%) | ||||||||
575,170 | Charles Schwab Corp. (The) | 22,345,355 | ||||||
44,800 | S&P Global, Inc. | 6,011,712 | ||||||
|
| |||||||
Total Capital Markets | 28,357,067 | |||||||
|
| |||||||
Chemicals (1.4%) | ||||||||
91,800 | Air Products & Chemicals, Inc. | 12,897,900 | ||||||
|
| |||||||
Food & Staples Retailing (4.9%) | ||||||||
147,944 | Costco Wholesale Corp. | 26,263,019 | ||||||
229,340 | CVS Health Corp. | 18,906,789 | ||||||
|
| |||||||
Total Food & Staples Retailing | 45,169,808 | |||||||
|
| |||||||
Health Care Providers & Services (1.9%) | ||||||||
405,116 | Acadia Healthcare Co., Inc. (1) | 17,654,955 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (3.7%) | ||||||||
557,817 | Starbucks Corp. | 33,502,489 | ||||||
|
| |||||||
Insurance (4.0%) | ||||||||
266,390 | Chubb, Ltd. (Switzerland) | 36,562,028 | ||||||
|
| |||||||
Internet & Catalog Retail (9.0%) | ||||||||
46,844 | Amazon.com, Inc. (1) | 43,330,232 | ||||||
21,192 | Priceline Group, Inc. (The) (1) | 39,137,809 | ||||||
|
| |||||||
Total Internet & Catalog Retail | 82,468,041 | |||||||
|
| |||||||
Internet Software & Services (16.6%) | ||||||||
71,429 | Alphabet, Inc. — Class C (1) | 64,711,817 | ||||||
74,555 | Equinix, Inc. | 31,141,624 | ||||||
372,402 | Facebook, Inc. (1) | 55,953,400 | ||||||
|
| |||||||
Total Internet Software & Services | 151,806,841 | |||||||
|
| |||||||
IT Services (10.3%) | ||||||||
167,600 | Mastercard, Inc. | 19,495,232 | ||||||
536,460 | PayPal Holdings, Inc. (1) | 25,599,871 | ||||||
540,504 | Visa, Inc. | 49,304,775 | ||||||
|
| |||||||
Total IT Services | 94,399,878 | |||||||
|
| |||||||
Life Sciences Tools & Services (1.3%) | ||||||||
65,465 | Illumina, Inc. (1) | 12,101,860 | ||||||
|
|
See accompanying notes to financial statements.
39
TCW Select Equities Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Oil, Gas & Consumable Fuels (1.5%) | ||||||||
105,640 | Concho Resources, Inc. (1) | $ | 13,380,362 | |||||
|
| |||||||
Pharmaceuticals (2.4%) | ||||||||
89,307 | Allergan PLC (Ireland) | 21,778,405 | ||||||
|
| |||||||
Professional Services (0.8%) | ||||||||
180,599 | TransUnion (1) | 7,229,378 | ||||||
|
| |||||||
REIT (5.0%) | ||||||||
364,172 | American Tower Corp. | 45,863,822 | ||||||
|
| |||||||
Software (18.7%) | ||||||||
279,751 | Adobe Systems, Inc. (1) | 37,413,899 | ||||||
549,077 | Mobileye NV (Netherlands) (1) | 33,998,848 | ||||||
531,508 | Salesforce.com, Inc. (1) | 45,773,469 | ||||||
291,279 | ServiceNow, Inc. (1) | 27,520,040 | ||||||
413,902 | Splunk, Inc. (1) | 26,618,037 | ||||||
|
| |||||||
Total Software | 171,324,293 | |||||||
|
| |||||||
Trading Companies & Distributors (1.9%) | ||||||||
393,100 | Fastenal Co. | 17,563,708 | ||||||
|
| |||||||
Total Common Stock (Cost: $451,845,247) (97.7%) | 894,683,647 | |||||||
|
| |||||||
Money Market Investments | ||||||||
22,576,546 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (2) | 22,576,546 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $22,576,546) (2.5%) | 22,576,546 | |||||||
|
| |||||||
Total Investments (Cost: $474,421,793) (100.2%) | 917,260,193 | |||||||
Liabilities in Excess of Other Assets (-0.2%) | (1,959,619 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 915,300,574 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
See accompanying notes to financial statements.
40
TCW Select Equities Fund
Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Beverages | 2.3 | % | ||
Biotechnology | 8.9 | |||
Capital Markets | 3.1 | |||
Chemicals | 1.4 | |||
Food & Staples Retailing | 4.9 | |||
Health Care Providers & Services | 1.9 | |||
Hotels, Restaurants & Leisure | 3.7 | |||
Insurance | 4.0 | |||
Internet & Catalog Retail | 9.0 | |||
Internet Software & Services | 16.6 | |||
IT Services | 10.3 | |||
Life Sciences Tools & Services | 1.3 | |||
Oil, Gas & Consumable Fuels | 1.5 | |||
Pharmaceuticals | 2.4 | |||
Professional Services | 0.8 | |||
REIT | 5.0 | |||
Software | 18.7 | |||
Trading Companies & Distributors | 1.9 | |||
Money Market Investments | 2.5 | |||
|
| |||
Total | 100.2 | % | ||
|
|
See accompanying notes to financial statements.
41
TCW Select Equities Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Beverages | $ | 21,042,706 | $ | — | $ | — | $ | 21,042,706 | ||||||||
Biotechnology | 81,580,106 | — | — | 81,580,106 | ||||||||||||
Capital Markets | 28,357,067 | — | — | 28,357,067 | ||||||||||||
Chemicals | 12,897,900 | — | — | 12,897,900 | ||||||||||||
Food & Staples Retailing | 45,169,808 | — | — | 45,169,808 | ||||||||||||
Health Care Providers & Services | 17,654,955 | — | — | 17,654,955 | ||||||||||||
Hotels, Restaurants & Leisure | 33,502,489 | — | — | 33,502,489 | ||||||||||||
Insurance | 36,562,028 | — | — | 36,562,028 | ||||||||||||
Internet & Catalog Retail | 82,468,041 | — | — | 82,468,041 | ||||||||||||
Internet Software & Services | 151,806,841 | — | — | 151,806,841 | ||||||||||||
IT Services | 94,399,878 | — | — | 94,399,878 | ||||||||||||
Life Sciences Tools & Services | 12,101,860 | — | — | 12,101,860 | ||||||||||||
Oil, Gas & Consumable Fuels | 13,380,362 | — | — | 13,380,362 | ||||||||||||
Pharmaceuticals | 21,778,405 | — | — | 21,778,405 | ||||||||||||
Professional Services | 7,229,378 | — | — | 7,229,378 | ||||||||||||
REIT | 45,863,822 | — | — | 45,863,822 | ||||||||||||
Software | 171,324,293 | — | — | 171,324,293 | ||||||||||||
Trading Companies & Distributors | 17,563,708 | — | — | 17,563,708 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 894,683,647 | — | — | 894,683,647 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 22,576,546 | — | — | 22,576,546 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 917,260,193 | $ | — | $ | — | $ | 917,260,193 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
42
TCW Funds, Inc.
April 30, 2017 |
TCW Conservative Allocation Fund | TCW Focused Equities Fund | TCW Global Real Estate Fund | TCW High Dividend Equities Fund | TCW New America Premier Equities Fund | ||||||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||||||
ASSETS |
| |||||||||||||||||||
Investments, at Value (1) | $ | 1,927 | $ | 9,420 | $ | 3,135 | $ | 7,674 | $ | 10,014 | ||||||||||
Investment in Affiliated Issuers, at Value | 28,794 | (2) | — | — | — | — | ||||||||||||||
Foreign Currency, at Value | — | — | 2 | (3) | — | — | (3)(4) | |||||||||||||
Receivable for Securities Sold | 907 | — | — | — | 552 | |||||||||||||||
Receivable for Fund Shares Sold | — | (4) | 7 | — | — | — | ||||||||||||||
Dividends Receivable | 30 | 9 | 2 | 4 | 9 | |||||||||||||||
Foreign Tax Reclaims Receivable | — | 3 | 1 | — | — | |||||||||||||||
Receivable from Investment Advisor | 2 | 8 | 8 | 7 | 7 | |||||||||||||||
Prepaid Expenses | 20 | 17 | 20 | 20 | 25 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 31,680 | 9,464 | 3,168 | 7,705 | 10,607 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES |
| |||||||||||||||||||
Payable for Securities Purchased | 939 | — | — | — | 210 | |||||||||||||||
Payable for Fund Shares Redeemed | 100 | — | — | — | — | |||||||||||||||
Accrued Directors’ Fees and Expenses | 7 | 7 | 7 | 7 | 7 | |||||||||||||||
Accrued Management Fees | — | 5 | 2 | 4 | 7 | |||||||||||||||
Accrued Distribution Fees | — | (4) | — | (4) | — | (4) | — | (4) | — | (4) | ||||||||||
Other Accrued Expenses | 9 | 14 | 6 | 9 | 1 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 1,055 | 26 | 15 | 20 | 225 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 30,625 | $ | 9,438 | $ | 3,153 | $ | 7,685 | $ | 10,382 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||||||
Paid-in Capital | $ | 27,876 | $ | 14,278 | $ | 3,562 | $ | 7,684 | $ | 8,655 | ||||||||||
Accumulated Net Realized Gain (Loss) on Investments, Options Written and Foreign Currency | 535 | (6,431 | ) | (591 | ) | (474 | ) | 296 | ||||||||||||
Unrealized Appreciation of Investments | 2,330 | 1,591 | 183 | 479 | 1,435 | |||||||||||||||
Undistributed Net Investment Income (Loss) | (116 | ) | — | (1 | ) | (4 | ) | (4 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 30,625 | $ | 9,438 | $ | 3,153 | $ | 7,685 | $ | 10,382 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||||||||||
I Class Share | $ | 29,596 | $ | 8,569 | $ | 2,609 | $ | 7,084 | $ | 9,055 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 1,029 | $ | 869 | $ | 544 | $ | 601 | $ | 1,327 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
CAPITAL SHARES OUTSTANDING: (5) |
| |||||||||||||||||||
I Class Share | 2,525,464 | 419,512 | 268,704 | 730,035 | 702,276 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | 87,753 | 43,014 | 55,968 | 61,940 | 102,882 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSET VALUE PER SHARE: (6) |
| |||||||||||||||||||
I Class Share | $ | 11.72 | $ | 20.43 | $ | 9.71 | $ | 9.70 | $ | 12.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 11.72 | $ | 20.21 | $ | 9.71 | $ | 9.70 | $ | 12.89 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Conservative Allocation Fund, the TCW Focused Equities Fund, the TCW Global Real Estate Fund, the TCW High Dividend Equities Fund and the TCW New America Premier Equities Fund at April 30, 2017 was $1,923, $7,829, $2,952, $7,195 and $8,579, respectively. |
(2) | The identified cost for investments in affiliated issuers of the TCW Conservative Allocation Fund was $ 26,468 . |
(3) | The identified cost for the TCW Global Real Estate Fund and the TCW New America Premier Equities Fund at April 30, 2017 was $2 and $0. |
(4) | Amount rounds to less than $1. |
(5) | The number of authorized shares, with a par value of $0.001 per share, 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.
43
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2017 |
TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | TCW Select Equities Fund | |||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||
ASSETS |
| |||||||||||||||
Investments, at Value (1) | $ | 692,709 | $ | 478,030 | $ | 103,456 | $ | 917,260 | ||||||||
Receivable for Securities Sold | 673 | 1,756 | 2,357 | — | ||||||||||||
Receivable for Fund Shares Sold | 156 | 371 | 61 | 334 | ||||||||||||
Dividends Receivable | 825 | 422 | 41 | 386 | ||||||||||||
Receivable from Investment Advisor | 40 | 3 | 3 | 7 | ||||||||||||
Prepaid Expenses | 32 | 25 | 19 | 39 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 694,435 | 480,607 | 105,937 | 918,026 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES |
| |||||||||||||||
Payable for Securities Purchased | 4,763 | 3,058 | 875 | 233 | ||||||||||||
Payable for Fund Shares Redeemed | 441 | 123 | 72 | 1,547 | ||||||||||||
Disbursements in Excess of Available Cash | — | — | 960 | — | ||||||||||||
Accrued Directors’ Fees and Expenses | 7 | 7 | 7 | 7 | ||||||||||||
Accrued Management Fees | 422 | 253 | 69 | 552 | ||||||||||||
Accrued Distribution Fees | 131 | 4 | 4 | 28 | ||||||||||||
Other Accrued Expenses | 161 | 146 | 21 | 358 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 5,925 | 3,591 | 2,008 | 2,725 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 688,510 | $ | 477,016 | $ | 103,929 | $ | 915,301 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in Capital | $ | 441,314 | $ | 249,037 | $ | 73,180 | $ | 276,992 | ||||||||
Accumulated Net Realized Gain on Investments | 145,344 | 53,031 | 2,392 | 197,279 | ||||||||||||
Unrealized Appreciation of Investments | 99,876 | 173,259 | 28,613 | 442,838 | ||||||||||||
Undistributed Net Investment Income (Loss) | 1,976 | 1,689 | (256 | ) | (1,808 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 688,510 | $ | 477,016 | $ | 103,929 | $ | 915,301 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||||||
I Class Share | $ | 150,242 | $ | 455,953 | $ | 83,797 | $ | 774,611 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 538,268 | $ | 21,063 | $ | 20,132 | $ | 140,690 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (2) |
| |||||||||||||||
I Class Share | 8,089,489 | 19,989,212 | 3,551,538 | 28,094,508 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 28,487,032 | 925,687 | 875,514 | 5,490,727 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (3) |
| |||||||||||||||
I Class Share | $ | 18.57 | $ | 22.81 | $ | 23.59 | $ | 27.57 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 18.90 | $ | 22.75 | $ | 22.99 | $ | 25.62 | ||||||||
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Relative Value Dividend Appreciation Fund, the TCW Relative Value Large Cap Fund, the TCW Relative Value Mid Cap Fund and the TCW Select Equities Fund at April 30, 2017 was $592,833, $304,771, $74,843 and $474,422, respectively. |
(2) | The number of authorized shares, with a par value of $0.001 per share, is 4,000,000,000 for each of the I Class and N Class shares. |
(3) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
44
TCW Funds, Inc.
Six Months Ended April 30, 2017 |
TCW Conservative Allocation Fund | TCW Focused Equities Fund | TCW Global Real Estate Fund | TCW High Dividend Equities Fund | TCW New America Premier Equities Fund | ||||||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||||||
INVESTMENT INCOME |
| |||||||||||||||||||
Income: |
| |||||||||||||||||||
Dividends | $ | 2 | $ | 84 | (1) | $ | 73 | (1) | $ | 126 | $ | 60 | (1) | |||||||
Dividends from Investment in Affiliated Issuers | 275 | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 277 | 84 | 73 | 126 | 60 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: |
| |||||||||||||||||||
Management Fees | — | 32 | 12 | 25 | 37 | |||||||||||||||
Accounting Services Fees | 3 | 2 | 1 | 1 | 1 | |||||||||||||||
Administration Fees | 1 | 1 | 1 | 1 | 1 | |||||||||||||||
Transfer Agent Fees: |
| |||||||||||||||||||
I Class | 4 | 3 | 2 | 2 | 2 | |||||||||||||||
N Class | 3 | 2 | 2 | 2 | 2 | |||||||||||||||
Custodian Fees | 1 | 2 | 3 | 3 | 3 | |||||||||||||||
Professional Fees | 9 | 13 | 10 | 10 | 9 | |||||||||||||||
Directors’ Fees and Expenses | 15 | 15 | 15 | 15 | 15 | |||||||||||||||
Registration Fees: |
| |||||||||||||||||||
I Class | 8 | 9 | 8 | 9 | 12 | |||||||||||||||
N Class | 8 | 9 | 8 | 8 | 12 | |||||||||||||||
Distribution Fees: |
| |||||||||||||||||||
N Class | 1 | 1 | 1 | 1 | 2 | |||||||||||||||
Shareholder Reporting Expense | — | (2) | — | (2) | — | (2) | — | (2) | — | (2) | ||||||||||
Other | 3 | 3 | 2 | 2 | 1 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 56 | 92 | 65 | 79 | 97 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||||||
I Class | — | 25 | 30 | 24 | 31 | |||||||||||||||
N Class | 9 | 14 | 15 | 12 | 18 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 47 | 53 | 20 | 43 | 48 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income | 230 | 31 | 53 | 83 | 12 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net Realized Gain (Loss) on: |
| |||||||||||||||||||
Investments | — | 178 | (79 | ) | 187 | 298 | ||||||||||||||
Investments in Affiliated Issuers | 140 | — | — | — | — | |||||||||||||||
Realized Gain Distributed from Affiliated Issuers | 448 | — | — | — | — | |||||||||||||||
Foreign Currency | — | — | (3 | ) | — | (1 | ) | |||||||||||||
Options Written | — | — | — | 2 | — | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||
Investments | 4 | 834 | 156 | 398 | 1,215 | |||||||||||||||
Foreign Currency | — | — | — | — | — | (2) | ||||||||||||||
Investments in Affiliated Issuers | 119 | — | — | — | — | |||||||||||||||
Options Written | — | — | — | 6 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 711 | 1,012 | 74 | 593 | 1,512 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 941 | $ | 1,043 | $ | 127 | $ | 676 | $ | 1,524 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $0, $1 and $0 for the TCW Focused Equities Fund, the TCW Global Real Estate Fund and the TCW New America Premier Equities Fund, respectively. |
(2) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
45
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2017 |
TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | TCW Select Equities Fund | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Income: | ||||||||||||||||
Dividends | $ | 14,567 | (1) | $ | 5,107 | $ | 785 | (1) | $ | 3,399 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | 14,567 | 5,107 | 785 | 3,399 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management Fees | 3,491 | 1,592 | 420 | 4,150 | ||||||||||||
Accounting Services Fees | 48 | 27 | 5 | 68 | ||||||||||||
Administration Fees | 31 | 16 | 3 | 41 | ||||||||||||
Transfer Agent Fees: | ||||||||||||||||
I Class | 58 | 222 | 20 | 564 | ||||||||||||
N Class | 460 | 11 | 8 | 74 | ||||||||||||
Custodian Fees | 2 | 2 | 2 | 3 | ||||||||||||
Professional Fees | 32 | 19 | 15 | 25 | ||||||||||||
Directors’ Fees and Expenses | 15 | 15 | 15 | 15 | ||||||||||||
Registration Fees: | ||||||||||||||||
I Class | 10 | 11 | 9 | 17 | ||||||||||||
N Class | 17 | 10 | 9 | 12 | ||||||||||||
Distribution Fees: | ||||||||||||||||
N Class | 1,135 | 26 | 25 | 173 | ||||||||||||
Shareholder Reporting Expense | 3 | 1 | — | (2) | 4 | |||||||||||
Other | 59 | 33 | 9 | 100 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 5,361 | 1,985 | 540 | 5,246 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
N Class | 184 | 15 | 15 | 40 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 5,177 | 1,970 | 525 | 5,206 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 9,390 | 3,137 | 260 | (1,807 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Net Realized Gain on: |
| |||||||||||||||
Investments | 74,204 | 54,167 | 4,703 | 198,757 | ||||||||||||
In-kind Redemptions | 116,778 | — | — | — | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | (86,729 | ) | 9,656 | 11,960 | (79,386 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 104,253 | 63,823 | 16,663 | 119,371 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 113,643 | $ | 66,960 | $ | 16,923 | $ | 117,564 | ||||||||
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $33 and $3 for the TCW Relative Value Dividend Appreciation Fund and the TCW Relative Value Mid Cap Fund, respectively. |
(2) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
46
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Conservative Allocation Fund | TCW Focused Equities Fund | |||||||||||||||
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income | $ | 230 | $ | 446 | $ | 31 | $ | 106 | ||||||||
Net Realized Gain (Loss) on Investments | 588 | 1,451 | 178 | (230 | ) | |||||||||||
Change in Unrealized Appreciation on Investments | 123 | (1,658 | ) | 834 | 214 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 941 | 239 | 1,043 | 90 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: |
| |||||||||||||||
I Class | (666 | ) | (465 | ) | (119 | ) | (64 | ) | ||||||||
N Class | (20 | ) | (18 | ) | (12 | ) | (13 | ) | ||||||||
Distributions from Net Realized Gain: |
| |||||||||||||||
I Class | (1,136 | ) | (689 | ) | — | — | ||||||||||
N Class | (49 | ) | (40 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (1,871 | ) | (1,212 | ) | (131 | ) | (77 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 1,505 | (4,003 | ) | (1,160 | ) | (559 | ) | |||||||||
N Class | (529 | ) | (230 | ) | (175 | ) | (433 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 976 | (4,233 | ) | (1,335 | ) | (992 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 46 | (5,206 | ) | (423 | ) | (979 | ) | |||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 30,579 | 35,785 | 9,861 | 10,840 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 30,625 | $ | 30,579 | $ | 9,438 | $ | 9,861 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | (116 | ) | $ | 340 | $ | — | $ | 100 |
See accompanying notes to financial statements.
47
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Global Real Estate Fund | TCW High Dividend Equities Fund | |||||||||||||||
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income | $ | 53 | $ | 123 | $ | 83 | $ | 166 | ||||||||
Net Realized Gain (Loss) on Investments, Options Written and Foreign Currency Transactions | (82 | ) | (518 | ) | 189 | (442 | ) | |||||||||
Change in Unrealized Appreciation on Investments and Options Written | 156 | 69 | 404 | 412 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 127 | (326 | ) | 676 | 136 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: |
| |||||||||||||||
I Class | (43 | ) | (98 | ) | (81 | ) | (143 | ) | ||||||||
N Class | (10 | ) | (15 | ) | (6 | ) | (10 | ) | ||||||||
Distributions from Net Realized Gain: |
| |||||||||||||||
I Class | — | (5 | ) | — | — | |||||||||||
N Class | — | (1 | ) | — | — | |||||||||||
Distributions from Return of Capital: |
| |||||||||||||||
I Class | — | (10 | ) | — | (15 | ) | ||||||||||
N Class | — | (2 | ) | — | (1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (53 | ) | (131 | ) | (87 | ) | (169 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | (947 | ) | (380 | ) | (4,988 | ) | 7,588 | |||||||||
N Class | 10 | 23 | 89 | (38 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (937 | ) | (357 | ) | (4,899 | ) | 7,550 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (863 | ) | (814 | ) | (4,310 | ) | 7,517 | |||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 4,016 | 4,830 | 11,995 | 4,478 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 3,153 | $ | 4,016 | $ | 7,685 | $ | 11,995 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | (1 | ) | $ | (1 | ) | $ | (4 | ) | $ | — |
See accompanying notes to financial statements.
48
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW New America Premier Equities Fund | TCW Relative Value Dividend Appreciation Fund | |||||||||||||||
Six Months Ended April 30, 2017 (Unaudited) | January 29, 2016 Commencement of Operations) through October 31, 2016 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 12 | $ | 25 | $ | 9,390 | $ | 19,857 | ||||||||
Net Realized Gain on Investments, In-Kind Redemptions and Foreign Currency Transactions | 297 | 130 | 190,982 | 46,231 | ||||||||||||
Change in Unrealized Appreciation on Investments | 1,215 | 220 | (86,729 | ) | (19,557 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 1,524 | 375 | 113,643 | 46,531 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: |
| |||||||||||||||
I Class | (37 | ) | — | (1,588 | ) | (3,005 | ) | |||||||||
N Class | (5 | ) | — | (7,487 | ) | (14,089 | ) | |||||||||
Distributions from Net Realized Gain: |
| |||||||||||||||
I Class | (115 | ) | — | — | — | |||||||||||
N Class | (17 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (174 | ) | — | (9,075 | ) | (17,094 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 4,733 | 2,891 | (31,954 | ) | (14,631 | ) | ||||||||||
N Class | 28 | 1,005 | (425,856 | ) | (27,292 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 4,761 | 3,896 | (457,810 | ) | (41,923 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 6,111 | 4,271 | (353,242 | ) | (12,486 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 4,271 | — | 1,041,752 | 1,054,238 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 10,382 | $ | 4,271 | $ | 688,510 | $ | 1,041,752 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | (4 | ) | $ | 26 | $ | 1,976 | $ | 1,661 |
See accompanying notes to financial statements.
49
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, 2017 (Unaudited) | Year Ended October 31, 2016 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income | $ | 3,137 | $ | 9,468 | $ | 260 | $ | 877 | ||||||||
Net Realized Gain (Loss) on Investments | 54,167 | 33,789 | 4,703 | (1,293 | ) | |||||||||||
Change in Unrealized Appreciation on Investments | 9,656 | (30,718 | ) | 11,960 | 2,273 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 66,960 | 12,539 | 16,923 | 1,857 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: |
| |||||||||||||||
I Class | (8,711 | ) | (7,528 | ) | (479 | ) | (644 | ) | ||||||||
N Class | (328 | ) | (227 | ) | (79 | ) | (81 | ) | ||||||||
Distributions from Net Realized Gain: |
| |||||||||||||||
I Class | (23,770 | ) | (25,919 | ) | — | (11,118 | ) | |||||||||
N Class | (1,014 | ) | (975 | ) | — | (2,394 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (33,823 | ) | (34,649 | ) | (558 | ) | (14,237 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | (55,984 | ) | (166,273 | ) | (4,374 | ) | (8,116 | ) | ||||||||
N Class | 159 | (4,954 | ) | 259 | (740 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (55,825 | ) | (171,227 | ) | (4,115 | ) | (8,856 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (22,688 | ) | (193,337 | ) | 12,250 | (21,236 | ) | |||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 499,704 | 693,041 | 91,679 | 112,915 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 477,016 | $ | 499,704 | $ | 103,929 | $ | 91,679 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | 1,689 | $ | 7,591 | $ | (256 | ) | $ | 42 |
See accompanying notes to financial statements.
50
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Select Equities Fund | ||||||||
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | |||||||
Dollar Amounts in Thousands | ||||||||
OPERATIONS | ||||||||
Net Investment Loss | $ | (1,807 | ) | $ | (6,696 | ) | ||
Net Realized Gain on Investments | 198,757 | 100,802 | ||||||
Change in Unrealized Appreciation on Investments | (79,386 | ) | (206,536 | ) | ||||
|
|
|
| |||||
Increase (Decrease) in Net Assets Resulting from Operations | 117,564 | (112,430 | ) | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Distributions from Net Realized Gain: |
| |||||||
I Class | (74,718 | ) | (115,798 | ) | ||||
N Class | (9,066 | ) | (21,972 | ) | ||||
|
|
|
| |||||
Total Distributions to Shareholders | (83,784 | ) | (137,770 | ) | ||||
|
|
|
| |||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||
I Class | (516,531 | ) | (158,555 | ) | ||||
N Class | (17,744 | ) | (78,565 | ) | ||||
|
|
|
| |||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (534,275 | ) | (237,120 | ) | ||||
|
|
|
| |||||
Decrease in Net Assets | (500,495 | ) | (487,320 | ) | ||||
NET ASSETS | ||||||||
Beginning of Period | 1,415,796 | 1,903,116 | ||||||
|
|
|
| |||||
End of Period | $ | 915,301 | $ | 1,415,796 | ||||
|
|
|
| |||||
Undistributed Net Investment Loss | $ | (1,808 | ) | $ | (1 | ) |
See accompanying notes to financial statements.
51
TCW Funds, Inc.
Notes to Financial Statements (Unaudited)
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), that currently offers 21 no-load mutual funds (each series, a “Fund” and collectively, the “Funds”). TCW Investment Management Company LLC (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940, as amended. Each Fund has distinct investment objectives. The following are the objectives for the 9 U.S. Equity Funds that are covered in this report:
TCW Fund | Investment Objective | |
Diversified U.S. Equity Funds | ||
TCW Focused Equities 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 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 of U.S. issuers with history of paying high dividends. | |
TCW New America Premier Equities Fund | Seeks to provide long-term capital appreciation by investing at least 80% under normal circumstances of the value of its net assets in companies with enduring, cash generating business whose leaders prudently manage their environmental, social, and financial resources and whose shares are attractively valued relative to free cash flow generating by the businesses. | |
TCW Relative Value Dividend Appreciation Fund | Seeks to realize a high level of dividend income along with capital appreciation 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 Index. |
52
TCW Funds, Inc.
April 30, 2017 |
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 that the portfolio manager believes to have strong and enduring business models and inherent advantages over their competitors. | |
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 may also invests in ETFs. |
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 is a “fund of funds” that invests in affiliated funds which are identified on the Schedule of Investments.
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 (“GAAP”) and which are consistently followed by the Funds in the preparation of their financial statements. 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 Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Net Asset Value: The net asset value (“NAV”) per share 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 on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Equity securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using official closing prices as reported by NASDAQ. Options on equity securities and options on indexes are valued using mid prices (average of bid and ask prices) as reported by the exchange or pricing service. Investments in open-end mutual funds are valued based on the NAV per share as reported by the fund companies. 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.
The Company has adopted, after the approval by the Company’s Board of Directors (the “Board” and each member thereof a “Director”), 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 foreign exchanges that have been closed for a
53
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 by the Advisor in good faith under procedures established by and under the general supervision of the Board.
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 GAAP, the Funds disclose investments in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value based on inputs. 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.
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.
54
TCW Funds, Inc.
April 30, 2017 |
Note 2 — Significant Accounting Policies (Continued)
Fair Value Measurements: A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are generally categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are 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 and are categorized in Level 2 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 NAV as reported by the fund companies. As such, they are categorized in Level 1.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
The summary of the inputs used as of April 30, 2017 in valuing the Funds’ investments is listed after each Fund’s Schedule of Investments.
The Funds held no investments or other financial instruments at April 30, 2017 for which fair value was calculated using Level 3 inputs.
The TCW Global Real Estate Fund had a transfer of $101,312 out Level 2 into Level 1 of the fair value hierarchy. The transfer between Level 2 and Level 1 of the fair value hierarchy during the period ended April 30, 2017 was due to change in valuation from the fair value price to the exchange closing price. None of the other Funds had any transfers in and out of Level 1 and Level 2 of the fair value hierarchy for the period ended April 30, 2017.
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.
55
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 which are valued 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, 2017, 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 Number of Contracts):
Equity Risk | Total | |||||||
TCW Global Real Estate Fund | ||||||||
Statement of Operations: | ||||||||
Realized (Loss) | ||||||||
Investments (1) | $ | (7 | ) | $ | (7 | ) | ||
|
|
|
| |||||
Total Realized (Loss) | $ | (7 | ) | $ | (7 | ) | ||
|
|
|
| |||||
Number of Contracts (2) | ||||||||
Options Purchased | 29 | 29 | ||||||
TCW High Dividend Equities Fund | ||||||||
Statement of Operations: | ||||||||
Realized (Loss) | ||||||||
Investments (1) | $ | (132 | ) | $ | (132 | ) | ||
Options Written | 2 | 2 | ||||||
|
|
|
| |||||
Total Realized (Loss) | $ | (130 | ) | $ | (130 | ) | ||
|
|
|
| |||||
Change in Appreciation (Depreciation) | ||||||||
Investments (1) | $ | 21 | $ | 21 | ||||
Options Written | 6 | 6 | ||||||
|
|
|
| |||||
Total Change in Appreciation | $ | 27 | $ | 27 | ||||
|
|
|
| |||||
Number of Contracts (2) | ||||||||
Options Purchased | 176 | 176 | ||||||
Options Written | 14 | 14 |
(1) | Represents purchased options, at value. |
(2) | Amount disclosed represents average number of contracts, which are representative of the volume traded for the period ended April 30, 2017. |
Options: The Funds purchase and sell put and call options on a security or 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 put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise 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
56
TCW Funds, Inc.
April 30, 2017 |
Note 2 — Significant Accounting Policies (Continued)
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 traded on a securities or options exchange 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 six months ended April 30, 2017, the TCW High Dividend Equities Fund had written option contracts to increase the yield of the Fund. Transactions in written option contracts for the six months ended April 30, 2017 were as follows:
TCW High Dividend Equities Fund | ||||||||
Call Contracts | Call Premiums | |||||||
Options outstanding at October 31, 2016 | 16 | $ | 9,423 | |||||
Options written | — | — | ||||||
Options terminated in closing purchase transactions | — | — | ||||||
Options exercised | (3 | ) | (7,656 | ) | ||||
Options expired | (13 | ) | (1,767 | ) | ||||
|
|
|
| |||||
Options outstanding at April 30, 2017 | — | $ | — | |||||
|
|
|
|
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
57
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 a 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 monitors the obligations under these transactions on a daily basis and ensures that the Fund has sufficient liquid assets to cover them.
Repurchase Agreements: The Funds may enter into Repurchase Agreements, under the terms of a Master Repurchase Agreement (“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. There were no repurchase agreements outstanding as of April 30, 2017.
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, 2017.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the share classes 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 for each class, and in turn differences in dividends paid 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.
58
TCW Funds, Inc.
April 30, 2017 |
Note 2 — Significant Accounting Policies (Continued)
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from GAAP. 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 differences which will reverse in subsequent periods. Any taxable income or capital gain remaining at fiscal year-end is distributed in the following year. Distributions received from real estate investment trusts may include return of capital which is treated as a reduction in the cost basis of those investments. Distributions received, if any, in excess of the cost basis of a security is 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.
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.
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.
59
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 4 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At April 30, 2017, 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 Conservative Allocation Fund | $ | 2,403 | $ | (109 | ) | $ | 2,294 | $ | 28,427 | |||||||
TCW Focused Equities Fund | 1,674 | (130 | ) | 1,544 | 7,876 | |||||||||||
TCW Global Real Estate Fund | 245 | (81 | ) | 164 | 2,971 | |||||||||||
TCW High Dividend Equities Fund | 488 | (108 | ) | 380 | 7,294 | |||||||||||
TCW New America Premier Equities Fund | 1,445 | (13 | ) | 1,432 | 8,582 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | 139,568 | (37,527 | ) | 102,041 | 590,668 | |||||||||||
TCW Relative Value Large Cap Fund | 179,677 | (7,434 | ) | 172,243 | 305,787 | |||||||||||
TCW Relative Value Mid Cap Fund | 30,463 | (2,718 | ) | 27,745 | 75,711 | |||||||||||
TCW Select Equities Fund | 456,393 | (14,370 | ) | 442,023 | 475,237 |
At October 31, 2016, 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 Conservative Allocation Fund | $ | 341 | $ | 1,185 | $ | 1,526 | ||||||
TCW Focused Equities Fund | 109 | — | 109 | |||||||||
TCW New America Premier Equities Fund | 160 | — | 160 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 1,661 | — | 1,661 | |||||||||
TCW Relative Value Large Cap Fund | 7,592 | 24,779 | 32,371 | |||||||||
TCW Relative Value Mid Cap Fund | 42 | — | 42 | |||||||||
TCW Select Equities Fund | — | 83,783 | 83,783 |
For the fiscal year ended October 31, 2016, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Return Of Capital | Total Distributions | |||||||||||||
TCW Conservative Allocation Fund | $ | 483 | $ | 729 | $ | — | $ | 1,212 | ||||||||
TCW Focused Equities Fund | 77 | — | — | 77 | ||||||||||||
TCW Global Real Estate Fund | 113 | 6 | 12 | 131 | ||||||||||||
TCW Growth Equities Fund | — | 3,201 | — | 3,201 | ||||||||||||
TCW High Dividend Equities Fund | 153 | — | 16 | 169 | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 17,094 | — | — | 17,094 | ||||||||||||
TCW Relative Value Large Cap Fund | 7,755 | 26,894 | — | 34,649 | ||||||||||||
TCW Relative Value Mid Cap Fund | 725 | 13,512 | — | 14,237 | ||||||||||||
TCW Select Equities Fund | 12,885 | 124,885 | — | 137,770 |
60
TCW Funds, Inc.
April 30, 2017 |
Note 4 — Federal Income Taxes (Continued)
At October 31, 2016, the following Funds had net realized loss carryforwards for federal income tax purposes (amounts in thousands):
No Expiration (2) | ||||||||||||||||
Expiring in 2017 (1) | Short-Term Capital Losses | Long-Term Capital Losses | Total | |||||||||||||
TCW Focused Equities Fund | $ | 6,357 | $ | 88 | $ | 121 | $ | 6,566 | ||||||||
TCW Global Real Estate Fund | — | 397 | 106 | 503 | ||||||||||||
TCW High Dividend Equities Fund | — | 590 | 54 | 644 | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 48,142 | — | — | 48,142 | ||||||||||||
TCW Relative Value Mid Cap Fund (1) | — | 530 | 565 | 1,095 |
(1) | Losses incurred prior to December 22, 2010. |
(2) | Losses incurred after December 22, 2010. |
The Funds did not have any unrecognized tax benefits at April 30, 2017, nor were there any increases or decreases in unrecognized tax benefits for the period ended April 30, 2017. 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 NAV:
TCW Focused Equities Fund | 0.65 | % | ||
TCW Global Real Estate Fund | 0.80 | % | ||
TCW High Dividend Equities Fund | 0.65 | % | ||
TCW New America Premier Equities Fund | 0.80 | % | ||
TCW Relative Value Dividend Appreciation Fund | 0.65 | % | ||
TCW Relative Value Large Cap Fund | 0.65 | % | ||
TCW Relative Value Mid Cap Fund | 0.80 | % | ||
TCW Select Equities Fund | 0.75 | % |
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.
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 Conservative Allocation Fund | ||||
I Class | 0.85 | % (1) | ||
N Class | 0.85 | % (1) | ||
TCW Focused Equities Fund | ||||
I Class | 1.09 | % (1) | ||
N Class | 1.09 | % (1) | ||
TCW Global Real Estate Fund | ||||
I Class | 1.46 | % (1) | ||
N Class | 1.46 | % (1) | ||
TCW High Dividend Equities Fund | ||||
I Class | 1.18 | % (1) | ||
N Class | 1.18 | % (1) | ||
TCW New America Premier Equities Fund | ||||
I Class | 1.04 | % (1) | ||
N Class | 1.04 | % (1) |
61
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 5 — Fund Management Fees and Other Expenses (Continued)
TCW Relative Value Dividend Appreciation Fund | ||||
I Class | 1.00 | % (1) | ||
N Class | 1.00 | % (1) | ||
TCW Relative Value Large Cap Fund | ||||
I Class | 1.00 | % (1) | ||
N Class | 1.00 | % (1) | ||
TCW Relative Value Mid Cap Fund | ||||
I Class | 1.16 | % (1) | ||
N Class | 1.16 | % (1) | ||
TCW Select Equities Fund | ||||
I Class | 1.11 | % (2) | ||
N Class | 1.11 | % (2) |
(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, 2017. These limitations are voluntary and terminable in a six month notice. |
The amount borne by the Advisor during a fiscal year when the operating expenses of a Fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop below the expense limitation in the subsequent years. The Advisor can only recapture expenses within a given fiscal year for that year’s operating expenses.
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which are shown on the Statement of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Total accrued and deferred amounts are recorded on the Fund’s books as other 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.
62
TCW Funds, Inc.
April 30, 2017 |
Note 7 — Transactions with Affiliates
The summary of the TCW Conservative Allocation Fund transactions in the affiliated funds for the period ended April 30, 2017 is as follows:
Name of | Number of Shares Held Beginning of Period | Gross Additions | Gross Reductions | Number of Shares Held End of Period | Value at End of Period (In Thousands) | Dividends and Interest Income Received (In Thousands) | Distributions Received from Net Realized Gain (In thousands) | |||||||||||||||||||||
Metropolitan West Low Duration Fund—I Class |
| |||||||||||||||||||||||||||
354,750 | 13,648 | (23,397 | ) | 345,001 | $ | 3,012 | $ | 20 | $ | 5 | ||||||||||||||||||
Metropolitan West Total Return Bond Fund—I Class |
| |||||||||||||||||||||||||||
391,564 | 21,305 | (26,086 | ) | 386,783 | 4,111 | 40 | 57 | |||||||||||||||||||||
Metropolitan West Unconstrained Bond Fund—I Class |
| |||||||||||||||||||||||||||
— | 513,557 | (9,673 | ) | 503,884 | 5,996 | 32 | — | |||||||||||||||||||||
TCW / Gargoyle Dynamic 500 Fund—I Class |
| |||||||||||||||||||||||||||
— | 237,548 | (9,846 | ) | 227,702 | 2,509 | 10 | 8 | |||||||||||||||||||||
TCW / Gargoyle Hedged Value Fund—I Class |
| |||||||||||||||||||||||||||
195,801 | 8,306 | (111,295 | ) | 92,812 | 856 | 21 | — | |||||||||||||||||||||
TCW Global Bond Fund—I Class |
| |||||||||||||||||||||||||||
75,764 | 3,695 | (5,029 | ) | 74,430 | 714 | 6 | 5 | |||||||||||||||||||||
TCW Global Real Estate Fund—I Class |
| |||||||||||||||||||||||||||
120,731 | — | (120,731 | ) | — | — | — | — | |||||||||||||||||||||
TCW High Dividend Equities Fund—I Class |
| |||||||||||||||||||||||||||
351,990 | 5,536 | (227,261 | ) | 130,265 | 1,264 | 14 | — | |||||||||||||||||||||
TCW International Growth Fund—I Class |
| |||||||||||||||||||||||||||
77,502 | 2,942 | (5,128 | ) | 75,316 | 810 | 6 | — | |||||||||||||||||||||
TCW New America Premier Equities Fund—I Class |
| |||||||||||||||||||||||||||
— | 143,708 | (9,109 | ) | 134,599 | 1,735 | 7 | 23 | |||||||||||||||||||||
TCW Relative Value Large Cap Fund—I Class |
| |||||||||||||||||||||||||||
124,211 | 8,742 | (41,978 | ) | 90,975 | 2,075 | 35 | 95 | |||||||||||||||||||||
TCW Select Equities Fund—I Class |
| |||||||||||||||||||||||||||
96,331 | 6,414 | (34,008 | ) | 68,737 | 1,895 | — | 102 | |||||||||||||||||||||
TCW Total Return Bond Fund—I Class |
| |||||||||||||||||||||||||||
995,444 | 38,122 | (649,930 | ) | 383,636 | 3,817 | 84 | 153 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 28,794 | $ | 275 | $ | 448 | ||||||||||||||||||||||
|
|
|
|
|
|
The ownership percentage of the TCW Conservative Allocation Fund in each of the affiliated underlying funds at April 30, 2017 is as follows:
Name of Affiliated Fund | Ownership Percentage (1) | |||
Metropolitan West Low Duration Bond Fund | 0.10 | % | ||
Metropolitan West Total Return Bond Fund | 0.01 | % | ||
Metropolitan West Unconstrained Bond Fund | 0.17 | % | ||
TCW / Gargoyle Dynamic 500 Fund | 43.10 | % | ||
TCW / Gargoyle Hedged Value Fund | 1.85 | % | ||
TCW Global Bond Fund | 4.45 | % | ||
TCW High Dividend Equities Fund | 16.44 | % | ||
TCW International Growth Fund | 22.98 | % | ||
TCW New America Premier Equities Fund | 16.71 | % | ||
TCW Relative Value Large Cap Fund | 0.44 | % | ||
TCW Select Equities Fund | 0.21 | % | ||
TCW Total Return Bond Fund | 0.04 | % |
(1) | Percentage ownership based on total net assets of the underlying fund. |
63
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 7 — Transactions with Affiliates (Continued)
The financial statements of the Funds not contained in this report are available by calling 800-FUND-TCW (800-386-3829) or by going to the SEC website at www.sec.gov.
Note 8 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the six months ended April 30, 2017 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 Conservative Allocation Fund | $ | 13,640 | $ | 13,959 | $ | — | $ | — | ||||||||
TCW Focused Equities Fund | 794 | 2,466 | — | — | ||||||||||||
TCW Global Real Estate Fund | 640 | 1,755 | — | — | ||||||||||||
TCW High Dividend Equities Fund | 4,823 | 9,569 | — | — | ||||||||||||
TCW New America Premier Equities Fund | 10,754 | 6,157 | — | — | ||||||||||||
TCW Relative Value Large Cap Fund | 61,868 | 154,779 | — | — | ||||||||||||
TCW Relative Value Mid Cap Fund | 17,204 | 21,830 | — | — | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 134,603 | 218,473 | — | — | ||||||||||||
TCW Select Equities Fund | 123,431 | 732,033 | — | — |
During the six months ended April 30, 2017, the TCW Relative Value Dividend Appreciation Fund delivered securities in exchange for shares redeemed by a shareholder in an in-kind redemption valued at $373,555 (amount in thousands) on the date of transfer. The shareholder is a nonaffiliate of the Advisor. For financial reporting purposes, the Fund recognizes a gain or loss on the transfer of securities; however, the gain or loss is not recognized for tax purposes and is reclassified from undistributed realized gain (loss) to paid-in capital. The Fund realized $116,778 (amount in thousands) of net gain attributable to the in-kind redemption.
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Conservative Allocation Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 129,408 | $ | 1,510 | 266,269 | $ | 3,156 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 155,467 | 1,761 | 94,762 | 1,131 | ||||||||||||
Shares Redeemed | (149,533 | ) | (1,766 | ) | (683,727 | ) | (8,290 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 135,342 | $ | 1,505 | (322,696 | ) | $ | (4,003 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 20,381 | $ | 244 | 40,211 | $ | 479 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 5,978 | 68 | 4,787 | 57 | ||||||||||||
Shares Redeemed | (70,898 | ) | (841 | ) | (63,507 | ) | (766 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (44,539 | ) | $ | (529 | ) | (18,509 | ) | $ | (230 | ) | ||||||
|
|
|
|
|
|
|
|
64
TCW Funds, Inc.
April 30, 2017 |
Note 9 — Capital Share Transactions (Continued)
TCW Focused Equities Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,637 | $ | 74 | 205,905 | $ | 3,451 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 5,551 | 109 | 2,922 | 55 | ||||||||||||
Shares Redeemed | (66,646 | ) | (1,343 | ) | (214,385 | ) | (4,065 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (57,458 | ) | $ | (1,160 | ) | (5,558 | ) | $ | (559 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 627 | $ | 13 | 1,638 | $ | 29 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 629 | 12 | 688 | 13 | ||||||||||||
Shares Redeemed | (10,104 | ) | (200 | ) | (25,999 | ) | (475 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (8,848 | ) | $ | (175 | ) | (23,673 | ) | $ | (433 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Global Real Estate Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 25,907 | $ | 250 | 184,189 | $ | 1,795 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 4,408 | 42 | 11,410 | 112 | ||||||||||||
Shares Redeemed | (133,261 | ) | (1,239 | ) | (269,042 | ) | (2,287 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (102,946 | ) | $ | (947 | ) | (73,443 | ) | $ | (380 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 538 | $ | 5 | 568 | $ | 5 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,017 | 10 | 1,801 | 18 | ||||||||||||
Shares Redeemed | (539 | ) | (5 | ) | (10 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,016 | $ | 10 | 2,359 | $ | 23 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW High Dividend Equities Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 10,557 | $ | 103 | 912,708 | $ | 8,121 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 7,328 | 70 | 15,211 | 138 | ||||||||||||
Shares Redeemed | (581,233 | ) | (5,161 | ) | (76,372 | ) | (671 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (563,348 | ) | $ | (4,988 | ) | 851,547 | $ | 7,588 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 8,769 | $ | 83 | 1,406 | $ | 12 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 654 | 6 | 1,234 | 11 | ||||||||||||
Shares Redeemed | — | — | (6,727 | ) | (61 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 9,423 | $ | 89 | (4,087 | ) | $ | (38 | ) | ||||||||
|
|
|
|
|
|
|
|
65
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW New America Premier Equities Fund | Six Months Ended April 30, 2017 (Unaudited) | January 29, 2016 (Commencement of Operations) through October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 438,979 | $ | 4,934 | 279,930 | $ | 2,891 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 12,994 | 146 | — | — | ||||||||||||
Shares Redeemed | (29,627 | ) | (347 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 422,346 | $ | 4,733 | 279,930 | $ | 2,891 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,868 | $ | 23 | 100,450 | $ | 1,005 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,001 | 23 | — | — | ||||||||||||
Shares Redeemed | (1,437 | ) | (18 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,432 | $ | 28 | 100,450 | $ | 1,005 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Dividend Appreciation Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,192,323 | $ | 22,266 | 948,410 | $ | 15,498 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 79,331 | 1,471 | 170,136 | 2,833 | ||||||||||||
Shares Redeemed | (2,934,613 | ) | (55,691 | ) | (2,020,794 | ) | (32,962 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,662,959 | ) | $ | (31,954 | ) | (902,248 | ) | $ | (14,631 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 24,303,539 | $ | 458,250 | 9,410,205 | $ | 155,007 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 395,030 | 7,455 | 827,154 | 14,023 | ||||||||||||
Shares Redeemed | (27,374,841 | ) | (518,006 | ) | (11,784,787 | ) | (196,322 | ) | ||||||||
In-Kind Redemptions | (19,698,827 | ) | (373,555 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (22,375,099 | ) | $ | (425,856 | ) | (1,547,428 | ) | $ | (27,292 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Large Cap Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,326,354 | $ | 30,049 | 3,071,355 | $ | 61,967 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,432,234 | 31,595 | 1,619,808 | 32,801 | ||||||||||||
Shares Redeemed | (5,229,064 | ) | (117,628 | ) | (12,606,029 | ) | (261,041 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (2,470,476 | ) | $ | (55,984 | ) | (7,914,866 | ) | $ | (166,273 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 60,888 | $ | 1,377 | 288,193 | $ | 5,723 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 60,256 | 1,327 | 58,635 | 1,186 | ||||||||||||
Shares Redeemed | (112,049 | ) | (2,545 | ) | (574,905 | ) | (11,863 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 9,095 | $ | 159 | (228,077 | ) | $ | (4,954 | ) | ||||||||
|
|
|
|
|
|
|
|
66
TCW Funds, Inc.
April 30, 2017 |
Note 9 — Capital Share Transactions (Continued)
TCW Relative Value Mid Cap Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 281,798 | $ | 6,559 | 485,901 | $ | 9,717 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 20,199 | 461 | 618,869 | 11,338 | ||||||||||||
Shares Redeemed | (489,280 | ) | (11,394 | ) | (1,527,336 | ) | (29,171 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (187,283 | ) | $ | (4,374 | ) | (422,566 | ) | $ | (8,116 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 125,394 | $ | 2,824 | 71,949 | $ | 1,214 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,399 | 76 | 132,387 | 2,366 | ||||||||||||
Shares Redeemed | (117,019 | ) | (2,641 | ) | (233,700 | ) | (4,320 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 11,774 | $ | 259 | (29,364 | ) | $ | (740 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Select Equities Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,531,895 | $ | 89,710 | 14,358,052 | $ | 377,427 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,164,576 | 27,822 | 1,713,253 | 47,526 | ||||||||||||
Shares Redeemed | (25,127,843 | ) | (634,063 | ) | (22,491,120 | ) | (583,508 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (20,431,372 | ) | $ | (516,531 | ) | (6,419,815 | ) | $ | (158,555 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 142,354 | $ | 3,390 | 2,068,585 | $ | 54,054 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 396,802 | 8,817 | 832,078 | 21,617 | ||||||||||||
Shares Redeemed | (1,255,604 | ) | (29,951 | ) | (6,511,018 | ) | (154,236 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (716,448 | ) | $ | (17,744 | ) | (3,610,355 | ) | $ | (78,565 | ) | ||||||
|
|
|
|
|
|
|
|
Note 10 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933 (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. 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, 2017.
Note 11 — Committed Line Of Credit
The Company has entered into a $100,000,000 committed revolving line of credit agreement with the State Street Bank and Trust Company (the “Bank”) for temporary borrowing purposes with an expiration date of December 29, 2017. The interest rate on borrowing is the higher of the federal funds rate or the overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit as of or during the period ended April 30, 2017. The Funds pay the Bank a commitment fee equal to 0.25% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the statements of operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
67
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 12 — 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, 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 13 — Recently Issued Accounting Pronouncements
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, “Final Rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the Final Rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X will have on the Funds’ financial statements and related disclosures.
68
TCW Conservative Allocation Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 12.13 | $ | 12.50 | $ | 12.24 | $ | 11.66 | $ | 10.91 | $ | 10.51 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.09 | 0.17 | 0.13 | 0.11 | 0.22 | 0.32 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.28 | (0.07 | ) | 0.33 | 0.67 | 0.79 | 0.51 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.37 | 0.10 | 0.46 | 0.78 | 1.01 | 0.83 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.29 | ) | (0.19 | ) | (0.14 | ) | (0.20 | ) | (0.26 | ) | (0.20 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.49 | ) | (0.28 | ) | (0.06 | ) | — | — | (0.23 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.78 | ) | (0.47 | ) | (0.20 | ) | (0.20 | ) | (0.26 | ) | (0.43 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.72 | $ | 12.13 | $ | 12.50 | $ | 12.24 | $ | 11.66 | $ | 10.91 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.31 | % (2) | 0.78 | % | 3.88 | % | 6.66 | % | 9.42 | % | 8.35 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 29,596 | $ | 28,982 | $ | 33,909 | $ | 30,746 | $ | 27,121 | $ | 14,705 | ||||||||||||
Ratio of Expenses to Average Net Assets: (3) | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.30 | % (4) | 0.30 | % | 0.25 | % | 0.29 | % | 0.40 | % | 0.67 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.59 | % (4) | 1.41 | % | 1.01 | % | 0.94 | % | 1.96 | % | 2.98 | % | ||||||||||||
Portfolio Turnover Rate | 45.81 | % (2) | 37.62 | % | 30.24 | % | 40.56 | % | 57.98 | % | 59.12 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 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.
69
TCW Conservative Allocation Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 12.07 | $ | 12.44 | $ | 12.17 | $ | 11.61 | $ | 10.89 | $ | 10.51 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.11 | 0.04 | 0.05 | 0.18 | 0.29 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.28 | (0.08 | ) | 0.35 | 0.66 | 0.78 | 0.52 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.34 | 0.03 | 0.39 | 0.71 | 0.96 | 0.81 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.20 | ) | (0.12 | ) | (0.06 | ) | (0.15 | ) | (0.24 | ) | (0.20 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.49 | ) | (0.28 | ) | (0.06 | ) | — | — | (0.23 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.69 | ) | (0.40 | ) | (0.12 | ) | (0.15 | ) | (0.24 | ) | (0.43 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.72 | $ | 12.07 | $ | 12.44 | $ | 12.17 | $ | 11.61 | $ | 10.89 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 2.97 | % (2) | 0.31 | % | 3.31 | % | 6.07 | % | 8.97 | % | 8.09 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,029 | $ | 1,597 | $ | 1,876 | $ | 807 | $ | 1,047 | $ | 815 | ||||||||||||
Ratio of Expenses to Average Net Assets: (3) |
| |||||||||||||||||||||||
Before Expense Reimbursement | 2.34 | % (4) | 1.54 | % | 1.61 | % | 3.20 | % | 2.84 | % | 2.70 | % | ||||||||||||
After Expense Reimbursement | 0.82 | % (4) | 0.82 | % | 0.84 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.06 | % (4) | 0.89 | % | 0.36 | % | 0.41 | % | 1.58 | % | 2.72 | % | ||||||||||||
Portfolio Turnover Rate | 45.81 | % (2) | 37.62 | % | 30.24 | % | 40.56 | % | 57.98 | % | 59.12 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 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.
70
TCW Focused Equities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 18.67 | $ | 19.45 | $ | 19.37 | $ | 16.02 | $ | 12.20 | $ | 10.83 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.20 | 0.12 | 0.09 | 0.08 | 0.05 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.95 | (0.79 | ) | 0.04 | 3.34 | 3.86 | 1.36 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 2.01 | (0.59 | ) | 0.16 | 3.43 | 3.94 | 1.41 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.25 | ) | (0.19 | ) | (0.08 | ) | (0.08 | ) | (0.12 | ) | (0.04 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 20.43 | $ | 18.67 | $ | 19.45 | $ | 19.37 | $ | 16.02 | $ | 12.20 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 10.82 | % (2) | (3.04 | )% | 0.79 | % | 21.46 | % | 32.67 | % | 12.94 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 8,569 | $ | 8,903 | $ | 9,386 | $ | 9,970 | $ | 7,628 | $ | 7,007 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.61 | % (3) | 1.60 | % | 1.46 | % | 1.60 | % | 1.95 | % | 1.19 | % | ||||||||||||
After Expense Reimbursement | 1.05 | % (3) | 1.08 | % | 1.09 | % | 1.11 | % | 1.14 | % | 1.19 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.63 | % (3) | 1.08 | % | 0.62 | % | 0.52 | % | 0.56 | % | 0.43 | % | ||||||||||||
Portfolio Turnover Rate | 8.14 | % (2) | 47.89 | % | 83.02 | % | 39.65 | % | 39.65 | % | 24.99 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
71
TCW Focused Equities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 18.47 | $ | 19.25 | $ | 19.17 | $ | 15.85 | $ | 12.11 | $ | 10.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.19 | 0.12 | 0.09 | 0.08 | 0.05 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.93 | (0.78 | ) | 0.04 | 3.31 | 3.82 | 1.35 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.99 | (0.59 | ) | 0.16 | 3.40 | 3.90 | 1.40 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.25 | ) | (0.19 | ) | (0.08 | ) | (0.08 | ) | (0.16 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 20.21 | $ | 18.47 | $ | 19.25 | $ | 19.17 | $ | 15.85 | $ | 12.11 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 10.82 | % (2) | (3.08 | )% | 0.80 | % | 21.50 | % | 32.61 | % | 13.07 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 869 | $ | 958 | $ | 1,454 | $ | 1,804 | $ | 921 | $ | 861 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 3.91 | % (3) | 3.19 | % | 2.39 | % | 3.66 | % | 4.15 | % | 3.29 | % | ||||||||||||
After Expense Reimbursement | 1.05 | % (3) | 1.08 | % | 1.09 | % | 1.11 | % | 1.14 | % | 1.18 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.63 | % (3) | 1.05 | % | 0.63 | % | 0.50 | % | 0.58 | % | 0.45 | % | ||||||||||||
Portfolio Turnover Rate | 8.14 | % (2) | 47.89 | % | 83.02 | % | 39.65 | % | 39.65 | % | 24.99 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
72
TCW Global Real Estate Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | November 28, 2014 (Commencement of Operations) through October 31, 2015 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.42 | $ | 9.71 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.17 | 0.30 | 0.21 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.29 | (0.26 | ) | (0.27 | ) | |||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.46 | 0.04 | (0.06 | ) | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.17 | ) | (0.29 | ) | (0.23 | ) | ||||||
Distributions from Net Realized Gain | — | (0.01 | ) | — | ||||||||
Distributions from Return of Capital | — | (0.03 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.17 | ) | (0.33 | ) | (0.23 | ) | ||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 9.71 | $ | 9.42 | $ | 9.71 | ||||||
|
|
|
|
|
| |||||||
Total Return | 4.99 | % (2) | 0.31 | % | (0.62 | )% (3) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Period (in thousands) | $ | 2,609 | $ | 3,499 | $ | 4,320 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 3.82 | % (4) | 3.29 | % | 5.28 | % (4) | ||||||
After Expense Reimbursement | 1.39 | % (4) | 1.40 | % | 1.43 | % (4) | ||||||
Ratio of Net Investment Income to Average Net Assets | 3.58 | % (4) | 3.14 | % | 2.27 | % (4) | ||||||
Portfolio Turnover Rate | 21.25 | % (2) | 68.69 | % | 23.58 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | For the period November 28, 2014 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
73
TCW Global Real Estate Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | November 28, 2014 (Commencement of Operations) through October 31, 2015 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.42 | $ | 9.70 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: |
| |||||||||||
Net Investment Income (1) | 0.16 | 0.32 | 0.24 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.30 | (0.27 | ) | (0.31 | ) | |||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.46 | 0.05 | (0.07 | ) | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: |
| |||||||||||
Distributions from Net Investment Income | (0.17 | ) | (0.29 | ) | (0.23 | ) | ||||||
Distributions from Net Realized Gain | — | (0.01 | ) | — | ||||||||
Distributions from Return of Capital | — | (0.03 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.17 | ) | (0.33 | ) | (0.23 | ) | ||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 9.71 | $ | 9.42 | $ | 9.70 | ||||||
|
|
|
|
|
| |||||||
Total Return | 4.99 | % (2) | 0.41 | % | (0.72 | )% (3) | ||||||
Ratios/Supplemental Data: |
| |||||||||||
Net Assets, End of Period (in thousands) | $ | 544 | $ | 517 | $ | 510 | ||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||
Before Expense Reimbursement | 7.15 | % (4) | 6.66 | % | 9.21 | % (4) | ||||||
After Expense Reimbursement | 1.39 | % (4) | 1.40 | % | 1.43 | % (4) | ||||||
Ratio of Net Investment Income to Average Net Assets | 3.43 | % (4) | 3.34 | % | 2.58 | % (4) | ||||||
Portfolio Turnover Rate | 21.25 | % (2) | 68.69 | % | 23.58 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | For the period November 28, 2014 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
74
TCW High Dividend Equities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | November 28, 2014 (Commencement of Operations) through October 31, 2015 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.91 | $ | 8.98 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: |
| |||||||||||
Net Investment Income (1) | 0.10 | 0.19 | 0.27 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.80 | (0.06 | ) | (1.03 | ) | |||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.90 | 0.13 | (0.76 | ) | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: |
| |||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.18 | ) | (0.26 | ) | ||||||
Distributions from Return of Capital | — | (0.02 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.11 | ) | (0.20 | ) | (0.26 | ) | ||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 9.70 | $ | 8.91 | $ | 8.98 | ||||||
|
|
|
|
|
| |||||||
Total Return | 10.12 | % (2) | 1.35 | % | (7.66 | )% (3) | ||||||
Ratios/Supplemental Data: |
| |||||||||||
Net Assets, End of Period (in thousands) | $ | 7,084 | $ | 11,527 | $ | 3,969 | ||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||
Before Expense Reimbursement | 1.84 | % (4) | 1.82 | % | 3.28 | % (4) | ||||||
After Expense Reimbursement | 1.15 | % (4) | 1.16 | % | 1.17 | % (4) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.18 | % (4) | 2.08 | % | 2.94 | % (4) | ||||||
Portfolio Turnover Rate | 64.65 | % (2) | 92.66 | % | 89.39 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | For the period November 28, 2014 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
75
TCW High Dividend Equities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | November 28, 2014 (Commencement of Operations) through October 31, 2015 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.91 | $ | 8.98 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: |
| |||||||||||
Net Investment Income (1) | 0.10 | 0.19 | 0.28 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.80 | (0.06 | ) | (1.04 | ) | |||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.90 | 0.13 | (0.76 | ) | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: |
| |||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.18 | ) | (0.26 | ) | ||||||
Distributions from Return of Capital | — | (0.02 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.11 | ) | (0.20 | ) | (0.26 | ) | ||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 9.70 | $ | 8.91 | $ | 8.98 | ||||||
|
|
|
|
|
| |||||||
Total Return | 10.12 | % (2) | 1.46 | % | (7.76 | )% (3) | ||||||
Ratios/Supplemental Data: |
| |||||||||||
Net Assets, End of Period (in thousands) | $ | 601 | $ | 468 | $ | 509 | ||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||
Before Expense Reimbursement | 5.55 | % (4) | 5.59 | % | 7.30 | % (4) | ||||||
After Expense Reimbursement | 1.15 | % (4) | 1.16 | % | 1.17 | % (4) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.18 | % (4) | 2.13 | % | 3.05 | % (4) | ||||||
Portfolio Turnover Rate | 64.65 | % (2) | 92.66 | % | 89.39 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | For the period November 28, 2014 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
76
TCW New America Premier Equities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | January 29, 2016 (Commencement of Operations) through October 31, 2016 | |||||||
Net Asset Value per Share, Beginning of Period | $ | 11.23 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: |
| |||||||
Net Investment Income (1) | 0.01 | 0.08 | ||||||
Net Realized and Unrealized Gain on Investments | 1.87 | 1.15 | ||||||
|
|
|
| |||||
Total from Investment Operations | 1.88 | 1.23 | ||||||
|
|
|
| |||||
Less Distributions: |
| |||||||
Distributions from Net Investment Income | (0.05 | ) | — | |||||
Distributions from Net Realized Gain | (0.17 | ) | — | |||||
|
|
|
| |||||
Total Distributions | (0.22 | ) | — | |||||
|
|
|
| |||||
Net Asset Value per Share, End of Period | $ | 12.89 | $ | 11.23 | ||||
|
|
|
| |||||
Total Return | 17.07 | % (2) | 12.30 | % (3) | ||||
Ratios/Supplemental Data: |
| |||||||
Net Assets, End of Period (in thousands) | $ | 9,055 | $ | 3,143 | ||||
Ratio of Expenses to Average Net Assets: |
| |||||||
Before Expense Reimbursement (4) | 1.82 | % | 4.72 | % | ||||
After Expense Reimbursement (4) | 1.04 | % | 1.05 | % | ||||
Ratio of Net Investment Income to Average Net Assets (4) | 0.25 | % | 1.03 | % | ||||
Portfolio Turnover Rate | 72.88 | % (2) | 73.83 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | For the period January 29, 2016 (commencement of operations) through October 31, 2016 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
77
TCW New America Premier Equities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | January 29, 2016 (Commencement of Operations) through October 31, 2016 | |||||||
Net Asset Value per Share, Beginning of Period | $ | 11.23 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: |
| |||||||
Net Investment Income (1) | 0.01 | 0.08 | ||||||
Net Realized and Unrealized Gain on Investments | 1.87 | 1.15 | ||||||
|
|
|
| |||||
Total from Investment Operations | 1.88 | 1.23 | ||||||
|
|
|
| |||||
Less Distributions: |
| |||||||
Distributions from Net Investment Income | (0.05 | ) | — | |||||
Distributions from Net Realized Gain | (0.17 | ) | — | |||||
|
|
|
| |||||
Total Distributions | (0.22 | ) | — | |||||
|
|
|
| |||||
Net Asset Value per Share, End of Period | $ | 12.89 | $ | 11.23 | ||||
|
|
|
| |||||
Total Return | 17.07 | % (2) | 12.30 | % (3) | ||||
Ratios/Supplemental Data: |
| |||||||
Net Assets, End of Period (in thousands) | $ | 1,327 | $ | 1,128 | ||||
Ratio of Expenses to Average Net Assets: |
| |||||||
Before Expense Reimbursement (4) | 4.00 | % | 6.08 | % | ||||
After Expense Reimbursement (4) | 1.04 | % | 1.05 | % | ||||
Ratio of Net Investment Income to Average Net Assets (4) | 0.24 | % | 0.98 | % | ||||
Portfolio Turnover Rate | 72.88 | % (2) | 73.83 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | For the period January 29, 2016 (commencement of operations) through October 31, 2016 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
78
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
�� | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 16.95 | $ | 16.49 | $ | 16.71 | $ | 15.11 | $ | 11.77 | $ | 10.18 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.35 | 0.30 | 0.27 | 0.25 | 0.22 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.63 | 0.41 | (0.24 | ) | 1.61 | 3.36 | 1.60 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.80 | 0.76 | 0.06 | 1.88 | 3.61 | 1.82 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.18 | ) | (0.30 | ) | (0.28 | ) | (0.28 | ) | (0.27 | ) | (0.23 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 18.57 | $ | 16.95 | $ | 16.49 | $ | 16.71 | $ | 15.11 | $ | 11.77 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 10.63 | % (2) | 4.66 | % | 0.40 | % | 12.49 | % | 31.06 | % | 18.03 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 150,242 | $ | 165,331 | $ | 175,694 | $ | 195,400 | $ | 176,226 | $ | 99,787 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.77 | % (3) | 0.87 | % | 0.86 | % | 0.86 | % | 0.82 | % | 0.85 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.91 | % (3) | 2.11 | % | 1.81 | % | 1.67 | % | 1.86 | % | 1.95 | % | ||||||||||||
Portfolio Turnover Rate | 12.78 | % (2)(4) | 19.13 | % | 17.95 | % | 17.33 | % | 18.37 | % | 23.15 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
(4) | Excludes portfolio securities delivered as a result of processing redemption in-kind transactions. |
See accompanying notes to financial statements.
79
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 17.23 | $ | 16.76 | $ | 16.99 | $ | 15.34 | $ | 11.92 | $ | 10.29 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.16 | 0.31 | 0.26 | 0.23 | 0.22 | 0.19 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.66 | 0.43 | (0.25 | ) | 1.63 | 3.41 | 1.62 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.82 | 0.74 | 0.01 | 1.86 | 3.63 | 1.81 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.27 | ) | (0.24 | ) | (0.21 | ) | (0.21 | ) | (0.18 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 18.90 | $ | 17.23 | $ | 16.76 | $ | 16.99 | $ | 15.34 | $ | 11.92 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 10.48 | % (2) | 4.43 | % | 0.10 | % | 12.19 | % | 30.71 | % | 17.68 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 538,268 | $ | 876,421 | $ | 878,544 | $ | 970,397 | $ | 887,435 | $ | 601,397 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.04 | % (3) | 1.15 | % | 1.14 | % | 1.14 | % | 1.11 | % | 1.14 | % | ||||||||||||
After Expense Reimbursement | 1.00 | % (3) | 1.11 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.72 | % (3) | 1.86 | % | 1.53 | % | 1.40 | % | 1.60 | % | 1.70 | % | ||||||||||||
Portfolio Turnover Rate | 12.78 | % (2)(4) | 19.13 | % | 17.95 | % | 17.33 | % | 18.37 | % | 23.15 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
(4) | Excludes portfolio securities delivered as a result of processing redemption in-kind transactions. |
See accompanying notes to financial statements.
80
TCW Relative Value Large Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 21.38 | $ | 21.99 | $ | 22.09 | $ | 19.47 | $ | 14.91 | $ | 13.05 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.15 | 0.32 | 0.26 | 0.21 | 0.19 | 0.16 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.81 | 0.19 | (0.14 | ) | 2.65 | 4.53 | 1.82 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 2.96 | 0.51 | 0.12 | 2.86 | 4.72 | 1.98 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.41 | ) | (0.25 | ) | (0.22 | ) | (0.24 | ) | (0.16 | ) | (0.12 | ) | ||||||||||||
Distributions from Net Realized Gain | (1.12 | ) | (0.87 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.53 | ) | (1.12 | ) | (0.22 | ) | (0.24 | ) | (0.16 | ) | (0.12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 22.81 | $ | 21.38 | $ | 21.99 | $ | 22.09 | $ | 19.47 | $ | 14.91 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 14.10 | % (2) | 2.61 | % | 0.50 | % | 14.79 | % | 31.99 | % | 15.33 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 455,953 | $ | 480,174 | $ | 667,957 | $ | 700,484 | $ | 543,669 | $ | 741,996 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.80 | % (3) | 0.88 | % | 0.88 | % | 0.88 | % | 0.87 | % | 0.89 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.29 | % (3) | 1.57 | % | 1.14 | % | 1.02 | % | 1.13 | % | 1.14 | % | ||||||||||||
Portfolio Turnover Rate | 12.68 | % (2) | �� | 14.71 | % | 21.60 | % | 18.77 | % | 37.33 | % | 19.71 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
81
TCW Relative Value Large Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 21.31 | $ | 21.91 | $ | 22.04 | $ | 19.44 | $ | 14.89 | $ | 13.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.28 | 0.19 | 0.16 | 0.15 | 0.13 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.80 | 0.19 | (0.14 | ) | 2.65 | 4.52 | 1.83 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 2.92 | 0.47 | 0.05 | 2.81 | 4.67 | 1.96 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.36 | ) | (0.20 | ) | (0.18 | ) | (0.21 | ) | (0.12 | ) | (0.07 | ) | ||||||||||||
Distributions from Net Realized Gain | (1.12 | ) | (0.87 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.48 | ) | (1.07 | ) | (0.18 | ) | (0.21 | ) | (0.12 | ) | (0.07 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 22.75 | $ | 21.31 | $ | 21.91 | $ | 22.04 | $ | 19.44 | $ | 14.89 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 13.95 | % (2) | 2.42 | % | 0.20 | % | 14.52 | % | 31.64 | % | 15.11 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 21,063 | $ | 19,530 | $ | 25,084 | $ | 29,589 | $ | 75,450 | $ | 50,212 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.14 | % (3) | 1.23 | % | 1.20 | % | 1.12 | % | 1.13 | % | 1.14 | % | ||||||||||||
After Expense Reimbursement | 1.00 | % (3) | 1.10 | % | 1.16 | % | N/A | N/A | N/A | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.07 | % (3) | 1.35 | % | 0.86 | % | 0.77 | % | 0.83 | % | 0.92 | % | ||||||||||||
Portfolio Turnover Rate | 12.68 | % (2) | 14.71 | % | 21.60 | % | 18.77 | % | 37.33 | % | 19.71 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
82
TCW Relative Value Mid Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 20.02 | $ | 22.43 | $ | 26.62 | $ | 26.56 | $ | 20.10 | $ | 17.43 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.18 | 0.17 | 0.13 | 0.16 | 0.15 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 3.64 | 0.34 | (1.16 | ) | 2.70 | 6.48 | 2.63 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 3.70 | 0.52 | (0.99 | ) | 2.83 | 6.64 | 2.78 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.13 | ) | (0.16 | ) | (0.12 | ) | (0.14 | ) | (0.17 | ) | (0.11 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (2.77 | ) | (3.08 | ) | (2.63 | ) | (0.01 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.13 | ) | (2.93 | ) | (3.20 | ) | (2.77 | ) | (0.18 | ) | (0.11 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 23.59 | $ | 20.02 | $ | 22.43 | $ | 26.62 | $ | 26.56 | $ | 20.10 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 18.49 | % (2) | 3.53 | % | (4.58 | )% | 11.09 | % | 33.30 | % | 16.04 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 83,797 | $ | 74,840 | $ | 93,356 | $ | 114,823 | $ | 118,138 | $ | 95,698 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.96 | % (3) | 0.98 | % | 0.96 | % | 0.95 | % | 0.94 | % | 1.01 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.53 | % (3) | 0.96 | % | 0.68 | % | 0.49 | % | 0.68 | % | 0.79 | % | ||||||||||||
Portfolio Turnover Rate | 16.72 | % (2) | 17.81 | % | 23.15 | % | 21.67 | % | 28.91 | % | 32.87 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
83
TCW Relative Value Mid Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 19.50 | $ | 21.90 | $ | 26.08 | $ | 26.07 | $ | 19.74 | $ | 17.06 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.04 | 0.14 | 0.10 | 0.06 | 0.09 | 0.10 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 3.54 | 0.32 | (1.12 | ) | 2.65 | 6.37 | 2.59 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 3.58 | 0.46 | (1.02 | ) | 2.71 | 6.46 | 2.69 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.09 | ) | (0.08 | ) | (0.07 | ) | (0.12 | ) | (0.01 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (2.77 | ) | (3.08 | ) | (2.63 | ) | (0.01 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.09 | ) | (2.86 | ) | (3.16 | ) | (2.70 | ) | (0.13 | ) | (0.01 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 22.99 | $ | 19.50 | $ | 21.90 | $ | 26.08 | $ | 26.07 | $ | 19.74 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 18.36 | % (2) | 3.30 | % | (4.78 | )% | 10.80 | % | 32.90 | % | 15.75 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 20,132 | $ | 16,839 | $ | 19,559 | $ | 28,458 | $ | 36,875 | $ | 32,292 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.32 | % (3) | 1.35 | % | 1.30 | % | 1.27 | % | 1.32 | % | 1.40 | % | ||||||||||||
After Expense Reimbursement | 1.16 | % (3) | 1.20 | % | 1.21 | % | 1.20 | % | 1.23 | % | 1.27 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.33 | % (3) | 0.74 | % | 0.44 | % | 0.23 | % | 0.40 | % | 0.53 | % | ||||||||||||
Portfolio Turnover Rate | 16.72 | % (2) | 17.81 | % | 23.15 | % | 21.67 | % | 28.91 | % | 32.87 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
84
TCW Select Equities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 26.06 | $ | 29.65 | $ | 26.71 | $ | 24.84 | $ | 19.81 | $ | 18.17 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.04 | ) | (0.10 | ) | (0.02 | ) | (0.03 | ) | 0.03 | (0.00 | ) (2) | |||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 3.13 | (1.42 | ) | 3.80 | 2.71 | 5.34 | 1.86 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 3.09 | (1.52 | ) | 3.78 | 2.68 | 5.37 | 1.86 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | — | — | — | (0.00 | ) (2) | (0.05 | ) | — | ||||||||||||||||
Distributions from Net Realized Gain | (1.58 | ) | (2.07 | ) | (0.84 | ) | (0.81 | ) | (0.29 | ) | (0.22 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.58 | ) | (2.07 | ) | (0.84 | ) | (0.81 | ) | (0.34 | ) | (0.22 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 27.57 | $ | 26.06 | $ | 29.65 | $ | 26.71 | $ | 24.84 | $ | 19.81 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 12.81 | % (3) | (5.56 | )% | 14.54 | % | 11.01 | % | 27.53 | % | 10.37 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 774,611 | $ | 1,264,622 | $ | 1,629,090 | $ | 1,611,400 | $ | 1,325,609 | $ | 802,524 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.92 | % (4) | 0.89 | % | 0.88 | % | 0.86 | % | 0.83 | % | 0.86 | % | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.30 | )% (4) | (0.38 | )% | (0.08 | )% | (0.11 | )% | 0.15 | % | (0.01 | )% | ||||||||||||
Portfolio Turnover Rate | 11.42 | % (3) | 14.05 | % | 27.19 | % | 25.79 | % | 24.55 | % | 19.74 | % |
(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, 2017 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
85
TCW Select Equities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 24.35 | $ | 27.91 | $ | 25.26 | $ | 23.59 | $ | 18.84 | $ | 17.34 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.06 | ) | (0.16 | ) | (0.09 | ) | (0.10 | ) | (0.02 | ) | (0.06 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.91 | (1.33 | ) | 3.58 | 2.58 | 5.06 | 1.78 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 2.85 | (1.49 | ) | 3.49 | 2.48 | 5.04 | 1.72 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Realized Gain | (1.58 | ) | (2.07 | ) | (0.84 | ) | (0.81 | ) | (0.29 | ) | (0.22 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 25.62 | $ | 24.35 | $ | 27.91 | $ | 25.26 | $ | 23.59 | $ | 18.84 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 12.72 | % (2) | (5.81 | )% | 14.22 | % | 10.73 | % | 27.14 | % | 10.06 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 140,690 | $ | 151,174 | $ | 274,026 | $ | 227,231 | $ | 378,026 | $ | 292,448 | ||||||||||||
Ratio of Expenses to Average Net Assets | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.17 | % (3) | 1.16 | % | 1.14 | % | 1.13 | % | 1.10 | % | 1.14 | % | ||||||||||||
After Expense Reimbursement | 1.11 | % (3) | 1.14 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.49 | )% (3) | (0.64 | )% | (0.33 | )% | (0.40 | )% | (0.10 | )% | (0.31 | )% | ||||||||||||
Portfolio Turnover Rate | 11.42 | % (2) | 14.05 | % | 27.19 | % | 25.79 | % | 24.55 | % | 19.74 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
86
TCW Funds, Inc.
Shareholder Expenses (Unaudited)
As a shareholder of a 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, 2016 to April 30, 2017 (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, 2016 | Ending Account Value April 30, 2017 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2016 to April 30, 2017) | ||||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.10 | 0.30 | % (1) | $ | 1.51 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.31 | 0.30 | % (1) | 1.51 | (1) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,029.70 | 0.82 | % (1) | $ | 4.13 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.73 | 0.82 | % (1) | 4.11 | (1) | ||||||||||
TCW Focused Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,108.20 | 1.05 | % | $ | 5.49 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.59 | 1.05 | % | 5.26 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,108.20 | 1.05 | % | $ | 5.49 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.59 | 1.05 | % | 5.26 | |||||||||||
TCW Global Real Estate Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,049.90 | 1.39 | % | $ | 7.06 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.90 | 1.39 | % | 6.95 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,049.90 | 1.39 | % | $ | 7.06 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.90 | 1.39 | % | 6.95 |
87
TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value November 1, 2016 | Ending Account Value April 30, 2017 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2016 to April 30, 2017) | ||||||||||||
TCW High Dividend Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,101.20 | 1.15 | % | $ | 5.99 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.09 | 1.15 | % | 5.76 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,101.20 | 1.15 | % | $ | 5.99 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.09 | 1.15 | % | 5.76 | |||||||||||
TCW New America Premier Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,170.70 | 1.04 | % | $ | 5.60 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.64 | 1.04 | % | 5.21 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,170.70 | 1.04 | % | $ | 5.60 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.64 | 1.04 | % | 5.21 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,106.30 | 0.77 | % | $ | 4.02 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.98 | 0.77 | % | 3.86 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,104.80 | 1.00 | % | $ | 5.22 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.84 | 1.00 | % | 5.01 | |||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,141.00 | 0.80 | % | $ | 4.25 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.83 | 0.80 | % | 4.01 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,139.50 | 1.00 | % | $ | 5.30 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.84 | 1.00 | % | 5.01 | |||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,184.90 | 0.96 | % | $ | 5.20 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.03 | 0.96 | % | 4.81 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,183.60 | 1.16 | % | $ | 6.28 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.04 | 1.16 | % | 5.81 | |||||||||||
TCW Select Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,128.10 | 0.92 | % | $ | 4.85 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.23 | 0.92 | % | 4.61 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,127.20 | 1.11 | % | $ | 5.85 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.29 | 1.11 | % | 5.56 |
(1) | Does not included Expenses of the underlying affiliated investments. |
88
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 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 files 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). |
89
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 LLC
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 LLC
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
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
Patrick W. Dennis
Assistant Secretary
Lisa Eisen
Tax Officer
George N. Winn
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Focused Equities Fund
TCW Global Real Estate Fund
TCW High Dividend Equities Fund
TCW New America Premier Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
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 Developing Markets Equity Fund
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
FUNDsarEQ0417
APRIL 30
SEMI-ANNUAL
R E P O R T
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
TCW Funds, Inc.
Table of Contents
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76 | ||||
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117 | ||||
Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 119 |
|
David S. DeVito President, Chief Executive Officer and 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, 2017. I would like to express our appreciation for your continued investment in the TCW Funds as well as to welcome new shareholders to our fund family. As of April 30, 2017, the TCW Funds held total net assets of approximately $17 billion.
This report contains information outlining the performance and a list of portfolio holdings as of April 30, 2017 for the TCW Funds’ Fixed Income Funds.
Economic Review and Market Environment
In the aftermath of the U.S. presidential election, the expectation of increased growth and inflation fueled by potential fiscal stimulus and tax reform by the new administration spurred increased optimism and reinforced investors’ persistent reach for yield. However, it goes without saying that the fundamentals did not change overnight and the overly optimistic scenario that was priced into markets coming into the new year experienced some amount of correction in March and April. The increased volatility found the U.S. dollar retracing most of its gains and bank stocks trending lower after President Trump’s ambitious agenda hit a substantial roadblock on healthcare reform and optimism gave way to realism about the obstacles of political process. Still, “soft data” which is sentiment or survey-based has risen dramatically over the past several months, providing some cover for the Federal Reserve (Fed) to continue on its path toward normalization with increases to the federal funds rate target range in both December and March. This has occurred even as “hard”, or activity-based data such as consumer spending or GDP growth rates hasn’t shown material improvement in the economy. To this point, the consensus forecast is for lackluster growth of approximately 2% for the coming year. Considering this backdrop, the hikes are noteworthy and unprecedented. Compared with the past two tightening cycles (1994, 2004), the Fed is hiking much later in the
cycle, when growth is relatively weak and leverage is much higher. Given that leverage has been sustained largely due to central bank accommodation, the Fed may have much less latitude to continue raising rates without precipitating volatility or cutting off economic growth.
For the six-month period ended April 30, 2017, U.S. equity markets climbed (S&P 500 Index +13%) and front end U.S. Treasuries sold off with yields shorter than 6-Months up by over 30 basis points (bps), while longer-dated yields (7-Year to 30-Year maturities) fell by approximately 10 bps, ultimately leading to a flatter curve. Fixed income spread sectors largely outperformed Treasuries, though the rise in rates over the period drove a negative 0.7% total return for the Bloomberg Barclays Aggregate Index. High-yield bonds continued to pace domestic fixed income markets with a return of 6.0%, led higher by lower quality (CCC-rated) credits which gained 9.1%. U.S. investment grade corporate credit returned 0.2%, led by financials (+0.6%) which benefitted from expectations for tax reform and rising interest rates. Within industrials, metals & mining and energy were top performers, outpacing the broader corporate market by 386 and 171 bps, respectively. Among securitized issues, the agency mortgage-backed securities (MBS) sector was the only one to lag Treasuries, weighed down by expectations for rate hikes and balance sheet reduction by the Fed. In contrast, non-agency MBS performance was strong over the period, with higher home prices and faster loan amortization providing fundamental support. Within asset-backed securities (ABS), government guaranteed FFELP student loans outperformed as the uncertainty surrounding rating downgrades dissipated with Moody’s concluding its ratings review under its updated methodology late last year and Fitch set to conclude a similar review in May. While commercial MBS (CMBS) fell 0.6%, weighed down by agency CMBS issues, the sector outperformed Treasuries by over 50 bps.
1
Letter to Shareholders (Continued) |
The Economy and Market Ahead
While market sentiment has remained buoyant since the election, evidence for its sustainability has yet to find its way into real measures of economic health. Until the end of the first quarter, markets traded on the hope that fiscal policy could step in to provide a catalyst for economic growth through fiscal spending and tax reform, but the lack of consensus in Washington has become increasingly (and frustratingly) apparent, suggesting that the road to policy reform is a long one. Meanwhile, the Fed appears to be on track for gradual policy normalization, but the specifics remain unclear and the potential for tighter financial conditions and increased volatility surrounding the reduction of asset purchases is growing. Against this backdrop, the credit cycle continues to age with rising leverage and weaker underwriting contributing to the fragile landscape of a market ripe for a deleveraging event.
Rising interest rate pressures and an aging credit cycle coupled with insufficient compensation for the risks underwritten informs a cautious approach to Fund strategy and positioning. Defensiveness is expressed with a shorter-than-Index duration position and a general underweight to relatively riskier sectors in favor of better quality, more senior areas of the market, with a focus on liquidity so that “dry powder” is available when opportunities arise. Corporate positioning emphasizes regulated sectors like U.S. financials and utilities, and select industrials with stable cash flows, strong balance sheets, and solid asset coverage. Where held, high yield credit exposure represents a very small position in higher quality holdings that will likely have the credit resilience to withstand late cycle volatility. Securitized products continue to offer opportunities for attractive risk-adjusted returns, and positioning favors high quality, more senior positions. Commercial MBS exposure is made up of agency issues as well as seasoned non-agency bonds at the top of the capital structure and single asset single borrower deals, while the ABS allocation is focused on high quality non-traditional collateral such as FFELP student loan receivables. Value remains attractive given the integrity of the government guarantee, though spreads have tightened in materially from mid-2016 wides and the
position may be downsized accordingly if spreads continue to migrate tighter. Finally, non-agency MBS holdings emphasize issues with better relative quality and near term cash flows, while agency MBS positioning tactically utilizes specified pools and TBAs contingent on the pay-up requirements and carry advantage available.
Data sources for the discussion above include Barclays, Bloomberg, JPMorgan and Merrill Lynch.
Two TCW Fixed Income Funds Receive 2017 Lipper Fund Awards
On March 24, 2017, two fixed income funds from the TCW Funds family were honored in the 2017 Lipper Fund Awards:
• | The TCW Total Return Bond Fund (TGLMX/TGMNX) was named best U.S. mortgage fund for the ten-year period ending 12/31/16. |
• | The TCW Core Fixed Income Fund (TGCFX/TGFNX) was named best core bond fund for the ten-year period ending 12/31/16. |
The Thomson Reuters Lipper Fund Awards, granted annually, highlight funds and fund companies that have excelled in delivering consistently strong risk-adjusted performance relative to their peers.
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 further correspondence with you through our annual report later this year.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
2
TCW Funds, Inc.
Performance Summary (Unaudited)
NAV | Six Months Return as of April 30, 2017 | Total Return | ||||||||||||||||||||||||||
Annualized as of April 30, 2017 (1) | ||||||||||||||||||||||||||||
1-Year | 5-Year | 10-Year | Since Inception | Inception Date | ||||||||||||||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||||||||||||||
I Class | $ | 10.97 | (0.64 | )% | 0.85 | % | 2.45 | % | 5.60 | % | 6.13 | % (2) | 01/01/90 | (3) | ||||||||||||||
N Class | $ | 10.95 | (0.69 | )% | 0.71 | % | 2.15 | % | 5.29 | % | 5.20 | % | 02/26/99 | |||||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||||||||||||||
I Class | $ | 5.08 | 0.68 | % | 0.74 | % | (7.77 | )% | N/A | (8.80 | )% | 03/31/11 | ||||||||||||||||
N Class | $ | 5.08 | 0.68 | % | 0.55 | % | (7.79 | )% | N/A | (8.81 | )% | 03/31/11 | ||||||||||||||||
TCW Global Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 9.59 | (1.32 | )% | (1.42 | )% | 0.99 | % | N/A | 2.12 | % | 11/30/11 | ||||||||||||||||
N Class | $ | 9.59 | (1.32 | )% | (1.42 | )% | 0.99 | % | N/A | 2.12 | % | 11/30/11 | ||||||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 6.33 | 3.86 | % | 7.91 | % | 5.78 | % | 5.66 | % | 7.27 | % (2) | 02/01/89 | (3) | ||||||||||||||
N Class | $ | 6.37 | 3.61 | % | 7.54 | % | 5.52 | % | 5.44 | % | 5.33 | % | 02/26/99 | |||||||||||||||
TCW Short Term Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 8.67 | 0.36 | % | 0.83 | % | 0.80 | % | 1.68 | % | 4.03 | % (2) | 02/01/90 | (3) | ||||||||||||||
TCW Total Return Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 9.95 | (0.90 | )% | 0.73 | % | 3.96 | % | 6.37 | % | 6.54 | % | 06/17/93 | |||||||||||||||
N Class | $ | 10.27 | (0.97 | )% | 0.53 | % | 3.67 | % | 6.06 | % | 6.05 | % | 02/26/99 |
(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. |
3
Schedule of Investments (Unaudited)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Corporate Bonds (28.0% of Net Assets) | ||||||||||||
Aerospace/Defense (0.3%) | ||||||||||||
$ | 5,850,000 | United Technologies Corp., 1.778%, due 05/04/18 | $ | 5,858,763 | ||||||||
|
| |||||||||||
Airlines (0.5%) | ||||||||||||
1,752,128 | America West Airlines, Inc. Pass-Through Certificates, (01-1), | 1,914,200 | ||||||||||
26,836 | Continental Airlines, Inc. Pass-Through Certificates, (00-2-A1), | 28,899 | ||||||||||
957,636 | Continental Airlines, Inc. Pass-Through Certificates, (07-1-A), | 1,054,597 | ||||||||||
671,621 | Continental Airlines, Inc. Pass-Through Certificates, (09-2-A1), | 744,660 | ||||||||||
512,827 | Continental Airlines, Inc. Pass-Through Certificates, (99-1-A), | 540,391 | ||||||||||
493,137 | Northwest Airlines LLC Pass-Through Certificates, (01-1-A1), | 566,516 | ||||||||||
459,484 | US Airways Group, Inc. Pass-Through Certificates, (10-1A), | 510,028 | ||||||||||
1,913,927 | US Airways Group, Inc. Pass-Through Certificates, (12-1A), | 2,144,794 | ||||||||||
764,573 | US Airways Group, Inc. Pass-Through Certificates, (12-2-A), | 811,403 | ||||||||||
|
| |||||||||||
Total Airlines | 8,315,488 | |||||||||||
|
| |||||||||||
Auto Manufacturers (0.5%) | ||||||||||||
3,000,000 | Ford Motor Credit Co. LLC, 2.095%, due 01/09/18 (1) | 3,011,514 | ||||||||||
2,000,000 | Ford Motor Credit Co. LLC, 2.24%, due 06/15/18 | 2,009,281 | ||||||||||
1,680,000 | General Motors Co., 6.6%, due 04/01/36 | 1,931,561 | ||||||||||
2,500,000 | General Motors Financial Co., Inc., 3.1%, due 01/15/19 | 2,535,167 | ||||||||||
|
| |||||||||||
Total Auto Manufacturers | 9,487,523 | |||||||||||
|
| |||||||||||
Banks (9.7%) | ||||||||||||
1,500,000 | Bank of America Corp., 2.018%, due 04/01/19 (1) | 1,513,897 | ||||||||||
6,900,000 | Bank of America Corp., 3.705%, due 04/24/28 (1) | 6,921,683 | ||||||||||
2,675,000 | Bank of America Corp., 4.125%, due 01/22/24 | 2,815,430 | ||||||||||
5,930,000 | Bank of America Corp., 5.65%, due 05/01/18 | 6,154,282 | ||||||||||
1,000,000 | Bank of America Corp., 6%, due 09/01/17 | 1,014,874 | ||||||||||
12,420,000 | Bank of America Corp., 6.875%, due 04/25/18 | 13,038,317 | ||||||||||
1,000,000 | Bank of America N.A., 1.431%, due 06/15/17 (1) | 1,000,263 | ||||||||||
5,300,000 | Bank of America N.A., 6.1%, due 06/15/17 | 5,329,021 | ||||||||||
2,450,000 | Capital One N.A., 2.35%, due 08/17/18 | 2,464,309 | ||||||||||
4,000,000 | Citigroup, Inc., 1.55%, due 08/14/17 | 4,001,988 | ||||||||||
5,000,000 | Citigroup, Inc., 1.8%, due 02/05/18 | 5,006,150 | ||||||||||
1,000,000 | Citigroup, Inc., 2.5%, due 09/26/18 | 1,008,044 | ||||||||||
5,225,000 | Citigroup, Inc., 6.125%, due 11/21/17 | 5,353,783 | ||||||||||
5,450,000 | Citigroup, Inc., 6.125%, due 05/15/18 | 5,685,151 | ||||||||||
1,500,000 | Discover Bank/Greenwood DE, 4.2%, due 08/08/23 | 1,578,933 |
See accompanying notes to financial statements.
4
TCW Core Fixed Income Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Banks (Continued) | ||||||||||||
$ | 1,495,000 | Discover Bank/Greenwood DE, 7%, due 04/15/20 | $ | 1,670,864 | ||||||||
3,000,000 | Goldman Sachs Group, Inc. (The), 2.375%, due 01/22/18 | 3,017,003 | ||||||||||
2,435,000 | Goldman Sachs Group, Inc. (The), 3.85%, due 07/08/24 | 2,520,388 | ||||||||||
1,000,000 | Goldman Sachs Group, Inc. (The), 5.25%, due 07/27/21 | 1,100,895 | ||||||||||
9,000,000 | Goldman Sachs Group, Inc. (The), 5.95%, due 01/18/18 | 9,272,610 | ||||||||||
50,000 | Goldman Sachs Group, Inc. (The), 6%, due 06/15/20 | 55,491 | ||||||||||
9,335,000 | Goldman Sachs Group, Inc. (The), 6.15%, due 04/01/18 | 9,707,579 | ||||||||||
4,000,000 | HBOS PLC (United Kingdom), (144A), 6.75%, due 05/21/18 (2) | 4,183,600 | ||||||||||
2,100,000 | JPMorgan Chase & Co., 2.7%, due 05/18/23 | 2,067,100 | ||||||||||
13,100,000 | JPMorgan Chase & Co., 6%, due 01/15/18 | 13,503,572 | ||||||||||
7,475,000 | JPMorgan Chase & Co., 7.25%, due 02/01/18 | 7,785,100 | ||||||||||
8,875,000 | JPMorgan Chase Bank N.A., 6%, due 10/01/17 | 9,038,912 | ||||||||||
850,000 | Lloyds TSB Bank PLC (United Kingdom), (144A), 5.8%, due 01/13/20 (2) | 929,262 | ||||||||||
600,000 | Morgan Stanley, 5.5%, due 07/24/20 | 655,982 | ||||||||||
1,750,000 | Morgan Stanley, 5.625%, due 09/23/19 | 1,891,728 | ||||||||||
3,975,000 | Morgan Stanley, 6.625%, due 04/01/18 | 4,150,659 | ||||||||||
5,870,000 | Morgan Stanley, 7.3%, due 05/13/19 | 6,475,901 | ||||||||||
3,100,000 | Santander UK PLC (United Kingdom), 1.65%, due 09/29/17 | 3,104,961 | ||||||||||
3,305,000 | UBS AG (Switzerland), 1.8%, due 03/26/18 | 3,311,341 | ||||||||||
11,000,000 | Wachovia Corp., 5.75%, due 02/01/18 | 11,330,660 | ||||||||||
2,355,000 | Wells Fargo & Co., 2.6%, due 07/22/20 | 2,385,290 | ||||||||||
7,765,000 | Wells Fargo & Co., 3%, due 04/22/26 | 7,510,762 | ||||||||||
925,000 | Wells Fargo & Co., 3.55%, due 09/29/25 | 939,234 | ||||||||||
2,340,000 | Wells Fargo Bank N.A., 6%, due 11/15/17 | 2,394,754 | ||||||||||
|
| |||||||||||
Total Banks | 171,889,773 | |||||||||||
|
| |||||||||||
Beverages (0.3%) | ||||||||||||
5,698,000 | Anheuser-Busch InBev Finance, Inc., 3.65%, due 02/01/26 | 5,827,738 | ||||||||||
|
| |||||||||||
Biotechnology (0.9%) | ||||||||||||
1,870,000 | Amgen, Inc., 4.4%, due 05/01/45 | 1,852,714 | ||||||||||
1,402,000 | Amgen, Inc., 4.663%, due 06/15/51 | 1,415,502 | ||||||||||
2,000,000 | Amgen, Inc., 5.85%, due 06/01/17 | 2,006,906 | ||||||||||
2,000,000 | Baxalta, Inc., 2.875%, due 06/23/20 | 2,033,602 | ||||||||||
2,450,000 | Biogen, Inc., 5.2%, due 09/15/45 | 2,666,693 | ||||||||||
2,200,000 | Celgene Corp., 5%, due 08/15/45 | 2,357,942 | ||||||||||
2,399,000 | Gilead Sciences, Inc., 3.25%, due 09/01/22 | 2,466,084 | ||||||||||
1,905,000 | Gilead Sciences, Inc., 4.15%, due 03/01/47 | 1,803,774 | ||||||||||
|
| |||||||||||
Total Biotechnology | 16,603,217 | |||||||||||
|
| |||||||||||
Chemicals (0.0%) | ||||||||||||
101,000 | Rohm and Haas Co., 6%, due 09/15/17 | 102,632 | ||||||||||
|
| |||||||||||
Diversified Financial Services (1.0%) | ||||||||||||
3,000,000 | American Express Co., 7%, due 03/19/18 | 3,142,787 | ||||||||||
2,650,000 | American Express Credit Corp., 2.2%, due 03/03/20 | 2,665,105 |
See accompanying notes to financial statements.
5
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Diversified Financial Services (Continued) | ||||||||||||
$ | 425,000 | GE Capital International Funding Co. Unlimited Co. (Ireland), | $ | 455,240 | ||||||||
4,000,000 | International Lease Finance Corp., (144A), 7.125%, due 09/01/18 (2) | 4,275,000 | ||||||||||
2,875,000 | Protective Life Global Funding, (144A), 1.656%, due 06/08/18 (1)(2) | 2,883,011 | ||||||||||
4,000,000 | Protective Life Global Funding, (144A), 1.722%, due 04/15/19 (2) | 3,965,244 | ||||||||||
|
| |||||||||||
Total Diversified Financial Services | 17,386,387 | |||||||||||
|
| |||||||||||
Electric (2.4%) | ||||||||||||
1,500,000 | Appalachian Power Co., 4.45%, due 06/01/45 | 1,570,083 | ||||||||||
975,000 | Commonwealth Edison Co., 3.65%, due 06/15/46 | 926,465 | ||||||||||
2,800,000 | Duke Energy Progress LLC, 3.7%, due 10/15/46 | 2,678,249 | ||||||||||
2,250,000 | El Paso Electric Co., 3.3%, due 12/15/22 | 2,270,018 | ||||||||||
3,684,000 | Emera US Finance LP, 2.15%, due 06/15/19 | 3,686,328 | ||||||||||
3,000,000 | Entergy Mississippi, Inc., 3.1%, due 07/01/23 | 3,047,168 | ||||||||||
1,585,000 | FirstEnergy Transmission LLC, (144A), 4.35%, due 01/15/25 (2) | 1,668,021 | ||||||||||
1,000,000 | Indiana Michigan Power Co., 4.55%, due 03/15/46 | 1,069,348 | ||||||||||
4,000,000 | ITC Holdings Corp., 3.25%, due 06/30/26 | 3,926,096 | ||||||||||
4,000,000 | Kansas City Power & Light Co., 3.15%, due 03/15/23 | 4,042,040 | ||||||||||
1,100,000 | KCP&L Greater Missouri Operations Co., 8.27%, due 11/15/21 | 1,280,090 | ||||||||||
3,300,000 | Metropolitan Edison Co., (144A), 3.5%, due 03/15/23 (2) | 3,373,455 | ||||||||||
1,800,000 | MidAmerican Energy Co., 5.8%, due 10/15/36 | 2,222,798 | ||||||||||
1,000,000 | Niagara Mohawk Power Corp., (144A), 2.721%, due 11/28/22 (2) | 1,004,686 | ||||||||||
150,000 | Oncor Electric Delivery Co. LLC, 5.25%, due 09/30/40 | 178,540 | ||||||||||
2,545,000 | Public Service Co. of New Mexico, 7.95%, due 05/15/18 | 2,721,201 | ||||||||||
2,000,000 | Public Service Co. of Oklahoma, 4.4%, due 02/01/21 | 2,135,866 | ||||||||||
1,980,000 | Puget Energy, Inc., 6%, due 09/01/21 | 2,214,489 | ||||||||||
1,000,000 | Southwestern Electric Power Co., 6.45%, due 01/15/19 | 1,071,411 | ||||||||||
1,000,000 | Tucson Electric Power Co., 5.15%, due 11/15/21 | 1,087,379 | ||||||||||
|
| |||||||||||
Total Electric | 42,173,731 | |||||||||||
|
| |||||||||||
Energy-Alternate Sources (0.1%) | ||||||||||||
1,116,973 | Alta Wind Holdings LLC, (144A), 7%, due 06/30/35 (2)(3) | 1,220,369 | ||||||||||
|
| |||||||||||
Environmental Control (0.2%) | ||||||||||||
2,075,000 | Republic Services, Inc., 2.9%, due 07/01/26 | 2,034,369 | ||||||||||
2,000,000 | Republic Services, Inc., 3.8%, due 05/15/18 | 2,040,434 | ||||||||||
|
| |||||||||||
Total Environmental Control | 4,074,803 | |||||||||||
|
| |||||||||||
Food (0.6%) | ||||||||||||
2,467,000 | Kraft Heinz Foods Co., 1.6%, due 06/30/17 | 2,467,458 | ||||||||||
875,000 | Kraft Heinz Foods Co., 3%, due 06/01/26 | 835,325 | ||||||||||
1,850,000 | Kraft Heinz Foods Co., 3.95%, due 07/15/25 | 1,902,697 | ||||||||||
1,700,000 | Kraft Heinz Foods Co., 4.375%, due 06/01/46 | 1,624,256 | ||||||||||
143,000 | Kraft Heinz Foods Co., 5.375%, due 02/10/20 | 155,206 | ||||||||||
3,000,000 | Kraft Heinz Foods Co., 6.125%, due 08/23/18 | 3,163,654 | ||||||||||
|
| |||||||||||
Total Food | 10,148,596 | |||||||||||
|
|
See accompanying notes to financial statements.
6
TCW Core Fixed Income Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Gas (0.4%) | ||||||||||||
$ | 1,750,000 | CenterPoint Energy Resources Corp., 6.25%, due 02/01/37 | $ | 2,030,084 | ||||||||
3,265,000 | KeySpan Gas East Corp., (144A), 5.819%, due 04/01/41 (2) | 4,019,261 | ||||||||||
400,000 | NiSource Finance Corp., 6.8%, due 01/15/19 | 429,565 | ||||||||||
|
| |||||||||||
Total Gas | 6,478,910 | |||||||||||
|
| |||||||||||
Healthcare-Products (0.0%) | ||||||||||||
250,000 | Covidien International Finance S.A. (Ireland), 6%, due 10/15/17 | 254,400 | ||||||||||
|
| |||||||||||
Healthcare-Services (2.1%) | ||||||||||||
4,300,000 | Aetna, Inc., 1.7%, due 06/07/18 | 4,309,470 | ||||||||||
2,450,000 | Anthem, Inc., 1.875%, due 01/15/18 | 2,453,000 | ||||||||||
1,360,000 | Anthem, Inc., 2.3%, due 07/15/18 | 1,367,702 | ||||||||||
175,000 | Anthem, Inc., 5.875%, due 06/15/17 | 175,909 | ||||||||||
1,750,000 | Anthem, Inc., 7%, due 02/15/19 | 1,899,711 | ||||||||||
2,545,000 | Hartford HealthCare Corp., 5.746%, due 04/01/44 | 2,872,176 | ||||||||||
3,000,000 | Kaiser Foundation Hospitals, 4.15%, due 05/01/47 | 3,024,405 | ||||||||||
4,105,000 | New York and Presbyterian Hospital (The), 3.563%, due 08/01/36 | 3,861,865 | ||||||||||
3,000,000 | North Shore Long Island Jewish Health Care, Inc., 4.8%, due 11/01/42 | 3,103,783 | ||||||||||
435,000 | North Shore Long Island Jewish Health Care, Inc., 6.15%, due 11/01/43 | 537,953 | ||||||||||
3,000,000 | NYU Hospitals Center, 4.428%, due 07/01/42 | 2,995,202 | ||||||||||
60,000 | NYU Hospitals Center, 5.75%, due 07/01/43 | 73,737 | ||||||||||
3,860,000 | Providence Health & Services Obligated Group, 2.098%, due 10/01/17 (1) | 3,872,528 | ||||||||||
3,290,000 | Saint Barnabas Health Care System, 4%, due 07/01/28 | 3,265,325 | ||||||||||
2,270,000 | Sutter Health, 2.286%, due 08/15/53 | 2,284,187 | ||||||||||
1,305,000 | UnitedHealth Group, Inc., 4.625%, due 07/15/35 | 1,440,730 | ||||||||||
|
| |||||||||||
Total Healthcare-Services | 37,537,683 | |||||||||||
|
| |||||||||||
Insurance (0.8%) | ||||||||||||
2,500,000 | Berkshire Hathaway Finance Corp., 4.4%, due 05/15/42 | 2,662,949 | ||||||||||
1,625,000 | Farmers Exchange Capital, (144A), 7.2%, due 07/15/48 (2) | 2,001,945 | ||||||||||
2,250,000 | Farmers Exchange Capital II, (144A), 6.151%, due 11/01/53 (1)(2) | 2,501,997 | ||||||||||
800,000 | MetLife, Inc., 4.368%, due 09/15/23 | 869,269 | ||||||||||
300,000 | MetLife, Inc., 5.7%, due 06/15/35 | 366,106 | ||||||||||
4,000,000 | Pricoa Global Funding I, (144A), 1.6%, due 05/29/18 (2) | 4,002,608 | ||||||||||
1,000,000 | Prudential Financial, Inc., 4.5%, due 11/15/20 | 1,078,098 | ||||||||||
|
| |||||||||||
Total Insurance | 13,482,972 | |||||||||||
|
| |||||||||||
Media (0.3%) | ||||||||||||
4,130,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, due 07/23/25 | 4,402,412 | ||||||||||
200,000 | NBCUniversal Media LLC, 5.15%, due 04/30/20 | 218,507 | ||||||||||
|
| |||||||||||
Total Media | 4,620,919 | |||||||||||
|
| |||||||||||
Mining (0.0%) | ||||||||||||
300,000 | Southern Copper Corp. (Peru), 7.5%, due 07/27/35 | 369,009 | ||||||||||
|
| |||||||||||
Miscellaneous Manufacturers (0.4%) | ||||||||||||
3,315,000 | General Electric Capital Corp., 1.519%, due 08/15/36 (1) | 2,982,472 |
See accompanying notes to financial statements.
7
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Miscellaneous Manufacturers (Continued) | ||||||||||||
$ | 287,000 | General Electric Capital Corp., 3.15%, due 09/07/22 | $ | 298,386 | ||||||||
2,868,000 | Siemens Financieringsmaatschappij NV (Netherlands), (144A), | 2,790,332 | ||||||||||
|
| |||||||||||
Total Miscellaneous Manufacturers | 6,071,190 | |||||||||||
|
| |||||||||||
Oil & Gas (0.1%) | ||||||||||||
1,000,000 | Noble Energy, Inc., 5.05%, due 11/15/44 | 1,036,576 | ||||||||||
1,250,000 | Shell International Finance BV (Netherlands), 4.375%, due 05/11/45 | 1,285,528 | ||||||||||
|
| |||||||||||
Total Oil & Gas | 2,322,104 | |||||||||||
|
| |||||||||||
Packaging & Containers (0.1%) | ||||||||||||
1,500,000 | Amcor Finance USA, Inc., (144A), 3.625%, due 04/28/26 (2) | 1,500,906 | ||||||||||
|
| |||||||||||
Pharmaceuticals (0.7%) | ||||||||||||
1,500,000 | AbbVie, Inc., 1.8%, due 05/14/18 | 1,502,497 | ||||||||||
1,700,000 | AbbVie, Inc., 3.2%, due 05/14/26 | 1,648,474 | ||||||||||
50,000 | AbbVie, Inc., 4.7%, due 05/14/45 | 50,380 | ||||||||||
900,000 | Actavis Funding SCS (Luxembourg), 2.35%, due 03/12/18 | 903,999 | ||||||||||
3,400,000 | Actavis Funding SCS (Luxembourg), 4.55%, due 03/15/35 | 3,434,099 | ||||||||||
3,835,000 | Shire Acquisitions Investments Ireland DAC (Ireland), 1.9%, due 09/23/19 | 3,815,537 | ||||||||||
|
| |||||||||||
Total Pharmaceuticals | 11,354,986 | |||||||||||
|
| |||||||||||
Pipelines (1.5%) | ||||||||||||
2,000,000 | Enbridge Energy Partners LP, 5.875%, due 10/15/25 | 2,277,818 | ||||||||||
1,500,000 | Energy Transfer Partners LP, 5.95%, due 10/01/43 | 1,585,274 | ||||||||||
2,000,000 | Florida Gas Transmission Co. LLC, (144A), 3.875%, due 07/15/22 (2) | 2,060,009 | ||||||||||
1,250,000 | Florida Gas Transmission Co. LLC, (144A), 7.9%, due 05/15/19 (2) | 1,384,488 | ||||||||||
675,000 | Panhandle Eastern Pipe Line Co. LP, 7%, due 06/15/18 | 707,416 | ||||||||||
825,000 | Panhandle Eastern Pipe Line Co. LP, 8.125%, due 06/01/19 | 912,196 | ||||||||||
2,350,000 | Ruby Pipeline LLC, (144A), 6%, due 04/01/22 (2) | 2,498,990 | ||||||||||
2,000,000 | Sabine Pass Liquefaction LLC, 5.625%, due 03/01/25 | 2,182,500 | ||||||||||
2,590,000 | Southern Natural Gas Co. LLC, 7.35%, due 02/15/31 | 3,287,281 | ||||||||||
2,000,000 | TC PipeLines LP, 4.375%, due 03/13/25 | 2,046,447 | ||||||||||
2,090,000 | Tennessee Gas Pipeline Co., 8.375%, due 06/15/32 | 2,684,369 | ||||||||||
1,000,000 | Texas Eastern Transmission LP, (144A), 2.8%, due 10/15/22 (2) | 980,632 | ||||||||||
375,000 | TransCanada PipeLines, Ltd. (Canada), 6.1%, due 06/01/40 | 466,347 | ||||||||||
1,350,000 | Williams Partners LP, 3.6%, due 03/15/22 | 1,382,998 | ||||||||||
2,000,000 | Williams Partners LP, 6.3%, due 04/15/40 | 2,302,573 | ||||||||||
|
| |||||||||||
Total Pipelines | 26,759,338 | |||||||||||
|
| |||||||||||
Real Estate (0.1%) | ||||||||||||
850,000 | Post Apartment Homes LP, 4.75%, due 10/15/17 | 855,116 | ||||||||||
|
| |||||||||||
REIT (2.8%) | ||||||||||||
2,250,000 | Alexandria Real Estate Equities, Inc., 4.6%, due 04/01/22 | 2,405,264 | ||||||||||
3,000,000 | AvalonBay Communities, Inc., 2.95%, due 09/15/22 | 3,026,226 | ||||||||||
1,000,000 | AvalonBay Communities, Inc., 3.95%, due 01/15/21 | 1,049,834 | ||||||||||
2,200,000 | Boston Properties LP, 5.875%, due 10/15/19 | 2,377,800 |
See accompanying notes to financial statements.
8
TCW Core Fixed Income Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
REIT (Continued) | ||||||||||||
$ | 3,052,000 | Duke Realty LP, 6.5%, due 01/15/18 | $ | 3,152,470 | ||||||||
2,000,000 | HCP, Inc., 3.75%, due 02/01/19 | 2,048,112 | ||||||||||
2,295,000 | HCP, Inc., 3.875%, due 08/15/24 | 2,316,388 | ||||||||||
1,500,000 | HCP, Inc., 5.625%, due 05/01/17 | 1,499,992 | ||||||||||
2,900,000 | Healthcare Realty Trust, Inc., 5.75%, due 01/15/21 | 3,188,946 | ||||||||||
1,459,000 | Highwoods Realty LP, 7.5%, due 04/15/18 | 1,532,380 | ||||||||||
2,300,000 | Kimco Realty Corp., 4.3%, due 02/01/18 | 2,329,706 | ||||||||||
2,150,000 | Realty Income Corp., 2%, due 01/31/18 | 2,153,089 | ||||||||||
2,900,000 | Realty Income Corp., 5.375%, due 09/15/17 | 2,940,721 | ||||||||||
2,440,000 | SL Green Realty Corp., 5%, due 08/15/18 | 2,520,143 | ||||||||||
1,000,000 | SL Green Realty Corp., 7.75%, due 03/15/20 | 1,125,654 | ||||||||||
2,425,000 | Ventas Realty LP / Ventas Capital Corp., 2%, due 02/15/18 | 2,429,915 | ||||||||||
1,500,000 | Ventas Realty LP / Ventas Capital Corp., 2.7%, due 04/01/20 | 1,514,505 | ||||||||||
7,340,000 | WEA Finance LLC / Westfield UK & Europe Finance PLC (Australia), (144A), 1.75%, due 09/15/17 (2) | 7,344,792 | ||||||||||
605,000 | Welltower, Inc., 3.75%, due 03/15/23 | 624,007 | ||||||||||
545,000 | Welltower, Inc., 4.95%, due 01/15/21 | 587,487 | ||||||||||
3,400,000 | Welltower, Inc., 6.125%, due 04/15/20 | 3,759,101 | ||||||||||
|
| |||||||||||
Total REIT | 49,926,532 | |||||||||||
|
| |||||||||||
Retail (0.6%) | ||||||||||||
3,920,000 | CVS Health Corp., 3.875%, due 07/20/25 | 4,084,683 | ||||||||||
2,100,000 | Wal-Mart Stores, Inc., 4.75%, due 10/02/43 | 2,366,061 | ||||||||||
3,500,000 | Walgreens Boots Alliance, Inc., 3.1%, due 06/01/23 | 3,526,687 | ||||||||||
|
| |||||||||||
Total Retail | 9,977,431 | |||||||||||
|
| |||||||||||
Software (0.2%) | ||||||||||||
1,700,000 | Microsoft Corp., 2.875%, due 02/06/24 | 1,727,493 | ||||||||||
2,000,000 | Microsoft Corp., 3.75%, due 02/12/45 | 1,930,526 | ||||||||||
|
| |||||||||||
Total Software | 3,658,019 | |||||||||||
|
| |||||||||||
Telecommunications (1.4%) | ||||||||||||
2,400,000 | AT&T, Inc., 4.125%, due 02/17/26 | 2,449,798 | ||||||||||
1,500,000 | AT&T, Inc., 4.35%, due 06/15/45 | 1,337,654 | ||||||||||
1,500,000 | AT&T, Inc., 4.45%, due 04/01/24 | 1,581,086 | ||||||||||
970,000 | AT&T, Inc., 4.5%, due 03/09/48 | 879,123 | ||||||||||
2,500,000 | AT&T, Inc., 4.75%, due 05/15/46 | 2,350,710 | ||||||||||
3,435,000 | AT&T, Inc., 5.25%, due 03/01/37 | 3,525,683 | ||||||||||
1,000,000 | Qwest Corp., 7.25%, due 09/15/25 | 1,102,322 | ||||||||||
2,000,000 | Verizon Communications, Inc., 2.871%, due 09/14/18 (1) | 2,041,106 | ||||||||||
1,526,000 | Verizon Communications, Inc., 3%, due 11/01/21 | 1,545,786 | ||||||||||
1,439,000 | Verizon Communications, Inc., 4.272%, due 01/15/36 | 1,347,796 | ||||||||||
600,000 | Verizon Communications, Inc., 4.522%, due 09/15/48 | 554,145 | ||||||||||
3,500,000 | Verizon Communications, Inc., 4.862%, due 08/21/46 | 3,417,461 | ||||||||||
2,500,000 | Verizon Communications, Inc., 5.25%, due 03/16/37 | 2,617,971 | ||||||||||
150,000 | Verizon Communications, Inc., (144A), 5.012%, due 04/15/49 (2) | 147,786 | ||||||||||
|
| |||||||||||
Total Telecommunications | 24,898,427 | |||||||||||
|
|
See accompanying notes to financial statements.
9
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Transportation (0.0%) | ||||||||||||
$ | 650,000 | Burlington Northern Santa Fe LLC, 4.15%, due 04/01/45 | $ | 662,322 | ||||||||
|
| |||||||||||
Total Corporate Bonds (Cost: $486,194,226) | 493,819,284 | |||||||||||
|
| |||||||||||
Municipal Bonds (1.0%) | ||||||||||||
4,170,000 | Alabama Economic Settlement Authority, Revenue Bond, 3.163%, due 09/15/25 | 4,227,212 | ||||||||||
1,500,000 | City of New York, General Obligation Unlimited, 5.047%, due 10/01/24 | 1,702,035 | ||||||||||
1,250,000 | City of New York, General Obligation Unlimited, 5.517%, due 10/01/37 | 1,538,400 | ||||||||||
665,000 | Fiscal Year 2005 Securitization Corp., Special Obligation Bond for the City of New York, | 697,140 | ||||||||||
3,000,000 | New York City Transitional Finance Authority, Future Tax Secured Revenue Bond, | 3,698,340 | ||||||||||
2,000,000 | New York City Water & Sewer System, Revenue Bond, 5.882%, due 06/15/44 | 2,656,680 | ||||||||||
1,435,000 | New York State Dormitory Authority, Revenue Bond, 5.5%, due 03/15/30 | 1,700,002 | ||||||||||
730,000 | New York State, Build America Bonds, General Obligation Unlimited, | 809,920 | ||||||||||
|
| |||||||||||
Total Municipal Bonds (Cost: $16,636,522) | 17,029,729 | |||||||||||
|
| |||||||||||
Asset-Backed Securities (7.8%) | ||||||||||||
1,746,963 | 321 Henderson Receivables I LLC (13-3A-A), (144A), | 1,768,516 | ||||||||||
2,042,089 | 321 Henderson Receivables I LLC (14-2A-A), (144A), | 1,953,719 | ||||||||||
2,800,000 | Academic Loan Funding Trust (12-1A-A2), (144A), | 2,792,984 | ||||||||||
2,925,000 | BA Credit Card Trust (14-A3-A), 1.284%, due 01/15/20 (1) | 2,927,190 | ||||||||||
1,900,000 | BA Credit Card Trust (15-A1-A), 1.324%, due 06/15/20 (1) | 1,903,808 | ||||||||||
500,000 | Babson CLO, Ltd. (14-IIA-AR), (144A), 2.308%, due 10/17/26 (1)(2) | 500,044 | ||||||||||
1,000,000 | Babson CLO, Ltd. (15-IA-A), (144A), 2.586%, due 04/20/27 (1)(2) | 1,002,905 | ||||||||||
1,600,000 | Ballyrock CLO LLC, (144A), 2.306%, due 10/20/26 (1)(2) | 1,600,113 | ||||||||||
1,521,820 | Bayview Commercial Asset Trust (06-4A-A1), (144A), 1.221%, due 12/25/36 (1)(2) | 1,352,724 | ||||||||||
1,244,413 | Brazos Education Loan Authority, Inc. (12-1-A1), 1.691%, due 12/26/35 (1) | 1,231,046 | ||||||||||
646,320 | Brazos Higher Education Authority, Inc. (06-2-A9), 0%, due 12/26/24 (1) | 621,744 | ||||||||||
675,000 | Brazos Higher Education Authority, Inc. (10-1-A2), 2.252%, due 02/25/35 (1) | 685,431 | ||||||||||
1,695,000 | Brazos Higher Education Authority, Inc. (11-1-A3), 2.102%, due 11/25/33 (1) | 1,694,144 | ||||||||||
4,160,000 | Chase Issuance Trust (15-A6-A6), 1.244%, due 05/15/19 (1) | 4,160,353 | ||||||||||
4,915,000 | Citibank Credit Card Issuance Trust (08-A2-A2), 2.138%, due 01/23/20 (1) | 4,956,692 | ||||||||||
3,960,000 | Dryden Senior Loan Fund (15-37A-A), (144A), 2.658%, due 04/15/27 (1)(2) | 3,968,074 | ||||||||||
2,039,885 | Educational Funding of the South, Inc. (11-1-A2), 1.806%, due 04/25/35 (1) | 2,031,250 | ||||||||||
977,814 | Educational Services of America, Inc. (12-2-A), (144A), 1.721%, due 04/25/39 (1)(2) | 975,037 | ||||||||||
2,866,388 | GCO Education Loan Funding Master Trust (06-2AR-A1RN), (144A), | 2,581,472 | ||||||||||
2,236,625 | Global SC Finance SRL (14-1A-A2), (144A), 3.09%, due 07/17/29 (2) | 2,165,930 | ||||||||||
2,695,551 | Higher Education Funding I (14-1-A), (144A), 2.102%, due 05/25/34 (1)(2) | 2,692,117 | ||||||||||
1,159,346 | Honda Auto Receivables Owner Trust (15-4-A2), 0.82%, due 07/23/18 | 1,158,457 | ||||||||||
4,800,000 | Honda Auto Receivables Owner Trust (16-4-A2), 1.04%, due 04/18/19 | 4,790,449 | ||||||||||
3,400,000 | Magnetite XI, Ltd. (14-11A-A1R), (144A), 2.278%, due 01/18/27 (1)(2) | 3,400,160 | ||||||||||
3,260,000 | Magnetite XII, Ltd. (15-12A-AR), (144A), 2.488%, due 04/15/27 (1)(2) | 3,264,711 | ||||||||||
2,400,000 | Montana Higher Education Student Assistance Corp. (12-1-A3), | 2,327,443 | ||||||||||
4,563,301 | Navient Student Loan Trust (14-2-A), 1.631%, due 03/25/83 (1) | 4,502,998 |
See accompanying notes to financial statements.
10
TCW Core Fixed Income Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Asset-Backed Securities (Continued) | ||||||||||||
$ | 4,601,558 | Navient Student Loan Trust (14-3-A), 1.611%, due 03/25/83 (1) | $ | 4,543,293 | ||||||||
2,241,417 | Navient Student Loan Trust (14-4-A), 1.611%, due 03/25/83 (1) | 2,212,717 | ||||||||||
4,703,358 | Navient Student Loan Trust (16-1A-A), (144A), 1.691%, due 02/25/70 (1)(2) | 4,630,080 | ||||||||||
4,400,000 | Navient Student Loan Trust (17-3A-A3), (144A), 2.111%, due 07/26/66 (1)(2) | 4,400,002 | ||||||||||
3,191,347 | Nelnet Student Loan Trust (11-1A-A), (144A), 1.841%, due 02/25/48 (1)(2) | 3,207,297 | ||||||||||
2,965,000 | Nelnet Student Loan Trust (14-4A-A2), (144A), 1.941%, due 11/25/48 (1)(2) | 2,905,634 | ||||||||||
5,924,034 | Nelnet Student Loan Trust (15-2A-A2), (144A), 1.591%, due 09/25/47 (1)(2) | 5,881,084 | ||||||||||
1,308,176 | Nissan Auto Receivables Owner Trust (15-C-A2A), 0.87%, due 11/15/18 | 1,307,253 | ||||||||||
2,541,230 | PHEAA Student Loan Trust (15-1A-A), (144A), 1.591%, due 10/25/41 (1)(2) | 2,495,723 | ||||||||||
1,982,864 | SLC Student Loan Trust (05-3-B), 1.381%, due 06/15/40 (1) | 1,781,632 | ||||||||||
4,063,739 | SLM Student Loan Trust (03-10A-A3), (144A), 1.601%, due 12/15/27 (1)(2) | 4,058,712 | ||||||||||
937,857 | SLM Student Loan Trust (05-6-B), 1.446%, due 01/25/44 (1) | 866,061 | ||||||||||
967,071 | SLM Student Loan Trust (06-10-B), 1.376%, due 03/25/44 (1) | 852,091 | ||||||||||
3,400,000 | SLM Student Loan Trust (06-2-A6), 1.326%, due 01/25/41 (1) | 3,235,785 | ||||||||||
3,400,000 | SLM Student Loan Trust (06-8-A6), 1.316%, due 01/25/41 (1) | 3,164,655 | ||||||||||
979,765 | SLM Student Loan Trust (07-1-B), 1.376%, due 01/27/42 (1) | 888,604 | ||||||||||
3,997,291 | SLM Student Loan Trust (07-6-A4), 1.536%, due 10/25/24 (1) | 3,987,776 | ||||||||||
520,712 | SLM Student Loan Trust (07-6-B), 2.006%, due 04/27/43 (1) | 476,386 | ||||||||||
710,000 | SLM Student Loan Trust (08-2-B), 2.356%, due 01/25/83 (1) | 671,228 | ||||||||||
710,000 | SLM Student Loan Trust (08-3-B), 2.356%, due 04/26/83 (1) | 660,844 | ||||||||||
7,222,823 | SLM Student Loan Trust (08-4-A4), 2.806%, due 07/25/22 (1) | 7,365,096 | ||||||||||
710,000 | SLM Student Loan Trust (08-4-B), 3.006%, due 04/25/29 (1) | 690,167 | ||||||||||
710,000 | SLM Student Loan Trust (08-5-B), 3.006%, due 07/25/73 (1) | 700,748 | ||||||||||
1,782,622 | SLM Student Loan Trust (08-6-A3), 1.906%, due 01/25/19 (1) | 1,783,998 | ||||||||||
710,000 | SLM Student Loan Trust (08-6-B), 3.006%, due 07/26/83 (1) | 698,491 | ||||||||||
710,000 | SLM Student Loan Trust (08-7-B), 3.006%, due 07/26/83 (1) | 697,062 | ||||||||||
710,000 | SLM Student Loan Trust (08-8-B), 3.406%, due 10/25/75 (1) | 713,336 | ||||||||||
710,000 | SLM Student Loan Trust (08-9-B), 3.406%, due 10/25/83 (1) | 721,510 | ||||||||||
4,200,354 | SLM Student Loan Trust (09-3-A), (144A), 1.741%, due 01/25/45 (1)(2) | 4,171,954 | ||||||||||
2,000,000 | SLM Student Loan Trust (11-2-A2), 2.191%, due 10/25/34 (1) | 2,033,636 | ||||||||||
2,600,000 | SLM Student Loan Trust (12-7-A3), 1.641%, due 05/26/26 (1) | 2,526,366 | ||||||||||
740,851 | Toyota Auto Receivables Owner Trust (15-A-A3), 1.12%, due 02/15/19 | 740,220 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities (Cost: $137,349,888) | 138,078,952 | |||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — Agency (4.4%) | ||||||||||||
3,380,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K151-A3), 3.511%, due 04/25/30 | 3,510,324 | ||||||||||
1,495,876 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (KF02-A3), 1.409%, due 07/25/20 (1) | 1,501,463 | ||||||||||
7,072,819 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (KJ05-A1), 1.418%, due 05/25/21 | 7,000,181 | ||||||||||
3,045,000 | Federal National Mortgage Association, Pool #467944, 4.25%, due 04/01/21 | 3,277,172 | ||||||||||
1,759,873 | Federal National Mortgage Association, Pool #468048, 4.41%, due 05/01/21 | 1,900,700 | ||||||||||
2,305,000 | Federal National Mortgage Association, Pool #AE0134, 4.399%, due 02/01/20 | 2,449,790 | ||||||||||
3,218,553 | Federal National Mortgage Association, Pool #AE0918, 3.666%, due 10/01/20 | 3,382,236 | ||||||||||
1,856,694 | Federal National Mortgage Association, Pool #Al0151, 4.38%, due 04/01/21 | 1,997,075 | ||||||||||
5,453,318 | Federal National Mortgage Association, Pool #AL6829, 2.964%, due 05/01/27 | 5,494,320 |
See accompanying notes to financial statements.
11
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Commercial Mortgage-Backed Securities — Agency (Continued) | ||||||||||||
$ | 2,290,807 | Federal National Mortgage Association, Pool #AM1551, 2.44%, due 12/01/23 | $ | 2,294,482 | ||||||||
3,528,488 | Federal National Mortgage Association, Pool #AM3058, 3.41%, due 04/01/28 | 3,682,237 | ||||||||||
3,528,183 | Federal National Mortgage Association, Pool #AM4198, 3.55%, due 03/01/24 | 3,726,575 | ||||||||||
3,895,000 | Federal National Mortgage Association, Pool #AN5048, 3.13%, due 04/01/29 | 3,953,944 | ||||||||||
3,460,000 | Federal National Mortgage Association, Pool #AN5049, 3.13%, due 04/01/29 | 3,512,361 | ||||||||||
2,099,451 | Federal National Mortgage Association, Pool #FN0000, 3.587%, due 09/01/20 | 2,198,422 | ||||||||||
2,936,612 | Federal National Mortgage Association, Pool #FN0001, 3.762%, due 12/01/20 | 3,089,030 | ||||||||||
2,251,209 | Federal National Mortgage Association, Pool #FN0003, 4.283%, due 01/01/21 | 2,392,630 | ||||||||||
3,055,238 | Federal National Mortgage Association, Pool#AM9536, 3.34%, due 08/01/30 | 3,159,051 | ||||||||||
3,265,000 | Federal National Mortgage Association, Pool#AM9793, 3.12%, due 10/01/27 | 3,334,832 | ||||||||||
2,348,169 | Federal National Mortgage Association, Pool#AN0245, 3.42%, due 11/01/35 | 2,408,067 | ||||||||||
3,270,000 | Federal National Mortgage Association, Pool#AN0564, 3.2%, due 03/01/31 | 3,321,416 | ||||||||||
2,385,000 | Federal National Mortgage Association, Pool#AN1032, 2.86%, due 03/01/26 | 2,408,797 | ||||||||||
3,512,000 | Federal National Mortgage Association, Pool#AN1282, 3.01%, due 04/01/28 | 3,535,845 | ||||||||||
2,179,012 | Federal National Mortgage Association (14-M12 FA), | 2,171,897 | ||||||||||
1,526,685 | NCUA Guaranteed Notes (11-C1-1A), 1.322%, due 02/28/20 (1) | 1,525,827 | ||||||||||
1,044,583 | NCUA Guaranteed Notes (11-C1-2A), 1.384%, due 03/09/21 (1) | 1,042,433 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $79,357,505) | 78,271,107 | |||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — Non-Agency (1.6%) |
| |||||||||||
1,740,000 | BBCMS Trust (13-TYSN-A2), (144A), 3.756%, due 09/05/32 (2) | 1,827,626 | ||||||||||
1,359,404 | Citigroup Commercial Mortgage Trust (07-C6-A4), 5.922%, due 12/10/49 (1) | 1,358,709 | ||||||||||
1,515,000 | COMM Mortgage Trust (13-300P-A1), (144A), 4.353%, due 08/10/30 (2) | 1,652,570 | ||||||||||
400,000 | COMM Mortgage Trust (14-277P-A), (144A), 3.732%, due 08/10/49 (1)(2) | 418,402 | ||||||||||
1,635,000 | COMM Mortgage Trust (16-787S-A), (144A), 3.545%, due 02/10/36 (2) | 1,690,935 | ||||||||||
2,978,301 | Commercial Mortgage Asset Trust (99-C2-G), 6%, due 11/17/32 | 3,036,848 | ||||||||||
3,947,719 | JPMorgan Chase Commercial Mortgage Securities Trust (11-C3-A3), (144A), 4.388%, due 02/15/46 (2) | 4,026,679 | ||||||||||
1,635,000 | Liberty Street Trust (16-225L-A), (144A), 3.597%, due 02/10/36 (2) | 1,697,693 | ||||||||||
1,505,000 | OBP Depositor LLC Trust (10-OBP-A), (144A), 4.646%, due 07/15/45 (2) | 1,608,525 | ||||||||||
1,555,000 | RBS Commercial Funding, Inc. (13-GSP-A), (144A), 3.961%, due 01/13/32 (1)(2) | 1,653,762 | ||||||||||
1,710,000 | SFAVE Commercial Mortgage Securities Trust (15-5AVE-A1), (144A), | 1,709,378 | ||||||||||
1,250,000 | VNDO Mortgage Trust (12-6AVE-A), (144A), 2.996%, due 11/15/30 (2) | 1,274,779 | ||||||||||
197,498 | Wachovia Bank Commercial Mortgage Trust (07-C33-A4), 6.179%, due 02/15/51 (1) | 197,278 | ||||||||||
1,695,000 | Wells Fargo Commercial Mortgage Trust (13-120B-A), (144A), | 1,719,169 | ||||||||||
2,911,088 | WF-RBS Commercial Mortgage Trust (11-C4-A3), (144A), 4.394%, due 06/15/44 (2) | 3,003,951 | ||||||||||
493,321 | WTC Depositor LLC Trust (12-7WTC-A), (144A), 4.082%, due 03/13/31 (2) | 498,891 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $28,012,375) | 27,375,195 | |||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — Agency (25.7%) |
| |||||||||||
195,376 | Federal Home Loan Mortgage Corp. (2439-KZ), 6.5%, due 04/15/32 | 217,276 | ||||||||||
474,135 | Federal Home Loan Mortgage Corp. (2575-FD), 1.444%, due 02/15/33 (PAC) (1) | 476,941 | ||||||||||
274,137 | Federal Home Loan Mortgage Corp. (2662-MT), 4.5%, due 08/15/33 (TAC) | 292,710 | ||||||||||
5,941,844 | Federal Home Loan Mortgage Corp. (277-30), 3%, due 09/15/42 | 5,997,392 |
See accompanying notes to financial statements.
12
TCW Core Fixed Income Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Agency (Continued) |
| |||||||||||
$ | 81,542 | Federal Home Loan Mortgage Corp. (3315-S), 5.416%, due 05/15/37 (I/O) (I/F) (1) | $ | 10,510 | ||||||||
650,664 | Federal Home Loan Mortgage Corp. (3339-JS), 36.371%, due 07/15/37 (I/F) (1) | 1,198,315 | ||||||||||
536,604 | Federal Home Loan Mortgage Corp. (3351-ZC), 5.5%, due 07/15/37 | 599,966 | ||||||||||
852,146 | Federal Home Loan Mortgage Corp. (3380-SM), 5.416%, due 10/15/37 (I/O) (I/F) (1) | 147,677 | ||||||||||
488,627 | Federal Home Loan Mortgage Corp. (3382-FL), 1.694%, due 11/15/37 (1) | 493,728 | ||||||||||
2,605,578 | Federal Home Loan Mortgage Corp. (3439-SC), 4.906%, due 04/15/38 (I/O) (I/F) (1) | 375,027 | ||||||||||
1,201,349 | Federal Home Loan Mortgage Corp. (3578-DI), 5.656%, due 04/15/36 (I/O) (I/F) (1) | 227,327 | ||||||||||
3,797,356 | Federal Home Loan Mortgage Corp. (4139-PA), 2.5%, due 11/15/41 (PAC) | 3,817,395 | ||||||||||
2,836,840 | Federal Home Loan Mortgage Corp., Pool #A97179, 4.5%, due 03/01/41 | 3,105,906 | ||||||||||
6,597 | Federal Home Loan Mortgage Corp., Pool #B15026, 5%, due 06/01/19 | 6,776 | ||||||||||
5,376 | Federal Home Loan Mortgage Corp., Pool #B15591, 5%, due 07/01/19 | 5,545 | ||||||||||
16,754 | Federal Home Loan Mortgage Corp., Pool #C90526, 5.5%, due 02/01/22 | 18,568 | ||||||||||
3,217,933 | Federal Home Loan Mortgage Corp., Pool #G06360, 4%, due 03/01/41 | 3,439,627 | ||||||||||
2,483,367 | Federal Home Loan Mortgage Corp., Pool #G06498, 4%, due 04/01/41 | 2,650,105 | ||||||||||
1,710,336 | Federal Home Loan Mortgage Corp., Pool #G06499, 4%, due 03/01/41 | 1,819,918 | ||||||||||
1,927,345 | Federal Home Loan Mortgage Corp., Pool #G07849, 3.5%, due 05/01/44 | 1,992,955 | ||||||||||
3,853,021 | Federal Home Loan Mortgage Corp., Pool #G07924, 3.5%, due 01/01/45 | 3,985,101 | ||||||||||
7,561,348 | Federal Home Loan Mortgage Corp., Pool #G08676, 3.5%, due 11/01/45 | 7,781,259 | ||||||||||
5,709,102 | Federal Home Loan Mortgage Corp., Pool #G08677, 4%, due 11/01/45 | 6,011,254 | ||||||||||
9,146,255 | Federal Home Loan Mortgage Corp., Pool #G08698, 3.5%, due 03/01/46 | 9,410,714 | ||||||||||
13,080,066 | Federal Home Loan Mortgage Corp., Pool #G08702, 3.5%, due 04/01/46 | 13,458,269 | ||||||||||
3,724,677 | Federal Home Loan Mortgage Corp., Pool #G08706, 3.5%, due 05/01/46 | 3,832,374 | ||||||||||
5,586,897 | Federal Home Loan Mortgage Corp., Pool #G08710, 3%, due 06/01/46 | 5,583,395 | ||||||||||
11,718,354 | Federal Home Loan Mortgage Corp., Pool #G08711, 3.5%, due 06/01/46 | 12,058,304 | ||||||||||
10,406,539 | Federal Home Loan Mortgage Corp., Pool #G08715, 3%, due 08/01/46 | 10,400,017 | ||||||||||
14,355,238 | Federal Home Loan Mortgage Corp., Pool #G08716, 3.5%, due 08/01/46 | 14,771,724 | ||||||||||
8,423,486 | Federal Home Loan Mortgage Corp., Pool #G08721, 3%, due 09/01/46 | 8,418,206 | ||||||||||
4,885,923 | Federal Home Loan Mortgage Corp., Pool #G08722, 3.5%, due 09/01/46 | 5,027,763 | ||||||||||
8,080,194 | Federal Home Loan Mortgage Corp., Pool #G08726, 3%, due 10/01/46 | 8,075,129 | ||||||||||
7,784,539 | Federal Home Loan Mortgage Corp., Pool #G08732, 3%, due 11/01/46 | 7,779,660 | ||||||||||
5,356,753 | Federal Home Loan Mortgage Corp., Pool #G08741, 3%, due 01/01/47 | 5,353,395 | ||||||||||
4,760,322 | Federal Home Loan Mortgage Corp., Pool #G08747, 3%, due 02/01/47 | 4,757,338 | ||||||||||
2,779,216 | Federal Home Loan Mortgage Corp., Pool #G18592, 3%, due 03/01/31 | 2,863,316 | ||||||||||
8,771,139 | Federal Home Loan Mortgage Corp., Pool #G18622, 2.5%, due 12/01/31 | 8,835,997 | ||||||||||
1,809,789 | Federal Home Loan Mortgage Corp., Pool #G60344, 4%, due 12/01/45 | 1,921,558 | ||||||||||
2,897,704 | Federal Home Loan Mortgage Corp., Pool #Q05261, 3.5%, due 12/01/41 | 3,012,367 | ||||||||||
4,617,649 | Federal Home Loan Mortgage Corp., Pool #Q20178, 3.5%, due 07/01/43 | 4,793,355 | ||||||||||
7,495,000 | Federal Home Loan Mortgage Corp. TBA, 4% (4) | 7,890,244 | ||||||||||
210,201 | Federal National Mortgage Association (01-14-SH), 24.358%, due 03/25/30 (I/F) (1) | 328,892 | ||||||||||
265,653 | Federal National Mortgage Association (01-34-FV), 1.491%, due 08/25/31 (1) | 266,891 | ||||||||||
2,000,000 | Federal National Mortgage Association (04-W10-A6), 5.75%, due 08/25/34 (PAC) | 2,245,851 | ||||||||||
1,038,711 | Federal National Mortgage Association (07-89-GF), 1.511%, due 09/25/37 (1) | 1,047,550 | ||||||||||
196,925 | Federal National Mortgage Association (08-30-SA), | 36,678 | ||||||||||
266,001 | Federal National Mortgage Association (08-62-SN), | 46,332 | ||||||||||
2,454,641 | Federal National Mortgage Association (09-64-TB), 4%, due 08/25/29 | 2,591,596 |
See accompanying notes to financial statements.
13
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Agency (Continued) |
| |||||||||||
$ | 138,090 | Federal National Mortgage Association (09-68-SA), | $ | 25,392 | ||||||||
2,123,165 | Federal National Mortgage Association (10-26-AS), | 366,921 | ||||||||||
4,000,000 | Federal National Mortgage Association (11-111-DB), 4%, due 11/25/41 | 4,214,844 | ||||||||||
18,763 | Federal National Mortgage Association, Pool #254634, 5.5%, due 02/01/23 | 20,789 | ||||||||||
13,459 | Federal National Mortgage Association, Pool #596686, 6.5%, due 11/01/31 | 14,520 | ||||||||||
26,807 | Federal National Mortgage Association, Pool #679263, 4.5%, due 11/01/24 | 28,865 | ||||||||||
26,515 | Federal National Mortgage Association, Pool #725275, 4%, due 03/01/19 | 27,518 | ||||||||||
67,442 | Federal National Mortgage Association, Pool #727575, 5%, due 06/01/33 | 72,917 | ||||||||||
102,214 | Federal National Mortgage Association, Pool #748751, 5.5%, due 10/01/33 | 110,313 | ||||||||||
17,185 | Federal National Mortgage Association, Pool #782593, 4.5%, due 06/01/34 | 18,584 | ||||||||||
1,377,662 | Federal National Mortgage Association, Pool #AB2127, 3.5%, due 01/01/26 | 1,441,218 | ||||||||||
1,496,734 | Federal National Mortgage Association, Pool #AB3679, 3.5%, due 10/01/41 | 1,550,217 | ||||||||||
2,495,294 | Federal National Mortgage Association, Pool #AB3685, 4%, due 10/01/41 | 2,657,290 | ||||||||||
2,130,791 | Federal National Mortgage Association, Pool #AB3864, 3.5%, due 11/01/41 | 2,209,395 | ||||||||||
4,441,501 | Federal National Mortgage Association, Pool #AB4045, 3.5%, due 12/01/41 | 4,613,675 | ||||||||||
3,284,909 | Federal National Mortgage Association, Pool #AC1604, 4%, due 08/01/39 | 3,505,871 | ||||||||||
881,101 | Federal National Mortgage Association, Pool #AL0209, 4.5%, due 05/01/41 | 964,014 | ||||||||||
1,045,664 | Federal National Mortgage Association, Pool #AL0851, 6%, due 10/01/40 | 1,180,335 | ||||||||||
8,438,321 | Federal National Mortgage Association, Pool #AL9105, 4.5%, due 10/01/46 | 9,089,893 | ||||||||||
5,833,095 | Federal National Mortgage Association, Pool #AL9106, 4.5%, due 02/01/46 | 6,293,590 | ||||||||||
16,244,397 | Federal National Mortgage Association, Pool #AL9549, 4%, due 09/01/46 | 17,127,944 | ||||||||||
34,452,242 | Federal National Mortgage Association, Pool #AL9990, 4.5%, due 04/01/47 | 37,098,165 | ||||||||||
1,385,455 | Federal National Mortgage Association, Pool #BC1158, 3.5%, due 02/01/46 | 1,426,063 | ||||||||||
4,002,192 | Federal National Mortgage Association, Pool #MA1561, 3%, due 09/01/33 | 4,124,083 | ||||||||||
6,548,064 | Federal National Mortgage Association, Pool #MA1584, 3.5%, due 09/01/33 | 6,835,260 | ||||||||||
9,885,000 | Federal National Mortgage Association TBA, 3% (4) | 10,172,283 | ||||||||||
8,620,000 | Federal National Mortgage Association TBA, 3% (4) | 8,610,572 | ||||||||||
13,495,000 | Federal National Mortgage Association TBA, 4% (4) | 14,216,139 | ||||||||||
21,705,000 | Federal National Mortgage Association TBA, 4.5% (4) | 23,360,006 | ||||||||||
7,975,000 | Federal National Mortgage Association TBA, 5% (4) | 8,735,117 | ||||||||||
473,119 | Government National Mortgage Association (04-30-UC), | 486,562 | ||||||||||
500,481 | Government National Mortgage Association (08-27-SI), | 85,219 | ||||||||||
1,952,781 | Government National Mortgage Association (08-81-S), | 320,855 | ||||||||||
799,558 | Government National Mortgage Association (09-66-UF), | 815,283 | ||||||||||
3,059,206 | Government National Mortgage Association (10-1-S), | 477,902 | ||||||||||
68,729 | Government National Mortgage Association, Pool #608259, | 74,002 | ||||||||||
195,789 | Government National Mortgage Association, Pool #782114, 5%, due 09/15/36 | 217,022 | ||||||||||
6,248,050 | Government National Mortgage Association, Pool #MA4127, | 6,495,138 |
See accompanying notes to financial statements.
14
TCW Core Fixed Income Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Agency (Continued) |
| |||||||||||
$ | 5,214,956 | Government National Mortgage Association II, Pool #MA3521, | $ | 5,422,146 | ||||||||
4,984,594 | Government National Mortgage Association II, Pool #MA3597, | 5,185,467 | ||||||||||
7,046,428 | Government National Mortgage Association II, Pool #MA3663, | 7,325,627 | ||||||||||
5,964,437 | Government National Mortgage Association II, Pool #MA3736, | 6,201,006 | ||||||||||
11,659,508 | Government National Mortgage Association II, Pool #MA4126, | 11,830,455 | ||||||||||
3,976,298 | Government National Mortgage Association II, Pool #MA4196, | 4,133,611 | ||||||||||
8,315,000 | Government National Mortgage Association II TBA, 3% (4) | 8,424,784 | ||||||||||
8,255,000 | Government National Mortgage Association II TBA, 3.5% (4) | 8,577,461 | ||||||||||
22,225,000 | Government National Mortgage Association II TBA, 4% (4) | 23,502,938 | ||||||||||
1,413,934 | NCUA Guaranteed Notes (10-R1-1A), 1.432%, due 10/07/20 (1) | 1,416,225 | ||||||||||
740,580 | NCUA Guaranteed Notes (10-R2-1A), 1.356%, due 11/06/17 (1) | 740,724 | ||||||||||
785,658 | NCUA Guaranteed Notes (10-R3-1A), 1.542%, due 12/08/20 (1) | 788,389 | ||||||||||
711,049 | NCUA Guaranteed Notes (10-R3-2A), 1.542%, due 12/08/20 (1) | 714,760 | ||||||||||
847,468 | NCUA Guaranteed Notes (11-R1-1A), 1.436%, due 01/08/20 (1) | 849,163 | ||||||||||
854,507 | NCUA Guaranteed Notes (11-R2-1A), 1.386%, due 02/06/20 (1) | 855,976 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $454,539,498) | 454,530,701 | |||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — Non-Agency (5.9%) | ||||||||||||
8,081,506 | Aegis Asset Backed Securities Trust (05-5-2A), 1.241%, due 12/25/35 (1) | 7,952,343 | ||||||||||
390,323 | Asset-Backed Securities Corp. Home Equity (05-HE6-M2), | 391,877 | ||||||||||
4,891,258 | Banc of America Funding Trust (15-R2-9A1), (144A), 1.206%, due 03/27/36 (1)(2) | 4,756,535 | ||||||||||
2,745,317 | Bear Stearns Asset-Backed Securities Trust (06-HE1-1M1), | 2,754,743 | ||||||||||
218,339 | Centex Home Equity (02-C-AF6), 4.5%, due 09/25/32 (1) | 219,722 | ||||||||||
552,454 | Centex Home Equity (03-B-AF6), 3.173%, due 06/25/33 (1) | 551,362 | ||||||||||
5,979,951 | Centex Home Equity (05-C-M1), 1.421%, due 06/25/35 (1) | 6,039,779 | ||||||||||
412,251 | Citigroup Mortgage Loan Trust, Inc. (05-5-2A2), 5.75%, due 08/25/35 (5) | 313,760 | ||||||||||
�� | 1,098,402 | Conseco Financial Corp. (98-6-A8), 6.66%, due 06/01/30 (1) | 1,172,935 | |||||||||
12,945 | Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA), | 13,233 | ||||||||||
5,498,133 | Credit Suisse Mortgage Capital Certificates (15-5R-1A1), (144A), | 5,380,937 | ||||||||||
4,848,494 | CSMC Trust (14-7R-8A1), (144A), 2.845%, due 07/27/37 (1)(2) | 4,847,560 | ||||||||||
296,048 | GSAMP Trust (05-HE5-M1), 1.411%, due 11/25/35 (1) | 294,896 | ||||||||||
7,365,912 | Home Equity Asset Trust (06-3-1A1), 1.191%, due 07/25/36 (1) | 7,261,412 | ||||||||||
160,009 | HSBC Home Equity Loan Trust USA (07-2-AM), 1.218%, due 07/20/36 (1) | 160,184 | ||||||||||
401,490 | HSBC Home Equity Loan Trust USA (07-3-APT), 2.178%, due 11/20/36 (1) | 401,927 | ||||||||||
192,750 | HSI Asset Securitization Corp. Trust (06-OPT1-2A3), | 192,749 | ||||||||||
1,186,879 | Indymac Index Mortgage Loan Trust (05-AR6-2A1), | 1,075,949 |
See accompanying notes to financial statements.
15
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||||
$ | 1,321,492 | JPMorgan Mortgage Acquisition Corp. (05-OPT1-M1), 1.666%, due 06/25/35 (1) | $ | 1,323,462 | ||||||||
4,729,919 | Merrill Lynch Mortgage Investors Trust (05-2-2A), 2.71%, due 10/25/35 (1) | 4,845,371 | ||||||||||
1,526,351 | Mid-State Trust (04-1-B), 8.9%, due 08/15/37 | 1,743,057 | ||||||||||
261,975 | Morgan Stanley ABS Capital I, Inc. Trust (05-WMC6-M2), 1.741%, due 07/25/35 (1) | 269,857 | ||||||||||
1,543,169 | Morgan Stanley Capital, Inc. (04-WMC2-M1), 1.906%, due 07/25/34 (1) | 1,531,059 | ||||||||||
4,943,593 | Morgan Stanley Home Equity Loan Trust (05-1-M3), | 4,941,205 | ||||||||||
288,118 | Morgan Stanley Mortgage Loan Trust (04-3-4A), 5.669%, due 04/25/34 (1) | 305,014 | ||||||||||
5,706,024 | New Century Home Equity Loan Trust (05-1-A2C), | 5,755,249 | ||||||||||
316,822 | New Century Home Equity Loan Trust (05-2-M1), 1.636%, due 06/25/35 (1) | 317,440 | ||||||||||
5,652,731 | New Century Home Equity Loan Trust (05-3-M2), 1.481%, due 07/25/35 (1) | 5,594,606 | ||||||||||
8,590,765 | New Century Home Equity Loan Trust (05-D-A1), 1.211%, due 02/25/36 (1) | 8,445,325 | ||||||||||
2,549,637 | Nomura Resecuritization Trust (14-5R-3A1), (144A), | 2,488,808 | ||||||||||
3,522,859 | Nomura Resecuritization Trust (15-1R-6A1), (144A), | 3,482,059 | ||||||||||
2,494,057 | Nomura Resecuritization Trust (15-4R-3A1), (144A), | 2,517,257 | ||||||||||
4,335,919 | Nomura Resecuritization Trust (15-5R-2A1), (144A), | 4,369,005 | ||||||||||
458,854 | Park Place Securities, Inc. (05-WCH1-M2), 1.771%, due 01/25/36 (1) | 459,071 | ||||||||||
1,122,609 | Park Place Securities, Inc. (05-WHQ4-A2D), 1.361%, due 09/25/35 (1) | 1,121,087 | ||||||||||
607,634 | Structured Asset Securities Corp. (03-34A-5A4), 3.338%, due 11/25/33 (1) | 615,503 | ||||||||||
2,544,643 | WaMu Mortgage Pass-Through Certificates (05-AR3-A2), 3.011%, due 03/25/35 (1) | 2,563,480 | ||||||||||
191,556 | Wells Fargo Alternative Loan Trust (07-PA3-2A1), 6%, due 07/25/37 (5) | 184,622 | ||||||||||
7,973,895 | Wells Fargo Home Equity Trust (04-2-A33), 1.991%, due 10/25/34 (1) | 7,894,841 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $102,193,896) | 104,549,281 | |||||||||||
|
| |||||||||||
U.S. Treasury Securities (24.2%) | ||||||||||||
72,480,000 | U.S. Treasury Bond, 3%, due 02/15/47 | 73,175,083 | ||||||||||
8,720,204 | U.S. Treasury Inflation Indexed Bond, 0.125%, due 04/15/21 (6) | 8,806,473 | ||||||||||
11,838,479 | U.S. Treasury Inflation Indexed Bond, 0.75%, due 02/15/45 (6) | 11,377,738 | ||||||||||
4,573,015 | U.S. Treasury Inflation Indexed Bond, 0.875%, due 02/15/47 (6) | 4,550,819 | ||||||||||
17,266,055 | U.S. Treasury Inflation Indexed Note, 0.375%, due 07/15/25 (6) | 17,420,652 | ||||||||||
18,870,000 | U.S. Treasury Note, 1.25%, due 03/31/19 | 18,867,415 | ||||||||||
23,375,000 | U.S. Treasury Note, 1.5%, due 01/31/22 | 23,052,571 | ||||||||||
85,570,000 | U.S. Treasury Note, 1.875%, due 03/31/22 | 85,798,985 | ||||||||||
119,110,000 | U.S. Treasury Note, 1.875%, due 04/30/22 | 119,459,185 | ||||||||||
65,245,000 | U.S. Treasury Note, 2.25%, due 02/15/27 | 65,062,771 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Securities (Cost: $424,501,752) | 427,571,692 | |||||||||||
|
| |||||||||||
Total Fixed Income Securities (Cost: $1,728,785,662) (98.6%) | 1,741,225,941 | |||||||||||
|
| |||||||||||
Number of Shares | Money Market Investments | |||||||||||
88,247,000 | Dreyfus Government Cash Management Fund — Institutional Shares, 0.69% (7) | 88,247,000 | ||||||||||
64,938,000 | Morgan Stanley Liquidity Fund — Government Portfolio, 0.49% (7) | 64,938,000 | ||||||||||
|
| |||||||||||
Total Money Market Investments (Cost: $153,185,000) (8.7%) | 153,185,000 | |||||||||||
|
|
See accompanying notes to financial statements.
16
TCW Core Fixed Income Fund
April 30, 2017 |
Principal Amount | Short-Term Investments | Value | ||||||||||
Foreign Government Bonds (3.7%) |
| |||||||||||
JPY | 3,910,000,000 | Japan Treasury Bill, 0%, due 05/22/17 (8) | $ | 35,078,631 | ||||||||
JPY | 1,100,000,000 | Japan Treasury Bill, 0%, due 06/19/17 (8) | 9,869,498 | |||||||||
JPY | 2,240,000,000 | Japan Treasury Bill, 0%, due 06/26/17 (8) | 20,098,288 | |||||||||
|
| |||||||||||
Total Foreign Government Bonds (Cost: $64,418,440) | 65,046,417 | |||||||||||
|
| |||||||||||
U.S. Treasury Securities (2.2%) |
| |||||||||||
$ | 23,000,000 | U.S. Treasury Bill, 0.32%, due 05/04/17 (9) | 22,998,781 | |||||||||
15,000,000 | U.S. Treasury Bill, 0.6%, due 05/25/17 (9) | 14,993,370 | ||||||||||
1,135,000 | U.S. Treasury Bill, 0.85%, due 09/07/17 (9)(10) | 1,131,539 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Securities (Cost: $39,123,114) (2.2%) | 39,123,690 | |||||||||||
|
| |||||||||||
Total Short-Term Investments (Cost: $103,541,554) (5.9%) | 104,170,107 | |||||||||||
|
| |||||||||||
Total Investments (Cost: $1,985,512,216) (113.2%) | 1,998,581,048 | |||||||||||
Liabilities in Excess of Other Assets (-13.2%) | (233,116,477 | ) | ||||||||||
|
| |||||||||||
Net Assets (100.0%) | $ | 1,765,464,571 | ||||||||||
|
|
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 (11) | ||||||||||||||||||||||||
Bank of America | JPY | 3,910,000,000 | 05/22/17 | $ | 34,264,432 | $ | 35,102,491 | $ | (838,059 | ) | ||||||||||||||
Citibank N.A. | JPY | 1,100,000,000 | 06/19/17 | 9,956,103 | 9,886,728 | 69,375 | ||||||||||||||||||
Citibank N.A. | JPY | 2,240,000,000 | 06/26/17 | 20,377,270 | 20,139,165 | 238,105 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 64,597,805 | $ | 65,128,384 | $ | (530,579 | ) | ||||||||||||||||||
|
|
|
|
|
|
Futures Contracts | ||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional Contract Value | Net Unrealized Appreciation | ||||||||||||
BUY | ||||||||||||||||
727 | 2-Year U.S. Treasury Note Futures | 06/30/17 | $ | 157,475,017 | $ | 141,158 | ||||||||||
793 | 5-Year U.S. Treasury Note Futures | 06/30/17 | 93,896,156 | 738,669 | ||||||||||||
|
|
|
| |||||||||||||
$ | 251,371,173 | $ | 879,827 | |||||||||||||
|
|
|
|
See accompanying notes to financial statements.
17
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
JPY - | Japanese Yen. |
ABS - | Asset-Backed Securities. |
ACES - | Alternative Credit Enhancement Securities. |
CLO - | Collateralized Loan Obligation. |
EETC - | Enhanced Equipment Trust Certificate. |
I/F - | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O - | Interest Only Security. |
PAC - | Planned Amortization Class. |
REIT - | Real Estate Investment Trust. |
TAC - | Target Amortization Class. |
TBA - | To be Announced. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2017. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2017, the value of these securities amounted to $167,129,907 or 9.5% 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) | Restricted security (Note 10). |
(4) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(5) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. |
(6) | Interest rate for this security is a stated rate. Interest payments are determined based on the inflation-adjusted principal. |
(7) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
(8) | As of April 30, 2017 security is not accruing interest. |
(9) | Rate shown represents yield-to-maturity. |
(10) | All or a portion of this security is held as collateral for open futures contracts. |
(11) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
18
TCW Core Fixed Income Fund
Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Aerospace/Defense | 0.3 | % | ||
Airlines | 0.5 | |||
Asset-Backed Securities | 7.8 | |||
Auto Manufacturers | 0.5 | |||
Banks | 9.7 | |||
Beverages | 0.3 | |||
Biotechnology | 0.9 | |||
Chemicals | 0.0 | * | ||
Commercial Mortgage-Backed Securities — Agency | 4.4 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 1.6 | |||
Diversified Financial Services | 1.0 | |||
Electric | 2.4 | |||
Energy-Alternate Sources | 0.1 | |||
Environmental Control | 0.2 | |||
Food | 0.6 | |||
Gas | 0.4 | |||
Healthcare-Products | 0.0 | * | ||
Healthcare-Services | 2.1 | |||
Insurance | 0.8 | |||
Media | 0.3 | |||
Mining | 0.0 | * | ||
Miscellaneous Manufacturers | 0.4 | |||
Municipal Bonds | 1.0 | |||
Oil & Gas | 0.1 | |||
Packaging & Containers | 0.1 | |||
Pharmaceuticals | 0.7 | |||
Pipelines | 1.5 | |||
REIT | 2.8 | |||
Real Estate | 0.1 | |||
Residential Mortgage-Backed Securities — Agency | 25.7 | |||
Residential Mortgage-Backed Securities — Non-Agency | 5.9 | |||
Retail | 0.6 | |||
Short Term Investments | 5.9 | |||
Software | 0.2 | |||
Telecommunications | 1.4 | |||
Transportation | 0.0 | * | ||
U.S. Treasury Securities | 24.2 | |||
Money Market Investments | 8.7 | |||
|
| |||
Total | 113.2 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
19
TCW Core Fixed Income Fund
Fair Valuation Summary (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Corporate Bonds* | $ | — | $ | 492,598,915 | $ | 1,220,369 | $ | 493,819,284 | ||||||||
Municipal Bonds | — | 17,029,729 | — | 17,029,729 | ||||||||||||
Asset-Backed Securities | — | 138,078,952 | — | 138,078,952 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 78,271,107 | — | 78,271,107 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 27,375,195 | — | 27,375,195 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 454,530,701 | — | 454,530,701 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 104,549,281 | — | 104,549,281 | ||||||||||||
U.S. Treasury Securities | 385,416,010 | 42,155,682 | — | 427,571,692 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 385,416,010 | 1,354,589,562 | 1,220,369 | 1,741,225,941 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 153,185,000 | — | — | 153,185,000 | ||||||||||||
Short-Term Investments* | 39,123,690 | 65,046,417 | — | 104,170,107 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 577,724,700 | 1,419,635,979 | 1,220,369 | 1,998,581,048 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 307,480 | — | 307,480 | ||||||||||||
Futures | ||||||||||||||||
Interest Rate Risk | 879,827 | — | — | 879,827 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 578,604,527 | $ | 1,419,943,459 | $ | 1,220,369 | $ | 1,999,768,355 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (838,059 | ) | $ | — | $ | (838,059 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (838,059 | ) | $ | — | $ | (838,059 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
20
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited) | April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||
Asset-Backed Securities (1.6% of Net Assets) | ||||||||
$ | 9,778 | Educational Services of America, Inc. (12-2-A), (144A), 1.721%, due 04/25/39 (1)(2) | $ | 9,750 | ||||
5,363 | Nelnet Student Loan Trust (12-5A-A), (144A), 1.591%, due 10/27/36 (1)(2) | 5,331 | ||||||
4,525 | Scholar Funding Trust (11-A-A), (144A), 2.072%, due 10/28/43 (1)(2) | 4,478 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost: $19,765) | 19,559 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Agency (1.5%) | ||||||||
10,554 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (KF05-A), | 10,573 | ||||||
8,597 | Federal National Mortgage Association (13-M4-ASQ2), 1.451%, due 02/25/18 | 8,587 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $19,165) | 19,160 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Non-Agency (Cost: $2,967) (0.8%) | ||||||||
1,582,209 | LB-UBS Commercial Mortgage Trust (06-C6-XCL), (144A), | 9,889 | ||||||
|
| |||||||
Residential Mortgage-Backed Securities — Agency (Cost: $16,831) (1.4%) | ||||||||
17,263 | Federal National Mortgage Association (05-W3-2AF), 1.211%, due 03/25/45 (2) | 16,842 | ||||||
|
| |||||||
Residential Mortgage-Backed Securities — Non-Agency (17.5%) | ||||||||
5,465 | Bear Stearns Alt-A Trust (04-13-A1), 1.731%, due 11/25/34 (2) | 5,378 | ||||||
1,383 | Bear Stearns Asset-Backed Securities Trust (05-SD1-1A3), 1.391%, due 08/25/43 (2) | 1,379 | ||||||
8,053 | Bombardier Capital Mortgage Securitization Corp. (01-A-A), 6.805%, due 12/15/30 (2) | 8,187 | ||||||
56,358 | Centex Home Equity Loan Trust (05-A-AF5), 5.78%, due 01/25/35 | 58,022 | ||||||
2,710 | Conseco Financial Corp. (97-7-A9), 7.37%, due 07/15/28 (2) | 2,734 | ||||||
11,751 | Credit-Based Asset Servicing and Securitization LLC (03-CB5-M1), | 11,305 | ||||||
13,100 | First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C), | 12,478 | ||||||
3,608 | Homestar Mortgage Acceptance Corp. (04-5-A1), 1.891%, due 10/25/34 (2) | 3,607 | ||||||
33,129 | JPMorgan Mortgage Trust (05-A6-7A1), 3.183%, due 08/25/35 (2)(4) | 31,836 | ||||||
27,367 | MASTR Seasoned Securitization Trust (05-1-4A1), 2.935%, due 10/25/32 (2) | 27,422 | ||||||
28,152 | Mid-State Trust (04-1-M1), 6.497%, due 08/15/37 | 30,012 | ||||||
7,754 | Morgan Stanley Mortgage Loan Trust (04-6AR-1A), 1.891%, due 07/25/34 (2) | 7,628 | ||||||
14,880 | Residential Asset Mortgage Products, Inc. (04-SL3-A2), 6.5%, due 12/25/31 | 15,029 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $192,497) | 215,017 | |||||||
|
| |||||||
Corporate Bonds (18.1%) | ||||||||
Airlines (4.5%) | ||||||||
51,020 | Continental Airlines, Inc. Pass-Through Certificates (00-1-A1), | 55,611 | ||||||
|
| |||||||
Banks (6.7%) | ||||||||
7,000 | Citigroup, Inc., 1.602%, due 08/25/36 (2) | 5,786 | ||||||
75,000 | Citigroup, Inc., 2.739%, due 05/15/18 (2) | 76,081 | ||||||
|
| |||||||
Total Banks (Cost: $80,620) | 81,867 | |||||||
|
|
See accompanying notes to financial statements.
21
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Insurance (Cost: $68,040) (5.7%) | ||||||||
$ | 70,000 | Nationwide Mutual Insurance Co., (144A), 3.421%, due 12/15/24 (1)(2) | $ | 70,000 | ||||
|
| |||||||
REIT (Cost: $14,817) (1.2%) | ||||||||
15,000 | HCP, Inc., 3.15%, due 08/01/22 | 15,058 | ||||||
|
| |||||||
Total Corporate Bonds (Cost: $216,535) | 222,536 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $467,760) (40.9%) | 503,003 | |||||||
|
| |||||||
Number of Shares | Money Market Investments | |||||||
25,375 | State Street Institutional U.S. Government Money Market Fund — Premier | 25,375 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $25,375) (2.1%) | 25,375 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
U.S. Treasury Securities (48.8%) | ||||||||
$ | 400,000 | U.S. Treasury Bill, 0.32%, due 05/04/17 (7) | 399,979 | |||||
200,000 | U.S. Treasury Bill, 0.77%, due 07/27/17 (7) | 199,620 | ||||||
|
| |||||||
Total U.S. Treasury Securities (Cost: $599,594) | 599,599 | |||||||
|
| |||||||
Total Short-Term Investments (Cost: $599,594) (48.8%) | 599,599 | |||||||
|
| |||||||
Total Investments (Cost: $1,092,729) (91.8%) | 1,127,977 | |||||||
Excess of Other Assets over Liabilities (8.2%) | 100,982 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 1,228,959 | ||||||
|
|
Total Return Swaps (6) | ||||||||||||||||||||||||
Notional Amount | Expiration Date | Counterparty | Payment Made by Fund | Payment Received by Fund | Unrealized Appreciation | Premium Paid | Value | |||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||
1,260,285 | 5/23/17 | | Credit Suisse First Boston Corp. | | 3-Month U.S. Treasury Bills plus 0.2% | Credit Suisse Custom 24 Total Return Index(8) | $ (33,032 | ) | $ | — | $ (33,032 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||||||
(33,032 | ) | — | (33,032 | ) | ||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
22
TCW Enhanced Commodity Strategy Fund
April 30, 2017 |
Notes to the 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, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2017, the value of these securities amounted to $99,448 or 8.1% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2017. |
(3) | Restricted security (Note 10). |
(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, 2017. |
(6) | All or a portion of this security is owned by TCW Cayman Enhanced Commodity Fund, Ltd. |
(7) | Rate shown represents yield-to-maturity. |
(8) | 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. |
See accompanying notes to financial statements.
23
TCW Enhanced Commodity Strategy Fund
Consolidated Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Airlines | 4.5 | % | ||
Asset-Backed Securities | 1.6 | |||
Banks | 6.7 | |||
Commercial Mortgage-Backed Securities — Agency | 1.5 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.8 | |||
Insurance | 5.7 | |||
REIT | 1.2 | |||
Residential Mortgage-Backed Securities — Agency | 1.4 | |||
Residential Mortgage-Backed Securities — Non-Agency | 17.5 | |||
U.S. Treasury Securities | 48.8 | |||
Money Market Investments | 2.1 | |||
|
| |||
Total | 91.8 | % | ||
|
|
See accompanying notes to financial statements.
24
TCW Enhanced Commodity Strategy Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 19,559 | $ | — | $ | 19,559 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 19,160 | — | 19,160 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | — | 9,889 | 9,889 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 16,842 | — | 16,842 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 215,017 | — | 215,017 | ||||||||||||
Corporate Bonds* | — | 222,536 | — | 222,536 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 493,114 | 9,889 | 503,003 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 25,375 | — | — | 25,375 | ||||||||||||
Short-Term Investments | 399,979 | 199,620 | — | 599,599 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 425,354 | $ | 692,734 | $ | 9,889 | $ | 1,127,977 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Total Return Swaps | ||||||||||||||||
Commodity Risk | $ | — | $ | (33,032 | ) | $ | — | $ | (33,032 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (33,032 | ) | $ | — | $ | (33,032 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
25
Schedule of Investments (Unaudited)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Corporate Bonds (23.1%) | ||||||||||||
Aerospace/Defense (0.3% of Net Assets) | ||||||||||||
$ | 50,000 | United Technologies Corp., 1.778%, due 05/04/18 | $ | 50,075 | ||||||||
|
| |||||||||||
Airlines (1.1%) | ||||||||||||
25,237 | Continental Airlines, Inc. Pass-Through Trust, (01-1A-1), | 27,256 | ||||||||||
73,470 | Delta Air Lines, Inc. Pass-Through Certificates, (02-1G1), | 82,746 | ||||||||||
15,316 | US Airways Group, Inc. Pass-Through Certificates, (10-1A), | 17,001 | ||||||||||
45,034 | US Airways Group, Inc. Pass-Through Certificates, (12-1A), | 50,466 | ||||||||||
|
| |||||||||||
Total Airlines | 177,469 | |||||||||||
|
| |||||||||||
Auto Manufacturers (0.6%) | ||||||||||||
50,000 | Ford Motor Credit Co. LLC, 2.375%, due 01/16/18 | 50,225 | ||||||||||
50,000 | General Motors Co., 3.5%, due 10/02/18 | 50,993 | ||||||||||
|
| |||||||||||
Total Auto Manufacturers | 101,218 | |||||||||||
|
| |||||||||||
Banks (8.3%) | ||||||||||||
45,000 | Abbey National Treasury Services PLC (United Kingdom), (Reg. S), | 49,663 | ||||||||||
40,000 | Bank of America Corp., 5.65%, due 05/01/18 | 41,513 | ||||||||||
15,000 | Bank of America Corp., 6.875%, due 04/25/18 | 15,747 | ||||||||||
250,000 | Bank of America N.A., 6.1%, due 06/15/17 | 251,369 | ||||||||||
200,000 | BBVA Bancomer S.A. (Mexico), (144A), 6.75%, due 09/30/22 (2) | 226,660 | ||||||||||
70,000 | Citigroup, Inc., 1.602%, due 08/25/36 (3) | 57,856 | ||||||||||
50,000 | Citigroup, Inc., 2.5%, due 09/26/18 | 50,402 | ||||||||||
50,000 | Citigroup, Inc., 6.125%, due 05/15/18 | 52,158 | ||||||||||
110,000 | Goldman Sachs Group, Inc. (The), 5.95%, due 01/18/18 | 113,332 | ||||||||||
100,000 | Goldman Sachs Group, Inc. (The), 6.15%, due 04/01/18 | 103,991 | ||||||||||
40,000 | HBOS PLC (United Kingdom), (144A), 6.75%, due 05/21/18 (2) | 41,836 | ||||||||||
100,000 | JPMorgan Chase & Co., 3.9%, due 07/15/25 | 104,152 | ||||||||||
75,000 | Morgan Stanley, 6.625%, due 04/01/18 | 78,314 | ||||||||||
55,000 | Wachovia Corp., 5.75%, due 02/01/18 | 56,653 | ||||||||||
85,000 | Wells Fargo & Co., 3%, due 04/22/26 | 82,217 | ||||||||||
|
| |||||||||||
Total Banks | 1,325,863 | |||||||||||
|
| |||||||||||
Beverages (0.3%) | ||||||||||||
14,000 | Anheuser-Busch InBev Finance, Inc., 3.65%, due 02/01/26 | 14,319 | ||||||||||
24,000 | Anheuser-Busch InBev Finance, Inc., 4.9%, due 02/01/46 | 26,294 | ||||||||||
|
| |||||||||||
Total Beverages | 40,613 | |||||||||||
|
| |||||||||||
Biotechnology (0.6%) | ||||||||||||
22,000 | Amgen, Inc., 4.663%, due 06/15/51 | 22,212 | ||||||||||
20,000 | Baxalta, Inc., 2.875%, due 06/23/20 | 20,336 | ||||||||||
20,000 | Celgene Corp., 3.875%, due 08/15/25 | 20,754 |
See accompanying notes to financial statements.
26
TCW Global Bond Fund
April 30, 2017
Principal Amount | Fixed Income Securities | Value | ||||||||||
Biotechnology (Continued) | ||||||||||||
$ | 40,000 | Gilead Sciences, Inc., 2.95%, due 03/01/27 | $ | 38,412 | ||||||||
|
| |||||||||||
Total Biotechnology | 101,714 | |||||||||||
|
| |||||||||||
Diversified Financial Services (0.3%) | ||||||||||||
50,000 | International Lease Finance Corp., (144A), 7.125%, due 09/01/18 (2) | 53,437 | ||||||||||
|
| |||||||||||
Electric (2.0%) | ||||||||||||
50,000 | AEP Texas Central Co., (144A), 3.85%, due 10/01/25 (2) | 52,127 | ||||||||||
50,000 | FirstEnergy Transmission LLC, (144A), 4.35%, due 01/15/25 (2) | 52,619 | ||||||||||
75,000 | IPALCO Enterprises, Inc., 5%, due 05/01/18 | 77,131 | ||||||||||
40,000 | ITC Holdings Corp., 3.65%, due 06/15/24 | 40,676 | ||||||||||
40,000 | MidAmerican Energy Co., 3.1%, due 05/01/27 | 40,274 | ||||||||||
60,000 | NextEra Energy Capital Holdings, Inc., 1.586%, due 06/01/17 | 60,002 | ||||||||||
|
| |||||||||||
Total Electric | 322,829 | |||||||||||
|
| |||||||||||
Food (0.2%) | ||||||||||||
35,000 | Kraft Heinz Foods Co., 3.95%, due 07/15/25 | 35,997 | ||||||||||
|
| |||||||||||
Healthcare-Products (0.3%) | ||||||||||||
40,000 | Abbott Laboratories, 3.75%, due 11/30/26 | 40,588 | ||||||||||
|
| |||||||||||
Healthcare-Services (0.3%) | ||||||||||||
50,000 | Anthem, Inc., 3.5%, due 08/15/24 | 50,728 | ||||||||||
|
| |||||||||||
Insurance (0.7%) | ||||||||||||
100,000 | Farmers Exchange Capital II, (144A), 6.151%, due 11/01/53 (2)(3) | 111,200 | ||||||||||
|
| |||||||||||
Media (0.5%) | ||||||||||||
20,000 | 21st Century Fox America, Inc., 4.95%, due 10/15/45 | 21,084 | ||||||||||
22,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 5.75%, due 09/01/23 | 23,183 | ||||||||||
30,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, | 35,026 | ||||||||||
|
| |||||||||||
Total Media | 79,293 | |||||||||||
|
| |||||||||||
Miscellaneous Manufacturers (1.3%) | ||||||||||||
200,000 | General Electric Capital Corp., 1.519%, due 08/15/36 (3) | 179,938 | ||||||||||
25,000 | Siemens Financieringsmaatschappij NV (Netherland), (144A), | 23,404 | ||||||||||
|
| |||||||||||
Total Miscellaneous Manufacturers | 203,342 | |||||||||||
|
| |||||||||||
Pharmaceuticals (0.7%) | ||||||||||||
50,000 | AbbVie, Inc., 4.5%, due 05/14/35 | 50,403 | ||||||||||
20,000 | Actavis Funding SCS (Luxembourg), 3.8%, due 03/15/25 | 20,389 | ||||||||||
25,000 | AstraZeneca PLC (United Kingdom), 3.375%, due 11/16/25 | 25,292 | ||||||||||
20,000 | Valeant Pharmaceuticals International, Inc. (Canada), (144A), | 14,950 | ||||||||||
6,000 | Valeant Pharmaceuticals International, Inc. (Canada), (144A), | 4,455 | ||||||||||
|
| |||||||||||
Total Pharmaceuticals | 115,489 | |||||||||||
|
|
See accompanying notes to financial statements.
27
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Pipelines (0.3%) | ||||||||||||
$ | 50,000 | Energy Transfer Partners LP, 5.15%, due 03/15/45 | $ | 48,310 | ||||||||
|
| |||||||||||
REIT (3.4%) | ||||||||||||
25,000 | Alexandria Real Estate Equities, Inc., 3.95%, due 01/15/27 | 25,388 | ||||||||||
50,000 | American Tower Corp., 4.5%, due 01/15/18 | 50,945 | ||||||||||
50,000 | HCP, Inc., 3.15%, due 08/01/22 | 50,191 | ||||||||||
100,000 | SL Green Realty Corp., 5%, due 08/15/18 | 103,284 | ||||||||||
50,000 | Ventas Realty LP / Ventas Capital Corp., 4%, due 04/30/19 | 51,623 | ||||||||||
200,000 | WEA Finance LLC / Westfield UK & Europe Finance PLC, (144A), | 200,131 | ||||||||||
70,000 | Welltower, Inc., 4.125%, due 04/01/19 | 72,357 | ||||||||||
|
| |||||||||||
Total REIT | 553,919 | |||||||||||
|
| |||||||||||
Retail (0.4%) | ||||||||||||
60,000 | Walgreens Boots Alliance, Inc., 3.45%, due 06/01/26 | 59,131 | ||||||||||
|
| |||||||||||
Software (0.4%) | ||||||||||||
25,000 | Microsoft Corp., 2.4%, due 08/08/26 | 23,922 | ||||||||||
25,000 | Microsoft Corp., 4.45%, due 11/03/45 | 26,743 | ||||||||||
7,000 | Quintiles IMS, Inc., (144A), 4.875%, due 05/15/23 (2) | 7,228 | ||||||||||
|
| |||||||||||
Total Software | 57,893 | |||||||||||
|
| |||||||||||
Telecommunications (1.1%) | ||||||||||||
45,000 | AT&T, Inc., 3.4%, due 05/15/25 | 43,834 | ||||||||||
25,000 | AT&T, Inc., 4.125%, due 02/17/26 | 25,519 | ||||||||||
40,000 | AT&T, Inc., 5.45%, due 03/01/47 | 41,059 | ||||||||||
75,000 | Verizon Communications, Inc., 4.862%, due 08/21/46 | 73,231 | ||||||||||
|
| |||||||||||
Total Telecommunications | 183,643 | |||||||||||
|
| |||||||||||
Total Corporate Bonds (Cost: $3,641,298) | 3,712,751 | |||||||||||
|
| |||||||||||
Municipal Bonds (0.5%) | ||||||||||||
40,000 | Alabama Economic Settlement Authority, Revenue Bond, 4.263%, due 09/15/32 | 41,449 | ||||||||||
50,000 | California Health Facilities Financing Authority, Revenue Bond, | 42,743 | ||||||||||
|
| |||||||||||
Total Municipal Bonds (Cost: $80,216) | 84,192 | |||||||||||
|
| |||||||||||
Foreign Government Bonds (38.6%) | ||||||||||||
AUD | 186,000 | Australia Government Bond, (Reg. S), 2.75%, due 04/21/24 (1) | 142,635 | |||||||||
EUR | 69,000 | Bundesrepublik Deutschland (Germany), (Reg. S), 0%,due 08/15/26 (1) | 73,462 | |||||||||
EUR | 360,000 | Bundesrepublik Deutschland (Germany), (Reg. S), 2.25%, due 09/04/21 (1) | 439,300 | |||||||||
CAD | 430,000 | Canada Housing Trust No. 1, (144A), 3.35%, due 12/15/20 (2) | 338,798 | |||||||||
DKK | 900,000 | Denmark Government Bond, 1.75%, due 11/15/25 | 148,195 | |||||||||
EUR | 65,000 | France Government Bond OAT, (Reg. S), 3.25%, due 10/25/21 (1) | 81,933 | |||||||||
EUR | 373,000 | France Government Bond OAT, (Reg. S), 2.5%, due 05/25/30 (1) | 475,005 | |||||||||
EUR | 55,000 | Ireland Government Bond, (Reg. S), 3.4%, due 03/18/24 (1) | 72,082 | |||||||||
ILS | 280,000 | Israel Government Bond, 5.5%, due 01/31/22 | 93,279 | |||||||||
EUR | 482,000 | Italy Buoni Poliennali Del Tesoro, 4.5%, due 03/01/24 | 622,290 |
See accompanying notes to financial statements.
28
TCW Global Bond Fund
April 30, 2017
Principal Amount | Fixed Income Securities | Value | ||||||||||
Foreign Government Bonds (Continued) | ||||||||||||
JPY | 95,800,000 | Japan Government Ten-Year Bond, 1%, due 09/20/21 | $ | 903,449 | ||||||||
JPY | 45,000,000 | Japan Government Thirty-Year Bond, 2%, due 03/20/42 | 525,487 | |||||||||
JPY | 8,700,000 | Japan Government Twenty Year Bond, 0.5%, due 09/20/36 | 77,658 | |||||||||
KRW | 144,000,000 | Korea Treasury Bond, 1.875%, due 06/10/26 | 123,763 | |||||||||
MYR | 525,000 | Malaysia Government Bond, 3.955%, due 09/15/25 | 119,855 | |||||||||
NOK | 1,350,000 | Norway Government Bond, (Reg. S), 3.75%, due 05/25/21 (1) | 175,063 | |||||||||
PLN | 265,000 | Poland Government Bond, 3.25%, due 07/25/25 | 68,442 | |||||||||
$ | 250,000 | Romanian Government International Bond, (Reg. S), 4.875%, due 01/22/24 (1) | 272,400 | |||||||||
EUR | 515,000 | Spain Government Bond, (Reg. S), 2.75%, due 10/31/24 (1) | 624,573 | |||||||||
SEK | 500,000 | Sweden Government Bond, 3.5%, due 06/01/22 | 66,811 | |||||||||
GBP | 500,000 | United Kingdom Gilt, (Reg. S), 2.75%, due 09/07/24 (1) | 739,449 | |||||||||
|
| |||||||||||
Total Foreign Government Bonds (Cost: $6,803,982) | 6,183,929 | |||||||||||
|
| |||||||||||
Asset-Backed Securities (4.6%) | ||||||||||||
$ | 40,000 | Dryden Senior Loan Fund, (144A), 2.658%, due 04/15/27 (2)(3) | 40,082 | |||||||||
32,055 | Educational Funding of the South, Inc. (11-1-A2), 1.806%, due 04/25/35 (3) | 31,920 | ||||||||||
20,000 | Magnetite XI, Ltd. (14-11A-A1R), (144A), 2.278%, due 01/18/27 (2)(3) | 20,001 | ||||||||||
30,000 | Magnetite XII, Ltd. (15-12A-AR), (144A), 2.488%, due 04/15/27 (2)(3) | 30,043 | ||||||||||
80,000 | Navient Student Loan Trust (14-8-A3), 1.591%, due 05/27/49 (3) | 78,438 | ||||||||||
50,000 | Navient Student Loan Trust (16-2-A3), (144A), 2.491%, due 06/25/65 (2)(3) | 51,529 | ||||||||||
115,000 | Nelnet Education Loan Corp. (04-1A-B1), (144A), 1.5%, due 02/25/36 (2)(3) | 107,060 | ||||||||||
66,595 | SLC Student Loan Trust (08-1-A4A), 2.731%, due 12/15/32 (3) | 68,756 | ||||||||||
50,000 | SLM Student Loan Trust (07-3-A4), 1.216%, due 01/25/22 (3) | 47,868 | ||||||||||
63,957 | SLM Student Loan Trust (07-6-A4), 1.536%, due 10/25/24 (3) | 63,804 | ||||||||||
14,856 | SLM Student Loan Trust (08-9-A), 2.656%, due 04/25/23 (3) | 15,175 | ||||||||||
50,000 | SLM Student Loan Trust (11-2-A2), 2.191%, due 10/25/34 (3) | 50,841 | ||||||||||
52,968 | Spirit Master Funding LLC (14-1A-A1), (144A), 5.05%, due 07/20/40 (2) | 53,781 | ||||||||||
50,000 | Student Loan Consolidation Center (02-2-B2), (144A), 0%, due 07/01/42 (2)(3) | 43,088 | ||||||||||
40,000 | Voya CLO, Ltd. (14-4A-A1), (144A), 2.658%, due 10/14/26 (2)(3) | 40,202 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities (Cost: $708,323) | 742,588 | |||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — Agency (0.9%) | ||||||||||||
334,196 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(KSCT-AX), 1.209%, due 01/25/20 (3) (I/O) | 8,403 | ||||||||||
119,052 | Federal National Mortgage Association (12-M10-AFL), 1.441%, due 09/25/22 (3) | 118,780 | ||||||||||
17,397 | Federal National Mortgage Association (14-M12-FA), 1.106%, due 10/25/21 (3) | 17,341 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $145,609) | 144,524 | |||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — Non-Agency (0.3%) | ||||||||||||
1,807,028 | Bank of America-First Union NB Commercial Mortgage (01-3-XC), (144A), 1.438%, due 04/11/37 (I/O) (2)(3)(4) | 6,395 | ||||||||||
991,126 | Morgan Stanley Capital I Trust (99-RM1-X), (144A), | 2,789 | ||||||||||
44,005 | WF-RBS Commercial Mortgage Trust (11-C4-A3), (144A), | 45,409 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $48,058) | 54,593 | |||||||||||
|
|
See accompanying notes to financial statements.
29
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Agency (9.5%) | ||||||||||||
$ | 10,238 | Federal Home Loan Mortgage Corp. (2990-ND), | $ | 11,561 | ||||||||
99,497 | Federal Home Loan Mortgage Corp. (3439-SC), | 14,321 | ||||||||||
93,286 | Federal Home Loan Mortgage Corp., Pool #G08698, 3.5%, due 03/01/46 | 95,983 | ||||||||||
26,380 | Federal Home Loan Mortgage Corp., Pool #G08702, 3.5%, due 04/01/46 | 27,143 | ||||||||||
93,764 | Federal Home Loan Mortgage Corp., Pool #G08716, 3.5%, due 08/01/46 | 96,484 | ||||||||||
14,473 | Federal Home Loan Mortgage Corp., Pool #G08721, 3%, due 09/01/46 | 14,464 | ||||||||||
9,515 | Federal Home Loan Mortgage Corp., Pool #G08722, 3.5%, due 09/01/46 | 9,791 | ||||||||||
170,263 | Federal Home Loan Mortgage Corp., Pool #G08726, 3%, due 10/01/46 | 170,156 | ||||||||||
19,571 | Federal Home Loan Mortgage Corp., Pool #G08732, 3%, due 11/01/46 | 19,559 | ||||||||||
12,595 | Federal Home Loan Mortgage Corp., Pool #G18592, 3%, due 03/01/31 | 12,976 | ||||||||||
72,562 | Federal Home Loan Mortgage Corp., Pool #G60344, 4%, due 12/01/45 | 77,044 | ||||||||||
115,729 | Federal National Mortgage Association (07-52-LS), | 15,802 | ||||||||||
111,655 | Federal National Mortgage Association (08-18-SM), | 23,303 | ||||||||||
78,709 | Federal National Mortgage Association (09-115-SB), | 12,651 | ||||||||||
160,202 | Federal National Mortgage Association (10-116-SE), | 28,306 | ||||||||||
149,673 | Federal National Mortgage Association, Pool #AB3679, 3.5%, due 10/01/41 | 155,022 | ||||||||||
169,173 | Federal National Mortgage Association, Pool #AB4045, 3.5%, due 12/01/41 | 175,731 | ||||||||||
64,776 | Federal National Mortgage Association, Pool #AT5914, 3.5%, due 06/01/43 | 66,744 | ||||||||||
82,218 | Federal National Mortgage Association, Pool #MA1527, 3%, due 08/01/33 | 84,722 | ||||||||||
65,812 | Federal National Mortgage Association, Pool #MA1652, 3.5%, due 11/01/33 | 68,915 | ||||||||||
72,489 | Federal National Mortgage Association, Pool #MA2740, 2.5%, due 09/01/26 | 73,922 | ||||||||||
107,968 | Government National Mortgage Association (11-146-EI), | 24,683 | ||||||||||
226,213 | Government National Mortgage Association (11-69-GI), | 19,337 | ||||||||||
178,581 | Government National Mortgage Association (12-7-PI), | 7,838 | ||||||||||
58,642 | Government National Mortgage Association II, Pool #MA3597, | 61,005 | ||||||||||
8,715 | Government National Mortgage Association II, Pool #MA3663, | 9,061 | ||||||||||
41,191 | Government National Mortgage Association II, Pool #MA3803, | 42,851 | ||||||||||
104,248 | Government National Mortgage Association II, Pool #MA4196, | 108,372 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $1,544,466) | 1,527,747 | |||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — Non-Agency (3.6%) | ||||||||||||
86,789 | First Horizon Mortgage Pass-Through Trust (05-AR4-2A1), | 72,616 |
See accompanying notes to financial statements.
30
TCW Global Bond Fund
April 30, 2017
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||||
$ | 37,660 | Green Tree Financial Corp. (98-6-A8), 6.66%, due 06/01/30 (3) | $ | 40,215 | ||||||||
105,604 | Lehman XS Trust (06-9-A1B), 1.151%, due 05/25/46 (3)(5) | 99,088 | ||||||||||
1,251,739 | Merrill Lynch Alternative Note Asset Trust (07-A3-A2D), 1.321%, due 04/25/37 (3) | 153,454 | ||||||||||
84,565 | Structured Adjustable Rate Mortgage Loan Trust (04-18-4A1), | 83,083 | ||||||||||
208,300 | Structured Asset Mortgage Investments, Inc. (06-AR3-22A1), | 127,546 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $468,814) | 576,002 | |||||||||||
|
| |||||||||||
U.S. Treasury Securities (16.7%) | ||||||||||||
590,000 | U.S. Treasury Bond, 3%, due 02/15/47 | 595,658 | ||||||||||
500,000 | U.S. Treasury Note, 0.625%, due 08/31/17 | 499,540 | ||||||||||
160,000 | U.S. Treasury Note, 0.75%, due 10/31/17 | 159,809 | ||||||||||
245,000 | U.S. Treasury Note, 1.25%, due 03/31/19 | 244,967 | ||||||||||
240,000 | U.S. Treasury Note, 1.875%, due 03/31/22 | 240,642 | ||||||||||
70,000 | U.S. Treasury Note, 1.875%, due 04/30/22 | 70,205 | ||||||||||
870,000 | U.S. Treasury Note, 2.25%, due 02/15/27 | 867,570 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Securities (Cost: $2,639,894) | 2,678,391 | |||||||||||
|
| |||||||||||
Total Fixed Income Securities (Cost: $16,080,660) (97.8%) | 15,704,717 | |||||||||||
|
| |||||||||||
Number of Shares | Money Market Investments | |||||||||||
98,030 | State Street Institutional U.S. Government Money Market Fund — | 98,030 | ||||||||||
|
| |||||||||||
Total Money Market Investments (Cost: $98,030) (0.6%) | 98,030 | |||||||||||
|
| |||||||||||
Principal Amount | Short-Term Investments | |||||||||||
U.S. Treasury Securities (1.3%) | ||||||||||||
$ | 100,000 | U.S. Treasury Bill, 0.58%, due 05/18/17 (7) | 99,968 | |||||||||
100,000 | U.S. Treasury Bill, 0.6%, due 05/25/17 (7) | 99,956 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Securities (Cost: $199,917) | 199,924 | |||||||||||
|
| |||||||||||
Total Short-Term Investments (Cost: $199,917) (1.3%) | 199,924 | |||||||||||
|
| |||||||||||
Total Investments (Cost: $16,378,607) (99.7%) | 16,002,671 | |||||||||||
Excess of Other Assets over Liabilities (0.3%) | 42,573 | |||||||||||
|
| |||||||||||
Total Net Assets (100.0%) | $ | 16,045,244 | ||||||||||
|
|
See accompanying notes to financial statements.
31
TCW Global Bond 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 (8) | ||||||||||||||||||||||||
Barclays Capital | EUR | 364,543 | 07/14/17 | $ | 390,351 | $ | 398,432 | $ | 8,081 | |||||||||||||||
Barclays Capital | JPY | 34,554,542 | 07/14/17 | 312,846 | 310,915 | (1,931 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 703,197 | $ | 709,347 | $ | 6,150 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (9) | ||||||||||||||||||||||||
Barclays Capital | GBP | 175,000 | 07/14/17 | $ | 219,019 | $ | 226,880 | $ | (7,861 | ) | ||||||||||||||
Barclays Capital | ILS | 360,000 | 07/14/17 | 99,080 | 99,691 | (611 | ) | |||||||||||||||||
Barclays Capital | KRW | 148,000,000 | 07/14/17 | 130,822 | 130,164 | 658 | ||||||||||||||||||
Barclays Capital | MYR | 537,000 | 07/14/17 | 120,303 | 123,329 | (3,026 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 569,224 | $ | 580,064 | $ | (10,840 | ) | ||||||||||||||||||
|
|
|
|
|
|
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. |
MYR - | Malaysian Ringgit. |
NOK - | Norwegian Krona. |
PLN - | Polish Zloty. |
SEK - | Swedish Krona. |
ABS - | Asset-Backed 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. |
(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, 2017, the value of these securities amounted to $3,145,565 or 19.6% of net assets. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2017, the value of these securities amounted to $1,567,224 or 9.8% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2017. |
(4) | Restricted security (Note 10). |
(5) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. |
(6) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
(7) | Rate shown represents yield-to-maturity. |
(8) | Fund buys foreign currency, sells U.S. Dollar. |
(9) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
32
TCW Global Bond Fund
Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Aerospace/Defense | 0.3 | % | ||
Airlines | 1.1 | |||
Asset-Backed Securities | 4.6 | |||
Auto Manufacturers | 0.6 | |||
Banks | 8.3 | |||
Beverages | 0.3 | |||
Biotechnology | 0.6 | |||
Commercial Mortgage-Backed Securities — Agency | 0.9 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.3 | |||
Diversified Financial Services | 0.3 | |||
Electric | 2.0 | |||
Food | 0.2 | |||
Foreign Government Bonds | 38.6 | |||
Healthcare-Products | 0.3 | |||
Healthcare-Services | 0.3 | |||
Insurance | 0.7 | |||
Media | 0.5 | |||
Miscellaneous Manufacturers | 1.3 | |||
Municipal Bonds | 0.5 | |||
Pharmaceuticals | 0.7 | |||
Pipelines | 0.3 | |||
REIT | 3.4 | |||
Residential Mortgage-Backed Securities — Agency | 9.5 | |||
Residential Mortgage-Backed Securities — Non-Agency | 3.6 | |||
Retail | 0.4 | |||
Short Term Investments | 1.3 | |||
Software | 0.4 | |||
Telecommunications | 1.1 | |||
U.S. Treasury Securities | 16.7 | |||
Money Market Investments | 0.6 | |||
|
| |||
Total | 99.7 | % | ||
|
|
See accompanying notes to financial statements.
33
TCW Global Bond Fund
Investments by Country (Unaudited) | April 30, 2017 |
Country | Percentage of Net Assets | |||
Australia | 0.9 | % | ||
Canada | 2.2 | |||
Cayman Islands | 0.8 | |||
Denmark | 0.9 | |||
France | 3.5 | |||
Germany | 3.2 | |||
Great Britain | 4.8 | |||
Ireland | 0.5 | |||
Israel | 0.6 | |||
Italy | 3.9 | |||
Japan | 9.4 | |||
Luxembourg | 0.1 | |||
Malaysia | 0.7 | |||
Mexico | 1.4 | |||
Netherlands | 0.2 | |||
Norway | 1.1 | |||
Poland | 0.4 | |||
Romania | 1.7 | |||
South Korea | 0.8 | |||
Spain | 3.9 | |||
Sweden | 0.4 | |||
United Kingdom | 0.6 | |||
United States | 57.7 | |||
|
| |||
Total | 99.7 | % | ||
|
|
See accompanying notes to financial statements.
34
TCW Global Bond Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Corporate Bonds* | $ | — | $ | 3,712,751 | $ | — | $ | 3,712,751 | ||||||||
Municipal Bonds | — | 84,192 | — | 84,192 | ||||||||||||
Foreign Government Bonds | — | 6,183,929 | — | 6,183,929 | ||||||||||||
Asset-Backed Securities | — | 742,588 | — | 742,588 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 144,524 | — | 144,524 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 45,409 | 9,184 | 54,593 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 1,527,747 | — | 1,527,747 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 422,548 | 153,454 | 576,002 | ||||||||||||
U.S. Treasury Securities | 2,678,391 | — | — | 2,678,391 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 2,678,391 | 12,863,688 | 162,638 | 15,704,717 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 98,030 | — | — | 98,030 | ||||||||||||
Short-Term Investments | 199,924 | — | — | 199,924 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,976,345 | 12,863,688 | 162,638 | 16,002,671 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 8,739 | — | 8,739 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,976,345 | $ | 12,872,427 | $ | 162,638 | $ | 16,011,410 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (13,429 | ) | $ | — | $ | (13,429 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (13,429 | ) | $ | — | $ | (13,429 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
35
Schedule of Investments (Unaudited)
Principal Amount | Fixed Income Securities | Value | ||||||
Bank Loans (3.6% of Net Assets) | ||||||||
Commercial Services (0.2%) | ||||||||
$ | 9,143 | Mister Car Wash, Inc., Delayed Draw Term Loan, 6.1%, due 08/20/21 (1) | $ | 9,223 | ||||
45,599 | Mister Car Wash, Inc., Term Loan B, 5.998%, due 08/21/21 (1) | 45,998 | ||||||
|
| |||||||
Total Commercial Services | 55,221 | |||||||
|
| |||||||
Electric (0.3%) | ||||||||
60,919 | TEX Operations Co. LLC, Exit Term Loan B, 4.928%, due 08/04/23 (1) | 60,862 | ||||||
13,929 | TEX Operations Co. LLC, Exit Term Loan C, 4.909%, due 08/04/23 (1) | 13,915 | ||||||
|
| |||||||
Total Electric | 74,777 | |||||||
|
| |||||||
Entertainment (0.6%) | ||||||||
140,913 | NEP/NCP Holdco, Inc., Incremental Term Loan, 4.975%, due 01/22/20 (1) | 141,090 | ||||||
|
| |||||||
Healthcare-Services (0.1%) | ||||||||
13,000 | Epic Health Services, Inc., 2017 1st Lien Term Loan, 6.354%, due 03/18/24 (1) | 13,054 | ||||||
13,000 | Epic Health Services, Inc., 2017 2nd Lien Term Loan, 10.252%, due 02/21/24 (1) | 13,054 | ||||||
|
| |||||||
Total Healthcare-Services | 26,108 | |||||||
|
| |||||||
Lodging (0.4%) | ||||||||
105,000 | CityCenter Holdings LLC, 2017 Term Loan B, 4.805%, due 04/07/24 (1) | 105,289 | ||||||
|
| |||||||
Packaging & Containers (0.3%) | ||||||||
64,675 | Reynolds Group Holdings, Inc., 2017 Term Loan, 4.955%, due 02/05/23 (1) | 65,076 | ||||||
|
| |||||||
Pharmaceuticals (0.2%) | ||||||||
49,626 | Nature’s Bounty Co. (The), 2017 Term Loan B, 5.544%, due 05/05/23 (1) | 49,861 | ||||||
|
| |||||||
Software (0.7%) | ||||||||
110,000 | First Data Corp., 2017 Term Loan, 4.999%, due 04/26/24 (1) | 110,138 | ||||||
70,000 | TierPoint LLC, 2017 1st Lien Term Loan, 5.872%, due 05/18/24 (1)(2) | 70,350 | ||||||
|
| |||||||
Total Software | 180,488 | |||||||
|
| |||||||
Telecommunications (0.2%) | ||||||||
25,000 | Colorado Buyer, Inc., Term Loan B, 5.06%, due 03/28/24 (1)(2) | 25,178 | ||||||
29,925 | GTT Communications, Inc., Term Loan B, 5.896%, due 09/12/23 (1) | 30,318 | ||||||
|
| |||||||
Total Telecommunications | 55,496 | |||||||
|
| |||||||
Trucking & Leasing (0.6%) | ||||||||
145,000 | Avolon TLB Borrower 1 (Luxembourg) S.a.r.l., Term Loan B2, 4.342%, due 03/20/22 (1) | 147,330 | ||||||
|
| |||||||
Total Bank Loans (Cost: $816,844) | 900,736 | |||||||
|
| |||||||
Corporate Bonds (83.3%) | ||||||||
Advertising (0.4%) | ||||||||
100,000 | Lamar Media Corp., 5.75%, due 02/01/26 | 109,000 | ||||||
|
| |||||||
Aerospace/Defense (0.6%) | ||||||||
43,000 | KLX, Inc., (144A), 5.875%, due 12/01/22 (3) | 45,258 | ||||||
90,000 | Orbital ATK, Inc., 5.5%, due 10/01/23 | 93,825 | ||||||
|
| |||||||
Total Aerospace/Defense | 139,083 | |||||||
|
|
See accompanying notes to financial statements.
36
TCW High Yield Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||
Airlines (2.8%) | ||||||||
$ | 279,360 | American Airlines, Inc. Pass-Through Trust (13-2-B), (144A), | $ | 290,367 | ||||
117,950 | Continental Airlines, Inc. Pass-Through Certificates (99-1-A), | 124,290 | ||||||
250,467 | Delta Air Lines, Inc. Pass-Through Certificates (02-1-G-1), | 282,089 | ||||||
|
| |||||||
Total Airlines | 696,746 | |||||||
|
| |||||||
Auto Parts & Equipment (1.3%) | ||||||||
290,000 | Goodyear Tire & Rubber Co. (The), 7%, due 05/15/22 | 300,164 | ||||||
40,000 | Tenneco, Inc., 5%, due 07/15/26 | 40,145 | ||||||
|
| |||||||
Total Auto Parts & Equipment | 340,309 | |||||||
|
| |||||||
Banks (0.3%) | ||||||||
100,000 | Citigroup, Inc., 1.602%, due 08/25/36 (4) | 82,652 | ||||||
|
| |||||||
Beverages (1.7%) | ||||||||
175,000 | Constellation Brands, Inc., 6%, due 05/01/22 | 199,667 | ||||||
35,000 | Cott Holdings, Inc., (144A), 5.5%, due 04/01/25 (3) | 35,700 | ||||||
180,000 | DS Services of America, Inc., (144A), 10%, due 09/01/21 (3) | 193,950 | ||||||
|
| |||||||
Total Beverages | 429,317 | |||||||
|
| |||||||
Building Materials (0.2%) | ||||||||
40,000 | RSI Home Products, Inc., (144A), 6.5%, due 03/15/23 (3) | 41,600 | ||||||
13,000 | Standard Industries, Inc., (144A), 5.125%, due 02/15/21 (3) | 13,588 | ||||||
|
| |||||||
Total Building Materials | 55,188 | |||||||
|
| |||||||
Chemicals (1.5%) | ||||||||
210,000 | Axalta Coating Systems LLC, (144A), 4.875%, due 08/15/24 (3) | 218,662 | ||||||
20,000 | Kissner Holdings LP / Kissner Milling Co., Ltd. / BSC Holding, Inc. / Kissner USA (Canada), (144A), 8.375%, due 12/01/22 (3) | 20,800 | ||||||
75,000 | MPM Escrow LLC, 8.875%, due 10/15/20 (5) | — | ||||||
137,000 | Valvoline, Inc., (144A), 5.5%, due 07/15/24 (3) | 145,905 | ||||||
|
| |||||||
Total Chemicals | 385,367 | |||||||
|
| |||||||
Coal (0.0%) | ||||||||
66,950 | Walter Energy, Inc., (144A), 11%, due 04/01/20 (3)(5) | 90 | ||||||
|
| |||||||
Commercial Services (3.9%) | ||||||||
225,000 | Booz Allen Hamilton, Inc., (144A), 5.125%, due 05/01/25 (3) | 229,502 | ||||||
72,000 | Gartner, Inc., (144A), 5.125%, due 04/01/25 (3) | 74,700 | ||||||
28,000 | IHS Markit, Ltd., (144A), 5%, due 11/01/22 (3) | 30,065 | ||||||
23,000 | Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc., (144A), 7.875%, due 10/01/22 (3) | 24,093 | ||||||
165,000 | Nielsen Co. Luxembourg SARL (The) (Luxembourg), (144A), 5.5%, due 10/01/21 (3) | 171,600 | ||||||
10,000 | Nielsen Finance LLC / Nielsen Finance Co., (144A), 5%, due 04/15/22 (3) | 10,300 | ||||||
97,000 | Ritchie Bros Auctioneers, Inc. (Canada), (144A), 5.375%, due 01/15/25 (3) | 100,395 |
See accompanying notes to financial statements.
37
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Commercial Services (Continued) | ||||||||
$ | 200,000 | Service Corp. International, 4.5%, due 11/15/20 | $ | 203,876 | ||||
85,000 | Service Corp. International, 5.375%, due 01/15/22 | 87,975 | ||||||
45,000 | United Rentals North America, Inc., 4.625%, due 07/15/23 | 46,912 | ||||||
|
| |||||||
Total Commercial Services | 979,418 | |||||||
|
| |||||||
Cosmetics/Personal Care (0.3%) | ||||||||
73,000 | High Ridge Brands Co., (144A), 8.875%, due 03/15/25 (3) | 76,468 | ||||||
|
| |||||||
Diversified Financial Services (1.9%) | ||||||||
250,000 | Ally Financial, Inc., 3.25%, due 11/05/18 | 251,718 | ||||||
100,000 | CIT Group, Inc., 3.875%, due 02/19/19 | 103,000 | ||||||
117,000 | CIT Group, Inc., (144A), 5.5%, due 02/15/19 (3) | 123,874 | ||||||
|
| |||||||
Total Diversified Financial Services | 478,592 | |||||||
|
| |||||||
Electric (0.7%) | ||||||||
55,000 | Dynegy, Inc., 5.875%, due 06/01/23 | 49,087 | ||||||
320,180 | Homer City Generation LP, 8.734%, due 10/01/26 (5) | 116,866 | ||||||
|
| |||||||
Total Electric | 165,953 | |||||||
|
| |||||||
Entertainment (3.1%) | ||||||||
40,000 | CCM Merger, Inc., (144A), 6%, due 03/15/22 (3) | 41,350 | ||||||
360,000 | Churchill Downs, Inc., 5.375%, due 12/15/21 | 376,650 | ||||||
35,000 | Eagle II Acquisition Co. LLC, (144A), 6%, due 04/01/25 (3) | 36,181 | ||||||
146,000 | GLP Capital LP / GLP Financing II, Inc., 5.375%, due 04/15/26 | 154,395 | ||||||
175,000 | Rivers Pittsburgh Borrower LP / Rivers Pittsburgh Finance Corp., (144A), | 177,333 | ||||||
|
| |||||||
Total Entertainment | 785,909 | |||||||
|
| |||||||
Environmental Control (1.1%) | ||||||||
265,000 | Clean Harbors, Inc., 5.125%, due 06/01/21 | 272,076 | ||||||
18,000 | Covanta Holding Corp., 5.875%, due 07/01/25 | 18,045 | ||||||
|
| |||||||
Total Environmental Control | 290,121 | |||||||
|
| |||||||
Food (3.7%) | ||||||||
150,000 | B&G Foods, Inc., 4.625%, due 06/01/21 | 153,000 | ||||||
40,000 | B&G Foods, Inc., 5.25%, due 04/01/25 | 41,051 | ||||||
60,000 | Chobani LLC / Chobani Finance Corp, Inc., (144A), 7.5%, due 04/15/25 (3) | 62,100 | ||||||
90,000 | Clearwater Seafoods, Inc. (Canada), (144A), 6.875%, due 05/01/25(3) | 93,600 | ||||||
35,000 | Dole Food Co., Inc., (144A), 7.25%, due 06/15/25 (3) | 36,444 | ||||||
60,000 | Kraft Heinz Foods Co., (144A), 4.875%, due 02/15/25 (3) | 64,288 | ||||||
155,000 | Lamb Weston Holdings, Inc., (144A), 4.875%, due 11/01/26 (3) | 160,619 | ||||||
10,000 | Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., 5.875%, due 01/15/24 | 10,713 | ||||||
95,000 | Post Holdings, Inc., (144A), 5%, due 08/15/26 (3) | 94,762 | ||||||
37,000 | Post Holdings, Inc., (144A), 5.5%, due 03/01/25 (3) | 38,850 | ||||||
176,000 | TreeHouse Foods, Inc., (144A), 6%, due 02/15/24 (3) | 188,320 | ||||||
|
| |||||||
Total Food | 943,747 | |||||||
|
|
See accompanying notes to financial statements.
38
TCW High Yield Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||
Healthcare-Products (0.5%) | ||||||||
$ | 70,000 | Hill-Rom Holdings, Inc., (144A), 5.75%, due 09/01/23 (3) | $ | 73,412 | ||||
30,000 | Hologic, Inc., (144A), 5.25%, due 07/15/22 (3) | 31,725 | ||||||
14,000 | Teleflex, Inc., 4.875%, due 06/01/26 | 14,403 | ||||||
|
| |||||||
Total Healthcare-Products | 119,540 | |||||||
|
| |||||||
Healthcare-Services (7.6%) | ||||||||
76,000 | Acadia Healthcare Co., Inc., 6.5%, due 03/01/24 | 80,750 | ||||||
173,000 | Centene Corp., 4.75%, due 01/15/25 | 176,244 | ||||||
135,000 | CHS / Community Health Systems, Inc., 6.25%, due 03/31/23 | 137,869 | ||||||
115,000 | DaVita, Inc., 5.75%, due 08/15/22 | 119,456 | ||||||
40,000 | Eagle Holding Co. II LLC, (144A), 7.625%, due 05/15/22 (3)(2) | 40,800 | ||||||
85,000 | Fresenius Medical Care US Finance II, Inc., (144A), 4.125%, due 10/15/20 (3) | 87,391 | ||||||
100,000 | Fresenius Medical Care US Finance, Inc., 6.875%, due 07/15/17 | 101,375 | ||||||
20,000 | HCA, Inc., 4.75%, due 05/01/23 | 21,050 | ||||||
365,000 | HCA, Inc., 6.5%, due 02/15/20 | 401,536 | ||||||
135,000 | HealthSouth Corp., 5.75%, due 11/01/24 | 138,206 | ||||||
30,000 | Molina Healthcare, Inc., 5.375%, due 11/15/22 | 31,500 | ||||||
159,000 | Tenet Healthcare Corp., 4.5%, due 04/01/21 | 159,596 | ||||||
210,000 | Tenet Healthcare Corp., 4.631%, due 06/15/20 (4) | 212,100 | ||||||
49,000 | Tenet Healthcare Corp., 4.75%, due 06/01/20 | 49,980 | ||||||
160,000 | WellCare Health Plans, Inc., 5.25%, due 04/01/25 | 166,800 | ||||||
|
| |||||||
Total Healthcare-Services | 1,924,653 | |||||||
|
| |||||||
Home Builders (0.1%) | ||||||||
20,000 | Shea Homes LP / Shea Homes Funding Corp., (144A), 6.125%, due 04/01/25 (3) | 20,400 | ||||||
|
| |||||||
Household Products/Wares (1.2%) | ||||||||
230,000 | Central Garden & Pet Co., 6.125%, due 11/15/23 | 247,250 | ||||||
45,000 | Spectrum Brands, Inc., 6.625%, due 11/15/22 | 47,588 | ||||||
|
| |||||||
Total Household Products/Wares | 294,838 | |||||||
|
| |||||||
Housewares (0.3%) | ||||||||
72,000 | Scotts Miracle-Gro Co. (The), (144A), 5.25%, due 12/15/26 (3) | 74,520 | ||||||
|
| |||||||
Internet (0.2%) | ||||||||
48,000 | Zayo Group LLC / Zayo Capital, Inc., (144A), 5.75%, due 01/15/27 (3) | 51,060 | ||||||
|
| |||||||
Leisure Time (0.3%) | ||||||||
7,000 | NCL Corp., Ltd., Class C, (144A), 4.625%, due 11/15/20 (3) | 7,193 | ||||||
60,000 | NCL Corp., Ltd., Class C, (144A), 4.75%, due 12/15/21 (3) | 61,650 | ||||||
|
| |||||||
Total Leisure Time | 68,843 | |||||||
|
| |||||||
Lodging (1.3%) | ||||||||
32,000 | Boyd Gaming Corp., 6.875%, due 05/15/23 | 34,560 | ||||||
25,000 | Hilton Domestic Operating Co., Inc., (144A), 4.25%, due 09/01/24 (3) | 25,188 | ||||||
70,000 | MGM Resorts International, 8.625%, due 02/01/19 | 77,700 | ||||||
190,000 | Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp., (144A), 5.875%, due 05/15/25 (3)(2) | 190,712 | ||||||
|
| |||||||
Total Lodging | 328,160 | |||||||
|
|
See accompanying notes to financial statements.
39
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Machinery-Diversified (0.2%) | ||||||||
$ | 50,000 | Tennant Co., (144A), 5.625%, due 05/01/25 (3) | $ | 51,940 | ||||
|
| |||||||
Media (12.1%) | ||||||||
190,000 | Altice US Finance I Corp. (Luxembourg), (144A), 5.375%, due 07/15/23 (3) | 199,025 | ||||||
35,000 | AMC Networks, Inc., 5%, due 04/01/24 | 35,548 | ||||||
130,000 | Block Communications, Inc., (144A), 6.875%, due 02/15/25 (3) | 139,750 | ||||||
157,000 | Cable One, Inc., (144A), 5.75%, due 06/15/22 (3) | 164,850 | ||||||
127,000 | CCO Holdings LLC / CCO Holdings Capital Corp., (144A), 5.125%, due 05/01/27 (3) | 129,698 | ||||||
100,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 5.25%, due 03/15/21 | 103,062 | ||||||
175,000 | Cequel Communications Holdings I LLC / Cequel Capital Corp., (144A), | 179,812 | ||||||
200,000 | CSC Holdings LLC, (144A), 5.5%, due 04/15/27 (3) | 206,760 | ||||||
125,000 | DISH DBS Corp., 4.25%, due 04/01/18 | 127,500 | ||||||
40,000 | DISH DBS Corp., 4.625%, due 07/15/17 | 40,175 | ||||||
300,000 | DISH DBS Corp., 7.875%, due 09/01/19 | 334,125 | ||||||
85,000 | EW Scripps Co. (The), (144A), 5.125%, due 05/15/25 (3) | 87,236 | ||||||
60,000 | Midcontinent Communications & Finance Co., (144A), 6.875%, due 08/15/23 (3) | 64,725 | ||||||
195,000 | Sinclair Television Group, Inc., 6.125%, due 10/01/22 | 203,385 | ||||||
80,000 | Sirius XM Radio, Inc., (144A), 4.25%, due 05/15/20 (3) | 80,900 | ||||||
317,000 | Sirius XM Radio, Inc., (144A), 5.75%, due 08/01/21 (3) | 329,680 | ||||||
231,000 | TEGNA, Inc., 5.125%, due 10/15/19 | 237,930 | ||||||
125,000 | TEGNA, Inc., (144A), 5.5%, due 09/15/24 (3) | 128,750 | ||||||
77,000 | Univision Communications, Inc., (144A), 5.125%, due 02/15/25 (3) | 76,519 | ||||||
200,000 | Virgin Media Secured Finance PLC (United Kingdom), (144A), 5.5%, due 08/15/26 (3) | 205,500 | ||||||
|
| |||||||
Total Media | 3,074,930 | |||||||
|
| |||||||
Oil & Gas (4.7%) | ||||||||
73,000 | Antero Resources Corp., (144A), 5%, due 03/01/25 (3) | 71,996 | ||||||
120,000 | Concho Resources, Inc., 5.5%, due 04/01/23 | 125,025 | ||||||
120,000 | Diamondback Energy, Inc., (144A), 5.375%, due 05/31/25 (3) | 124,800 | ||||||
44,000 | Gulfport Energy Corp., (144A), 6.375%, due 05/15/25 (3) | 44,000 | ||||||
85,000 | Hilcorp Energy I LP / Hilcorp Finance Co., (144A), 5.75%, due 10/01/25 (3) | 82,875 | ||||||
75,000 | Newfield Exploration Co., 5.375%, due 01/01/26 | 79,125 | ||||||
35,000 | Parsley Energy LLC / Parsley Finance Corp., (144A), 5.25%, due 08/15/25 (3) | 35,437 | ||||||
13,000 | Parsley Energy LLC / Parsley Finance Corp., (144A), 5.375%, due 01/15/25 (3) | 13,195 | ||||||
68,000 | Parsley Energy LLC / Parsley Finance Corp., (144A), 6.25%, due 06/01/24 (3) | 72,250 | ||||||
65,000 | PDC Energy, Inc., (144A), 6.125%, due 09/15/24 (3) | 66,950 | ||||||
45,000 | Range Resources Corp., 4.875%, due 05/15/25 | 43,425 | ||||||
41,000 | Rice Energy, Inc., 6.25%, due 05/01/22 | 43,076 | ||||||
150,000 | Sunoco LP / Sunoco Finance Corp., 5.5%, due 08/01/20 | 155,070 | ||||||
190,000 | Tesoro Corp., 4.25%, due 10/01/17 | 191,544 | ||||||
23,000 | WPX Energy, Inc., 5.25%, due 09/15/24 | 22,569 | ||||||
30,000 | WPX Energy, Inc., 6%, due 01/15/22 | 30,450 | ||||||
|
| |||||||
Total Oil & Gas | 1,201,787 | |||||||
|
|
See accompanying notes to financial statements.
40
TCW High Yield Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||
Packaging & Containers (7.8%) | ||||||||
$ | 200,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (Ireland), (144A), | $ | 204,840 | ||||
345,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (Ireland), (144A), | 352,762 | ||||||
15,000 | Ball Corp., 4%, due 11/15/23 | 15,300 | ||||||
55,000 | Ball Corp., 4.375%, due 12/15/20 | 58,162 | ||||||
92,000 | Ball Corp., 5.25%, due 07/01/25 | 99,705 | ||||||
40,000 | Berry Plastics Corp., 5.125%, due 07/15/23 | 41,600 | ||||||
185,000 | Crown Americas LLC / Crown Americas Capital Corp. V, (144A), | 181,762 | ||||||
20,000 | Flex Acquisition Co., Inc., (144A), 6.875%, due 01/15/25 (3) | 20,638 | ||||||
80,000 | Graphic Packaging International, Inc., 4.125%, due 08/15/24 | 80,400 | ||||||
65,000 | Graphic Packaging International, Inc., 4.875%, due 11/15/22 | 68,169 | ||||||
170,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg), (144A), 4.658%, due 07/15/21 (3)(4) | 174,250 | ||||||
345,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg), 5.75%, due 10/15/20 | 355,781 | ||||||
34,000 | Sealed Air Corp., (144A), 4.875%, due 12/01/22 (3) | 35,658 | ||||||
181,000 | Sealed Air Corp., (144A), 5.25%, due 04/01/23 (3) | 192,765 | ||||||
70,000 | Silgan Holdings, Inc., (144A), 4.75%, due 03/15/25 (3) | 70,787 | ||||||
25,000 | Silgan Holdings, Inc., 5%, due 04/01/20 | 25,438 | ||||||
|
| |||||||
Total Packaging & Containers | 1,978,017 | |||||||
|
| |||||||
Pharmaceuticals (2.2%) | ||||||||
15,000 | inVentiv Group Holdings, Inc. / inVentiv Health, Inc. / inVentiv Health Clinical, Inc., (144A), 7.5%, due 10/01/24 (3) | 15,525 | ||||||
85,000 | NBTY, Inc., (144A), 7.625%, due 05/15/21 (3) | 90,525 | ||||||
85,000 | Valeant Pharmaceuticals International, Inc. (Canada), (144A), 5.625%, due 12/01/21 (3) | 65,450 | ||||||
262,000 | Valeant Pharmaceuticals International, Inc. (Canada), (144A), 5.875%, due 05/15/23 (3) | 195,845 | ||||||
270,000 | Valeant Pharmaceuticals International, Inc. (Canada), (144A), 6.125%, due 04/15/25 (3) | 200,475 | ||||||
|
| |||||||
Total Pharmaceuticals | 567,820 | |||||||
|
| |||||||
Pipelines (1.6%) | ||||||||
155,000 | Rockies Express Pipeline LLC, (144A), 5.625%, due 04/15/20 (3) | 166,470 | ||||||
85,000 | Rockies Express Pipeline LLC, (144A), 6%, due 01/15/19 (3) | 89,462 | ||||||
100,000 | Tesoro Logistics LP / Tesoro Logistics Finance Corp., 5.875%, due 10/01/20 | 102,550 | ||||||
50,000 | Tesoro Logistics LP / Tesoro Logistics Finance Corp., 6.125%, due 10/15/21 | 52,313 | ||||||
|
| |||||||
Total Pipelines | 410,795 | |||||||
|
| |||||||
REIT (1.5%) | ||||||||
200,000 | DuPont Fabros Technology LP, 5.875%, due 09/15/21 | 209,500 | ||||||
60,000 | Equinix, Inc., 5.375%, due 05/15/27 | 62,587 | ||||||
36,000 | MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.625%, due 05/01/24 | 39,015 | ||||||
63,000 | SBA Communications Corp., (144A), 4.875%, due 09/01/24 (3) | 63,709 | ||||||
|
| |||||||
Total REIT | 374,811 | |||||||
|
|
See accompanying notes to financial statements.
41
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Retail (2.6%) | ||||||||
$ | 299,000 | Cumberland Farms, Inc., (144A), 6.75%, due 05/01/25 (3) | $ | 309,091 | ||||
190,000 | Dollar Tree, Inc., 5.75%, due 03/01/23 | 203,063 | ||||||
45,000 | KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC, (144A), | 46,575 | ||||||
100,000 | KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC, (144A), | 102,750 | ||||||
|
| |||||||
Total Retail | 661,479 | |||||||
|
| |||||||
Semiconductors (0.8%) | ||||||||
200,000 | NXP BV / NXP Funding LLC (Netherlands), (144A), 3.75%, due 06/01/18 (3) | 204,500 | ||||||
|
| |||||||
Software (2.3%) | ||||||||
41,000 | Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., (144A), | 42,204 | ||||||
150,000 | First Data Corp., (144A), 5%, due 01/15/24 (3) | 153,975 | ||||||
200,000 | IMS Health, Inc., (144A), 5%, due 10/15/26 (3) | 205,625 | ||||||
165,000 | MSCI, Inc., (144A), 4.75%, due 08/01/26 (3) | 169,744 | ||||||
10,000 | Open Text Corp. (Canada), (144A), 5.875%, due 06/01/26 (3) | 10,700 | ||||||
|
| |||||||
Total Software | 582,248 | |||||||
|
| |||||||
Telecommunications (12.3%) | ||||||||
285,000 | AT&T, Inc., 5.45%, due 03/01/47 | 292,548 | ||||||
60,000 | Frontier Communications Corp., 8.5%, due 04/15/20 | 63,978 | ||||||
52,000 | Frontier Communications Corp., 8.875%, due 09/15/20 | 54,959 | ||||||
67,000 | Frontier Communications Corp., 10.5%, due 09/15/22 | 67,670 | ||||||
97,000 | GTT Escrow Corp., (144A), 7.875%, due 12/31/24 (3) | 101,486 | ||||||
145,000 | Intelsat Jackson Holdings S.A. (Luxembourg), 5.5%, due 08/01/23 | 124,519 | ||||||
250,000 | Level 3 Financing, Inc., 6.125%, due 01/15/21 | 258,750 | ||||||
350,000 | Qwest Corp., 6.5%, due 06/01/17 | 352,271 | ||||||
75,000 | Qwest Corp., 6.75%, due 12/01/21 | 82,946 | ||||||
200,000 | SoftBank Group Corp. (Japan), (144A), 4.5%, due 04/15/20 (3) | 207,880 | ||||||
680,000 | Sprint Communications, Inc., (144A), 9%, due 11/15/18 (3) | 745,450 | ||||||
45,000 | Sprint Corp., 7.875%, due 09/15/23 | 50,512 | ||||||
55,000 | Sprint Nextel Corp., 9.25%, due 04/15/22 | 66,825 | ||||||
280,000 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC, (144A), 3.36%, due 03/20/23 (3) | 282,814 | ||||||
200,000 | T-Mobile USA, Inc., 4%, due 04/15/22 | 205,000 | ||||||
125,000 | T-Mobile USA, Inc., 6.836%, due 04/28/23 | 134,375 | ||||||
15,000 | Windstream Services LLC, 6.375%, due 08/01/23 | 13,313 | ||||||
|
| |||||||
Total Telecommunications | 3,105,296 | |||||||
|
| |||||||
Trucking & Leasing (0.2%) | ||||||||
43,000 | Park Aerospace Holdings, Ltd., (144A), 5.25%, due 08/15/22 (3) | 45,580 | ||||||
|
| |||||||
Total Corporate Bonds (Cost: $20,998,327) | 21,099,177 | |||||||
|
|
See accompanying notes to financial statements.
42
TCW High Yield Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (0.3%) |
| |||||||
$ | 85,000 | Soundview Home Loan Trust (06-EQ1-A4), 1.241%, due 10/25/36 (4) | $ | 66,891 | ||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $59,712) | 66,891 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $21,874,883) (87.2%) | 22,066,804 | |||||||
|
| |||||||
Number of Shares | Money Market Investments | |||||||
371,000 | Dreyfus Government Cash Management Fund — Institutional Shares, 0.69% (6) | 371,000 | ||||||
14,268 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (6) | 14,268 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $385,268) (1.5%) | 385,268 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
U.S. Treasury Securities |
| |||||||
$ | 200,000 | U.S. Treasury Bill, 0.322%, due 05/04/17 (7) | 199,989 | |||||
200,000 | U.S. Treasury Bill, 0.582%, due 05/18/17 (7) | 199,936 | ||||||
1,900,000 | U.S. Treasury Bill, 0.771%, due 07/27/17 (7) | 1,896,396 | ||||||
500,000 | U.S. Treasury Bill, 0.907%, due 10/05/17 (7) | 498,021 | ||||||
|
| |||||||
Total U.S. Treasury Securities (Cost: $2,794,231) (11.0%) | 2,794,342 | |||||||
|
| |||||||
Total Short-Term Investments (Cost: $2,794,231) (11.0%) | 2,794,342 | |||||||
|
| |||||||
Total Investments (Cost: $25,054,382) (99.7%) | 25,246,414 | |||||||
Excess of Other Assets over Liabilities (0.3%) | 65,108 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 25,311,522 | ||||||
|
|
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||||
Notional Amount (8) | Implied Credit Spread (9) | Expiration Date | Counterparty | Reference Entity | Fixed Deal Pay Rate | Unrealized Depreciation | Premium (Received) | Value (10) | ||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||||
$ 250,000 | 0.37 | % | 3/20/19 | Goldman Sachs International | ALCOA, Inc. | 1% | $ | (6,003) | $ 3,163 | $ (2,840) | ||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
43
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
ABS - | Asset-Backed Securities. |
EETC - | Enhanced Equipment Trust Certificate. |
REIT - | Real Estate Investment Trust. |
(1) | Rate stated is the effective yield. |
(2) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2017, the value of these securities amounted to $10,810,760 or 42.7% 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. |
(4) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2017. |
(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) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
(7) | Rate shown represents yield-to-maturity. |
(8) | 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. |
(9) | 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. |
(10) | 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.
44
TCW High Yield Bond Fund
Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Advertising | 0.4 | % | ||
Aerospace/Defense | 0.6 | |||
Airlines | 2.8 | |||
Auto Parts & Equipment | 1.3 | |||
Banks | 0.3 | |||
Beverages | 1.7 | |||
Building Materials | 0.2 | |||
Chemicals | 1.5 | |||
Coal | 0.0 | * | ||
Commercial Services | 4.1 | |||
Cosmetics/Personal Care | 0.3 | |||
Diversified Financial Services | 1.9 | |||
Electric | 1.0 | |||
Entertainment | 3.7 | |||
Environmental Control | 1.1 | |||
Food | 3.7 | |||
Healthcare-Products | 0.5 | |||
Healthcare-Services | 7.7 | |||
Home Builders | 0.1 | |||
Household Products/Wares | 1.2 | |||
Housewares | 0.3 | |||
Internet | 0.2 | |||
Leisure Time | 0.3 | |||
Lodging | 1.7 | |||
Machinery-Diversified | 0.2 | |||
Media | 12.1 | |||
Oil & Gas | 4.7 | |||
Packaging & Containers | 8.1 | |||
Pharmaceuticals | 2.4 | |||
Pipelines | 1.6 | |||
REIT | 1.5 | |||
Residential Mortgage-Backed Securities — Non-Agency | 0.3 | |||
Retail | 2.6 | |||
Semiconductors | 0.8 | |||
Short Term Investments | 11.0 | |||
Software | 3.0 | |||
Telecommunications | 12.5 | |||
Trucking & Leasing | 0.8 | |||
Money Market Investments | 1.5 | |||
|
| |||
Total | 99.7 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
45
TCW High Yield Bond Fund
Fair Valuation Summary (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Bank Loans* | $ | — | $ | 900,736 | $ | — | $ | 900,736 | ||||||||
Corporate Bonds* | — | 20,982,311 | 116,866 | 21,099,177 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 66,891 | — | 66,891 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 21,949,938 | 116,866 | 22,066,804 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 385,268 | — | — | 385,268 | ||||||||||||
Short-Term Investments | 2,794,342 | — | — | 2,794,342 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,179,610 | $ | 21,949,938 | $ | 116,866 | $ | 25,246,414 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | $ | — | $ | (2,840 | ) | $ | — | $ | (2,840 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (2,840 | ) | $ | — | $ | (2,840 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
46
Schedule of Investments (Unaudited) | April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||
Commercial Mortgage-Backed Securities — Agency (2.8% of Net Assets) | ||||||||
$ | 50,820 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (KIR1-A1), 2.446%, due 03/25/26 | $ | 51,311 | ||||
96,060 | Federal National Mortgage Association, Pool #467288, 2.8%, due 03/01/18 | 96,740 | ||||||
26,313 | Federal National Mortgage Association, Pool #FN0002, 3.153%, due 12/01/17 | 26,381 | ||||||
29,814 | Federal National Mortgage Association (15-M10-FA), 1.019%, due 03/25/19 (1) | 29,834 | ||||||
40,875 | Federal National Mortgage Association (15-M12-FA), 1.11%, due 04/25/20 (1) | 40,793 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $250,527) | 245,059 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Non-Agency (0.4%) | ||||||||
17,999 | Bear Stearns Commercial Mortgage Securities Trust (99-CLF1-A4), 7%, due 05/20/30 (1) | 18,331 | ||||||
19,330 | JPMorgan Chase Commercial Mortgage Securities Trust (06-LDP9-A3S), (144A), | 19,254 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $39,640) | 37,585 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Agency (22.5%) | ||||||||
7,619 | Federal Home Loan Mortgage Corp. (2550-FI), 1.344%, due 11/15/32 (TAC)(1) | 7,658 | ||||||
3,079 | Federal Home Loan Mortgage Corp. (2591-EF), 1.494%, due 03/15/32 (1) | 3,079 | ||||||
66,112 | Federal Home Loan Mortgage Corp. (263-F5), 1.494%, due 06/15/42 (1) | 66,845 | ||||||
58,517 | Federal Home Loan Mortgage Corp. (2764-OE), 4.5%, due 03/15/19 (PAC) | 59,412 | ||||||
63,959 | Federal Home Loan Mortgage Corp. (2990-DE), 1.374%, due 11/15/34 (1) | 64,241 | ||||||
2,338 | Federal Home Loan Mortgage Corp. (3001-HS), 14.264%, due 02/15/35 (I/F) (PAC) (1) | 2,382 | ||||||
62,157 | Federal Home Loan Mortgage Corp. (3139-FL), 1.294%, due 01/15/36 (PAC) (1) | 62,162 | ||||||
29,753 | Federal Home Loan Mortgage Corp. (3172-FK), 1.444%, due 08/15/33 (1) | 29,796 | ||||||
61,218 | Federal Home Loan Mortgage Corp. (3300-FA), 1.294%, due 08/15/35 (1) | 61,173 | ||||||
75,586 | Federal Home Loan Mortgage Corp. (3318-F), 1.244%, due 05/15/37 (1) | 75,376 | ||||||
36,944 | Federal Home Loan Mortgage Corp. (3335-FT), 1.144%, due 08/15/19 (1) | 36,925 | ||||||
3,854 | Federal Home Loan Mortgage Corp. (3346-FA), 1.224%, due 02/15/19 (1) | 3,857 | ||||||
79,019 | Federal Home Loan Mortgage Corp. (3645-EH), 3%, due 12/15/20 | 79,925 | ||||||
85,182 | Federal Home Loan Mortgage Corp. (3767-JF), 1.294%, due 02/15/39 (PAC) (1) | 85,291 | ||||||
22,475 | Federal Home Loan Mortgage Corp. (3780-LF), 1.394%, due 03/15/29 (1) | 22,475 | ||||||
6,232 | Federal Home Loan Mortgage Corp. (3803-DF), 1.394%, due 11/15/35 (PAC) (1) | 6,233 | ||||||
30,605 | Federal Home Loan Mortgage Corp. (3824-FA), 1.144%, due 03/15/26 (1) | 30,594 | ||||||
86,743 | Federal Home Loan Mortgage Corp. (3940-PF), 1.344%, due 05/15/40 (PAC) (1) | 86,748 | ||||||
41,674 | Federal Home Loan Mortgage Corp. (3946-FG), 1.344%, due 10/15/39 (PAC) (1) | 41,707 | ||||||
89,838 | Federal Home Loan Mortgage Corp. (4231-FD), 1.344%, due 10/15/32 (1) | 89,590 | ||||||
23,850 | Federal National Mortgage Association (03-11-FA), 1.991%, due 09/25/32 (1) | 24,417 | ||||||
7,801 | Federal National Mortgage Association (03-64-KS), 8.379%, due 07/25/18 (I/F) (1) | 8,032 | ||||||
16,570 | Federal National Mortgage Association (03-84-GE), 4.5%, due 09/25/18 (PAC) | 16,802 | ||||||
77,802 | Federal National Mortgage Association (03-97-CA), 5%, due 10/25/18 (PAC) | 78,917 | ||||||
51,976 | Federal National Mortgage Association (04-94-HY), 5%, due 12/25/19 | 52,654 | ||||||
55,628 | Federal National Mortgage Association (05-114-PF), 1.366%, due 08/25/35 (PAC) (1) | 55,677 | ||||||
54,183 | Federal National Mortgage Association (06-60-DF), 1.421%, due 04/25/35 (1) | 54,469 | ||||||
18,910 | Federal National Mortgage Association (06-84-WF), 1.291%, due 02/25/36 (PAC) (1) | 18,911 | ||||||
53,640 | Federal National Mortgage Association (07-64-FA), 1.461%, due 07/25/37 (1) | 54,138 | ||||||
61,892 | Federal National Mortgage Association (07-67-FA), 1.241%, due 04/25/37 (1) | 61,876 | ||||||
88,027 | Federal National Mortgage Association (08-15-JN), 4.5%, due 02/25/23 | 89,908 |
See accompanying notes to financial statements.
47
TCW Short Term Bond Fund
Schedule of Investments (Unaudited)(Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 7,484 | Federal National Mortgage Association (08-47-PF), 1.491%, due 06/25/38 (PAC)(1) | $ | 7,495 | ||||
36,296 | Federal National Mortgage Association (09-33-FB), 1.811%, due 03/25/37 (1) | 37,070 | ||||||
67,779 | Federal National Mortgage Association (11-75-HP), 2.5%, due 07/25/40 (PAC) | 68,392 | ||||||
56,864 | Federal National Mortgage Association (13-54-HF), 1.191%, due 10/25/41 (PAC)(1) | 56,736 | ||||||
19,337 | Federal National Mortgage Association, Pool #254548, 5.5%, due 12/01/32 | 21,685 | ||||||
44,945 | Federal National Mortgage Association, Pool #600187, 7%, due 07/01/31 | 50,618 | ||||||
25,557 | Federal National Mortgage Association, Pool #995364, 6%, due 10/01/38 | 29,084 | ||||||
11,860 | Federal National Mortgage Association, Pool #AL0851, 6%, due 10/01/40 | 13,387 | ||||||
20,775 | Government National Mortgage Association (10-108-PF), 1.393%, due 02/20/38 (PAC)(1) | 20,795 | ||||||
68,774 | Government National Mortgage Association (12-13-KF), 1.293%, due 07/20/38 (1) | 68,836 | ||||||
20,269 | Government National Mortgage Association II, Pool #80022, 2.25%, due 12/20/26 (1) | 20,890 | ||||||
14,828 | Government National Mortgage Association II, Pool #80636, 2.125%, due 09/20/32 (1) | 15,339 | ||||||
9,803 | Government National Mortgage Association II, Pool #80757, 2.125%, due 10/20/33 (1) | 9,921 | ||||||
83,213 | Government National Mortgage Association II, Pool #80797, 2%, due 01/20/34 (1) | 86,339 | ||||||
33,164 | Government National Mortgage Association II, Pool #80937, 2.125%, due 06/20/34 (1) | 34,447 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $1,961,916) | 1,972,304 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Non-Agency (1.8%) | ||||||||
2,765 | Bear Stearns Asset-Backed Securities Trust (05-SD1-1A3), 1.391%, due 08/25/43 (1) | 2,758 | ||||||
104,557 | Credit Suisse First Boston Mortgage Securities Corp. (02-AR31-6A1), | 104,700 | ||||||
26,199 | First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C), | 24,955 | ||||||
7,121 | Homestar Mortgage Acceptance Corp. (04-5-A1), 1.891%, due 10/25/34 (1) | 7,119 | ||||||
1,620 | JPMorgan Mortgage Acquisition Corp. (05-WMC1-M1), 1.621%, due 09/25/35 (1) | 1,622 | ||||||
15,507 | Morgan Stanley Mortgage Loan Trust (04-6AR-1A), 1.891%, due 07/25/34 (1) | 15,255 | ||||||
1,318 | Residential Accredit Loans, Inc. (02-QS16-A2), 1.541%, due 10/25/17 (1) | 1,323 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $154,550) | 157,732 | |||||||
|
| |||||||
Corporate Bonds (33.8%) | ||||||||
Aerospace/Defense (0.6%) | ||||||||
50,000 | United Technologies Corp., 1.778%, due 05/04/18 | 50,075 | ||||||
|
| |||||||
Agriculture (0.6%) | ||||||||
20,000 | Altria Group, Inc., 9.7%, due 11/10/18 | 22,337 | ||||||
30,000 | BAT International Finance PLC (United Kingdom), (144A), 1.85%, due 06/15/18 (2) | 30,019 | ||||||
|
| |||||||
Total Agriculture | 52,356 | |||||||
|
| |||||||
Airlines (0.8%) | ||||||||
63,591 | Continental Airlines, Inc. Pass-Through Certificates (99-1-A), | 67,008 | ||||||
|
| |||||||
Auto Manufacturers (0.4%) | ||||||||
35,000 | Ford Motor Credit Co. LLC, 2.145%, due 01/09/18 | 35,098 | ||||||
|
| |||||||
Banks (11.1%) | ||||||||
75,000 | Bank of America Corp., 5.75%, due 12/01/17 | 76,812 | ||||||
70,000 | Bank of America Corp., 5.65%, due 05/01/18 | 72,647 |
See accompanying notes to financial statements.
48
TCW Short Term Bond Fund
April 30, 2017
Principal Amount | Fixed Income Securities | Value | ||||||
Banks (Continued) | ||||||||
$ | 30,000 | Bank of America N.A., 6.1%, due 06/15/17 | $ | 30,164 | ||||
25,000 | Capital One N.A., 2.35%, due 08/17/18 | 25,146 | ||||||
35,000 | Citigroup, Inc., 1.55%, due 08/14/17 | 35,017 | ||||||
25,000 | Citigroup, Inc., 6.125%, due 11/21/17 | 25,616 | ||||||
25,000 | Citigroup, Inc., 1.8%, due 02/05/18 | 25,031 | ||||||
45,000 | Citigroup, Inc., 6.125%, due 05/15/18 | 46,942 | ||||||
35,000 | Discover Bank, 2%, due 02/21/18 | 35,063 | ||||||
40,000 | Goldman Sachs Group, Inc. (The), 5.95%, due 01/18/18 | 41,212 | ||||||
20,000 | Goldman Sachs Group, Inc. (The), 6.15%, due 04/01/18 | 20,798 | ||||||
25,000 | Goldman Sachs Group, Inc. (The), 2.139%, due 11/15/18 (1) | 25,274 | ||||||
50,000 | Goldman Sachs Group, Inc. (The), 7.5%, due 02/15/19 | 54,766 | ||||||
35,000 | JPMorgan Chase & Co., 1.7%, due 03/01/18 | 35,033 | ||||||
35,000 | JPMorgan Chase Bank N.A., 6%, due 10/01/17 | 35,646 | ||||||
15,000 | Macquarie Bank, Ltd. (Australia), (144A), 1.797%, due 10/27/17 (1)(2) | 15,037 | ||||||
65,000 | Morgan Stanley, 1.89%, due 01/05/18 (1) | 65,275 | ||||||
20,000 | Morgan Stanley, 6.625%, due 04/01/18 | 20,884 | ||||||
30,000 | Morgan Stanley, 1.842%, due 02/14/20 (1) | 30,090 | ||||||
50,000 | PNC Bank NA, 1.8%, due 11/05/18 | 50,027 | ||||||
30,000 | Santander UK PLC (United Kingdom), 1.65%, due 09/29/17 | 30,048 | ||||||
135,000 | Wachovia Corp., 5.75%, due 02/01/18 | 139,058 | ||||||
35,000 | Wells Fargo & Co., 1.5%, due 01/16/18 | 34,989 | ||||||
|
| |||||||
Total Banks | 970,575 | |||||||
|
| |||||||
Beverages (0.7%) | ||||||||
30,000 | Anheuser-Busch InBev Worldwide, Inc., 7.75%, due 01/15/19 | 33,006 | ||||||
30,000 | Beam Suntory, Inc., 1.75%, due 06/15/18 | 30,002 | ||||||
|
| |||||||
Total Beverages | 63,008 | |||||||
|
| |||||||
Biotechnology (0.4%) | ||||||||
40,000 | Amgen, Inc., 5.85%, due 06/01/17 | 40,138 | ||||||
|
| |||||||
Computers (0.3%) | ||||||||
30,000 | Apple, Inc., 1.7%, due 02/22/19 | 30,134 | ||||||
|
| |||||||
Diversified Financial Services (1.6%) | ||||||||
30,000 | American Express Co., 7%, due 03/19/18 | 31,428 | ||||||
105,000 | Bear Stearns Cos. LLC (The), 7.25%, due 02/01/18 | 109,356 | ||||||
|
| |||||||
Total Diversified Financial Services | 140,784 | |||||||
|
| |||||||
Electric (2.0%) | ||||||||
20,000 | Entergy Gulf States Louisiana LLC, 6%, due 05/01/18 | 20,835 | ||||||
35,000 | Exelon Corp., 1.55%, due 06/09/17 | 34,998 | ||||||
50,000 | Oncor Electric Delivery Co. LLC, 6.8%, due 09/01/18 | 53,303 | ||||||
40,000 | Southern Co. (The), 1.3%, due 08/15/17 | 39,972 | ||||||
25,000 | Vectren Utility Holdings, Inc., 5.75%, due 08/01/18 | 26,088 | ||||||
|
| |||||||
Total Electric | 175,196 | |||||||
|
|
See accompanying notes to financial statements.
49
TCW Short Term Bond Fund
Schedule of Investments (Unaudited)(Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Environmental Control (0.8%) | ||||||||
$ | 40,000 | Republic Services, Inc., 3.8%, due 05/15/18 | $ | 40,809 | ||||
25,000 | Waste Management, Inc., 6.1%, due 03/15/18 | 26,030 | ||||||
|
| |||||||
Total Environmental Control | 66,839 | |||||||
|
| |||||||
Food (0.4%) | ||||||||
35,000 | Kraft Heinz Foods Co., 6.125%, due 08/23/18 | 36,909 | ||||||
|
| |||||||
Healthcare-Services (2.2%) | ||||||||
50,000 | Aetna, Inc., 1.5%, due 11/15/17 | 49,997 | ||||||
60,000 | Anthem, Inc., 1.875%, due 01/15/18 | 60,073 | ||||||
85,000 | Providence Health & Services Obligated Group, 2.098%, due 10/01/17 (1) | 85,276 | ||||||
|
| |||||||
Total Healthcare-Services | 195,346 | |||||||
|
| |||||||
Pharmaceuticals (1.2%) | ||||||||
30,000 | Actavis Funding SCS (Luxembourg), 2.35%, due 03/12/18 | 30,133 | ||||||
25,000 | Bayer US Finance LLC, (144A), 1.5%, due 10/06/17 (2) | 24,977 | ||||||
25,000 | Express Scripts Holding Co., 1.25%, due 06/02/17 | 24,975 | ||||||
25,000 | Teva Pharmaceutical Finance III BV (Netherlands), 1.4%, due 07/20/18 | 24,880 | ||||||
|
| |||||||
Total Pharmaceuticals | 104,965 | |||||||
|
| |||||||
Real Estate (1.0%) | ||||||||
50,000 | Post Apartment Homes, LP, 4.75%, due 10/15/17 | 50,301 | ||||||
35,000 | Prologis LP, 4%, due 01/15/18 | 35,330 | ||||||
|
| |||||||
Total Real Estate | 85,631 | |||||||
|
| |||||||
REIT (8.6%) | ||||||||
25,000 | American Tower Corp., 4.5%, due 01/15/18 | 25,472 | ||||||
50,000 | Boston Properties LP, 3.7%, due 11/15/18 | 51,214 | ||||||
50,000 | Camden Property Trust, 5.7%, due 05/15/17 | 50,072 | ||||||
20,000 | DDR Corp., 7.5%, due 07/15/18 | 21,206 | ||||||
40,000 | Duke Realty LP, 6.5%, due 01/15/18 | 41,317 | ||||||
45,000 | HCP, Inc., 3.75%, due 02/01/19 | 46,082 | ||||||
35,000 | Kimco Realty Corp., 4.3%, due 02/01/18 | 35,452 | ||||||
35,000 | National Retail Properties, Inc., 6.875%, due 10/15/17 | 35,755 | ||||||
30,000 | Realty Income Corp., 2%, due 01/31/18 | 30,043 | ||||||
20,000 | Realty Income Corp., 5.375%, due 09/15/17 | 20,281 | ||||||
50,000 | SL Green Realty Corp., 5%, due 08/15/18 | 51,642 | ||||||
30,000 | UDR, Inc., 4.25%, due 06/01/18 | 30,749 | ||||||
80,000 | Ventas Realty LP / Ventas Capital Corp., 2%, due 02/15/18 | 80,162 | ||||||
200,000 | WEA Finance LLC / Westfield UK & Europe Finance PLC, (144A), 1.75%, due 09/15/17 (2) | 200,131 | ||||||
35,000 | Welltower, Inc., 2.25%, due 03/15/18 | 35,143 | ||||||
|
| |||||||
Total REIT | 754,721 | |||||||
|
| |||||||
Retail (0.4%) | ||||||||
40,000 | Walgreens Boots Alliance, Inc., 1.75%, due 05/30/18 | 40,126 | ||||||
|
|
See accompanying notes to financial statements.
50
TCW Short Term Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||
Telecommunications (0.7%) | ||||||||
$ | 40,000 | AT&T, Inc., 5.5%, due 02/01/18 | $ | 41,132 | ||||
20,000 | Rogers Communications, Inc. (Canada), 6.8%, due 08/15/18 | 21,276 | ||||||
|
| |||||||
Total Telecommunications | 62,408 | |||||||
|
| |||||||
Total Corporate Bonds (Cost: $3,012,555) | 2,971,317 | |||||||
|
| |||||||
U.S. Treasury Securities (20.3%) | ||||||||
395,000 | U.S. Treasury Note, 0.625%, due 08/31/17 | 394,636 | ||||||
409,000 | U.S. Treasury Note, 0.875%, due 07/15/17 | 408,943 | ||||||
226,000 | U.S. Treasury Note, 1.125%, due 02/28/19 | 225,559 | ||||||
520,000 | U.S. Treasury Note, 1.25%, due 03/31/19 | 519,929 | ||||||
235,000 | U.S. Treasury Note, 1.25%, due 04/30/19 | 234,927 | ||||||
|
| |||||||
Total U.S. Treasury Securities (Cost: $1,783,158) | 1,783,994 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $7,202,346) (81.6%) | 7,167,991 | |||||||
|
| |||||||
Number of Shares | Money Market Investments | |||||||
247,372 | State Street Institutional U.S. Government Money Market Fund — Premier | 247,372 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $247,372) (2.8%) | 247,372 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
U.S. Treasury Securities (19.4%) | ||||||||
$ | 850,000 | U.S. Treasury Bill, 0.32%, due 05/04/17(4) | 849,955 | |||||
700,000 | U.S. Treasury Bill, 0.51%, due 05/11/17(4) | 699,872 | ||||||
150,000 | U.S. Treasury Bill, 0.77%, due 07/27/17(4) | 149,715 | ||||||
|
| |||||||
Total U.S. Treasury Securities (Cost: $1,643,347) | 1,699,542 | |||||||
|
| |||||||
Total Short-Term Investments (Cost: $1,643,347) (19.4%) | 1,699,542 | |||||||
|
| |||||||
Total Investments (Cost: $9,093,065) (103.8%) | 9,114,905 | |||||||
Liabilities in Excess of Other Assets (-3.8%) | (337,700 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 8,777,205 | ||||||
|
|
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, 2017. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2017, the value of these securities amounted to $289,418 or 3.3% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
(4) | Rate shown represents yield-to-maturity. |
See accompanying notes to financial statements.
51
TCW Short Term Bond Fund
Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Aerospace/Defense | 0.6 | % | ||
Agriculture | 0.6 | |||
Airlines | 0.8 | |||
Auto Manufacturers | 0.4 | |||
Banks | 11.1 | |||
Beverages | 0.7 | |||
Biotechnology | 0.4 | |||
Commercial Mortgage-Backed Securities — Agency | 2.8 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.4 | |||
Computers | 0.3 | |||
Diversified Financial Services | 1.6 | |||
Electric | 2.0 | |||
Environmental Control | 0.8 | |||
Food | 0.4 | |||
Healthcare-Services | 2.2 | |||
Pharmaceuticals | 1.2 | |||
REIT | 8.6 | |||
Real Estate | 1.0 | |||
Residential Mortgage-Backed Securities — Agency | 22.5 | |||
Residential Mortgage-Backed Securities — Non-Agency | 1.8 | |||
Retail | 0.4 | |||
U.S. Treasury Bills | 19.4 | |||
Telecommunications | 0.7 | |||
U.S. Treasury Securities | 20.3 | |||
Money Market Investments | 2.8 | |||
|
| |||
Total | 103.8 | % | ||
|
|
See accompanying notes to financial statements.
52
TCW Short Term Bond Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Commercial Mortgage-Backed Securities — Agency | $ | — | $ | 245,059 | $ | — | $ | 245,059 | ||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 37,585 | — | 37,585 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 1,972,304 | — | 1,972,304 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 157,732 | — | 157,732 | ||||||||||||
Corporate Bonds* | — | 2,971,317 | — | 2,971,317 | ||||||||||||
U.S. Treasury Securities | 1,783,994 | — | — | 1,783,994 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 1,783,994 | 5,383,997 | — | 7,167,991 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 247,372 | — | — | 247,372 | ||||||||||||
Short-Term Investments* | 1,699,542 | — | — | 1,699,542 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,730,908 | $ | 5,383,997 | $ | — | $ | 9,114,905 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
53
Schedule of Investments (Unaudited)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Asset-Backed Securities (3.8% of Net Assets) | ||||||||||||
$ | 8,517,949 | 321 Henderson Receivables I LLC (13-3A-A), (144A), 4.08%, due 01/17/73 (1) | $ | 8,623,042 | ||||||||
20,000,000 | Academic Loan Funding Trust (12-1A-A2), (144A), 2.091%, due 12/27/44 (1)(2) | 19,949,887 | ||||||||||
3,851,138 | ACE Securities Corp. Home Equity Loan Trust (05-HE7-A2D), | 3,867,262 | ||||||||||
10,013,976 | Ameriquest Mortgage Securities Trust (06-R2-A1), 1.166%, due 04/25/36 (2) | 10,095,546 | ||||||||||
18,835,000 | Brazos Higher Education Authority, Inc. (11-1-A3), 2.102%, due 11/25/33 (2) | 18,825,484 | ||||||||||
11,775,000 | Brazos Higher Education Authority, Inc. (11-2-A3), 2.156%, due 10/27/36 (2) | 11,810,362 | ||||||||||
7,225,000 | EFS Volunteer No 2 LLC (12-1-A2), (144A), 2.341%, due 03/25/36 (1)(2) | 7,355,140 | ||||||||||
17,750,000 | EFS Volunteer No 3 LLC (12-1-A3), (144A), 1.991%, due 04/25/33 (1)(2) | 17,763,817 | ||||||||||
11,864,625 | Global SC Finance SRL (14-1A-A2), (144A), 3.09%, due 07/17/29 (1) | 11,489,610 | ||||||||||
18,182 | Higher Education Funding I (14-1-A), (144A), 2.102%, due 05/25/34 (1)(2) | 18,159 | ||||||||||
17,225,000 | Montana Higher Education Student Assistance Corp. (12-1-A3), | 16,704,250 | ||||||||||
30,643,143 | Navient Student Loan Trust (14-2-A), 1.631%, due 03/25/83 (2) | 30,238,200 | ||||||||||
30,900,045 | Navient Student Loan Trust (14-3-A), 1.611%, due 03/25/83 (2) | 30,508,783 | ||||||||||
17,460,453 | Navient Student Loan Trust (14-4-A), 1.611%, due 03/25/83 (2) | 17,236,879 | ||||||||||
30,195,000 | Nelnet Student Loan Trust (14-4A-A2), (144A), 1.941%, due 11/25/48 (1)(2) | 29,590,431 | ||||||||||
3,141,868 | SLM Student Loan Trust (04-8-B), 1.616%, due 01/25/40 (2) | 2,844,161 | ||||||||||
17,680 | SLM Student Loan Trust (04-8A-A5), (144A), 1.656%, due 04/25/24 (1)(2) | 17,749 | ||||||||||
7,534,000 | SLM Student Loan Trust (05-5-A5), 1.906%, due 10/25/40 (2) | 7,286,823 | ||||||||||
5,287,790 | SLM Student Loan Trust (07-6-B), 2.006%, due 04/27/43 (2) | 4,837,663 | ||||||||||
3,988,495 | SLM Student Loan Trust (07-8-B), 2.156%, due 04/27/83 (2) | 3,761,684 | ||||||||||
7,405,000 | SLM Student Loan Trust (08-2-B), 2.356%, due 01/25/83 (2) | 7,000,624 | ||||||||||
6,559,000 | SLM Student Loan Trust (08-3-B), 2.356%, due 04/26/83 (2) | 6,104,892 | ||||||||||
3,280,000 | SLM Student Loan Trust (08-4-B), 3.006%, due 04/25/29 (2) | 3,188,376 | ||||||||||
16,210,000 | SLM Student Loan Trust (08-5-B), 3.006%, due 07/25/73 (2) | 15,998,766 | ||||||||||
6,515,000 | SLM Student Loan Trust (08-6-B), 3.006%, due 07/26/83 (2) | 6,409,389 | ||||||||||
6,390,000 | SLM Student Loan Trust (08-7-B), 3.006%, due 07/26/83 (2) | 6,273,557 | ||||||||||
5,706,000 | SLM Student Loan Trust (08-8-B), 3.406%, due 10/25/75 (2) | 5,732,812 | ||||||||||
15,950,000 | SLM Student Loan Trust (08-9-B), 3.406%, due 10/25/83 (2) | 16,208,576 | ||||||||||
11,840,000 | SLM Student Loan Trust (11-1-A2), 2.141%, due 10/25/34 (2) | 12,005,979 | ||||||||||
17,730,000 | SLM Student Loan Trust (11-2-A2), 2.191%, due 10/25/34 (2) | 18,028,187 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities (Cost: $344,998,489) | 349,776,090 | |||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — Agency (2.0%) | ||||||||||||
42,420,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K151-A3), 3.511%, due 04/25/30 | 44,055,601 | ||||||||||
15,447,201 | Federal National Mortgage Association, Pool #AL2660, 2.632%, due 10/01/22 | 15,658,342 | ||||||||||
42,324,155 | Federal National Mortgage Association, Pool #AL3366, 2.436%, due 02/01/23 | 42,499,297 | ||||||||||
46,675,066 | Federal National Mortgage Association (12-M12-1A), | 47,627,685 | ||||||||||
32,337,673 | Federal National Mortgage Association (12-M15-A), | 32,395,512 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $185,005,130) | 182,236,437 | |||||||||||
|
|
See accompanying notes to financial statements.
54
TCW Total Return Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Commercial Mortgage-Backed Securities — Non-Agency (0.4%) | ||||||||||||
$ | 10,301,320 | DBRR Trust (11-LC2-A4A), (144A), 4.537%, due 07/12/44 (1)(2) | $ | 11,083,757 | ||||||||
15,750,000 | GRACE Mortgage Trust (14-GRCE-A), (144A), 3.369%, due 06/10/28 (1) | 16,387,270 | ||||||||||
6,105,000 | GS Mortgage Securities Corp. (12-ALOH-A), (144A), 3.551%, due 04/10/34 (1) | 6,422,972 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $34,260,832) | 33,893,999 | |||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — Agency (53.2%) | ||||||||||||
163,694 | Federal Home Loan Mortgage Corp. (1829-ZB), 6.5%, due 03/15/26 | 177,325 | ||||||||||
240,688 | Federal Home Loan Mortgage Corp. (2367-ZK), 6%, due 10/15/31 | 266,676 | ||||||||||
3,411,118 | Federal Home Loan Mortgage Corp. (2514-PZ), 5.5%, due 10/15/32 (PAC) | 3,738,099 | ||||||||||
7,753,388 | Federal Home Loan Mortgage Corp. (2571-PZ), 5.5%, due 02/15/33 (PAC) | 8,516,537 | ||||||||||
756,081 | Federal Home Loan Mortgage Corp. (2642-AR), 4.5%, due 07/15/23 | 789,384 | ||||||||||
618,291 | Federal Home Loan Mortgage Corp. (2647-OV), 0%, due 07/15/33 (P/O)(3) | 573,481 | ||||||||||
3,024,148 | Federal Home Loan Mortgage Corp. (2662-MT), 4.5%, due 08/15/33 (TAC) | 3,229,033 | ||||||||||
1,673,728 | Federal Home Loan Mortgage Corp. (2666-BD), 4.5%, due 08/15/23 | 1,748,199 | ||||||||||
2,518,811 | Federal Home Loan Mortgage Corp. (2700-B), 4.5%, due 11/15/23 | 2,661,682 | ||||||||||
30,185,054 | Federal Home Loan Mortgage Corp. (2752-GZ), 5%, due 02/15/34 (PAC) | 33,172,903 | ||||||||||
44,166,047 | Federal Home Loan Mortgage Corp. (277-30), 3%, due 09/15/42 | 44,578,944 | ||||||||||
580,767 | Federal Home Loan Mortgage Corp. (2882-JH), 4.5%, due 10/15/34 (PAC) | 605,049 | ||||||||||
487,163 | Federal Home Loan Mortgage Corp. (2903-PO), 0%, due 11/15/23 (P/O) (3) | 457,953 | ||||||||||
3,065,359 | Federal Home Loan Mortgage Corp. (3045-HZ), 4.5%, due 10/15/35 | 3,251,676 | ||||||||||
36,161,230 | Federal Home Loan Mortgage Corp. (3063-YG), 5.5%, due 11/15/35 (PAC) | 40,275,451 | ||||||||||
27,601,909 | Federal Home Loan Mortgage Corp. (3114-KZ), 5%, due 02/15/36 | 29,800,004 | ||||||||||
7,678,917 | Federal Home Loan Mortgage Corp. (3146-GE), 5.5%, due 04/15/26 | 8,438,821 | ||||||||||
7,521,183 | Federal Home Loan Mortgage Corp. (3149-OD), | 6,674,578 | ||||||||||
4,002,857 | Federal Home Loan Mortgage Corp. (3315-S), | 515,936 | ||||||||||
4,592,928 | Federal Home Loan Mortgage Corp. (3376-SX), | 712,280 | ||||||||||
6,540,132 | Federal Home Loan Mortgage Corp. (3410-IS), | 856,869 | ||||||||||
6,131,567 | Federal Home Loan Mortgage Corp. (3424-BI), | 1,266,519 | ||||||||||
6,081,192 | Federal Home Loan Mortgage Corp. (3512-AY), 4%, due 02/15/24 | 6,189,730 | ||||||||||
1,608,648 | Federal Home Loan Mortgage Corp. (3519-SH), | 177,084 | ||||||||||
9,924,786 | Federal Home Loan Mortgage Corp. (3531-SC), | 974,156 | ||||||||||
2,601,194 | Federal Home Loan Mortgage Corp. (3541-SA), | 442,907 | ||||||||||
9,402,299 | Federal Home Loan Mortgage Corp. (3550-GS), | 1,862,922 | ||||||||||
4,125,561 | Federal Home Loan Mortgage Corp. (3551-VZ), 5.5%, due 12/15/32 | 4,598,542 | ||||||||||
8,461,703 | Federal Home Loan Mortgage Corp. (3557-KB), 4.5%, due 07/15/29 | 8,963,558 | ||||||||||
19,302,993 | Federal Home Loan Mortgage Corp. (3557-NB), 4.5%, due 07/15/29 | 20,453,835 |
See accompanying notes to financial statements.
55
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||||||
$ | 9,683,652 | Federal Home Loan Mortgage Corp. (3558-KB), 4%, due 08/15/29 | $ | 10,232,949 | ||||||||
14,201,410 | Federal Home Loan Mortgage Corp. (3565-XB), 4%, due 08/15/24 | 14,841,940 | ||||||||||
1,170,049 | Federal Home Loan Mortgage Corp. (3575-D), 4.5%, due 03/15/37 | 1,236,571 | ||||||||||
20,115,000 | Federal Home Loan Mortgage Corp. (3626-MD), 5%, due 01/15/38 (PAC) | 21,503,716 | ||||||||||
20,025,406 | Federal Home Loan Mortgage Corp. (3719-PJ), 4.5%, due 09/15/40 (PAC) | 21,854,803 | ||||||||||
12,694,197 | Federal Home Loan Mortgage Corp. (3788-SB), | 2,201,954 | ||||||||||
3,225,050 | Federal Home Loan Mortgage Corp. (3885-PO), | 2,772,666 | ||||||||||
10,470,000 | Federal Home Loan Mortgage Corp. (3930-KE), 4%, due 09/15/41 (PAC) | 11,327,292 | ||||||||||
5,441,478 | Federal Home Loan Mortgage Corp. (4030-HS), | 949,168 | ||||||||||
6,957,384 | Federal Home Loan Mortgage Corp. (R002-ZA), 5.5%, due 06/15/35 | 7,802,154 | ||||||||||
29,075,785 | Federal Home Loan Mortgage Corp., Pool #A91162, 5%, due 02/01/40 | 32,448,833 | ||||||||||
8,930,458 | Federal Home Loan Mortgage Corp., Pool #A92195, 5%, due 05/01/40 | 9,945,215 | ||||||||||
2,801 | Federal Home Loan Mortgage Corp., Pool #B15322, 5%, due 07/01/19 | 2,877 | ||||||||||
4,848 | Federal Home Loan Mortgage Corp., Pool #B15490, 5%, due 07/01/19 | 4,980 | ||||||||||
23,190 | Federal Home Loan Mortgage Corp., Pool #B15557, 5%, due 07/01/19 | 23,847 | ||||||||||
50,145 | Federal Home Loan Mortgage Corp., Pool #C90552, 6%, due 06/01/22 | 56,006 | ||||||||||
180,587 | Federal Home Loan Mortgage Corp., Pool #G01959, 5%, due 12/01/35 | 198,057 | ||||||||||
34,335,363 | Federal Home Loan Mortgage Corp., Pool #G06173, 4%, due 11/01/40 | 36,714,803 | ||||||||||
10,815,414 | Federal Home Loan Mortgage Corp., Pool #G07556, 4%, due 11/01/43 | 11,556,812 | ||||||||||
39,175,783 | Federal Home Loan Mortgage Corp., Pool #G07786, 4%, due 08/01/44 | 41,809,874 | ||||||||||
83,224,541 | Federal Home Loan Mortgage Corp., Pool #G07848, 3.5%, due 04/01/44 | 86,263,069 | ||||||||||
46,928,897 | Federal Home Loan Mortgage Corp., Pool #G08677, 4%, due 11/01/45 | 49,412,591 | ||||||||||
61,501,706 | Federal Home Loan Mortgage Corp., Pool #G08681, 3.5%, due 12/01/45 | 63,290,393 | ||||||||||
124,147,142 | Federal Home Loan Mortgage Corp., Pool #G08687, 3.5%, due 01/01/46 | 127,736,790 | ||||||||||
37,870,709 | Federal Home Loan Mortgage Corp., Pool #G08699, 4%, due 03/01/46 | 39,901,822 | ||||||||||
117,601,883 | Federal Home Loan Mortgage Corp., Pool #G08702, 3.5%, due 04/01/46 | 121,002,278 | ||||||||||
63,790,223 | Federal Home Loan Mortgage Corp., Pool #G08706, 3.5%, due 05/01/46 | 65,634,683 | ||||||||||
4,583,564 | Federal Home Loan Mortgage Corp., Pool #G08710, 3%, due 06/01/46 | 4,580,691 | ||||||||||
87,804,575 | Federal Home Loan Mortgage Corp., Pool #G08715, 3%, due 08/01/46 | 87,749,541 | ||||||||||
147,996,730 | Federal Home Loan Mortgage Corp., Pool #G08716, 3.5%, due 08/01/46 | 152,290,533 | ||||||||||
97,844,629 | Federal Home Loan Mortgage Corp., Pool #G08721, 3%, due 09/01/46 | 97,783,302 | ||||||||||
57,411,109 | Federal Home Loan Mortgage Corp., Pool #G08722, 3.5%, due 09/01/46 | 59,077,778 | ||||||||||
33,124,655 | Federal Home Loan Mortgage Corp., Pool #G08732, 3%, due 11/01/46 | 33,103,894 | ||||||||||
161,061,954 | Federal Home Loan Mortgage Corp., Pool #G08737, 3%, due 12/01/46 | 160,961,004 | ||||||||||
148,932,194 | Federal Home Loan Mortgage Corp., Pool #G08747, 3%, due 02/01/47 | 148,838,846 | ||||||||||
202,258 | Federal Home Loan Mortgage Corp., Pool #G11678, 4.5%, due 04/01/20 | 208,725 | ||||||||||
657,321 | Federal Home Loan Mortgage Corp., Pool #G12635, 5.5%, due 03/01/22 | 667,410 | ||||||||||
572,895 | Federal Home Loan Mortgage Corp., Pool #G12702, 4.5%, due 09/01/20 | 589,156 | ||||||||||
1,019,540 | Federal Home Loan Mortgage Corp., Pool #G13390, 6%, due 01/01/24 | 1,091,955 | ||||||||||
49,986,895 | Federal Home Loan Mortgage Corp., Pool #G18592, 3%, due 03/01/31 | 51,499,517 | ||||||||||
28,502,384 | Federal Home Loan Mortgage Corp., Pool #G18627, 3%, due 01/01/32 | 29,364,877 | ||||||||||
13,891 | Federal Home Loan Mortgage Corp., Pool #G30194, 6.5%, due 04/01/21 | 15,246 | ||||||||||
2,249,492 | Federal Home Loan Mortgage Corp., Pool #G30450, 6%, due 01/01/29 | 2,557,986 |
See accompanying notes to financial statements.
56
TCW Total Return Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||||||
$ | 2,364,280 | Federal Home Loan Mortgage Corp., Pool #G30452, 6%, due 10/01/28 | $ | 2,688,401 | ||||||||
3,336,760 | Federal Home Loan Mortgage Corp., Pool #G30454, 5%, due 05/01/29 | 3,658,888 | ||||||||||
131,890,720 | Federal Home Loan Mortgage Corp., Pool #G60238, 3.5%, due 10/01/45 | 136,419,666 | ||||||||||
80,363,677 | Federal Home Loan Mortgage Corp., Pool #G60440, 3.5%, due 03/01/46 | 83,103,729 | ||||||||||
443,583 | Federal Home Loan Mortgage Corp., Pool #H82001, 5.5%, due 07/01/37 | 486,191 | ||||||||||
4,903,581 | Federal Home Loan Mortgage Corp., Pool #N70081, 5.5%, due 07/01/38 | 5,451,994 | ||||||||||
4,733,177 | Federal Home Loan Mortgage Corp., Pool #P51350, 5%, due 03/01/36 | 5,186,273 | ||||||||||
127,160,000 | Federal Home Loan Mortgage Corp. TBA, 4% (4) | 133,865,697 | ||||||||||
284,041 | Federal National Mortgage Association (01-40-Z), 6%, due 08/25/31 | 319,224 | ||||||||||
631,716 | Federal National Mortgage Association (03-117-TG), | 672,848 | ||||||||||
875,166 | Federal National Mortgage Association (04-52-SW), | 183,604 | ||||||||||
1,887,842 | Federal National Mortgage Association (04-65-LT), 4.5%, due 08/25/24 | 1,991,198 | ||||||||||
2,124,420 | Federal National Mortgage Association (04-68-LC), 5%, due 09/25/29 | 2,297,933 | ||||||||||
7,021,966 | Federal National Mortgage Association (05-117-LC), | 7,519,820 | ||||||||||
401,855 | Federal National Mortgage Association (05-74-CP), | 571,320 | ||||||||||
2,636,822 | Federal National Mortgage Association (07-20-SI), | 379,756 | ||||||||||
2,194,064 | Federal National Mortgage Association (07-21-SE), | 324,156 | ||||||||||
2,830,884 | Federal National Mortgage Association (07-56-SG), | 365,821 | ||||||||||
7,784,099 | Federal National Mortgage Association (07-58-SV), | 1,224,581 | ||||||||||
1,946,468 | Federal National Mortgage Association (07-65-S), | 321,160 | ||||||||||
1,037,368 | Federal National Mortgage Association (07-88-FY), 1.451%, due 09/25/37 (2) | 1,043,790 | ||||||||||
7,969,091 | Federal National Mortgage Association (07-103-AI), | 901,254 | ||||||||||
19,884,715 | Federal National Mortgage Association (07-B2-ZA), 5.5%, due 06/25/37 | 22,293,470 | ||||||||||
7,772,311 | Federal National Mortgage Association (08-1-AI), | 1,340,660 | ||||||||||
6,356,906 | Federal National Mortgage Association (08-13-SB), | 1,233,045 | ||||||||||
12,156,702 | Federal National Mortgage Association (08-23-SB), | 2,003,824 | ||||||||||
1,133,744 | Federal National Mortgage Association (08-35-SD), | 152,836 | ||||||||||
18,716,637 | Federal National Mortgage Association (08-66-SG), | 3,183,482 | ||||||||||
6,648,691 | Federal National Mortgage Association (08-68-SA), | 818,532 | ||||||||||
3,230,599 | Federal National Mortgage Association (09-3-SH), | 376,742 |
See accompanying notes to financial statements.
57
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||||||
$ | 1,709,306 | Federal National Mortgage Association (09-47-SV), | $ | 258,273 | ||||||||
6,643,199 | Federal National Mortgage Association (09-51-SA), | 1,259,904 | ||||||||||
3,612,129 | Federal National Mortgage Association (09-6-SD), | 707,793 | ||||||||||
7,856,024 | Federal National Mortgage Association (09-68-KB), 4%, due 09/25/24 | 8,114,277 | ||||||||||
18,645,771 | Federal National Mortgage Association (09-71-LB), 4%, due 09/25/29 | 19,764,562 | ||||||||||
24,262,823 | Federal National Mortgage Association (09-72-AC), 4%, due 09/25/29 | 25,418,189 | ||||||||||
1,725,051 | Federal National Mortgage Association (09-72-JS), | 340,565 | ||||||||||
20,937,000 | Federal National Mortgage Association (10-136-CX), 4%, due 08/25/39 (PAC) | 22,337,932 | ||||||||||
50,000,000 | Federal National Mortgage Association (11-111-DB), 4%, due 11/25/41 | 52,685,545 | ||||||||||
4,303,347 | Federal National Mortgage Association (11-123-ZP), | 4,876,321 | ||||||||||
11,738,000 | Federal National Mortgage Association (12-128-UY), | 10,762,428 | ||||||||||
36,909,429 | Federal National Mortgage Association (12-133-GC), | 37,085,538 | ||||||||||
13,210,517 | Federal National Mortgage Association (12-153-PC), 2%, due 05/25/42 (PAC) | 12,907,008 | ||||||||||
9,601,113 | Federal National Mortgage Association (13-101-BO), | 7,565,188 | ||||||||||
22,299,210 | Federal National Mortgage Association (13-101-CO), | 17,834,984 | ||||||||||
19,545,768 | Federal National Mortgage Association (13-21-EC), 2%, due 12/25/38 (I/O) | 19,429,692 | ||||||||||
21,400,000 | Federal National Mortgage Association (13-95-PN), 3%, due 01/25/43 (PAC) | 21,475,680 | ||||||||||
82,466 | Federal National Mortgage Association (93-202-SZ), | 91,647 | ||||||||||
475,710 | Federal National Mortgage Association (95-21-C), 0%, due 05/25/24 (P/O) (3) | 450,921 | ||||||||||
33,230 | Federal National Mortgage Association (G92-29-J), 8%, due 07/25/22 | 36,572 | ||||||||||
4,934 | Federal National Mortgage Association, Pool #254442, 5.5%, due 09/01/17 | 4,952 | ||||||||||
150,104 | Federal National Mortgage Association, Pool #254634, 5.5%, due 02/01/23 | 166,312 | ||||||||||
2,103,946 | Federal National Mortgage Association, Pool #257536, 5%, due 01/01/29 | 2,303,977 | ||||||||||
850,945 | Federal National Mortgage Association, Pool #310033, 6%, due 07/01/47 | 935,814 | ||||||||||
4,850,726 | Federal National Mortgage Association, Pool #555424, 5.5%, due 05/01/33 | 5,414,262 | ||||||||||
175,601 | Federal National Mortgage Association, Pool #555811, 4%, due 10/01/18 | 182,242 | ||||||||||
40,760 | Federal National Mortgage Association, Pool #661856, | 40,617 | ||||||||||
84,214 | Federal National Mortgage Association, Pool #671133, | 87,013 | ||||||||||
51,590 | Federal National Mortgage Association, Pool #672272, | 54,079 | ||||||||||
111,927 | Federal National Mortgage Association, Pool #687847, | 117,745 | ||||||||||
800,330 | Federal National Mortgage Association, Pool #692104, | 827,905 |
See accompanying notes to financial statements.
58
TCW Total Return Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||||||
$ | 349,971 | Federal National Mortgage Association, Pool #699866, | $ | 365,272 | ||||||||
136,284 | Federal National Mortgage Association, Pool #704454, | 141,601 | ||||||||||
219,936 | Federal National Mortgage Association, Pool #708820, | 220,128 | ||||||||||
92,804 | Federal National Mortgage Association, Pool #725275, 4%, due 03/01/19 | 96,313 | ||||||||||
168,179 | Federal National Mortgage Association, Pool #728824, | 178,569 | ||||||||||
556,005 | Federal National Mortgage Association, Pool #734384, 5.5%, due 07/01/33 | 603,036 | ||||||||||
10,872 | Federal National Mortgage Association, Pool #785677, 5%, due 07/01/19 | 11,204 | ||||||||||
582,624 | Federal National Mortgage Association, Pool #888593, 7%, due 06/01/37 | 681,776 | ||||||||||
452,103 | Federal National Mortgage Association, Pool #934103, 5%, due 07/01/38 | 481,452 | ||||||||||
1,351,582 | Federal National Mortgage Association, Pool #979563, 5%, due 04/01/28 | 1,480,083 | ||||||||||
705,431 | Federal National Mortgage Association, Pool #995040, 5%, due 06/01/23 | 752,944 | ||||||||||
3,493,154 | Federal National Mortgage Association, Pool #995425, 6%, due 01/01/24 | 3,776,317 | ||||||||||
1,887,761 | Federal National Mortgage Association, Pool #995573, 6%, due 01/01/49 | 2,076,317 | ||||||||||
6,156,604 | Federal National Mortgage Association, Pool #995953, 6%, due 11/01/28 | 6,975,603 | ||||||||||
3,366,170 | Federal National Mortgage Association, Pool #995954, 6%, due 03/01/29 | 3,813,963 | ||||||||||
3,684,366 | Federal National Mortgage Association, Pool #AA3303, 5.5%, due 06/01/38 | 4,096,990 | ||||||||||
39,020,075 | Federal National Mortgage Association, Pool #AB6210, 3%, due 09/01/42 | 39,066,197 | ||||||||||
10,195,850 | Federal National Mortgage Association, Pool #AE0588, 6%, due 08/01/37 | 11,629,611 | ||||||||||
7,477,785 | Federal National Mortgage Association, Pool #AL0851, 6%, due 10/01/40 | 8,440,842 | ||||||||||
5,437,907 | Federal National Mortgage Association, Pool #AL1594, 6%, due 07/01/40 | 6,139,118 | ||||||||||
86,632,889 | Federal National Mortgage Association, Pool #AL9027, 4%, due 09/01/46 | 91,344,930 | ||||||||||
65,555,313 | Federal National Mortgage Association, Pool #AL9105, 4.5%, due 10/01/46 | 70,617,218 | ||||||||||
45,304,123 | Federal National Mortgage Association, Pool #AL9106, 4.5%, due 02/01/46 | 48,880,671 | ||||||||||
210,896,920 | Federal National Mortgage Association, Pool #AL9549, 4%, due 09/01/46 | 222,367,794 | ||||||||||
119,221,843 | Federal National Mortgage Association, Pool #AL9722, 4.5%, due 08/01/46 | 128,644,204 | ||||||||||
44,663,229 | Federal National Mortgage Association, Pool #AL9846, 4.5%, due 02/01/47 | 48,185,611 | ||||||||||
182,816,710 | Federal National Mortgage Association, Pool #AL9990, 4.5%, due 04/01/47 | 196,856,984 | ||||||||||
62,669,443 | Federal National Mortgage Association, Pool #BC1158, 3.5%, due 02/01/46 | 64,506,300 | ||||||||||
55,046,815 | Federal National Mortgage Association, Pool #MA1561, 3%, due 09/01/33 | 56,723,323 | ||||||||||
39,284,691 | Federal National Mortgage Association, Pool #MA1584, 3.5%, due 09/01/33 | 41,007,706 | ||||||||||
15,071,591 | Federal National Mortgage Association, Pool #MA2740, 2.5%, due 09/01/26 | 15,369,490 | ||||||||||
92,412,384 | Federal National Mortgage Association, Pool #MA2803, 2.5%, due 11/01/31 | 93,022,393 | ||||||||||
18,139,665 | Federal National Mortgage Association, Pool #MA2871, 3%, due 01/01/32 | 18,681,666 | ||||||||||
20,366,591 | Federal National Mortgage Association, Pool #MA2883, 3%, due 01/01/27 | 21,018,588 | ||||||||||
98,915,000 | Federal National Mortgage Association TBA, 3% (4) | 98,806,809 | ||||||||||
40,010,000 | Federal National Mortgage Association TBA, 5% (4) | 43,823,453 | ||||||||||
93,405,000 | Federal National Mortgage Association TBA, 4% (4) | 98,396,330 | ||||||||||
124,335,000 | Federal National Mortgage Association TBA, 4.5% (4) | 133,815,544 | ||||||||||
1,041,163 | Government National Mortgage Association (03-42-SH), | 189,001 | ||||||||||
13,605,852 | Government National Mortgage Association (11-70-BO), | 11,532,954 |
See accompanying notes to financial statements.
59
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||||||
$ | 16,982,111 | Government National Mortgage Association (15-42-ZB), 3%, due 03/20/45 | $ | 16,006,355 | ||||||||
37,325,347 | Government National Mortgage Association (15-43-DM), 2.5%, due 03/20/45 | 33,374,216 | ||||||||||
11,491,945 | Government National Mortgage Association (15-44-Z), 3%, due 03/20/45 | 10,563,162 | ||||||||||
10,142,179 | Government National Mortgage Association (15-52-EZ), 3%, due 04/16/45 | 9,088,491 | ||||||||||
340,949 | Government National Mortgage Association II, Pool #80963, | 349,735 | ||||||||||
109,216,643 | Government National Mortgage Association II, Pool #MA3521, | 113,555,821 | ||||||||||
53,194,647 | Government National Mortgage Association II, Pool #MA3663, | 55,302,367 | ||||||||||
66,620,114 | Government National Mortgage Association II, Pool #MA3736, | 69,262,478 | ||||||||||
15,185,759 | Government National Mortgage Association II, Pool #MA3803, | 15,797,727 | ||||||||||
126,677,238 | Government National Mortgage Association II, Pool #MA4126, | 128,534,534 | ||||||||||
90,555,000 | Government National Mortgage Association II TBA, 3% (4) | 91,750,609 | ||||||||||
237,395,000 | Government National Mortgage Association II TBA, 4% (4) | 251,045,220 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $4,898,352,529) | 4,930,443,589 | |||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — Non-Agency (17.1%) | ||||||||||||
12,437,488 | ACE Securities Corp. (06-ASP1-A2D), 1.611%, due 12/25/35 (2) | 12,386,076 | ||||||||||
17,089,787 | ACE Securities Corp. (07-ASP1-A2C), 1.251%, due 03/25/37 (2) | 9,969,080 | ||||||||||
9,185,579 | ACE Securities Corp. (07-ASP1-A2D), 1.371%, due 03/25/37 (2) | 5,416,331 | ||||||||||
1,209,480 | Adjustable Rate Mortgage Trust (04-5-3A1), 3.655%, due 04/25/35 (2) | 1,221,811 | ||||||||||
14,116,297 | Ameriquest Mortgage Securities, Inc. (05-R10-A2C), 1.321%, due 01/25/36 (2) | 14,042,888 | ||||||||||
2,698,444 | Asset-Backed Funding Certificates (05-HE2-M2), 1.741%, due 06/25/35 (2) | 2,689,610 | ||||||||||
8,747,000 | Asset-Backed Funding Certificates (07-NC1-A2), (144A), | 6,941,305 | ||||||||||
17,642,248 | Asset-Backed Funding Certificates (07-WMC1-A2A), 1.741%, due 06/25/37 (2) | 13,699,676 | ||||||||||
745,854 | Banc of America Funding Corp. (04-B-3A1), 3.428%, due 12/20/34 (2) | 376,175 | ||||||||||
96,337 | Banc of America Funding Corp. (06-D-2A1), 4.701%, due 05/20/36 (2)(5) | 86,785 | ||||||||||
4,876,051 | Banc of America Funding Corp. (06-D-3A1), 3.263%, due 05/20/36 (2)(5) | 4,307,597 | ||||||||||
9,771,556 | Banc of America Funding Corp. (06-G-2A1), 1.213%, due 07/20/36 (2) | 9,694,583 | ||||||||||
7,901,243 | Banc of America Funding Corp. (15-R8-1A1), (144A), | 7,592,050 | ||||||||||
1,319,295 | Banc of America Funding Trust (06-3-4A14), 6%, due 03/25/36 | 1,338,493 | ||||||||||
5,013,061 | Banc of America Funding Trust (06-3-5A3), 5.5%, due 03/25/36 (5) | 4,679,283 | ||||||||||
910,197 | BCAP LLC Trust (07-AA1-1A2), 1.151%, due 02/25/47 (2) | 905,448 | ||||||||||
19,030,500 | BCAP LLC Trust (08-IND2-A1), 2.641%, due 04/25/38 (2) | 18,826,703 | ||||||||||
35,323 | BCAP LLC Trust (09-RR1-21A1), (144A), 3.057%, due 11/26/34 (1)(2) | 35,435 | ||||||||||
393,454 | BCAP LLC Trust (09-RR1-22A1), (144A), 3.091%, due 05/26/35 (1)(2) | 394,514 | ||||||||||
255,335 | BCAP LLC Trust (09-RR1-23A1), (144A), 3.131%, due 05/26/35 (1)(2) | 255,887 | ||||||||||
518,303 | BCAP LLC Trust (11-RR3-1A5), (144A), 3.557%, due 05/27/37 (1)(2) | 517,819 | ||||||||||
1,125,491 | BCAP LLC Trust (11-RR3-5A3), (144A), 3.254%, due 11/27/37 (1)(2) | 1,126,872 |
See accompanying notes to financial statements.
60
TCW Total Return Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||||
$ | 4,095,225 | BCAP LLC Trust (11-RR4-2A3), (144A), 3.618%, due 06/26/47 (1)(2) | $ | 4,095,602 | ||||||||
3,506,734 | BCAP LLC Trust (11-RR4-3A3), (144A), 3.275%, due 07/26/36 (1)(2) | 3,463,954 | ||||||||||
2,434,597 | BCAP LLC Trust (11-RR5-1A3), (144A), 2.997%, due 03/26/37 (1)(2) | 2,436,562 | ||||||||||
10,355,987 | BCAP LLC Trust (11-RR9-7A1), (144A), 2.743%, due 04/26/37 (1)(2) | 10,287,685 | ||||||||||
2,634,401 | BCAP LLC Trust (12-RR2-9A3), (144A), 3.165%, due 03/26/35 (1)(2) | 2,610,332 | ||||||||||
4,844,762 | BCAP LLC Trust (12-RR8-3A1), (144A), 3.156%, due 08/26/36 (1)(2) | 4,852,424 | ||||||||||
515,741 | BCAP LLC Trust (12-RR9-1A1), (144A), 1.162%, due 07/26/35 (1)(2) | 514,713 | ||||||||||
3,436,243 | BCAP LLC Trust (13-RR2-6A1), (144A), 3%, due 06/26/37 (1)(2) | 3,434,057 | ||||||||||
1,406,399 | Bear Stearns Alt-A Trust (04-13-A1), 1.731%, due 11/25/34 (2) | 1,383,845 | ||||||||||
5,972 | Bear Stearns Alt-A Trust (05-2-2A4), 3.337%, due 04/25/35 (2) | 5,813 | ||||||||||
7,818,032 | Bear Stearns Alt-A Trust (05-4-23A1), 3.58%, due 05/25/35 (2) | 7,561,711 | ||||||||||
656,809 | Bear Stearns Alt-A Trust (06-4-32A1), 3.267%, due 07/25/36 (2)(5) | 517,758 | ||||||||||
1,259,824 | Bear Stearns ARM Trust (04-12-1A1), 3.444%, due 02/25/35 (2) | 1,225,929 | ||||||||||
9,297,552 | Bear Stearns ARM Trust (05-10-A3), 3.134%, due 10/25/35 (2) | 9,528,776 | ||||||||||
2,696,784 | Bear Stearns ARM Trust (06-2-2A1), 3.37%, due 07/25/36 (2)(5) | 2,621,466 | ||||||||||
363,865 | Bear Stearns ARM Trust (07-1-2A1), 3.379%, due 02/25/47 (2)(5) | 306,290 | ||||||||||
1,708,886 | Bear Stearns ARM Trust (07-5-3A1), 4.728%, due 08/25/47 (2)(5) | 1,628,837 | ||||||||||
2,175,548 | Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A3), | 2,152,312 | ||||||||||
4,651,691 | Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A4), | 4,602,314 | ||||||||||
838,444 | Bear Stearns Mortgage Funding Trust (06-AR3-1A1), 1.171%, due 10/25/36 (2) | 730,206 | ||||||||||
7,515,398 | Carrington Mortgage Loan Trust (05-NC5-A3), 1.411%, due 10/25/35 (2) | 7,419,358 | ||||||||||
1,146,697 | Chase Mortgage Finance Corp. (06-A1-2A1), 3.161%, due 09/25/36 (2)(5) | 1,051,030 | ||||||||||
5,897,692 | Chase Mortgage Finance Corp. (07-A1-8A1), 3.24%, due 02/25/37 (2) | 5,982,507 | ||||||||||
4,360,200 | Chaseflex Trust (05-1-1A5), 6.5%, due 02/25/35 | 4,250,051 | ||||||||||
17,207,925 | Chaseflex Trust (06-1-A3), 6.295%, due 06/25/36 (2)(5) | 17,271,692 | ||||||||||
24,332,629 | CIM Trust (15-3AG-A1), (144A), 2.733%, due 10/25/57 (1)(2) | 24,563,230 | ||||||||||
33,352,517 | CIM Trust (15-4AG-A1), (144A), 2.983%, due 10/25/57 (1)(2) | 33,473,553 | ||||||||||
50,083,784 | CIM Trust (16-4-A1), (144A), 2.983%, due 10/25/57 (1)(2) | 50,870,941 | ||||||||||
1,021,833 | Citicorp Mortgage Securities Trust, Inc. (07-4-3A1), 5.5%, due 05/25/37 | 1,009,234 | ||||||||||
2,906,756 | Citicorp Residential Mortgage Trust, Inc. (06-2-A4), 5.654%, due 09/25/36 | 2,988,092 | ||||||||||
6,400,215 | Citigroup Mortgage Loan Trust, Inc. (06-AR5-1A1A), 3.346%, due 07/25/36 (2)(5) | 5,334,672 | ||||||||||
4,635,323 | Citigroup Mortgage Loan Trust, Inc. (06-WFH2-A2A), 1.141%, due 08/25/36 (2) | 4,608,661 | ||||||||||
4,223,891 | Citigroup Mortgage Loan Trust, Inc. (07-12-2A1), (144A), | 3,074,209 | ||||||||||
884,328 | Citigroup Mortgage Loan Trust, Inc. (08-AR4-1A1A), (144A), | 890,486 | ||||||||||
230,481 | Citigroup Mortgage Loan Trust, Inc. (09-5-7A1), (144A), | 229,966 | ||||||||||
795,675 | Citigroup Mortgage Loan Trust, Inc. (10-4-4A5), (144A), 5%, due 10/25/35 (1) | 806,388 | ||||||||||
4,833,272 | Citigroup Mortgage Loan Trust, Inc. (14-10-2A1), (144A), | 4,729,565 | ||||||||||
620,199 | CitiMortgage Alternative Loan Trust (05-A1-2A1), 5%, due 07/25/20 | 625,708 | ||||||||||
4,166,684 | Conseco Financial Corp. (99-2-A7), 6.44%, due 12/01/30 | 4,351,303 | ||||||||||
670,125 | Countrywide Alternative Loan Trust (05-20CB-4A1), 5.25%, due 07/25/20 (5) | 657,769 |
See accompanying notes to financial statements.
61
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||||
$ | 354,988 | Countrywide Alternative Loan Trust (05-84-1A1), 3.297%, due 02/25/36 (2)(5) | $ | 248,128 | ||||||||
1,251,569 | Countrywide Alternative Loan Trust (05-J1-2A1), 5.5%, due 02/25/25 | 1,270,686 | ||||||||||
16,601,897 | Countrywide Alternative Loan Trust (06-HY12-A5), 3.018%, due 08/25/36 (2) | 16,290,605 | ||||||||||
756,058 | Countrywide Alternative Loan Trust (06-J3-3A1), 5.5%, due 04/25/21 | 744,730 | ||||||||||
9,167,438 | Countrywide Home Loans Mortgage Pass-Through Trust (04-13-1A3), | 9,445,107 | ||||||||||
14,635,843 | Countrywide Home Loans Mortgage Pass-Through Trust (05-9-1A1), | 12,468,866 | ||||||||||
42,605 | Countrywide Home Loans Mortgage Pass-Through Trust (05-HYB5-4A1), 3.104%, due 09/20/35 (2)(5) | 35,287 | ||||||||||
13,556 | Countrywide Home Loans Mortgage Pass-Through Trust (07-HY5-1A1), 3.307%, due 09/25/47 (2)(5) | 12,356 | ||||||||||
60,597 | Countrywide Home Loans Mortgage Pass-Through Trust (07-HYB1-1A1), 3.09%, due 03/25/37 (2)(5) | 47,416 | ||||||||||
51,781 | Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA), | 52,933 | ||||||||||
2,854,858 | Credit Suisse First Boston Mortgage Securities Corp. (05-11-1A1), | 2,160,421 | ||||||||||
10,205,591 | Credit Suisse First Boston Mortgage Securities Corp. (05-12-1A1), | 7,369,203 | ||||||||||
11,436,952 | Credit Suisse Mortgage Capital Certificates (15-5R-2A1), (144A), | 11,170,972 | ||||||||||
4,284,275 | Credit Suisse Mortgage Trust (13-7R-4A1), (144A), 1.151%, due 07/26/36 (1)(2) | 4,043,664 | ||||||||||
4,729,806 | Credit-Based Asset Servicing and Securitization LLC (06-CB1-AF2), | 3,736,873 | ||||||||||
33,296,515 | Credit-Based Asset Servicing and Securitization LLC (06-CB7-A4), | 22,888,788 | ||||||||||
18,474,111 | Credit-Based Asset Servicing and Securitization LLC (06-CB9-A4), | 11,060,957 | ||||||||||
4,300,641 | Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2B), | 3,175,608 | ||||||||||
14,793,378 | Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2C), | 10,922,171 | ||||||||||
5,527,772 | CSMC Mortgage-Backed Trust (06-8-3A1), 6%, due 10/25/21 (5) | 5,238,131 | ||||||||||
4,123,620 | CSMC Mortgage-Backed Trust (06-9-5A1), 5.5%, due 11/25/36 (5) | 4,069,669 | ||||||||||
10,938,262 | CSMC Mortgage-Backed Trust (07-2-3A4), 5.5%, due 03/25/37 (5) | 10,012,945 | ||||||||||
8,577,435 | CSMC Mortgage-Backed Trust (14-11R-11A1), (144A), | 8,826,810 | ||||||||||
551,349 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AR6-A6), | 450,341 | ||||||||||
3,909,198 | DSLA Mortgage Loan Trust (05-AR6-2A1A), 1.284%, due 10/19/45 (2) | 3,689,540 | ||||||||||
34,732,383 | DSLA Mortgage Loan Trust (06-AR2-2A1A), 1.194%, due 10/19/36 (2) | 29,686,584 | ||||||||||
10,362,559 | DSLA Mortgage Loan Trust (07-AR1-2A1A), 1.134%, due 04/19/47 (2) | 9,108,906 | ||||||||||
4,812,581 | Fieldstone Mortgage Investment Corp. (07-1-2A2), 1.261%, due 04/25/47 (2) | 3,512,284 | ||||||||||
26,268,118 | First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2C), | 17,659,073 |
See accompanying notes to financial statements.
62
TCW Total Return Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||||
$ | 15,415,027 | First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2D), | $ | 10,441,438 | ||||||||
6,267,386 | First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2C), | 4,044,030 | ||||||||||
26,284,758 | First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2D), | 17,574,978 | ||||||||||
5,068,000 | First Franklin Mortgage Loan Trust (06-FF9-2A4), 1.241%, due 06/25/36 (2) | 3,372,111 | ||||||||||
6,239,579 | First Horizon Alternative Mortgage Securities Trust (05-AA3-3A1), | 6,146,691 | ||||||||||
4,549,871 | First Horizon Alternative Mortgage Securities Trust (05-AA7-1A1), | 4,087,274 | ||||||||||
4,285,733 | First Horizon Alternative Mortgage Securities Trust (05-AA7-2A1), | 3,916,738 | ||||||||||
15,619,598 | First Horizon Alternative Mortgage Securities Trust (06-AA7-A1), | 13,317,097 | ||||||||||
17,099,999 | Fremont Home Loan Trust (05-E-2A4), 1.321%, due 01/25/36 (2) | 15,440,396 | ||||||||||
4,187,973 | Fremont Home Loan Trust (06-1-2A3), 1.171%, due 04/25/36 (2) | 4,000,608 | ||||||||||
3,869,308 | GMAC Mortgage Loan Trust (05-AR5-2A1), 3.526%, due 09/19/35 (2) | 3,478,937 | ||||||||||
712,421 | GreenPoint Mortgage Funding Trust (05-AR3-1A1), 1.231%, due 08/25/45 (2) | 611,558 | ||||||||||
4,930,396 | GreenPoint Mortgage Funding Trust (06-AR5-A2A2), 1.141%, due 10/25/46 (2)(5) | 4,914,778 | ||||||||||
843,924 | GS Mortgage Securities Corp. (09-1R-3A1), (144A), 3.181%, due 11/25/35 (1)(2) | 845,541 | ||||||||||
1,850,205 | GSAA Home Equity Trust (05-7-AF5), 4.611%, due 05/25/35 | 1,868,959 | ||||||||||
1,162,375 | GSAA Home Equity Trust (05-9-2A3), 1.361%, due 08/25/35 (2) | 1,149,043 | ||||||||||
3,917,784 | GSR Mortgage Loan Trust (04-9-3A1), 3.142%, due 08/25/34 (2) | 4,061,507 | ||||||||||
16,057,525 | GSR Mortgage Loan Trust (07-3F-3A7), 6%, due 05/25/37 (5) | 15,195,927 | ||||||||||
1,549,981 | GSR Mortgage Loan Trust (07-AR2-2A1), 3.129%, due 05/25/37 (2) | 1,378,742 | ||||||||||
2,566,649 | GSR Mortgage Loan Trust (07-AR2-5A1A), 3.158%, due 05/25/37 (2)(5) | 2,276,473 | ||||||||||
3,304,342 | Harborview Mortgage Loan Trust (05-9-2A1A), 1.333%, due 06/20/35 (2) | 3,202,966 | ||||||||||
20,241,546 | Harborview Mortgage Loan Trust (06-8-2A1A), 1.181%, due 07/21/36 (2) | 16,341,269 | ||||||||||
1,084,366 | Home Equity Asset Trust (05-8-2A4), 1.351%, due 02/25/36 (2) | 1,086,447 | ||||||||||
2,336,042 | Homestar Mortgage Acceptance Corp. (04-3-AV2C), 1.571%, due 07/25/34 (2) | 2,324,865 | ||||||||||
462,950 | Homestar Mortgage Acceptance Corp. (04-5-A1), 1.891%, due 10/25/34 (2) | 462,815 | ||||||||||
1,102,908 | HSI Asset Loan Obligation Trust (07-2-2A12), 6%, due 09/25/37 | 1,006,908 | ||||||||||
9,202 | Impac CMB Trust (04-5-1A1), 1.711%, due 10/25/34 (2) | 8,852 | ||||||||||
1,543,211 | Impac CMB Trust (05-1-1A1), 1.511%, due 04/25/35 (2) | 1,434,297 | ||||||||||
7,839,105 | Impac CMB Trust (05-5-A2), 1.431%, due 08/25/35 (2) | 6,867,696 | ||||||||||
9,082,566 | Indymac Index Mortgage Loan Trust (04-AR4-2A), 3.183%, due 08/25/34 (2) | 9,068,221 | ||||||||||
1,242,762 | Indymac Index Mortgage Loan Trust (04-AR9-4A), 2.553%, due 11/25/34 (2) | 1,025,474 | ||||||||||
6,209,954 | Indymac Index Mortgage Loan Trust (05-AR17-3A1), 3.121%, due 09/25/35 (2)(5) | 5,551,112 | ||||||||||
4,815,728 | Indymac Index Mortgage Loan Trust (05-AR23-2A1), 3.106%, due 11/25/35 (2)(5) | 4,233,495 | ||||||||||
5,721,955 | Indymac Index Mortgage Loan Trust (05-AR23-6A1), 3.18%, due 11/25/35 (2)(5) | 4,790,416 | ||||||||||
3,023,789 | Indymac Index Mortgage Loan Trust (05-AR25-2A1), 3.111%, due 12/25/35 (2)(5) | 2,680,986 | ||||||||||
4,247,036 | Indymac Index Mortgage Loan Trust (05-AR7-2A1), 2.906%, due 06/25/35 (2) | 3,582,233 | ||||||||||
11,101,058 | Indymac Index Mortgage Loan Trust (06-AR39-A1), 1.171%, due 02/25/37 (2) | 9,722,593 | ||||||||||
28,390 | Indymac Index Mortgage Loan Trust (07-AR11-1A1), 2.847%, due 06/25/37 (2)(5) | 21,437 | ||||||||||
21,945,126 | Indymac Index Mortgage Loan Trust (07-AR5-2A1), 3.463%, due 05/25/37 (2)(5) | 18,185,702 |
See accompanying notes to financial statements.
63
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||||
$ | 5,319,960 | Indymac Index Mortgage Loan Trust (07-AR7-1A1), | $ | 4,922,243 | ||||||||
6,889,509 | Indymac Index Mortgage Loan Trust (07-FLX1-A2), | 6,795,224 | ||||||||||
232,817 | Jefferies & Co., Inc. (09-R3-1A1), (144A), 3.015%, due 12/26/35 (1)(2)(5) | 234,539 | ||||||||||
9,049,265 | JPMorgan Alternative Loan Trust (06-A2-5A1), 3.302%, due 05/25/36 (2)(5) | 6,274,778 | ||||||||||
5,186,219 | JPMorgan Alternative Loan Trust (06-A4-A8), 3.211%, due 09/25/36 (2)(5) | 5,539,203 | ||||||||||
8,281,088 | JPMorgan Mortgage Acquisition Corp. (06-CH2-AF4), | 6,409,204 | ||||||||||
26,490,476 | JPMorgan Mortgage Acquisition Corp. (07-CH4-A4), | 25,719,518 | ||||||||||
580,391 | JPMorgan Mortgage Trust (05-A6-7A1), 3.183%, due 08/25/35 (2)(5) | 557,741 | ||||||||||
3,699,664 | JPMorgan Mortgage Trust (06-A2-5A3), 3.117%, due 11/25/33 (2) | 3,740,342 | ||||||||||
726,359 | JPMorgan Mortgage Trust (06-A4-1A4), 3.421%, due 06/25/36 (2)(5) | 671,081 | ||||||||||
32,936 | JPMorgan Mortgage Trust (06-A7-2A4R), | 30,527 | ||||||||||
1,314,741 | JPMorgan Mortgage Trust (06-S2-2A2), 5.875%, due 06/25/21 | 1,289,437 | ||||||||||
110,524 | JPMorgan Resecuritization Trust Series (10-5-3A1), (144A), | 110,737 | ||||||||||
1,016,201 | JPMorgan Resecuritization Trust Series (12-3-A3), (144A), | 1,012,457 | ||||||||||
7,254,411 | JPMorgan Resecuritization Trust Series (14-6-3A1), (144A), | 7,101,947 | ||||||||||
1,043,224 | Lehman Mortgage Trust (05-1-6A1), 5%, due 11/25/20 | 744,233 | ||||||||||
2,682,882 | Lehman Mortgage Trust (06-4-4A1), 6%, due 08/25/21 (5) | 2,607,664 | ||||||||||
1,347,761 | Lehman Mortgage Trust (07-10-4A1), 6%, due 01/25/27 (5) | 983,381 | ||||||||||
20,542,032 | Lehman XS Trust (06-10N-1A3A), 1.201%, due 07/25/46 (2)(5) | 18,436,469 | ||||||||||
14 | Lehman XS Trust (06-12N-A2A1), 1.141%, due 08/25/46 (2) | 14 | ||||||||||
7,015,802 | Lehman XS Trust (06-12N-A31A), 1.191%, due 08/25/46 (2)(5) | 5,534,936 | ||||||||||
4,963,856 | Lehman XS Trust (06-13-1A2), 1.161%, due 09/25/36 (2)(5) | 4,575,633 | ||||||||||
12,185,076 | Lehman XS Trust (06-9-A1B), 1.151%, due 05/25/46 (2)(5) | 11,433,252 | ||||||||||
4,675 | Lehman XS Trust (06-GP1-A2A), 1.161%, due 05/25/46 (2) | 5,099 | ||||||||||
26 | Lehman XS Trust (06-GP4-3A2A), 1.151%, due 08/25/46 (2) | 27 | ||||||||||
2 | Lehman XS Trust (07-4N-1A1), 1.121%, due 03/25/47 (2) | 2 | ||||||||||
9,921,479 | Long Beach Mortgage Loan Trust (06-WL1-1A3), 1.321%, due 01/25/46 (2) | 9,763,846 | ||||||||||
14,950,000 | Long Beach Mortgage Loan Trust (06-WL1-2A4), 1.331%, due 01/25/46 (2) | 13,220,113 | ||||||||||
1,486,352 | Luminent Mortgage Trust (07-2-1A3), 1.211%, due 05/25/37 (2)(5) | 1,468,710 | ||||||||||
6,027,651 | Madison Avenue Manufactured Housing Contract (02-A-B1), | 6,135,621 | ||||||||||
5,855,103 | MASTR Adjustable Rate Mortgages Trust (04-9-M1), | 5,827,354 | ||||||||||
6,828,251 | MASTR Alternative Loans Trust (05-4-1A1), 6.5%, due 05/25/35 | 6,624,450 | ||||||||||
73,400 | MASTR Alternative Loans Trust (06-2-2A1), 1.391%, due 03/25/36 (2)(5) | 15,411 | ||||||||||
63,016 | MASTR Asset Securitization Trust (06-3-2A1), 1.441%, due 10/25/36 (2)(5) | 36,635 | ||||||||||
178,707 | MASTR Asset-Backed Securities Trust (06-AB1-A2), | 178,779 |
See accompanying notes to financial statements.
64
TCW Total Return Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||||
$ | 1,805,578 | MASTR Asset-Backed Securities Trust (06-AB1-A4), 5.719%, due 02/25/36 | $ | 1,799,582 | ||||||||
4,619,772 | MASTR Asset-Backed Securities Trust (06-HE1-A4), | 4,508,465 | ||||||||||
23,444,755 | MASTR Asset-Backed Securities Trust (06-HE5-A3), | 14,977,206 | ||||||||||
11,035 | MASTR Seasoned Securitization Trust (04-1-4A1), 3.134%, due 10/25/32 (2) | 11,088 | ||||||||||
2,225,596 | Merrill Lynch Alternative Note Asset Trust (07-A1-A2C), | 990,547 | ||||||||||
1,144,846 | Merrill Lynch Alternative Note Asset Trust (07-A1-A3), | 500,035 | ||||||||||
8,974,097 | Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2B), | 5,096,539 | ||||||||||
31,405,550 | Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2C), | 18,066,328 | ||||||||||
7,740,077 | Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2D), | 4,516,216 | ||||||||||
6,967,689 | Merrill Lynch First Franklin Mortgage Loan Trust (07-2-A2C), | 4,165,745 | ||||||||||
3,380,003 | Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2B), | 2,482,817 | ||||||||||
41,810,362 | Merrill Lynch First Franklin Mortgage Loan Trust (07-4-2A3), | 26,165,265 | ||||||||||
2,600,871 | Merrill Lynch Mortgage-Backed Securities Trust (07-2-1A1), | 2,401,872 | ||||||||||
3,875,268 | Mid-State Trust (05-1-A), 5.745%, due 01/15/40 | 4,174,656 | ||||||||||
945,173 | Morgan Stanley ABS Capital I, Inc. Trust (04-NC8-M2), | 915,483 | ||||||||||
3,687,576 | Morgan Stanley ABS Capital I, Inc. Trust (05-HE3-M3), | 3,676,978 | ||||||||||
1,027,768 | Morgan Stanley Home Equity Loan Trust (05-2-M3), | 1,031,434 | ||||||||||
4,108,979 | Morgan Stanley Home Equity Loan Trust (06-2-A4), | 3,968,448 | ||||||||||
2,922,170 | Morgan Stanley Mortgage Loan Trust (05-6AR-1A1), | 2,914,863 | ||||||||||
1,152,488 | Morgan Stanley Mortgage Loan Trust (07-3XS-2A6), 5.763%, due 01/25/47 | 618,372 | ||||||||||
4,234,341 | Morgan Stanley Mortgage Loan Trust (07-7AX-2A1), | 1,978,454 | ||||||||||
10,480,088 | Morgan Stanley REREMIC Trust (13-R2-1A), (144A), | 10,444,883 | ||||||||||
1,870,549 | Morgan Stanley REREMIC Trust (13-R3-12A), (144A), | 1,874,425 | ||||||||||
11,094,625 | Morgan Stanley Resecuritization Trust (14-R2-2A), (144A), | 11,079,741 | ||||||||||
8,721,121 | MortgageIT Trust (05-3-A1), 1.291%, due 08/25/35 (2) | 8,285,908 | ||||||||||
4,414,279 | MortgageIT Trust (05-4-A1), 1.271%, due 10/25/35 (2) | 4,191,285 |
See accompanying notes to financial statements.
65
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||||
$ | 10,000,000 | Nationstar Home Equity Loan Trust (07-B-2AV3), 1.241%, due 04/25/37 (2) | $ | 9,674,697 | ||||||||
4,865,650 | New Century Home Equity Loan Trust (05-1-A1SS), | 4,878,943 | ||||||||||
256,138 | Nomura Resecuritization Trust (12-3R-1A1), (144A), | 257,025 | ||||||||||
8,866,331 | Nomura Resecuritization Trust (15-1R-2A1), (144A), | 8,863,934 | ||||||||||
7,387,109 | Nomura Resecuritization Trust (15-2R-1A1), (144A), | 7,358,797 | ||||||||||
11,519,896 | Nomura Resecuritization Trust (15-4R-2A1), (144A), | 11,189,075 | ||||||||||
4,480,261 | Nomura Resecuritization Trust (15-4R-3A1), (144A), | 4,521,937 | ||||||||||
13,219,349 | Nomura Resecuritization Trust (15-5R-2A1), (144A), | 13,320,221 | ||||||||||
5,659,749 | Nomura Resecuritization Trust (15-7R-2A1), (144A), | 5,789,478 | ||||||||||
3,458,515 | Oakwood Mortgage Investors, Inc. (02-A-A4), 6.97%, due 03/15/32 (2) | 3,706,629 | ||||||||||
5,516,804 | Oakwood Mortgage Investors, Inc. (99-E-A1), 7.608%, due 03/15/30 (2) | 4,806,931 | ||||||||||
8,588,778 | Opteum Mortgage Acceptance Corp. (06-1-2A1), 5.75%, due 04/25/36 (2) | 8,738,548 | ||||||||||
19,300,000 | Ownit Mortgage Loan Asset-Backed Certificates (06-3-A2D), | 16,283,144 | ||||||||||
20,088,499 | Ownit Mortgage Loan Asset-Backed Certificates (06-6-A2C), | 11,765,152 | ||||||||||
1,644,151 | Park Place Securities, Inc. (05-WCH1-M2), 1.771%, due 01/25/36 (2) | 1,644,927 | ||||||||||
3,884,958 | Prime Mortgage Trust (06-1-1A1), 5.5%, due 06/25/36 (5) | 3,897,190 | ||||||||||
4,448,747 | RAAC Series Trust (05-SP1-4A1), 7%, due 09/25/34 | 4,614,899 | ||||||||||
2,258,507 | RAAC Series Trust (07-SP1-A3), 1.471%, due 03/25/37 (2) | 2,208,136 | ||||||||||
1,093,027 | RALI Trust (05-QA13-2A1), 4.188%, due 12/25/35 (2)(5) | 957,375 | ||||||||||
4,435,150 | RALI Trust (05-QA7-A21), 3.555%, due 07/25/35 (2)(5) | 4,095,889 | ||||||||||
8,005,325 | RALI Trust (06-QA3-A1), 1.191%, due 04/25/36 (2)(5) | 7,605,657 | ||||||||||
8,012,143 | Residential Accredit Loans, Inc. (05-QA8-CB21), | 6,534,982 | ||||||||||
1,430,267 | Residential Accredit Loans, Inc. (05-QS7-A1), 5.5%, due 06/25/35 (5) | 1,286,023 | ||||||||||
26,845 | Residential Accredit Loans, Inc. (06-QA1-A21), 4.307%, due 01/25/36 (2)(5) | 22,538 | ||||||||||
22,579,924 | Residential Accredit Loans, Inc. (06-QA10-A2), 1.171%, due 12/25/36 (2) | 19,387,436 | ||||||||||
32,067 | Residential Accredit Loans, Inc. (06-QA2-1A1), 1.241%, due 02/25/36 (2)(5) | 24,422 | ||||||||||
58,386,193 | Residential Accredit Loans, Inc. (06-QS10-AV), | 1,393,667 | ||||||||||
56,957,515 | Residential Accredit Loans, Inc. (06-QS11-AV), | 898,556 | ||||||||||
7,704,799 | Residential Accredit Loans, Inc. (06-QS5-A5), 6%, due 05/25/36 (5) | 6,653,450 | ||||||||||
75,549,434 | Residential Accredit Loans, Inc. (06-QS6-1AV), | 2,234,307 | ||||||||||
17,205,007 | Residential Accredit Loans, Inc. (06-QS7-AV), | 425,685 |
See accompanying notes to financial statements.
66
TCW Total Return Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||||||||
$ | 3,846,230 | Residential Accredit Loans, Inc. (07-QS1-2AV), | $ | 28,425 | ||||||||||||
28,942,226 | Residential Accredit Loans, Inc. (07-QS2-AV), 0.327%, due 01/25/37 (I/O) (2) | 404,965 | ||||||||||||||
114,904,154 | Residential Accredit Loans, Inc. (07-QS3-AV), 0.35%, due 02/25/37 (I/O) (2) | 1,781,290 | ||||||||||||||
13,165,651 | Residential Accredit Loans, Inc. (07-QS4-3AV), | 174,773 | ||||||||||||||
18,456,693 | Residential Accredit Loans, Inc. (07-QS5-AV), 0.254%, due 03/25/37 (I/O) (2) | 235,581 | ||||||||||||||
4,126,081 | Residential Accredit Loans, Inc. (07-QS6-A45), 5.75%, due 04/25/37 (5) | 3,341,162 | ||||||||||||||
27,519,700 | Residential Accredit Loans, Inc. (07-QS8-AV), 0.396%, due 06/25/37 (I/O) (2) | 441,214 | ||||||||||||||
37,285 | Residential Funding Mortgage Securities I (05-SA5-2A), | 34,085 | ||||||||||||||
922,391 | Residential Funding Mortgage Securities I (06-S9-A3), | 792,888 | ||||||||||||||
10,103,917 | Residential Funding Mortgage Securities I (07-S2-A9), 6%, due 02/25/37 (5) | 9,447,654 | ||||||||||||||
34,361 | Residential Funding Mortgage Securities I (07-SA2-2A2), | 31,463 | ||||||||||||||
10,892,690 | Saxon Asset Securities Trust (06-2-A2), 1.121%, due 09/25/36 (2) | 10,875,719 | ||||||||||||||
15,574,488 | Saxon Asset Securities Trust (06-3-A3), 1.161%, due 10/25/46 (2) | 13,268,229 | ||||||||||||||
21,736,250 | Saxon Asset Securities Trust (07-2-A2D), 1.291%, due 05/25/47 (2) | 16,290,856 | ||||||||||||||
3,494,918 | Securitized Asset-Backed Receivables LLC Trust (07-BR1-A2C), | 1,997,262 | ||||||||||||||
45,376,683 | Securitized Asset-Backed Receivables LLC Trust (07-BR2-A2), | 29,980,218 | ||||||||||||||
20,381,808 | Securitized Asset-Backed Receivables LLC Trust (07-NC2-A2B), | 14,649,390 | ||||||||||||||
1,105,467 | Sequoia Mortgage Trust (03-8-A1), 1.633%, due 01/20/34 (2) | 1,065,347 | ||||||||||||||
1,407,229 | SG Mortgage Securities Trust (05-OPT1-A3), 1.341%, due 10/25/35 (2) | 1,405,083 | ||||||||||||||
23,928,685 | SG Mortgage Securities Trust (07-NC1-A2), (144A), | 14,982,717 | ||||||||||||||
4,691,157 | Soundview Home Equity Loan Trust (06-2-A4), 1.261%, due 03/25/36 (2) | 4,697,563 | ||||||||||||||
10,400,000 | Soundview Home Equity Loan Trust (06-OPT4-2A4), | 8,806,364 | ||||||||||||||
4,000,000 | Soundview Home Equity Loan Trust (07-OPT3-2A4), | 2,868,720 | ||||||||||||||
207,783 | Specialty Underwriting & Residential Finance (05-BC4-A2C), | 208,015 | ||||||||||||||
22,519 | Specialty Underwriting & Residential Finance (06-AB3-A2B), | 13,776 | ||||||||||||||
3,126,345 | Structured Adjustable Rate Mortgage Loan Trust (04-12-2A), | 3,081,452 | ||||||||||||||
5,121,489 | Structured Adjustable Rate Mortgage Loan Trust (04-14-2A), | 5,198,514 | ||||||||||||||
7,203,392 | Structured Adjustable Rate Mortgage Loan Trust (05-16XS-A2A), | 7,094,752 | ||||||||||||||
637,036 | Structured Adjustable Rate Mortgage Loan Trust (06-2-5A1), | 527,698 |
See accompanying notes to financial statements.
67
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||||
$ | 2,649,299 | Structured Adjustable Rate Mortgage Loan Trust (06-4-5A1), | $ | 2,234,263 | ||||||||
6,053,729 | Structured Adjustable Rate Mortgage Loan Trust (06-5-1A1), | 5,353,630 | ||||||||||
4,554,538 | Structured Adjustable Rate Mortgage Loan Trust (07-1-1A1), | 3,969,977 | ||||||||||
198,290 | Structured Asset Mortgage Investments, Inc. (06-AR3-24A1), | 113,784 | ||||||||||
338,364 | Structured Asset Securities Corp. (05-2XS-1A5B), 4.65%, due 02/25/35 | 343,159 | ||||||||||
10,277,588 | Structured Asset Securities Corp. (06-EQ1A-A4), (144A), | 10,139,531 | ||||||||||
9,438,229 | Structured Asset Securities Corp. (06-WF2-A4), 1.301%, due 07/25/36 (2) | 9,218,009 | ||||||||||
316,142 | Suntrust Adjustable Rate Mortgage Loan Trust (07-2-2A1), | 268,968 | ||||||||||
14,287 | Suntrust Adjustable Rate Mortgage Loan Trust (07-3-1A1), | 12,773 | ||||||||||
1,218,141 | Suntrust Adjustable Rate Mortgage Loan Trust (07-S1-2A1), | 1,209,471 | ||||||||||
10,338,630 | Wachovia Mortgage Loan Trust LLC (06-AMN1-A3), | 6,463,675 | ||||||||||
9,066,798 | WaMu Mortgage Pass-Through Certificates (04-AR14-A1), | 9,220,805 | ||||||||||
10,951,806 | WaMu Mortgage Pass-Through Certificates (05-AR13-A1A1), | 10,446,571 | ||||||||||
882,575 | WaMu Mortgage Pass-Through Certificates (05-AR13-A1A2), | 903,590 | ||||||||||
2,166,001 | WaMu Mortgage Pass-Through Certificates (05-AR14-2A1), | 2,000,511 | ||||||||||
3,515,840 | WaMu Mortgage Pass-Through Certificates (05-AR18-1A1), | 3,290,340 | ||||||||||
326,731 | WaMu Mortgage Pass-Through Certificates (05-AR2-2A1A), | 301,258 | ||||||||||
8,245,313 | WaMu Mortgage Pass-Through Certificates (05-AR9-A1A), | 8,063,629 | ||||||||||
23,900,672 | WaMu Mortgage Pass-Through Certificates (06-AR1-2A1A), | 23,686,058 | ||||||||||
6,149,492 | WaMu Mortgage Pass-Through Certificates (06-AR11-1A), | 5,137,701 | ||||||||||
6,624,477 | WaMu Mortgage Pass-Through Certificates (06-AR17-1A1A), | 6,318,690 | ||||||||||
134,219 | Washington Mutual Alternative Mortgage Pass-Through Certificates (02-AR1-1A1), 2.789%, due 11/25/30 (2) | 134,444 | ||||||||||
1,502,155 | Washington Mutual Alternative Mortgage Pass-Through Certificates (06-1-3A2), 5.75%, due 02/25/36 (5) | 1,413,804 | ||||||||||
2,892,724 | Washington Mutual Alternative Mortgage Pass-Through Certificates (06-5-1A1), 1.591%, due 07/25/36 (2)(5) | 1,801,204 |
See accompanying notes to financial statements.
68
TCW Total Return Bond Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||||
$ | 5,248,949 | Washington Mutual Alternative Mortgage Pass-Through Certificates (06-AR10-A2A), 1.161%, due 12/25/36 (2) | $ | 4,518,836 | ||||||||
2,174,042 | Washington Mutual Alternative Mortgage Pass-Through | 1,828,988 | ||||||||||
6,462,196 | Washington Mutual Alternative Mortgage Pass-Through | 5,292,967 | ||||||||||
11,691,000 | Washington Mutual Asset-Backed Certificates (06-HE1-2A4), | 10,827,509 | ||||||||||
11,201,709 | Wells Fargo Home Equity Asset-Backed Securities (06-3-A2), | 11,042,073 | ||||||||||
5,521,000 | Wells Fargo Home Equity Asset-Backed Securities (07-1-A3), | 4,192,244 | ||||||||||
3,537,376 | Wells Fargo Mortgage Loan Trust (11-RR3-A1), (144A), | 3,555,428 | ||||||||||
3,516,098 | Wells Fargo Mortgage Loan Trust (12-RR2-1A1), (144A), | 3,485,554 | ||||||||||
3,147,371 | Wells Fargo Mortgage-Backed Securities Trust (04-DD-2A6), | 3,132,113 | ||||||||||
6,913,668 | Wells Fargo Mortgage-Backed Securities Trust (06-AR11-A6), | 6,709,374 | ||||||||||
4,145,087 | Wells Fargo Mortgage-Backed Securities Trust (06-AR6-4A1), | 4,118,686 | ||||||||||
2,771,079 | Wells Fargo Mortgage-Backed Securities Trust (06-AR7-2A4), | 2,713,107 | ||||||||||
5,206,368 | Wells Fargo Mortgage-Backed Securities Trust (07-10-1A32), | 5,147,630 | ||||||||||
537,963 | Wells Fargo Mortgage-Backed Securities Trust (07-AR4-A1), | 517,017 | ||||||||||
2,203,717 | Wells Fargo Mortgage-Backed Securities Trust (08-1-4A1), | 2,318,441 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency | 1,582,820,965 | |||||||||||
|
| |||||||||||
U.S. Treasury Securities (19.4%) | ||||||||||||
607,090,000 | U.S. Treasury Bond, 3%, due 02/15/47 | 612,911,993 | ||||||||||
130,345,000 | U.S. Treasury Note, 1.5%, due 01/31/22 | 128,547,050 | ||||||||||
156,213,000 | U.S. Treasury Note, 1.875%, due 02/28/22 | 156,768,015 | ||||||||||
136,495,000 | U.S. Treasury Note, 1.875%, due 03/31/22 | 136,860,261 | ||||||||||
357,742,000 | U.S. Treasury Note, 1.875%, due 04/30/22 | 358,790,763 | ||||||||||
319,985,000 | U.S. Treasury Note, 2.25%, due 02/15/27 | 319,091,282 | ||||||||||
80,935,000 | U.S. Treasury Note, 2.625%, due 08/15/20 | 83,769,344 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Securities (Cost: $1,765,247,449) | 1,796,738,708 | |||||||||||
|
| |||||||||||
Total Fixed Income Securities (Cost: $8,591,272,435) (95.9%) | 8,875,909,788 | |||||||||||
|
|
See accompanying notes to financial statements.
69
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Money Market Investments | Value | ||||||||||
443,185,000 | Dreyfus Government Cash Management Fund — Institutional Class, 0.69% (6) | $ | 443,185,000 | |||||||||
1,319,260 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (6) | 1,319,260 | ||||||||||
|
| |||||||||||
Total Money Market Investments (Cost: $444,504,260) (4.8%) | 444,504,260 | |||||||||||
|
| |||||||||||
Principal Amount | Short-Term Investments | |||||||||||
Foreign Government Bonds (5.0% ) | ||||||||||||
JPY | 40,300,000,000 | Japan Treasury Bill, 0%, due 05/01/17 (3) | 361,532,251 | |||||||||
JPY | 11,330,000,000 | Japan Treasury Bill, 0%, due 06/19/17 (3) | 101,655,825 | |||||||||
|
| |||||||||||
Total Foreign Government Bonds (Cost: $454,609,496) | 463,188,076 | |||||||||||
|
| |||||||||||
U.S. Treasury Securities (7.3% ) | ||||||||||||
$ | 200,000,000 | U.S. Treasury Bill, 0.32%, due 05/04/17 (7) | 199,989,400 | |||||||||
92,000,000 | U.S. Treasury Bill, 0.6%, due 05/25/17 (7) | 91,959,336 | ||||||||||
180,000,000 | U.S. Treasury Bill, 0.75%, due 07/20/17 (7) | 179,692,740 | ||||||||||
200,000,000 | U.S. Treasury Bill, 0.77%, due 07/27/17 (7) | 199,620,600 | ||||||||||
10,295,000 | U.S. Treasury Bill, 0.85%, due 09/07/17 (7)(8) | 10,263,611 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Securities (Cost: $681,523,864) | 681,525,687 | |||||||||||
|
| |||||||||||
�� | Total Short-Term Investments (Cost: $1,136,133,360) (12.3%) | 1,144,713,763 | ||||||||||
|
| |||||||||||
Total Investments (Cost: $10,171,910,055) (113.0%) | 10,465,127,811 | |||||||||||
Liabilities in Excess of Other Assets (-13.0%) | (1,203,831,347 | ) | ||||||||||
|
| |||||||||||
Net Assets (100.0%) | $ | 9,261,296,464 | ||||||||||
|
|
Futures Contracts | ||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional Contract Value | Net Unrealized Appreciation | ||||||||||||
BUY | ||||||||||||||||
5,512 | 2-Year U.S. Treasury Note Futures | 06/30/17 | $ | 1,193,950,881 | $ | 2,103,078 | ||||||||||
3,839 | 5-Year U.S. Treasury Note Futures | 06/30/17 | 454,561,594 | 3,500,286 | ||||||||||||
1,786 | 10-Year U.S. Treasury Note Futures | 06/21/17 | 224,533,687 | 3,280,337 | ||||||||||||
|
|
|
| |||||||||||||
$ | 1,873,046,162 | $ | 8,883,701 | |||||||||||||
|
|
|
|
Forward Currency Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized (Depreciation) | ||||||||||||||||||
SELL (9) | ||||||||||||||||||||||||
Bank of America | JPY | 11,330,000,000 | 06/19/17 | $ | 100,372,076 | $ | 101,833,296 | $ | (1,461,220 | ) | ||||||||||||||
Citibank N.A. | JPY | 40,300,000,000 | 05/01/17 | 355,540,656 | 361,532,251 | (5,991,595 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 455,912,732 | $ | 463,365,547 | $ | (7,452,815 | ) | ||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
70
TCW Total Return Bond Fund
April 30, 2017 |
Notes to the Schedule of Investments:
JPY - | Japanese Yen |
ABS - | Asset-Backed Securities. |
ACES - | Alternative Credit Enhancement Securities. |
ARM - | Adjustable Rate Mortgage. |
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, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2017, the value of these securities amounted to $436,108,796 or 4.7% 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, 2017. |
(3) | As of April 30, 2017, security is not accruing interest. |
(4) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(5) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. |
(6) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
(7) | Rate shown represents yield-to-maturity. |
(8) | All or a portion of this security is held as collateral for open futures contracts. |
(9) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
71
TCW Total Return Bond Fund
Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Asset-Backed Securities | 3.8 | % | ||
Commercial Mortgage-Backed Securities — Agency | 2.0 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.4 | |||
Residential Mortgage-Backed Securities — Agency | 53.2 | |||
Residential Mortgage-Backed Securities — Non-Agency | 17.1 | |||
Short Term Investments | 12.3 | |||
U.S. Treasury Securities | 19.4 | |||
Money Market Investments | 4.8 | |||
|
| |||
Total | 113.0 | % | ||
|
|
See accompanying notes to financial statements.
72
TCW Total Return Bond Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 349,776,090 | $ | — | $ | 349,776,090 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 182,236,437 | — | 182,236,437 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 33,893,999 | — | 33,893,999 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 4,930,443,589 | — | 4,930,443,589 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 1,574,787,091 | 8,033,874 | 1,582,820,965 | ||||||||||||
U.S. Treasury Securities | 1,796,738,708 | — | — | 1,796,738,708 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 1,796,738,708 | 7,071,137,206 | 8,033,874 | 8,875,909,788 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 444,504,260 | — | — | 444,504,260 | ||||||||||||
Short-Term Investments* | 681,525,687 | 463,188,076 | — | 1,144,713,763 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,922,768,655 | 7,534,325,282 | 8,033,874 | 10,465,127,811 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures | ||||||||||||||||
Interest Rate Risk | 8,883,701 | — | — | 8,883,701 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,931,652,356 | $ | 7,534,325,282 | $ | 8,033,874 | $ | 10,474,011,512 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (7,452,815 | ) | $ | — | $ | (7,452,815 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (7,452,815 | ) | $ | — | $ | (7,452,815 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
73
TCW Funds, Inc.
April 30, 2017 |
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) | $ | 1,998,581 | $ | 1,128 | $ | 16,003 | ||||||
Cash | 20 | — | — | |||||||||
Receivable for Securities Sold | 9,574 | — | (3) | — | ||||||||
Receivable for Fund Shares Sold | 3,204 | — | — | |||||||||
Interest and Dividends Receivable | 7,853 | 4 | 115 | |||||||||
Receivable from Investment Advisor | 30 | 16 | 9 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | 308 | — | 9 | |||||||||
Cash Collateral Held for Brokers | 1,380 | 160 | — | |||||||||
Prepaid Expenses | 66 | 8 | 19 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 2,021,016 | 1,316 | 16,155 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 386 | — | — | |||||||||
Payable for Securities Purchased | 136,822 | — | 70 | |||||||||
Payable for Purchase of When-Issued Securities | 113,339 | — | — | |||||||||
Payable for Fund Shares Redeemed | 2,719 | — | — | |||||||||
Accrued Directors’ Fees and Expenses | 7 | 6 | 7 | |||||||||
Accrued Management Fees | 577 | 1 | 7 | |||||||||
Accrued Distribution Fees | 85 | — | (3) | 2 | ||||||||
Interest Payable on Swap Agreements | — | 1 | — | |||||||||
Payable for Daily Variation Margin on Open Financial Futures Contracts | 22 | — | — | |||||||||
Open Swap Agreements, at Value | — | 33 | — | |||||||||
Collateral Pledged by Brokers | 340 | — | — | |||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | 838 | — | 13 | |||||||||
Other Accrued Expenses | 416 | 46 | 11 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 255,551 | 87 | 110 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,765,465 | $ | 1,229 | $ | 16,045 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 1,775,505 | $ | 2,924 | $ | 16,552 | ||||||
Accumulated Net Realized Loss on Investments, Futures Contracts, Swap Contracts and Foreign Currency | (23,719 | ) | (1,662 | ) | (127 | ) | ||||||
Unrealized Appreciation (Depreciation) of Investments, Futures Contracts, Swap Contracts and Foreign Currency | 13,418 | 2 | (380 | ) | ||||||||
Undistributed (Overdistributed) Net Investment Income | 261 | (35 | ) | — | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,765,465 | $ | 1,229 | $ | 16,045 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 1,357,120 | $ | 730 | $ | 8,537 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 408,345 | $ | 499 | $ | 7,508 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (4) | ||||||||||||
I Class Share | 123,665,373 | 143,788 | 890,032 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 37,306,726 | 98,139 | 782,672 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (5) | ||||||||||||
I Class Share | $ | 10.97 | $ | 5.08 | $ | 9.59 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 10.95 | $ | 5.08 | $ | 9.59 | ||||||
|
|
|
|
|
|
(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, 2017 was $1,985,512, $1,093 and $16,379, respectively. |
(3) | Amount rounds to less than $1. |
(4) | The number of authorized shares, with a par value of $0.001 per share is 4,000,000,000 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.
74
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2017 |
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) | $ | 25,246 | $ | 9,115 | $ | 10,465,128 | ||||||
Cash | — | — | 373 | |||||||||
Receivable for Securities Sold | 393 | — | — | |||||||||
Receivable for Fund Shares Sold | 8 | — | 14,451 | |||||||||
Interest and Dividends Receivable | 282 | 38 | 22,548 | |||||||||
Receivable from Investment Advisor | 13 | 7 | 895 | |||||||||
Cash Collateral Held for Brokers | — | — | 7,170 | |||||||||
Prepaid Expenses | 24 | 9 | 143 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 25,966 | 9,169 | 10,510,708 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 19 | 1 | 6,312 | |||||||||
Payable for Securities Purchased | 560 | 332 | 358,373 | |||||||||
Payable for Purchase of When-Issued Securities | — | — | 850,622 | |||||||||
Payable for Fund Shares Redeemed | 30 | 2 | 20,420 | |||||||||
Accrued Directors’ Fees and Expenses | 7 | 7 | 7 | |||||||||
Accrued Management Fees | 10 | 3 | 3,834 | |||||||||
Accrued Distribution Fees | 2 | — | 460 | |||||||||
Interest Payable on Swap Agreements | — | (2) | — | — | ||||||||
Payable for Daily Variation Margin on Open Financial Futures Contracts | — | — | 91 | |||||||||
Open Swap Agreements, at Value | 3 | — | — | |||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | — | 7,453 | |||||||||
Other Accrued Expenses | 23 | 47 | 1,840 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 654 | 392 | 1,249,412 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 25,312 | $ | 8,777 | $ | 9,261,296 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 25,919 | $ | 16,155 | $ | 9,132,286 | ||||||
Accumulated Net Realized Loss on Investments, Futures Contracts, Swap Contracts and Foreign Currency | (793 | ) | (7,382 | ) | (237,217 | ) | ||||||
Unrealized Appreciation of Investments, Futures Contracts, Swap Contracts and Foreign Currency | 186 | 22 | 294,649 | |||||||||
Undistributed (Overdistributed) Net Investment Income | — | (18 | ) | 71,578 | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 25,312 | $ | 8,777 | $ | 9,261,296 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 16,598 | $ | 8,777 | $ | 7,075,979 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 8,714 | $ | 2,185,317 | ||||||||
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (3) | ||||||||||||
I Class Share | 2,622,926 | 1,012,753 | 711,100,663 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 1,367,394 | 212,889,511 | ||||||||||
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (4) | ||||||||||||
I Class Share | $ | 6.33 | $ | 8.67 | $ | 9.95 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 6.37 | $ | 10.27 | ||||||||
|
|
|
|
(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, 2017 was $25,054, $9,093 and $10,171,910, respectively. |
(2) | Amount rounds to less than $1. |
(3) | The number of authorized shares, with a par value of $0.001 per share is 4,000,000,000 for each of the I Class and N Class shares. |
(4) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
75
TCW Funds, Inc.
Six Months Ended April 30, 2017 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | TCW Global Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 21,338 | $ | 19 | $ | 221 | ||||||
|
|
|
|
|
| |||||||
Total | 21,338 | 19 | 221 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 3,453 | 6 | 43 | |||||||||
Accounting Services Fees | 84 | 12 | 2 | |||||||||
Administration Fees | 54 | 18 | 1 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 492 | 3 | 2 | |||||||||
N Class | 240 | 3 | 2 | |||||||||
Custodian Fees | 15 | 5 | 10 | |||||||||
Professional Fees | 55 | 23 | 20 | |||||||||
Directors’ Fees and Expenses | 15 | 15 | 15 | |||||||||
Registration Fees: | ||||||||||||
I Class | 41 | 7 | 8 | |||||||||
N Class | 15 | 7 | 8 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 538 | 1 | 9 | |||||||||
Shareholder Reporting Expense | 5 | — | (2) | — | (2) | |||||||
Other | 66 | 4 | 3 | |||||||||
|
|
|
|
|
| |||||||
Total | 5,073 | 104 | 123 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 166 | 58 | 16 | |||||||||
N Class | 91 | 41 | 25 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 4,816 | 5 | 82 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 16,522 | 14 | 139 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | (21,694 | ) | — | (2) | (114 | ) | ||||||
Foreign Currency | 17 | — | (45 | ) | ||||||||
Futures Contracts | (3,183 | ) | — | — | ||||||||
Swap Agreements | — | 4 | — | |||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (6,129 | ) | 5 | (183 | ) | |||||||
Foreign Currency | (531 | ) | — | (2 | ) | |||||||
Futures contracts | 1,665 | — | — | |||||||||
Swap Agreements | — | (15 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | (29,855 | ) | (6 | ) | (344 | ) | ||||||
|
|
|
|
|
| |||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (13,333 | ) | $ | 8 | $ | (205 | ) | ||||
|
|
|
|
|
|
(1) | Consolidated Statement of Operations (See Note 2). |
(2) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
76
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2017 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 600 | $ | 57 | $ | 155,316 | ||||||
|
|
|
|
|
| |||||||
Total | 600 | 57 | 155,316 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 60 | 16 | 24,214 | |||||||||
Accounting Services Fees | 13 | — | (1) | 469 | ||||||||
Administration Fees | 1 | — | (1) | 300 | ||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 7 | 4 | 2,896 | |||||||||
N Class | 5 | — | 1,176 | |||||||||
Custodian Fees | 6 | 3 | 27 | |||||||||
Professional Fees | 18 | 18 | 190 | |||||||||
Directors’ Fees and Expenses | 15 | 15 | 15 | |||||||||
Registration Fees: | ||||||||||||
I Class | 11 | 10 | 64 | |||||||||
N Class | 9 | — | 66 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 10 | — | 3,015 | |||||||||
Shareholder Reporting Expense | — | (1) | — | (1) | 29 | |||||||
Other | 4 | 2 | 417 | |||||||||
|
|
|
|
|
| |||||||
Total | 159 | 68 | 32,878 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 48 | 48 | 4,404 | |||||||||
N Class | 27 | — | 1,126 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 84 | 20 | 27,348 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 516 | 37 | 127,968 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | �� | |||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 441 | (4 | ) | (254,897 | ) | |||||||
Foreign Currency | — | — | 39,739 | |||||||||
Futures Contracts | — | — | (32,407 | ) | ||||||||
Swap Agreements | (2 | ) | — | — | ||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 23 | (7 | ) | 1,066 | ||||||||
Foreign Currency | — | — | (13,086 | ) | ||||||||
Futures contracts | — | — | 16,069 | |||||||||
Swap Agreements | (1 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 461 | (11 | ) | (243,516 | ) | |||||||
|
|
|
|
|
| |||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 977 | $ | 26 | $ | (115,548 | ) | |||||
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
77
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, 2017 (Unaudited) | Year Ended October 31, 2016 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 16,522 | $ | 28,873 | $ | 14 | $ | 19 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Swap Contracts and Foreign Currency Transactions | (24,860 | ) | 25,165 | 4 | (86 | ) | ||||||||||
Change in Unrealized Appreciation on Investments, Futures Contracts and Foreign Currency Transactions | (4,995 | ) | 12,917 | (10 | ) | 27 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (13,333 | ) | 66,955 | 8 | (40 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (12,310 | ) | (21,736 | ) | (7 | ) | (13 | ) | ||||||||
N Class | (3,459 | ) | (7,802 | ) | (5 | ) | (11 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (14,647 | ) | (9,987 | ) | (8 | ) | — | |||||||||
N Class | (5,177 | ) | (5,013 | ) | (6 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (35,593 | ) | (44,538 | ) | (26 | ) | (24 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (28,390 | ) | 295,328 | 15 | (682 | ) | ||||||||||
N Class | (65,709 | ) | (60,988 | ) | 11 | (629 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (94,099 | ) | 234,340 | 26 | (1,311 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (143,025 | ) | 256,757 | 8 | (1,375 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 1,908,490 | 1,651,733 | 1,221 | 2,596 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 1,765,465 | $ | 1,908,490 | $ | 1,229 | $ | 1,221 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | 261 | $ | (492 | ) | $ | (35 | ) | $ | (37 | ) |
(1) | Consolidated Statement of Changes in Net Assets (See Note 2). |
See accompanying notes to financial statements.
78
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Global Bond Fund | TCW High Yield Bond Fund | |||||||||||||||
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 139 | $ | 326 | $ | 516 | $ | 1,129 | ||||||||
Net Realized Gain (Loss) on Investments, Swap Contracts and Foreign Currency Transactions | (159 | ) | 138 | 439 | 95 | |||||||||||
Change in Unrealized Appreciation on Investments and Foreign Currency Transactions | (185 | ) | 150 | 22 | 344 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (205 | ) | 614 | 977 | 1,568 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (79 | ) | (191 | ) | (412 | ) | (852 | ) | ||||||||
N Class | (70 | ) | (170 | ) | (183 | ) | (337 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (58 | ) | (110 | ) | — | — | ||||||||||
N Class | (51 | ) | (103 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (258 | ) | (574 | ) | (595 | ) | (1,189 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 136 | 757 | (3,934 | ) | (918 | ) | ||||||||||
N Class | 138 | 201 | 1,073 | (8,371 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 274 | 958 | (2,861 | ) | (9,289 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (189 | ) | 998 | (2,479 | ) | (8,910 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 16,234 | 15,236 | 27,791 | 36,701 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 16,045 | $ | 16,234 | $ | 25,312 | $ | 27,791 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | — | $ | 10 | $ | — | $ | 79 |
See accompanying notes to financial statements.
79
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Short Term Bond Fund | TCW Total Return Bond Fund | |||||||||||||||
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 37 | $ | 49 | $ | 127,968 | $ | 246,845 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions | (4 | ) | 18 | (247,565 | ) | 198,446 | ||||||||||
Change in Unrealized Appreciation on Investments, Futures Contracts and Foreign Currency Transactions | (7 | ) | 1 | 4,049 | (101,208 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 26 | 68 | (115,548 | ) | 344,083 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (64 | ) | (58 | ) | (90,624 | ) | (177,095 | ) | ||||||||
N Class | — | — | (26,465 | ) | (57,056 | ) | ||||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (114,018 | ) | (44,612 | ) | ||||||||||
N Class | — | — | (38,135 | ) | (16,251 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (64 | ) | (58 | ) | (269,242 | ) | (295,014 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 1,117 | (1,926 | ) | (680,785 | ) | 1,644,991 | ||||||||||
N Class | — | — | (478,126 | ) | 350,792 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 1,117 | (1,926 | ) | (1,158,911 | ) | 1,995,783 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 1,079 | (1,916 | ) | (1,543,701 | ) | 2,044,852 | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 7,698 | 9,614 | 10,804,997 | 8,760,145 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 8,777 | $ | 7,698 | $ | 9,261,296 | $ | 10,804,997 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | (18 | ) | $ | 9 | $ | 71,578 | $ | 60,699 |
See accompanying notes to financial statements.
80
TCW Funds, Inc.
April 30, 2017 |
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), that currently offers 21 no-load mutual funds (each series a “Fund” and collectively the “Funds”). TCW Investment Management Company LLC (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940, as amended. 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 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 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 | |
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 and at least 50% of the value in securitized obligations. |
81
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies
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).
The following is a summary of significant accounting policies, which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and which are consistently followed by the Funds in the preparation of their financial statements. 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 Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Principles of Consolidation: The TCW Cayman Enhanced Commodity Fund, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated as a wholly owned subsidiary acting as an investment vehicle for the TCW Enhanced Commodity Strategy Fund (the “Parent”) in order to effect certain investments for the Parent consistent with the Parent’s investment objectives and policies as specified in its prospectus and statement of additional information. The accompanying financial statements are consolidated and 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, 2017 were $102,194 or 8.31% of the Parent’s consolidated net assets. Intercompany balances and transactions have been eliminated in consolidation.
Net Asset Value: The net asset value (“NAV”) per share 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 on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using official closing prices as reported by NASDAQ. All other securities including short-term securities traded over the counter (“OTC”) for which market quotations are readily available are valued with prices furnished by independent pricing services or by broker dealers.
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 by the Advisor in good faith under procedures established by and under the general supervision of Company’s Board of Directors (the “Board”).
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 GAAP, the Funds disclose investments in their financial statements in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements based on inputs. 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 liability developed based on the best information available in the circumstances.
82
TCW Funds, Inc.
April 30, 2017 |
Note 2 — Significant Accounting Policies (Continued)
The three-tier hierarchy of inputs is summarized in 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.
Fair Value Measurements: A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”). The fair value of ABS and MBS is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy; otherwise, they would be categorized in Level 3.
Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable and are obtained from independent sources. Bank loans are generally categorized in Level 2 of the fair value hierarchy.
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy.
83
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 as 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.
Government and agency securities. 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, 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.
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 NAV, 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 factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of the total return swaps would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
The summary of the inputs used as April 30, 2017 is listed after the Schedules of Investments for each Fund.
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, 2017.
84
TCW Funds, Inc.
April 30, 2017 |
Note 2 — Significant Accounting Policies (Continued)
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund | TCW Global Bond Fund | TCW High Yield Bond Fund | TCW Total Return Bond Fund | ||||||||||||||||
Balance as of October 31, 2016 | $ | 1,180,023 | $ | 817 | $ | 166,910 | $ | 396,790 | $ | 8,722,086 | ||||||||||
Accrued Discounts (Premiums) | (775 | ) | (231 | ) | (10,836 | ) | — | (651,875 | ) | |||||||||||
Realized Gain (Loss) | (1,029 | ) | — | — | (15,862 | ) | 281 | |||||||||||||
Change in Unrealized Appreciation | 63,664 | 9,303 | 6,564 | 8,146 | (35,546 | ) | ||||||||||||||
Purchases | — | — | — | — | — | |||||||||||||||
Sales | (21,514 | ) | — | — | (272,208 | ) | (1,072 | ) | ||||||||||||
Transfers in to Level 3 (1) | — | — | — | — | — | |||||||||||||||
Transfers out of Level 3 (1) | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balance as of April 30, 2017 | $ | 1,220,369 | $ | 9,889 | $ | 162,638 | $ | 116,866 | $ | 8,033,874 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Unrealized Appreciation from Investments Still | ||||||||||||||||||||
Held at April 30, 2017 | $ | 63,664 | $ | 9,303 | $ | 6,564 | $ | 8,146 | $ | (35,546 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
(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, 2017 are as follows:
Description | Fair Value at 4/30/2017 | Valuation Techniques* | Unobservable Input | Price or Price Range | Weighted Average Price | |||||||||
TCW Core Fixed Income Fund | ||||||||||||||
Corporate Bonds | $ | 1,220,369 | Third-party Vendor | Vendor Prices | $109.257 | $109.257 | ||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||
Commercial Mortgage-Backed Securities —Non-Agency | $ | 9,889 | Third-party Vendor | Vendor Prices | $0.625 | $0.625 | ||||||||
TCW Global Bond Fund | ||||||||||||||
Commercial Mortgage-Backed Securities —Non-Agency | $ | 9,184 | Third-party Vendor | Vendor Prices | $0.281–$0.354 | $0.328 | ||||||||
Residential Mortgage-Backed Securities — Non-Agency | $ | 153,454 | Third-party Vendor | Vendor Prices | $12.259 | $12.259 | ||||||||
TCW High Yield Bond Fund | ||||||||||||||
Corporate Bonds | $ | 116,866 | Third-party Vendor | Vendor Prices | $36.50 | $36.50 | ||||||||
TCW Total Return Bond Fund | ||||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | $ | 15,411 | Third-party Vendor | Vendor Prices | $20.996 | $20.996 | ||||||||
Residential Mortgage-Backed Securities — Non-Agency (Interest Only, Collateral Strip Rate Securities) | $ | 8,018,463 | Third-party Vendor | Vendor Prices | $0.739–$2.957 | $1.932 |
* | 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 (the “Pricing Committee”) in accordance with the guidelines established by the Board, and under the general oversight of the Board. The
85
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 Pricing Committee reports to the Board 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 Company’s President, General Counsel, Chief Compliance Officer, Treasurer, Assistant Treasurer, Secretary, and a representative from the portfolio management team, as well as alternate members as the Board may from time to time designate. The Pricing Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Funds’ pricing procedures in general.
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency denominated 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.
86
TCW Funds, Inc.
April 30, 2017 |
Note 2 — Significant Accounting Policies (Continued)
For the period ended April 30, 2017, 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 | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | 880 | $ | 880 | ||||||||
Forward Contracts | — | 308 | — | 308 | ||||||||||||
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| |||||||||
Total Value | $ | — | $ | 308 | $ | 880 | $ | 1,188 | ||||||||
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| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | (838 | ) | $ | — | $ | (838 | ) | ||||||
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| |||||||||
Total Value | �� | $ | — | $ | (838 | ) | $ | — | $ | (838 | ) | |||||
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| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Forward Contracts | $ | — | $ | 202 | $ | — | $ | 202 | ||||||||
Futures Contracts | — | — | (3,183 | ) | (3,183 | ) | ||||||||||
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| |||||||||
Total Realized Gain (Loss) | $ | — | $ | 202 | $ | (3,183 | ) | $ | (2,981 | ) | ||||||
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| |||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||
Forward Contracts | $ | — | $ | (531 | ) | $ | — | $ | (531 | ) | ||||||
Futures Contracts | — | — | 1,665 | 1,665 | ||||||||||||
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|
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|
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| |||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | (531 | ) | $ | 1,665 | $ | 1,134 | |||||||
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| |||||||||
Number of Contracts or Notional Amounts (2) | ||||||||||||||||
Forward Currency Contracts | — | $ | 64,597,805 | — | $ | 64,597,805 | ||||||||||
Futures Contracts | — | — | 1,243 | 1,243 | ||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||
Liability Derivatives | ||||||||||||||||
Swaps Contracts | $ | (33 | ) | $ | — | $ | — | $ | (33 | ) | ||||||
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| |||||||||
Total Value | $ | (33 | ) | $ | — | $ | — | $ | (33 | ) | ||||||
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| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Swaps Contracts | $ | 4 | $ | — | $ | — | $ | 4 | ||||||||
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|
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| |||||||||
Total Realized Gain (Loss) | $ | 4 | $ | — | $ | — | $ | 4 | ||||||||
|
|
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|
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|
|
| |||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||
Swaps Contracts | $ | (15 | ) | $ | — | $ | — | $ | (15 | ) | ||||||
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|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | (15 | ) | $ | — | $ | — | $ | (15 | ) | ||||||
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|
|
|
| |||||||||
Notional Amounts (2) | ||||||||||||||||
Swaps Contracts | $ | 1,249,220 | — | — | $ | 1,249,220 |
87
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Credit Risk | Foreign Currency Risk | Total | ||||||||||
TCW Global Bond Fund | ||||||||||||
Statement of Asset and Liabilities | ||||||||||||
Asset Derivatives | ||||||||||||
Forward Contracts | $ | — | $ | 9 | $ | 9 | ||||||
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| |||||||
Total Value | $ | — | $ | 9 | $ | 9 | ||||||
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| |||||||
Liability Derivatives | ||||||||||||
Forward Contracts | $ | — | $ | (13 | ) | $ | (13 | ) | ||||
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| |||||||
Total Value | $ | — | $ | (13 | ) | $ | (13 | ) | ||||
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| |||||||
Statement of Operations: | ||||||||||||
Realized Gain (Loss) | ||||||||||||
Forward Contracts | $ | — | $ | (45 | ) | $ | (45 | ) | ||||
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|
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| |||||||
Total Realized Gain (Loss) | $ | — | $ | (45 | ) | $ | (45 | ) | ||||
|
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| |||||||
Change in Appreciation (Depreciation) | ||||||||||||
Forward Contracts | $ | — | $ | (2 | ) | $ | (2 | ) | ||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | (2 | ) | $ | (2 | ) | ||||
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|
|
| |||||||
Notional Amounts (2) | ||||||||||||
Forward Currency Contracts | — | $ | 1,376,243 | $ | 1,376,243 | |||||||
TCW High Yield Bond Fund | ||||||||||||
Statement of Asset and Liabilities | ||||||||||||
Liability Derivatives | ||||||||||||
Swaps Contracts | $ | (3 | ) | $ | — | $ | (3 | ) | ||||
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|
|
| |||||||
Total Value | $ | (3 | ) | $ | — | $ | (3 | ) | ||||
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| |||||||
Statement of Operations: | ||||||||||||
Realized Gain (Loss) | ||||||||||||
Swaps Contracts | $ | (2 | ) | $ | — | $ | (2 | ) | ||||
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|
| |||||||
Total Realized Gain (Loss) | $ | (2 | ) | $ | — | $ | (2 | ) | ||||
|
|
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|
|
| |||||||
Change in Appreciation (Depreciation) | ||||||||||||
Swaps Contracts | $ | (1 | ) | $ | — | $ | (1 | ) | ||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | (1 | ) | $ | — | $ | (1 | ) | ||||
|
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|
|
|
| |||||||
Notional Amounts (2) | ||||||||||||
Swaps Contracts | $ | 250,000 | $ | — | $ | 250,000 |
88
TCW Funds, Inc.
April 30, 2017 |
Note 2 — Significant Accounting Policies (Continued)
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
TCW Total Return Bond Fund | ||||||||||||
Statement of Asset and Liabilities | ||||||||||||
Asset Derivatives | ||||||||||||
Futures Contracts (1) | $ | — | $ | 8,884 | $ | 8,884 | ||||||
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| |||||||
Total Value | $ | — | $ | 8,884 | $ | 8,884 | ||||||
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| |||||||
Liability Derivatives | ||||||||||||
Forward Contracts | $ | (7,453 | ) | $ | — | $ | (7,453 | ) | ||||
|
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| |||||||
Total Value | $ | (7,453 | ) | $ | — | $ | (7,453 | ) | ||||
|
|
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|
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| |||||||
Statement of Operations: | ||||||||||||
Realized Gain (Loss) | ||||||||||||
Forward Contracts | $ | 38,156 | $ | — | $ | 38,156 | ||||||
Futures Contracts | — | (32,407 | ) | (32,407 | ) | |||||||
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| |||||||
Total Realized Gain (Loss) | $ | 38,156 | $ | (32,407 | ) | $ | 5,749 | |||||
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|
| |||||||
Change in Appreciation (Depreciation) | ||||||||||||
Forward Contracts | $ | (13,086 | ) | $ | — | $ | (13,086 | ) | ||||
Futures Contracts | — | 16,069 | 16,069 | |||||||||
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|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | (13,086 | ) | $ | 16,069 | $ | 2,983 | |||||
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|
| |||||||
Number of Contracts or Notional Amounts (2) | ||||||||||||
Forward Currency Contracts | $ | 468,534,882 | — | $ | 468,534,882 | |||||||
Futures Contracts | — | 11,730 | 11,730 |
(1) | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedules of Investments. Only variation margin on April 30, 2017 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, 2017. |
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 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
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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 Schedules 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 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 GAAP more comparable to those prepared under International Financial Reporting Standards.
The following table presents the Funds’ OTC derivatives assets and liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or Master Repurchase Agreement (“MRA”) and net of the related collateral received by the Funds as of April 30, 2017 (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) | |||||||||||||||
Bank of America (Derivatives) | $ | — | $ | (838 | ) | $ | (838 | ) | $ | 838 | (2) | $ | — | |||||||
Citibank N.A. (Derivatives) | 308 | — | 308 | (308 | ) (2) | — | ||||||||||||||
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|
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|
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| |||||||||||
Total | $ | 308 | $ | (838 | ) | $ | (530 | ) | $ | 530 | $ | — | ||||||||
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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) | Amount does not include excess collateral pledged or received. |
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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) | |||||||||||||||
Credit Suisse First Boston Corp. (Derivatives) | $ | — | $ | (33 | ) | $ | (33 | ) | $ | 33 | (2) | $ | — | |||||||
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|
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|
| |||||||||||
Total | $ | — | $ | (33 | ) | $ | (33 | ) | $ | 33 | (2) | $ | — | |||||||
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|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Amount does not include excess collateral pledged or received. |
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) | $ | 9 | $ | (13 | ) | $ | (4 | ) | $ | — | $ | (4 | ) | |||||||
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| |||||||||||
Total | $ | 9 | $ | (13 | ) | $ | (4 | ) | $ | — | $ | (4 | ) | |||||||
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(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
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) | |||||||||||||||
Goldman Sachs International (Derivatives) | $ | — | $ | (3 | ) | $ | (3 | ) | $ | — | $ | (3 | ) | |||||||
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|
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| |||||||||||
Total | $ | — | $ | (3 | ) | $ | (3 | ) | $ | — | $ | (3 | ) | |||||||
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(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
TCW Total Return 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) | |||||||||||||||
Bank of America (Derivatives) | $ | — | $ | (1,461 | ) | $ | (1,461 | ) | $ | 1,461 | (2) | $ | — | |||||||
Citibank N.A. (Derivatives) | — | (5,992 | ) | (5,992 | ) | 5,610 | (382 | ) | ||||||||||||
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| |||||||||||
Total | $ | — | $ | (7,453 | ) | $ | (7,453 | ) | $ | 7,071 | $ | (382 | ) | |||||||
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(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Amount does not include excess collateral pledged or received. |
Forward Foreign Currency Contracts: The Funds 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 unrealized gains or losses in the Statement of Assets and Liabilities. When a 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. The TCW Core Fixed Income Fund, the TCW Global Bond Fund and the TCW Total Return Bond Fund entered into forward foreign currency contracts during
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the period to hedge against the foreign currency exposure within the Funds’ holdings. Outstanding foreign currency forward contracts at April 30, 2017 are disclosed in the Schedules of Investments.
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. 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 Core Fixed Income Fund and the TCW Total Return Bond Fund utilized futures during the fiscal year to help manage interest rate duration of those Funds. Futures contracts outstanding at April 30, 2017 are listed on 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
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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 the expiring series, and opening transactions in existing series may be prohibited.
The Funds may purchase or write (sell) put and call swaptions. Swaption contracts give the purchaser the right (or option), but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement.
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, 2017, the Funds have not purchased or written 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).
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
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the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so called market access transactions).
Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. A Fund’s maximum risk of loss from counterparty default is the discounted NAV of the cash flows paid to 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 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 gains or losses on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
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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, 2017, 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.
Mortgage-Backed Securities: The Funds may invest in MBS 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) 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. 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 MBS. Stripped MBS 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
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Note 2 — Significant Accounting Policies (Continued)
adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if inflation were to rise at a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds.
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 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, with market. 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 the deemed leverage, the Fund monitors the obligations under these transactions on a daily basis and ensures that the Fund has sufficient liquid assets to cover them.
Dollar Roll Transactions: The Funds may enter into dollar roll transactions with financial institutions to take advantage of opportunities in the MBS 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, 2017.
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Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of a 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 Funds 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. There were no repurchase agreements outstanding as of April 30, 2017.
Reverse Repurchase Agreements: The Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Funds may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. During the term of the reverse repurchase agreement, the Funds continue to receive the principal and interest payments on the securities sold. There were no reverse repurchase agreements outstanding during the period ended April 30, 2017.
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, 2017.
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 in turn differences in dividends paid 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 GAAP. 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
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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 subsequent periods. Any taxable income or capital gain remaining at fiscal year-end is distributed in the following year.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Note 3 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment portfolio, the greater the change in value.
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.
98
TCW Funds, Inc.
April 30, 2017 |
Note 3 — Risk Considerations (Continued)
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 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.
MBS and ABS are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass through, sequential pay, prepayment-protected, interest only, principal-only, etc.), the security of the claim on the underlying assets, (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.) In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity takeout), 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.
99
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 4 — Federal Income Taxes (Continued)
At April 30, 2017, 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 | $ | 23,421 | $ | (11,138 | ) | $ | 12,283 | $ | 1,986,298 | |||||||
TCW Enhanced Commodity Strategy Fund | 15 | (1 | ) | 14 | 1,114 | |||||||||||
TCW Global Bond Fund | 443 | (785 | ) | (342 | ) | 16,345 | ||||||||||
TCW High Yield Bond Fund | 657 | (365 | ) | 292 | 24,954 | |||||||||||
TCW Short Term Bond Fund | 22 | (53 | ) | (31 | ) | 9,146 | ||||||||||
TCW Total Return Bond Fund | 397,311 | (54,604 | ) | 342,707 | 10,122,421 |
At October 31, 2016, 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 | $ | 20,035 | $ | 3,498 | $ | 23,533 | ||||||
TCW Enhanced Commodity Strategy Fund | 1 | 12 | 13 | |||||||||
TCW Global Bond Fund | 149 | 3 | 152 | |||||||||
TCW High Yield Bond Fund | 187 | — | 187 | |||||||||
TCW Short Term Bond Fund | 35 | — | 35 | |||||||||
TCW Total Return Bond | 167,057 | 31,547 | 198,604 |
During the year ended October 31, 2016, 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 | $ | 43,487 | $ | 1,051 | $ | 44,538 | ||||||
TCW Enhanced Commodity Strategy Fund | 24 | — | 24 | |||||||||
TCW Global Bond Fund | 428 | 146 | 574 | |||||||||
TCW High Yield Bond Fund | 1,189 | — | 1,189 | |||||||||
TCW Short Term Bond Fund | 58 | — | 58 | |||||||||
TCW Total Return Bond | 271,922 | 23,092 | 295,014 |
At October 31, 2016, the following Funds had net realized loss carryforwards for federal income tax purposes (amounts in thousands):
No Expiration (2) | ||||||||||||||||||||
Expiring In 2018 (1) | Expiring In 2019 (1) | Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||||||||
TCW High Yield Bond Fund | $ | — | $ | — | $ | 766 | $ | 551 | $ | 1,317 | ||||||||||
TCW Short Term Bond Fund | 7,023 | 111 | 93 | 116 | 7,343 |
(1) | Losses incurred prior to December 22, 2010. |
(2) | Losses incurred after December 22, 2010. |
The Funds did not have any unrecognized tax benefits at April 30, 2017, nor were there any increases or decreases in unrecognized tax benefits for the six months ended April 30, 2017. 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.
100
TCW Funds, Inc.
April 30, 2017 |
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 NAV:
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 | % |
The Advisor limits the operating expenses of the Funds not to exceed the Funds’ average daily net assets.
TCW Core Fixed Income Fund | ||||
I Class | 0.49 | % (1) | ||
N Class | 0.75 | % (2) | ||
TCW Enhanced Commodity Strategy Fund | ||||
I Class | 0.70 | % (1) | ||
N Class | 0.75 | % (1) | ||
TCW Global Bond Fund | ||||
I Class | 1.04 | % (1) | ||
N Class | 1.04 | % (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. |
(2) | 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, 2017. This limitation is voluntary and terminable on a six months notice. |
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. 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.
101
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 7 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the period ended April 30, 2017 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 | $ | 141,977 | $ | 138,958 | $ | 2,280,123 | $ | 2,413,203 | ||||||||
TCW Enhanced Commodity Strategy Fund | — | 57 | — | 6 | ||||||||||||
TCW Global Bond Fund | 1,360 | 1,010 | 5,243 | 5,505 | ||||||||||||
TCW High Yield Bond Fund | 22,643 | 25,768 | — | — | ||||||||||||
TCW Short Term Bond Fund | 989 | 461 | 3,469 | 2,736 | ||||||||||||
TCW Total Return Bond Fund | — | 333,099 | 11,476,939 | 12,435,677 |
Note 8 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Core Fixed Income Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 35,324,056 | $ | 386,360 | 57,678,268 | $ | 646,593 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,443,702 | 26,681 | 2,643,314 | 29,401 | ||||||||||||
Shares Redeemed | (40,109,051 | ) | (441,431 | ) | (33,895,565 | ) | (380,666 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (2,341,293 | ) | $ | (28,390 | ) | 26,426,017 | $ | 295,328 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,888,834 | $ | 31,553 | 8,762,584 | $ | 97,810 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 643,906 | 7,008 | 890,126 | 9,853 | ||||||||||||
Shares Redeemed | (9,533,240 | ) | (104,270 | ) | (15,083,249 | ) | (168,651 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (6,000,500 | ) | $ | (65,709 | ) | (5,430,539 | ) | $ | (60,988 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Enhanced Commodity Strategy Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 96,339 | $ | 500 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,908 | 15 | 2,698 | 13 | ||||||||||||
Shares Redeemed | — | — | (230,448 | ) | (1,195 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 2,908 | $ | 15 | (131,411 | ) | $ | (682 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 96,154 | $ | 500 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,985 | 11 | 2,192 | 11 | ||||||||||||
Shares Redeemed | — | — | (219,349 | ) | (1,140 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 1,985 | $ | 11 | (121,003 | ) | $ | (629 | ) | ||||||||
|
|
|
|
|
|
|
|
102
TCW Funds, Inc.
April 30, 2017 |
Note 8 — Capital Share Transactions (Continued)
TCW Global Bond Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,838 | $ | 27 | 876,674 | $ | 8,801 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 16,515 | 157 | 30,509 | 299 | ||||||||||||
Shares Redeemed | (5,029 | ) | (48 | ) | (830,998 | ) | (8,343 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 14,324 | $ | 136 | 76,185 | $ | 757 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 74 | $ | 1 | 21,917 | $ | 215 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 14,522 | 138 | 27,807 | 272 | ||||||||||||
Shares Redeemed | (126 | ) | (1 | ) | (28,373 | ) | (286 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 14,470 | $ | 138 | 21,351 | $ | 201 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW High Yield Bond Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 439,383 | $ | 2,741 | 4,266,185 | $ | 25,648 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 61,161 | 383 | 104,658 | 642 | ||||||||||||
Shares Redeemed | (1,129,189 | ) | (7,058 | ) | (4,485,794 | ) | (27,208 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (628,645 | ) | $ | (3,934 | ) | (114,951 | ) | $ | (918 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,070,100 | $ | 6,780 | 3,341,838 | $ | 20,346 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 26,158 | 165 | 46,466 | 287 | ||||||||||||
Shares Redeemed | (927,340 | ) | (5,872 | ) | (4,744,767 | ) | (29,004 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 168,918 | $ | 1,073 | (1,356,463 | ) | $ | (8,371 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Short Term Bond Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 330,095 | $ | 2,870 | 274,893 | $ | 2,390 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 7,327 | 64 | 5,124 | 45 | ||||||||||||
Shares Redeemed | (209,282 | ) | (1,817 | ) | (501,979 | ) | (4,361 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 128,140 | $ | 1,117 | (221,962 | ) | $ | (1,926 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Total Return Bond Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 172,237,270 | $ | 1,710,711 | 357,901,258 | $ | 3,692,928 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 14,052,012 | 139,372 | 13,961,930 | 143,503 | ||||||||||||
Shares Redeemed | (253,822,817 | ) | (2,530,868 | ) | (212,039,701 | ) | (2,191,440 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (67,533,535 | ) | $ | (680,785 | ) | 159,823,487 | $ | 1,644,991 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 24,756,203 | $ | 254,740 | 99,640,430 | $ | 1,060,476 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,339,229 | 64,831 | 6,253,093 | 66,269 | ||||||||||||
Shares Redeemed | (77,596,112 | ) | (797,697 | ) | (72,842,852 | ) | (775,953 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (46,500,680 | ) | $ | (478,126 | ) | 33,050,671 | $ | 350,792 | ||||||||
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|
|
|
|
|
|
|
103
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 9 — Affiliate Ownership
As of April 30, 2017, affiliates of the Funds and Advisor own 99.8%, and 97.3% of the NAV of the TCW Enhanced Commodity Strategy Fund and the TCW Global Bond Fund, respectively.
Note 10 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Restricted securities outstanding at April 30, 2017 are listed below:
TCW Core Fixed Income Fund
| ||||||||||||||||
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||||
Alta Wind Holdings LLC, (144A), 7%, due 06/30/35 | 7/14/10 | $ | 1,169,866 | $ | 1,220,369 | 0.07 | % | |||||||||
TCW Enhanced Commodity Strategy Fund
| ||||||||||||||||
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||||
LB-UBS Commercial Mortgage Trust (06-C6 XCL), (144A), | 7/15/16 | $ | 2,967 | $ | 9,889 | 0.80 | % | |||||||||
TCW Global Bond Fund
| ||||||||||||||||
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||||
Bank of America-First Union NB Commercial Mortgage (01-3-XC), (144A), 1.438%, due 04/11/37 | 3/26/15 | $ | 7,944 | $ | 6,395 | 0.04 | % | |||||||||
Morgan Stanley Capital I Trust (99-RM1-X), (144A), | 3/26/15 | 8,019 | 2,789 | 0.02 | % | |||||||||||
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|
|
|
| |||||||||||
$ | 15,963 | $ | 9,184 | 0.06 | % | |||||||||||
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|
|
Note 11 — Committed Line Of Credit
The Company has entered into a $100,000,000 committed revolving line of credit agreement with the State Street Bank and Trust Company (the “Bank”) for temporary borrowing purposes with an expiration date of December 29, 2017. The interest rate on borrowing is the higher of the federal funds rate or the overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit as of or during the period ended April 30, 2017. The Funds pay the Bank a commitment fee equal to 0.25% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the statements of operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
104
TCW Funds, Inc.
April 30, 2017 |
Note 12 — 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, 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 13 — Recently Issued Accounting Pronouncements
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, “Final Rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the Final Rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X will have on the Funds’ financial statements and related disclosures.
105
TCW Core Fixed Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.28 | $ | 11.14 | $ | 11.22 | $ | 10.97 | $ | 11.34 | $ | 10.90 | ||||||||||||
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| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income(1) | 0.11 | 0.19 | 0.18 | 0.21 | 0.21 | 0.24 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (0.19 | ) | 0.24 | (0.04 | ) | 0.24 | (0.27 | ) | 0.57 | |||||||||||||||
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|
|
| �� |
|
| ||||||||||||
Total from Investment Operations | (0.08 | ) | 0.43 | 0.14 | 0.45 | (0.06 | ) | 0.81 | ||||||||||||||||
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| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.10 | ) | (0.19 | ) | (0.19 | ) | (0.20 | ) | (0.20 | ) | (0.28 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.13 | ) | (0.10 | ) | (0.03 | ) | — | (0.11 | ) | (0.09 | ) | |||||||||||||
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| |||||||||||||
Total Distributions | (0.23 | ) | (0.29 | ) | (0.22 | ) | (0.20 | ) | (0.31 | ) | (0.37 | ) | ||||||||||||
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| |||||||||||||
Net Asset Value per Share, End of Period | $ | 10.97 | $ | 11.28 | $ | 11.14 | $ | 11.22 | $ | 10.97 | $ | 11.34 | ||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (0.64 | )% (2) | 3.97 | % | 1.25 | % | 4.14 | % | (0.49 | )% | 7.57 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,357,120 | $ | 1,421,267 | $ | 1,109,630 | $ | 646,372 | $ | 589,911 | $ | 501,448 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.52 | % (3) | 0.51 | % | 0.50 | % | 0.49 | % | 0.48 | % | 0.49 | % | ||||||||||||
After Expense Reimbursement | 0.49 | % (3) | 0.49 | % | 0.49 | % | 0.47 | % | 0.44 | % | 0.44 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.98 | % (3) | 1.70 | % | 1.57 | % | 1.92 | % | 1.89 | % | 2.20 | % | ||||||||||||
Portfolio Turnover Rate | 138.63 | % (2) | 283.38 | % | 332.85 | % | 249.94 | % | 197.42 | % | 213.82 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
106
TCW Core Fixed Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.25 | $ | 11.12 | $ | 11.20 | $ | 10.97 | $ | 11.34 | $ | 10.91 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.09 | 0.16 | 0.14 | 0.18 | 0.17 | 0.21 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.17 | ) | 0.24 | (0.03 | ) | 0.22 | (0.25 | ) | 0.56 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.08 | ) | 0.40 | 0.11 | 0.40 | (0.08 | ) | 0.77 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.17 | ) | (0.16 | ) | (0.17 | ) | (0.18 | ) | (0.25 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.13 | ) | (0.10 | ) | (0.03 | ) | — | (0.11 | ) | (0.09 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.22 | ) | (0.27 | ) | (0.19 | ) | (0.17 | ) | (0.29 | ) | (0.34 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 10.95 | $ | 11.25 | $ | 11.12 | $ | 11.20 | $ | 10.97 | $ | 11.34 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (0.69 | )% (2) | 3.66 | % | 1.00 | % | 3.68 | % | (0.74 | )% | 7.21 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 408,345 | $ | 487,223 | $ | 542,103 | $ | 608,129 | $ | 698,223 | $ | 530,935 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.80 | % (3) | 0.79 | % | 0.79 | % | 0.80 | % | 0.77 | % | 0.79 | % | ||||||||||||
After Expense Reimbursement | 0.76 | % (3) | 0.77 | % | 0.79 | % (4) | N/A | 0.77 | % (4) | 0.78 | % | |||||||||||||
Ratio of Net Investment Income to Average | 1.70 | % (3) | 1.41 | % | 1.25 | % | 1.59 | % | 1.56 | % | 1.86 | % | ||||||||||||
Portfolio Turnover Rate | 138.63 | % (2) | 283.38 | % | 332.85 | % | 249.94 | % | 197.42 | % | 213.82 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 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.
107
TCW Enhanced Commodity Strategy Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 5.15 | $ | 5.30 | $ | 7.18 | $ | 7.61 | $ | 8.58 | $ | 8.73 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) (1) | 0.06 | 0.04 | 0.05 | 0.10 | 0.16 | 0.16 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (0.02 | ) | (0.14 | ) | (1.87 | ) | (0.39 | ) | (0.92 | ) | (0.11 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.04 | (0.10 | ) | (1.82 | ) | (0.29 | ) | (0.76 | ) | 0.05 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.05 | ) | (0.05 | ) | (0.06 | ) | (0.11 | ) | (0.16 | ) | (0.18 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.06 | ) | — | — | (0.03 | ) | (0.05 | ) | (0.02 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.11 | ) | (0.05 | ) | (0.06 | ) | (0.14 | ) | (0.21 | ) | (0.20 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 5.08 | $ | 5.15 | $ | 5.30 | $ | 7.18 | $ | 7.61 | $ | 8.58 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 0.68 | % (2) | (1.83 | )% | (25.47 | )% | (3.90 | )% | (9.05 | )% | 0.55 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 730 | $ | 725 | $ | 1,443 | $ | 1,934 | $ | 2,013 | $ | 2,218 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 17.83 | % (3) | 9.74 | % | 7.82 | % | 5.90 | % | 5.67 | % | 5.94 | % | ||||||||||||
After Expense Reimbursement | 0.70 | % (3) | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.31 | % (3) | 0.88 | % | 0.88 | % | 1.30 | % | 2.01 | % | 1.95 | % | ||||||||||||
Portfolio Turnover Rate | 0.00 | % (2) | 2.44 | % | 10.68 | % | 4.13 | % | 54.20 | % | 9.39 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
108
TCW Enhanced Commodity Strategy Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 5.15 | $ | 5.31 | $ | 7.18 | $ | 7.61 | $ | 8.58 | $ | 8.73 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) (1) | 0.06 | 0.04 | 0.05 | 0.10 | 0.16 | 0.16 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.02 | ) | (0.15 | ) | (1.86 | ) | (0.39 | ) | (0.92 | ) | (0.11 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.04 | (0.11 | ) | (1.81 | ) | (0.29 | ) | (0.76 | ) | 0.05 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.05 | ) | (0.05 | ) | (0.06 | ) | (0.11 | ) | (0.16 | ) | (0.18 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.06 | ) | — | — | (0.03 | ) | (0.05 | ) | (0.02 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.11 | ) | (0.05 | ) | (0.06 | ) | (0.14 | ) | (0.21 | ) | (0.20 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 5.08 | $ | 5.15 | $ | 5.31 | $ | 7.18 | $ | 7.61 | $ | 8.58 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 0.68 | % (2) | (2.03 | )% | (25.36 | )% | (3.92 | )% | (9.05 | )% | 0.55 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 499 | $ | 496 | $ | 1,153 | $ | 1,546 | $ | 1,609 | $ | 1,773 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 17.54 | % (3) | 10.21 | % | 8.32 | % | 6.45 | % | 6.14 | % | 6.30 | % | ||||||||||||
After Expense Reimbursement | 0.75 | % (3) | 0.75 | % | 0.75 | % | 0.73 | % | 0.70 | % | 0.70 | % | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 2.26 | % (3) | 0.83 | % | 0.83 | % | 1.27 | % | 2.01 | % | 1.94 | % | ||||||||||||
Portfolio Turnover Rate | 0.00 | % (2) | 2.44 | % | 10.68 | % | 4.13 | % | 54.20 | % | 9.39 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
109
TCW Global Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | November 30, 2011 (Commencement of Operations) through October 31, 2012 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | $ | 10.97 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.08 | 0.20 | 0.19 | 0.22 | 0.35 | 0.27 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.21 | ) | 0.19 | (0.49 | ) | (0.20 | ) | (0.40 | ) | 0.99 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.13 | ) | 0.39 | (0.30 | ) | 0.02 | (0.05 | ) | 1.26 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.22 | ) | (0.09 | ) | (0.13 | ) | (0.16 | ) | (0.29 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.07 | ) | (0.14 | ) | (0.02 | ) | (0.08 | ) | (0.31 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.16 | ) | (0.36 | ) | (0.11 | ) | (0.21 | ) | (0.47 | ) | (0.29 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 9.59 | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | $ | 10.97 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (1.32 | )% (3) | 4.03 | % | (2.96 | )% | 0.21 | % | (0.46 | )% | 12.74 | % (2) | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 8,537 | $ | 8,648 | $ | 7,878 | $ | 8,138 | $ | 11,170 | $ | 11,253 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.43 | % (4) | 1.48 | % | 1.37 | % | 1.39 | % | 1.38 | % | 1.42 | % (4) | ||||||||||||
After Expense Reimbursement | 1.04 | % (4) | 1.05 | % | 1.08 | % | 1.12 | % | 1.14 | % | 1.15 | % (4) | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.78 | % (4) | 2.02 | % | 1.92 | % | 2.11 | % | 3.31 | % | 2.80 | % (4) | ||||||||||||
Portfolio Turnover Rate | 41.95 | % (3) | 116.87 | % | 147.16 | % | 125.54 | % | 135.67 | % | 165.46 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period November 30, 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, 2017 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
110
TCW Global Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | November 30, 2011 (Commencement of Operations) through October 31, 2012 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | $ | 10.97 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.08 | 0.20 | 0.19 | 0.22 | 0.35 | 0.27 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.21 | ) | 0.19 | (0.49 | ) | (0.20 | ) | (0.40 | ) | 0.99 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.13 | ) | 0.39 | (0.30 | ) | 0.02 | (0.05 | ) | 1.26 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.22 | ) | (0.09 | ) | (0.13 | ) | (0.16 | ) | (0.29 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.07 | ) | (0.14 | ) | (0.02 | ) | (0.08 | ) | (0.31 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.16 | ) | (0.36 | ) | (0.11 | ) | (0.21 | ) | (0.47 | ) | (0.29 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 9.59 | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | $ | 10.97 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (1.32 | )% (3) | 4.03 | % | (2.96 | )% | 0.21 | % | (0.46 | )% | 12.74 | % (2) | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 7,508 | $ | 7,586 | $ | 7,358 | $ | 7,565 | $ | 11,746 | $ | 11,602 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.72 | % (4) | 1.76 | % | 1.64 | % | 1.67 | % | 1.62 | % | 1.68 | % (4) | ||||||||||||
After Expense Reimbursement | 1.04 | % (4) | 1.05 | % | 1.08 | % | 1.12 | % | 1.14 | % | 1.15 | % (4) | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.78 | % (4) | 2.02 | % | 1.92 | % | 2.12 | % | 3.30 | % | 2.79 | % (4) | ||||||||||||
Portfolio Turnover Rate | 41.95 | % (3) | 116.87 | % | 147.16 | % | 125.54 | % | 135.67 | % | 165.46 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period November 30, 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, 2017 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
111
TCW High Yield Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 6.23 | $ | 6.18 | $ | 6.35 | $ | 6.33 | $ | 6.30 | $ | 5.99 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.24 | 0.26 | 0.29 | 0.33 | 0.33 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.12 | 0.06 | (0.15 | ) | 0.04 | 0.06 | 0.37 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.24 | 0.30 | 0.11 | 0.33 | 0.39 | 0.70 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.14 | ) | (0.25 | ) | (0.28 | ) | (0.31 | ) | (0.36 | ) | (0.37 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | — | — | — | (0.02 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.14 | ) | (0.25 | ) | (0.28 | ) | (0.31 | ) | (0.36 | ) | (0.39 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 6.33 | $ | 6.23 | $ | 6.18 | $ | 6.35 | $ | 6.33 | $ | 6.30 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.86 | % (2) | 5.06 | % | 1.74 | % | 5.25 | % | 6.44 | % | 12.03 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 16,598 | $ | 20,265 | $ | 20,791 | $ | 20,649 | $ | 26,102 | $ | 35,006 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.06 | % (3) | 1.03 | % | 1.03 | % | 0.90 | % | 1.00 | % | 1.14 | % | ||||||||||||
After Expense Reimbursement | 0.55 | % (3) | 0.55 | % | 0.55 | % | 0.53 | % | 0.63 | % | N/A | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.94 | % (3) | 3.88 | % | 4.11 | % | 4.60 | % | 5.14 | % | 5.39 | % | ||||||||||||
Portfolio Turnover Rate | 98.65 | % (2) | 244.36 | % | 195.97 | % | 145.14 | % | 114.95 | % | 111.02 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
112
TCW High Yield Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 6.28 | $ | 6.23 | $ | 6.41 | $ | 6.37 | $ | 6.35 | $ | 6.02 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.22 | 0.25 | 0.28 | 0.32 | 0.33 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.10 | 0.07 | (0.17 | ) | 0.05 | 0.06 | 0.38 | |||||||||||||||||
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Total from Investment Operations | 0.22 | 0.29 | 0.08 | 0.33 | 0.38 | 0.71 | ||||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.13 | ) | (0.24 | ) | (0.26 | ) | (0.29 | ) | (0.36 | ) | (0.36 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | — | — | — | (0.02 | ) | |||||||||||||||||
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Total Distributions | (0.13 | ) | (0.24 | ) | (0.26 | ) | (0.29 | ) | (0.36 | ) | (0.38 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 6.37 | $ | 6.28 | $ | 6.23 | $ | 6.41 | $ | 6.37 | $ | 6.35 | ||||||||||||
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Total Return | 3.61 | % (2) | 4.82 | % | 1.34 | % | 5.24 | % | 6.12 | % | 12.11 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 8,714 | $ | 7,526 | $ | 15,910 | $ | 12,555 | $ | 14,620 | $ | 20,498 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.47 | % (3) | 1.40 | % | 1.38 | % | 1.39 | % | 1.34 | % | 1.51 | % | ||||||||||||
After Expense Reimbursement | 0.80 | % (3) | 0.80 | % | 0.80 | % | 0.78 | % | 0.83 | % | 1.17 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.68 | % (3) | 3.64 | % | 3.87 | % | 4.30 | % | 4.96 | % | 5.34 | % | ||||||||||||
Portfolio Turnover Rate | 98.65 | % (2) | 244.36 | % | 195.97 | % | 145.14 | % | 114.95 | % | 111.02 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
113
TCW Short Term Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.70 | $ | 8.69 | $ | 8.75 | $ | 8.80 | $ | 8.85 | $ | 8.77 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.04 | 0.05 | 0.05 | 0.06 | 0.09 | 0.11 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.01 | ) | 0.02 | (0.03 | ) | 0.00 | (2) | (0.03 | ) | 0.13 | ||||||||||||||
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Total from Investment Operations | 0.03 | 0.07 | 0.02 | 0.06 | 0.06 | 0.24 | ||||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.06 | ) | (0.08 | ) | (0.11 | ) | (0.11 | ) | (0.15 | ) | ||||||||||||
Distributions from Return of Capital | — | — | — | — | — | (0.01 | ) | |||||||||||||||||
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Total Distributions | (0.06 | ) | (0.06 | ) | (0.08 | ) | (0.11 | ) | (0.11 | ) | (0.16 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 8.67 | $ | 8.70 | $ | 8.69 | $ | 8.75 | $ | 8.80 | $ | 8.85 | ||||||||||||
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Total Return | 0.36 | % (3) | 0.84 | % | 0.25 | % | 0.65 | % | 0.67 | % | 2.74 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 8,777 | $ | 7,698 | $ | 9,614 | $ | 21,080 | $ | 15,202 | $ | 12,814 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.50 | % (4) | 2.46 | % | 1.57 | % | 1.23 | % | 1.33 | % | 1.63 | % | ||||||||||||
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 | 0.82 | % (4) | 0.58 | % | 0.53 | % | 0.70 | % | 1.01 | % | 1.21 | % | ||||||||||||
Portfolio Turnover Rate | 52.24 | % (3) | 46.36 | % | 8.51 | % | 67.27 | % | 71.48 | % | 81.91 | % |
(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, 2017 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
114
TCW Total Return Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.33 | $ | 10.28 | $ | 10.31 | $ | 10.13 | $ | 10.27 | $ | 9.76 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.13 | 0.26 | 0.25 | 0.27 | 0.27 | 0.52 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.23 | ) | 0.11 | (0.02 | ) | 0.18 | 0.06 | 0.64 | ||||||||||||||||
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Total from Investment Operations | (0.10 | ) | 0.37 | 0.23 | 0.45 | 0.33 | 1.16 | |||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.12 | ) | (0.25 | ) | (0.22 | ) | (0.27 | ) | (0.33 | ) | (0.63 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.16 | ) | (0.07 | ) | (0.04 | ) | — | — | (0.02 | ) | ||||||||||||||
Distributions from Return of Capital | — | — | — | — | (0.14 | ) | — | |||||||||||||||||
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Total Distributions | (0.28 | ) | (0.32 | ) | (0.26 | ) | (0.27 | ) | (0.47 | ) | (0.65 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 9.95 | $ | 10.33 | $ | 10.28 | $ | 10.31 | $ | 10.13 | $ | 10.27 | ||||||||||||
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Total Return | (0.90 | )% (2) | 3.63 | % | 2.24 | % | 4.49 | % | 3.26 | % | 12.35 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 7,075,979 | $ | 8,042,194 | $ | 6,360,295 | $ | 6,129,426 | $ | 5,085,781 | $ | 5,837,581 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.61 | % (3) | 0.60 | % | 0.60 | % | 0.59 | % | 0.57 | % | 0.57 | % | ||||||||||||
After Expense Reimbursement | 0.49 | % (3) | 0.49 | % | 0.49 | % | 0.47 | % | 0.44 | % | 0.44 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.72 | % (3) | 2.55 | % | 2.46 | % | 2.65 | % | 2.60 | % | 5.21 | % | ||||||||||||
Portfolio Turnover Rate | 122.58 | % (2) | 318.48 | % | 287.85 | % | 201.30 | % | 190.79 | % | 123.43 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
115
TCW Total Return Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | Year Ended October 31, 2012 | |||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.65 | $ | 10.60 | $ | 10.64 | $ | 10.45 | $ | 10.61 | $ | 10.09 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.24 | 0.23 | 0.25 | 0.24 | 0.52 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.23 | ) | 0.11 | (0.04 | ) | 0.19 | 0.07 | 0.65 | ||||||||||||||||
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Total from Investment Operations | (0.11 | ) | 0.35 | 0.19 | 0.44 | 0.31 | 1.17 | |||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.23 | ) | (0.19 | ) | (0.25 | ) | (0.33 | ) | (0.63 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.16 | ) | (0.07 | ) | (0.04 | ) | — | — | (0.02 | ) | ||||||||||||||
Distributions from Return of Capital | — | — | — | — | (0.14 | ) | — | |||||||||||||||||
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Total Distributions | (0.27 | ) | (0.30 | ) | (0.23 | ) | (0.25 | ) | (0.47 | ) | (0.65 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 10.27 | $ | 10.65 | $ | 10.60 | $ | 10.64 | $ | 10.45 | $ | 10.61 | ||||||||||||
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Total Return | (0.97 | )% (2) | 3.35 | % | 1.83 | % | 4.24 | % | 2.96 | % | 12.03 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 2,185,317 | $ | 2,762,803 | $ | 2,399,850 | $ | 2,177,160 | $ | 2,492,073 | $ | 2,342,406 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.88 | % (3) | 0.87 | % | 0.88 | % | 0.87 | % | 0.83 | % | 0.83 | % | ||||||||||||
After Expense Reimbursement | 0.79 | % (3) | 0.79 | % | 0.79 | % | 0.77 | % | 0.73 | % | 0.73 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.41 | % (3) | 2.25 | % | 2.17 | % | 2.36 | % | 2.31 | % | 5.02 | % | ||||||||||||
Portfolio Turnover Rate | 122.58 | % (2) | 318.48 | % | 287.85 | % | 201.30 | % | 190.79 | % | 123.43 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
116
TCW Funds, Inc.
Shareholder Expenses (Unaudited)
As a shareholder of a 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, 2016 to April 30, 2017 (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, 2016 | Ending Account Value April 30, 2017 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2016 to April 30, 2017) | ||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 993.60 | 0.49 | % | $ | 2.42 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.37 | 0.49 | % | 2.46 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 993.10 | 0.76 | % | $ | 3.76 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.03 | 0.76 | % | 3.81 | |||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.80 | 0.70 | % | $ | 3.48 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.32 | 0.70 | % | 3.51 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.80 | 0.75 | % | $ | 3.73 | ||||||||
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 | $ | 986.80 | 1.04 | % | $ | 5.12 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.64 | 1.04 | % | 5.21 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 986.80 | 1.04 | % | $ | 5.12 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.64 | 1.04 | % | 5.21 |
117
TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value November 1, 2016 | Ending Account Value April 30, 2017 | Annualized Expense Ratio | Expenses Paid During Period (November 1,2016 to April 30, 2017) | ||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.60 | 0.55 | % | $ | 2.78 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.07 | 0.55 | % | 2.76 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.10 | 0.80 | % | $ | 4.04 | ||||||||
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 | $ | 1,003.60 | 0.44 | % | $ | 2.19 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.61 | 0.44 | % | 2.21 | |||||||||||
TCW Total Return Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 991.00 | 0.49 | % | $ | 2.42 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.37 | 0.49 | % | 2.46 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 990.30 | 0.79 | % | $ | 3.90 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.88 | 0.79 | % | 3.96 |
118
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 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 files 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). |
119
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 LLC
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 LLC
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
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
Patrick W. Dennis
Assistant Secretary
Lisa Eisen
Tax Officer
George N. Winn
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Focused Equities Fund
TCW Global Real Estate Fund
TCW High Dividend Equities Fund
TCW New America Premier Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
ASSET 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 Developing Markets Equity Fund
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
FUNDsarFI0417
APRIL 30
SEMI-ANNUAL
R E P O R T
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
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
TCW Funds, Inc.
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58 | ||||
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102 | ||||
Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 104 |
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David S. DeVito President, Chief Executive Officer and 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, 2017. I would like to express our appreciation for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of April 30, 2017, the TCW Funds held total net assets of approximately $17 billion.
This report contains information outlining the performance and a list of portfolio holdings as of April 30, 2017 for the TCW Funds’ International fixed income and equity funds.
The International Fixed Income and Equity Markets
The last six months have been characterized by positive risk sentiment in the International markets, as global growth has started to recover. In Western Europe and Japan, we have seen broad based improvement in business spending, sentiment and consumer confidence and believe that recessionary risks remain benign. This pickup in global growth is also supportive of trade, which particularly benefits Emerging Markets. Emerging Markets growth is increasing, and for the first time in five years, the spread between EM growth and developed market growth is widening. In addition, China has been successfully balancing financial stability versus its growth priorities, and the government’s commitment to a stable domestic growth environment bodes well for the global economy.
We believe that the monetary policy backdrop will remain benign and supportive of asset prices. Rising U.S. rates are less of a concern, in our view, given the gradual and well-communicated path of Fed policy. In addition, we believe that the ECB remains very deliberate with its exit strategy, and the BOJ will likely continue with yield curve targeting. In addition, the shift in the U.S. from monetary to fiscal policy should help support commodity prices.
During this period, our flagship TCW Emerging Markets Income Fund and TCW Emerging Markets Local Currency
Fund outperformed their respective benchmarks. In these funds, we continue to prefer higher yielding markets in sovereigns that are undergoing structural reforms. These investments also offer spread cushion in a rising rates environment.
Performance for the TCW International Growth Fund was in line with the index, whereas the TCW International Small Cap and Developing Markets Equity Fund underperformed during this period. In the international equity portfolios, we are overweight Europe and Emerging Markets. Within EM, we are overweight EMEA and Latin America against an underweight in Asia.
We are mindful of the rally thus far, but believe there can continue to be attractive risk/reward opportunities in the international markets. International and EM equities in particular, remain attractive versus the US from both a valuation and technical standpoint, particularly as the dollar appears likely to have peaked and most international markets are still trading at or below their pre-global financial crisis highs. In addition, with average yields of 5-7%, emerging markets debt appears to have value relative to developed markets, especially considering that over 60% of the global fixed income universe trades with yields below 2%. We expect flows to remain supportive in light of the supportive growth backdrop and low yields globally.
TCW Emerging Markets Income Fund Receives 2017 Lipper Fund Award
On March 24, 2017, the TCW Emerging Markets Income Fund (TGEIX/TGINX) was honored in the 2017 Lipper Fund Awards and named best emerging markets hard currency debt fund for the ten-year period ending 12/31/16. The Thomson Reuters Lipper Fund Awards, granted annually, highlight funds and fund companies that have excelled in delivering consistently strong risk-adjusted performance relative to their peers.
1
Letter to Shareholders (Continued) |
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 further correspondence with you through our annual report later this year.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
2
Performance Summary
NAV | Six Months Return as of April 30, 2017 | Total Return Annualized as of April 30, 2017 (1) | ||||||||||||||||||||||||||||||||||
1-Year | 5-Year | 10-Year | Since Inception | Inception Date | ||||||||||||||||||||||||||||||||
TCW Developing Markets Equity Fund | ||||||||||||||||||||||||||||||||||||
I Class | $ | 9.67 | 7.32 | % | 19.24 | % | N/A | N/A | (1.26 | )% | 06/30/15 | |||||||||||||||||||||||||
N Class | $ | 9.67 | 7.32 | % | 19.24 | % | N/A | N/A | (1.25 | )% | 06/30/15 | |||||||||||||||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||||||||||||||||||||||
I Class | $ | 8.48 | 4.47 | % | 13.24 | % | 5.04 | % | 8.14 | % | 9.71 | % (2) | 09/01/96 | (3) | ||||||||||||||||||||||
N Class | $ | 10.92 | 4.26 | % | 12.88 | % | 4.75 | % | 7.87 | % | 8.32 | % | 02/27/04 | |||||||||||||||||||||||
TCW Emerging Markets Local Currency Income Fund |
| |||||||||||||||||||||||||||||||||||
I Class | $ | 9.35 | 3.11 | % | 7.10 | % | (0.73 | )% | N/A | 0.94 | % | 12/14/10 | ||||||||||||||||||||||||
N Class | $ | 9.34 | 3.12 | % | 7.11 | % | (0.73 | )% | N/A | 0.91 | % | 12/14/10 | ||||||||||||||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund |
| |||||||||||||||||||||||||||||||||||
I Class | $ | 10.50 | 5.04 | % | 15.98 | % | N/A | N/A | 3.71 | % | 06/28/13 | |||||||||||||||||||||||||
N Class | $ | 10.46 | 5.05 | % | 16.04 | % | N/A | N/A | 3.60 | % | 06/28/13 | |||||||||||||||||||||||||
TCW International Growth Fund | ||||||||||||||||||||||||||||||||||||
I Class | $ | 10.75 | 10.65 | % | 12.49 | % | N/A | N/A | 5.86 | % | 10/31/12 | |||||||||||||||||||||||||
N Class | $ | 10.71 | 10.53 | % | 12.14 | % | N/A | N/A | 5.55 | % | 10/31/12 | |||||||||||||||||||||||||
TCW International Small Cap Fund | ||||||||||||||||||||||||||||||||||||
I Class | $ | 8.90 | 9.44 | % | 10.39 | % | 4.53 | % | N/A | 0.23 | % | 02/28/11 | ||||||||||||||||||||||||
N Class | $ | 8.91 | 9.56 | % | 10.51 | % | 4.48 | % | N/A | 0.19 | % | 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. |
3
TCW Developing Markets Equity Fund
Schedule of Investments (Unaudited)
Number of Shares | Common Stock | Value | ||||||
Argentina (2.6% of Net Assets) | ||||||||
370 | MercadoLibre, Inc. | $ | 84,697 | |||||
1,700 | Tenaris S.A. (ADR) | 53,091 | ||||||
|
| |||||||
Total Argentina (Cost: $102,156) | 137,788 | |||||||
|
| |||||||
Brazil (3.9%) | ||||||||
10,000 | Banco do Brasil S.A. | 102,695 | ||||||
11,800 | Petroleo Brasileiro S.A. (SP ADR) (1) | 106,318 | ||||||
|
| |||||||
Total Brazil (Cost: $202,753) | 209,013 | |||||||
|
| |||||||
Canada (1.5%) | ||||||||
2,400 | Barrick Gold Corp. | 40,128 | ||||||
2,900 | Goldcorp, Inc. | 40,484 | ||||||
|
| |||||||
Total Canada (Cost: $94,584) | 80,612 | |||||||
|
| |||||||
China (22.9%) | ||||||||
1,384 | Alibaba Group Holding, Ltd. (SP ADR) (1) | 159,852 | ||||||
94,000 | Aluminum Corp. of China, Ltd. — Class H (1) | 46,204 | ||||||
162,000 | Bank of China, Ltd. — Class H | 78,369 | ||||||
20,000 | China Railway Group, Ltd. — Class H | 16,917 | ||||||
36,000 | Chongqing Rural Commercial Bank Co., Ltd. — Class H | 24,727 | ||||||
40,000 | Fu Shou Yuan International Group, Ltd. | 25,549 | ||||||
32,000 | Great Wall Motor Co., Ltd. — Class H | 34,659 | ||||||
121,000 | Industrial & Commercial Bank of China, Ltd. — Class H | 78,884 | ||||||
4,500 | Kingboard Chemical Holdings, Ltd. | 16,209 | ||||||
1,380 | Kweichow Moutai Co., Ltd. | 82,582 | ||||||
2,500 | Melco Crown Entertainment, Ltd. (ADR) | 54,875 | ||||||
2,406 | Micron Technology, Inc. (1) | 66,574 | ||||||
200 | NetEase, Inc. (ADR) | 53,078 | ||||||
14,150 | Ping An Insurance Group Co. of China, Ltd. — Class H | 79,563 | ||||||
96,144 | Q Technology Group Co., Ltd. (1) | 81,642 | ||||||
4,000 | Sunny Optical Technology Group Co., Ltd. | 32,870 | ||||||
8,500 | Tencent Holdings, Ltd. | 266,361 | ||||||
30,000 | Tongda Group Holdings, Ltd. | 11,747 | ||||||
200 | YY, Inc. (ADR) (1) | 9,794 | ||||||
|
| |||||||
Total China (Cost: $1,017,284) | 1,220,456 | |||||||
|
| |||||||
Colombia (Cost: $12,359) (0.3%) | ||||||||
3,600 | Interconexion Electrica SA ESP | 14,215 | ||||||
|
| |||||||
Greece (Cost: $49,397) (1.0%) | ||||||||
3,300 | JUMBO S.A. | 52,070 | ||||||
|
| |||||||
Hungary (Cost: $78,065) (1.5%) | ||||||||
2,740 | OTP Bank PLC | 77,074 | ||||||
|
| |||||||
India (8.2%) | ||||||||
2,121 | Bharat Financial Inclusion, Ltd. (1) | 26,502 | ||||||
2,900 | Finolex Industries, Ltd. | 26,182 |
See accompanying notes to financial statements.
4
TCW Developing Markets Equity Fund
April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
India (Continued) | ||||||||
3,020 | Hindustan Petroleum Corp., Ltd. | $ | 25,166 | |||||
8,010 | Indian Oil Corp., Ltd. | 54,927 | ||||||
611 | Maruti Suzuki India, Ltd. | 61,797 | ||||||
1,300 | Max Financial Services, Ltd. | 13,300 | ||||||
25,290 | Power Finance Corp., Ltd. | 62,839 | ||||||
3,696 | Tata Steel, Ltd. | 25,737 | ||||||
14,160 | Vedanta, Ltd. | 53,510 | ||||||
3,445 | Yes Bank, Ltd. | 87,627 | ||||||
|
| |||||||
Total India (Cost: $394,384) | 437,587 | |||||||
|
| |||||||
Indonesia (2.0%) | ||||||||
40,200 | Bank Central Asia Tbk PT | 53,464 | ||||||
573,200 | Sumber Alfaria Trijaya Tbk PT | 24,512 | ||||||
12,900 | United Tractors Tbk PT | 26,009 | ||||||
|
| |||||||
Total Indonesia (Cost: $99,572) | 103,985 | |||||||
|
| |||||||
Italy (Cost: $60,347) (1.5%) | ||||||||
17,557 | PRADA SpA | 82,178 | ||||||
|
| |||||||
Japan (1.5%) | ||||||||
6,000 | NTN Corp. | 30,585 | ||||||
5,000 | Tosoh Corp. | 46,995 | ||||||
|
| |||||||
Total Japan (Cost: $73,284) | 77,580 | |||||||
|
| |||||||
Kenya (Cost: $52,854) (1.1%) | ||||||||
313,700 | Safari.com, Ltd. | 58,904 | ||||||
|
| |||||||
Luxembourg (Cost: $74,113) (1.4%) | ||||||||
9,318 | ArcelorMittal (1) | 73,201 | ||||||
|
| |||||||
Malaysia (Cost: $52,586) (1.8%) | ||||||||
194,550 | My EG Services BHD | 95,372 | ||||||
|
| |||||||
Mexico (3.0%) | ||||||||
8,800 | Cemex S.A.B. de C.V. (SP ADR) (1) | 81,136 | ||||||
64,070 | Genomma Lab Internacional S.A.B. de C.V. (1) | 80,418 | ||||||
|
| |||||||
Total Mexico (Cost: $136,238) | 161,554 | |||||||
|
| |||||||
Pakistan (1.6%) | ||||||||
22,550 | Habib Bank, Ltd. | 59,284 | ||||||
3,100 | Lucky Cement, Ltd. | 26,189 | ||||||
|
| |||||||
Total Pakistan (Cost: $78,343) | 85,473 | |||||||
|
| |||||||
Poland (1.3%) | ||||||||
5,000 | Dino Polska S.A. (1) | 49,933 | ||||||
6,500 | Energa S.A. | 16,680 | ||||||
|
| |||||||
Total Poland (Cost: $60,298) | 66,613 | |||||||
|
|
See accompanying notes to financial statements.
5
TCW Developing Markets Equity Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Russia (7.6%) | ||||||||
27,800 | Aeroflot PJSC (1) | $ | 86,361 | |||||
23,000 | Alrosa PJSC | 39,965 | ||||||
241,000 | Inter RAO UES PJSC | 17,161 | ||||||
11,480 | Mobile TeleSystems PJSC | 55,568 | ||||||
414 | NovaTek PJSC (GDR) | 50,177 | ||||||
11,510 | Rosneft Oil Co. PJSC | 64,349 | ||||||
32,140 | Sberbank of Russia | 93,585 | ||||||
|
| |||||||
Total Russia (Cost: $293,856) | 407,166 | |||||||
|
| |||||||
South Africa (5.1%) | ||||||||
3,895 | Clicks Group, Ltd. | 39,087 | ||||||
8,356 | FirstRand, Ltd. | 31,128 | ||||||
2,000 | Foschini Group, Ltd. (The) | 23,844 | ||||||
56,200 | KAP Industrial Holdings, Ltd. | 39,346 | ||||||
2,937 | Mr Price Group, Ltd. | 34,473 | ||||||
2,889 | Nedbank Group, Ltd. | 48,635 | ||||||
5,004 | Standard Bank Group, Ltd. | 55,484 | ||||||
|
| |||||||
Total South Africa (Cost: $263,166) | 271,997 | |||||||
|
| |||||||
South Korea (11.4%) | ||||||||
300 | BGF retail Co., Ltd. | 28,881 | ||||||
2,100 | Doosan Infracore Co., Ltd. (1) | 17,369 | ||||||
225 | Hyundai Mobis Co., Ltd. | 43,880 | ||||||
420 | Hyundai Motor Co. | 53,120 | ||||||
1,600 | KB Financial Group, Inc. (ADR) | 69,552 | ||||||
202 | Samsung Electronics Co., Ltd. | 396,006 | ||||||
|
| |||||||
Total South Korea (Cost: $459,306) | 608,808 | |||||||
|
| |||||||
Switzerland (Cost: $74,729) (1.3%) | ||||||||
11,900 | Weatherford International PLC (1) | 68,663 | ||||||
|
| |||||||
Taiwan (10.0%) | ||||||||
88,508 | Cathay Financial Holding Co., Ltd. | 141,844 | ||||||
11,000 | Formosa Sumco Technology Corp. | 32,953 | ||||||
18,000 | Hon Hai Precision Industry Co., Ltd. | 58,917 | ||||||
22,000 | Powertech Technology, Inc. | 69,019 | ||||||
1,873 | Silergy Corp. | 33,870 | ||||||
5,970 | Taiwan Semiconductor Manufacturing Co., Ltd. (SP ADR) | 197,428 | ||||||
|
| |||||||
Total Taiwan (Cost: $429,593) | 534,031 | |||||||
|
| |||||||
Thailand (0.7%) | ||||||||
8,500 | KCE Electronics PCL (NVDR) | 26,142 | ||||||
1,200 | PTT PCL (NVDR) | 13,472 | ||||||
|
| |||||||
Total Thailand (Cost: $38,825) | 39,614 | |||||||
|
|
See accompanying notes to financial statements.
6
TCW Developing Markets Equity Fund
April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
United Arab Emirates (2.7%) | ||||||||
11,700 | Emaar Properties PJSC | $ | 22,848 | |||||
4,755 | NMC Health PLC | 122,445 | ||||||
|
| |||||||
Total United Arab Emirates (Cost: $97,831) | 145,293 | |||||||
|
| |||||||
Total Common Stock (Cost: $4,295,923) (95.9%) | 5,109,247 | |||||||
|
| |||||||
Preferred Stock | ||||||||
Brazil (2.6%) | ||||||||
2,600 | Cia Brasileira de Distribuicao, 0.28% (ADR) | 58,630 | ||||||
6,310 | Itau Unibanco Holding S.A., 3.46% (ADR) | 77,613 | ||||||
|
| |||||||
Total Brazil (Cost: $99,470) | 136,243 | |||||||
|
| |||||||
Total Preferred Stock (Cost: $99,470) (2.6%) | 136,243 | |||||||
|
| |||||||
Money Market Investments | ||||||||
60,052 | State Street Institutional U.S. Government Money Market Fund — Premier Class (2) | 60,052 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $60,052) (1.1%) | 60,052 | |||||||
|
| |||||||
Total Investments (Cost: $4,455,445) (99.6%) | 5,305,542 | |||||||
Excess of Other Assets over Liabilities (0.4%) | 19,709 | |||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 5,325,251 | ||||||
|
|
Notes to the Schedule of Investments:
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. |
NVDR - | Non-Voting Depositary Receipt. |
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) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
See accompanying notes to financial statements.
7
TCW Developing Markets Equity Fund
Investment by Industry (Unaudited)
Industry | Percentage of Net Assets | |||
Airlines | 1.6 | % | ||
Auto Components | 0.8 | |||
Automobiles | 2.9 | |||
Banks | 17.1 | |||
Beverages | 1.5 | |||
Chemicals | 1.4 | |||
Construction & Engineering | 0.3 | |||
Construction Materials | 2.0 | |||
Consumer Finance | 0.5 | |||
Diversified Consumer Services | 0.5 | |||
Diversified Financial Services | 1.8 | |||
Electric Utilities | 0.9 | |||
Electronic Equipment, Instruments & Components | 2.2 | |||
Electronics | 0.5 | |||
Energy Equipment & Services | 2.3 | |||
Food & Staples Retailing | 3.9 | |||
Health Care Providers & Services | 2.3 | |||
Hotels, Restaurants & Leisure | 1.0 | |||
Household Durables | 1.5 | |||
Industrial Conglomerates | 0.7 | |||
Insurance | 4.4 | |||
Internet Software & Services | 10.8 | |||
IT Services | 1.8 | |||
Machinery | 0.9 | |||
Metals & Mining | 6.1 | |||
Oil, Gas & Consumable Fuels | 6.3 | |||
Pharmaceuticals | 1.5 | |||
Real Estate Management & Development | 0.4 | |||
Semiconductors & Semiconductor Equipment | 7.4 | |||
Specialty Retail | 2.2 | |||
Technology Hardware, Storage & Peripherals | 7.4 | |||
Textiles, Apparel & Luxury Goods | 1.5 | |||
Wireless Telecommunication Services | 2.1 | |||
Money Market Investments | 1.1 | |||
|
| |||
Total | 99.6 | % | ||
|
|
See accompanying notes to financial statements.
8
TCW Developing Markets Equity Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Airlines | $ | 86,361 | $ | — | $ | — | $ | 86,361 | ||||||||
Auto Components | — | 43,880 | — | 43,880 | ||||||||||||
Automobiles | — | 149,576 | — | 149,576 | ||||||||||||
Banks | 128,836 | 700,545 | — | 829,381 | ||||||||||||
Beverages | — | 82,582 | — | 82,582 | ||||||||||||
Chemicals | 26,183 | 46,995 | — | 73,178 | ||||||||||||
Construction & Engineering | — | 16,917 | — | 16,917 | ||||||||||||
Construction Materials | 107,326 | — | — | 107,326 | ||||||||||||
Consumer Finance | — | 26,502 | — | 26,502 | ||||||||||||
Diversified Consumer Services | — | 25,549 | — | 25,549 | ||||||||||||
Diversified Financial Services | — | 93,967 | — | 93,967 | ||||||||||||
Electric Utilities | 14,215 | 33,841 | — | 48,056 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 119,743 | — | 119,743 | ||||||||||||
Electronics | — | 26,142 | — | 26,142 | ||||||||||||
Energy Equipment & Services | 121,754 | — | — | 121,754 | ||||||||||||
Food & Staples Retailing | 74,445 | 67,969 | — | 142,414 | ||||||||||||
Health Care Providers & Services | — | 122,445 | — | 122,445 | ||||||||||||
Hotels, Restaurants & Leisure | 54,875 | — | — | 54,875 | ||||||||||||
Household Durables | — | 81,642 | — | 81,642 | ||||||||||||
Industrial Conglomerates | 39,346 | — | — | 39,346 | ||||||||||||
Insurance | — | 234,707 | — | 234,707 | ||||||||||||
Internet Software & Services | 307,421 | 266,360 | — | 573,781 | ||||||||||||
IT Services | — | 95,372 | — | 95,372 | ||||||||||||
Machinery | — | 47,953 | — | 47,953 | ||||||||||||
Metals & Mining | 80,612 | 238,616 | — | 319,228 | ||||||||||||
Oil, Gas & Consumable Fuels | 156,495 | 183,922 | — | 340,417 | ||||||||||||
Pharmaceuticals | 80,418 | — | — | 80,418 | ||||||||||||
Real Estate Management & Development | — | 22,848 | — | 22,848 | ||||||||||||
Semiconductors & Semiconductor Equipment | 264,002 | 135,842 | — | 399,844 | ||||||||||||
Specialty Retail | — | 110,387 | — | 110,387 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 396,006 | — | 396,006 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 82,178 | — | 82,178 | ||||||||||||
Wireless Telecommunication Services | 58,904 | 55,568 | — | 114,472 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 1,601,193 | 3,508,054 | — | 5,109,247 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Banks | 77,613 | — | — | 77,613 | ||||||||||||
Food & Staples Retailing | 58,630 | — | — | 58,630 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 136,243 | — | — | 136,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 60,052 | — | — | 60,052 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,797,488 | $ | 3,508,054 | $ | — | $ | 5,305,542 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
9
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Argentina (7.9% of Net Assets) | ||||||||||||
ARS | 388,468,000 | Argentina Bonar Bonds, 21.392%, due 04/03/22 (1) | $ | 27,023,861 | ||||||||
ARS | 327,800,000 | Argentine Bonos del Tesoro, 18.2%, due 10/03/21 | 23,567,841 | |||||||||
$ | 79,300,000 | Argentine Republic Government International Bond, 0%, due 12/15/35 (1)(2) | 7,767,435 | |||||||||
67,860,000 | Argentine Republic Government International Bond, 2.5%, due 12/31/38 | 45,296,550 | ||||||||||
12,450,000 | Argentine Republic Government International Bond, 5.625%, due 01/26/22 | 13,002,780 | ||||||||||
41,140,000 | Argentine Republic Government International Bond, 6.875%, due 01/26/27 | 43,476,752 | ||||||||||
49,550,000 | Argentine Republic Government International Bond, 7.125%, due 07/06/36 | 50,303,160 | ||||||||||
ARS | 181,475,000 | Argentina Treasury Bond (BONCER), 2.5%, due 07/22/21 | 14,232,365 | |||||||||
ARS | 286,917,000 | Banco Hipotecario S.A., (144A), 21.354%, due 01/12/20 (1)(3) | 18,933,595 | |||||||||
$ | 9,200,000 | Genneia S.A., (144A), 8.75%, due 01/20/22 (3) | 9,890,000 | |||||||||
10,355,000 | Pampa Energia S.A., (144A), 7.5%, due 01/24/27 (3) | 11,031,181 | ||||||||||
5,860,000 | YPF S.A., (144A), 23.083%, due 07/07/20 (1)(3) | 6,424,025 | ||||||||||
|
| |||||||||||
Total Argentina (Cost: $262,281,210) | 270,949,545 | |||||||||||
|
| |||||||||||
Azerbaijan (Cost: $27,176,134) (0.8%) | ||||||||||||
27,825,000 | State Oil Co. of the Azerbaijan Republic, (Reg. S), 4.75%, due 03/13/23 (4) | 27,651,094 | ||||||||||
|
| |||||||||||
Bahrain (Cost: $57,032,294) (1.7%) | ||||||||||||
56,008,000 | Bahrain Government International Bond, (144A), 7%, due 10/12/28 (3) | 58,326,731 | ||||||||||
|
| |||||||||||
Brazil (14.0%) | ||||||||||||
37,797,000 | Banco do Brasil S.A., (Reg. S), 9%, due 06/29/49 (1)(4) | 39,860,716 | ||||||||||
45,220,000 | Brazil Minas SPE via State of Minas Gerais, (Reg. S), 5.333%, due 02/15/28 (4) | 44,681,882 | ||||||||||
BRL | 224,250,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/27 | 70,671,558 | |||||||||
$ | 26,880,000 | Brazilian Government International Bond, 5%, due 01/27/45 | 24,420,480 | |||||||||
24,620,000 | Brazilian Government International Bond, 6%, due 04/07/26 | 27,020,450 | ||||||||||
15,138,000 | Centrais Eletricas Brasileiras S.A., (Reg. S), 5.75%, due 10/27/21 (4) | 15,577,002 | ||||||||||
13,549,000 | CIMPOR Financial Operations BV, (Reg. S), 5.75%, due 07/17/24 (4) | 11,963,767 | ||||||||||
17,091,000 | CSN Resources S.A., (Reg. S), 6.5%, due 07/21/20 (4) | 13,929,165 | ||||||||||
15,590,000 | GTL Trade Finance, Inc., (Reg. S), 7.25%, due 04/16/44 (4) | 15,570,513 | ||||||||||
11,985,000 | Marfrig Holdings Europe BV, (144A), 8%, due 06/08/23 (3) | 12,703,980 | ||||||||||
8,600,000 | Minerva Luxembourg S.A., (144A), 6.5%, due 09/20/26 (3) | 8,567,664 | ||||||||||
35,055,000 | Petrobras Global Finance BV, 4.375%, due 05/20/23 | 33,642,284 | ||||||||||
44,545,000 | Petrobras Global Finance BV, 5.625%, due 05/20/43 | 37,270,801 | ||||||||||
31,255,000 | Petrobras Global Finance BV, 6.75%, due 01/27/41 | 29,614,113 | ||||||||||
19,030,000 | Petrobras Global Finance BV, 6.85%, due 06/05/15 | 17,041,365 | ||||||||||
42,315,000 | Petrobras Global Finance BV, 7.375%, due 01/17/27 | 45,501,319 | ||||||||||
12,765,000 | Samarco Mineracao S.A., (Reg. S), 4.125%, due 11/01/22 (4)(5) | 8,209,172 | ||||||||||
2,765,000 | Samarco Mineracao S.A., (Reg. S), 5.375%, due 09/26/24 (4)(5) | 1,783,425 | ||||||||||
9,115,000 | Vale Overseas, Ltd., 6.875%, due 11/10/39 | 9,913,474 | ||||||||||
14,260,000 | VM Holding S.A., (144A), 5.375%, due 05/04/27 (3) | 14,124,245 | ||||||||||
|
| |||||||||||
Total Brazil (Cost: $451,588,391) | 482,067,375 | |||||||||||
|
| |||||||||||
Chile (1.0%) | ||||||||||||
15,080,000 | Latam Airlines Group S.A., (Reg. S), 7.25%, due 06/09/20 (4) | 15,872,756 | ||||||||||
16,675,000 | Latam Finance, Ltd., (144A), 6.875%, due 04/11/24 (3) | 16,935,130 | ||||||||||
|
| |||||||||||
Total Chile (Cost: $32,103,470) | 32,807,886 | |||||||||||
|
|
See accompanying notes to financial statements.
10
TCW Emerging Markets Income Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
China (0.8%) | ||||||||||||
$ | 10,450,000 | Energuate Trust, (144A), 5.875%, due 05/03/27 (3) | $ | 10,632,875 | ||||||||
14,575,000 | Studio City Co., Ltd., (144A), 7.25%, due 11/30/21 (3) | 15,622,578 | ||||||||||
|
| |||||||||||
Total China (Cost: $25,465,115) | 26,255,453 | |||||||||||
|
| |||||||||||
Colombia (3.3%) | ||||||||||||
10,100,000 | Avianca Holdings S.A. / Avianca Leasing LLC / Grupo Taca Holdings, Ltd., (Reg. S), 8.375%, due 05/10/20 (4) | 10,044,450 | ||||||||||
27,225,000 | Banco de Bogota S.A., (144A), 6.25%, due 05/12/26 (3) | 29,068,132 | ||||||||||
14,050,000 | Banco GNB Sudameris S.A., (144A), 6.5%, due 04/03/27 (1)(3) | 14,512,948 | ||||||||||
55,290,000 | Colombia Government International Bond, 5%, due 06/15/45 | 56,229,930 | ||||||||||
5,845,000 | Ecopetrol S.A., 5.875%, due 05/28/45 | 5,382,076 | ||||||||||
|
| |||||||||||
Total Colombia (Cost: $111,920,540) | 115,237,536 | |||||||||||
|
| |||||||||||
Costa Rica (2.2%) | ||||||||||||
20,555,000 | Banco Nacional de Costa Rica, (144A), 5.875%, due 04/25/21 (3) | 21,300,119 | ||||||||||
12,675,000 | Banco Nacional de Costa Rica, (Reg. S), 6.25%, due 11/01/23 (4) | 13,264,388 | ||||||||||
39,725,000 | Costa Rica Government International Bond, (Reg. S), 7%, due 04/04/44 (4) | 41,198,797 | ||||||||||
|
| |||||||||||
Total Costa Rica (Cost: $71,341,351) | 75,763,304 | |||||||||||
|
| |||||||||||
Dominican Republic (3.0%) | ||||||||||||
12,005,000 | AES Andres B.V. / Dominican Power Partners / Empresa Generadora de Electricidad Itabo, S.A., (144A), 7.95%, due 05/11/26 (3) | 13,020,623 | ||||||||||
47,045,000 | Dominican Republic International Bond, (144A), 5.95%, due 01/25/27 (3) | 49,425,477 | ||||||||||
38,541,000 | Dominican Republic International Bond, (Reg. S), 6.85%, due 01/27/45 (4) | 41,190,694 | ||||||||||
|
| |||||||||||
Total Dominican Republic (Cost: $98,821,752) | 103,636,794 | |||||||||||
|
| |||||||||||
Ecuador (1.3%) | ||||||||||||
21,855,000 | Ecuador Government International Bond, (144A), 9.65%, due 12/13/26 (3) | 22,346,738 | ||||||||||
23,940,000 | Ecuador Government International Bond, (Reg. S), 7.95%, due 06/20/24 (4) | 22,982,400 | ||||||||||
|
| |||||||||||
Total Ecuador (Cost: $43,141,593) | 45,329,138 | |||||||||||
|
| |||||||||||
Egypt (2.4%) | ||||||||||||
15,655,000 | Egypt Government International Bond, (144A), 6.125%, due 01/31/22 (3) | 16,306,248 | ||||||||||
28,600,000 | Egypt Government International Bond, (144A), 7.5%, due 01/31/27 (3) | 30,903,015 | ||||||||||
33,625,000 | Egypt Government International Bond, (144A), 8.5%, due 01/31/47 (3) | 36,710,094 | ||||||||||
|
| |||||||||||
Total Egypt (Cost: $79,281,880) | 83,919,357 | |||||||||||
|
| |||||||||||
El Salvador (1.6%) | ||||||||||||
34,795,000 | El Salvador Government International Bond, (144A), 8.625%, due 02/28/29 (3) | 35,316,925 | ||||||||||
9,000,000 | El Salvador Government International Bond, (Reg. S), 7.375%, due 12/01/19 (4) | 9,067,500 | ||||||||||
12,497,000 | El Salvador Government International Bond, (Reg. S), 7.65%, due 06/15/35 (4) | 11,434,755 | ||||||||||
|
| |||||||||||
Total El Salvador (Cost: $57,488,529) | 55,819,180 | |||||||||||
|
| |||||||||||
Ghana (0.9%) | ||||||||||||
22,140,000 | Ghana Government International Bond, (Reg. S), 7.875%, due 08/07/23 (4) | 21,946,275 | ||||||||||
10,250,000 | Ghana Government International Bond, (Reg. S), 8.125%, due 01/18/26 (4) | 10,147,500 | ||||||||||
|
| |||||||||||
Total Ghana (Cost: $31,091,564) | 32,093,775 | |||||||||||
|
|
See accompanying notes to financial statements.
11
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Honduras (Cost: $19,224,655) (0.6%) | ||||||||||||
$ | 19,085,000 | Honduras Government International Bond, (144A), 6.25%, due 01/19/27 (3) | $ | 19,896,113 | ||||||||
|
| |||||||||||
India (0.9%) | ||||||||||||
15,450,000 | Neerg Energy, Ltd., (144A), 6%, due 02/13/22 (3) | 15,720,375 | ||||||||||
16,160,000 | Vedanta Resources PLC, (144A), 6.375%, due 07/30/22 (3) | 16,431,488 | ||||||||||
|
| |||||||||||
Total India (Cost: $31,611,440) | 32,151,863 | |||||||||||
|
| |||||||||||
�� | Indonesia (4.0%) | |||||||||||
13,885,000 | Freeport-McMoRan, Inc., 3.55%, due 03/01/22 | 13,121,325 | ||||||||||
9,100,000 | Indika Energy Capital II Pte, Ltd., (144A), 6.875%, due 04/10/22 (3) | 9,117,290 | ||||||||||
3,675,000 | Indo Energy Finance II BV, (Reg. S), 6.375%, due 01/24/23 (4) | 3,523,638 | ||||||||||
14,965,000 | Pertamina Persero PT, (Reg. S), 6%, due 05/03/42 (4) | 15,956,431 | ||||||||||
9,750,000 | Pertamina Persero PT, (Reg. S), 6.45%, due 05/30/44 (4) | 11,035,089 | ||||||||||
26,980,000 | Perusahaan Penerbit SBSN Indonesia III, (144A), 4.15%, due 03/29/27 (3) | 27,533,090 | ||||||||||
12,750,000 | Perusahaan Penerbit SBSN Indonesia III, (144A), 4.35%, due 09/10/24 (3) | 13,288,050 | ||||||||||
14,850,000 | Perusahaan Penerbit SBSN Indonesia III, (144A), 4.55%, due 03/29/26 (3) | 15,567,255 | ||||||||||
19,780,000 | Perusahaan Penerbit SBSN Indonesia III, (Reg. S), 4.325%, due 05/28/25 (4) | 20,472,300 | ||||||||||
8,350,000 | Saka Energi Indonesia PT, (144A), 4.45%, due 05/05/24 (3) | 8,379,826 | ||||||||||
|
| |||||||||||
Total Indonesia (Cost: $132,763,284) | 137,994,294 | |||||||||||
|
| |||||||||||
Iraq (Cost: $28,922,375) (0.9%) | ||||||||||||
34,850,000 | Iraq International Bond, (Reg. S), 5.8%, due 01/15/28 (4) | 31,201,205 | ||||||||||
|
| |||||||||||
Kazakhstan (2.8%) | ||||||||||||
32,195,000 | KazMunayGas National Co. JSC, (144A), 4.75%, due 04/19/27 (3) | 32,085,537 | ||||||||||
39,865,000 | KazMunayGas National Co. JSC, (144A), 5.75%, due 04/19/47 (3) | 38,940,212 | ||||||||||
25,825,000 | Tengizchevroil Finance Co. International, Ltd., (144A), 4%, due 08/15/26 (3) | 25,065,745 | ||||||||||
|
| |||||||||||
Total Kazakhstan (Cost: $96,526,632) | 96,091,494 | |||||||||||
|
| |||||||||||
Lebanon (4.2%) | ||||||||||||
19,710,000 | Lebanon Government International Bond, 6.15%, due 06/19/20 | 20,408,030 | ||||||||||
47,275,000 | Lebanon Government International Bond, 6.4%, due 05/26/23 | 48,939,080 | ||||||||||
34,135,000 | Lebanon Government International Bond, (Reg. S), 6%, due 01/27/23 (4) | 35,073,713 | ||||||||||
40,135,000 | Lebanon Government International Bond, (Reg. S), 6.65%, due 11/03/28 (4) | 40,411,931 | ||||||||||
|
| |||||||||||
Total Lebanon (Cost: $141,677,364) | 144,832,754 | |||||||||||
|
| |||||||||||
Mexico (8.6%) | ||||||||||||
21,705,000 | Banco Mercantil del Norte S.A., (144A), 5.75%, due 10/04/31 (1)(3) | 21,355,549 | ||||||||||
12,891,000 | BBVA Bancomer S.A., (Reg. S), 6.008%, due 05/17/22 (1)(4) | 12,891,000 | ||||||||||
12,395,000 | Credito Real S.A.B. de C.V. SOFOM ER, (144A), 7.25%, due 07/20/23 (3) | 12,883,363 | ||||||||||
9,400,000 | Grupo Kaltex S.A. de C.V., (144A), 8.875%, due 04/11/22 (3) | 9,357,700 | ||||||||||
11,219,000 | Metalsa S.A. de C.V., (Reg. S), 4.9%, due 04/24/23 (4) | 11,078,763 | ||||||||||
MXN | 530,000,000 | Mexico Government Bond (BONOS), 10%, due 12/05/24 | 32,581,519 | |||||||||
$ | 31,635,000 | Mexico Government International Bond, 4.15%, due 03/28/27 | 32,558,742 | |||||||||
32,345,000 | Petroleos Mexicanos, 4.625%, due 09/21/23 | 32,613,463 | ||||||||||
21,030,000 | Petroleos Mexicanos, (144A), 6.5%, due 03/13/27 (3) | 22,802,829 | ||||||||||
49,785,000 | Petroleos Mexicanos, 6.5%, due 06/02/41 | 50,108,602 | ||||||||||
38,645,000 | Petroleos Mexicanos, 6.625%, due 06/15/35 | 40,384,025 |
See accompanying notes to financial statements.
12
TCW Emerging Markets Income Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Mexico (Continued) | ||||||||||||
MXN | 387,503,500 | Petroleos Mexicanos, (Reg. S), 7.19%, due 09/12/24 (4) | $ | 18,142,133 | ||||||||
|
| |||||||||||
Total Mexico (Cost: $287,170,986) | 296,757,688 | |||||||||||
|
| |||||||||||
Mongolia (1.1%) | ||||||||||||
$ | 9,600,000 | Mongolia Government International Bond, (144A), 8.75%, due 03/09/24 (3) | 10,685,760 | |||||||||
5,736,000 | Mongolia Government International Bond, (Reg. S), 4.125%, due 01/05/18 (4) | 5,744,719 | ||||||||||
23,480,000 | Mongolia Government International Bond, (Reg. S), 5.125%, due 12/05/22 (4) | 22,541,809 | ||||||||||
|
| |||||||||||
Total Mongolia (Cost: $37,969,657) | 38,972,288 | |||||||||||
|
| |||||||||||
Nigeria (Cost: $9,659,672) (0.3%) | ||||||||||||
9,350,000 | Nigeria Government International Bond, (144A), 7.875%, due 02/16/32 (3) | 10,179,345 | ||||||||||
|
| |||||||||||
Oman (1.9%) | ||||||||||||
30,220,000 | Oman Government International Bond, (144A), 5.375%, due 03/08/27 (3) | 31,582,922 | ||||||||||
29,855,000 | Oman Government International Bond, (144A), 6.5%, due 03/08/47 (3) | 32,234,264 | ||||||||||
|
| |||||||||||
Total Oman (Cost: $60,048,107) | 63,817,186 | |||||||||||
|
| |||||||||||
Panama (1.8%) | ||||||||||||
31,410,000 | AES Panama SRL, (144A), 6%, due 06/25/22 (3) | 32,548,612 | ||||||||||
29,825,000 | Global Bank Corp., (144A), 4.5%, due 10/20/21 (3) | 29,914,475 | ||||||||||
|
| |||||||||||
Total Panama (Cost: $61,373,706) | 62,463,087 | |||||||||||
|
| |||||||||||
Paraguay (1.3%) | ||||||||||||
15,850,000 | Banco Regional SAECA, (144A), 8.125%, due 01/24/19 (3) | 16,935,725 | ||||||||||
28,995,000 | Paraguay Government International Bond, (144A), 4.7%, due 03/27/27 (3) | 29,618,393 | ||||||||||
|
| |||||||||||
Total Paraguay (Cost: $45,113,654) | 46,554,118 | |||||||||||
|
| |||||||||||
Peru (1.5%) | ||||||||||||
10,633,000 | Banco Internacional del Peru SAA Interbank, (Reg. S), 6.625%, due 03/19/29 (1)(4) | 11,709,591 | ||||||||||
12,014,000 | Corp. Financiera de Desarrollo S.A., (144A), 5.25%, due 07/15/29 (1)(3) | 12,617,103 | ||||||||||
17,000,000 | Orazul Energy Egenor S en C por A, (144A), 5.625%, due 04/28/27 (3) | 17,026,350 | ||||||||||
10,997,000 | Volcan Cia Minera SAA, (Reg. S), 5.375%, due 02/02/22 (4) | 11,183,949 | ||||||||||
|
| |||||||||||
Total Peru (Cost: $50,509,294) | 52,536,993 | |||||||||||
|
| |||||||||||
Russia (4.6%) | ||||||||||||
15,750,000 | Credit Bank of Moscow via CBOM Finance PLC, (144A), 7.5%, due 10/05/27 (1)(3) | 15,986,250 | ||||||||||
14,065,000 | Credit Bank of Moscow via CBOM Finance PLC, (144A), 8.875%, due 12/31/99 (1)(3) | 14,091,724 | ||||||||||
24,830,000 | Gazprom OAO via Gaz Capital S.A., (144A), 4.95%, due 03/23/27 (3) | 25,062,781 | ||||||||||
31,641,000 | Gazprom OAO via Gaz Capital S.A., (Reg. S), 4.95%, due 02/06/28 (4) | 31,898,083 | ||||||||||
10,001,000 | GTH Finance BV, (144A), 7.25%, due 04/26/23 (3) | 10,979,098 | ||||||||||
14,050,000 | Metalloinvest Finance DAC, (144A), 4.85%, due 05/02/24 (3) | 14,050,000 | ||||||||||
RUB | 2,000,000,000 | Russian Federal Bond — OFZ, 7%, due 01/25/23 | 34,179,546 | |||||||||
$ | 12,000,000 | VimpelCom Holdings BV, (Reg. S), 7.504%, due 03/01/22 (4) | 13,612,800 | |||||||||
|
| |||||||||||
Total Russia (Cost: $157,198,307) | 159,860,282 | |||||||||||
|
|
See accompanying notes to financial statements.
13
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
South Africa (3.5%) | ||||||||||||
$ | 11,200,000 | Eskom Holdings SOC, Ltd., (Reg. S), 6.75%, due 08/06/23 (4) | $ | 11,608,800 | ||||||||
35,425,000 | Eskom Holdings SOC, Ltd., (Reg. S), 7.125%, due 02/11/25 (4) | 36,753,437 | ||||||||||
10,400,000 | Petra Diamonds US Treasury PLC, (144A), 7.25%, due 05/01/22 (3) | 10,894,000 | ||||||||||
36,975,000 | Republic of South Africa Government International Bond, 4.3%, due 10/12/28 | 34,963,560 | ||||||||||
ZAR | 302,000,000 | South Africa Government Bond, 10.5%, due 12/21/26 | 25,208,197 | |||||||||
|
| |||||||||||
Total South Africa (Cost: $119,309,378) | 119,427,994 | |||||||||||
|
| |||||||||||
Sri Lanka (2.5%) | ||||||||||||
$ | 19,600,000 | Sri Lanka Government International Bond, (144A), 6.825%, due 07/18/26 (3) | 20,665,750 | |||||||||
25,200,000 | Sri Lanka Government International Bond, (Reg. S), 5.875%, due 07/25/22 (4) | 26,146,008 | ||||||||||
23,200,000 | Sri Lanka Government International Bond, (Reg. S), 6.25%, due 07/27/21 (4) | 24,650,928 | ||||||||||
12,525,000 | Sri Lanka Government International Bond, (Reg. S), 6.85%, due 11/03/25 (4) | 13,227,652 | ||||||||||
|
| |||||||||||
Total Sri Lanka (Cost: $79,417,407) | 84,690,338 | |||||||||||
|
| |||||||||||
Turkey (4.5%) | ||||||||||||
8,500,000 | Akbank TAS, (144A), 7.2%, due 03/16/27 (1)(3) | 9,010,850 | ||||||||||
16,600,000 | Hazine Mustesarligi Varlik Kiralama AS, (144A), 5.004%, due 04/06/23 (3) | 16,956,900 | ||||||||||
22,775,000 | Turkey Government International Bond, 4.25%, due 04/14/26 | 21,693,187 | ||||||||||
58,090,000 | Turkey Government International Bond, 6%, due 03/25/27 | 62,265,219 | ||||||||||
28,200,000 | Turkey Government International Bond, 6%, due 01/14/41 | 29,387,220 | ||||||||||
16,835,000 | Turkiye Is Bankasi, (144A), 6.125%, due 04/25/24 (3) | 17,154,865 | ||||||||||
|
| |||||||||||
Total Turkey (Cost: $150,293,407) | 156,468,241 | |||||||||||
|
| |||||||||||
Ukraine (3.8%) | ||||||||||||
9,805,000 | Ferrexpo Finance PLC, (Reg. S), 10.375%, due 04/07/19 (4) | 10,284,465 | ||||||||||
30,453,000 | Ukraine Government International Bond, (144A), 0%, due 05/31/40 (1)(2)(3) | 10,826,041 | ||||||||||
33,233,000 | Ukraine Government International Bond, (Reg. S), 7.75%, due 09/01/20 (4) | 33,648,579 | ||||||||||
44,952,000 | Ukraine Government International Bond, (Reg. S), 7.75%, due 09/01/21 (4) | 44,925,029 | ||||||||||
34,650,000 | Ukraine Government International Bond, (Reg. S), 7.75%, due 09/01/25 (4) | 33,021,450 | ||||||||||
|
| |||||||||||
Total Ukraine (Cost: $131,262,173) | 132,705,564 | |||||||||||
|
| |||||||||||
Uruguay (Cost: $6,841,250) (0.2%) | ||||||||||||
6,500,000 | Uruguay Government International Bond, 4.375%, due 10/27/27 | 6,830,850 | ||||||||||
|
| |||||||||||
Venezuela (3.8%) | ||||||||||||
149,091,000 | Petroleos de Venezuela S.A. (Reg. S), 5.375%, due 04/12/27 (4) | 57,549,126 | ||||||||||
17,350,000 | Petroleos de Venezuela S.A., (Reg. S), 8.5%, due 10/27/20 (4) | 13,680,475 | ||||||||||
41,000,000 | Venezuela Government International Bond, 9.25%, due 09/15/27 | 22,090,800 | ||||||||||
31,395,000 | Venezuela Government International Bond, (Reg. S), 7.75%, due 10/13/19 (4) | 19,072,516 | ||||||||||
37,970,000 | Venezuela Government International Bond, (Reg. S), 8.25%, due 10/13/24 (4) | 18,229,397 | ||||||||||
|
| |||||||||||
Total Venezuela (Cost: $110,799,663) | 130,622,314 | |||||||||||
|
| |||||||||||
Zambia (Cost: $11,385,000) (0.3%) | ||||||||||||
11,385,000 | First Quantum Minerals, Ltd., (144A), 7.5%, due 04/01/25 (3) | 11,570,006 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities (Cost: $3,117,811,234) (94.0%) | 3,245,481,185 | |||||||||||
|
|
See accompanying notes to financial statements.
14
TCW Emerging Markets Income Fund
April 30, 2017 |
Number of Shares | Equity Securities | Value | ||||||||||
Mexico (0.0%) | ||||||||||||
2,707,350 | Corp. GEO S.A.B. de C.V. (6) | $ | — | |||||||||
240,079 | Hipotecaria Su Casita S.A. de C.V., SOFOM E.N.R. (6) | — | ||||||||||
|
| |||||||||||
Total Mexico (Cost: $—) | — | |||||||||||
|
| |||||||||||
Total Equity Securities (Cost: $—) (0.0%) | — | |||||||||||
|
| |||||||||||
Notional Amount | Currency Options | |||||||||||
$ | 34,215,000 | USD Call / MXN Put, Strike Price MXN 19.14, Expires 05/02/17 (7) | 16,423 | |||||||||
|
| |||||||||||
Total Currency Options (Cost: $139,700) (0.0%) | 16,423 | |||||||||||
|
| |||||||||||
Number of Shares | Money Market Investments | |||||||||||
154,919,994 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (8) | 154,919,994 | ||||||||||
|
| |||||||||||
Total Money Market Investments (Cost: $154,919,994) (4.5%) | 154,919,994 | |||||||||||
|
| |||||||||||
Principal Amount | Short-Term Investments | |||||||||||
U.S. Treasury Securities (Cost: $797,650) (0.0%) | ||||||||||||
$ | 800,000 | U.S. Treasury Bill, 0.85%, due 09/07/17 (9) | 797,561 | |||||||||
|
| |||||||||||
Total Short-Term Investments (Cost: $797,650) (0.0%) | 797,561 | |||||||||||
|
| |||||||||||
Total Investments (Cost: $3,273,668,578) (98.5%) | 3,401,215,163 | |||||||||||
Excess of Other Assets over Liabilities (1.5%) | 50,176,049 | |||||||||||
|
| |||||||||||
Total Net Assets (100.0%) | $ | 3,451,391,212 | ||||||||||
|
| �� | ||||||||||
|
|
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) | ||||||||||||||||||||||||
Bank of America | BRL | 93,460,290 | 07/12/17 | $ | 28,875,000 | $ | 28,749,236 | $ | (125,764 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (11) | ||||||||||||||||||||||||
Bank of America | BRL | 159,543,750 | 07/12/17 | $ | 47,625,000 | $ | 49,077,111 | $ | (1,452,111 | ) | ||||||||||||||
BNP Paribas S.A. | ARS | 219,679,500 | 07/05/17 | 13,700,000 | 13,793,059 | (93,059 | ) | |||||||||||||||||
Goldman Sachs & Co. | BRL | 49,033,600 | 07/12/17 | 15,400,000 | 15,083,182 | 316,818 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 76,725,000 | $ | 77,953,352 | $ | (1,228,352 | ) | ||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
15
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued)
Written Options — OTC | ||||||||||||
Notional Amount | Description | Premiums (Received) | Value | |||||||||
$ | 34,215,000 | USD Put / MXN Call, Strike Price MXN 18.55, Expires 05/02/17 (7) | $ | (110,891 | ) | $ | (3,114 | ) | ||||
|
|
|
|
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||
Notional Amount (12) | Implied Credit Spread (13) | Expiration Date | Counterparty & Reference Entity | Fixed Deal Pay Rate | Unrealized Appreciation | Premium Paid (Received) | Value (14) | |||||||||||||||
OTC Swaps |
| |||||||||||||||||||||
$ 15,900,000 | 0.82 | % | 6/20/22 | Bank of America, China Government Bond, 7.5%, due 10/28/27 | 1% | $ | (114,020 | ) | $ | (28,916 | ) | $ | (142,936 | ) | ||||||||
19,700,000 | 0.82 | % | 6/20/22 | Deutsche Bank AG, China Government Bond, 7.5%, due 10/28/27 | 1% | (124,512 | ) | (52,585 | ) | (177,097 | ) | |||||||||||
31,900,000 | 1.30 | % | 6/20/22 | Citibank N.A., Colombia Government Bond 10.375%, 01/28/33 | 1% | (355,668 | ) | 759,675 | 404,007 | |||||||||||||
10,685,000 | 1.29 | % | 6/20/22 | Bank of America, Indonesia Government Bond, 5.875%, due 03/13/20 | 1% | (91,530 | ) | 228,382 | 136,852 | |||||||||||||
11,400,000 | 1.29 | % | 6/20/22 | Deutsche Bank AG, Indonesia Government Bond, 5.875%, due 03/13/20 | 1% | (84,363 | ) | 230,373 | 146,010 | |||||||||||||
16,350,000 | 1.20 | % | 6/20/22 | Citibank N.A., Mexico Government Bond, 5.95%, 3/19/19 | 1% | (233,500 | ) | 375,434 | 141,934 | |||||||||||||
31,650,000 | 1.20 | % | 6/20/22 | Bank of America, Mexico Government Bond, 5.95%, 3/19/19 | 1% | (592,217 | ) | 866,971 | 274,754 | |||||||||||||
17,370,000 | 0.57 | % | 6/20/22 | Barclays Capital, Korea Government Bond, 7.125%, 04/16/19 | 1% | (17,804 | ) | (348,359 | ) | (366,163 | ) | |||||||||||
112,410,000 | 0.57 | % | 6/20/22 | Citibank N.A., Korea Government Bond, 7.125%, 04/16/19 | 1% | 174,996 | (2,544,621 | ) | (2,369,625 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | (1,438,618 | ) | $ | (513,646 | ) | $ | (1,952,264 | ) | ||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
16
TCW Emerging Markets Income Fund
April 30, 2017 |
Notes to the Schedule of Investments:
ARS - | Argentine Peso. |
BRL - | Brazilian Real. |
MXN - | Mexican Peso. |
RUB - | Russian Ruble. |
USD - | U.S. Dollar. |
ZAR - | South African Rand. |
OTC - | Over the Counter. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2017. |
(2) | Security not accruing interest. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2017, the value of these securities amounted to $1,141,117,959 or 33.1% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(4) | Investments issued under Regulation S of the Securities Act of 1933, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2017, the value of these securities amounted to $1,015,651,267 or 29.4% of net assets. |
(5) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. |
(6) | Non-income producing security. |
(7) | Over-the-counter traded option; Counterparty — Citigroup Global Markets, Inc. |
(8) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
(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. |
(12) | The maximum potential amount the Fund could be required to make as seller of credit protection or receive as buyer of protection if a credit event occurred as defined under the terms of that particular swap agreement. |
(13) | 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/selling 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. |
(14) | The value of a credit default swap agreements serves as an indicator of the current status of the payments/performance risk and represent 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 values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements. |
See accompanying notes to financial statements.
17
TCW Emerging Markets Income Fund
Investments by Industry (Unaudited)
Industry | Percentage of Net Assets | |||
Airlines | 1.3 | % | ||
Auto Parts & Equipment | 0.3 | |||
Banks | 8.7 | |||
Building Materials | 0.3 | |||
Currency Options | 0.0 | * | ||
Diversified Financial Services | 0.4 | |||
Electric | 4.4 | |||
Energy-Alternate Sources | 0.7 | |||
Engineering & Construction | 0.4 | |||
Food | 0.6 | |||
Foreign Government Bonds | 51.5 | |||
Government Regional/Local | 1.3 | |||
Iron & Steel | 2.1 | |||
Lodging | 0.5 | |||
Mining | 2.2 | |||
Oil & Gas | 18.3 | |||
Short Term Investments | 0.0 | * | ||
Telecommunications | 0.7 | |||
Textiles | 0.3 | |||
Money Market Investments | 4.5 | |||
|
| |||
Total | 98.5 | % | ||
|
|
* | Amount rounds to less than 0.1% of net assets |
See accompanying notes to financial statements.
18
TCW Emerging Markets Income Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Airlines | $ | — | $ | 42,852,336 | $ | — | $ | 42,852,336 | ||||||||
Auto Parts & Equipment | — | 11,078,763 | — | 11,078,763 | ||||||||||||
Banks | — | 298,607,029 | — | 298,607,029 | ||||||||||||
Building Materials | — | 11,963,767 | — | 11,963,767 | ||||||||||||
Diversified Financial Services | — | 12,883,363 | — | 12,883,363 | ||||||||||||
Electric | — | 148,198,881 | — | 148,198,881 | ||||||||||||
Energy-Alternate Sources | — | 25,610,375 | — | 25,610,375 | ||||||||||||
Engineering & Construction | — | 12,640,928 | — | 12,640,928 | ||||||||||||
Food | — | 21,271,644 | — | 21,271,644 | ||||||||||||
Foreign Government Bonds | — | 1,788,823,380 | — | 1,788,823,380 | ||||||||||||
Government Regional/Local | — | 44,681,882 | — | 44,681,882 | ||||||||||||
Iron & Steel | — | 65,531,041 | 8,209,172 | 73,740,213 | ||||||||||||
Lodging | — | 15,622,578 | — | 15,622,578 | ||||||||||||
Mining | — | 77,325,013 | — | 77,325,013 | ||||||||||||
Oil & Gas | — | 626,231,435 | — | 626,231,435 | ||||||||||||
Telecommunications | — | 24,591,898 | — | 24,591,898 | ||||||||||||
Textiles | — | 9,357,700 | — | 9,357,700 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 3,237,272,013 | 8,209,172 | 3,245,481,185 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Securities | ||||||||||||||||
Miscellaneous Manufacturers | — | * | — | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity Securities | — | * | — | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 16,423 | — | 16,423 | ||||||||||||
Money Market Investments | 154,919,994 | — | — | 154,919,994 | ||||||||||||
Short-Term Investments | 797,561 | — | — | 797,561 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 155,717,555 | 3,237,288,436 | 8,209,172 | 3,401,215,163 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 316,818 | — | 316,818 | ||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | 1,103,557 | — | 1,103,557 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 155,717,555 | $ | 3,238,708,811 | $ | 8,209,172 | $ | 3,402,635,538 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (1,670,934 | ) | $ | — | $ | (1,670,934 | ) | ||||||
Written Options | ||||||||||||||||
Foreign Currency Risk | — | (3,114 | ) | — | (3,114 | ) | ||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | (3,055,821 | ) | — | (3,055,821 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (4,729,869 | ) | $ | — | $ | (4,729,869 | ) | ||||||
|
|
|
|
|
|
|
|
* | Amount rounds to less than $1. |
See accompanying notes to financial statements.
19
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Argentina (4.1% of Net Assets) | ||||||||||||
ARS | 17,000,000 | Argentina Bonar Bonds, 21.392%, due 04/03/22 (1) | $ | 1,165,373 | ||||||||
ARS | 19,300,000 | Argentine Bonos del Tesoro, 18.2%, due 10/03/21 | 1,370,548 | |||||||||
ARS | 1,266,000 | Argentine Republic Government International Bond, 5.83%, due 12/31/33 (1) | 624,523 | |||||||||
ARS | 8,000,000 | Argentina Treasury Bond (BONCER), 2.5%, due 07/22/21 | 623,268 | |||||||||
ARS | 11,780,000 | Banco Hipotecario S.A., (144A), 21.354%, due 01/12/20 (1)(2) | 769,325 | |||||||||
ARS | 560,000 | YPF S.A., (144A), 23.083%, due 07/07/20 (1)(2) | 605,754 | |||||||||
|
| |||||||||||
Total Argentina (Cost: $4,887,359) | 5,158,791 | |||||||||||
|
| |||||||||||
Brazil (15.1%) | ||||||||||||
BRL | 1,202,000 | Brazil Notas do Tesouro Nacional, Series B, 6%, due 08/15/50 | 1,236,952 | |||||||||
BRL | 14,305,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/21 | 4,472,110 | |||||||||
BRL | 16,700,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/25 | 5,161,687 | |||||||||
BRL | 26,430,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/27 | 8,129,553 | |||||||||
|
| |||||||||||
Total Brazil (Cost: $14,720,471) | 19,000,302 | |||||||||||
|
| |||||||||||
Colombia (6.0%) | ||||||||||||
COP | 11,831,900,000 | Colombian TES (Treasury) Bond, 7%, due 05/04/22 | 4,211,168 | |||||||||
COP | 600,000,000 | Colombian TES (Treasury) Bond, 7.5%, due 08/26/26 | 220,987 | |||||||||
COP | 1,700,000,000 | Colombian TES (Treasury) Bond, 7.75%, due 09/18/30 | 638,437 | |||||||||
COP | 6,082,000,000 | Colombian TES (Treasury) Bond, 10%, due 07/24/24 | 2,525,533 | |||||||||
|
| |||||||||||
Total Colombia (Cost: $6,677,035) | 7,596,125 | |||||||||||
|
| |||||||||||
India (3.4%) | ||||||||||||
INR | 80,000,000 | NTPC Ltd., (Reg. S), 7.375%, due 08/10/21 (3) | 1,254,942 | |||||||||
INR | 180,000,000 | Rural Electrification Corp., Ltd., 8.82%, due 04/12/23 | 2,957,663 | |||||||||
|
| |||||||||||
Total India (Cost: $4,054,666) | 4,212,605 | |||||||||||
|
| |||||||||||
Indonesia (11.9%) | ||||||||||||
IDR | 73,000,000,000 | Indonesia Treasury Bond, 8.25%, due 07/15/21 | 5,783,480 | |||||||||
IDR | 39,128,000,000 | Indonesia Treasury Bond, 8.375%, due 03/15/24 | 3,156,146 | |||||||||
IDR | 24,003,000,000 | Indonesia Treasury Bond, 8.375%, due 03/15/34 | 1,916,602 | |||||||||
IDR | 49,341,000,000 | Indonesia Treasury Bond, 9%, due 03/15/29 | 4,160,717 | |||||||||
|
| |||||||||||
Total Indonesia (Cost: $14,052,948) | 15,016,945 | |||||||||||
|
| |||||||||||
Malaysia (7.5%) | ||||||||||||
MYR | 5,200,000 | Malaysia Government Bond, 3.48%, due 03/15/23 | 1,172,546 | |||||||||
MYR | 13,978,000 | Malaysia Government Bond, 3.659%, due 10/15/20 | 3,220,961 | |||||||||
MYR | 4,700,000 | Malaysia Government Bond, 3.759%, due 03/15/19 | 1,092,769 | |||||||||
MYR | 6,000,000 | Malaysia Government Bond, 3.8%, due 08/17/23 | 1,374,568 | |||||||||
MYR | 5,200,000 | Malaysia Government Bond, 3.955%, due 09/15/25 | 1,187,137 | |||||||||
MYR | 6,260,000 | Malaysia Government Bond, 4.254%, due 05/31/35 | 1,396,639 | |||||||||
|
| |||||||||||
Total Malaysia (Cost: $9,721,776) | 9,444,620 | |||||||||||
|
| |||||||||||
Mexico (12.0%) | ||||||||||||
MXN | 24,000,000 | Mexico Government Bond (BONOS), 6.5%, due 06/10/21 | 1,241,120 | |||||||||
MXN | 50,600,000 | Mexico Government Bond (BONOS), 6.5%, due 06/09/22 | 2,598,991 |
See accompanying notes to financial statements.
20
TCW Emerging Markets Local Currency Income Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Mexico (Continued) | ||||||||||||
MXN | 23,930,000 | Mexico Government Bond (BONOS), 7.75%, due 05/29/31 | $ | 1,290,961 | ||||||||
MXN | 53,600,000 | Mexico Government Bond (BONOS), 7.75%, due 11/13/42 | 2,862,959 | |||||||||
MXN | 48,000,000 | Mexico Government Bond (BONOS), 8%, due 06/11/20 | 2,599,693 | |||||||||
MXN | 36,600,000 | Mexico Government Bond (BONOS), 8.5%, due 05/31/29 | 2,106,196 | |||||||||
MXN | 19,000,000 | Mexico Government Bond (BONOS), 10%, due 12/05/24 | 1,168,016 | |||||||||
MXN | 22,240,000 | Petroleos Mexicanos, (Reg. S), 7.19%, due 09/12/24 (3) | 1,041,232 | |||||||||
MXN | 3,700,000 | Petroleos Mexicanos, (Reg. S), 7.65%, due 11/24/21 (3) | 185,938 | |||||||||
|
| |||||||||||
Total Mexico (Cost: $14,204,262) | 15,095,106 | |||||||||||
|
| |||||||||||
Peru (3.6%) | ||||||||||||
PEN | 3,800,000 | Fondo MIVIVIENDA S.A., (144A), 7%, due 02/14/24 (2) | 1,209,277 | |||||||||
PEN | 3,300,000 | Peruvian Government International Bond, (144A), 6.35%, due 08/12/28 (2) | 1,054,823 | |||||||||
PEN | 6,931,000 | Peruvian Government International Bond, (Reg. S), 6.95%, due 08/12/31 (3) | 2,312,444 | |||||||||
|
| |||||||||||
Total Peru (Cost: $4,083,762) | 4,576,544 | |||||||||||
|
| |||||||||||
Poland (Cost: $2,322,167) (1.9%) | ||||||||||||
PLN | 9,200,000 | Poland Government Bond, 3.25%, due 07/25/25 | 2,376,090 | |||||||||
|
| |||||||||||
Russia (7.3%) | ||||||||||||
RUB | 191,700,000 | Russian Federal Bond — OFZ, 7%, due 01/25/23 | 3,276,110 | |||||||||
RUB | 47,000,000 | Russian Federal Bond — OFZ, 7%, due 08/16/23 | 799,096 | |||||||||
RUB | 78,000,000 | Russian Federal Bond — OFZ, 7.05%, due 01/19/28 | 1,317,270 | |||||||||
RUB | 115,000,000 | Russian Federal Bond — OFZ, 7.6%, due 04/14/21 | 2,014,558 | |||||||||
RUB | 94,000,000 | Russian Federal Bond — OFZ, 8.5%, due 09/17/31 | 1,756,527 | |||||||||
|
| |||||||||||
Total Russia (Cost: $8,208,905) | 9,163,561 | |||||||||||
|
| |||||||||||
Serbia (Cost: $1,951,749) (1.7%) | ||||||||||||
RSD | 198,900,000 | Serbia Treasury Bond, 10%, due 02/05/22 | 2,086,481 | |||||||||
|
| |||||||||||
South Africa (9.4%) | ||||||||||||
ZAR | 52,600,000 | South Africa Government Bond, 7%, due 02/28/31 | 3,281,265 | |||||||||
ZAR | 41,500,000 | South Africa Government Bond, 8.875%, due 02/28/35 | 2,959,070 | |||||||||
ZAR | 67,094,062 | South Africa Government Bond, 10.5%, due 12/21/26 | 5,600,399 | |||||||||
|
| |||||||||||
Total South Africa (Cost: $11,664,349) | 11,840,734 | |||||||||||
|
| |||||||||||
Sri Lanka (Cost: $550,832) (0.4%) | ||||||||||||
LKR | 87,000,000 | Sri Lanka Government Bonds, 10.75%, due 03/01/21 | 554,527 | |||||||||
|
| |||||||||||
Turkey (7.3%) | ||||||||||||
TRY | 4,991,148 | Turkey Government Bond, 8.3%, due 06/20/18 | 1,363,042 | |||||||||
TRY | 10,600,000 | Turkey Government Bond, 8.8%, due 11/14/18 | 2,890,895 | |||||||||
TRY | 6,600,000 | Turkey Government Bond, 9.2%, due 09/22/21 | 1,764,798 | |||||||||
TRY | 6,325,000 | Turkey Government Bond, 10.5%, due 01/15/20 | 1,770,021 | |||||||||
TRY | 4,720,000 | Turkey Government Bond, 10.7%, due 02/17/21 | 1,328,174 | |||||||||
|
| |||||||||||
Total Turkey (Cost: $9,521,151) | 9,116,930 | |||||||||||
|
| |||||||||||
Total Fixed Income Securities (Cost: $106,621,432) (91.6%) | 115,239,361 | |||||||||||
|
|
See accompanying notes to financial statements.
21
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited) (Continued)
Notional Amount | Currency Options | Value | ||||||||||
$ | 1,825,000 | USD Call / MXN Put, Strike Price MXN 19.35, Expires 05/02/17 (4) | $ | 131 | ||||||||
1,250,000 | USD Call / MXN Put, Strike Price MXN 19.14, Expires 05/02/17 (4) | 600 | ||||||||||
|
| |||||||||||
Total Currency Options (Cost: $15,526) (0.0%) | 731 | |||||||||||
|
| |||||||||||
Number of Shares | Money Market Investments | |||||||||||
6,393,590 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (5) | 6,393,590 | ||||||||||
|
| |||||||||||
Total Money Market Investments (Cost: $6,393,590) (5.1%) | 6,393,590 | |||||||||||
|
| |||||||||||
Principal Amount | Short-Term Investments | |||||||||||
Egypt (1.2%) | ||||||||||||
EGP | 10,300,000 | Egypt Treasury Bills, 0.721%, due 05/23/17 (6) | 565,713 | |||||||||
EGP | 12,300,000 | Egypt Treasury Bills, 0.762%, due 06/20/17 (6) | 666,673 | |||||||||
EGP | 5,700,000 | Egypt Treasury Bills, 0.795%, due 07/11/17 (6) | 305,585 | |||||||||
|
| |||||||||||
Total Egypt (Cost: $1,534,549) | 1,537,971 | |||||||||||
|
| |||||||||||
Total Short-Term Investments (Cost: $1,534,549) (1.2%) | 1,537,971 | |||||||||||
|
| |||||||||||
Total Investments (Cost: $114,565,097) (97.9%) | 123,171,653 | |||||||||||
Excess of Other Assets over Liabilities (2.1%) | 2,582,943 | |||||||||||
|
| |||||||||||
Total Net Assets (100.0%) | $ | 125,754,596 | ||||||||||
|
|
Written Options — OTC | ||||||||||||
Notional Amount | Description | Premiums (Received) | Value | |||||||||
$ | 1,250,000 | USD Put / MXN Call, Strike Price MXN 18.55, Expires 05/02/17 (4) | $ | (4,051 | ) | $ | (114 | ) | ||||
1,825,000 | USD Put / MXN Call, Strike Price MXN 18.42, Expires 05/02/17 (4) | (9,490 | ) | (11 | ) | |||||||
|
|
|
| |||||||||
$ | (13,541 | ) | $ | (125 | ) | |||||||
|
|
|
|
See accompanying notes to financial statements.
22
TCW Emerging Markets Local Currency Income Fund
April 30, 2017 |
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 (7) | ||||||||||||||||||||||||
Bank of America | THB | 345,347,200 | 05/02/17 | $ | 9,860,000 | $ | 9,984,018 | $ | 124,018 | |||||||||||||||
Bank of America | BRL | 8,156,534 | 07/12/17 | 2,520,000 | 2,509,024 | (10,976 | ) | |||||||||||||||||
Bank of America | HUF | 1,753,372,713 | 07/19/17 | 5,975,000 | 6,117,133 | 142,133 | ||||||||||||||||||
Bank of America | IDR | 24,368,030,000 | 05/17/17 | 1,826,689 | 1,825,543 | (1,146 | ) | |||||||||||||||||
Bank of America | MXN | 21,463,255 | 05/17/17 | 1,077,337 | 1,128,268 | 50,931 | ||||||||||||||||||
Bank of America | PLN | 42,916,632 | 06/05/17 | 10,670,000 | 11,053,325 | 383,325 | ||||||||||||||||||
Bank of America | TRY | 8,051,085 | 07/14/17 | 2,135,000 | 2,218,932 | 83,932 | ||||||||||||||||||
BNP Paribas S.A. | CLP | 399,900,000 | 06/28/17 | 600,000 | 598,155 | (1,845 | ) | |||||||||||||||||
BNP Paribas S.A. | COP | 5,237,190,000 | 06/23/17 | 1,785,000 | 1,760,299 | (24,701 | ) | |||||||||||||||||
BNP Paribas S.A. | PLN | 1,407,456 | 06/05/17 | 360,000 | 362,495 | 2,495 | ||||||||||||||||||
BNP Paribas S.A. | ZAR | 5,611,630 | 06/13/17 | 427,065 | 416,344 | (10,721 | ) | |||||||||||||||||
Citibank N.A. | INR | 77,763,000 | 05/17/17 | 1,200,000 | 1,206,278 | 6,278 | ||||||||||||||||||
Standard Chartered PLC | THB | 348,766,275 | 08/02/17 | 10,075,000 | 10,077,514 | 2,514 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 48,511,091 | $ | 49,257,328 | $ | 746,237 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (8) | ||||||||||||||||||||||||
Bank of America | BRL | 17,755,000 | 07/12/17 | $ | 5,300,000 | $ | 5,461,600 | $ | (161,600 | ) | ||||||||||||||
Bank of America | IDR | 24,368,030,000 | 05/17/17 | 1,810,000 | 1,825,543 | (15,543 | ) | |||||||||||||||||
Bank of America | RUB | 66,724,200 | 05/16/17 | 1,140,000 | 1,167,052 | (27,052 | ) | |||||||||||||||||
Bank of America | ZAR | 5,611,630 | 06/13/17 | 415,000 | 416,344 | (1,344 | ) | |||||||||||||||||
BNP Paribas S.A. | ARS | 17,478,150 | 07/05/17 | 1,090,000 | 1,097,404 | (7,404 | ) | |||||||||||||||||
BNP Paribas S.A. | MXN | 21,463,255 | 05/17/17 | 1,045,000 | 1,128,268 | (83,268 | ) | |||||||||||||||||
Citibank N.A. | INR | 145,859,400 | 05/17/17 | 2,160,000 | 2,262,605 | (102,605 | ) | |||||||||||||||||
Goldman Sachs International | BRL | 8,604,088 | 07/12/17 | 2,655,000 | 2,646,695 | 8,305 | ||||||||||||||||||
Standard Chartered PLC | THB | 345,347,200 | 05/02/17 | 9,981,133 | 9,984,018 | (2,885 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 25,596,133 | $ | 25,989,529 | $ | (393,396 | ) | ||||||||||||||||||
|
|
|
|
|
|
Cross Currency Forwards | ||||||||||||||||||||
Counterparty | Contracts to Deliver/ Units of Currency | Settlement Date | Contracts to Receive/ Units of Currency | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Bank of America | EUR | 4,275,000 | 08/07/17 | CZK | 114,753,825 | $ | 8,397 | |||||||||||||
Bank of America | CZK | 115,138,575 | 05/09/17 | EUR | 4,275,000 | (16,760 | ) | |||||||||||||
Goldman Sachs International | EUR | 4,250,000 | 12/18/17 | CZK | 113,529,715 | (7,302 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (15,665) | |||||||||||||||||||
|
|
See accompanying notes to financial statements.
23
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
ARS - | Argentine Peso. |
BRL - | Brazilian Real. |
CLP - | Chilean Peso. |
COP - | Colombian Peso. |
CZK - | Czech Koruna. |
EGP - | Egyptian Pound. |
EUR - | Euro Currency. |
HUF - | Hungarian Forint. |
IDR - | Indonesian Rupiah. |
INR - | Indian Rupee. |
LKR - | Sri Lankan Rupee. |
MXN - | Mexican Peso. |
MYR - | Malaysian Ringgit. |
PEN - | Peruvian Nouveau Sol. |
PLN - | Polish Zloty. |
RSD - | Serbian Dinar. |
RUB - | Russian Ruble. |
THB - | Thai Baht. |
TRY - | New Turkish Lira. |
ZAR - | South African Rand. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2017. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2017, the value of these securities amounted to $3,639,179 or 2.9% 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) | 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, 2017, the value of these securities amounted to $4,794,556 or 3.8% of net assets. |
(4) | Over-the-counter traded option; Counterparty — Citigroup Global Markets, Inc. |
(5) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
(6) | Security not accruing interest. |
(7) | Fund buys foreign currency, sells U.S. Dollar. |
(8) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
24
TCW Emerging Markets Local Currency Income Fund
Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Diversified Financial Services | 2.4 | % | ||
Electric | 1.0 | |||
Foreign Government Bonds | 87.3 | |||
Currency Options | 0.0 | * | ||
Oil & Gas | 0.9 | |||
Short Term Investments | 1.2 | |||
Money Market Investments | 5.1 | |||
|
| |||
Total | 97.9 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
25
TCW Emerging Markets Local Currency Income Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Diversified Financial Services | $ | — | $ | 2,957,663 | $ | — | $ | 2,957,663 | ||||||||
Electric | — | 1,254,942 | — | 1,254,942 | ||||||||||||
Foreign Government Bonds | — | 109,799,586 | — | 109,799,586 | ||||||||||||
Oil & Gas | — | 1,227,170 | — | 1,227,170 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 115,239,361 | — | 115,239,361 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 731 | — | 731 | ||||||||||||
Money Market Investments | 6,393,590 | — | — | 6,393,590 | ||||||||||||
Short-Term Investments* | — | 1,537,971 | — | 1,537,971 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 6,393,590 | 116,778,063 | — | 123,171,653 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 812,328 | — | 812,328 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,393,590 | $ | 117,590,391 | $ | — | $ | 123,983,981 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (475,152 | ) | $ | — | $ | (475,152 | ) | ||||||
Written Options | ||||||||||||||||
Foreign Currency Risk | — | (125 | ) | — | (125 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (475,277 | ) | $ | — | $ | (475,277 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
26
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) | April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Argentina (3.6% of Net Assets) | ||||||||||||
ARS | 2,300,000 | Argentina Bonar Bonds, 21.392%, due 04/03/22 (1) | $ | 160,000 | ||||||||
ARS | 1,325,000 | Argentina Treasury Bond (BONCER), 2.5%, due 07/22/21 | 103,915 | |||||||||
ARS | 1,705,000 | Argentine Bonos del Tesoro, 18.2%, due 10/03/21 | 122,584 | |||||||||
$ | 600,000 | Argentine Republic Government International Bond, 0%, due 12/15/35 (1)(2) | 58,770 | |||||||||
385,000 | Argentine Republic Government International Bond, 2.5%, due 12/31/38 | 256,987 | ||||||||||
200,000 | Argentine Republic Government International Bond, 6.625%, due 07/06/28 | 205,080 | ||||||||||
265,000 | Argentine Republic Government International Bond, 6.875%, due 01/26/27 | 280,052 | ||||||||||
250,000 | Argentine Republic Government International Bond, 7.125%, due 07/06/36 | 253,800 | ||||||||||
ARS | 1,575,000 | Banco Hipotecario S.A., (144A), 21.354%, due 01/12/20 (1)(3) | 103,934 | |||||||||
$ | 150,000 | Genneia S.A., (144A), 8.75%, due 01/20/22 (3) | 161,250 | |||||||||
150,000 | Pampa Energia S.A., (144A), 7.5%, due 01/24/27 (3) | 159,795 | ||||||||||
40,000 | YPF S.A., (144A), 23.083%, due 07/07/20 (1)(3) | 43,850 | ||||||||||
|
| |||||||||||
Total Argentina (Cost: $1,849,484) | 1,910,017 | |||||||||||
|
| |||||||||||
Bahrain (Cost: $404,742) (0.8%) | ||||||||||||
400,000 | Bahrain Government International Bond, (144A), 7%, due 10/12/28 (3) | 416,560 | ||||||||||
|
| |||||||||||
Brazil (6.5%) | ||||||||||||
200,000 | Andrade Gutierrez International S.A., (Reg. S), 4%, due 04/30/18 (4) | 182,000 | ||||||||||
200,000 | Banco do Brasil S.A., (Reg. S), 9%, due 06/29/49 (1)(4) | 210,920 | ||||||||||
225,000 | Brazil Minas SPE via State of Minas Gerais, (Reg. S), 5.333%, due 02/15/28 (4) | 222,322 | ||||||||||
BRL | 1,495,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/27 | 470,609 | |||||||||
$ | 225,000 | Brazilian Government International Bond, 5%, due 01/27/45 | 204,413 | |||||||||
200,000 | Brazilian Government International Bond, 6%, due 04/07/26 | 219,500 | ||||||||||
100,000 | CSN Resources S.A., (Reg. S), 6.5%, due 07/21/20 (4) | 81,500 | ||||||||||
200,000 | GTL Trade Finance, Inc., (Reg. S), 5.893%, due 04/29/24 (4) | 204,680 | ||||||||||
200,000 | Minerva Luxembourg S.A., (144A), 6.5%, due 09/20/26 (3) | 199,248 | ||||||||||
250,000 | Petrobras Global Finance BV, 4.375%, due 05/20/23 | 239,925 | ||||||||||
230,000 | Petrobras Global Finance BV, 5.625%, due 05/20/43 | 192,441 | ||||||||||
210,000 | Petrobras Global Finance BV, 6.75%, due 01/27/41 | 198,975 | ||||||||||
100,000 | Petrobras Global Finance BV, 6.85%, due 06/05/15 | 89,550 | ||||||||||
285,000 | Petrobras Global Finance BV, 7.375%, due 01/17/27 | 306,460 | ||||||||||
200,000 | Samarco Mineracao S.A., (Reg. S), 4.125%, due 11/01/22 (4)(5) | 128,620 | ||||||||||
40,000 | Vale Overseas, Ltd., 6.875%, due 11/10/39 | 43,504 | ||||||||||
200,000 | VM Holding S.A., (144A), 5.375%, due 05/04/27 (3) | 198,096 | ||||||||||
|
| |||||||||||
Total Brazil (Cost: $3,226,754) | 3,392,763 | |||||||||||
|
| |||||||||||
Chile (0.8%) | ||||||||||||
200,000 | Latam Airlines Group S.A., (Reg. S), 7.25%, due 06/09/20 (4) | 210,514 | ||||||||||
200,000 | Latam Finance, Ltd., (144A), 6.875%, due 04/11/24 (3) | 203,120 | ||||||||||
|
| |||||||||||
Total Chile (Cost: $404,332) | 413,634 | |||||||||||
|
| |||||||||||
China (0.8%) | ||||||||||||
200,000 | Energuate Trust, (144A), 5.875%, due 05/03/27 (3) | 203,500 | ||||||||||
200,000 | Studio City Co., Ltd., (144A), 7.25%, due 11/30/21 (3) | 214,375 | ||||||||||
|
| |||||||||||
Total China (Cost: $414,331) | 417,875 | |||||||||||
|
|
See accompanying notes to financial statements.
27
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Colombia (1.7%) | ||||||||||||
$ | 200,000 | Avianca Holdings S.A. / Avianca Leasing LLC / Grupo Taca Holdings, Ltd., (Reg. S), 8.375%, due 05/10/20 (4) | $ | 198,900 | ||||||||
200,000 | Banco de Bogota S.A., (144A), 6.25%, due 05/12/26 (3) | 213,540 | ||||||||||
85,000 | Banco GNB Sudameris S.A., (144A), 6.5%, due 04/03/27 (1)(3) | 87,801 | ||||||||||
400,000 | Colombia Government International Bond, 5%, due 06/15/45 | 406,800 | ||||||||||
|
| |||||||||||
Total Colombia (Cost: $879,568) | 907,041 | |||||||||||
|
| |||||||||||
Costa Rica (1.0%) | ||||||||||||
200,000 | Banco Nacional de Cost Rica, (144A), 5.875%, due 04/25/21 (3) | 207,250 | ||||||||||
325,000 | Costa Rica Government International Bond, (Reg. S), 7%, due 04/04/44 (4) | 337,057 | ||||||||||
|
| |||||||||||
Total Costa Rica (Cost: $505,763) | 544,307 | |||||||||||
|
| |||||||||||
Dominican Republic (1.4%) | ||||||||||||
200,000 | AES Andres B.V. / Dominican Power Partners / Empresa Generadora de Electricidad Itabo, S.A., (144A), 7.95%, due 05/11/26 (3) | 216,920 | ||||||||||
200,000 | Dominican Republic International Bond, (144A), 5.95%, due 01/25/27 (3) | 210,120 | ||||||||||
275,000 | Dominican Republic International Bond, (Reg. S), 6.85%, due 01/27/45 (4) | 293,906 | ||||||||||
|
| |||||||||||
Total Dominican Republic (Cost: $686,697) | 720,946 | |||||||||||
|
| |||||||||||
Ecuador (0.8%) | ||||||||||||
200,000 | Ecuador Government International Bond, (144A), 9.65%, due 12/13/26 (3) | 204,500 | ||||||||||
200,000 | Ecuador Government International Bond, (Reg. S), 7.95%, due 06/20/24 (4) | 192,000 | ||||||||||
|
| |||||||||||
Total Ecuador (Cost: $378,565) | 396,500 | |||||||||||
|
| |||||||||||
Egypt (1.2%) | ||||||||||||
200,000 | Egypt Government International Bond, (144A), 6.125%, due 01/31/22 (3) | 208,320 | ||||||||||
370,000 | Egypt Government International Bond, (144A), 7.5%, due 01/31/27 (3) | 399,794 | ||||||||||
|
| |||||||||||
Total Egypt (Cost: $582,068) | 608,114 | |||||||||||
|
| |||||||||||
El Salvador (0.8%) | ||||||||||||
225,000 | El Salvador Government International Bond, (144A), 8.625%, due 02/28/29 (3) | 228,375 | ||||||||||
45,000 | El Salvador Government International Bond, (Reg. S), 5.875%, due 01/30/25 (4) | 40,311 | ||||||||||
50,000 | El Salvador Government International Bond, (Reg. S), 6.375%, due 01/18/27 (4) | 44,875 | ||||||||||
100,000 | El Salvador Government International Bond, (Reg. S), 7.65%, due 06/15/35 (4) | 91,500 | ||||||||||
|
| |||||||||||
Total El Salvador (Cost: $420,889) | 405,061 | |||||||||||
|
| |||||||||||
Ghana (Cost: $205,836) (0.4%) | ||||||||||||
220,000 | Ghana Government International Bond, (Reg. S), 7.875%, due 08/07/23 (4) | 218,075 | ||||||||||
|
| |||||||||||
Honduras (Cost: $150,000) (0.3%) | ||||||||||||
150,000 | Honduras Government International Bond, (144A), 6.25%, due 01/19/27 (3) | 156,375 | ||||||||||
|
| |||||||||||
India (Cost: $200,000) (0.4%) | ||||||||||||
200,000 | Neerg Energy, Ltd., (144A), 6%, due 02/13/22 (3) | 203,500 | ||||||||||
|
| |||||||||||
Indonesia (1.6%) | ||||||||||||
85,000 | Freeport-McMoRan, Inc., 3.55%, due 03/01/22 | 80,325 | ||||||||||
200,000 | Indika Energy Capital II Pte, Ltd., (144A), 6.875%, due 04/10/22 (3) | 200,380 |
See accompanying notes to financial statements.
28
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Indonesia (Continued) | ||||||||||||
IDR | 1,700,000,000 | Indonesia Treasury Bond, 8.375%, due 03/15/34 | $ | 135,742 | ||||||||
$ | 200,000 | Pertamina Persero PT, (Reg. S), 6%, due 05/03/42 (4) | 213,250 | |||||||||
200,000 | Saka Energi Indonesia PT, (144A), 4.45%, due 05/05/24 (3) | 200,715 | ||||||||||
|
| |||||||||||
Total Indonesia (Cost: $810,415) | 830,412 | |||||||||||
|
| |||||||||||
Iraq (Cost: $223,989) (0.4%) | ||||||||||||
250,000 | Iraq International Bond, (Reg. S), 5.8%, due 01/15/28 (4) | 223,825 | ||||||||||
|
| |||||||||||
Kazakhstan (1.9%) | ||||||||||||
600,000 | KazMunayGas National Co. JSC, (144A), 4.75%, due 04/19/27 (3) | 597,960 | ||||||||||
200,000 | KazMunayGas National Co. JSC, (Reg. S), 5.75%, due 04/30/43 (4) | 198,517 | ||||||||||
200,000 | Tengizchevroil Finance Co. International, Ltd., (144A), 4%, due 08/15/26 (3) | 194,120 | ||||||||||
|
| |||||||||||
Total Kazakhstan (Cost: $990,240) | 990,597 | |||||||||||
|
| |||||||||||
Lebanon (2.0%) | ||||||||||||
245,000 | Lebanon Government International Bond, (Reg. S), 6%, due 01/27/23 (4) | 251,737 | ||||||||||
130,000 | Lebanon Government International Bond, 6.15%, due 06/19/20 | 134,604 | ||||||||||
615,000 | Lebanon Government International Bond, 6.4%, due 05/26/23 | 636,648 | ||||||||||
|
| |||||||||||
Total Lebanon (Cost: $1,006,098) | 1,022,989 | |||||||||||
|
| |||||||||||
Mexico (4.0%) | ||||||||||||
200,000 | Banco Mercantil del Norte S.A., (144A), 5.75%, due 10/04/31 (1)(3) | 196,780 | ||||||||||
200,000 | Credito Real S.A.B. de C.V. SOFOM ER, (144A), 7.25%, due 07/20/23 (3) | 207,880 | ||||||||||
200,000 | Grupo Kaltex S.A. de C.V., (144A), 8.875%, due 04/11/22 (3) | 199,100 | ||||||||||
MXN | 3,100,000 | Mexico Government Bond (BONOS), 10%, due 12/05/24 | 190,571 | |||||||||
$ | 200,000 | Mexico Government International Bond, 4.15%, due 03/28/27 | 205,840 | |||||||||
220,000 | Petroleos Mexicanos, 4.625%, due 09/21/23 | 221,826 | ||||||||||
116,000 | Petroleos Mexicanos, (144A), 6.5%, due 03/13/27 (3) | 125,779 | ||||||||||
355,000 | Petroleos Mexicanos, 6.5%, due 06/02/41 | 357,308 | ||||||||||
300,000 | Petroleos Mexicanos, 6.625%, due 06/15/35 | 313,500 | ||||||||||
MXN | 1,750,000 | Petroleos Mexicanos, (Reg. S), 7.19%, due 09/12/24 (4) | 81,931 | |||||||||
|
| |||||||||||
Total Mexico (Cost: $2,049,896) | 2,100,515 | |||||||||||
|
| |||||||||||
Mongolia (Cost: $189,955) (0.4%) | ||||||||||||
$ | 200,000 | Mongolia Government International Bond, (Reg. S), 5.125%, | 192,009 | |||||||||
|
| |||||||||||
Oman (1.2%) | ||||||||||||
400,000 | Oman Government International Bond, (144A), 5.375%, due 03/08/27 (3) | 418,040 | ||||||||||
200,000 | Oman Government International Bond, (144A), 6.5%, due 03/08/47 (3) | 215,939 | ||||||||||
|
| |||||||||||
Total Oman (Cost: $616,092) | 633,979 | |||||||||||
|
| |||||||||||
Panama (0.8%) | ||||||||||||
200,000 | AES Panama SRL, (144A), 6%, due 06/25/22 (3) | 207,250 | ||||||||||
200,000 | Global Bank Corp., (144A), 4.5%, due 10/20/21 (3) | 200,600 | ||||||||||
|
| |||||||||||
Total Panama (Cost: $406,177) | 407,850 | |||||||||||
|
|
See accompanying notes to financial statements.
29
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Paraguay (0.7%) | ||||||||||||
$ | 150,000 | Banco Regional SAECA, (144A), 8.125%, due 01/24/19 (3) | $ | 160,275 | ||||||||
200,000 | Paraguay Government International Bond, (144A), 4.7%, due 03/27/27 (3) | 204,300 | ||||||||||
|
| |||||||||||
Total Paraguay (Cost: $352,720) | 364,575 | |||||||||||
|
| |||||||||||
Peru (0.7%) | ||||||||||||
70,000 | Banco Internacional del Peru SAA Interbank, (Reg. S), 6.625%, | 77,088 | ||||||||||
200,000 | Orazul Energy Egenor S en C por A, (144A), 5.625%, due 04/28/27 (3) | 200,310 | ||||||||||
100,000 | Volcan Cia Minera SAA, (Reg. S), 5.375%, due 02/02/22 (4) | 101,700 | ||||||||||
|
| |||||||||||
Total Peru (Cost: $371,811) | 379,098 | |||||||||||
|
| |||||||||||
Russia (1.9%) | ||||||||||||
200,000 | Credit Bank of Moscow via CBOM Finance PLC, (144A), 8.875%, due 12/31/99 (1)(3)(6) | 200,380 | ||||||||||
200,000 | Metalloinvest Finance DAC, (144A), 4.85%, due 05/02/24 (3) | 200,000 | ||||||||||
RUB | 11,400,000 | Russia Government Bond — OFZ, 7%, due 01/25/23 | 194,823 | |||||||||
$ | 400,000 | Russia Government Bond, (Reg. S), 4.75%, due 05/27/26 (4) | 422,500 | |||||||||
|
| |||||||||||
Total Russia (Cost: $1,005,484) | 1,017,703 | |||||||||||
|
| |||||||||||
South Africa (1.5%) | ||||||||||||
200,000 | Eskom Holdings SOC, Ltd., (Reg. S), 7.125%, due 02/11/25 (4) | 207,500 | ||||||||||
200,000 | Petra Diamonds US Treasury PLC, (144A), 7.25%, due 05/01/22 (3) | 209,500 | ||||||||||
ZAR | 1,920,000 | South Africa Government Bond, 10.5%, due 12/21/26 | 160,264 | |||||||||
$ | 200,000 | South Africa Government International Bond, 4.3%, due 10/12/28 | 189,120 | |||||||||
|
| |||||||||||
Total South Africa (Cost: $763,893) | 766,384 | |||||||||||
|
| |||||||||||
Sri Lanka (1.0%) | ||||||||||||
290,000 | Sri Lanka Government International Bond, (Reg. S), 5.875%, due 07/25/22 (4) | 300,887 | ||||||||||
200,000 | Sri Lanka Government International Bond, (Reg. S), 6.25%, due 07/27/21 (4) | 212,508 | ||||||||||
|
| |||||||||||
Total Sri Lanka (Cost: $499,346) | 513,395 | |||||||||||
|
| |||||||||||
Turkey (2.3%) | ||||||||||||
200,000 | Turkey Government International Bond, 4.25%, due 04/14/26 | 190,500 | ||||||||||
550,000 | Turkey Government International Bond, 6%, due 01/14/41 | 573,155 | ||||||||||
200,000 | Turkey Government International Bond, 6%, due 03/25/27 | 214,375 | ||||||||||
200,000 | Turkiye Is Bankasi, (144A), 6.125%, due 04/25/24 (3) | 203,800 | ||||||||||
|
| |||||||||||
Total Turkey (Cost: $1,129,620) | 1,181,830 | |||||||||||
|
| |||||||||||
Ukraine (1.7%) | ||||||||||||
120,000 | Ferrexpo Finance PLC, (Reg. S), 10.375%, due 04/07/19(4) | 125,868 | ||||||||||
240,000 | Ukraine Government International Bond, (144A), 0%, due 05/31/40 (1)(2)(3) | 85,320 | ||||||||||
285,000 | Ukraine Government International Bond, (Reg. S), 7.75%, due 09/01/21 (4) | 284,829 | ||||||||||
225,000 | Ukraine Government International Bond, (Reg. S), 7.75%, due 09/01/20 (4) | 227,814 | ||||||||||
200,000 | Ukraine Government International Bond, (Reg. S), 7.75%, due 09/01/25 (4) | 190,600 | ||||||||||
|
| |||||||||||
Total Ukraine (Cost: $904,326) | 914,431 | |||||||||||
|
| |||||||||||
Venezuela (1.4%) | ||||||||||||
1,077,000 | Petroleos de Venezuela S.A. (Reg. S), 5.375%, due 04/12/27 (4) | 415,722 |
See accompanying notes to financial statements.
30
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2017 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Venezuela (Continued) | ||||||||||||
$ | 200,000 | Petroleos de Venezuela S.A., (Reg. S), 8.5%, due 10/27/20 (4) | $ | 157,700 | ||||||||
132,500 | Venezuela Government International Bond, (Reg. S), 7.75%, due 10/13/19 (4) | 80,494 | ||||||||||
154,000 | Venezuela Government International Bond, (Reg. S), 8.25%, due 10/13/24 (4) | 73,935 | ||||||||||
|
| |||||||||||
Total Venezuela (Cost: $679,337) | 727,851 | |||||||||||
|
| |||||||||||
Zambia (Cost: $200,000) (0.4%) | ||||||||||||
200,000 | First Quantum Minerals, Ltd., (144A), 7.5%, due 04/01/25 (3) | 203,250 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities (Cost: $22,508,428) (44.4%) | 23,181,461 | |||||||||||
|
| |||||||||||
Number of Shares | Preferred Stock | |||||||||||
Brazil (1.4%) | ||||||||||||
12,500 | Cia Brasileira de Distribuicao, 1.08% (ADR) | 281,875 | ||||||||||
37,070 | Itau Unibanco Holding S.A., 3.27% (ADR) | 455,961 | ||||||||||
|
| |||||||||||
Total Brazil (Cost: $526,658) | 737,836 | |||||||||||
|
| |||||||||||
Total Preferred Stock (Cost: $526,658) (1.4%) | 737,836 | |||||||||||
|
| |||||||||||
Common Stock | ||||||||||||
Argentina (1.4%) | ||||||||||||
1,780 | MercadoLibre, Inc. | 407,460 | ||||||||||
10,700 | Tenaris S.A. (ADR) | 334,161 | ||||||||||
|
| |||||||||||
Total Argentina (Cost: $581,342) | 741,621 | |||||||||||
|
| |||||||||||
Brazil (2.1%) | ||||||||||||
45,800 | Banco do Brasil S.A. | 470,342 | ||||||||||
13,600 | CVC Brasil Operadora e Agencia de Viagens S.A. | 131,629 | ||||||||||
54,700 | Petroleo Brasileiro S.A. (SP ADR) (7) | 492,847 | ||||||||||
|
| |||||||||||
Total Brazil (Cost: $1,054,450) | 1,094,818 | |||||||||||
|
| |||||||||||
Canada (0.8%) | ||||||||||||
12,900 | Barrick Gold Corp. | 215,688 | ||||||||||
12,800 | Goldcorp, Inc. | 178,688 | ||||||||||
|
| |||||||||||
Total Canada (Cost: $462,283) | 394,376 | |||||||||||
|
| |||||||||||
China (13.2%) | ||||||||||||
7,262 | Alibaba Group Holding, Ltd. (SP ADR) (7) | 838,761 | ||||||||||
396,000 | Aluminum Corp. of China, Ltd. — Class H (7) | 194,647 | ||||||||||
831,000 | Bank of China, Ltd. — Class H | 402,006 | ||||||||||
189,000 | Chongqing Rural Commercial Bank Co., Ltd. — Class H | 129,815 | ||||||||||
207,000 | Fu Shou Yuan International Group, Ltd. | 132,214 | ||||||||||
34,000 | Galaxy Entertainment Group, Ltd. | 188,905 | ||||||||||
134,000 | Great Wall Motor Co., Ltd. — Class H | 145,136 | ||||||||||
625,000 | Industrial & Commercial Bank of China, Ltd. — Class H | 407,458 | ||||||||||
6,797 | Kweichow Moutai Co., Ltd. | 406,747 |
See accompanying notes to financial statements.
31
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||||||
China (Continued) | ||||||||||||
12,900 | Melco Crown Entertainment, Ltd. (ADR) | $ | 283,155 | |||||||||
11,455 | Micron Technology, Inc. (7) | 316,960 | ||||||||||
1,500 | NetEase, Inc. (ADR) | 398,085 | ||||||||||
106,150 | Ping An Insurance Group Co. of China, Ltd. — Class H | 596,863 | ||||||||||
598,621 | Q Technology Group Co., Ltd. (7) | 508,328 | ||||||||||
16,500 | Silergy Corp. | 298,370 | ||||||||||
15,000 | Sunny Optical Technology Group Co., Ltd. | 123,263 | ||||||||||
41,812 | Tencent Holdings, Ltd. | 1,310,244 | ||||||||||
170,000 | Tongda Group Holdings, Ltd. | 66,566 | ||||||||||
2,900 | YY, Inc. (ADR) (7) | 142,013 | ||||||||||
|
| |||||||||||
Total China (Cost: $5,564,574) | 6,889,536 | |||||||||||
|
| |||||||||||
Greece (Cost: $242,120) (0.5%) | ||||||||||||
15,900 | JUMBO S.A. | 250,884 | ||||||||||
|
| |||||||||||
Hungary (Cost: $396,759) (0.7%) | ||||||||||||
13,910 | OTP Bank PLC | 391,279 | ||||||||||
|
| |||||||||||
India (4.9%) | ||||||||||||
8,865 | Bharat Financial Inclusion, Ltd. (7) | 110,770 | ||||||||||
14,000 | Finolex Industries, Ltd. | 126,398 | ||||||||||
15,475 | Hindustan Petroleum Corp., Ltd. | 128,954 | ||||||||||
41,050 | Indian Oil Corp., Ltd. | 281,492 | ||||||||||
2,455 | Maruti Suzuki India, Ltd. | 248,299 | ||||||||||
6,665 | Max Financial Services, Ltd. | 68,187 | ||||||||||
142,050 | Power Finance Corp., Ltd. | 352,957 | ||||||||||
31,750 | State Bank of India | 142,663 | ||||||||||
4,600 | Supreme Industries, Ltd. | 77,370 | ||||||||||
19,437 | Tata Steel, Ltd. | 135,348 | ||||||||||
134,585 | Vedanta, Ltd. | 508,587 | ||||||||||
14,570 | Yes Bank, Ltd. | 370,604 | ||||||||||
|
| |||||||||||
Total India (Cost: $2,334,493) | 2,551,629 | |||||||||||
|
| |||||||||||
Indonesia (0.6%) | ||||||||||||
211,900 | Bank Rakyat Indonesia Persero Tbk PT | 204,674 | ||||||||||
66,300 | United Tractors Tbk PT | 133,676 | ||||||||||
|
| |||||||||||
Total Indonesia (Cost: $343,965) | 338,350 | |||||||||||
|
| |||||||||||
Israel (Cost: $125,503) (0.2%) | ||||||||||||
5,500 | Tower Semiconductor, Ltd. (7) | 118,360 | ||||||||||
|
| |||||||||||
Italy (Cost: $304,592) (0.8%) | ||||||||||||
89,140 | PRADA SpA | 417,231 | ||||||||||
|
| |||||||||||
Japan (1.1%) | ||||||||||||
2,500 | Nabtesco Corp. | 70,879 | ||||||||||
25,000 | NTN Corp. | 127,437 | ||||||||||
7,800 | Sumco Corp. | 136,551 | ||||||||||
23,000 | Tosoh Corp. | 216,177 | ||||||||||
|
| |||||||||||
Total Japan (Cost: $509,988) | 551,044 | |||||||||||
|
|
See accompanying notes to financial statements.
32
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||||||
Kenya (Cost: $138,883) (0.5%) | ||||||||||||
1,312,500 | Safari.com, Ltd. | $ | 246,452 | |||||||||
|
| |||||||||||
Luxembourg (Cost: $350,492) (0.7%) | ||||||||||||
44,057 | ArcelorMittal (7) | 346,104 | ||||||||||
|
| |||||||||||
Malaysia (Cost: $273,066) (0.9%) | ||||||||||||
942,212 | My EG Services BHD | 461,891 | ||||||||||
|
| |||||||||||
Mexico (1.1%) | ||||||||||||
26,600 | Cemex S.A.B. de C.V. (SP ADR)(7) | 245,252 | ||||||||||
268,050 | Genomma Lab Internacional S.A.B. de C.V. — Class B (7) | 336,444 | ||||||||||
|
| |||||||||||
Total Mexico (Cost: $494,704) | 581,696 | |||||||||||
|
| |||||||||||
Norway (Cost: $117,788) (0.2%) | ||||||||||||
5,000 | TGS Nopec Geophysical Co. ASA | 109,254 | ||||||||||
|
| |||||||||||
Pakistan (0.7%) | ||||||||||||
85,799 | Habib Bank, Ltd. | 225,565 | ||||||||||
17,600 | Lucky Cement, Ltd. | 148,690 | ||||||||||
|
| |||||||||||
Total Pakistan (Cost: $291,501) | 374,255 | |||||||||||
|
| |||||||||||
Poland (Cost: $218,036) (0.5%) | ||||||||||||
25,000 | Dino Polska S.A. (3)(7) | 249,665 | ||||||||||
|
| |||||||||||
Russia (3.4%) | ||||||||||||
120,300 | Aeroflot PJSC (7) | 373,713 | ||||||||||
142,900 | Alrosa PJSC | 248,303 | ||||||||||
1,336,000 | Inter RAO UES PJSC | 95,133 | ||||||||||
52,760 | Mobile TeleSystems PJSC | 255,381 | ||||||||||
1,950 | Novatek PJSC (GDR) (4) | 236,340 | ||||||||||
46,920 | Rosneft Oil Co. PJSC | 262,315 | ||||||||||
110,745 | Sberbank of Russia | 322,469 | ||||||||||
|
| |||||||||||
Total Russia (Cost: $1,305,424) | 1,793,654 | |||||||||||
|
| |||||||||||
South Africa (3.0%) | ||||||||||||
20,110 | Clicks Group, Ltd. | 201,808 | ||||||||||
107,125 | FirstRand, Ltd. | 399,067 | ||||||||||
9,700 | Foschini Group, Ltd. (The) | 115,642 | ||||||||||
290,345 | KAP Industrial Holdings, Ltd. | 203,271 | ||||||||||
13,500 | Mr Price Group, Ltd. | 158,454 | ||||||||||
13,664 | Nedbank Group, Ltd. | 230,028 | ||||||||||
21,271 | Standard Bank Group, Ltd. | 235,853 | ||||||||||
|
| |||||||||||
Total South Africa (Cost: $1,488,820) | 1,544,123 | |||||||||||
|
| |||||||||||
South Korea (6.0%) | ||||||||||||
1,300 | BGF retail Co., Ltd. | 125,153 | ||||||||||
10,600 | Doosan Infracore Co., Ltd. (7) | 87,670 | ||||||||||
1,000 | Hyundai Mobis Co., Ltd. | 195,020 | ||||||||||
1,870 | Hyundai Motor Co. | 236,512 | ||||||||||
11,000 | KB Financial Group, Inc. (ADR) | 478,170 | ||||||||||
1,027 | Samsung Electronics Co., Ltd. | 2,013,359 | ||||||||||
|
| |||||||||||
Total South Korea (Cost: $2,475,030) | 3,135,884 | |||||||||||
|
|
See accompanying notes to financial statements.
33
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||||||
Switzerland (Cost: $372,618) (0.7%) | ||||||||||||
60,100 | Weatherford International PLC (7) | $ | 346,777 | |||||||||
|
| |||||||||||
Taiwan (4.7%) | ||||||||||||
314,000 | Cathay Financial Holding Co., Ltd. | 503,220 | ||||||||||
45,000 | Formosa Sumco Technology Corp. | 134,810 | ||||||||||
83,000 | Hon Hai Precision Industry Co., Ltd. | 271,672 | ||||||||||
1,000 | Largan Precision Co., Ltd. | 166,070 | ||||||||||
131,000 | Powertech Technology, Inc. | 410,977 | ||||||||||
106,612 | Taiwan Semiconductor Manufacturing Co., Ltd. | 686,783 | ||||||||||
7,700 | Taiwan Semiconductor Manufacturing Co., Ltd. (SP ADR) | 254,639 | ||||||||||
|
| |||||||||||
Total Taiwan (Cost: $1,944,332) | 2,428,171 | |||||||||||
|
| |||||||||||
Thailand (Cost: $128,357) (0.2%) | ||||||||||||
42,000 | KCE Electronics PCL (NVDR) | 129,173 | ||||||||||
|
| |||||||||||
United Arab Emirates (1.1%) | ||||||||||||
55,000 | Emaar Properties PJSC | 107,406 | ||||||||||
19,000 | NMC Health PLC | 489,263 | ||||||||||
|
| |||||||||||
Total United Arab Emirates (Cost: $408,935) | 596,669 | |||||||||||
|
| |||||||||||
Total Common Stocks (Cost: $21,928,055) (50.0%) | 26,082,896 | |||||||||||
|
| |||||||||||
Notional Amount | Currency Options | |||||||||||
$ | 235,000 | USD Call / MXN Put, Strike Price MXN 19.14, Expires 05/02/17 (8) | 113 | |||||||||
|
| |||||||||||
Total Currency Options (Cost: $960) (0.0%) | 113 | |||||||||||
|
| |||||||||||
Number of Shares | Money Market Investments | |||||||||||
1,431,780 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (9) | 1,431,780 | ||||||||||
|
| |||||||||||
Total Money Market Investments (Cost: $1,431,780) (2.8%) | 1,431,780 | |||||||||||
|
| |||||||||||
Principal Amount | Short-Term Investments | |||||||||||
U.S. Treasury Securities (0.0%) | ||||||||||||
$ | 20,000 | U.S. Treasury Bill, 0.846%, due 09/07/17 (10) | 19,939 | |||||||||
|
| |||||||||||
Total Short-Term Investments (Cost: $19,941) (0.0%) | 19,939 | |||||||||||
|
| |||||||||||
Total Investments (Cost: $46,415,822) (98.6%) | 51,454,025 | |||||||||||
Excess of Other Assets over Liabilities (1.4%) | 754,931 | |||||||||||
|
| |||||||||||
Total Net Assets (100.0%) | $ | 52,208,956 | ||||||||||
|
|
See accompanying notes to financial statements.
34
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2017 |
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 (11) | ||||||||||||||||||||||||
Bank of America | BRL | 307,488 | 07/12/17 | $ | 95,000 | $ | 94,586 | $ | (414 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (12) | ||||||||||||||||||||||||
Bank of America | BRL | 820,750 | 07/12/17 | $ | 245,000 | $ | 252,470 | $ | (7,470 | ) | ||||||||||||||
Goldman Sachs International | BRL | 286,560 | 07/12/17 | 90,000 | 88,148 | 1,852 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 335,000 | $ | 340,618 | $ | (5,618 | ) | ||||||||||||||||||
|
|
|
|
|
|
Written Options — OTC | ||||||||||||
Notional Amount | Description | Premiums (Received) | Value | |||||||||
$ | 235,000 | USD Put / MXN Call, Strike Price MXN 18.55, Expires 05/02/17 (8) | $ | (762 | ) | $ | (21 | ) | ||||
|
|
|
|
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||
Notional Amount | Implied Credit Spread | Expiration Date | Counterparty & Reference Entity | Fixed Deal Pay Rate | Unrealized Appreciation | Premium Paid (Received) | Value | |||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||
$100,000 | 0.82 | % | 6/20/22 | Deutsche Bank AG, China Government Bond, 7.5%, 10/28/27 | 1% | $ | (638 | ) | $ | (261 | ) | $ | (899 | ) | ||||||||||
100,000 | 0.82 | % | 6/20/22 | Bank of America, China Government Bond, 7.5%, 10/28/27 | 1% | (721 | ) | (178 | ) | (899 | ) | |||||||||||||
200,000 | 1.30 | % | 6/20/22 | Citibank N.A., Colombia Government Bond, 10.375%, 01/28/33 | 1% | (2,123 | ) | 4,656 | 2,533 | |||||||||||||||
75,000 | 1.29 | % | 6/20/22 | Deutsche Bank AG, Indonesia Government Bond, 5.875%, 03/13/20 | 1% | (521 | ) | 1,482 | 961 | |||||||||||||||
80,000 | 1.29 | % | 6/20/22 | Bank of America, Indonesia Government Bond, 5.875%, 03/13/20 | 1% | (647 | ) | 1,672 | 1,025 | |||||||||||||||
680,000 | 0.57 | % | 6/20/22 | Citibank N.A., Korea Government Bond, 7.125%, 04/16/19 | 1% | 737 | (15,072 | ) | (14,335 | ) | ||||||||||||||
110,000 | 0.57 | % | 6/20/22 | Barclays Bank PLC, Korea Government Bond, 7.125%, 04/16/19 | 1% | (127 | ) | (2,192 | ) | (2,319 | ) | |||||||||||||
200,000 | 1.20 | % | 6/20/22 | Bank of America, Mexico Government Bond, 5.95%, 03/19/19 | 1% | (3,620 | ) | 5,356 | 1,736 | |||||||||||||||
100,000 | 1.20 | % | 6/20/22 | Citibank N.A., Mexico Government Bond, 5.95%, 03/19/19 | 1% | (1,377 | ) | 2,245 | 868 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (9,037 | ) | $ | (2,292 | ) | $ | (11,329 | ) | ||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
35
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
ARS - | Argentine Peso. |
BRL - | Brazilian Real. |
CNY - | Chinese Yuan. |
EUR - | Euro Currency. |
GBP - | British Pound Sterling. |
HKD - | Hong Kong Dollar. |
HUF - | Hungarian Forint. |
IDR - | Indonesian Rupiah. |
INR - | Indian Rupee. |
JPY - | Japanese Yen. |
KRW - | South Korean Won. |
MXN - | Mexican Peso. |
MYR - | Malaysian Ringgit. |
NOK - | Norwegian Krona. |
PKR - | Pakistan Rupee. |
PLN - | Polish Zloty. |
RUB - | Russian Ruble. |
THB - | Thai Baht. |
TWD - | Taiwan Dollar. |
USD - | U.S. Dollar. |
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. |
NVDR - | Non-Voting Depositary Receipt. |
OTC - | Over the Counter. |
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) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2017. |
(2) | Security not accruing interest. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2017, the value of these securities amounted to $9,121,566 or 17.5% 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) | 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, 2017, the value of these securities amounted to $6,933,934 or 13.3% of net assets. |
(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) | Perpetual Maturity. |
(7) | Non-income producing security. |
(8) | Over-the-counter traded option; Counterparty — Citigroup Global Markets, Inc. |
(9) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
(10) | Rate shown represents yield-to-maturity. |
(11) | Fund buys foreign currency, sells U.S. Dollar. |
(12) | Fund sells foreign currency, buys U.S. Dollar. |
(13) | The maximum potential amount the Fund could be required to make as seller of credit protection or receive as buyer of protection if a credit event occurred as defined under the terms of that particular swap agreement. |
(14) | 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/selling 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. |
(15) | The value of a credit default swap agreements serves as an indicator of the current status of the payments/performance risk and represent 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 values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements. |
See accompanying notes to financial statements.
36
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Airlines | 1.9 | % | ||
Apparel | 0.8 | |||
Auto Manufacturers | 1.2 | |||
Auto Parts & Equipment | 0.4 | |||
Banks | 11.9 | |||
Beverages | 0.8 | |||
Building Materials | 0.8 | |||
Chemicals | 0.6 | |||
Commercial Services | 0.6 | |||
Currency Options | 0.0 | * | ||
Diversified Financial Services | 2.2 | |||
Electric | 2.5 | |||
Electronics | 2.4 | |||
Energy-Alternate Sources | 0.7 | |||
Engineering & Construction | 0.7 | |||
Food | 1.4 | |||
Foreign Government Bonds | 23.1 | |||
Government Regional/Local | 0.4 | |||
Healthcare-Services | 0.9 | |||
Insurance | 2.2 | |||
Internet | 6.1 | |||
Iron & Steel | 2.4 | |||
Leisure Time | 0.3 | |||
Lodging | 1.3 | |||
Machinery-Constr&Mining | 0.4 | |||
Machinery-Diversified | 0.1 | |||
Metal Fabricate & Hardware | 0.9 | |||
Mining | 4.2 | |||
Miscellaneous Manufacturers | 0.7 | |||
Oil & Gas | 10.5 | |||
Oil & Gas Services | 0.9 | |||
Pharmaceuticals | 0.6 | |||
Real Estate | 0.2 | |||
Retail | 1.6 | |||
Semiconductors | 7.9 | |||
Software | 0.8 | |||
Telecommunications | 1.0 | |||
Textiles | 0.4 | |||
Money Market Investments | 2.8 | |||
|
| |||
Total | 98.6 | % | ||
|
|
* | Amount rounds to less than 0.1% of net assets |
See accompanying notes to financial statements.
37
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Country (Unaudited)
Country | Percentage of Net Assets | |||
Argentina | 5.0 | % | ||
Bahrain | 0.8 | |||
Brazil | 9.6 | |||
Canada | 0.8 | |||
Chile | 0.8 | |||
China | 14.0 | |||
Colombia | 1.7 | |||
Costa Rica | 1.0 | |||
Dominican Republic | 1.4 | |||
Ecuador | 0.8 | |||
Egypt | 1.2 | |||
El Salvador | 0.8 | |||
Ghana | 0.4 | |||
Greece | 0.5 | |||
Honduras | 0.3 | |||
Hungary | 0.7 | |||
India | 5.3 | |||
Indonesia | 2.2 | |||
Iraq | 0.4 | |||
Ireland | 0.8 | |||
Israel | 0.2 | |||
Italy | 0.8 | |||
Japan | 1.1 | |||
Kazakhstan | 1.9 | |||
Kenya | 0.5 | |||
Lebanon | 1.9 | |||
Luxembourg | 1.1 | |||
Malaysia | 0.9 | |||
Mexico | 5.1 | |||
Mongolia | 0.4 | |||
Norway | 0.2 | |||
Oman | 1.2 | |||
Pakistan | 0.7 | |||
Panama | 0.8 | |||
Paraguay | 0.7 | |||
Peru | 0.7 | |||
Poland | 0.5 | |||
Russia | 4.6 | |||
South Africa | 4.5 | |||
South Korea | 6.0 | |||
Sri Lanka | 1.0 | |||
Switzerland | 0.7 | |||
Taiwan | 4.7 | |||
Thailand | 0.2 | |||
Turkey | 2.3 | |||
Ukraine | 1.7 | |||
United Arab Emirates | 1.1 | |||
United States | 2.8 | |||
Venezuela | 1.4 | |||
Zambia | 0.4 | |||
|
| |||
Total | 98.6 | % | ||
|
|
See accompanying notes to financial statements.
38
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Airlines | $ | — | $ | 612,534 | $ | — | $ | 612,534 | ||||||||
Banks | — | 1,862,367 | — | 1,862,367 | ||||||||||||
Diversified Financial Services | — | 207,880 | — | 207,880 | ||||||||||||
Electric | — | 1,195,275 | — | 1,195,275 | ||||||||||||
Energy-Alternate Sources | — | 364,750 | — | 364,750 | ||||||||||||
Engineering & Construction | — | 382,380 | — | 382,380 | ||||||||||||
Food | — | 199,248 | — | 199,248 | ||||||||||||
Foreign Government Bonds | — | 11,994,658 | — | 11,994,658 | ||||||||||||
Government Regional/Local | — | 222,322 | — | 222,322 | ||||||||||||
Iron & Steel | — | 655,553 | 128,620 | 784,173 | ||||||||||||
Lodging | — | 214,375 | — | 214,375 | ||||||||||||
Mining | — | 792,871 | — | 792,871 | ||||||||||||
Oil & Gas | — | 4,149,528 | — | 4,149,528 | ||||||||||||
Textiles | — | 199,100 | — | 199,100 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 23,052,841 | 128,620 | 23,181,461 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Banks | 455,961 | — | — | 455,961 | ||||||||||||
Food | 281,875 | — | — | 281,875 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 737,836 | — | — | 737,836 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks | ||||||||||||||||
Airlines | 373,714 | — | — | 373,714 | ||||||||||||
Apparel | — | 417,231 | — | 417,231 | ||||||||||||
Auto Manufacturers | — | 629,946 | — | 629,946 | ||||||||||||
Auto Parts & Equipment | — | 195,021 | — | 195,021 | ||||||||||||
Banks | 225,565 | 3,706,258 | — | 3,931,823 | ||||||||||||
Beverages | — | 406,747 | — | 406,747 | ||||||||||||
Building Materials | 393,942 | — | — | 393,942 | ||||||||||||
Chemicals | 126,398 | 216,178 | — | 342,576 | ||||||||||||
Commercial Services | 203,271 | 132,214 | — | 335,485 | ||||||||||||
Diversified Financial Services | 478,170 | 463,727 | — | 941,897 | ||||||||||||
Electric | — | 95,132 | — | 95,132 | ||||||||||||
Electronics | — | 1,274,109 | — | 1,274,109 | ||||||||||||
Food | 249,665 | — | — | 249,665 | ||||||||||||
Healthcare-Services | — | 489,264 | — | 489,264 | ||||||||||||
Insurance | — | 1,168,271 | — | 1,168,271 | ||||||||||||
Internet | 1,388,234 | 1,772,134 | — | 3,160,368 | ||||||||||||
Iron & Steel | — | 481,452 | — | 481,452 | ||||||||||||
Leisure Time | — | 131,629 | — | 131,629 | ||||||||||||
Lodging | 283,155 | 188,905 | — | 472,060 | ||||||||||||
Machinery-Constr&Mining | — | 221,346 | — | 221,346 | ||||||||||||
Machinery-Diversified | — | 70,879 | — | 70,879 | ||||||||||||
Metal Fabricate & Hardware | 334,161 | 127,437 | — | 461,598 | ||||||||||||
Mining | 394,376 | 951,538 | — | 1,345,914 | ||||||||||||
Miscellaneous Manufacturers | — | 366,702 | — | 366,702 |
See accompanying notes to financial statements.
39
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary (Unaudited) (Continued) | April 30, 2017 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Oil & Gas Services | $ | 346,777 | $ | 109,254 | $ | — | $ | 456,031 | ||||||||
Oil & Gas | 729,187 | 672,760 | — | 1,401,947 | ||||||||||||
Pharmaceuticals | 336,444 | — | — | 336,444 | ||||||||||||
Real Estate | — | 107,406 | — | 107,406 | ||||||||||||
Retail | — | 851,941 | — | 851,941 | ||||||||||||
Semiconductors | 689,959 | 3,382,479 | — | 4,072,438 | ||||||||||||
Software | 398,085 | — | — | 398,085 | ||||||||||||
Telecommunications | 246,452 | 255,381 | — | 501,833 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 7,197,555 | 18,885,341 | — | 26,082,896 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 113 | — | 113 | ||||||||||||
Money Market Investments | 1,431,780 | — | — | 1,431,780 | ||||||||||||
Short-Term Investments | 19,939 | — | — | 19,939 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 9,387,110 | 41,938,295 | 128,620 | 51,454,025 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 1,852 | — | 1,852 | ||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | 7,123 | — | 7,123 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 9,387,110 | $ | 41,947,270 | $ | 128,620 | $ | 51,463,000 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Written Options | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (21 | ) | $ | — | $ | (21 | ) | ||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | (7,884 | ) | — | (7,884 | ) | ||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | (18,452 | ) | — | (18,452 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (26,357 | ) | $ | — | $ | (26,357 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
40
Schedule of Investments (Unaudited) | April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
Argentina (1.8% of Net Assets) | ||||||||
110 | MercadoLibre, Inc. | $ | 25,180 | |||||
1,200 | Tenaris S.A. (ADR) | 37,476 | ||||||
|
| |||||||
Total Argentina (Cost: $46,322) | 62,656 | |||||||
|
| |||||||
Australia (1.3%) | ||||||||
700 | Australia & New Zealand Banking Group, Ltd. | 17,113 | ||||||
3,371 | BlueScope Steel, Ltd. | 29,415 | ||||||
|
| |||||||
Total Australia (Cost: $43,278) | 46,528 | |||||||
|
| |||||||
Austria (Cost: $15,805) (0.6%) | ||||||||
485 | OMV AG | 22,332 | ||||||
|
| |||||||
Brazil (3.5%) | ||||||||
3,300 | Banco do Brasil S.A. | 33,890 | ||||||
4,200 | CVC Brasil Operadora e Agencia de Viagens S.A. | 40,650 | ||||||
5,300 | Petroleo Brasileiro S.A. (SP ADR) (1) | 47,753 | ||||||
|
| |||||||
Total Brazil (Cost: $113,531) | 122,293 | |||||||
|
| |||||||
Canada (2.7%) | ||||||||
200 | Canadian Imperial Bank of Commerce | 16,127 | ||||||
600 | Canadian Utilities, Ltd. | 17,268 | ||||||
1,900 | Goldcorp, Inc. | 26,524 | ||||||
200 | Royal Bank of Canada | 13,672 | ||||||
300 | Shopify, Inc. (1) | 22,757 | ||||||
|
| |||||||
Total Canada (Cost: $99,748) | 96,348 | |||||||
|
| |||||||
China (9.0%) | ||||||||
320 | Alibaba Group Holding, Ltd. (SP ADR) (1) | 36,960 | ||||||
32,000 | Aluminum Corp. of China, Ltd. — Class H (1) | 15,729 | ||||||
35,000 | Bank of China, Ltd. — Class H | 16,932 | ||||||
40,000 | China Animal Healthcare, Ltd. (1) | — | ||||||
53,000 | Industrial & Commercial Bank of China, Ltd. — Class H | 34,552 | ||||||
1,600 | Melco Crown Entertainment, Ltd. (ADR) | 35,120 | ||||||
2,055 | Micron Technology, Inc. (1) | 56,862 | ||||||
51,315 | Q Technology Group Co., Ltd. (1) | 43,575 | ||||||
5,000 | Sunny Optical Technology Group Co., Ltd. | 41,088 | ||||||
1,100 | Tencent Holdings, Ltd. | 34,470 | ||||||
|
| |||||||
Total China (Cost: $302,158) | 315,288 | |||||||
|
| |||||||
Denmark (Cost: $16,282) (0.5%) | ||||||||
300 | FLSmidth & Co. A/S | 18,031 | ||||||
|
| |||||||
Finland (Cost: $33,624) (1.0%) | ||||||||
3,767 | Outokumpu OYJ (1) | 36,061 | ||||||
|
| |||||||
France (4.8%) | ||||||||
1,998 | AXA S.A. | 53,290 | ||||||
401 | BNP Paribas S.A. | 28,292 |
See accompanying notes to financial statements.
41
TCW International Growth Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
France (Continued) | ||||||||
80 | Christian Dior SE | $ | 21,934 | |||||
2,485 | Credit Agricole S.A. | 36,950 | ||||||
527 | Societe Generale S.A. | 28,887 | ||||||
|
| |||||||
Total France (Cost: $139,123) | 169,353 | |||||||
|
| |||||||
Germany (3.3%) | ||||||||
90 | Allianz SE | 17,129 | ||||||
160 | BASF SE | 15,582 | ||||||
447 | Covestro AG | 34,824 | ||||||
96 | HOCHTIEF AG | 17,283 | ||||||
500 | METRO AG | 16,449 | ||||||
1,000 | Uniper SE (1) | 16,407 | ||||||
|
| |||||||
Total Germany (Cost: $103,478) | 117,674 | |||||||
|
| |||||||
Hungary (Cost: $17,397) (0.5%) | ||||||||
595 | OTP Bank PLC | 16,737 | ||||||
|
| |||||||
India (3.5%) | ||||||||
5,295 | Indian Oil Corp., Ltd. | 36,310 | ||||||
205 | Maruti Suzuki India, Ltd. | 20,734 | ||||||
10,172 | Vedanta, Ltd. | 38,439 | ||||||
1,145 | Yes Bank, Ltd. | 29,124 | ||||||
|
| |||||||
Total India (Cost: $113,199) | 124,607 | |||||||
|
| |||||||
Ireland (2.0%) | ||||||||
450 | CRH PLC (SP ADR) | 16,344 | ||||||
5,625 | UDG Healthcare PLC | 54,420 | ||||||
|
| |||||||
Total Ireland (Cost: $60,106) | 70,764 | |||||||
|
| |||||||
Italy (3.6%) | ||||||||
274 | Brembo SpA | 21,520 | ||||||
1,045 | Eni SpA | 16,204 | ||||||
2,286 | Leonardo SpA (1) | 35,912 | ||||||
7,623 | PRADA SpA | 35,681 | ||||||
18,650 | Telecom Italia SpA (1) | 16,548 | ||||||
|
| |||||||
Total Italy (Cost: $104,980) | 125,865 | |||||||
|
| |||||||
Japan (16.6%) | ||||||||
700 | Cocokara fine, Inc. | 33,097 | ||||||
200 | Daikin Industries, Ltd. | 19,446 | ||||||
500 | Daiwa House Industry Co., Ltd. | 14,865 | ||||||
500 | Furukawa Electric Co., Ltd. | 20,242 | ||||||
400 | HOYA Corp. | 19,118 | ||||||
2,000 | Makino Milling Machine Co., Ltd. | 17,818 | ||||||
5,700 | Marubeni Corp. | 35,135 | ||||||
2,212 | Mitsubishi Electric Corp. | 30,873 | ||||||
5,000 | Mitsubishi UFJ Financial Group, Inc. | 31,684 |
See accompanying notes to financial statements.
42
TCW International Growth Fund
April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
Japan (Continued) | ||||||||
500 | MS&AD Insurance Group Holdings, Inc. | $ | 16,303 | |||||
700 | Nabtesco Corp. | 19,846 | ||||||
8,300 | Nomura Holdings, Inc. | 49,882 | ||||||
4,000 | NTN Corp. | 20,390 | ||||||
400 | Omron Corp. | 16,748 | ||||||
300 | Rohm Co., Ltd. | 21,069 | ||||||
400 | Shin-Etsu Chemical Co., Ltd. | 34,769 | ||||||
2,300 | Sumco Corp. | 40,265 | ||||||
400 | Suzuki Motor Corp. | 16,722 | ||||||
2,300 | T&D Holdings, Inc. | 34,201 | ||||||
370 | Tokyo Electron, Ltd. | 44,918 | ||||||
3,000 | Tosoh Corp. | 28,197 | ||||||
400 | Trend Micro, Inc. | 17,600 | ||||||
|
| |||||||
Total Japan (Cost: $528,684) | 583,188 | |||||||
|
| |||||||
Luxembourg (Cost: $22,998) (0.8%) | ||||||||
3,531 | ArcelorMittal (1) | 27,739 | ||||||
|
| |||||||
Malaysia (Cost: $23,984) (1.0%) | ||||||||
71,100 | My EG Services BHD | 34,855 | ||||||
|
| |||||||
Mali (Cost: $37,956) (1.0%) | ||||||||
400 | Randgold Resources, Ltd. (ADR) | 35,196 | ||||||
|
| |||||||
Netherlands (Cost: $16,193) (0.5%) | ||||||||
215 | Heineken NV | 19,170 | ||||||
|
| |||||||
Norway (1.4%) | ||||||||
5,800 | Norsk Hydro ASA | 33,127 | ||||||
713 | TGS Nopec Geophysical Co. ASA | 15,580 | ||||||
|
| |||||||
Total Norway (Cost: $50,379) | 48,707 | |||||||
|
| |||||||
Russia (3.2%) | ||||||||
8,500 | Aeroflot PJSC (1) | 26,405 | ||||||
3,790 | Mobile TeleSystems PJSC | 18,345 | ||||||
5,560 | Rosneft Oil Co. PJSC | 31,084 | ||||||
12,150 | Sberbank of Russia PJSC | 35,379 | ||||||
|
| |||||||
Total Russia (Cost: $87,448) | 111,213 | |||||||
|
| |||||||
Singapore (Cost: $28,541) (1.1%) | ||||||||
180 | Broadcom, Ltd. | 39,746 | ||||||
|
| |||||||
South Africa (Cost: $15,611) (0.5%) | ||||||||
4,605 | FirstRand, Ltd. | 17,155 | ||||||
|
| |||||||
South Korea (3.8%) | ||||||||
400 | KB Financial Group, Inc. (ADR) (1) | 17,388 | ||||||
60 | Samsung Electronics Co., Ltd. | 117,626 | ||||||
|
| |||||||
Total South Korea (Cost: $103,140) | 135,014 | |||||||
|
|
See accompanying notes to financial statements.
43
TCW International Growth Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Spain (3.6%) | ||||||||
317 | Aena S.A. | $ | 55,873 | |||||
6,700 | Banco Bilbao Vizcaya Argentaria S.A. (SP ADR) | 53,600 | ||||||
8,970 | Banco de Sabadell S.A. | 17,247 | ||||||
|
| |||||||
Total Spain (Cost: $97,249) | 126,720 | |||||||
|
| |||||||
Sweden (Cost: $16,791) (0.5%) | ||||||||
500 | Atlas Copco AB | 18,683 | ||||||
|
| |||||||
Switzerland (7.2%) | ||||||||
655 | BKW AG | 35,459 | ||||||
305 | LafargeHolcim Ltd. (1) | 17,288 | ||||||
570 | Logitech International S.A. | 19,042 | ||||||
181 | Lonza Group AG (1) | 37,018 | ||||||
460 | Nestle S.A. | 35,413 | ||||||
3 | Sika AG | 19,138 | ||||||
50 | Swiss Life Holding AG | 16,265 | ||||||
350 | VAT Group AG (1) | 44,934 | ||||||
5,200 | Weatherford International PLC (1) | 30,004 | ||||||
|
| |||||||
Total Switzerland (Cost: $219,316) | 254,561 | |||||||
|
| |||||||
Taiwan (3.0%) | ||||||||
42,200 | Cathay Financial Holding Co., Ltd. | 67,630 | ||||||
12,000 | Powertech Technology, Inc. | 37,647 | ||||||
|
| |||||||
Total Taiwan (Cost: $89,064) | 105,277 | |||||||
|
| |||||||
United Arab Emirates (Cost: $27,325) (1.4%) | ||||||||
1,855 | NMC Health PLC | 47,768 | ||||||
|
| |||||||
United Kingdom (9.5%) | ||||||||
2,635 | Ashtead Group PLC | 55,525 | ||||||
2,500 | Barratt Developments PLC | 18,738 | ||||||
500 | Bellway PLC | 18,407 | ||||||
900 | GlaxoSmithKline PLC (SP ADR) | 36,810 | ||||||
2,140 | Hunting PLC | 15,551 | ||||||
44,515 | IQE PLC (1) | 35,995 | ||||||
500 | Persimmon PLC | 15,070 | ||||||
2,448 | Prudential PLC | 54,270 | ||||||
850 | Smiths Group PLC | 18,049 | ||||||
1,882 | Standard Chartered PLC (1) | 17,568 | ||||||
10,952 | Wm Morrison Supermarkets PLC | 33,983 | ||||||
690 | WPP PLC | 14,759 | ||||||
|
| |||||||
Total United Kingdom (Cost: $299,155) | 334,725 | |||||||
|
| |||||||
United States (1.9%) | ||||||||
2,600 | Advanced Micro Devices, Inc. (1) | 34,580 | ||||||
200 | Schlumberger, Ltd. | 14,518 |
See accompanying notes to financial statements.
44
TCW International Growth Fund
April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
United States (Continued) | ||||||||
300 | Westlake Chemical Corp. | $ | 18,675 | |||||
|
| |||||||
Total United States (Cost: $51,447) | 67,773 | |||||||
|
| |||||||
Total Common Stock (Cost: $2,924,312) (95.1%) | 3,352,027 | |||||||
|
| |||||||
Preferred Stock | ||||||||
Brazil (Cost: $33,240) (1.0%) | ||||||||
3,000 | Itau Unibanco Holding S.A., 3.42% (SP ADR) | 36,900 | ||||||
|
| |||||||
Total Preferred Stock (Cost: $33,240) (1.0%) | 36,900 | |||||||
|
| |||||||
Money Market Investments | ||||||||
142,663 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (2) | 142,663 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $142,663) (4.1%) | 142,663 | |||||||
|
| |||||||
Total Investments (Cost: $3,100,215) (100.2%) | 3,531,590 | |||||||
Liabilities in Excess of Other Assets (-0.2%) | (8,358 | ) | ||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 3,523,232 | ||||||
|
| |||||||
|
|
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) | ||||||||||||||||||||||||
Goldman Sachs International | EUR | 214,000 | 08/17/17 | $ | 234,594 | $ | 234,311 | $ | (283 | ) | ||||||||||||||
Bank of America | JPY | 12,600,000 | 08/17/17 | 113,466 | 113,550 | 84 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 348,060 | $ | 347,861 | $ | (199 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (4) | ||||||||||||||||||||||||
Bank of America | EUR | 322,000 | 08/17/17 | $ | 343,535 | $ | 352,560 | $ | (9,025 | ) | ||||||||||||||
Bank of America | JPY | 38,604,688 | 08/17/17 | 340,000 | 347,902 | (7,902 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 683,535 | $ | 700,462 | $ | (16,927 | ) | ||||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
ADR - | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. |
EUR - | Euro Currency. |
JPY - | Japanese Yen. |
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) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
(3) | Fund buys foreign currency, sells U.S. Dollar. |
(4) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
45
TCW International Growth Fund
Investments by Industry (Unaudited)
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 1.0 | % | ||
Airlines | 0.8 | |||
Auto Components | 0.6 | |||
Automobiles | 1.1 | |||
Banks | 13.8 | |||
Beverages | 0.5 | |||
Building Products | 0.5 | |||
Capital Markets | 1.4 | |||
Chemicals | 4.2 | |||
Construction & Engineering | 1.0 | |||
Construction Materials | 1.0 | |||
Diversified Financial Services | 0.5 | |||
Diversified Telecommunication Services | 0.5 | |||
Electric Utilities | 1.0 | |||
Electrical Equipment | 1.5 | |||
Electronic Equipment, Instruments & Components | 2.2 | |||
Energy Equipment & Services | 3.4 | |||
Food & Staples Retailing | 2.4 | |||
Food Products | 1.0 | |||
Health Care Providers & Services | 2.9 | |||
Hotels, Restaurants & Leisure | 2.1 | |||
Household Durables | 2.6 | |||
Independent Power and Renewable Electricity Producers | 0.4 | |||
Industrial Conglomerates | 0.5 | |||
Insurance | 7.4 | |||
Internet Software & Services | 3.4 | |||
IT Services | 1.0 | |||
Life Sciences Tools & Services | 1.0 | |||
Machinery | 3.5 | |||
Media | 0.4 | |||
Metals & Mining | 6.7 | |||
Multi-Utilities | 0.5 | |||
Oil, Gas & Consumable Fuels | 4.4 | |||
Pharmaceuticals | 1.1 | |||
Real Estate Management & Development | 0.4 | |||
Semiconductors & Semiconductor Equipment | 8.8 | |||
Software | 0.5 | |||
Technology Hardware, Storage & Peripherals | 3.8 | |||
Textiles, Apparel & Luxury Goods | 1.6 | |||
Trading Companies & Distributors | 2.6 | |||
Transportation Infrastructure | 1.6 | |||
Wireless Telecommunication Services | 0.5 | |||
Money Market Investments | 4.1 | |||
|
| |||
Total | 100.2 | % | ||
|
|
See accompanying notes to financial statements.
46
TCW International Growth Fund
Fair Valuation Summary (Unaudited) | April 30, 2017 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | — | $ | 35,912 | $ | — | $ | 35,912 | ||||||||
Airlines | 26,405 | — | — | 26,405 | ||||||||||||
Auto Components | — | 21,520 | — | 21,520 | ||||||||||||
Automobiles | — | 37,456 | — | 37,456 | ||||||||||||
Banks | 100,787 | 344,356 | — | 445,143 | ||||||||||||
Beverages | — | 19,170 | — | 19,170 | ||||||||||||
Building Products | — | 19,446 | — | 19,446 | ||||||||||||
Capital Markets | — | 49,882 | — | 49,882 | ||||||||||||
Chemicals | 18,675 | 132,510 | — | 151,185 | ||||||||||||
Construction & Engineering | — | 35,314 | — | 35,314 | ||||||||||||
Construction Materials | 16,344 | 17,288 | — | 33,632 | ||||||||||||
Diversified Financial Services | — | 17,155 | — | 17,155 | ||||||||||||
Diversified Telecommunication Services | — | 16,548 | — | 16,548 | ||||||||||||
Electric Utilities | — | 35,459 | — | 35,459 | ||||||||||||
Electrical Equipment | — | 51,115 | — | 51,115 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 76,953 | — | 76,953 | ||||||||||||
Energy Equipment & Services | 81,998 | 31,131 | — | 113,129 | ||||||||||||
Food & Staples Retailing | — | 83,530 | — | 83,530 | ||||||||||||
Food Products | — | 35,413 | — | 35,413 | ||||||||||||
Health Care Providers & Services | — | 102,187 | — | 102,187 | ||||||||||||
Hotels, Restaurants & Leisure | 35,120 | 40,650 | — | 75,770 | ||||||||||||
Household Durables | — | 95,790 | — | 95,790 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 16,407 | — | 16,407 | ||||||||||||
Industrial Conglomerates | — | 18,049 | — | 18,049 | ||||||||||||
Insurance | — | 259,087 | — | 259,087 | ||||||||||||
Internet Software & Services | 84,898 | 34,470 | — | 119,368 | ||||||||||||
IT Services | — | 34,855 | — | 34,855 | ||||||||||||
Life Sciences Tools & Services | — | 37,018 | — | 37,018 | ||||||||||||
Machinery | 44,935 | 76,737 | — | 121,672 | ||||||||||||
Media | — | 14,759 | — | 14,759 | ||||||||||||
Metals & Mining | 61,720 | 180,511 | — | 242,231 | ||||||||||||
Multi-Utilities | 17,268 | — | — | 17,268 | ||||||||||||
Oil, Gas & Consumable Fuels | 47,753 | 105,930 | — | 153,683 | ||||||||||||
Pharmaceuticals | 36,810 | — | — | 36,810 | ||||||||||||
Real Estate Management & Development | — | 14,865 | — | 14,865 | ||||||||||||
Semiconductors & Semiconductor Equipment | 167,182 | 143,899 | — | 311,081 | ||||||||||||
Software | — | 17,600 | — | 17,600 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 136,667 | — | 136,667 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 57,615 | — | 57,615 | ||||||||||||
Trading Companies & Distributors | — | 90,660 | — | 90,660 | ||||||||||||
Transportation Infrastructure | — | 55,873 | — | 55,873 | ||||||||||||
Wireless Telecommunication Services | — | 18,345 | — | 18,345 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 739,895 | 2,612,132 | — | 3,352,027 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
47
TCW International Growth Fund
Fair Valuation Summary (Unaudited) (Continued) | April 30, 2017 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Preferred Stock | ||||||||||||||||
Banks | $ | 36,900 | $ | — | $ | — | $ | 36,900 | ||||||||
Money Market Investments | 142,663 | — | — | 142,663 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 919,458 | 2,612,132 | — | 3,531,590 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 84 | — | 84 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 919,458 | $ | 2,612,216 | $ | — | �� | $ | 3,531,674 | |||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (17,210 | ) | $ | — | $ | (17,210 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (17,210 | ) | $ | — | $ | (17,210 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
48
TCW International Small Cap Fund
Schedule of Investments (Unaudited) | April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
Australia (2.3% of Net Assets) | ||||||||
12,488 | BlueScope Steel, Ltd. | $ | 108,968 | |||||
9,580 | Downer EDI, Ltd. | 42,044 | ||||||
22,200 | St Barbara, Ltd. (1) | 45,446 | ||||||
|
| |||||||
Total Australia (Cost: $192,151) | 196,458 | |||||||
|
| |||||||
Austria (2.6%) | ||||||||
3,216 | BUWOG AG (1) | 86,816 | ||||||
3,219 | EVN AG | 42,620 | ||||||
1,090 | Strabag SE | 44,563 | ||||||
2,245 | Zumtobel Group AG | 46,734 | ||||||
|
| |||||||
Total Austria (Cost: $208,020) | 220,733 | |||||||
|
| |||||||
Belgium (Cost: $40,342) (0.5%) | ||||||||
540 | Melexis NV | 45,002 | ||||||
|
| |||||||
Brazil (Cost: $44,837) (0.6%) | ||||||||
5,800 | CVC Brasil Operadora e Agencia de Viagens S.A. | 56,136 | ||||||
|
| |||||||
Canada (3.7%) | ||||||||
6,000 | Aimia, Inc. | 40,108 | ||||||
2,300 | Capital Power Corp. | 41,852 | ||||||
3,100 | Enerflex, Ltd. | 43,622 | ||||||
2,125 | MTY Food Group, Inc. | 72,859 | ||||||
9,200 | Precision Drilling Corp. (1) | 36,536 | ||||||
3,800 | Pretium Resources, Inc. (1) | 37,658 | ||||||
600 | Shopify, Inc. (1) | 45,515 | ||||||
|
| |||||||
Total Canada (Cost: $303,176) | 318,150 | |||||||
|
| |||||||
China (3.1%) | ||||||||
338,522 | China Animal Healthcare, Ltd. (1) | — | ||||||
43,000 | Melco International Developement, Ltd. | 88,291 | ||||||
121,739 | Q Technology Group Co., Ltd. (1) | 103,376 | ||||||
316,000 | West China Cement, Ltd. (1) | 47,510 | ||||||
500 | YY, Inc. (ADR) (1) | 24,485 | ||||||
|
| |||||||
Total China (Cost: $485,905) | 263,662 | |||||||
|
| |||||||
Denmark (2.6%) | ||||||||
800 | FLSmidth & Co. A/S | 48,083 | ||||||
3,550 | GN Store Nord A/S | 92,254 | ||||||
2,206 | Sydbank A/S | 80,224 | ||||||
|
| |||||||
Total Denmark (Cost: $198,514) | 220,561 | |||||||
|
| |||||||
Finland (1.7%) | ||||||||
890 | Orion OYJ — Class B | 50,989 | ||||||
4,190 | Outokumpu OYJ (1) | 40,110 | ||||||
1,249 | Vaisala OYJ | 59,831 | ||||||
|
| |||||||
Total Finland (Cost: $112,748) | 150,930 | |||||||
|
|
See accompanying notes to financial statements.
49
TCW International Small Cap Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
France (4.3%) | ||||||||
1,247 | Assystem | $ | 45,558 | |||||
3,880 | Europcar Groupe S.A. (1) | 47,309 | ||||||
4,259 | Manitou BF S.A. | 134,497 | ||||||
976 | Tarkett S.A. | 45,843 | ||||||
780 | Teleperformance | 98,053 | ||||||
|
| |||||||
Total France (Cost: $275,913) | 371,260 | |||||||
|
| |||||||
Germany (6.3%) | ||||||||
1,100 | Aareal Bank AG (1) | 44,228 | ||||||
1,269 | BayWa AG | 46,176 | ||||||
1,843 | Carl Zeiss Meditec AG (1) | 83,753 | ||||||
11,860 | Deutz AG (1) | 92,285 | ||||||
1,570 | Siltronic AG (1) | 112,829 | ||||||
3,070 | TAG Immobilien AG | 43,696 | ||||||
2,500 | Uniper SE (1) | 41,017 | ||||||
1,310 | VTG AG | 43,198 | ||||||
345 | Wacker Chemie AG (1) | 36,505 | ||||||
|
| |||||||
Total Germany (Cost: $474,814) | 543,687 | |||||||
|
| |||||||
India (3.2%) | ||||||||
3,795 | Bharat Financial Inclusion, Ltd. (1) | 47,419 | ||||||
30,495 | Hindalco Industries, Ltd. | 94,198 | ||||||
2,710 | Indraprastha Gas, Ltd. | 44,483 | ||||||
29,500 | Jain Irrigation Systems, Ltd. | 51,234 | ||||||
4,170 | Max Financial Services, Ltd. | 42,662 | ||||||
|
| |||||||
Total India (Cost: $253,174) | 279,996 | |||||||
|
| |||||||
Israel (Cost: $38,227) (0.5%) | ||||||||
1,900 | Tower Semiconductor, Ltd. (1) | 40,888 | ||||||
|
| |||||||
Italy (1.7%) | ||||||||
770 | Brembo SpA (1) | 60,477 | ||||||
3,300 | Buzzi Unicem SpA | 84,771 | ||||||
|
| |||||||
Total Italy (Cost: $110,883) | 145,248 | |||||||
|
| |||||||
Japan (15.2%) | ||||||||
2,300 | cocokara fine, Inc. | 108,748 | ||||||
1,300 | Ebara Corp. | 39,605 | ||||||
4,000 | Haseko Corp. | 45,661 | ||||||
1,600 | Kobayashi Pharmaceutical Co., Ltd. | 83,938 | ||||||
900 | Mandom Corp. | 42,722 | ||||||
2,700 | Maruha Nichiro Corp. | 77,229 | ||||||
1,600 | Nabtesco Corp. | 45,363 | ||||||
1,000 | Nachi-Fujikoshi Corp. | 5,332 | ||||||
5,400 | Nichiha Corp. | 169,404 | ||||||
3,300 | Nichirei Corp. | 82,149 | ||||||
5,900 | Nippon Sheet Glass Co., Ltd. (1) | 45,905 |
See accompanying notes to financial statements.
50
TCW International Small Cap Fund
April 30, 2017 |
Number of Shares | Common Stock | Value | ||||||
Japan (Continued) | ||||||||
10,000 | NTN Corp. | $ | 50,975 | |||||
4,000 | OKUMA Corp. | 41,957 | ||||||
6,700 | Sumco Corp. | 117,293 | ||||||
12,300 | Taiheiyo Cement Corp. | 40,877 | ||||||
1,500 | THK Co., Ltd. | 38,691 | ||||||
11,000 | Tosoh Corp. | 103,389 | ||||||
2,700 | Toyo Tanso Co., Ltd. | 43,033 | ||||||
1,000 | Ulvac, Inc. | 46,950 | ||||||
2,200 | Yaskawa Electric Corp. | 42,053 | ||||||
2,500 | Yokogawa Electric Corp. | 38,640 | ||||||
|
| |||||||
Total Japan (Cost: $1,077,462) | 1,309,914 | |||||||
|
| |||||||
Mexico (Cost: $94,427) (1.2%) | ||||||||
80,650 | Genomma Lab Internacional S.A.B. de C.V. — Class B (1) | 101,228 | ||||||
|
| |||||||
Netherlands (1.8%) | ||||||||
1,425 | ASR Nederland NV (1) | 42,146 | ||||||
1,116 | BE Semiconductor Industries NV | 58,325 | ||||||
1,030 | IMCD Group NV | 55,464 | ||||||
|
| |||||||
Total Netherlands (Cost: $127,998) | 155,935 | |||||||
|
| |||||||
Norway (3.7%) | ||||||||
1,880 | Aker ASA | 71,551 | ||||||
7,985 | Borregaard ASA | 89,911 | ||||||
11,800 | Petroleum Geo-Services ASA (1) | 27,709 | ||||||
6,500 | SpareBank 1 Nord Norge | 43,060 | ||||||
1,892 | TGS Nopec Geophysical Co. ASA | 41,342 | ||||||
9,500 | Wilh Wilhelmsen ASA (1) | 48,240 | ||||||
|
| |||||||
Total Norway (Cost: $282,501) | 321,813 | |||||||
|
| |||||||
Pakistan (1.1%) | ||||||||
41,600 | Hub Power Co., Ltd. (The) | 52,217 | ||||||
26,500 | Nishat Mills, Ltd. | 39,716 | ||||||
|
| |||||||
Total Pakistan (Cost: $81,079) | 91,933 | |||||||
|
| |||||||
Russia (4.1%) | ||||||||
29,300 | Aeroflot PJSC (1) | 91,021 | ||||||
15,775 | M.Video PJSC | 105,733 | ||||||
22,610 | Moscow Exchange MICEX-RTS PJSC | 45,840 | ||||||
21,345 | TMK PJSC (GDR) | 111,421 | ||||||
|
| |||||||
Total Russia (Cost: $253,886) | 354,015 | |||||||
|
| |||||||
South Africa (Cost: $39,966) (0.6%) | ||||||||
46,800 | Murray & Roberts Holdings, Ltd. | 48,955 | ||||||
|
| |||||||
South Korea (Cost: $71,350) (1.0%) | ||||||||
1,046 | SeAH Steel Corp. (1) | 89,208 | ||||||
|
|
See accompanying notes to financial statements.
51
TCW International Small Cap Fund
Schedule of Investments (Unaudited) (Continued)
Number of Shares | Common Stock | Value | ||||||
Sweden (Cost: $68,332) (1.1%) | ||||||||
21,575 | SSAB AB (1) | $ | 93,888 | |||||
|
| |||||||
Switzerland (8.6%) | ||||||||
1,609 | BKW AG | 87,105 | ||||||
635 | Cembra Money Bank AG (1) | 54,149 | ||||||
6,291 | EFG International AG (1) | 39,953 | ||||||
60 | Emmi AG (1) | 43,789 | ||||||
355 | Flughafen Zuerich AG | 78,199 | ||||||
119 | Inficon Holding AG (1) | 62,464 | ||||||
2,715 | Logitech International SA | 90,697 | ||||||
1,863 | Temenos Group AG (1) | 161,181 | ||||||
430 | VAT Group AG (1) | 55,205 | ||||||
12,800 | Weatherford International PLC (1) | 73,856 | ||||||
|
| |||||||
Total Switzerland (Cost: $615,287) | 746,598 | |||||||
|
| |||||||
Taiwan (1.6%) | ||||||||
11,000 | Formosa Sumco Technology Corp. | 32,953 | ||||||
35,000 | Powertech Technology, Inc. | 109,803 | ||||||
|
| |||||||
Total Taiwan (Cost: $113,154) | 142,756 | |||||||
|
| |||||||
Thailand (Cost: $41,950) (0.5%) | ||||||||
13,684 | KCE Electronics PCL (NVDR) | 42,086 | ||||||
|
| |||||||
United Arab Emirates (Cost: $98,456) (1.9%) | ||||||||
6,234 | NMC Health PLC | 160,530 | ||||||
|
| |||||||
United Kingdom (14.7%) | ||||||||
13,500 | Advanced Medical Solutions Group PLC | 46,109 | ||||||
8,200 | Beazley PLC | 46,664 | ||||||
1,215 | Bellway PLC | 44,729 | ||||||
23,075 | boohoo.com PLC (1) | 56,305 | ||||||
4,572 | Burford Capital, Ltd. | 46,137 | ||||||
8,470 | Costain Group PLC | 53,240 | ||||||
33,100 | Fenner PLC | 144,315 | ||||||
16,800 | Forterra PLC | 51,132 | ||||||
5,132 | Galliford Try PLC | 95,540 | ||||||
16,145 | Ibstock PLC | 47,854 | ||||||
166,230 | IQE PLC (1) | 134,413 | ||||||
9,334 | JD Sports Fashion PLC | 53,763 | ||||||
8,450 | OneSavings Bank PLC | 47,916 | ||||||
13,066 | Redrow PLC | 97,452 | ||||||
12,775 | Rotork PLC | 40,651 | ||||||
6,250 | Smart Metering Systems PLC | 44,635 | ||||||
15,571 | SSP Group PLC | 89,625 | ||||||
1,623 | Weir Group PLC (The) | 41,770 | ||||||
27,567 | Wm Morrison Supermarkets PLC | 85,538 | ||||||
|
| |||||||
Total United Kingdom (Cost: $1,054,049) | 1,267,788 | |||||||
|
| |||||||
Total Common Stock (Cost: $6,758,601) (90.2%) | 7,779,358 | |||||||
|
|
See accompanying notes to financial statements.
52
TCW International Small Cap Fund
April 30, 2017 |
Number of Shares | Exchange-Traded Funds | Value | ||||||
United States (Cost: $241,711) (2.9%) | ||||||||
2,400 | Vanguard FTSE All World ex-US Small Cap ETF | $ | 253,152 | |||||
|
| |||||||
Total Exchange-Traded Funds (Cost: $241,711) (2.9%) | 253,152 | |||||||
|
| |||||||
Preferred Stock | ||||||||
Brazil (1.4%) | ||||||||
24,000 | Banco do Estado do Rio Grande do Sul S.A., 7.13% | 106,615 | ||||||
32,900 | Banco Pan S.A. (1) | 19,336 | ||||||
|
| |||||||
Total Brazil (Cost: $114,885) | 125,951 | |||||||
|
| |||||||
Germany (Cost: $84,327) (1.3%) | ||||||||
1,010 | Draegerwerk AG & Co. KGaA, 0.18% | 110,508 | ||||||
|
| |||||||
Total Preferred Stock (Cost: $199,212) (2.7%) | 236,459 | |||||||
|
| |||||||
Money Market Investments | ||||||||
262,918 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.68% (2) | 262,918 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $262,918) (3.1%) | 262,918 | |||||||
|
| |||||||
Total Investments (Cost: $7,462,442) (98.9%) | 8,531,887 | |||||||
Excess of Other Assets over Liabilities (1.1%) | 92,853 | |||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 8,624,740 | ||||||
|
|
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) | ||||||||||||||||||||||||
Goldman Sachs International | EUR | 522,000 | 08/17/17 | $ | 572,208 | $ | 571,542 | $ | (666 | ) | ||||||||||||||
Bank of America | JPY | 30,850,000 | 08/17/17 | 277,812 | 278,018 | 206 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 850,020 | $ | 849,560 | $ | (460 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (4) | ||||||||||||||||||||||||
Bank of America | EUR | 796,000 | 08/17/17 | $ | 849,236 | $ | 871,547 | $ | (22,311 | ) | ||||||||||||||
Bank of America | JPY | 95,489,831 | 08/17/17 | 841,000 | 860,546 | (19,546 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 1,690,236 | $ | 1,732,093 | $ | (41,857 | ) | ||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
53
TCW International Small Cap Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
ADR - | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. |
ETF - | Exchange Traded Fund. |
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. |
NVDR - | Non-Voting Depositary Receipt. |
PJSC - | Private Joint-Stock Company. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2017. |
(3) | Fund buys foreign currency, sells U.S. Dollar. |
(4) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
54
TCW International Small Cap Fund
Investments by Industry (Unaudited) | April 30, 2017 |
Industry | Percentage of Net Assets | |||
Airlines | 1.1 | % | ||
Auto Components | 0.7 | |||
Automobiles | 1.2 | |||
Banks | 1.6 | |||
Building Products | 3.0 | |||
Capital Markets | 1.0 | |||
Chemicals | 2.6 | |||
Commercial Services & Supplies | 0.5 | |||
Construction & Engineering | 2.8 | |||
Construction Materials | 3.3 | |||
Consumer Finance | 1.1 | |||
Diversified Financial Services | 1.3 | |||
Electric Utilities | 1.5 | |||
Electrical Equipment | 1.1 | |||
Electronic Equipment, Instruments & Components | 2.8 | |||
Electronics | 0.5 | |||
Energy Equipment & Services | 3.9 | |||
Exchange-Traded Fund (ETF) | 2.9 | |||
Food & Staples Retailing | 2.3 | |||
Food Products | 2.3 | |||
Gas Utilities | 0.5 | |||
Health Care Equipment & Supplies | 3.9 | |||
Health Care Providers & Services | 1.9 | |||
Hotels, Restaurants & Leisure | 3.5 | |||
Household Durables | 3.3 | |||
Independent Power and Renewable Electricity Producers | 1.6 | |||
Industrial Conglomerates | 0.6 | |||
Insurance | 1.5 | |||
Internet & Catalog Retail | 0.7 | |||
Internet Software & Services | 0.8 | |||
Machinery | 9.2 | |||
Marine | 0.6 | |||
Media | 0.5 | |||
Metals & Mining | 5.8 | |||
Personal Products | 1.5 | |||
Pharmaceuticals | 1.8 | |||
Professional Services | 1.6 | |||
Real Estate | 1.5 | |||
Road & Rail | 1.1 | |||
Semiconductors & Semiconductor Equipment | 8.1 | |||
Software | 1.9 | |||
Specialty Retail | 1.8 | |||
Technology Hardware, Storage & Peripherals | 1.0 | |||
Textiles, Apparel & Luxury Goods | 0.5 | |||
Thrifts & Mortgage Finance | 1.1 | |||
Trading Companies & Distributors | 1.1 | |||
Transportation Infrastructure | 0.9 | |||
Money Market Investments | 3.1 | |||
|
| |||
Total | 98.9 | % | ||
|
|
See accompanying notes to financial statements.
55
TCW International Small Cap Fund
Fair Valuation Summary (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of April 30, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Airlines | $ | 91,021 | $ | — | $ | — | $ | 91,021 | ||||||||
Auto Components | — | 60,477 | — | 60,477 | ||||||||||||
Banks | 43,060 | 80,224 | — | 123,284 | ||||||||||||
Building Products | — | 261,152 | — | 261,152 | ||||||||||||
Capital Markets | — | 86,090 | — | 86,090 | ||||||||||||
Chemicals | — | 229,805 | — | 229,805 | ||||||||||||
Commercial Services & Supplies | — | 42,044 | — | 42,044 | ||||||||||||
Construction & Engineering | — | 241,426 | — | 241,426 | ||||||||||||
Construction Materials | 51,132 | 221,011 | — | 272,143 | ||||||||||||
Consumer Finance | — | 101,568 | — | 101,568 | ||||||||||||
Diversified Financial Services | — | 117,391 | — | 117,391 | ||||||||||||
Electric Utilities | — | 129,725 | — | 129,725 | ||||||||||||
Electrical Equipment | — | 89,767 | — | 89,767 | ||||||||||||
Electronic Equipment, Instruments & Components | 44,634 | 202,988 | — | 247,622 | ||||||||||||
Electronics | — | 42,086 | — | 42,086 | ||||||||||||
Energy Equipment & Services | 265,435 | 69,050 | — | 334,485 | ||||||||||||
Food & Staples Retailing | — | 194,286 | — | 194,286 | ||||||||||||
Food Products | — | 203,167 | — | 203,167 | ||||||||||||
Gas Utilities | — | 44,483 | — | 44,483 | ||||||||||||
Health Care Equipment & Supplies | 46,109 | 176,007 | — | 222,116 | ||||||||||||
Health Care Providers & Services | — | 160,530 | — | 160,530 | ||||||||||||
Hotels, Restaurants & Leisure | 162,484 | 144,427 | — | 306,911 | ||||||||||||
Household Durables | 97,452 | 193,767 | — | 291,219 | ||||||||||||
Independent Power and Renewable Electricity Producers | 94,069 | 41,017 | — | 135,086 | ||||||||||||
Industrial Conglomerates | 48,955 | — | — | 48,955 | ||||||||||||
Insurance | — | 131,472 | — | 131,472 | ||||||||||||
Internet & Catalog Retail | — | 56,305 | — | 56,305 | ||||||||||||
Internet Software & Services | 70,000 | — | — | 70,000 | ||||||||||||
Machinery | 189,702 | 592,179 | — | 781,881 | ||||||||||||
Marine | 48,240 | — | — | 48,240 | ||||||||||||
Media | 40,108 | — | — | 40,108 | ||||||||||||
Metals & Mining | 37,658 | 471,818 | — | 509,476 | ||||||||||||
Personal Products | — | 126,660 | — | 126,660 | ||||||||||||
Pharmaceuticals | 101,228 | 50,989 | — | 152,217 | ||||||||||||
Professional Services | 45,558 | 98,053 | — | 143,611 | ||||||||||||
Real Estate | — | 130,512 | — | 130,512 | ||||||||||||
Road & Rail | — | 90,507 | — | 90,507 | ||||||||||||
Semiconductors & Semiconductor Equipment | 175,301 | 523,155 | — | 698,456 | ||||||||||||
Software | — | 161,181 | — | 161,181 | ||||||||||||
Specialty Retail | — | 159,496 | — | 159,496 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 90,698 | — | 90,698 | ||||||||||||
Textiles, Apparel & Luxury Goods | 39,716 | — | — | 39,716 | ||||||||||||
Thrifts & Mortgage Finance | 47,916 | 44,228 | — | 92,144 | ||||||||||||
Trading Companies & Distributors | 55,464 | 46,176 | — | 101,640 | ||||||||||||
Transportation Infrastructure | — | 78,199 | — | 78,199 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 1,795,242 | 5,984,116 | — | 7,779,358 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
56
TCW International Small Cap Fund
April 30, 2017
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Exchange-Traded Funds | ||||||||||||||||
Exchange-Traded Fund (ETF) | $ | 253,152 | $ | — | $ | — | $ | 253,152 | ||||||||
Preferred Stock | ||||||||||||||||
Automobiles | — | 106,615 | — | 106,615 | ||||||||||||
Banks | 19,336 | — | — | 19,336 | ||||||||||||
Health Care Equipment & Supplies | — | 110,508 | — | 110,508 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 19,336 | 217,123 | — | 236,459 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 262,918 | — | — | 262,918 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,330,648 | 6,201,239 | — | 8,531,887 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 206 | — | 206 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,330,648 | $ | 6,201,445 | $ | — | $ | 8,532,093 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (42,523 | ) | $ | — | $ | (42,523 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (42,523 | ) | $ | — | $ | (42,523 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
57
TCW Funds, Inc.
April 30, 2017 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | ||||||||||
ASSETS |
| |||||||||||
Investments, at Value (1) | $ | 5,305 | $ | 3,401,215 | $ | 123,172 | ||||||
Foreign Currency, at Value | 34 | (2) | — | — | (2) (3) | |||||||
Receivable for Securities Sold | 29 | 93,551 | 5,478 | |||||||||
Receivable for Fund Shares Sold | — | 18,506 | 262 | |||||||||
Interest and Dividends Receivable | 4 | 45,626 | 2,603 | |||||||||
Receivable from Investment Advisor | 10 | 8 | 9 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | 317 | 812 | |||||||||
Cash Collateral Held for Brokers | — | 3,470 | 430 | |||||||||
Open Swap Agreements, at Value | — | 1,104 | — | |||||||||
Prepaid Expenses | 12 | 75 | 44 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 5,394 | 3,563,872 | 132,810 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES |
| |||||||||||
Distributions Payable | — | 2,136 | 31 | |||||||||
Payable for Securities Purchased | 46 | 96,226 | 5,508 | |||||||||
Payable for Fund Shares Redeemed | — | 6,420 | 254 | |||||||||
Accrued Capital Gain Withholding Taxes | 1 | — | 177 | |||||||||
Accrued Directors’ Fees and Expenses | 7 | 7 | 7 | |||||||||
Accrued Management Fees | 3 | 2,098 | 76 | |||||||||
Accrued Distribution Fees | — | 113 | 3 | |||||||||
Interest Payable on Swap Agreements | — | 311 | — | |||||||||
Options Written, at Value | — | 3 | (4) | — | (3) (4) | |||||||
Open Swap Agreements, at Value | — | 3,056 | — | |||||||||
Collateral Pledged by Brokers | — | — | 430 | |||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | 1,671 | 475 | |||||||||
Other Accrued Expenses | 12 | 440 | 94 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 69 | 112,481 | 7,055 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 5,325 | $ | 3,451,391 | $ | 125,755 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Paid-in Capital | $ | 5,487 | $ | 4,023,070 | $ | 144,350 | ||||||
Accumulated Net Realized Loss on Investments, Futures Contracts, Options Written, Swap Contracts and Foreign Currency | (1,019 | ) | (712,491 | ) | (29,547 | ) | ||||||
Unrealized Appreciation of Investments, Options Written, Swap Contracts and Foreign Currency | 849 | 124,861 | 8,805 | |||||||||
Undistributed Net Investment Income | 8 | 15,951 | 2,147 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 5,325 | $ | 3,451,391 | $ | 125,755 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||
I Class Share | $ | 3,837 | $ | 2,888,843 | $ | 109,757 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 1,488 | $ | 562,548 | $ | 15,998 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (5) |
| |||||||||||
I Class Share | 396,890 | 340,681,065 | 11,742,397 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 153,886 | 51,509,803 | 1,712,761 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (6) |
| |||||||||||
I Class Share | $ | 9.67 | $ | 8.48 | $ | 9.35 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 9.67 | $ | 10.92 | $ | 9.34 | ||||||
|
|
|
|
|
|
(1) | The identified cost for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund at April 30, 2017 was $4,455, $3,273,669 and $114,565, respectively. |
(2) | The identified cost for the TCW Developing Markets Equity Fund, and the TCW Emerging Markets Local Currency Income Fund at April 30, 2017 was $34 and $0. |
(3) | Amount rounds to less than $1. |
(4) | Premium received $111 and $13 for the TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund, respectively. |
(5) | The number of authorized shares, with a par value of $0.001 per share 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.
58
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2017 |
TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Growth Fund | TCW International Small Cap Fund | ||||||||||
ASSETS |
| |||||||||||
Investments, at Value (1) | $ | 51,454 | $ | 3,531 | $ | 8,531 | ||||||
Foreign Currency, at Value (2) | 190 | — | (3) | 1 | ||||||||
Receivable for Securities Sold | 1,462 | 44 | 123 | |||||||||
Receivable for Fund Shares Sold | 728 | — | — | |||||||||
Interest and Dividends Receivable | 375 | 10 | 22 | |||||||||
Foreign Tax Reclaims Receivable | 4 | — | (3) | 2 | ||||||||
Receivable from Investment Advisor | 15 | 12 | 10 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | 2 | — | (3) | — | (3) | |||||||
Open Swap Agreements, at Value | 7 | — | — | |||||||||
Prepaid Expenses | 12 | 25 | 23 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 54,249 | 3,622 | 8,712 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES |
| |||||||||||
Payable for Securities Purchased | 1,921 | 68 | 23 | |||||||||
Accrued Capital Gain Withholding Taxes | 18 | — | 2 | |||||||||
Accrued Directors’ Fees and Expenses | 7 | 7 | 7 | |||||||||
Accrued Management Fees | 38 | 2 | 5 | |||||||||
Accrued Distribution Fees | 2 | — | (3) | 1 | ||||||||
Interest Payable on Swap Agreements | 2 | — | — | |||||||||
Options Written, at Value | — | (3) (4) | — | — | ||||||||
Open Swap Agreements, at Value | 18 | — | — | |||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | 8 | 17 | 42 | |||||||||
Other Accrued Expenses | 26 | 5 | 7 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 2,040 | 99 | 87 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 52,209 | $ | 3,523 | $ | 8,625 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Paid-in Capital | $ | 51,926 | $ | 3,270 | $ | 10,804 | ||||||
Accumulated Net Realized Loss on Investments, Futures Contracts, Options Written, Swap Contracts and Foreign Currency | (5,095 | ) | (175 | ) | (3,086 | ) | ||||||
Unrealized Appreciation of Investments, Swap Contracts and Foreign Currency | 5,006 | 414 | 1,026 | |||||||||
Undistributed (Overdistributed) Net Investment Income | 372 | 14 | (119 | ) | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 52,209 | $ | 3,523 | $ | 8,625 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||
I Class Share | $ | 38,895 | $ | 2,243 | $ | 5,630 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 13,314 | $ | 1,280 | $ | 2,995 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (5) |
| |||||||||||
I Class Share | 3,704,002 | 208,749 | 632,252 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 1,272,833 | 119,516 | 336,029 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (6) |
| |||||||||||
I Class Share | $ | 10.50 | $ | 10.75 | $ | 8.90 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 10.46 | $ | 10.71 | $ | 8.91 | ||||||
|
|
|
|
|
|
(1) | The identified cost for the TCW Emerging Markets Multi-Asset Opportunities Fund, the TCW International Growth Fund and the TCW International Small Cap Fund at April 30, 2017 was $46,416, $3,100 and $7,462, respectively. |
(2) | The identified cost for the TCW Emerging Markets Multi-Asset Opportunities Fund, the TCW International Growth Fund and the TCW International Small Cap Fund at April 30, 2017 was $190, $0 and $1, respectively. |
(3) | Amount rounds to less than $1. |
(4) | Premium received $0. |
(5) | The number of authorized shares, with a par value of $0.001 per share 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.
59
TCW Funds, Inc.
Six Months Ended April 30, 2017 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | ||||||||||
INVESTMENT INCOME |
| |||||||||||
Income: |
| |||||||||||
Dividends | $ | 40 | (1) | $ | 248 | $ | — | |||||
Interest | — | 109,103 | (2) | 4,431 | (2) | |||||||
|
|
|
|
|
| |||||||
Total | 40 | 109,351 | 4,431 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management Fees | 20 | 11,917 | 424 | |||||||||
Accounting Services Fees | 1 | 124 | 3 | |||||||||
Administration Fees | — | (3) | 81 | 2 | ||||||||
Transfer Agent Fees: |
| |||||||||||
I Class | 2 | 784 | 31 | |||||||||
N Class | 2 | 253 | 6 | |||||||||
Custodian Fees | 14 | 182 | 78 | |||||||||
Professional Fees | 10 | 51 | 20 | |||||||||
Directors’ Fees and Expenses | 15 | 15 | 15 | |||||||||
Registration Fees: |
| |||||||||||
I Class | 8 | 41 | 9 | |||||||||
N Class | 8 | 18 | 10 | |||||||||
Distribution Fees: |
| |||||||||||
N Class | 2 | 663 | 18 | |||||||||
Shareholder Reporting Expense | — | (3) | 8 | — | (3) | |||||||
Other | 5 | 195 | 16 | |||||||||
|
|
|
|
|
| |||||||
Total | 87 | 14,332 | 632 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 35 | — | 39 | |||||||||
N Class | 21 | 15 | 34 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 31 | 14,317 | 559 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 9 | 95,034 | 3,872 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS |
| |||||||||||
Net Realized Gain (Loss) on: |
| |||||||||||
Investments | 61 | 1,546 | (4) | (655 | ) (4) | |||||||
Foreign Currency | (9 | ) | (5,338 | ) | (1,275 | ) | ||||||
Futures Contracts | — | (576 | ) | — | ||||||||
Options Written | — | 1,717 | 103 | |||||||||
Swap Agreements | — | (2,650 | ) | — | ||||||||
Change in Unrealized Appreciation (Depreciation) on: |
| |||||||||||
Investments | 300 | (5) | 54,106 | 1,468 | (5) | |||||||
Foreign Currency | — | (3) | 1,241 | 467 | ||||||||
Options Written | — | (668 | ) | (41 | ) | |||||||
Swap Agreements | — | (776 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | 352 | 48,602 | 67 | |||||||||
|
|
|
|
|
| |||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 361 | $ | 143,636 | $ | 3,939 | ||||||
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $4 for the TCW Developing Markets Equity Fund. |
(2) | Net of foreign taxes withheld of $90 and $104 for the TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund, respectively. |
(3) | Amount rounds to less than $1. |
(4) | Net of capital gain withholding taxes of $25 and $27 for the TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund, respectively. |
(5) | Net of capital gain withholding taxes of $1 and $177 for the TCW Developing Markets Equity Fund and the TCW Emerging Markets Local Currency Income Fund, respectively. |
See accompanying notes to financial statements.
60
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2017 |
TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Growth Fund | TCW International Small Cap Fund | ||||||||||
INVESTMENT INCOME |
| |||||||||||
Income: |
| |||||||||||
Dividends | $ | 221 | (1) | $ | 31 | (1) | $ | 61 | (1) | |||
Interest | 610 | (2) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total | 831 | 31 | 61 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management Fees | 193 | 14 | 31 | |||||||||
Accounting Services Fees | 1 | 1 | 1 | |||||||||
Administration Fees | 1 | — | — | |||||||||
Transfer Agent Fees: |
| |||||||||||
I Class | 4 | 2 | 3 | |||||||||
N Class | 2 | 2 | 2 | |||||||||
Custodian Fees | 62 | 16 | 18 | |||||||||
Professional Fees | 18 | 10 | 13 | |||||||||
Directors’ Fees and Expenses | 15 | 15 | 15 | |||||||||
Registration Fees: |
| |||||||||||
I Class | 8 | 11 | 8 | |||||||||
N Class | 8 | 12 | 8 | |||||||||
Distribution Fees: |
| |||||||||||
N Class | 5 | 1 | 4 | |||||||||
Shareholder Reporting Expense | — | (3) | — | (3) | — | (3) | ||||||
Other | 13 | 8 | 10 | |||||||||
|
|
|
|
|
| |||||||
Total | 330 | 92 | 113 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 59 | 43 | 30 | |||||||||
N Class | 21 | 31 | 24 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 250 | 18 | 59 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 581 | 13 | 2 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS |
| |||||||||||
Net Realized Gain (Loss) on: |
| |||||||||||
Investments | (31 | ) (4) | 103 | 292 | (4) | |||||||
Foreign Currency | (162 | ) | (11 | ) | 45 | |||||||
Futures Contracts | (4 | ) | — | — | ||||||||
Options Written | 11 | — | — | |||||||||
Swap Agreements | (17 | ) | — | — | ||||||||
Change in Unrealized Appreciation on: |
| |||||||||||
Investments | 1,550 | (5) | 241 | 478 | (5) | |||||||
Foreign Currency | 17 | (10 | ) | (94 | ) | |||||||
Options Written | (6 | ) | — | — | ||||||||
Swap Agreements | (5 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | 1,353 | 323 | 721 | |||||||||
|
|
|
|
|
| |||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,934 | $ | 336 | $ | 723 | ||||||
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $20, $2 and $6 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 $1 for the TCW Emerging Markets Multi-Asset Opportunities Fund. |
(3) | Amount rounds to less than $1. |
(4) | Net of capital gain withholding taxes of $3 and $0 for the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Small Cap Fund, respectively. |
(5) | Net of capital gain withholding taxes of $18 and $1 for the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Small Cap Fund, respectively. |
See accompanying notes to financial statements.
61
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | |||||||||||||||
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 9 | $ | 52 | $ | 95,034 | $ | 199,857 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Options Written, Swap Contracts and Foreign Currency Transactions | 52 | (749 | ) | (5,301 | ) | (75,175 | ) | |||||||||
Change in Unrealized Appreciation on Investments, Swap Contracts, Options Written and Foreign Currency Transactions | 300 | 963 | 53,903 | 244,537 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 361 | 266 | 143,636 | 369,219 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (34 | ) | (1 | ) | (72,864 | ) | (119,349 | ) | ||||||||
N Class | (13 | ) | (1 | ) | (13,937 | ) | (24,182 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (47 | ) | (2 | ) | (86,801 | ) | (143,531 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 34 | (5 | ) | 265,977 | (343,324 | ) | ||||||||||
N Class | 36 | (7 | ) | 19,630 | (28,507 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 70 | (12 | ) | 285,607 | (371,831 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 384 | 252 | 342,442 | (146,143 | ) | |||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 4,941 | 4,689 | 3,108,949 | 3,255,092 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 5,325 | $ | 4,941 | $ | 3,451,391 | $ | 3,108,949 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income | $ | 8 | $ | 46 | $ | 15,951 | $ | 7,718 |
See accompanying notes to financial statements.
62
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||||||||||
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 3,872 | $ | 10,405 | $ | 581 | $ | 1,488 | ||||||||
Net Realized Loss on Investments, Futures Contracts, Options Written, Swap Contracts and Foreign Currency Transactions | (1,827 | ) | (31,432 | ) | (203 | ) | (1,880 | ) | ||||||||
Change in Unrealized Appreciation on Investments, Swap Contracts, Options Written and Foreign Currency Transactions | 1,894 | 31,708 | 1,556 | 4,303 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 3,939 | 10,681 | 1,934 | 3,911 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (736 | ) | — | (1,353 | ) | (931 | ) | |||||||||
N Class | (104 | ) | — | (56 | ) | (103 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (840 | ) | — | (1,409 | ) | (1,034 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 9,251 | (19,368 | ) | 1,226 | (5,065 | ) | ||||||||||
N Class | 430 | (133,642 | ) | 8,197 | 603 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 9,681 | (153,010 | ) | 9,423 | (4,462 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 12,780 | (142,329 | ) | 9,948 | (1,585 | ) | ||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 112,975 | 255,304 | 42,261 | 43,846 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 125,755 | $ | 112,975 | $ | 52,209 | $ | 42,261 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income | $ | 2,147 | $ | (885 | ) | $ | 372 | $ | 1,200 |
See accompanying notes to financial statements.
63
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW International Growth Fund | TCW International Small Cap Fund | |||||||||||||||
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 13 | $ | 30 | $ | 2 | $ | 26 | ||||||||
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | 92 | (215 | ) | 337 | (86 | ) | ||||||||||
Change in Unrealized Appreciation on Investments and Foreign Currency Transactions | 231 | 151 | 384 | 10 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 336 | (34 | ) | 723 | (50 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (15 | ) | (27 | ) | (18 | ) | (245 | ) | ||||||||
N Class | (6 | ) | (21 | ) | (11 | ) | (145 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (21 | ) | (48 | ) | (29 | ) | (390 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | (11 | ) | 779 | (515 | ) | (1,322 | ) | |||||||||
N Class | 6 | 27 | (381 | ) | (125 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (5 | ) | 806 | (896 | ) | (1,447 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 310 | 724 | (202 | ) | (1,887 | ) | ||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 3,213 | 2,489 | 8,827 | 10,714 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 3,523 | $ | 3,213 | $ | 8,625 | $ | 8,827 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | 14 | $ | 22 | $ | (119 | ) | $ | (92 | ) |
See accompanying notes to financial statements.
64
TCW Funds, Inc.
April 30, 2017 |
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), that currently offers 21 no-load mutual funds (each series, a “Fund” and collectively, the “Funds”). TCW Investment Management Company LLC (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940, as amended. Each Fund has distinct investment objectives. The following are the objectives for the 6 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 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 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. | |
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 Developing Markets Equity Fund | Seeks long-term capital appreciation by investing primarily in equity securities of companies and financial institutions domiciled or with primary business operations in, or with the majority of their net assets in or revenues or net income deriving from, developing market countries. |
65
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 1 — Organization (Continued)
TCW Fund | Investment Objective | |
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).
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 (“GAAP”) and which are consistently followed by the Funds in the preparation of their financial statements. 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 Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Net Asset Value: The net asset value (“NAV”) per share 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 on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using official closing prices as reported by NASDAQ. All other securities traded over-the-counter (“OTC”) for which market quotations are readily available, including short-term securities are valued with prices furnished by independent pricing services or by broker dealers.
The Company has adopted, after the approval by the Company’s Board of Directors (the “Board” and each member thereof a “Director”), 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 foreign exchanges that have 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 by the Advisor in good faith under procedures established by and under the general supervision of the Company’s Board.
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 GAAP, the Funds disclose investments in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements based on inputs. 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
66
TCW Funds, Inc.
April 30, 2017 |
Note 2 — Significant Accounting Policies (Continued)
about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 — | quoted prices in active markets for identical investments | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
Fair Value Measurements: A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where 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 insignificant, they are
67
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
categorized as 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 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 and 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.
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.
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 NAV, they are categorized in Level 1 of the fair value hierarchy.
Options contracts. Options contracts traded on exchanges are valued using market mid prices; as such, they are categorized in Level 1. Option contracts traded 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, including illiquid Rule 144A securities, held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
Short-term investments. Short-term investments are valued using market price quotations, and are reflected in Level 2 of the fair value hierarchy.
U.S. and foreign government and agency securities. 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.
The summary of the inputs used as of April 30, 2017 is listed after the Schedules of Investments for each Fund.
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 Developing Markets Equity Fund | $ | 139,403 | $ | 77,113 | ||||
TCW Emerging Markets Multi-Asset Opportunities Fund | $ | 832,706 | $ | 303,609 | ||||
TCW International Growth Fund | $ | 106,723 | $ | 17,749 | ||||
TCW International Small Cap Fund | $ | 344,587 | $ | 154,840 |
* | The Funds recognized transfers between the Levels as of the beginning of the period. |
68
TCW Funds, Inc.
April 30, 2017 |
Note 2 — Significant Accounting Policies (Continued)
The transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended April 30, 2017 were due to changes in valuation to/from the exchange closing price from/to the fair value price.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
TCW Emerging Markets Income Fund | TCW Emerging Markets Multi- Asset Opportunities Fund | |||||||
Balance as of October 31, 2016 | $ | — | $ | — | ||||
Accrued Discounts (Premiums) | — | 1,302 | ||||||
Realized Gain (Loss) | — | (12,182 | ) | |||||
Change in Unrealized Appreciation | (935,254 | ) | 139,500 | |||||
Purchases | 9,144,426 | — | ||||||
Sales | — | — | ||||||
Transfers in to Level 3 (1) | — | — | ||||||
Transfers out of Level 3 (1) | — | — | ||||||
|
|
|
| |||||
Balance as of April 30, 2017 | $ | 8,209,172 | $ | 128,620 | ||||
|
|
|
| |||||
Change in Unrealized Appreciation from Investments Still | $ | (935,254 | ) | $ | (12,182 | ) | ||
|
|
|
|
(1) | The Funds recognized transfers in and out at the beginning of the period. |
Significant unobservable valuations inputs for Level 3 investments as of April 30, 2017 are as follows:
Description | Fair Value at 4/30/2017 | Valuation Techniques* | Unobservable Input | Price or Discount | Weighted Average Price | |||||||||||||||
TCW Emerging Markets Income Fund |
| |||||||||||||||||||
Corporate Bonds | $ | 8,209,172 | Third-party Vendor | Vendor Price | $64.31 | $64.31 | ||||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||||||
Corporate Bonds | $ | 128,620 | Third-party Vendor | Vendor Price | $64.31 | $64.31 | ||||||||||||||
TCW International Growth Fund | ||||||||||||||||||||
Common Stock | $ | 0 | Internal Model | Discount Applied | 100% | $0 | ||||||||||||||
TCW International Small Cap Fund | ||||||||||||||||||||
Common Stock | $ | 0 | Internal Model | Discount Applied | 100% | $0 |
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, and under the general oversight of the Board. The (the “Pricing Committee”) 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 Pricing Committee reports to the Board 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 Company’s President, General Counsel, Chief Compliance Officer, Treasurer, Assistant Treasurer, Secretary, and a representative from the portfolio management team, as
69
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
well as alternate members as the Board may from time to time designate. The Pricing Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Funds’ pricing procedures in general.
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency denominated 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.
70
TCW Funds, Inc.
April 30, 2017 |
Note 2 — Significant Accounting Policies (Continued)
For period ended April 30, 2017, the Funds had the following derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Notional Amounts or Number of Contracts):
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Investments (1) | $ | — | $ | 16 | $ | — | $ | 16 | ||||||||
Forward Contracts | — | 317 | — | 317 | ||||||||||||
Swaps Contracts | 1,104 | — | — | 1,104 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | 1,104 | $ | 333 | $ | — | $ | 1,437 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | (1,671 | ) | $ | — | $ | (1,671 | ) | ||||||
Written Options | — | (3 | ) | — | (3 | ) | ||||||||||
Swaps Contracts | (3,056 | ) | — | — | (3,056 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | (3,056 | ) | $ | (1,674 | ) | $ | — | $ | (4,730 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Forward Contracts | $ | — | $ | (5,097 | ) | $ | — | $ | (5,097 | ) | ||||||
Futures Contracts | — | — | (576 | ) | (576 | ) | ||||||||||
Investments (2) | — | (1,241 | ) | — | (1,241 | ) | ||||||||||
Options Written | — | 1,717 | — | 1,717 | ||||||||||||
Swaps Contracts | (2,650 | ) | — | — | (2,650 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (2,650 | ) | $ | (4,621 | ) | $ | (576) | $ | (7,847 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||
Forward Contracts | $ | — | $ | 1,232 | $ | — | $ | 1,232 | ||||||||
Investments (3) | — | 984 | — | 984 | ||||||||||||
Options Written | — | (668 | ) | — | (668 | ) | ||||||||||
Swaps Contracts | (776 | ) | — | — | (776 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | (776 | ) | $ | 1,548 | $ | — | $ | 772 | |||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts or Notional Amounts (5) | ||||||||||||||||
Forward Currency Contracts | — | $ | 119,398,184 | — | $ | 119,398,184 | ||||||||||
Options Purchased | — | $ | 47,296,167 | — | $ | 47,296,167 | ||||||||||
Options Written | — | $ | 50,635,400 | — | $ | 50,635,400 | ||||||||||
Futures Contracts | — | — | 354 | 354 | ||||||||||||
Swaps Contracts | $ | 209,465,000 | — | — | $ | 209,465,000 |
71
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Foreign Currency Risk | Total | |||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||
Statement of Asset and Liabilities | ||||||||
Asset Derivatives |
| |||||||
Investments (1) | $ | 1 | $ | 1 | ||||
Forward Contracts | 812 | 812 | ||||||
|
|
|
| |||||
Total Value | $ | 813 | $ | 813 | ||||
|
|
|
| |||||
Liability Derivatives |
| |||||||
Forward Contracts | $ | (475 | ) | $ | (475 | ) | ||
Options Written | — | (4) | — | (4) | ||||
|
|
|
| |||||
Total Value | $ | (475 | ) | $ | (475 | ) | ||
|
|
|
| |||||
Statement of Operations: |
| |||||||
Realized Gain (Loss) |
| |||||||
Forward Contracts | $ | (1,164 | ) | $ | (1,164 | ) | ||
Investments (2) | (113 | ) | (113 | ) | ||||
Options Written | 103 | 103 | ||||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | (1,174 | ) | $ | (1,174 | ) | ||
|
|
|
| |||||
Change in Appreciation (Depreciation) |
| |||||||
Forward Contracts | $ | 485 | $ | 485 | ||||
Investments (3) | (9 | ) | (9 | ) | ||||
Options Written | (41 | ) | (41 | ) | ||||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | 435 | $ | 435 | ||||
|
|
|
| |||||
Notional Amounts (5) |
| |||||||
Forward Currency Contracts | $ | 83,850,862 | $ | 83,850,862 | ||||
Options Purchased | $ | 3,535,000 | $ | 3,535,000 | ||||
Options Written | $ | 3,943,333 | $ | 3,943,333 |
72
TCW Funds, Inc.
April 30, 2017 |
Note 2 — Significant Accounting Policies (Continued)
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 2 | $ | — | $ | 2 | ||||||||
Investments (1) | — | — | (4) | — | — | (4) | ||||||||||
Swaps Contracts | 7 | 7 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | 7 | $ | 2 | $ | — | $ | 9 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | (8 | ) | $ | — | $ | (8 | ) | ||||||
Swaps Contracts | (18 | ) | — | — | (18 | ) | ||||||||||
Options Written | — | — | (4) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | (18 | ) | $ | (8 | ) | $ | — | $ | (26 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Forward Contracts | $ | — | $ | (15 | ) | $ | — | $ | (15 | ) | ||||||
Futures Contracts | — | — | (4 | ) | (4 | ) | ||||||||||
Investments (2) | — | (7 | ) | — | (7 | ) | ||||||||||
Options Written | — | 11 | — | 11 | ||||||||||||
Swaps Contracts | (17 | ) | — | — | (17 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (17 | ) | $ | (11 | ) | $ | (4 | ) | $ | (32 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation) |
| |||||||||||||||
Forward Contracts | $ | — | $ | 13 | $ | — | $ | 13 | ||||||||
Investments (3) | — | 8 | — | 8 | ||||||||||||
Options Written | — | (6 | ) | — | (6 | ) | ||||||||||
Swaps Contracts | (5 | ) | — | — | (5 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | (5 | ) | $ | 15 | $ | — | $ | 10 | |||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts or Notional Amounts (5) |
| |||||||||||||||
Forward Currency Contracts | — | $ | 817,129 | — | $ | 817,129 | ||||||||||
Options Purchased | — | $ | 257,500 | — | $ | 257,500 | ||||||||||
Options Written | — | $ | 272,000 | — | $ | 272,000 | ||||||||||
Futures Contracts | — | — | 2 | 2 | ||||||||||||
Swaps Contracts | $ | 1,278,333 | — | — | $ | 1,278,333 |
73
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Foreign Currency Risk | Total | |||||||
TCW International Growth Fund | ||||||||
Statement of Asset and Liabilities | ||||||||
Asset Derivatives | ||||||||
Forward Contracts | $ | — | (4) | $ | — | (4) | ||
|
|
|
| |||||
Total Value | $ | — | $ | — | ||||
|
|
|
| |||||
Liability Derivatives | ||||||||
Forward Contracts | $ | (17 | ) | $ | (17 | ) | ||
|
|
|
| |||||
Total Value | $ | (17 | ) | $ | (17 | ) | ||
|
|
|
| |||||
Statement of Operations: | ||||||||
Realized Gain (Loss) | ||||||||
Forward Contracts | $ | (7 | ) | $ | (7 | ) | ||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | (7 | ) | $ | (7 | ) | ||
|
|
|
| |||||
Change in Appreciation (Depreciation) |
| |||||||
Forward Contracts | $ | (10 | ) | $ | (10 | ) | ||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | (10 | ) | $ | (10 | ) | ||
|
|
|
| |||||
Notional Amounts (5) |
| |||||||
Forward Currency Contracts | $ | 799,555 | $ | 799,555 | ||||
TCW International Small Cap Fund | ||||||||
Statement of Asset and Liabilities | ||||||||
Asset Derivatives |
| |||||||
Forward Contracts | $ | — | (4) | $ | — | (4) | ||
|
|
|
| |||||
Total Value | $ | — | $ | — | ||||
|
|
|
| |||||
Liability Derivatives |
| |||||||
Forward Contracts | $ | (42 | ) | $ | (42 | ) | ||
|
|
|
| |||||
Total Value | $ | (42 | ) | $ | (42 | ) | ||
|
|
|
| |||||
Statement of Operations: |
| |||||||
Realized Gain (Loss) |
| |||||||
Forward Contracts | $ | 54 | $ | 54 | ||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | 54 | $ | 54 | ||||
|
|
|
| |||||
Change in Appreciation (Depreciation) |
| |||||||
Forward Contracts | $ | (94 | ) | $ | (94 | ) | ||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | (94 | ) | $ | (94 | ) | ||
|
|
|
| |||||
Notional Amounts (5) |
| |||||||
Forward Currency Contracts | $ | 1,973,576 | $ | 1,973,576 |
(1) | Represents purchased options, at value. |
(2) | Represents realized gain (loss) for purchased options. |
(3) | Represents change in unrealized depreciation for purchased options during the period. |
(4) | Amount less than $1. |
(5) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended April 30, 2017. |
Counterparty Credit Risk: Derivative contracts may be exposed to counterparty risk. Losses can occur if the counterparty does not perform under the contract.
74
TCW Funds, Inc.
April 30, 2017 |
Note 2 — Significant Accounting Policies (Continued)
The Funds’ risk of loss from counterparty credit risk on 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, 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 Schedules 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
75
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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. 2013-11, Disclosures about Offsetting Assets and Liabilities that requires disclosures to make financial statements that are prepared under GAAP more comparable to those prepared under International Financial Reporting Standards.
The following table presents the Funds’ OTC derivative assets and liabilities by counterparty net of amounts available for offset under ISDA Master Agreement or Master Repurchase Agreement (“MRA”) and net of the related collateral received by the Funds as of April 30, 2017 (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) | $ | 412 | $ | (1,721 | ) | $ | (1,309 | ) | $ | 1,190 | $ | (119 | ) | |||||||
Barclays Capital (Derivatives) | — | (366 | ) | (366 | ) | 360 | (6 | ) | ||||||||||||
BNP Paribas S.A. (Derivatives) | — | (93 | ) | (93 | ) | — | (93 | ) | ||||||||||||
Citibank N.A. (Derivatives) | 562 | (2,373 | ) | (1,811 | ) | 1,811 | (2) | — | ||||||||||||
Deutsche Bank AG (Derivatives) | 146 | (177 | ) | (31 | ) | — | (31 | ) | ||||||||||||
Goldman Sachs & Co. (Derivatives) | 317 | — | 317 | — | 317 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,437 | $ | (4,730 | ) | $ | (3,293 | ) | $ | 3,361 | $ | (68 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Amount does not include excess collateral pledged or received. |
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) | $ | 793 | $ | (234 | ) | $ | 559 | $ | (430 | ) | $ | 129 | ||||||||
BNP Paribas S.A. (Derivatives) | 2 | (128 | ) | (126 | ) | — | (126 | ) | ||||||||||||
Citibank N.A. (Derivatives) | 7 | (103 | ) | (96 | ) | — | (96 | ) | ||||||||||||
Goldman Sachs International (Derivatives) | 8 | (7 | ) | 1 | — | 1 | ||||||||||||||
Standard Chartered PLC (Derivatives) | 3 | (3 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 813 | $ | (475 | ) | $ | 338 | $ | 430 | $ | (92 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
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) | $ | 3 | $ | (8 | ) | $ | (5 | ) | $ | — | $ | (5 | ) | |||||||
Barclays Bank PLC (Derivatives) | — | (2 | ) | (2 | ) | — | (2 | ) | ||||||||||||
Citibank N.A. (Derivatives) | 3 | (15 | ) | (12 | ) | — | (12 | ) | ||||||||||||
Deutsche Bank AG (Derivatives) | 1 | (1 | ) | — | — | — | ||||||||||||||
Goldman Sachs International (Derivatives) | 2 | — | 2 | — | 2 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 9 | $ | (26 | ) | $ | (17 | ) | $ | — | $ | (17 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
76
TCW Funds, Inc.
April 30, 2017 |
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) | $ | — | $ | (17 | ) | $ | (17 | ) | $ | — | $ | (17 | ) | |||||||
Goldman Sachs International (Derivatives) | — | (2) | — | — | — | — | (2) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | — | $ | (17 | ) | $ | (17 | ) | $ | — | $ | (17 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Amount rounds to less than $1. |
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) | $ | — | $ | (42 | ) | $ | (42 | ) | $ | — | $ | (42 | ) | |||||||
Goldman Sachs International (Derivatives) | — | (2) | — | — | — | — | (2) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | — | $ | (42 | ) | $ | (42 | ) | $ | — | $ | (42 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Amount rounds to less than $1 |
Forward Foreign Currency Contracts: The Funds 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 unrealized gains or losses in the Statement of Assets and Liabilities. When a 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. Outstanding foreign currency forward contracts at April 30, 2017 are disclosed in the Schedules of Investments.
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. 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 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
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Note 2 — Significant Accounting Policies (Continued)
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. However, there are no futures contracts outstanding at April 30, 2017 for any of the Funds.
Options: The Funds purchase and sell put and call options 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 put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise 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 the 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
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Note 2 — Significant Accounting Policies (Continued)
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, 2017, the TCW Emerging Markets Income Fund, TCW Emerging Markets Local Currency Income Fund, and TCW Emerging Markets Multi-Asset Opportunities Fund had written options.
Transactions in written option contracts during the period ended April 30, 2017 were as follows:
TCW Emerging Markets Income Fund
Call Contracts | Call Premiums | |||||||
Options outstanding at October 31, 2016 | 56,725,000 | $ | 906,833 | |||||
Options written | 129,349,000 | 921,450 | ||||||
Options terminated in closing purchase transactions | — | — | ||||||
Options exercised | — | — | ||||||
Options expired | (151,859,000 | ) | (1,717,392 | ) | ||||
|
|
|
| |||||
Options outstanding at April 30, 2017 | 34,215,000 | $ | 110,891 | |||||
|
|
|
|
TCW Emerging Markets Local Currency Income Fund
Call Contracts | Call Premiums | |||||||
Options outstanding at October 31, 2016 | 5,980,000 | $ | 65,902 | |||||
Options written | 8,245,000 | 50,202 | ||||||
Options terminated in closing purchase transactions | — | — | ||||||
Options exercised | — | — | ||||||
Options expired | (11,150,000 | ) | (102,563 | ) | ||||
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|
|
| |||||
Options outstanding at April 30, 2017 | 3,075,000 | $ | 13,541 | |||||
|
|
|
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TCW Emerging Markets Multi-Asset Opportunities Fund
Call Contracts | Call Premiums | |||||||
Options outstanding at October 31, 2016 | 440,000 | $ | 7,206 | |||||
Options written | 740,000 | 4,945 | ||||||
Options terminated in closing purchase transactions | — | — | ||||||
Options exercised | — | — | ||||||
Options expired | (945,000 | ) | (11,389 | ) | ||||
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|
| |||||
Options outstanding at April 30, 2017 | 235,000 | $ | 762 | |||||
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|
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
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Note 2 — Significant Accounting Policies (Continued)
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 NAV 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
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Note 2 — Significant Accounting Policies (Continued)
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 gains or losses 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. The TCW Emerging Markets Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund used credit default swaps during the six months ended April 30, 2017, to manage the credit risk of the Funds. The swap agreements are listed on the Schedule of investments.
When-Issued, Delayed-Delivery, and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of each Fund’s existing portfolio. In when issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase 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, with market. 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 Fund monitors the obligations under these transactions on a daily basis and ensures that the Fund has sufficient liquid assets to cover them.
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of 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. There were no repurchase agreements outstanding as of April 30, 2017.
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 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
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Note 2 — Significant Accounting Policies (Continued)
defined maturity or termination date, early redemption may be possible. Risks associated with participation notes include possible failure of the 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 Funds did not hold participation notes as of April 30, 2017.
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, 2017.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the share classes 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 for each class, and in turn differences in dividends paid by each class.
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 GAAP. These differences are primarily due to differing treatments for foreign currency transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax basis differences which will reverse in a subsequent period. Any taxable income or capital gain remaining at fiscal year-end is distributed in the following year.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Note 3 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
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April 30, 2017 |
Note 3 — Risk Considerations (Continued)
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 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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Notes to Financial Statements (Unaudited) (Continued)
Note 4 — Federal Income Taxes (Continued)
At April 30, 2017, 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 Developing Markets Equity Fund | $ | 897 | $ | (56 | ) | $ | 841 | $ | 4,464 | |||||||
TCW Emerging Markets Income Fund | 128,077 | (8,749 | ) | 119,328 | 3,281,887 | |||||||||||
TCW Emerging Markets Income Local Currency Income Fund | 6,465 | (1,576 | ) | 4,889 | 118,283 | |||||||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 5,301 | (410 | ) | 4,891 | 46,563 | |||||||||||
TCW International Growth Fund | 490 | (65 | ) | 425 | 3,106 | |||||||||||
TCW International Small Cap Fund | 1,346 | (346 | ) | 1,000 | 7,531 |
At October 31, 2016 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 Developing Markets Equity Fund | $ | 47 | $ | — | $ | 47 | ||||||
TCW Emerging Markets Income Fund | 20,368 | — | 20,368 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 1,277 | — | 1,277 | |||||||||
TCW International Growth Fund | 19 | — | 19 | |||||||||
TCW International Small Cap Fund | 29 | — | 29 |
During the year ended October 31, 2016, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Developing Markets Equity Fund | $ | 2 | $ | — | $ | 2 | ||||||
TCW Emerging Markets Income Fund | 143,531 | — | 143,531 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 1,034 | — | 1,034 | |||||||||
TCW International Growth Fund | 48 | — | 48 | |||||||||
TCW International Small Cap Fund | 390 | — | 390 |
Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in the pre-enactment taxable years. 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 Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Developing Markets Equity Fund | $ | 1,026 | $ | 43 | $ | 1,069 | ||||||
TCW Emerging Markets Income Fund | 386,977 | 313,501 | 700,478 | |||||||||
TCW Emerging Markets Income Local Currency Income Fund | 12,837 | 10,703 | 23,540 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 4,110 | 746 | 4,856 | |||||||||
TCW International Growth Fund | 264 | 4 | 268 | |||||||||
TCW International Small Cap Fund | 2,997 | 425 | 3,422 |
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TCW Funds, Inc.
April 30, 2017 |
Note 4 — Federal Income Taxes (Continued)
The Funds did not have any unrecognized tax benefits at April 30, 2017, nor were there any increases or decreases in unrecognized tax benefits for the six months April 30, 2017. 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 NAV:
TCW Developing Markets Equity Fund | 0.80 | % | ||
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 | % |
The Advisor limits the operating expenses of the Funds not to exceed the Funds’ average daily net assets.
TCW Developing Markets Equity Fund | ||||
I Class | 1.25 | % (1) | ||
N Class | 1.25 | % (1) | ||
TCW Emerging Markets Income Fund | ||||
I Class | 1.13 | % (2) | ||
N Class | 1.13 | % (2) | ||
TCW Emerging Markets Local Currency Income Fund | ||||
I Class | 0.99 | % (1) | ||
N Class | 0.99 | % (1) | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||
I Class | 1.23 | % (1) | ||
N Class | 1.23 | % (1) | ||
TCW International Growth Fund | ||||
I Class | 1.04 | % (1) | ||
N Class | 1.29 | % (1) | ||
TCW International Small Cap Fund | ||||
I Class | 1.44 | % (1) | ||
N Class | 1.44 | % (1) |
(1) | These limitations are based on an agreement between the Advisor and Company. |
(2) | 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, 2017. These limitations are voluntary and terminable in a six months notice. |
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 Statements of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Total accrued and deferred amounts are recorded on the Funds’ books as other 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
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 6 — Distribution Plan (Continued)
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, 2017 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 Developing Markets Equity Fund | $ | 4,255 | $ | 4,298 | $ | — | $ | — | ||||||||
TCW Emerging Markets Income Fund | 3,806,690 | 3,454,581 | — | — | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | 76,514 | 70,089 | — | — | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 47,499 | 40,727 | — | — | ||||||||||||
TCW International Growth Fund | 2,913 | 3,044 | — | — | ||||||||||||
TCW International Small Cap Fund | 8,810 | 9,883 | — | — |
Note 8 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Developing Markets Equity Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 76,815 | $ | 700 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,894 | 34 | 228 | 1 | ||||||||||||
Shares Redeemed | — | — | (77,604 | ) | (706 | ) | ||||||||||
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| |||||||||
Net Increase (Decrease) | 3,894 | $ | 34 | (561 | ) | $ | (5 | ) | ||||||||
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N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,605 | $ | 23 | 76,755 | $ | 700 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,486 | 13 | 87 | 1 | ||||||||||||
Shares Redeemed | — | — | (77,604 | ) | (708 | ) | ||||||||||
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| |||||||||
Net Increase (Decrease) | 4,091 | $ | 36 | (762 | ) | $ | (7 | ) | ||||||||
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TCW Emerging Markets Income Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 73,567,593 | $ | 606,973 | 112,184,967 | $ | 889,712 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 8,417,244 | 69,519 | 12,105,774 | 95,420 | ||||||||||||
Shares Redeemed | (49,945,779 | ) | (410,515 | ) | (171,946,398 | ) | (1,328,456 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 32,039,058 | $ | 265,977 | (47,655,657 | ) | $ | (343,324 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 8,700,036 | $ | 92,423 | 16,214,832 | $ | 165,419 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,484,678 | 15,789 | 2,279,008 | 23,145 | ||||||||||||
Shares Redeemed | (8,373,013 | ) | (88,582 | ) | (21,517,525 | ) | (217,071 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 1,811,701 | $ | 19,630 | (3,023,685 | ) | $ | (28,507 | ) | ||||||||
|
|
|
|
|
|
|
|
86
TCW Funds, Inc.
April 30, 2017 |
Note 8 — Capital Share Transactions (Continued)
TCW Emerging Markets Local Currency Income Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,097,433 | $ | 18,743 | 9,424,813 | $ | 75,249 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 72,698 | 677 | — | — | ||||||||||||
Shares Redeemed | (1,129,068 | ) | (10,169 | ) | (11,201,554 | ) | (94,617 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 1,041,063 | $ | 9,251 | (1,776,741 | ) | $ | (19,368 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 746,923 | $ | 6,719 | 5,376,036 | $ | 42,691 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 10,955 | 102 | — | — | ||||||||||||
Shares Redeemed | (725,639 | ) | (6,391 | ) | (22,458,546 | ) | (176,333 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 32,239 | $ | 430 | (17,082,510 | ) | $ | (133,642 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 82,058 | $ | 836 | 124,090 | $ | 1,220 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 133,708 | 1,281 | 97,656 | 886 | ||||||||||||
Shares Redeemed | (90,288 | ) | (891 | ) | (770,874 | ) | (7,171 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 125,478 | $ | 1,226 | (549,128 | ) | $ | (5,065 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,242,496 | $ | 12,668 | 94,620 | $ | 927 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 5,841 | 56 | 11,379 | 103 | ||||||||||||
Shares Redeemed | (467,157 | ) | (4,527 | ) | (42,552 | ) | (427 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 781,180 | $ | 8,197 | 63,447 | $ | 603 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW International Growth Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,365 | $ | 25 | 200,713 | $ | 1,970 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,574 | 15 | 2,740 | 27 | ||||||||||||
Shares Redeemed | (5,128 | ) | (51 | ) | (123,164 | ) | (1,218 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (1,189 | ) | $ | (11 | ) | 80,289 | $ | 779 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 118,902 | $ | 1,170 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 614 | 6 | 2,162 | 21 | ||||||||||||
Shares Redeemed | — | — | (118,265 | ) | (1,164 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 614 | $ | 6 | 2,799 | $ | 27 | ||||||||||
|
|
|
|
|
|
|
|
87
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 8 — Capital Share Transactions (Continued)
TCW International Small Cap Fund | Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 18,160 | $ | 153 | 337,420 | $ | 2,784 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,311 | 18 | 29,232 | 245 | ||||||||||||
Shares Redeemed | (84,328 | ) | (686 | ) | (519,196 | ) | (4,351 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (63,857 | ) | $ | (515 | ) | (152,544 | ) | $ | (1,322 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 6,896 | $ | 58 | 279,590 | $ | 2,318 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,363 | 11 | 17,179 | 144 | ||||||||||||
Shares Redeemed | (56,795 | ) | (450 | ) | (313,208 | ) | (2,587 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (48,536 | ) | $ | (381 | ) | (16,439 | ) | $ | (125 | ) | ||||||
|
|
|
|
|
|
|
|
Note 9 — Affiliate Ownership
As of April 30, 2017, affiliates of the Funds and Advisor own 99.5%, 98.2%, and 70.2% of the NAV of TCW Developing Markets Equity Fund, TCW International Growth Fund, and TCW International Small Cap Fund, respectively.
Note 10 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. 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, 2017.
Note 11 — Committed Line Of Credit
The Company has entered into a $100,000,000 committed revolving line of credit agreement with the State Street Bank and Trust Company (the “Bank”) for temporary borrowing purposes with an expiration date of December 29, 2017. The interest rate on borrowing is the higher of the federal funds rate or the overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit as of or during the period ended April 30, 2017. The Funds pay the Bank a commitment fee equal to 0.25% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the statements of operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
Note 12 — 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
88
TCW Funds, Inc.
April 30, 2017 |
Note 12 — Indemnifications (Continued)
the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act, 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 13 — Recently Issued Accounting Pronouncements
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, “Final Rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the Final Rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X will have on the Funds’ financial statements and related disclosures.
Note 14 — Subsequent Event
On June 12, 2017, the Board has approved the liquidation of the TCW International Growth Fund to be effective on or around June 30, 2017. The Fund’s small asset size made it difficult to achieve the economy of scale to continue to operate as a mutual fund. The Fund will undergo an orderly sale of the investments and the proceeds will be distributed to the shareholders of record on the liquidation date.
89
TCW Developing Markets Equity Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | June 30, 2015 (Commencement of Operations) through October 31, 2015 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.10 | $ | 8.62 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: |
| |||||||||||
Net Investment Income (1) | 0.02 | 0.10 | 0.01 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.64 | 0.38 | (1.39 | ) | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.66 | 0.48 | (1.38 | ) | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: |
| |||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.00 | ) (2) | — | |||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 9.67 | $ | 9.10 | $ | 8.62 | ||||||
|
|
|
|
|
| |||||||
Total Return | 7.32 | % (3) | 5.63 | % | (13.80 | )% (4) | ||||||
Ratios/Supplemental Data: |
| |||||||||||
Net Assets, End of Period (in thousands) | $ | 3,837 | $ | 3,577 | $ | 3,392 | ||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||
Before Expense Reimbursement | 3.22 | % (5) | 3.56 | % | 7.09 | % (5) | ||||||
After Expense Reimbursement | 1.25 | % (5) | 1.25 | % | 1.25 | % (5) | ||||||
Ratio of Net Investment Income to Average Net Assets | 0.37 | % (5) | 1.15 | % | 0.30 | % (5) | ||||||
Portfolio Turnover Rate | 86.50 | % (4) | 154.70 | % | 54.34 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than 0.01%. |
(3) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(4) | For the period June 30, 2015 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying notes to financial statements.
90
TCW Developing Markets Equity Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, 2016 | June 30, 2015 (Commencement of Operations) through October 31, 2015 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.10 | $ | 8.62 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: |
| |||||||||||
Net Investment Income (1) | 0.02 | 0.10 | 0.01 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.64 | 0.38 | (1.39 | ) | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.66 | 0.48 | (1.38 | ) | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: |
| |||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.00 | ) (2) | — | |||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 9.67 | $ | 9.10 | $ | 8.62 | ||||||
|
|
|
|
|
| |||||||
Total Return | 7.32 | % (3) | 5.63 | % | (13.80 | )% (4) | ||||||
Ratios/Supplemental Data: |
| |||||||||||
Net Assets, End of Period (in thousands) | $ | 1,488 | $ | 1,364 | $ | 1,297 | ||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||
Before Expense Reimbursement | 4.29 | % (5) | 4.80 | % | 8.39 | % (5) | ||||||
After Expense Reimbursement | 1.25 | % (5) | 1.25 | % | 1.25 | % (5) | ||||||
Ratio of Net Investment Income to Average Net Assets | 0.37 | % (5) | 1.15 | % | 0.29 | % (5) | ||||||
Portfolio Turnover Rate | 86.50 | % (4) | 154.70 | % | 54.34 | % (3) |
(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, 2017 and is not indicative of a full year’s operating results. |
(4) | For the period June 30, 2015 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying notes to financial statements.
91
TCW Emerging Markets Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.34 | $ | 7.67 | $ | 8.57 | $ | 8.53 | $ | 9.30 | $ | 8.43 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.25 | 0.55 | 0.38 | 0.47 | 0.55 | 0.64 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.11 | 0.52 | (0.87 | ) | (0.01 | ) | (0.59 | ) | 0.75 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.36 | 1.07 | (0.49 | ) | 0.46 | (0.04 | ) | 1.39 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.22 | ) | (0.40 | ) | (0.39 | ) | (0.42 | ) | (0.44 | ) | (0.52 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | — | — | (0.22 | ) | — | |||||||||||||||||
Distributions from Return of Capital | — | — | (0.02 | ) | — | (0.07 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.22 | ) | (0.40 | ) | (0.41 | ) | (0.42 | ) | (0.73 | ) | (0.52 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 8.48 | $ | 8.34 | $ | 7.67 | $ | 8.57 | $ | 8.53 | $ | 9.30 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.47 | % (2) | 14.29 | % | (5.75 | )% | 5.52 | % | (0.68 | )% | 16.99 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 2,888,843 | $ | 2,574,798 | $ | 2,733,679 | $ | 4,602,207 | $ | 4,260,067 | $ | 4,223,485 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.85 | % (3) | 0.87 | % | 0.88 | % | 0.85 | % | 0.83 | % | 0.84 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 6.03 | % (3) | 6.95 | % | 4.79 | % | 5.44 | % | 6.09 | % | 7.24 | % | ||||||||||||
Portfolio Turnover Rate | 115.80 | % (2) | 214.73 | % | 172.93 | % | 165.55 | % | 150.21 | % | 174.98 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
92
TCW Emerging Markets Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.75 | $ | 9.89 | $ | 11.05 | $ | 11.01 | $ | 11.93 | $ | 10.81 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.30 | 0.68 | 0.46 | 0.57 | 0.68 | 0.81 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.15 | 0.67 | (1.11 | ) | (0.02 | ) | (0.76 | ) | 0.93 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.45 | 1.35 | (0.65 | ) | 0.55 | (0.08 | ) | 1.74 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.28 | ) | (0.49 | ) | (0.48 | ) | (0.51 | ) | (0.53 | ) | (0.62 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | — | — | (0.22 | ) | — | |||||||||||||||||
Distributions from Return of Capital | — | — | (0.03 | ) | — | (0.09 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.28 | ) | (0.49 | ) | (0.51 | ) | (0.51 | ) | (0.84 | ) | (0.62 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 10.92 | $ | 10.75 | $ | 9.89 | $ | 11.05 | $ | 11.01 | $ | 11.93 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.26 | % (2) | 13.98 | % | (5.96 | )% | 5.11 | % | (0.86 | )% | 16.64 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 562,548 | $ | 534,151 | $ | 521,413 | $ | 782,384 | $ | 1,419,298 | $ | 1,286,033 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.14 | % (3) | 1.15 | % | 1.16 | % | 1.13 | % | 1.10 | % | 1.11 | % | ||||||||||||
After Expense Reimbursement | 1.14 | % (3)(4) | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.74 | % (3) | 6.71 | % | 4.50 | % | 5.21 | % | 5.83 | % | 7.23 | % | ||||||||||||
Portfolio Turnover Rate | 115.80 | % (2) | 214.73 | % | 172.93 | % | 165.55 | % | 150.21 | % | 174.98 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 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.
93
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.13 | $ | 8.18 | $ | 9.69 | $ | 10.14 | $ | 10.52 | $ | 9.89 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.30 | 0.52 | 0.46 | 0.55 | 0.54 | 0.64 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.02 | ) | 0.43 | (1.94 | ) | (0.88 | ) | (0.62 | ) | 0.23 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.28 | 0.95 | (1.48 | ) | (0.33 | ) | (0.08 | ) | 0.87 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | — | — | — | (0.06 | ) | (0.18 | ) | |||||||||||||||
Distributions from Return of Capital | — | — | (0.03 | ) | (0.12 | ) | (0.24 | ) | (0.06 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.06 | ) | — | (0.03 | ) | (0.12 | ) | (0.30 | ) | (0.24 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 9.35 | $ | 9.13 | $ | 8.18 | $ | 9.69 | $ | 10.14 | $ | 10.52 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.11 | % (2) | 11.61 | % | (15.35 | )% | (3.29 | )% | (0.89 | )% | 9.02 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 109,757 | $ | 97,650 | $ | 102,034 | $ | 178,828 | $ | 237,695 | $ | 122,196 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.07 | % (3) | 1.00 | % | 1.00 | % | 0.95 | % | 0.90 | % | 0.96 | % | ||||||||||||
After Expense Reimbursement | 0.99 | % (3) | 0.99 | % | 0.99 | % | N/A | N/A | N/A | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 6.83 | % (3) | 6.12 | % | 5.20 | % | 5.61 | % | 5.19 | % | 6.39 | % | ||||||||||||
Portfolio Turnover Rate | 64.51 | % (2) | 209.07 | % | 250.10 | % | 223.55 | % | 290.24 | % | 252.93 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
94
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.12 | $ | 8.17 | $ | 9.69 | $ | 10.13 | $ | 10.52 | $ | 9.89 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.31 | 0.48 | 0.46 | 0.58 | 0.54 | 0.62 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.03 | ) | 0.47 | (1.95 | ) | (0.91 | ) | (0.64 | ) | 0.25 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.28 | 0.95 | (1.49 | ) | (0.33 | ) | (0.10 | ) | 0.87 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | — | — | — | (0.05 | ) | (0.18 | ) | |||||||||||||||
Distributions from Return of Capital | — | — | (0.03 | ) | (0.11 | ) | (0.24 | ) | (0.06 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.06 | ) | — | (0.03 | ) | (0.11 | ) | (0.29 | ) | (0.24 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 9.34 | $ | 9.12 | $ | 8.17 | $ | 9.69 | $ | 10.13 | $ | 10.52 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.12 | % (2) | 11.63 | % | (15.37 | )% | (3.37 | )% | (0.91 | )% | 8.92 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 15,998 | $ | 15,325 | $ | 153,270 | $ | 55,028 | $ | 113,380 | $ | 89,410 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.47 | % (3) | 1.31 | % | 1.25 | % | 1.24 | % | 1.15 | % | 1.25 | % | ||||||||||||
After Expense Reimbursement | 0.99 | % (3) | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 7.06 | % (3) | 6.05 | % | 5.29 | % | 5.87 | % | 5.15 | % | 6.20 | % | ||||||||||||
Portfolio Turnover Rate | 64.51 | % (2) | 209.07 | % | 250.10 | % | 223.55 | % | 290.24 | % | 252.93 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
95
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | June 28, 2013 (Commencement of Operations) through October 31, 2013 | ||||||||||||||||||
2016 | 2015 | 2014 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.39 | $ | 9.63 | $ | 10.97 | $ | 10.68 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.14 | 0.35 | 0.24 | 0.22 | 0.07 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.35 | 0.65 | (1.38 | ) | 0.14 | 0.61 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.49 | 1.00 | (1.14 | ) | 0.36 | 0.68 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.38 | ) | (0.24 | ) | (0.20 | ) | (0.07 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 10.50 | $ | 10.39 | $ | 9.63 | $ | 10.97 | $ | 10.68 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 5.04 | % (2) | 10.75 | % | (10.53 | )% | 3.43 | % | 6.80 | % (3) | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 38,895 | $ | 37,173 | $ | 39,739 | $ | 53,652 | $ | 40,903 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.55 | % (4) | 1.57 | % | 1.47 | % | 1.43 | % | 1.72 | % (4) | ||||||||||
After Expense Reimbursement | 1.23 | % (4) | 1.23 | % | 1.23 | % | 1.21 | % | 1.26 | % (4) | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.81 | % (4) | 3.74 | % | 2.31 | % | 2.04 | % | 2.06 | % (4) | ||||||||||
Portfolio Turnover Rate | 100.31 | % (2) | 227.75 | % | 145.86 | % | 151.61 | % | 52.53 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 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.
96
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | June 28, 2013 (Commencement of Operations) through October 31, 2013 | ||||||||||||||||||
2016 | 2015 | 2014 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.35 | $ | 9.59 | $ | 10.92 | $ | 10.62 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.36 | 0.24 | 0.22 | 0.06 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.32 | 0.64 | (1.37 | ) | 0.15 | 0.56 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.49 | 1.00 | (1.13 | ) | 0.37 | 0.62 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.38 | ) | (0.24 | ) | (0.20 | ) | (0.07 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 10.46 | $ | 10.35 | $ | 9.59 | $ | 10.92 | $ | 10.62 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 5.05 | % (2) | 10.78 | % | (10.50 | )% | 3.54 | % | 6.20 | % (3) | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 13,314 | $ | 5,088 | $ | 4,107 | $ | 89 | $ | 31 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 2.23 | % (4) | 2.15 | % | 2.15 | % | 48.38 | % | 480.73 | % (4) | ||||||||||
After Expense Reimbursement | 1.23 | % (4) | 1.23 | % | 1.23 | % | 1.21 | % | 1.26 | % (4) | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.28 | % (4) | 3.79 | % | 2.38 | % | 2.01 | % | 1.72 | % (4) | ||||||||||
Portfolio Turnover Rate | 100.31 | % (2) | 227.75 | % | 145.86 | % | 151.61 | % | 52.53 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 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.
97
TCW International Growth Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | October 31, 2012 (Commencement of Operations) through October 31, 2013 | ||||||||||||||||||
2016 | 2015 | 2014 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.79 | $ | 10.15 | $ | 12.31 | $ | 12.04 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.04 | 0.12 | 0.07 | 0.10 | 0.05 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.00 | (0.26 | ) | (0.65 | ) | 0.30 | 1.99 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 1.04 | (0.14 | ) | (0.58 | ) | 0.40 | 2.04 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.22 | ) | (0.19 | ) | (0.09 | ) | — | |||||||||||
Distributions from Net Realized Gain | — | — | (1.39 | ) | (0.04 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.08 | ) | (0.22 | ) | (1.58 | ) | (0.13 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 10.75 | $ | 9.79 | $ | 10.15 | $ | 12.31 | $ | 12.04 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 10.65 | % (2) | (1.45 | )% | (4.74 | )% | 3.27 | % | 20.40 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 2,243 | $ | 2,055 | $ | 1,316 | $ | 1,383 | $ | 1,341 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 5.17 | % (3) | 5.64 | % | 5.05 | % | 4.95 | % | 7.74 | % | ||||||||||
After Expense Reimbursement | 1.04 | % (3) | 1.04 | % | 1.04 | % | 1.04 | % | 1.04 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.85 | % (3) | 1.23 | % | 0.63 | % | 0.82 | % | 0.46 | % | ||||||||||
Portfolio Turnover Rate | 91.00 | % (2) | 140.02 | % | 223.01 | % | 318.07 | % | 309.74 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
98
TCW International Growth Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | October 31, 2012 (Commencement of Operations) through October 31, 2013 | ||||||||||||||||||
2016 | 2015 | 2014 | ||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.74 | $ | 10.10 | $ | 12.27 | $ | 12.01 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||
Net Investment Income (1) | 0.03 | 0.09 | 0.03 | 0.06 | 0.02 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.99 | (0.27 | ) | (0.64 | ) | 0.30 | 1.99 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 1.02 | (0.18 | ) | (0.61 | ) | 0.36 | 2.01 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: |
| |||||||||||||||||||
Distributions from Net Investment Income | (0.05 | ) | (0.18 | ) | (0.17 | ) | (0.06 | ) | — | |||||||||||
Distributions from Net Realized Gain | — | — | (1.39 | ) | (0.04 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.05 | ) | (0.18 | ) | (1.56 | ) | (0.10 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Period | $ | 10.71 | $ | 9.74 | $ | 10.10 | $ | 12.27 | $ | 12.01 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 10.53 | % (2) | (1.77 | )% | (5.03 | )% | 2.92 | % | 20.10 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,280 | $ | 1,158 | $ | 1,173 | $ | 1,234 | $ | 1,201 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 6.50 | % (3) | 6.27 | % | 5.18 | % | 5.23 | % | 7.99 | % | ||||||||||
After Expense Reimbursement | 1.26 | % (3) | 1.31 | % | 1.34 | % | 1.34 | % | 1.34 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.63 | % (3) | 0.90 | % | 0.32 | % | 0.52 | % | 0.15 | % | ||||||||||
Portfolio Turnover Rate | 91.00 | % (2) | 140.02 | % | 223.01 | % | 318.07 | % | 309.74 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2017 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
99
TCW International Small Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.17 | $ | 8.57 | $ | 8.72 | $ | 8.92 | $ | 7.83 | $ | 7.68 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.00 | ) (2) | 0.02 | 0.01 | 0.01 | (0.01 | ) | 0.09 | ||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.76 | (0.05 | ) | (0.11 | ) | (0.13 | ) | 1.55 | 0.13 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.76 | (0.03 | ) | (0.10 | ) | (0.12 | ) | 1.54 | 0.22 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.03 | ) | (0.37 | ) | (0.05 | ) | (0.08 | ) | (0.45 | ) | (0.07 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 8.90 | $ | 8.17 | $ | 8.57 | $ | 8.72 | $ | 8.92 | $ | 7.83 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 9.44 | % (3) | (0.49 | )% | (1.07 | )% | (1.39 | )% | 20.77 | % | 2.92 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 5,630 | $ | 5,684 | $ | 7,274 | $ | 19,786 | $ | 24,266 | $ | 18,354 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 2.56 | % (4) | 2.40 | % | 1.67 | % | 1.37 | % | 1.36 | % | 1.32 | % | ||||||||||||
After Expense Reimbursement | 1.43 | % (4) | 1.44 | % | 1.44 | % | N/A | N/A | N/A | |||||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.07 | % (4) | 0.29 | % | 0.17 | % | 0.12 | % | (0.17 | )% | 1.16 | % | ||||||||||||
Portfolio Turnover Rate | 108.40 | % (3) | 128.62 | % | 243.88 | % | 259.88 | % | 301.86 | % | 139.84 | % |
(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, 2017 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
100
TCW International Small Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2017 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.17 | $ | 8.58 | $ | 8.72 | $ | 8.92 | $ | 7.82 | $ | 7.68 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (Loss) (1) | 0.00 | (2) | 0.03 | 0.03 | 0.00 | (2) | (0.02 | ) | 0.08 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.77 | (0.07 | ) | (0.12 | ) | (0.13 | ) | 1.56 | 0.12 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.77 | (0.04 | ) | (0.09 | ) | (0.13 | ) | 1.54 | 0.20 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.03 | ) | (0.37 | ) | (0.05 | ) | (0.07 | ) | (0.44 | ) | (0.06 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 8.91 | $ | 8.17 | $ | 8.58 | $ | 8.72 | $ | 8.92 | $ | 7.82 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 9.56 | % (3) | (0.60 | )% | (1.03 | )% | (1.52 | )% | 20.77 | % | 2.75 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 2,995 | $ | 3,143 | $ | 3,440 | $ | 9,437 | $ | 11,847 | $ | 11,715 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 3.12 | % (4) | 2.88 | % | 2.09 | % | 1.75 | % | 1.67 | % | 1.64 | % | ||||||||||||
After Expense Reimbursement | 1.43 | % (4) | 1.44 | % | 1.44 | % | 1.44 | % | 1.44 | % | 1.44 | % | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.04 | % (4) | 0.33 | % | 0.40 | % | 0.04 | % | (0.23 | )% | 1.00 | % | ||||||||||||
Portfolio Turnover Rate | 108.40 | % (3) | 128.62 | % | 243.88 | % | 259.88 | % | 301.86 | % | 139.84 | % |
(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, 2017 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
101
TCW Funds, Inc.
Shareholder Expenses (Unaudited)
As a shareholder of a 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, 2016 to April 30, 2017 (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, 2016 | Ending Account Value April 30, 2017 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2016 to April 30, 2017) | ||||||||||||
TCW Developing Markets Equity Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,073.20 | 1.25 | % | $ | 6.43 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.60 | 1.25 | % | 6.26 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,073.20 | 1.25 | % | $ | 6.43 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.60 | 1.25 | % | 6.26 | |||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,044.70 | 0.85 | % | $ | 4.31 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.58 | 0.85 | % | 4.26 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,042.60 | 1.14 | % | $ | 5.77 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.14 | 1.14 | % | 5.71 | |||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,031.10 | 0.99 | % | $ | 4.99 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.89 | 0.99 | % | 4.96 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,031.20 | 0.99 | % | $ | 4.99 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.89 | 0.99 | % | 4.96 |
102
TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value November 1, 2016 | Ending Account Value April 30, 2017 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2016 to April 30, 2017) | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,050.40 | 1.23 | % | $ | 6.25 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.70 | 1.23 | % | 6.16 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,050.50 | 1.23 | % | $ | 6.25 | ||||||||
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 | $ | 1,106.50 | 1.04 | % | $ | 5.43 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.64 | 1.04 | % | 5.21 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,105.30 | 1.26 | % | $ | 6.58 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.55 | 1.26 | % | 6.31 | |||||||||||
TCW International Small Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,094.40 | 1.43 | % | $ | 7.43 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.70 | 1.43 | % | 7.15 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,095.60 | 1.43 | % | $ | 7.43 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.70 | 1.43 | % | 7.15 |
103
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 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 files 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). |
104
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 LLC
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 LLC
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
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
Patrick W. Dennis
Assistant Secretary
Lisa Eisen
Tax Officer
George N. Winn
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Focused Equities Fund
TCW Global Real Estate Fund
TCW High Dividend Equities Fund
TCW New America Premier Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
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 Developing Markets Equity Fund
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
FUNDsarINT0417
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 Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | The Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable. |
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. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the 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, as amended (the “1940 Act”)) 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 |
3
date of this report, based on their evaluation of these controls and procedures required by |
Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant’s second 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. |
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 applicable. |
(b) | The certifications required by Rule 30a-2(b) of the 1940 Act and Section 906 of the Sarbanes-Oxley Act are filed herewith. |
4
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 23, 2017 |
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 23, 2017 | |
By (Signature and Title) | ||
/s/ Richard M. Villa | ||
Richard M. Villa | ||
Chief Financial Officer | ||
Date | June 23, 2017 |
5