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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07170
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.
Vice President and 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, 2018
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Item 1. | Reports to Shareholders. |
[Please insert Semi-Annual Report here]
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APRIL 30
SEMI-ANNUAL
R E P O R T
EQUITY FUNDS
TCW Artificial Intelligence Equity Fund
TCW Focused Equities Fund
TCW Global Real Estate 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
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TCW Funds, Inc.
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 78 |
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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, 2018. 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, 2018, the TCW Funds held total net assets of approximately $16 billion.
This report contains information outlining the performance and a list of portfolio holdings as of April 30, 2018 for the TCW Funds’ Equity Funds and the TCW Conservative Allocation Fund.
The U.S. Stock Market
US stocks rose 3.8% (S&P 500 Index-Total Return) during the period under review, as the equity market proved quite buoyant given generally improving macroeconomic data, including the unemployment rate dropping to its lowest level (3.9%) in over 17 years and 1Q GDP coming in at a stronger than expected 2.3% annual rate (QoQ). The prospects for US corporate earnings results in 2018, which had already been solid, received a sharp boost from congressional passage of the Tax Cuts and Jobs Act, which represented the largest tax cut since the 1981 Reagan tax reduction. As the outlook for the economy and company fundamentals continued to brighten, US stocks posted a series of record high closes, including an all-time high on January 26, 2018. However, by early February the yield on the 10-year US Treasury Note had spiked to 2.84% from a recent low of 2.04% just five months earlier, as investors worried that the fiscal stimulus provided by tax reform might prompt higher interest rates in an economy that had grown accustomed to the easy liquidity witnessed over the past nine years. Over a nine trading day period, US stocks sold off just over 10 percent, marking their first “correction” in two years. Market sentiment was also hurt by President Trump’s decision to impose tariffs on steel and aluminum imports as well as on selected Chinese imports, which unleashed fears of a trade war that could potentially damage the U.S. economy and hurt corporate earnings.
Perhaps the most consequential development for the equity market — and the financial markets more broadly — has been the unequivocal upward drift in interest rates, with the yield on the 10-year US Treasury note climbing from 2.41% at the beginning of this calendar year to a recent peak of 3.03% in late April. While interest rates remain at low levels in absolute terms, there is beginning to be a competition for capital among stock price/earnings ratios, real estate cap rates, bond yields, emerging markets currencies and so forth, with the Fed steadily pursuing its agenda of removing the easy liquidity that characterized monetary policy for nearly a decade. All the while, there has been an intense debate about the significance of the yield curve being the flattest since 2007, with some investors fearful of an imminent inversion signaling heightened recession risk, while others point to technical factors including artificially low yields across the rest of the globe, as well as repatriation-induced demand factors. The current macro data are largely inconsistent with typical recession signals, but whether one considers CPI, PCE, or ECI inflation measures, the Fed is close to achieving its 2% inflation objective, which likely means that at least several further interest rate hikes are in store for a still fragile economy.
Looking Ahead
More certainty with respect to tax policy, coupled with full capex expensing, repatriated overseas profits, and an increase in the average consumer’s discretionary spending power, are likely to provide support to the present economic expansion and, by extension, to the outlook for corporate earnings.
In considering the equity market outlook, it is difficult to miss the sharp contrast between the first quarter’s stellar corporate earnings results and the flat stock market thus far in 2018. With 97% of S&P 500 companies having reported calendar year 1Q earnings, revenue and earnings growth are up 8% and 24% YoY, respectively (Fundstrat Global Advisors, 5/24/18). Looking forward, Bloomberg
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Letter to Shareholders (Continued) |
pegs forward EPS growth at an impressive 27% over the next twelve months, with stocks trading on a forward P/E ratio of 16 times earnings, which is only slightly higher than the long-term average over the past three decades. While it is a fair point that perhaps 6-9% of the earnings boost relates to a one-time boost from corporate tax reform, the larger concern revolves around whether corporate America has achieved “peak earnings,” such that at the margin the equity market faces a near-certain slowdown in earnings momentum. To be sure, asset prices can no longer rely upon Fed-induced liquidity to propel valuation levels higher, and with interest rates on the rise, stock multiples are likely to face persistent downward pressure. Our view, then, is for choppiness in the equity market to persist and for there to be ever broader dispersion between winners and losers, largely dictated by a companies’ ability to achieve recurring cash earnings growth. As such, we believe that bottom-up stock picking is likely to reassert itself in this new era, as the equity market becomes more of a “show-me” story in terms of earnings.
Fund Performance
All of our U.S. Equity Funds as well as the Conservative Allocation Fund posted positive returns and outperformed their respective benchmarks during the period under review with the exception of the TCW Global Real Estate Fund (TGREX/TGRYX) and the TCW Relative Value Large Cap Fund (TGDIX/TGDVX). The TCW Global Real Estate Fund’s negative absolute return was due to the real estate sector’s interest rate sensitivity, while its relative underperformance was attributable to stock selection. The TCW Relative Value Large Cap Fund produced a positive absolute return but modestly trailed its benchmark as
positive sector attribution was more than offset by stock selection. In general, those Funds exhibiting more growth-oriented attributes fared best during the period, while those possessing more defensive, income-oriented exposure lagged the broader market. We continue to believe that our emphasis on rigorous bottom-up stock research will serve our Fund participants well over the longer term, particularly if interest rates continue to rise and stock selection moves again to the fore with greater dispersion among stock returns characterizing the equity market.
An Update on the TCW Funds Equity Funds
We note that the TCW High Dividend Equities Fund (TGHDX/TGDEX) was liquidated effective January 25, 2018.
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
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TCW Funds, Inc.
Performance Summary (Unaudited)
NAV | Six Months Return as of April 30, 2018 | Total Return | ||||||||||||||||||||||||||
Annualized as of April 30, 2018 (1) | ||||||||||||||||||||||||||||
1-Year | 5-Year | 10-Year | Since Inception | Inception Date | ||||||||||||||||||||||||
TCW Artificial Intelligence Equity Fund | ||||||||||||||||||||||||||||
I Class | $ | 11.37 | 6.88 | % | N/A | N/A | N/A | 13.72 | % | 08/31/17 | ||||||||||||||||||
N Class | $ | 11.37 | 6.88 | % | N/A | N/A | N/A | 13.72 | % | 08/31/17 | ||||||||||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||||||||||||||
I Class | $ | 11.80 | 1.07 | % | 4.95 | % | 4.50 | % | 5.49 | % | 5.10 | % | 11/16/06 | |||||||||||||||
N Class | $ | 11.81 | 0.84 | % | 4.54 | % | 3.97 | % | 5.19 | % | 4.83 | % | 11/16/06 | |||||||||||||||
TCW Focused Equities Fund | ||||||||||||||||||||||||||||
I Class | $ | 22.26 | 4.64 | % | 9.45 | % | 10.02 | % | 4.62 | % | 5.96 | % | 10/29/04 | |||||||||||||||
N Class | $ | 22.02 | 4.64 | % | 9.51 | % | 10.02 | % | 4.44 | % | 5.75 | % (2) | 07/20/98 | (3) | ||||||||||||||
TCW Global Real Estate Fund | ||||||||||||||||||||||||||||
I Class | $ | 9.61 | (3.99 | )% | 0.85 | % | N/A | N/A | 1.59 | % | 11/28/14 | |||||||||||||||||
N Class | $ | 9.61 | (3.99 | )% | 0.85 | % | N/A | N/A | 1.59 | % | 11/28/14 | |||||||||||||||||
TCW New America Premier Equities Fund | ||||||||||||||||||||||||||||
I Class | $ | 15.72 | 6.86 | % | 26.35 | % | N/A | N/A | 25.38 | % | 01/29/16 | |||||||||||||||||
N Class | $ | 15.72 | 6.86 | % | 26.35 | % | N/A | N/A | 25.38 | % | 01/29/16 | |||||||||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||||||||||||||
I Class | $ | 18.87 | 3.41 | % | 8.14 | % | 9.51 | % | 7.26 | % | 7.43 | % | 10/29/04 | |||||||||||||||
N Class | $ | 19.20 | 3.31 | % | 7.97 | % | 9.24 | % | 6.97 | % | 9.21 | % (4) | 09/19/86 | (3) | ||||||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||||||||||||||
I Class | $ | 21.19 | 1.45 | % | 8.07 | % | 10.21 | % | 7.39 | % | 7.81 | % | 12/31/03 | |||||||||||||||
N Class | $ | 21.13 | 1.32 | % | 7.82 | % | 9.95 | % | 7.16 | % | 6.55 | % (4) | 12/31/97 | (3) | ||||||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||||||||||||||
I Class | $ | 25.05 | 4.40 | % | 14.88 | % | 10.86 | % | 7.98 | % | 10.81 | % (5) | 11/01/96 | (3) | ||||||||||||||
N Class | $ | 24.38 | 4.35 | % | 14.74 | % | 10.62 | % | 7.69 | % | 8.42 | % | 10/31/00 | |||||||||||||||
TCW Select Equities Fund | ||||||||||||||||||||||||||||
I Class | $ | 26.64 | 10.56 | % | 21.99 | % | 13.57 | % | 10.54 | % | 10.25 | % (5) | 07/01/91 | (3) | ||||||||||||||
N Class | $ | 24.20 | 10.49 | % | 21.75 | % | 13.28 | % | 10.25 | % | 6.43 | % | 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. |
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TCW Artificial Intelligence Equity Fund
Schedule of Investments (Unaudited)
Issues | Shares | Value | ||||||
COMMON STOCK — 94.7% of Net Assets |
| |||||||
Auto Components — 1.7% | ||||||||
Aptiv PLC | 330 | $ | 27,911 | |||||
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Automobiles — 2.8% | ||||||||
General Motors Co. | 448 | 16,460 | ||||||
Tesla Inc. (1) | 95 | 27,920 | ||||||
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44,380 | ||||||||
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Commercial Services & Supplies — 1.1% | ||||||||
KAR Auction Services, Inc. | 339 | 17,625 | ||||||
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Communications Equipment — 2.0% | ||||||||
Arista Networks, Inc. (1) | 60 | 15,873 | ||||||
Ciena Corp. (1) | 654 | 16,840 | ||||||
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32,713 | ||||||||
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Diversified Telecommunication Services — 0.5% | ||||||||
Zayo Group Holdings, Inc. (1) | 215 | 7,804 | ||||||
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Electronic Equipment, Instruments & Components — 1.0% | ||||||||
Corning, Inc. | 599 | 16,185 | ||||||
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Health Care Equipment & Supplies — 3.0% | ||||||||
IDEXX Laboratories, Inc. (1) | 134 | 26,062 | ||||||
Intuitive Surgical, Inc. (1) | 49 | 21,598 | ||||||
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47,660 | ||||||||
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Health Care Providers & Services — 1.2% | ||||||||
UnitedHealth Group, Inc. | 80 | 18,912 | ||||||
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Hotels, Restaurants & Leisure — 2.2% | ||||||||
Domino’s Pizza, Inc. | 61 | 14,746 | ||||||
Starbucks Corp. | 351 | 20,207 | ||||||
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34,953 | ||||||||
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Internet & Catalog Retail — 6.4% | ||||||||
Amazon.com, Inc. (1) | 44 | 68,910 | ||||||
Netflix, Inc. (1) | 112 | 34,995 | ||||||
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103,905 | ||||||||
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Internet Software & Services — 16.9% | ||||||||
Alibaba Group Holding, Ltd. (SP ADR)(China) (1) | 179 | 31,959 | ||||||
Alphabet, Inc. (1) | 41 | 41,762 | ||||||
Baidu, Inc. (SP ADR)(China) (1) | 104 | 26,094 | ||||||
DocuSign, Inc. (1) | 1 | 39 | ||||||
Dropbox, Inc. (1) | 10 | 301 | ||||||
Equinix, Inc. | 41 | 17,252 | ||||||
Facebook, Inc. (1) | 385 | 66,220 | ||||||
Hortonworks, Inc. (1) | 972 | 16,456 | ||||||
Tencent Holdings, Ltd. | 585 | 28,741 | ||||||
Twitter, Inc. (1) | 958 | 29,037 | ||||||
Yelp, Inc. (1) | 343 | 15,383 | ||||||
|
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273,244 | ||||||||
|
|
Issues | Shares | Value | ||||||
IT Services — 6.8% | ||||||||
Accenture PLC | 175 | $ | 26,460 | |||||
EPAM Systems, Inc. (1) | 203 | 23,213 | ||||||
Gartner, Inc. (1) | 177 | 21,468 | ||||||
Switch, Inc. | 776 | 11,058 | ||||||
Visa, Inc. | 224 | 28,421 | ||||||
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110,620 | ||||||||
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REIT — 1.8% | ||||||||
American Tower Corp. | 208 | 28,363 | ||||||
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Semiconductors & Semiconductor Equipment — 20.3% | ||||||||
ASML Holding NV (Netherlands) | 133 | 25,064 | ||||||
Broadcom, Inc. | 112 | 25,695 | ||||||
Cypress Semiconductor Corp. | 1,074 | 15,659 | ||||||
Inphi Corp. (1) | 543 | 15,519 | ||||||
Intel Corp. | 965 | 49,813 | ||||||
Lam Research Corp. | 81 | 14,990 | ||||||
Micron Technology, Inc. (1) | 1,189 | 54,670 | ||||||
NVIDIA Corp. | 282 | 63,422 | ||||||
ON Semiconductor Corp. (1) | 1,191 | 26,297 | ||||||
Silicon Laboratories, Inc. (1) | 198 | 18,394 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (SP ADR) (Taiwan) | 499 | 19,187 | ||||||
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328,710 | ||||||||
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Software — 23.7% | ||||||||
Adobe Systems, Inc. (1) | 223 | 49,417 | ||||||
Ceridian HCM Holding, Inc. (1) | 349 | 11,021 | ||||||
Microsoft Corp. | 560 | 52,371 | ||||||
Nuance Communications, Inc. (1) | 1,418 | 20,873 | ||||||
Oracle Corp. | 315 | 14,386 | ||||||
Proofpoint, Inc. (1) | 143 | 16,865 | ||||||
Salesforce.com, Inc. (1) | 401 | 48,517 | ||||||
ServiceNow, Inc. (1) | 335 | 55,657 | ||||||
Smartsheet, Inc. (1) | 5 | 97 | ||||||
Splunk, Inc. (1) | 477 | 48,964 | ||||||
Tableau Software, Inc. (1) | 237 | 20,157 | ||||||
Take-Two Interactive Software, Inc. (1) | 172 | 17,150 | ||||||
Workday, Inc. (1) | 215 | 26,841 | ||||||
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382,316 | ||||||||
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Technology Hardware, Storage & Peripherals — 3.3% | ||||||||
NetApp, Inc. | 390 | 25,966 | ||||||
Western Digital Corp. | 355 | 27,971 | ||||||
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53,937 | ||||||||
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Total Common Stock | ||||||||
(Cost: $1,400,727) | 1,529,238 | |||||||
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See accompanying notes to financial statements.
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TCW Artificial Intelligence Equity Fund
April 30, 2018 |
Issues | Shares | Value | ||||||
MONEY MARKET INVESTMENTS — 4.7% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (2) | 76,480 | $ | 76,480 | |||||
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Total Money Market Investments | ||||||||
(Cost: $76,480) | 76,480 | |||||||
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Total Investments (99.4%) | ||||||||
(Cost: $1,477,207) | 1,605,718 | |||||||
Excess of Other Assets over Liabilities (0.6%) | 10,048 | |||||||
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Net Assets (100.0%) | $ | 1,615,766 | ||||||
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Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of January 31, 2018. |
REIT - | Real Estate Investment Trust. |
SP ADR - | Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
See accompanying notes to financial statements.
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TCW Artificial Intelligence Equity Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Auto Components | 1.7 | % | ||
Automobiles | 2.8 | |||
Commercial Services & Supplies | 1.1 | |||
Communications Equipment | 2.0 | |||
Diversified Telecommunication Services | 0.5 | |||
Electronic Equipment, Instruments & Components | 1.0 | |||
Health Care Equipment & Supplies | 3.0 | |||
Health Care Providers & Services | 1.2 | |||
Hotels, Restaurants & Leisure | 2.2 | |||
Internet & Catalog Retail | 6.4 | |||
Internet Software & Services | 16.9 | |||
IT Services | 6.8 | |||
REIT | 1.8 | |||
Semiconductors & Semiconductor Equipment | 20.3 | |||
Software | 23.7 | |||
Technology Hardware, Storage & Peripherals | 3.3 | |||
Money Market Investments | 4.7 | |||
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Total | 99.4 | % | ||
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See accompanying notes to financial statements.
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TCW Artificial Intelligence Equity Fund
Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | ||||||||||||||||
Auto Components | $ | 27,911 | $ | — | $ | — | $ | 27,911 | ||||||||
Automobiles | 44,380 | — | — | 44,380 | ||||||||||||
Commercial Services & Supplies | 17,625 | — | — | 17,625 | ||||||||||||
Communications Equipment | 32,713 | — | — | 32,713 | ||||||||||||
Diversified Telecommunication Services | 7,804 | — | — | 7,804 | ||||||||||||
Electronic Equipment, Instruments & Components | 16,185 | — | — | 16,185 | ||||||||||||
Health Care Equipment & Supplies | 47,660 | — | — | 47,660 | ||||||||||||
Health Care Providers & Services | 18,912 | — | — | 18,912 | ||||||||||||
Hotels, Restaurants & Leisure | 34,953 | — | — | 34,953 | ||||||||||||
Internet & Catalog Retail | 103,905 | — | — | 103,905 | ||||||||||||
Internet Software & Services | 273,244 | — | — | 273,244 | ||||||||||||
IT Services | 110,620 | — | — | 110,620 | ||||||||||||
REIT | 28,363 | — | — | 28,363 | ||||||||||||
Semiconductors & Semiconductor Equipment | 328,710 | — | — | 328,710 | ||||||||||||
Software | 382,316 | — | — | 382,316 | ||||||||||||
Technology Hardware, Storage & Peripherals | 53,937 | — | — | 53,937 | ||||||||||||
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Total Common Stock | 1,529,238 | — | — | 1,529,238 | ||||||||||||
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Money Market Investments | 76,480 | — | — | 76,480 | ||||||||||||
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Total Investments | $ | 1,605,718 | $ | — | $ | — | $ | 1,605,718 | ||||||||
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See accompanying notes to financial statements.
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TCW Conservative Allocation Fund
Schedule of Investments (Unaudited)
Issues | Shares | Value | ||||||
EXCHANGE-TRADED FUNDS — 2.7% of Net Assets |
| |||||||
iShares MSCI EAFE Index Fund | 11,160 | $ | 789,458 | |||||
|
| |||||||
Total Exchange-Traded Funds | ||||||||
(Cost: $725,446) |
| 789,458 | ||||||
|
| |||||||
INVESTMENT COMPANIES — 94.0% |
| |||||||
Diversified Equity Funds — 36.7% | ||||||||
TCW / Gargoyle Dynamic 500 Fund — I Class (1) | 199,627 | 2,319,671 | ||||||
TCW New America Premier Equities Fund — I Class (1) | 182,339 | 2,866,372 | ||||||
TCW Relative Value Large Cap Fund — I Class (1) | 144,414 | 3,060,132 | ||||||
TCW Relative Value Mid Cap Fund — I Class (1) | 33,883 | 848,775 | ||||||
TCW Select Equities Fund — I Class (1) | 66,396 | 1,768,778 | ||||||
|
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10,863,728 | ||||||||
|
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Diversified Fixed Income Funds — 57.3% |
| |||||||
Metropolitan West Low Duration Bond Fund — I Class (1) | 395,483 | 3,405,106 | ||||||
Metropolitan West Total Return Bond Fund — I Class (1) | 360,824 | 3,741,750 | ||||||
Metropolitan West Unconstrained Bond Fund — I Class (1) | 474,364 | 5,588,006 |
Issues | Shares | Value | ||||||
Diversified Fixed Income Funds (Continued) | ||||||||
TCW Global Bond Fund — I Class (1) | 74,877 | $ | 728,555 | |||||
TCW Total Return Bond Fund — I Class (1) | 360,609 | 3,479,877 | ||||||
|
| |||||||
16,943,294 | ||||||||
|
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Total Investment Companies | ||||||||
(Cost: $26,022,172) |
| 27,807,022 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 2.6% | ||||||||
Fidelity Institutional Government Portfolio — Select Class, 1.53% (2) | 789,277 | 789,277 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $789,277) |
| 789,277 | ||||||
|
| |||||||
Total Investments (99.3%) | ||||||||
(Cost: $27,536,895) |
| 29,385,757 | ||||||
Excess of Other Assets over Liabilities (0.7%) |
| 202,672 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 29,588,429 | |||||
|
|
Notes to the Schedule of Investments
(1) | Affiliated issuer. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
See accompanying notes to financial statements.
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TCW Conservative Allocation Fund
April 30, 2018 |
The summary of the TCW Conservative Allocation Fund transactions in the affiliated funds for the period ended April 30, 2018 is as follows:
Name of Affiliated Fund | Value at October 31, 2017 (In Thousands) | Purchases at Cost (In Thousands) | Proceeds from Sales (In Thousands) | Number of Shares Held April 30, 2018 | Value at April 30, 2018 (In Thousands) | Dividends and Interest Income Received (In Thousands) | Distributions Received from Net Realized Gain (In thousands) | Net Realized Gain/(Loss) on Investments (In thousands) | Net change in Unrealized Gain/(Loss) on Investments (In thousands) | |||||||||||||||||||||||||||
Metropolitan West Low Duration Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 2,924 | $ | 675 | $ | (158 | ) | 395,483 | $ | 3,405 | $ | 28 | $ | — | $ | (2 | ) | $ | (34 | ) | |||||||||||||||||
Metropolitan West Total Return Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 4,019 | $ | 46 | $ | (215 | ) | 360,824 | 3,742 | 46 | — | (8 | ) | (100 | ) | ||||||||||||||||||||||
Metropolitan West Unconstrained Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 5,898 | $ | 107 | $ | (320 | ) | 474,364 | 5,588 | 96 | 11 | (1 | ) | (97 | ) | ||||||||||||||||||||||
TCW / Gargoyle Dynamic 500 Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 2,556 | $ | 23 | $ | (258 | ) | 199,627 | 2,320 | 23 | — | 16 | (16 | ) | |||||||||||||||||||||||
TCW / Gargoyle Hedged Value Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 858 | $ | — | $ | (929 | ) | — | — | — | — | 196 | (125 | ) | |||||||||||||||||||||||
TCW Global Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 704 | $ | 68 | $ | (42 | ) | 74,877 | 728 | 4 | 1 | (1 | ) | (1 | ) | ||||||||||||||||||||||
TCW New America Premier Equities Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 2,835 | $ | 100 | $ | (159 | ) | 182,339 | 2,866 | — | 100 | 8 | 83 | ||||||||||||||||||||||||
TCW Relative Value Large Cap Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 3,188 | $ | 466 | $ | (177 | ) | 144,414 | 3,060 | 61 | 404 | (11 | ) | (406 | ) | ||||||||||||||||||||||
TCW Relative Value Mid Cap Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | — | $ | 939 | $ | (42 | ) | 33,883 | 849 | — | — | (2 | ) | (47 | ) | ||||||||||||||||||||||
TCW Select Equities Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 1,690 | $ | 363 | $ | (98 | ) | 66,396 | 1,769 | — | 362 | (10 | ) | (176 | ) | ||||||||||||||||||||||
TCW Total Return Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 3,733 | $ | 70 | $ | (200 | ) | 360,609 | 3,480 | 61 | — | (3 | ) | (120 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 27,807 | $ | 319 | $ | 878 | $ | 182 | $ | (1,039 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
9
Table of Contents
TCW Conservative Allocation Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Diversified Fixed Income Funds | 57.3 | % | ||
Diversified Equity Funds | 36.7 | |||
Exchange-Traded Funds | 2.7 | |||
Money Market Investments | 2.6 | |||
|
| |||
Total | 99.3 | % | ||
|
|
Fair Valuation Summary (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 Funds | $ | 789,458 | $ | — | $ | — | $ | 789,458 | ||||||||
Investment Companies | 27,807,022 | — | — | 27,807,022 | ||||||||||||
Money Market Investments | 789,277 | — | — | 789,277 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 29,385,757 | $ | — | $ | — | $ | 29,385,757 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
10
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2018 |
Issues | Shares | Value | ||||||
COMMON STOCK — 125.7% |
| |||||||
Aerospace & Defense — 3.0% | ||||||||
Honeywell International, Inc. | 782 | $ | 113,140 | |||||
|
| |||||||
Airlines — 2.4% | ||||||||
Alaska Air Group, Inc. | 1,412 | 91,681 | ||||||
|
| |||||||
Banks — 17.0% | ||||||||
JPMorgan Chase & Co. | 1,339 | 145,657 | ||||||
M&T Bank Corp. | 945 | 172,245 | ||||||
US Bancorp | 2,318 | 116,943 | ||||||
Wells Fargo & Co. | 4,025 | 209,139 | ||||||
|
| |||||||
643,984 | ||||||||
|
| |||||||
Beverages — 3.0% | ||||||||
Anheuser-Busch InBev NV (SP ADR) (Belgium) | 1,146 | 114,692 | ||||||
|
| |||||||
Biotechnology — 6.8% | ||||||||
Amgen, Inc. | 726 | 126,673 | ||||||
Celgene Corp. (1) | 1,503 | 130,911 | ||||||
|
| |||||||
257,584 | ||||||||
|
| |||||||
Capital Markets — 3.4% | ||||||||
Goldman Sachs Group, Inc. (The) | 539 | 128,460 | ||||||
|
| |||||||
Chemicals — 13.7% | ||||||||
Air Products & Chemicals, Inc. | 982 | 159,369 | ||||||
Ecolab, Inc. | 1,087 | 157,365 | ||||||
Nutrien, Ltd. (Canada) | 2,210 | 100,621 | ||||||
Praxair, Inc. | 669 | 102,036 | ||||||
|
| |||||||
519,391 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.3% | ||||||||
Schlumberger, Ltd. (Netherlands) | 714 | 48,952 | ||||||
|
| |||||||
Food & Staples Retailing — 2.3% | ||||||||
CVS Health Corp. | 1,245 | 86,938 | ||||||
|
| |||||||
Food Products — 2.2% | ||||||||
Mondelez International, Inc. | 2,091 | 82,594 | ||||||
|
| |||||||
Health Care Providers & Services — 4.1% | ||||||||
UnitedHealth Group, Inc. | 667 | 157,679 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 7.9% | ||||||||
Las Vegas Sands Corp. | 2,320 | 170,126 | ||||||
Starbucks Corp. | 2,271 | 130,741 | ||||||
|
| |||||||
300,867 | ||||||||
|
| |||||||
Industrial Conglomerates — 7.2% | ||||||||
Danaher Corp. | 1,720 | 172,551 | ||||||
Roper Technologies, Inc. | 386 | 101,977 | ||||||
|
| |||||||
274,528 | ||||||||
|
| |||||||
Insurance — 3.8% | ||||||||
American International Group, Inc. | 2,585 | 144,760 | ||||||
|
|
Issues | Shares | Value | ||||||
Internet Software & Services — 4.3% | ||||||||
Alphabet, Inc. — Class C (1) | 160 | $ | 162,773 | |||||
|
| |||||||
Machinery — 4.1% | ||||||||
IDEX Corp. | 1,174 | 156,917 | ||||||
|
| |||||||
Multiline Retail — 3.8% | ||||||||
Dollar Tree, Inc. (1) | 1,526 | 146,328 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 9.5% | ||||||||
Devon Energy Corp. | 3,634 | 132,023 | ||||||
EOG Resources, Inc. | 1,946 | 229,959 | ||||||
|
| |||||||
361,982 | ||||||||
|
| |||||||
Pharmaceuticals — 8.6% | ||||||||
AbbVie, Inc. | 618 | 59,668 | ||||||
Allergan plc (Ireland) | 860 | 132,139 | ||||||
Eli Lilly & Co. | 1,648 | 133,603 | ||||||
|
| |||||||
325,410 | ||||||||
|
| |||||||
Road & Rail — 5.6% | ||||||||
Union Pacific Corp. | 1,582 | 211,403 | ||||||
|
| |||||||
Software — 7.4% | ||||||||
Adobe Systems, Inc. (1) | 1,262 | 279,659 | ||||||
|
| |||||||
Specialty Retail — 1.5% | ||||||||
Advance Auto Parts, Inc. | 497 | 56,881 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.8% | ||||||||
PVH Corp. | 677 | 108,096 | ||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $3,462,334) |
| 4,774,699 | ||||||
|
| |||||||
MASTER LIMITED PARTNERSHIP — 2.9% |
| |||||||
Oil, Gas & Consumable Fuels — 2.9% | ||||||||
Enterprise Products Partners LP | 4,103 | 110,125 | ||||||
|
| |||||||
Total Master Limited Partnership |
| |||||||
(Cost: $115,565) |
| 110,125 | ||||||
|
| |||||||
Total Investments (128.6%) |
| |||||||
(Cost: $3,577,899) |
| 4,884,824 | ||||||
|
| |||||||
Liabilities in Excess of Other Assets (-28.6%) |
| (1,087,634 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 3,797,190 | |||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
SP ADR - | Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
See accompanying notes to financial statements.
11
Table of Contents
TCW Focused Equities Fund
Investments by Industry (Unaudited) April 30, 2018 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.0 | % | ||
Airlines | 2.4 | |||
Banks | 17.0 | |||
Beverages | 3.0 | |||
Biotechnology | 6.8 | |||
Capital Markets | 3.4 | |||
Chemicals | 13.7 | |||
Energy Equipment & Services | 1.3 | |||
Food & Staples Retailing | 2.3 | |||
Food Products | 2.2 | |||
Health Care Providers & Services | 4.1 | |||
Hotels, Restaurants & Leisure | 7.9 | |||
Industrial Conglomerates | 7.2 | |||
Insurance | 3.8 | |||
Internet Software & Services | 4.3 | |||
Machinery | 4.1 | |||
Multiline Retail | 3.8 | |||
Oil, Gas & Consumable Fuels | 12.4 | |||
Pharmaceuticals | 8.6 | |||
Road & Rail | 5.6 | |||
Software | 7.4 | |||
Specialty Retail | 1.5 | |||
Textiles, Apparel & Luxury Goods | 2.8 | |||
|
| |||
Total | 128.6 | % | ||
|
|
See accompanying notes to financial statements.
12
Table of Contents
TCW Focused Equities Fund
Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | 113,140 | $ | — | $ | — | $ | 113,140 | ||||||||
Airlines | 91,681 | — | — | 91,681 | ||||||||||||
Banks | 643,984 | — | — | 643,984 | ||||||||||||
Beverages | 114,692 | — | — | 114,692 | ||||||||||||
Biotechnology | 257,584 | — | — | 257,584 | ||||||||||||
Capital Markets | 128,460 | — | — | 128,460 | ||||||||||||
Chemicals | 519,391 | — | — | 519,391 | ||||||||||||
Energy Equipment & Services | 48,952 | — | — | 48,952 | ||||||||||||
Food & Staples Retailing | 86,938 | — | — | 86,938 | ||||||||||||
Food Products | 82,594 | — | — | 82,594 | ||||||||||||
Health Care Providers & Services | 157,679 | — | — | 157,679 | ||||||||||||
Hotels, Restaurants & Leisure | 300,867 | — | — | 300,867 | ||||||||||||
Industrial Conglomerates | 274,528 | — | — | 274,528 | ||||||||||||
Insurance | 144,760 | — | — | 144,760 | ||||||||||||
Internet Software & Services | 162,773 | — | — | 162,773 | ||||||||||||
Machinery | 156,917 | — | — | 156,917 | ||||||||||||
Multiline Retail | 146,328 | — | — | 146,328 | ||||||||||||
Oil, Gas & Consumable Fuels | 361,982 | — | — | 361,982 | ||||||||||||
Pharmaceuticals | 325,410 | — | — | 325,410 | ||||||||||||
Road & Rail | 211,403 | — | — | 211,403 | ||||||||||||
Software | 279,659 | — | — | 279,659 | ||||||||||||
Specialty Retail | 56,881 | — | — | 56,881 | ||||||||||||
Textiles, Apparel & Luxury Goods | 108,096 | — | — | 108,096 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 4,774,699 | — | — | 4,774,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Master Limited Partnership | ||||||||||||||||
Oil, Gas & Consumable Fuels | 110,125 | — | — | 110,125 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 4,884,824 | $ | — | $ | — | $ | 4,884,824 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
13
Table of Contents
Schedule of Investments (Unaudited)
Issues | Shares | Value | ||||||
COMMON STOCK — 97.5% | ||||||||
Australia — 5.5% | ||||||||
Goodman Group | 15,319 | $ | 104,500 | |||||
Scentre Group | 39,210 | 118,827 | ||||||
|
| |||||||
223,327 | ||||||||
|
| |||||||
China — 5.7% | ||||||||
China Overseas Land & Investment, Ltd. | 32,000 | 107,226 | ||||||
Link REIT (The) | 13,832 | 122,255 | ||||||
|
| |||||||
229,481 | ||||||||
|
| |||||||
France — 6.4% | ||||||||
Klepierre | 3,210 | 131,447 | ||||||
Unibail — Rodamco SE | 541 | 129,942 | ||||||
|
| |||||||
261,389 | ||||||||
|
| |||||||
Germany — 3.8% | ||||||||
Deutsche Wohnen SE | 3,267 | 154,261 | ||||||
|
| |||||||
Japan — 6.8% | ||||||||
Ichigo Office REIT Investment | 177 | 131,172 | ||||||
Nippon Prologis REIT, Inc. | 69 | 145,282 | ||||||
|
| |||||||
276,454 | ||||||||
|
| |||||||
United Kingdom — 7.7% | ||||||||
British Land Co. PLC (The) | 12,044 | 111,278 | ||||||
Segro PLC | 22,760 | 202,062 | ||||||
|
| |||||||
313,340 | ||||||||
|
| |||||||
United States — 61.6% | ||||||||
American Tower Corp. | 1,092 | 148,905 | ||||||
Colony NorthStar, Inc. | 20,784 | 126,990 | ||||||
CoreSite Realty Corp. | 850 | 88,485 | ||||||
CoStar Group, Inc. (1) | 367 | 134,564 | ||||||
DR Horton, Inc. | 3,256 | 143,720 | ||||||
Equinix, Inc. | 179 | 75,321 | ||||||
Equity Residential | 1,076 | 66,400 | ||||||
Extra Space Storage, Inc. | 1,100 | 98,549 | ||||||
Forestar Group, Inc. (1) | 4,000 | 87,200 |
Issues | Shares | Value | ||||||
United States (Continued) | ||||||||
Hilton Worldwide Holdings, Inc. | 1,630 | $ | 128,509 | |||||
Industrial Logistics Properties Trust | 5,167 | 106,027 | ||||||
Invitation Homes, Inc. | 4,146 | 95,938 | ||||||
JBG SMITH Properties | 3,201 | 118,021 | ||||||
Jones Lang LaSalle, Inc. | 629 | 106,622 | ||||||
Kennedy-Wilson Holdings, Inc. | 4,994 | 94,636 | ||||||
Macerich Co. (The) | 1,377 | 79,343 | ||||||
NexPoint Residential Trust, Inc. | 3,853 | 103,222 | ||||||
NVR, Inc. (1) | 44 | 136,400 | ||||||
Prologis, Inc. | 1,814 | 117,747 | ||||||
SBA Communications Corp. (1) | 563 | 90,210 | ||||||
Simon Property Group, Inc. | 833 | 130,231 | ||||||
Tier REIT, Inc. | 3,801 | 72,257 | ||||||
Ventas, Inc. | 830 | 42,679 | ||||||
Weyerhaeuser Co. | 3,027 | 111,333 | ||||||
|
| |||||||
2,503,309 | ||||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $3,752,717) |
| 3,961,561 | ||||||
|
| |||||||
PREFERRED STOCK — 2.7% |
| |||||||
United States — 2.7% | ||||||||
Colony NorthStar, Inc. 7.125% | 4,800 | 110,400 | ||||||
|
| |||||||
Total Preferred Stock | ||||||||
(Cost: $108,735) |
| 110,400 | ||||||
|
| |||||||
Total Investments (100.2%) | ||||||||
(Cost: $3,861,452) |
| 4,071,961 | ||||||
Liabilities in Excess of Other Assets (-0.2%) |
| (8,730 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 4,063,231 | |||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
REIT - | Real Estate Investment Trust. |
See accompanying notes to financial statements.
14
Table of Contents
TCW Global Real Estate Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Diversified REITs | 8.4 | % | ||
Health Care REITs | 1.1 | |||
Homebuilding | 6.9 | |||
Hotels, Resorts & Cruise Lines | 3.2 | |||
Industrial REITs | 14.1 | |||
Internet Software & Services | 3.3 | |||
Office REITs | 7.9 | |||
Real Estate Development | 4.8 | |||
Real Estate Operating Companies | 6.1 | |||
Real Estate Services | 2.6 | |||
Residential REITs | 6.5 | |||
Retail REITs | 20.2 | |||
Specialized REITs | 15.1 | |||
|
| |||
Total | 100.2 | % | ||
|
|
Fair Valuation Summary (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | ||||||||||||||||
Diversified REITs | $ | 233,017 | $ | — | $ | — | $ | 233,017 | ||||||||
Health Care REITs | 42,679 | — | — | 42,679 | ||||||||||||
Homebuilding | 280,120 | — | — | 280,120 | ||||||||||||
Hotels, Resorts & Cruise Lines | 128,509 | — | — | 128,509 | ||||||||||||
Industrial REITs | 117,747 | 451,844 | — | 569,591 | ||||||||||||
Internet Software & Services | 134,564 | — | — | 134,564 | ||||||||||||
Office REITs | 190,278 | 131,172 | — | 321,450 | ||||||||||||
Real Estate Development | 87,200 | 107,226 | — | 194,426 | ||||||||||||
Real Estate Operating Companies | 94,636 | 154,261 | — | 248,897 | ||||||||||||
Real Estate Services | 106,622 | — | — | 106,622 | ||||||||||||
Residential REITs | 265,560 | — | — | 265,560 | ||||||||||||
Retail REITs | 209,574 | 613,749 | — | 823,323 | ||||||||||||
Specialized REITs | 612,803 | — | — | 612,803 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 2,503,309 | 1,458,252 | — | 3,961,561 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Diversified REITs | 110,400 | — | — | 110,400 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,613,709 | $ | 1,458,252 | $ | — | $ | 4,071,961 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
15
Table of Contents
TCW New America Premier Equities Fund
Schedule of Investments (Unaudited)
Issues | Shares | Value | ||||||
COMMON STOCK — 91.3% of Net Assets |
| |||||||
Aerospace & Defense — 4.1% | ||||||||
HEICO Corp. | 6,768 | $ | 594,569 | |||||
Honeywell International, Inc. | 2,335 | 337,828 | ||||||
|
| |||||||
932,397 | ||||||||
|
| |||||||
Chemicals — 7.3% | ||||||||
Air Products & Chemicals, Inc. | 6,026 | 977,959 | ||||||
Celanese Corp. — Series A | 5,788 | 628,982 | ||||||
Chase Corp. | 592 | 66,304 | ||||||
|
| |||||||
1,673,245 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.5% | ||||||||
Cintas Corp. | 632 | 107,630 | ||||||
|
| |||||||
Communications Equipment — 1.2% | ||||||||
Motorola Solutions, Inc. | 2,434 | 267,326 | ||||||
|
| |||||||
Diversified Financial Services — 4.2% | ||||||||
Berkshire Hathaway, Inc. — Class B (1) | 5,001 | 968,844 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.6% | ||||||||
Agilent Technologies, Inc. | 8,910 | 585,743 | ||||||
|
| |||||||
Food Products — 5.7% | ||||||||
Conagra Brands, Inc. | 28,223 | 1,046,227 | ||||||
Danone SA (SP ADR) (France) | 15,146 | 246,274 | ||||||
|
| |||||||
1,292,501 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 5.1% | ||||||||
Baxter International, Inc. | 16,655 | 1,157,522 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.1% | ||||||||
Hilton Worldwide Holdings, Inc. | 6,092 | 480,293 | ||||||
|
| |||||||
Industrial Conglomerates — 7.6% | ||||||||
Danaher Corp. | 7,130 | 715,281 | ||||||
Roper Technologies, Inc. | 3,825 | 1,010,527 | ||||||
|
| |||||||
1,725,808 | ||||||||
|
| |||||||
Internet Software & Services — 3.1% | ||||||||
Facebook, Inc. (1) | 1,328 | 228,416 | ||||||
Trade Desk, Inc. (The) (1) | 9,355 | 478,695 | ||||||
|
| |||||||
707,111 | ||||||||
|
| |||||||
IT Services — 5.5% | ||||||||
Fiserv, Inc. (1) | 9,742 | 690,318 | ||||||
Mastercard, Inc. | 1,815 | 323,560 | ||||||
Visa, Inc. | 1,986 | 251,984 | ||||||
|
| |||||||
1,265,862 | ||||||||
|
|
Issues | Shares | Value | ||||||
Machinery — 6.4% | ||||||||
Caterpillar, Inc. | 2,813 | $ | 406,084 | |||||
IDEX Corp. | 6,483 | 866,518 | ||||||
Illinois Tool Works, Inc. | 1,392 | 197,692 | ||||||
|
| |||||||
1,470,294 | ||||||||
|
| |||||||
Professional Services — 13.9% | ||||||||
IHS Markit, Ltd. (1) | 8,736 | 429,200 | ||||||
TransUnion (1) | 42,300 | 2,745,693 | ||||||
|
| |||||||
3,174,893 | ||||||||
|
| |||||||
Software — 21.0% | ||||||||
Activision Blizzard, Inc. | 7,370 | 489,000 | ||||||
Constellation Software, Inc. | 3,576 | 2,559,729 | ||||||
Microsoft Corp. | 11,735 | 1,097,457 | ||||||
Oracle Corp. | 14,004 | 639,563 | ||||||
|
| |||||||
4,785,749 | ||||||||
|
| |||||||
Specialty Retail — 1.0% | ||||||||
Floor & Decor Holdings, Inc. (1) | 2,307 | 128,246 | ||||||
National Vision Holdings, Inc. (1) | 2,995 | 99,674 | ||||||
|
| |||||||
227,920 | ||||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $16,340,612) |
| 20,823,138 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 6.9% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (2) | 1,557,245 | 1,557,245 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $1,557,245) |
| 1,557,245 | ||||||
|
| |||||||
Total Investments (98.2%) |
| |||||||
(Cost: $17,897,857) |
| 22,380,383 | ||||||
Excess of Other Assets over Liabilities (1.8%) |
| 421,177 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 22,801,560 | |||||
|
|
Notes to the Schedule of Investments
SP ADR - | Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
See accompanying notes to financial statements.
16
Table of Contents
TCW New America Premier Equities Fund
Investments by Industry (Unaudited)
April 30, 2018 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 4.1 | % | ||
Chemicals | 7.3 | |||
Commercial Services & Supplies | 0.5 | |||
Communications Equipment | 1.2 | |||
Diversified Financial Services | 4.2 | |||
Electronic Equipment, Instruments & Components | 2.6 | |||
Food Products | 5.7 | |||
Health Care Equipment & Supplies | 5.1 | |||
Hotels, Restaurants & Leisure | 2.1 | |||
Industrial Conglomerates | 7.6 | |||
Internet Software & Services | 3.1 | |||
IT Services | 5.5 | |||
Machinery | 6.4 | |||
Professional Services | 13.9 | |||
Software | 21.0 | |||
Specialty Retail | 1.0 | |||
Money Market Investments | 6.9 | |||
|
| |||
Total | 98.2 | % | ||
|
|
See accompanying notes to financial statements.
17
Table of Contents
TCW New America Premier Equities Fund
Fair Valuation Summary (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | 932,397 | $ | — | $ | — | $ | 932,397 | ||||||||
Chemicals | 1,673,245 | — | — | 1,673,245 | ||||||||||||
Commercial Services & Supplies | 107,630 | — | — | 107,630 | ||||||||||||
Communications Equipment | 267,326 | — | — | 267,326 | ||||||||||||
Diversified Financial Services | 968,844 | — | — | 968,844 | ||||||||||||
Electronic Equipment, Instruments & Components | 585,743 | — | — | 585,743 | ||||||||||||
Food Products | 1,292,501 | — | — | 1,292,501 | ||||||||||||
Health Care Equipment & Supplies | 1,157,522 | — | — | 1,157,522 | ||||||||||||
Hotels, Restaurants & Leisure | 480,293 | — | — | 480,293 | ||||||||||||
Industrial Conglomerates | 1,725,808 | — | — | 1,725,808 | ||||||||||||
Internet Software & Services | 707,111 | — | — | 707,111 | ||||||||||||
IT Services | 1,265,862 | — | — | 1,265,862 | ||||||||||||
Machinery | 1,470,294 | — | — | 1,470,294 | ||||||||||||
Professional Services | 3,174,893 | — | — | 3,174,893 | ||||||||||||
Software | 4,785,749 | — | — | 4,785,749 | ||||||||||||
Specialty Retail | 227,920 | — | — | 227,920 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 20,823,138 | — | — | 20,823,138 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 1,557,245 | — | — | 1,557,245 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 22,380,383 | $ | — | $ | — | $ | 22,380,383 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
18
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited) | April 30, 2018 |
Issues | Shares | Value | ||||||
COMMON STOCK — 96.3% of Net Assets |
| |||||||
Aerospace & Defense — 3.2% | ||||||||
Textron, Inc. | 301,206 | $ | 18,716,941 | |||||
|
| |||||||
Air Freight & Logistics — 2.1% | ||||||||
FedEx Corp. | 32,185 | 7,956,132 | ||||||
United Parcel Service, Inc. | 36,200 | 4,108,700 | ||||||
|
| |||||||
12,064,832 | ||||||||
|
| |||||||
Auto Components — 1.8% | ||||||||
Johnson Controls International PLC (Ireland) | 306,789 | 10,390,943 | ||||||
|
| |||||||
Banks — 10.6% | ||||||||
Citigroup, Inc. | 339,404 | 23,171,111 | ||||||
JPMorgan Chase & Co. | 229,486 | 24,963,487 | ||||||
Zions Bancorp. | 235,325 | 12,884,044 | ||||||
|
| |||||||
61,018,642 | ||||||||
|
| |||||||
Beverages — 1.9% | ||||||||
PepsiCo, Inc. | 106,773 | 10,777,667 | ||||||
|
| |||||||
Biotechnology — 3.1% | ||||||||
Gilead Sciences, Inc. | 251,415 | 18,159,705 | ||||||
|
| |||||||
Capital Markets — 5.1% | ||||||||
Goldman Sachs Group, Inc. (The) | 19,721 | 4,700,106 | ||||||
Invesco, Ltd. | 250,521 | 7,257,593 | ||||||
State Street Corp. | 173,819 | 17,343,660 | ||||||
|
| |||||||
29,301,359 | ||||||||
|
| |||||||
Chemicals — 2.3% | ||||||||
DowDuPont, Inc. | 208,711 | 13,198,884 | ||||||
|
| |||||||
Communications Equipment — 4.9% | ||||||||
Cisco Systems, Inc. | 637,181 | 28,220,746 | ||||||
|
| |||||||
Consumer Finance — 2.0% | ||||||||
Synchrony Financial | 353,755 | 11,734,053 | ||||||
|
| |||||||
Diversified Financial Services — 3.0% | ||||||||
Intercontinental Exchange, Inc. | 238,070 | 17,250,552 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.4% | ||||||||
AT&T, Inc. | 241,447 | 7,895,317 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.4% | ||||||||
Corning, Inc. | 519,964 | 14,049,427 | ||||||
|
| |||||||
Energy Equipment & Services — 5.1% | ||||||||
Baker Hughes, a GE Co. | 339,985 | 12,276,858 | ||||||
Schlumberger, Ltd. | 255,056 | 17,486,640 | ||||||
|
| |||||||
29,763,498 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.2% | ||||||||
Medtronic PLC (Ireland) | 85,105 | 6,819,464 | ||||||
|
| |||||||
Health Care Providers & Services — 1.2% | ||||||||
Cardinal Health, Inc. | 106,400 | 6,827,688 | ||||||
|
|
Issues | Shares | Value | ||||||
Household Durables — 1.9% | ||||||||
Lennar Corp. | 200,982 | $ | 10,629,938 | |||||
Lennar Corp. — Class B | 4,211 | 179,767 | ||||||
|
| |||||||
10,809,705 | ||||||||
|
| |||||||
Household Products — 1.9% | ||||||||
Procter & Gamble Co. (The) | 154,000 | 11,140,360 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 2.4% | ||||||||
AES Corp. (The) | 1,113,565 | 13,630,036 | ||||||
|
| |||||||
Industrial Conglomerates — 4.8% | ||||||||
General Electric Co. | 832,155 | 11,708,421 | ||||||
Koninklijke Philips Electronics NV (NYRS) (Netherlands) | 382,667 | 16,156,201 | ||||||
|
| |||||||
27,864,622 | ||||||||
|
| |||||||
Insurance — 3.3% | ||||||||
American International Group, Inc. | 80,000 | 4,480,000 | ||||||
MetLife, Inc. | 305,978 | 14,585,971 | ||||||
|
| |||||||
19,065,971 | ||||||||
|
| |||||||
Machinery — 1.9% | ||||||||
Pentair PLC (United Kingdom) | 163,282 | 10,985,613 | ||||||
|
| |||||||
Media — 1.7% | ||||||||
Comcast Corp. | 323,194 | 10,145,060 | ||||||
|
| |||||||
Metals & Mining — 0.7% | ||||||||
Freeport-McMoRan, Inc. | 255,200 | 3,881,592 | ||||||
|
| |||||||
Multiline Retail — 0.9% | ||||||||
Target Corp. | 69,500 | 5,045,700 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 6.3% | ||||||||
Chevron Corp. | 194,125 | 24,286,979 | ||||||
Royal Dutch Shell PLC (SP ADR) (United Kingdom) | 173,036 | 12,095,216 | ||||||
|
| |||||||
36,382,195 | ||||||||
|
| |||||||
Pharmaceuticals — 3.5% | ||||||||
Merck & Co., Inc. | 276,045 | 16,250,769 | ||||||
Novartis AG (SP ADR) (Switzerland) | 52,100 | 3,995,549 | ||||||
|
| |||||||
20,246,318 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.1% | ||||||||
Jones Lang LaSalle, Inc. | 37,800 | 6,407,478 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.6% | ||||||||
Cypress Semiconductor Corp. | 1,176,214 | 17,149,200 | ||||||
Intel Corp. | 330,805 | 17,076,154 | ||||||
Maxim Integrated Products, Inc. | 280,248 | 15,273,516 | ||||||
|
| |||||||
49,498,870 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.6% | ||||||||
Seagate Technology PLC (Netherlands) | 158,838 | 9,195,132 | ||||||
|
|
See accompanying notes to financial statements.
19
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods — 3.2% | ||||||||
Tapestry, Inc. | 340,754 | $ | 18,322,343 | |||||
|
| |||||||
Thrifts & Mortgage Finance — 1.2% | ||||||||
New York Community Bancorp, Inc. | 600,162 | 7,129,924 | ||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $450,206,045) |
| 555,940,637 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.5% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (1) | 2,711,575 | 2,711,575 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $2,711,575) |
| 2,711,575 | ||||||
|
| |||||||
Total Investments (96.8%) | ||||||||
(Cost: $452,917,620) |
| 558,652,212 | ||||||
Excess of Other Assets over Liabilities (3.2%) |
| 18,305,221 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 576,957,433 | |||||
|
|
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) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
See accompanying notes to financial statements.
20
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.2 | % | ||
Air Freight & Logistics | 2.1 | |||
Auto Components | 1.8 | |||
Banks | 10.6 | |||
Beverages | 1.9 | |||
Biotechnology | 3.1 | |||
Capital Markets | 5.1 | |||
Chemicals | 2.3 | |||
Communications Equipment | 4.9 | |||
Consumer Finance | 2.0 | |||
Diversified Financial Services | 3.0 | |||
Diversified Telecommunication Services | 1.4 | |||
Electronic Equipment, Instruments & Components | 2.4 | |||
Energy Equipment & Services | 5.1 | |||
Health Care Equipment & Supplies | 1.2 | |||
Health Care Providers & Services | 1.2 | |||
Household Durables | 1.9 | |||
Household Products | 1.9 | |||
Independent Power and Renewable Electricity Producers | 2.4 | |||
Industrial Conglomerates | 4.8 | |||
Insurance | 3.3 | |||
Machinery | 1.9 | |||
Media | 1.7 | |||
Metals & Mining | 0.7 | |||
Multiline Retail | 0.9 | |||
Oil, Gas & Consumable Fuels | 6.3 | |||
Pharmaceuticals | 3.5 | |||
Real Estate Management & Development | 1.1 | |||
Semiconductors & Semiconductor Equipment | 8.6 | |||
Technology Hardware, Storage & Peripherals | 1.6 | |||
Textiles, Apparel & Luxury Goods | 3.2 | |||
Thrifts & Mortgage Finance | 1.2 | |||
Money Market Investments | 0.5 | |||
|
| |||
Total | 96.8 | % | ||
|
|
See accompanying notes to financial statements.
21
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | 18,716,941 | $ | — | $ | — | $ | 18,716,941 | ||||||||
Air Freight & Logistics | 12,064,832 | — | — | 12,064,832 | ||||||||||||
Auto Components | 10,390,943 | — | — | 10,390,943 | ||||||||||||
Banks | 61,018,642 | — | — | 61,018,642 | ||||||||||||
Beverages | 10,777,667 | — | — | 10,777,667 | ||||||||||||
Biotechnology | 18,159,705 | — | — | 18,159,705 | ||||||||||||
Capital Markets | 29,301,359 | — | — | 29,301,359 | ||||||||||||
Chemicals | 13,198,884 | — | — | 13,198,884 | ||||||||||||
Communications Equipment | 28,220,746 | — | — | 28,220,746 | ||||||||||||
Consumer Finance | 11,734,053 | — | — | 11,734,053 | ||||||||||||
Diversified Financial Services | 17,250,552 | — | — | 17,250,552 | ||||||||||||
Diversified Telecommunication Services | 7,895,317 | — | — | 7,895,317 | ||||||||||||
Electronic Equipment, Instruments & Components | 14,049,427 | — | — | 14,049,427 | ||||||||||||
Energy Equipment & Services | 29,763,498 | — | — | 29,763,498 | ||||||||||||
Health Care Equipment & Supplies | 6,819,464 | — | — | 6,819,464 | ||||||||||||
Health Care Providers & Services | 6,827,688 | — | — | 6,827,688 | ||||||||||||
Household Durables | 10,809,705 | — | — | 10,809,705 | ||||||||||||
Household Products | 11,140,360 | — | — | 11,140,360 | ||||||||||||
Independent Power and Renewable Electricity Producers | 13,630,036 | — | — | 13,630,036 | ||||||||||||
Industrial Conglomerates | 27,864,622 | — | — | 27,864,622 | ||||||||||||
Insurance | 19,065,971 | — | — | 19,065,971 | ||||||||||||
Machinery | 10,985,613 | — | — | 10,985,613 | ||||||||||||
Media | 10,145,060 | — | — | 10,145,060 | ||||||||||||
Metals & Mining | 3,881,592 | — | — | 3,881,592 | ||||||||||||
Multiline Retail | 5,045,700 | — | — | 5,045,700 | ||||||||||||
Oil, Gas & Consumable Fuels | 36,382,195 | — | — | 36,382,195 | ||||||||||||
Pharmaceuticals | 20,246,318 | — | — | 20,246,318 | ||||||||||||
Real Estate Management & Development | 6,407,478 | — | — | 6,407,478 | ||||||||||||
Semiconductors & Semiconductor Equipment | 49,498,870 | — | — | 49,498,870 | ||||||||||||
Technology Hardware, Storage & Peripherals | 9,195,132 | — | — | 9,195,132 | ||||||||||||
Textiles, Apparel & Luxury Goods | 18,322,343 | — | — | 18,322,343 | ||||||||||||
Thrifts & Mortgage Finance | 7,129,924 | — | — | 7,129,924 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 555,940,637 | — | — | 555,940,637 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 2,711,575 | — | — | 2,711,575 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 558,652,212 | $ | — | $ | — | $ | 558,652,212 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
22
Table of Contents
TCW Relative Value Large Cap Fund
Schedule of Investments (Unaudited) | April 30, 2018 |
Issues | Shares | Value | ||||||
COMMON STOCK — 98.9% of Net Assets |
| |||||||
Aerospace & Defense — 4.6% | ||||||||
Textron, Inc. | 347,010 | $ | 21,563,201 | |||||
|
| |||||||
Air Freight & Logistics — 0.4% | ||||||||
United Parcel Service, Inc. | 15,200 | 1,725,200 | ||||||
|
| |||||||
Auto Components — 3.6% | ||||||||
Dana, Inc. | 355,998 | 8,447,833 | ||||||
Johnson Controls International PLC (Ireland) | 248,768 | 8,425,772 | ||||||
|
| |||||||
16,873,605 | ||||||||
|
| |||||||
Banks — 11.4% | ||||||||
Citigroup, Inc. | 294,900 | 20,132,823 | ||||||
JPMorgan Chase & Co. | 189,758 | 20,641,875 | ||||||
Zions Bancorp. | 223,900 | 12,258,525 | ||||||
|
| |||||||
53,033,223 | ||||||||
|
| |||||||
Beverages — 1.8% | ||||||||
PepsiCo, Inc. | 83,700 | 8,448,678 | ||||||
|
| |||||||
Biotechnology — 2.9% | ||||||||
Gilead Sciences, Inc. | 187,429 | 13,537,997 | ||||||
|
| |||||||
Capital Markets — 4.4% | ||||||||
Goldman Sachs Group, Inc. (The) | 18,799 | 4,480,366 | ||||||
Invesco, Ltd. | 161,500 | 4,678,655 | ||||||
State Street Corp. | 112,200 | 11,195,316 | ||||||
|
| |||||||
20,354,337 | ||||||||
|
| |||||||
Chemicals — 1.7% | ||||||||
DowDuPont, Inc. | 127,086 | 8,036,919 | ||||||
|
| |||||||
Communications Equipment — 4.4% | ||||||||
Cisco Systems, Inc. | 463,190 | 20,514,685 | ||||||
|
| |||||||
Construction & Engineering — 0.7% | ||||||||
Fluor Corp. | 54,200 | 3,195,090 | ||||||
|
| |||||||
Consumer Finance — 1.9% | ||||||||
Synchrony Financial | 264,792 | 8,783,151 | ||||||
|
| |||||||
Diversified Financial Services — 3.1% | ||||||||
Intercontinental Exchange, Inc. | 198,005 | 14,347,442 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.2% | ||||||||
AT&T, Inc. | 167,800 | 5,487,060 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.6% | ||||||||
Corning, Inc. | 445,050 | 12,025,251 | ||||||
|
| |||||||
Energy Equipment & Services — 3.7% | ||||||||
Baker Hughes, a GE Co. | 358,910 | 12,960,240 | ||||||
TechnipFMC PLC (United Kingdom) | 134,800 | 4,443,008 | ||||||
|
| |||||||
17,403,248 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.1% | ||||||||
Medtronic PLC (Ireland) | 65,996 | 5,288,259 | ||||||
|
|
Issues | Shares | Value | ||||||
Health Care Providers & Services — 5.2% | ||||||||
Cardinal Health, Inc. | 133,100 | $ | 8,541,027 | |||||
Centene Corp. (1) | 83,100 | 9,022,998 | ||||||
Molina Healthcare, Inc. (1) | 79,100 | 6,585,075 | ||||||
|
| |||||||
24,149,100 | ||||||||
|
| |||||||
Household Durables — 2.6% | ||||||||
Lennar Corp. | 226,963 | 12,004,073 | ||||||
Lennar Corp. — Class B | 5,357 | 228,690 | ||||||
|
| |||||||
12,232,763 | ||||||||
|
| |||||||
Household Products — 1.9% | ||||||||
Procter & Gamble Co. (The) | 123,000 | 8,897,820 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 2.2% | ||||||||
AES Corp. (The) | 833,200 | 10,198,368 | ||||||
|
| |||||||
Industrial Conglomerates — 1.6% | ||||||||
General Electric Co. | 522,936 | 7,357,710 | ||||||
|
| |||||||
Insurance — 4.2% | ||||||||
American International Group, Inc. | 83,500 | 4,676,000 | ||||||
Hartford Financial Services Group, Inc. | 204,484 | 11,009,419 | ||||||
MetLife, Inc. | 87,700 | 4,180,659 | ||||||
|
| |||||||
19,866,078 | ||||||||
|
| |||||||
IT Services — 1.8% | ||||||||
First Data Corp. (1) | 476,900 | 8,631,890 | ||||||
|
| |||||||
Machinery — 3.3% | ||||||||
Pentair PLC (United Kingdom) | 93,067 | 6,261,548 | ||||||
Terex Corp. | 245,730 | 8,974,059 | ||||||
|
| |||||||
15,235,607 | ||||||||
|
| |||||||
Media — 2.7% | ||||||||
Comcast Corp. | 407,310 | 12,785,461 | ||||||
|
| |||||||
Metals & Mining — 1.7% | ||||||||
Freeport-McMoRan, Inc. | 530,059 | 8,062,197 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.3% | ||||||||
Chevron Corp. | 119,000 | 14,888,090 | ||||||
Newfield Exploration Co. (1) | 170,500 | 5,080,900 | ||||||
|
| |||||||
19,968,990 | ||||||||
|
| |||||||
Pharmaceuticals — 3.9% | ||||||||
Impax Laboratories, Inc. (1) | 217,200 | 4,083,360 | ||||||
Merck & Co., Inc. | 240,250 | 14,143,518 | ||||||
|
| |||||||
18,226,878 | ||||||||
|
| |||||||
Real Estate Management & Development — 2.7% | ||||||||
Jones Lang LaSalle, Inc. | 74,900 | 12,696,299 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.4% | ||||||||
Cypress Semiconductor Corp. | 903,100 | 13,167,198 | ||||||
Intel Corp. | 171,786 | 8,867,593 | ||||||
ON Semiconductor Corp. (1) | 360,167 | 7,952,488 | ||||||
|
| |||||||
29,987,279 | ||||||||
|
|
See accompanying notes to financial statements.
23
Table of Contents
TCW Relative Value Large Cap Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals — 2.9% | ||||||||
Western Digital Corp. | 174,640 | $ | 13,759,886 | |||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.0% | ||||||||
Tapestry, Inc. | 172,142 | 9,256,075 | ||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $310,041,665) | 461,929,747 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 1.0% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (2) | 4,810,637 | 4,810,637 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $4,810,637) | 4,810,637 | |||||||
|
| |||||||
Total Investments (99.9%) |
| |||||||
(Cost: $314,852,302) |
| 466,740,384 | ||||||
Excess of Other Assets over Liabilities (0.1%) |
| 313,274 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 467,053,658 | |||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
See accompanying notes to financial statements.
24
Table of Contents
TCW Relative Value Large Cap Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 4.6 | % | ||
Air Freight & Logistics | 0.4 | |||
Auto Components | 3.6 | |||
Banks | 11.4 | |||
Beverages | 1.8 | |||
Biotechnology | 2.9 | |||
Capital Markets | 4.4 | |||
Chemicals | 1.7 | |||
Communications Equipment | 4.4 | |||
Construction & Engineering | 0.7 | |||
Consumer Finance | 1.9 | |||
Diversified Financial Services | 3.1 | |||
Diversified Telecommunication Services | 1.2 | |||
Electronic Equipment, Instruments & Components | 2.6 | |||
Energy Equipment & Services | 3.7 | |||
Health Care Equipment & Supplies | 1.1 | |||
Health Care Providers & Services | 5.2 | |||
Household Durables | 2.6 | |||
Household Products | 1.9 | |||
Independent Power and Renewable Electricity Producers | 2.2 | |||
Industrial Conglomerates | 1.6 | |||
Insurance | 4.2 | |||
IT Services | 1.8 | |||
Machinery | 3.3 | |||
Media | 2.7 | |||
Metals & Mining | 1.7 | |||
Oil, Gas & Consumable Fuels | 4.3 | |||
Pharmaceuticals | 3.9 | |||
Real Estate Management & Development | 2.7 | |||
Semiconductors & Semiconductor Equipment | 6.4 | |||
Technology Hardware, Storage & Peripherals | 2.9 | |||
Textiles, Apparel & Luxury Goods | 2.0 | |||
Money Market Investments | 1.0 | |||
|
| |||
Total | 99.9 | % | ||
|
|
See accompanying notes to financial statements.
25
Table of Contents
TCW Relative Value Large Cap Fund
Fair Valuation Summary (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | 21,563,201 | $ | — | $ | — | $ | 21,563,201 | ||||||||
Air Freight & Logistics | 1,725,200 | — | — | 1,725,200 | ||||||||||||
Auto Components | 16,873,605 | — | — | 16,873,605 | ||||||||||||
Banks | 53,033,223 | — | — | 53,033,223 | ||||||||||||
Beverages | 8,448,678 | — | — | 8,448,678 | ||||||||||||
Biotechnology | 13,537,997 | — | — | 13,537,997 | ||||||||||||
Capital Markets | 20,354,337 | — | — | 20,354,337 | ||||||||||||
Chemicals | 8,036,919 | — | — | 8,036,919 | ||||||||||||
Communications Equipment | 20,514,685 | — | — | 20,514,685 | ||||||||||||
Construction & Engineering | 3,195,090 | — | — | 3,195,090 | ||||||||||||
Consumer Finance | 8,783,151 | — | — | 8,783,151 | ||||||||||||
Diversified Financial Services | 14,347,442 | — | — | 14,347,442 | ||||||||||||
Diversified Telecommunication Services | 5,487,060 | — | — | 5,487,060 | ||||||||||||
Electronic Equipment, Instruments & Components | 12,025,251 | — | — | 12,025,251 | ||||||||||||
Energy Equipment & Services | 17,403,248 | — | — | 17,403,248 | ||||||||||||
Health Care Equipment & Supplies | 5,288,259 | — | — | 5,288,259 | ||||||||||||
Health Care Providers & Services | 24,149,100 | — | — | 24,149,100 | ||||||||||||
Household Durables | 12,232,763 | — | — | 12,232,763 | ||||||||||||
Household Products | 8,897,820 | — | — | 8,897,820 | ||||||||||||
Independent Power and Renewable Electricity Producers | 10,198,368 | — | — | 10,198,368 | ||||||||||||
Industrial Conglomerates | 7,357,710 | — | — | 7,357,710 | ||||||||||||
Insurance | 19,866,078 | — | — | 19,866,078 | ||||||||||||
IT Services | 8,631,890 | — | — | 8,631,890 | ||||||||||||
Machinery | 15,235,607 | — | — | 15,235,607 | ||||||||||||
Media | 12,785,461 | — | — | 12,785,461 | ||||||||||||
Metals & Mining | 8,062,197 | — | — | 8,062,197 | ||||||||||||
Oil, Gas & Consumable Fuels | 19,968,990 | — | — | 19,968,990 | ||||||||||||
Pharmaceuticals | 18,226,878 | — | — | 18,226,878 | ||||||||||||
Real Estate Management & Development | 12,696,299 | — | — | 12,696,299 | ||||||||||||
Semiconductors & Semiconductor Equipment | 29,987,279 | — | — | 29,987,279 | ||||||||||||
Technology Hardware, Storage & Peripherals | 13,759,886 | — | — | 13,759,886 | ||||||||||||
Textiles, Apparel & Luxury Goods | 9,256,075 | — | — | 9,256,075 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 461,929,747 | — | — | 461,929,747 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 4,810,637 | — | — | 4,810,637 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 466,740,384 | $ | — | $ | — | $ | 466,740,384 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
26
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments (Unaudited) | April 30, 2018 |
Issues | Shares | Value | ||||||
COMMON STOCK — 99.1% of Net Assets |
| |||||||
Aerospace & Defense — 3.6% | ||||||||
Textron, Inc. | 57,145 | $ | 3,550,990 | |||||
|
| |||||||
Auto Components — 2.0% | ||||||||
Aptiv PLC | 3,500 | 296,030 | ||||||
Dana, Inc. | 61,696 | 1,464,046 | ||||||
Tenneco, Inc. | 5,034 | 224,970 | ||||||
|
| |||||||
1,985,046 | ||||||||
|
| |||||||
Banks — 15.0% | ||||||||
Comerica, Inc. | 22,366 | 2,115,376 | ||||||
KeyCorp | 153,342 | 3,054,573 | ||||||
Popular, Inc. | 64,365 | 2,979,456 | ||||||
Synovus Financial Corp. | 53,829 | 2,813,642 | ||||||
Umpqua Holdings Corp. | 68,400 | 1,611,504 | ||||||
Zions Bancorp. | 43,500 | 2,381,625 | ||||||
|
| |||||||
14,956,176 | ||||||||
|
| |||||||
Capital Markets — 5.9% | ||||||||
E*TRADE Financial Corp. (1) | 42,800 | 2,597,104 | ||||||
Evercore Partners, Inc. | 18,990 | 1,922,738 | ||||||
Invesco, Ltd. | 47,188 | 1,367,036 | ||||||
|
| |||||||
5,886,878 | ||||||||
|
| |||||||
Communications Equipment — 0.2% | ||||||||
Finisar Corp. (1) | 11,200 | 174,496 | ||||||
|
| |||||||
Construction & Engineering — 2.2% | ||||||||
Fluor Corp. | 9,800 | 577,710 | ||||||
Jacobs Engineering Group, Inc. | 27,833 | 1,616,819 | ||||||
|
| |||||||
2,194,529 | ||||||||
|
| |||||||
Consumer Finance — 1.4% | ||||||||
Santander Consumer USA Holdings, Inc. (1) | 36,700 | 677,115 | ||||||
Synchrony Financial | 23,100 | 766,227 | ||||||
|
| |||||||
1,443,342 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.6% | ||||||||
Zayo Group Holdings, Inc. (1) | 16,000 | 580,800 | ||||||
|
| |||||||
Energy Equipment & Services — 4.9% | ||||||||
Forum Energy Technologies, Inc. (1) | 48,000 | 604,800 | ||||||
Newpark Resources, Inc. (1) | 297,672 | 3,125,556 | ||||||
TechnipFMC PLC (United Kingdom) | 36,300 | 1,196,448 | ||||||
|
| |||||||
4,926,804 | ||||||||
|
| |||||||
Food Products — 2.2% | ||||||||
Conagra Brands, Inc. | 42,500 | 1,575,475 | ||||||
Hain Celestial Group, Inc. (The) (1) | 6,900 | 200,997 | ||||||
TreeHouse Foods, Inc. (1) | 4,700 | 180,950 | ||||||
Tyson Foods, Inc. | 3,000 | 210,300 | ||||||
|
| |||||||
2,167,722 | ||||||||
|
|
Issues | Shares | Value | ||||||
Health Care Equipment & Supplies — 0.3% | ||||||||
Zimmer Biomet Holdings, Inc. | 2,200 | $ | 253,374 | |||||
|
| |||||||
Health Care Providers & Services — 5.4% | ||||||||
Acadia Healthcare Co., Inc. (1) | 21,100 | 750,738 | ||||||
Cardinal Health, Inc. | 9,100 | 583,947 | ||||||
Centene Corp. (1) | 25,500 | 2,768,790 | ||||||
Molina Healthcare, Inc. (1) | 15,600 | 1,298,700 | ||||||
|
| |||||||
5,402,175 | ||||||||
|
| |||||||
Household Durables — 7.7% | ||||||||
Beazer Homes USA, Inc. (1) | 23,479 | 344,672 | ||||||
DR Horton, Inc. | 19,400 | 856,316 | ||||||
KB Home | 79,060 | 2,099,043 | ||||||
Lennar Corp. | 35,000 | 1,851,150 | ||||||
Lennar Corp. — Class B | 734 | 31,334 | ||||||
Toll Brothers, Inc. | 58,928 | 2,484,405 | ||||||
|
| |||||||
7,666,920 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 2.9% | ||||||||
AES Corp. (The) | 232,800 | 2,849,472 | ||||||
|
| |||||||
Insurance — 0.6% | ||||||||
Assured Guaranty, Ltd. | 17,894 | 649,373 | ||||||
|
| |||||||
IT Services — 1.6% | ||||||||
First Data Corp. (1) | 90,600 | 1,639,860 | ||||||
|
| |||||||
Machinery — 8.8% | ||||||||
Dover Corp. | 17,609 | 1,632,354 | ||||||
Kennametal, Inc. | 23,800 | 867,510 | ||||||
Manitowoc Co., Inc. (The) (1) | 94,000 | 2,317,100 | ||||||
SPX FLOW, Inc. (1) | 27,855 | 1,253,475 | ||||||
Terex Corp. | 50,098 | 1,829,579 | ||||||
Trinity Industries, Inc. | 27,000 | 860,490 | ||||||
|
| |||||||
8,760,508 | ||||||||
|
| |||||||
Marine — 2.2% | ||||||||
Kirby Corp. (1) | 22,800 | 1,944,840 | ||||||
Matson, Inc. | 6,900 | 201,687 | ||||||
|
| |||||||
2,146,527 | ||||||||
|
| |||||||
Metals & Mining — 4.4% | ||||||||
Commercial Metals Co. | 21,907 | 460,266 | ||||||
Freeport-McMoRan, Inc. (1) | 112,504 | 1,711,186 | ||||||
Worthington Industries, Inc. | 50,640 | 2,254,999 | ||||||
|
| |||||||
4,426,451 | ||||||||
|
| |||||||
Multi-Utilities — 0.4% | ||||||||
SCANA Corp. | 12,061 | 443,483 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.0% | ||||||||
Newfield Exploration Co. (1) | 45,000 | 1,341,000 | ||||||
SRC Energy, Inc. (1) | 163,900 | 1,809,456 | ||||||
Whiting Petroleum Corp. (1) | 19,500 | 795,990 | ||||||
|
| |||||||
3,946,446 | ||||||||
|
|
See accompanying notes to financial statements.
27
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
Pharmaceuticals — 1.1% | ||||||||
Impax Laboratories, Inc. (1) | 59,800 | $ | 1,124,240 | |||||
|
| |||||||
Real Estate Management & Development — 3.5% | ||||||||
Jones Lang LaSalle, Inc. | 20,775 | 3,521,570 | ||||||
|
| |||||||
REIT — 1.7% | ||||||||
Cousins Properties, Inc. | 69,900 | 621,411 | ||||||
Mid-America Apartment Communities, Inc. | 12,000 | 1,097,520 | ||||||
|
| |||||||
1,718,931 | ||||||||
|
| |||||||
Road & Rail — 1.0% | ||||||||
Genesee & Wyoming, Inc. (1) | 13,600 | 968,320 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.8% | ||||||||
Cypress Semiconductor Corp. | 161,700 | 2,357,586 | ||||||
Maxim Integrated Products, Inc. | 53,646 | 2,923,707 | ||||||
ON Semiconductor Corp. (1) | 70,411 | 1,554,675 | ||||||
|
| |||||||
6,835,968 | ||||||||
|
| |||||||
Software — 0.8% | ||||||||
Nuance Communications, Inc. (1) | 51,300 | 755,136 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.4% | ||||||||
Western Digital Corp. | 42,780 | 3,370,636 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 3.4% | ||||||||
Tapestry, Inc. | 57,943 | 3,115,595 | ||||||
Under Armour, Inc. (1) | 16,900 | 300,144 | ||||||
|
| |||||||
3,415,739 | ||||||||
|
|
Issues | Shares | Value | ||||||
Thrifts & Mortgage Finance — 0.6% | ||||||||
New York Community Bancorp, Inc. | 53,900 | $ | 640,332 | |||||
|
| |||||||
Trading Companies & Distributors — 0.5% | ||||||||
Univar, Inc. (1) | 17,500 | 482,300 | ||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $66,094,338) | 98,884,544 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (2) | 298,782 | 298,782 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $298,782) | 298,782 | |||||||
|
| |||||||
Total Investments (99.4%) | ||||||||
(Cost: $66,393,120) | 99,183,326 | |||||||
Excess of Other Assets over Liabilities (0.6%) | 616,496 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 99,799,822 | ||||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
See accompanying notes to financial statements.
28
Table of Contents
TCW Relative Value Mid Cap Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.6 | % | ||
Auto Components | 2.0 | |||
Banks | 15.0 | |||
Capital Markets | 5.9 | |||
Communications Equipment | 0.2 | |||
Construction & Engineering | 2.2 | |||
Consumer Finance | 1.4 | |||
Diversified Telecommunication Services | 0.6 | |||
Energy Equipment & Services | 4.9 | |||
Food Products | 2.2 | |||
Health Care Equipment & Supplies | 0.3 | |||
Health Care Providers & Services | 5.4 | |||
Household Durables | 7.7 | |||
Independent Power and Renewable Electricity Producers | 2.9 | |||
Insurance | 0.6 | |||
IT Services | 1.6 | |||
Machinery | 8.8 | |||
Marine | 2.2 | |||
Metals & Mining | 4.4 | |||
Multi-Utilities | 0.4 | |||
Oil, Gas & Consumable Fuels | 4.0 | |||
Pharmaceuticals | 1.1 | |||
REIT | 1.7 | |||
Real Estate Management & Development | 3.5 | |||
Road & Rail | 1.0 | |||
Semiconductors & Semiconductor Equipment | 6.8 | |||
Software | 0.8 | |||
Technology Hardware, Storage & Peripherals | 3.4 | |||
Textiles, Apparel & Luxury Goods | 3.4 | |||
Thrifts & Mortgage Finance | 0.6 | |||
Trading Companies & Distributors | 0.5 | |||
Money Market Investments | 0.3 | |||
|
| |||
Total | 99.4 | % | ||
|
|
See accompanying notes to financial statements.
29
Table of Contents
TCW Relative Value Mid Cap Fund
Fair Valuation Summary (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | 3,550,990 | $ | — | $ | — | $ | 3,550,990 | ||||||||
Auto Components | 1,985,046 | — | — | 1,985,046 | ||||||||||||
Banks | 14,956,176 | — | — | 14,956,176 | ||||||||||||
Capital Markets | 5,886,878 | — | — | 5,886,878 | ||||||||||||
Communications Equipment | 174,496 | — | — | 174,496 | ||||||||||||
Construction & Engineering | 2,194,529 | — | — | 2,194,529 | ||||||||||||
Consumer Finance | 1,443,342 | — | — | 1,443,342 | ||||||||||||
Diversified Telecommunication Services | 580,800 | — | — | 580,800 | ||||||||||||
Energy Equipment & Services | 4,926,804 | — | — | 4,926,804 | ||||||||||||
Food Products | 2,167,722 | — | — | 2,167,722 | ||||||||||||
Health Care Equipment & Supplies | 253,374 | — | — | 253,374 | ||||||||||||
Health Care Providers & Services | 5,402,175 | — | — | 5,402,175 | ||||||||||||
Household Durables | 7,666,920 | — | — | 7,666,920 | ||||||||||||
Independent Power and Renewable Electricity Producers | 2,849,472 | — | — | 2,849,472 | ||||||||||||
Insurance | 649,373 | — | — | 649,373 | ||||||||||||
IT Services | 1,639,860 | — | — | 1,639,860 | ||||||||||||
Machinery | 8,760,508 | — | — | 8,760,508 | ||||||||||||
Marine | 2,146,527 | — | — | 2,146,527 | ||||||||||||
Metals & Mining | 4,426,451 | — | — | 4,426,451 | ||||||||||||
Multi-Utilities | 443,483 | — | — | 443,483 | ||||||||||||
Oil, Gas & Consumable Fuels | 3,946,446 | — | — | 3,946,446 | ||||||||||||
Pharmaceuticals | 1,124,240 | — | — | 1,124,240 | ||||||||||||
REIT | 1,718,931 | — | — | 1,718,931 | ||||||||||||
Real Estate Management & Development | 3,521,570 | — | — | 3,521,570 | ||||||||||||
Road & Rail | 968,320 | — | — | 968,320 | ||||||||||||
Semiconductors & Semiconductor Equipment | 6,835,968 | — | — | 6,835,968 | ||||||||||||
Software | 755,136 | — | — | 755,136 | ||||||||||||
Technology Hardware, Storage & Peripherals | 3,370,636 | — | — | 3,370,636 | ||||||||||||
Textiles, Apparel & Luxury Goods | 3,415,739 | — | — | 3,415,739 | ||||||||||||
Thrifts & Mortgage Finance | 640,332 | — | — | 640,332 | ||||||||||||
Trading Companies & Distributors | 482,300 | — | — | 482,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 98,884,544 | — | — | 98,884,544 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 298,782 | — | — | 298,782 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 99,183,326 | $ | — | $ | — | $ | 99,183,326 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
30
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2018 |
Issues | Shares | Value | ||||||
COMMON STOCK — 98.9% of Net Assets |
| |||||||
Beverages — 2.4% | ||||||||
Monster Beverage Corp. (1) | 407,600 | $ | 22,418,000 | |||||
|
| |||||||
Biotechnology — 5.8% | ||||||||
Alexion Pharmaceuticals, Inc. (1) | 128,872 | 15,159,213 | ||||||
BioMarin Pharmaceutical, Inc. (1) | 196,613 | 16,419,152 | ||||||
Celgene Corp. (1) | 259,780 | 22,626,838 | ||||||
|
| |||||||
54,205,203 | ||||||||
|
| |||||||
Capital Markets — 4.7% | ||||||||
Charles Schwab Corp. (The) | 485,670 | 27,042,106 | ||||||
S&P Global, Inc. | 89,500 | 16,879,700 | ||||||
|
| |||||||
43,921,806 | ||||||||
|
| |||||||
Chemicals — 1.4% | ||||||||
Air Products & Chemicals, Inc. | 77,500 | 12,577,475 | ||||||
|
| |||||||
Commercial Services & Supplies — 2.1% | ||||||||
Waste Connections, Inc. (Canada) | 264,345 | 19,112,143 | ||||||
|
| |||||||
Food & Staples Retailing — 2.3% | ||||||||
Costco Wholesale Corp. | 110,144 | 21,715,991 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.5% | ||||||||
Align Technology, Inc. (1) | 38,409 | 9,596,489 | ||||||
West Pharmaceutical Services, Inc. | 152,836 | 13,481,663 | ||||||
|
| |||||||
23,078,152 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.7% | ||||||||
Starbucks Corp. | 435,017 | 25,043,929 | ||||||
|
| |||||||
Insurance — 2.9% | ||||||||
Chubb, Ltd. (Switzerland) | 198,504 | 26,931,038 | ||||||
|
| |||||||
Internet & Catalog Retail — 9.7% | ||||||||
Amazon.com, Inc. (1) | 39,544 | 61,931,045 | ||||||
Booking Holdings, Inc. (1) | 13,184 | 28,714,752 | ||||||
|
| |||||||
90,645,797 | ||||||||
|
| |||||||
Internet Software & Services — 14.3% | ||||||||
Alphabet, Inc. — Class C (1) | 52,942 | 53,859,485 | ||||||
Equinix, Inc. | 62,955 | 26,490,834 | ||||||
Facebook, Inc. (1) | 305,577 | 52,559,244 | ||||||
|
| |||||||
132,909,563 | ||||||||
|
| |||||||
IT Services — 12.2% | ||||||||
Mastercard, Inc. | 136,900 | 24,405,163 | ||||||
PayPal Holdings, Inc. (1) | 421,151 | 31,422,076 | ||||||
Visa, Inc. | 456,404 | 57,908,540 | ||||||
|
| |||||||
113,735,779 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.7% | ||||||||
Illumina, Inc. (1) | 63,806 | 15,372,780 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.5% | ||||||||
Concho Resources, Inc. (1) | 88,440 | 13,903,652 | ||||||
|
|
Issues | Shares | Value | ||||||
Pharmaceuticals — 2.3% | ||||||||
Zoetis, Inc. | 260,000 | $ | 21,704,800 | |||||
|
| |||||||
Professional Services — 2.2% | ||||||||
TransUnion (1) | 318,099 | 20,647,806 | ||||||
|
| |||||||
REIT — 4.2% | ||||||||
American Tower Corp. | 285,972 | 38,995,142 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.1% | ||||||||
NVIDIA Corp. | 45,431 | 10,217,432 | ||||||
|
| |||||||
Software — 16.2% | ||||||||
Adobe Systems, Inc. (1) | 220,186 | 48,793,218 | ||||||
Salesforce.com, Inc. (1) | 354,809 | 42,928,341 | ||||||
ServiceNow, Inc. (1) | 224,118 | 37,234,964 | ||||||
Splunk, Inc. (1) | 216,476 | 22,221,261 | ||||||
|
| |||||||
151,177,784 | ||||||||
|
| |||||||
Specialty Retail — 4.9% | ||||||||
Home Depot, Inc. (The) | 133,518 | 24,674,126 | ||||||
Ulta Salon, Cosmetics & Fragrance, Inc. (1) | 83,595 | 20,974,822 | ||||||
|
| |||||||
45,648,948 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.8% | ||||||||
Fastenal Co. | 330,700 | 16,531,693 | ||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $412,655,196) | 920,494,913 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 1.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (2) | 9,977,670 | 9,977,670 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $9,977,670) | 9,977,670 | |||||||
|
| |||||||
Total Investments (100.0%) | ||||||||
(Cost: $422,632,866) | 930,472,583 | |||||||
Liabilities in Excess of Other Assets (0.0%) |
| (248,991 | ) | |||||
|
| |||||||
Net Assets (100.0%) | $ | 930,223,592 | ||||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
See accompanying notes to financial statements.
31
Table of Contents
TCW Select Equities Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Beverages | 2.4 | % | ||
Biotechnology | 5.8 | |||
Capital Markets | 4.7 | |||
Chemicals | 1.4 | |||
Commercial Services & Supplies | 2.1 | |||
Food & Staples Retailing | 2.3 | |||
Health Care Equipment & Supplies | 2.5 | |||
Hotels, Restaurants & Leisure | 2.7 | |||
Insurance | 2.9 | |||
Internet & Catalog Retail | 9.7 | |||
Internet Software & Services | 14.3 | |||
IT Services | 12.2 | |||
Life Sciences Tools & Services | 1.7 | |||
Oil, Gas & Consumable Fuels | 1.5 | |||
Pharmaceuticals | 2.3 | |||
Professional Services | 2.2 | |||
REIT | 4.2 | |||
Semiconductors & Semiconductor Equipment | 1.1 | |||
Software | 16.2 | |||
Specialty Retail | 4.9 | |||
Trading Companies & Distributors | 1.8 | |||
Money Market Investments | 1.1 | |||
|
| |||
Total | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
32
Table of Contents
TCW Select Equities Fund
Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | 22,418,000 | $ | — | $ | — | $ | 22,418,000 | ||||||||
Biotechnology | 54,205,203 | — | — | 54,205,203 | ||||||||||||
Capital Markets | 43,921,806 | — | — | 43,921,806 | ||||||||||||
Chemicals | 12,577,475 | — | — | 12,577,475 | ||||||||||||
Commercial Services & Supplies | 19,112,143 | — | — | 19,112,143 | ||||||||||||
Food & Staples Retailing | 21,715,991 | — | — | 21,715,991 | ||||||||||||
Health Care Equipment & Supplies | 23,078,152 | — | — | 23,078,152 | ||||||||||||
Hotels, Restaurants & Leisure | 25,043,929 | — | — | 25,043,929 | ||||||||||||
Insurance | 26,931,038 | — | — | 26,931,038 | ||||||||||||
Internet & Catalog Retail | 90,645,797 | — | — | 90,645,797 | ||||||||||||
Internet Software & Services | 132,909,563 | — | — | 132,909,563 | ||||||||||||
IT Services | 113,735,779 | — | — | 113,735,779 | ||||||||||||
Life Sciences Tools & Services | 15,372,780 | — | — | 15,372,780 | ||||||||||||
Oil, Gas & Consumable Fuels | 13,903,652 | — | — | 13,903,652 | ||||||||||||
Pharmaceuticals | 21,704,800 | — | — | 21,704,800 | ||||||||||||
Professional Services | 20,647,806 | — | — | 20,647,806 | ||||||||||||
REIT | 38,995,142 | — | — | 38,995,142 | ||||||||||||
Semiconductors & Semiconductor Equipment | 10,217,432 | — | — | 10,217,432 | ||||||||||||
Software | 151,177,784 | — | — | 151,177,784 | ||||||||||||
Specialty Retail | 45,648,948 | — | — | 45,648,948 | ||||||||||||
Trading Companies & Distributors | 16,531,693 | — | — | 16,531,693 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 920,494,913 | — | — | 920,494,913 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 9,977,670 | — | — | 9,977,670 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 930,472,583 | $ | — | $ | — | $ | 930,472,583 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
33
Table of Contents
TCW Funds, Inc.
April 30, 2018 |
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | TCW Focused Equities Fund | TCW Global Real Estate Fund | TCW New America Premier Equities Fund | ||||||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||||||
ASSETS |
| |||||||||||||||||||
Investments, at Value (1) | $ | 1,606 | $ | 1,579 | (1) | $ | 4,885 | $ | 4,072 | $ | 22,381 | |||||||||
Investment in Affiliated Issuers, at Value | — | 27,807 | (2) | — | — | — | ||||||||||||||
Foreign Currency, at Value | — | — | — | 6 | (3) | — | ||||||||||||||
Receivable for Securities Sold | — | 636 | 207 | 162 | — | |||||||||||||||
Receivable for Fund Shares Sold | 5 | — | (4) | — | — | 407 | ||||||||||||||
Interest and Dividends Receivable | 1 | 31 | 5 | 9 | 26 | |||||||||||||||
Foreign Tax Reclaims Receivable | — | — | 2 | — | — | |||||||||||||||
Receivable from Investment Advisor | 15 | 2 | 13 | 11 | 10 | |||||||||||||||
Prepaid Expenses | 33 | 19 | 11 | 20 | 25 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 1,660 | 30,074 | 5,123 | 4,280 | 22,849 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES |
| |||||||||||||||||||
Payable for Securities Purchased | 1 | 32 | — | — | — | |||||||||||||||
Payable for Fund Shares Redeemed | — | — | 1,116 | — | — | |||||||||||||||
Disbursements in Excess of Available Cash | — | 429 | 182 | 193 | — | |||||||||||||||
Accrued Directors’ Fees and Expenses | 12 | 12 | 8 | 12 | 12 | |||||||||||||||
Accrued Management Fees | 1 | — | 4 | 3 | 15 | |||||||||||||||
Accrued Distribution Fees | — | (4) | — | (4) | — | (4) | — | (4) | 1 | |||||||||||
Other Accrued Expenses | 30 | 13 | 16 | 9 | 19 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 44 | 486 | 1,326 | 217 | 47 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 1,616 | $ | 29,588 | $ | 3,797 | $ | 4,063 | $ | 22,802 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||||||
Paid-in Capital | $ | 1,472 | $ | 26,672 | $ | 1,621 | $ | 4,546 | $ | 18,071 | ||||||||||
Accumulated Net Realized Gain (Loss) on Investments, Short Sales and Foreign Currency | 18 | 1,061 | 865 | (683 | ) | 258 | ||||||||||||||
Unrealized Appreciation of Investments | 129 | 1,849 | 1,307 | 211 | 4,483 | |||||||||||||||
Undistributed Net Investment Income (Loss) | (3 | ) | 6 | 4 | (11 | ) | (10 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 1,616 | $ | 29,588 | $ | 3,797 | $ | 4,063 | $ | 22,802 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||||||||||
I Class Share | $ | 1,042 | $ | 29,032 | $ | 3,148 | $ | 3,504 | $ | 19,597 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 574 | $ | 556 | $ | 649 | $ | 559 | $ | 3,205 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
CAPITAL SHARES OUTSTANDING: (5) |
| |||||||||||||||||||
I Class Share | 91,632 | 2,460,865 | 141,419 | 364,467 | 1,246,674 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | 50,454 | 47,093 | 29,496 | 58,141 | 203,862 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSET VALUE PER SHARE: (6) |
| |||||||||||||||||||
I Class Share | $ | 11.37 | $ | 11.80 | $ | 22.26 | $ | 9.61 | $ | 15.72 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 11.37 | $ | 11.81 | $ | 22.02 | $ | 9.61 | $ | 15.72 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Artificial Intelligence Equity Fund, the TCW Conservative Allocation Fund, the TCW Focused Equities Fund, the TCW Global Real Estate Fund and the TCW New America Premier Equities Fund at April 30, 2018 was $1,477, $1,515, $3,578, $3,861 and $17,898, respectively. |
(2) | The identified cost for investments in affiliated issuers of the TCW Conservative Allocation Fund was $ 26,022. |
(3) | The identified cost for the TCW Global Real Estate Fund at April 30, 2018 was $6. |
(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.
34
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2018 |
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) | $ | 558,652 | $ | 466,740 | $ | 99,183 | $ | 930,473 | ||||||||
Receivable for Securities Sold | 157 | 892 | 723 | — | ||||||||||||
Receivable for Fund Shares Sold | 18,837 | 301 | 169 | 859 | ||||||||||||
Interest and Dividends Receivable | 418 | 339 | 47 | 307 | ||||||||||||
Foreign Tax Reclaims Receivable | 26 | — | — | — | ||||||||||||
Receivable from Investment Advisor | 27 | 3 | 5 | 9 | ||||||||||||
Prepaid Expenses | 28 | 29 | 20 | 31 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 578,145 | 468,304 | 100,147 | 931,679 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES |
| |||||||||||||||
Payable for Securities Purchased | — | 652 | 135 | — | ||||||||||||
Payable for Fund Shares Redeemed | 561 | 213 | 104 | 579 | ||||||||||||
Accrued Directors’ Fees and Expenses | 12 | 12 | 12 | 12 | ||||||||||||
Accrued Management Fees | 322 | 270 | 62 | 602 | ||||||||||||
Accrued Distribution Fees | 102 | 3 | 4 | 29 | ||||||||||||
Other Accrued Expenses | 191 | 100 | 30 | 233 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 1,188 | 1,250 | 347 | 1,455 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 576,957 | $ | 467,054 | $ | 99,800 | $ | 930,224 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in Capital | $ | 445,383 | $ | 278,893 | $ | 63,991 | $ | 352,015 | ||||||||
Accumulated Net Realized Gain on Investments | 24,800 | 34,460 | 3,302 | 71,713 | ||||||||||||
Unrealized Appreciation of Investments | 105,734 | 151,888 | 32,790 | 507,840 | ||||||||||||
Undistributed Net Investment Income (Loss) | 1,040 | 1,813 | (283 | ) | (1,344 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 576,957 | $ | 467,054 | $ | 99,800 | $ | 930,224 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||||||
I Class Share | $ | 97,625 | $ | 452,274 | $ | 80,972 | $ | 794,967 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 479,332 | $ | 14,780 | $ | 18,828 | $ | 135,257 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (2) |
| |||||||||||||||
I Class Share | 5,172,264 | 21,339,621 | 3,232,720 | 29,835,937 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 24,964,069 | 699,316 | 772,319 | 5,590,003 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (3) |
| |||||||||||||||
I Class Share | $ | 18.87 | $ | 21.19 | $ | 25.05 | $ | 26.64 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 19.20 | $ | 21.13 | $ | 24.38 | $ | 24.20 | ||||||||
|
|
|
|
|
|
|
|
(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, 2018 was $452,918, $314,852, $66,393 and $422,633, 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.
35
Table of Contents
TCW Funds, Inc.
Six Months Ended April 30, 2018 |
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | TCW Focused Equities Fund | TCW Global Real Estate Fund | TCW New America Premier Equities Fund | ||||||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||
Income: | ||||||||||||||||||||
Dividends | $ | 5 | (1) | $ | 15 | $ | 82 | (1) | $ | 74 | (1) | $ | 98 | (1) | ||||||
Dividends from Investment in Affiliated Issuers | — | 319 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 5 | 334 | 82 | 74 | 98 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: |
| |||||||||||||||||||
Management Fees | 5 | — | 30 | 17 | 82 | |||||||||||||||
Accounting Services Fees | 1 | 3 | 2 | 1 | 2 | |||||||||||||||
Administration Fees | 1 | 2 | 1 | 1 | 1 | |||||||||||||||
Transfer Agent Fees: |
| |||||||||||||||||||
I Class | 8 | 5 | 4 | 3 | 4 | |||||||||||||||
N Class | 8 | 3 | 3 | 3 | 3 | |||||||||||||||
Custodian Fees | 1 | 1 | 2 | 3 | 3 | |||||||||||||||
Professional Fees | 19 | 9 | 11 | 10 | 18 | |||||||||||||||
Directors’ Fees and Expenses | 22 | 24 | 20 | 24 | 24 | |||||||||||||||
Registration Fees: |
| |||||||||||||||||||
I Class | 2 | 10 | 11 | 9 | 8 | |||||||||||||||
N Class | 2 | 9 | 12 | 9 | 8 | |||||||||||||||
Distribution Fees: |
| |||||||||||||||||||
N Class | 1 | 1 | 1 | 1 | 3 | |||||||||||||||
Shareholder Reporting Expense | 16 | 1 | 1 | — | (2) | — | (2) | |||||||||||||
Other | 4 | 3 | 4 | 3 | 4 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 90 | 71 | 102 | 84 | 160 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||||||
I Class | 45 | — | 37 | 41 | 34 | |||||||||||||||
N Class | 37 | 12 | 18 | 17 | 19 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 8 | 59 | 47 | 26 | 107 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | (3 | ) | 275 | 35 | 48 | (9 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Investments | 27 | 28 | 901 | (147 | ) | 308 | ||||||||||||||
Investments in Affiliated Issuers | — | 182 | — | — | — | |||||||||||||||
Realized Gain Received as Distribution from Affiliated Issuers | — | 878 | — | — | — | |||||||||||||||
Foreign Currency | — | — | — | (2 | ) | — | ||||||||||||||
Securities Sold Short | — | — | — | — | (29 | ) | ||||||||||||||
Change in Unrealized Appreciation (Depreciation) on: |
| |||||||||||||||||||
Investments | 46 | 8 | (584 | ) | (89 | ) | 1,029 | |||||||||||||
Foreign Currency | — | — | — | — | (2) | — | (2) | |||||||||||||
Investments in Affiliated Issuers | — | (1,039 | ) | — | — | — | ||||||||||||||
Securities sold short | — | — | — | — | 40 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 73 | 57 | 317 | (238 | ) | 1,348 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 70 | $ | 332 | $ | 352 | $ | (190 | ) | $ | 1,339 | |||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $0, $1, $3 and $1 for the TCW Artificial Intelligence Equity Fund, 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.
36
Table of Contents
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2018 |
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 | $ | 7,726 | (1) | $ | 4,802 | $ | 700 | (1) | $ | 2,818 | (1) | |||||
|
|
|
|
|
|
|
| |||||||||
Total | 7,726 | 4,802 | 700 | 2,818 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management Fees | 1,963 | 1,571 | 394 | 3,431 | ||||||||||||
Accounting Services Fees | 33 | 24 | 6 | 44 | ||||||||||||
Administration Fees | 19 | 15 | 4 | 28 | ||||||||||||
Transfer Agent Fees: | ||||||||||||||||
I Class | 52 | 144 | 22 | 316 | ||||||||||||
N Class | 251 | 12 | 11 | 70 | ||||||||||||
Custodian Fees | 3 | 2 | 3 | 2 | ||||||||||||
Professional Fees | 28 | 18 | 14 | 24 | ||||||||||||
Directors’ Fees and Expenses | 24 | 24 | 24 | 24 | ||||||||||||
Registration Fees: | ||||||||||||||||
I Class | 10 | 14 | 9 | 12 | ||||||||||||
N Class | 14 | 10 | 9 | 9 | ||||||||||||
Distribution Fees: | ||||||||||||||||
N Class | 606 | 20 | 24 | 170 | ||||||||||||
Shareholder Reporting Expense | 3 | 2 | 2 | 3 | ||||||||||||
Other | 51 | 30 | 8 | 76 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 3,057 | 1,886 | 530 | 4,209 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
N Class | 155 | 17 | 25 | 48 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 2,902 | 1,869 | 505 | 4,161 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 4,824 | 2,933 | 195 | (1,343 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Net Realized Gain (Loss) on: |
| |||||||||||||||
Investments | 24,429 | 35,116 | 4,143 | 72,184 | ||||||||||||
Foreign Currency | — | — | — | — | (2) | |||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | (6,798 | ) | (29,644 | ) | 283 | 21,211 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 17,631 | 5,472 | 4,426 | 93,395 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 22,455 | $ | 8,405 | $ | 4,621 | $ | 92,052 | ||||||||
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $69, $3 and $10 for the TCW Relative Value Dividend Appreciation Fund, the TCW Relative Value Mid Cap Fund and the TCW Select Equities Fund, respectively. |
(2) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
37
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | |||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | August 31, 2017 (Commencement of Operations) through October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income (Loss) | $ | (3 | ) | $ | — | $ | 275 | $ | 375 | |||||||
Net Realized Gain (Loss) on Investments | 27 | (9 | ) | 1,088 | 1,035 | |||||||||||
Change in Unrealized Appreciation on Investments | 46 | 83 | (1,031 | ) | 673 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 70 | 74 | 332 | 2,083 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | — | (1) | — | (503 | ) | (666 | ) | |||||||||
N Class | — | (1) | — | (6 | ) | (20 | ) | |||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (737 | ) | (1,136 | ) | ||||||||||
N Class | — | — | (13 | ) | (49 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | — | (1) | — | (1,259 | ) | (1,871 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 314 | 653 | (200 | ) | 930 | |||||||||||
N Class | 5 | 500 | 39 | (1,045 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 319 | 1,153 | (161 | ) | (115 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 389 | 1,227 | (1,088 | ) | 97 | |||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 1,227 | — | 30,676 | 30,579 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 1,616 | $ | 1,227 | $ | 29,588 | $ | 30,676 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | (3 | ) | $ | — | $ | 6 | $ | 240 |
(1) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
38
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Focused Equities Fund | TCW Global Real Estate Fund | |||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 35 | $ | 60 | $ | 48 | $ | 81 | ||||||||
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | 901 | 282 | (149 | ) | (69 | ) | ||||||||||
Change in Unrealized Appreciation on Investments | (584 | ) | 1,134 | (89 | ) | 273 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 352 | 1,476 | (190 | ) | 285 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (46 | ) | (119 | ) | (35 | ) | (70 | ) | ||||||||
N Class | (4 | ) | (12 | ) | (5 | ) | (15 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (50 | ) | (131 | ) | (40 | ) | (85 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (6,114 | ) | (1,143 | ) | 888 | (842 | ) | |||||||||
N Class | (71 | ) | (383 | ) | 6 | 25 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (6,185 | ) | (1,526 | ) | 894 | (817 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (5,883 | ) | (181 | ) | 664 | (617 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 9,680 | 9,861 | 3,399 | 4,016 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 3,797 | $ | 9,680 | $ | 4,063 | $ | 3,399 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | 4 | $ | 19 | $ | (11 | ) | $ | (19 | ) |
See accompanying notes to financial statements.
39
Table of Contents
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, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income (Loss) | $ | (9 | ) | $ | 12 | $ | 4,824 | $ | 20,083 | |||||||
Net Realized Gain on Investments and Short Sales | 279 | 696 | 24,429 | 196,680 | ||||||||||||
Change in Unrealized Appreciation on Investments and Short Sales | 1,069 | 3,194 | (6,798 | ) | (74,073 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 1,339 | 3,902 | 22,455 | 142,690 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | — | (36 | ) | (1,227 | ) | (3,591 | ) | |||||||||
N Class | — | (5 | ) | (4,600 | ) | (14,872 | ) | |||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (587 | ) | (115 | ) | (4,852 | ) | — | |||||||||
N Class | (90 | ) | (17 | ) | (17,818 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (677 | ) | (173 | ) | (28,497 | ) | (18,463 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 2,490 | 10,113 | (30,070 | ) | (58,271 | ) | ||||||||||
N Class | 810 | 727 | (9,195 | ) | (485,444 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 3,300 | 10,840 | (39,265 | ) | (543,715 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 3,962 | 14,569 | (45,307 | ) | (419,488 | ) | ||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 18,840 | 4,271 | 622,264 | 1,041,752 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 22,802 | $ | 18,840 | $ | 576,957 | $ | 622,264 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | (10 | ) | $ | (1 | ) | $ | 1,040 | $ | 2,043 |
See accompanying notes to financial statements.
40
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | |||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 2,933 | $ | 10,236 | $ | 195 | $ | 432 | ||||||||
Net Realized Gain on Investments | 35,116 | 69,143 | 4,143 | 10,180 | ||||||||||||
Change in Unrealized Appreciation on Investments | (29,644 | ) | 17,929 | 283 | 15,854 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 8,405 | 97,308 | 4,621 | 26,466 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (9,140 | ) | (8,711 | ) | (419 | ) | (479 | ) | ||||||||
N Class | (271 | ) | (328 | ) | (58 | ) | (79 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (60,130 | ) | (23,770 | ) | (6,332 | ) | — | |||||||||
N Class | (2,056 | ) | (1,014 | ) | (1,450 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (71,597 | ) | (33,823 | ) | (8,259 | ) | (558 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 41,324 | (69,061 | ) | (208 | ) | (11,805 | ) | |||||||||
N Class | 471 | (5,677 | ) | 415 | (2,551 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 41,795 | (74,738 | ) | 207 | (14,356 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (21,397 | ) | (11,253 | ) | (3,431 | ) | 11,552 | |||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 488,451 | 499,704 | 103,231 | 91,679 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 467,054 | $ | 488,451 | $ | 99,800 | $ | 103,231 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | 1,813 | $ | 8,291 | $ | (283 | ) | $ | (1 | ) |
See accompanying notes to financial statements.
41
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Select Equities Fund | ||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||
Dollar Amounts in Thousands | ||||||||
OPERATIONS | ||||||||
Net Investment Loss | $ | (1,343 | ) | $ | (2,097 | ) | ||
Net Realized Gain on Investments | 72,184 | 244,140 | ||||||
Change in Unrealized Appreciation on Investments | 21,211 | (35,595 | ) | |||||
|
|
|
| |||||
Increase in Net Assets Resulting from Operations | 92,052 | 206,448 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||
Distributions from Net Realized Gain: | ||||||||
I Class | (170,620 | ) | (74,719 | ) | ||||
N Class | (31,204 | ) | (9,066 | ) | ||||
|
|
|
| |||||
Total Distributions to Shareholders | (201,824 | ) | (83,785 | ) | ||||
|
|
|
| |||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||
I Class | 118,710 | (597,986 | ) | |||||
N Class | 13,944 | (33,131 | ) | |||||
|
|
|
| |||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 132,654 | (631,117 | ) | |||||
|
|
|
| |||||
Increase (Decrease) in Net Assets | 22,882 | (508,454 | ) | |||||
NET ASSETS |
| |||||||
Beginning of Period | 907,342 | 1,415,796 | ||||||
|
|
|
| |||||
End of Period | $ | 930,224 | $ | 907,342 | ||||
|
|
|
| |||||
Undistributed Net Investment Loss | $ | (1,344 | ) | $ | (1 | ) |
See accompanying notes to financial statements.
42
Table of Contents
TCW Funds, Inc.
April 30, 2018 |
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 20 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. 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 | |
Non-Diversified U.S. Equity Fund | ||
TCW Artificial Intelligence Equity 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 growth businesses that the portfolio managers believe are benefitting from or have the potential to benefit from advances in the use of artificial intelligence. | |
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 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 generate 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. |
43
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 1 — Organization (Continued)
TCW Fund | Investment Objective | |
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. | |
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 companies. | |
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 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 the 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.
44
Table of Contents
TCW Funds, Inc.
April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
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 zones differences. 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.
45
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
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 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, 2018 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, 2018 for which fair value was calculated using Level 3 inputs.
The Funds did not have any transfers in and out of Level 1 and Level 2 of the fair value hierarchy for the period ended April 30, 2018.
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.
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TCW Funds, Inc.
April 30, 2018 |
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.
The Funds did not engage in transactions involving derivatives for the period ended April 30, 2018.
Options: The Funds may 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, or take advantage of changes in 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. 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
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
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, 2018, the Funds did not purchase or write any option contracts.
When-Issued, Delayed-Delivery and Forward Commitment Transactions: The Funds, with the exception of the TCW Conservative Allocation Fund, may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If the Fund’s counterparty fails to deliver a security purchased on a when issued, delayed delivery or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the values 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 set aside liquid assets to cover the commitment. 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, each Fund receives securities as collateral with a market value in excess of the repurchase price. 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, 2018.
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, 2018.
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 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 for each class, and in turn differences in dividends paid by each class.
48
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TCW Funds, Inc.
April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Global Real Estate Fund and the TCW Relative Value Dividend Appreciation Fund declare and pay, or reinvest, dividends from net investment income quarterly. The other Equity Funds and TCW Conservative Allocation Fund declare and pay, or reinvest, dividends from net investment income annually. Capital gains realized by a Fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from 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 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
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 3 — Risk Considerations (Continued)
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.
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, 2018, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows (amounts in thousands):
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Artificial Intelligence Equity Fund | $ | 165 | $ | (40 | ) | $ | 125 | $ | 1,481 | |||||||
TCW Conservative Allocation Fund | 2,162 | (343 | ) | 1,819 | 27,567 | |||||||||||
TCW Focused Equities Fund | 1,423 | (133 | ) | 1,290 | 3,595 | |||||||||||
TCW Global Real Estate Fund | 322 | (158 | ) | 164 | 3,908 | |||||||||||
TCW New America Premier Equities Fund | 4,461 | (1 | ) | 4,460 | 17,921 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | 140,529 | (34,558 | ) | 105,971 | 452,681 | |||||||||||
TCW Relative Value Large Cap Fund | 160,125 | (9,105 | ) | 151,020 | 315,720 | |||||||||||
TCW Relative Value Mid Cap Fund | 33,094 | (1,109 | ) | 31,985 | 67,198 | |||||||||||
TCW Select Equities Fund | 513,887 | (6,275 | ) | 507,612 | 422,861 |
At October 31, 2017, 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 Artificial Intelligence Equity Fund | $ | — | (1) | $ | — | $ | — | (1) | ||||
TCW Conservative Allocation Fund | 242 | 749 | 991 | |||||||||
TCW Focused Equities Fund | 31 | — | 31 | |||||||||
TCW Global Real Estate Fund | 14 | — | 14 | |||||||||
TCW New America Premier Equities Fund | 669 | 8 | 677 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 2,044 | 22,669 | 24,713 | |||||||||
TCW Relative Value Large Cap Fund | 9,182 | 61,294 | 70,476 | |||||||||
TCW Relative Value Mid Cap Fund | 366 | 7,415 | 7,781 | |||||||||
TCW Select Equities Fund | — | 201,823 | 201,823 |
(1) | Amount rounds to less than $1 |
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TCW Funds, Inc.
April 30, 2018 |
Note 4 — Federal Income Taxes (Continued)
For the fiscal year ended October 31, 2017, 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 | $ | 686 | $ | 1,185 | $ | — | $ | 1,871 | ||||||||
TCW Focused Equities Fund | 131 | — | — | 131 | ||||||||||||
TCW Global Real Estate Fund | 85 | — | — | 85 | ||||||||||||
TCW New America Premier Equities Fund | 173 | — | — | 173 | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 18,463 | — | — | 18,463 | ||||||||||||
TCW Relative Value Large Cap Fund | 9,039 | 24,784 | — | 33,823 | ||||||||||||
TCW Relative Value Mid Cap Fund | 558 | — | — | 558 | ||||||||||||
TCW Select Equities Fund | — | 83,785 | — | 83,785 |
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.
At October 31, 2017, the following Funds had net realized loss carryforwards for federal income tax purposes. (amounts in thousands).
Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Artificial Intelligence Equity Fund | $ | 8 | $ | — | $ | 8 | ||||||
TCW Global Real Estate Fund | 451 | 60 | 511 |
The Funds did not have any unrecognized tax benefits at April 30, 2018, nor were there any increases or decreases in unrecognized tax benefits for the period ended April 30, 2018. The Funds are subject to examination by the U.S. Federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
Note 5 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net assets:
TCW Artificial Intelligence Equity Fund | 0.80 | % | ||
TCW Focused Equities Fund | 0.65 | % | ||
TCW Global Real Estate Fund | 0.80 | % | ||
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 | 0.70 | % (1) | ||
TCW Select Equities Fund | 0.75 | % |
(1) | From November 1, 2017 through February 28, 2018, the management fee was 0.80%. |
The TCW Conservative Allocation Fund does not pay management fees to the Advisor; however, the Fund pays management fees to the Advisor indirectly, as a shareholder in the affiliated funds.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 5 — Fund Management Fees and Other Expenses (Continued)
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets.
TCW Artificial Intelligence Equity Fund | ||||
I Class | 1.05 | % (1) | ||
N Class | 1.05 | % (1) | ||
TCW Conservative Allocation Fund | ||||
I Class | 0.85 | % (1) | ||
N Class | 0.85 | % (1) | ||
TCW Focused Equities Fund | ||||
I Class | 1.01 | % (1) | ||
N Class | 1.01 | % (1) | ||
TCW Global Real Estate Fund | ||||
I Class | 1.00 | % (1) | ||
N Class | 1.15 | % (1) | ||
TCW New America Premier Equities Fund | ||||
I Class | 1.04 | % (1) | ||
N Class | 1.04 | % (1) | ||
TCW Relative Value Dividend Appreciation Fund | ||||
I Class | 0.80 | % (1) | ||
N Class | 1.00 | % (2) | ||
TCW Relative Value Large Cap Fund | ||||
I Class | 0.80 | % (1) | ||
N Class | 1.00 | % (1) | ||
TCW Relative Value Mid Cap Fund | ||||
I Class | 0.90 | % (1) | ||
N Class | 1.00 | % (1) | ||
TCW Select Equities Fund | ||||
I Class | 1.07 | % (2) | ||
N Class | 1.07 | % (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, 2018. 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 LLC (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
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TCW Funds, Inc.
April 30, 2018 |
Note 7 — Transactions with Affiliates
The ownership percentage of the TCW Conservative Allocation Fund in each of the affiliated underlying funds at April 30, 2018 is as follows:
Name of Affiliated Fund | Ownership Percentage (1) | ||||
Metropolitan West Low Duration Bond Fund | 0.13 | % | |||
Metropolitan West Total Return Bond Fund | 0.00 | % (2) | |||
Metropolitan West Unconstrained Bond Fund | 0.18 | % | |||
TCW / Gargoyle Dynamic 500 Fund | 31.79 | % | |||
TCW Global Bond Fund | 4.43 | % | |||
TCW New America Premier Equities Fund | 12.57 | % | |||
TCW Relative Value Large Cap Fund | 0.66 | % | |||
TCW Relative Value Mid Cap Fund | 0.85 | % | |||
TCW Select Equities Fund | 0.19 | % | |||
TCW Total Return Bond Fund | 0.04 | % |
(1) | Percentage ownership based on total net assets of the underlying fund. |
(2) | Amount rounds to less than 0.00%. |
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, 2018, 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 Artificial Intelligence Equity Fund | $ | 844 | $ | 579 | $ | — | $ | — | ||||||||
TCW Conservative Allocation Fund | 2,860 | 3,278 | — | — | ||||||||||||
TCW Focused Equities Fund | 805 | 5,899 | — | — | ||||||||||||
TCW Global Real Estate Fund | 3,315 | 2,323 | — | — | ||||||||||||
TCW New America Premier Equities Fund | 5,534 | 3,225 | — | — | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 42,687 | 124,347 | — | — | ||||||||||||
TCW Relative Value Large Cap Fund | 45,868 | 73,954 | — | — | ||||||||||||
TCW Relative Value Mid Cap Fund | 8,694 | 15,941 | — | — | ||||||||||||
TCW Select Equities Fund | 75,968 | 144,609 | — | — |
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Artificial Intelligence Equity Fund | Six Months Ended April 30, 2018 (Unaudited) | August 31, 2017 (Commencement of Operations) through October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 26,356 | $ | 314 | 65,264 | $ | 653 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 12 | — | (1) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 26,368 | $ | 314 | 65,264 | $ | 653 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 445 | $ | 5 | 50,000 | $ | 500 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 9 | — | (1) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 454 | $ | 5 | 50,000 | $ | 500 | ||||||||||
|
|
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW Conservative Allocation Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 39,071 | $ | 477 | 186,502 | $ | 2,188 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 102,922 | 1,217 | 155,467 | 1,761 | ||||||||||||
Shares Redeemed | (158,733 | ) | (1,894 | ) | (254,486 | ) | (3,019 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (16,740 | ) | $ | (200 | ) | 87,483 | $ | 930 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 7,842 | $ | 93 | 26,148 | $ | 313 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,528 | 18 | 5,978 | 68 | ||||||||||||
Shares Redeemed | (6,059 | ) | (72 | ) | (120,636 | ) | (1,426 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 3,311 | $ | 39 | (88,510 | ) | $ | (1,045 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Focused Equities Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 36,706 | $ | 807 | 17,594 | $ | 360 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,000 | 45 | 5,551 | 109 | ||||||||||||
Shares Redeemed | (317,780 | ) | (6,966 | ) | (79,622 | ) | (1,612 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (279,074 | ) | $ | (6,114 | ) | (56,477 | ) | $ | (1,143 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 102 | $ | 2 | 846 | $ | 17 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 163 | 4 | 629 | 12 | ||||||||||||
Shares Redeemed | (3,564 | ) | (77 | ) | (20,542 | ) | (412 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (3,299 | ) | $ | (71 | ) | (19,067 | ) | $ | (383 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Global Real Estate Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 125,772 | $ | 1,281 | 33,764 | $ | 329 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,426 | 34 | 6,976 | 67 | ||||||||||||
Shares Redeemed | (43,861 | ) | (427 | ) | (133,260 | ) | (1,238 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 85,337 | $ | 888 | (92,520 | ) | $ | (842 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 97 | $ | 1 | 2,031 | $ | 20 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 521 | 5 | 1,581 | 15 | ||||||||||||
Shares Redeemed | — | — | (1,041 | ) | (10 | ) | ||||||||||
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|
|
|
|
| |||||||||
Net Increase | 618 | $ | 6 | 2,571 | $ | 25 | ||||||||||
|
|
|
|
|
|
|
|
54
Table of Contents
TCW Funds, Inc.
April 30, 2018 |
Note 9 — Capital Share Transactions (Continued)
TCW New America Premier Equities Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 182,668 | $ | 2,827 | 889,822 | $ | 11,268 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 38,162 | 572 | 12,994 | 146 | ||||||||||||
Shares Redeemed | (58,734 | ) | (909 | ) | (98,168 | ) | (1,301 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 162,096 | $ | 2,490 | 804,648 | $ | 10,113 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 50,187 | $ | 782 | 51,050 | $ | 726 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 5,975 | 90 | 2,001 | 23 | ||||||||||||
Shares Redeemed | (4,077 | ) | (62 | ) | (1,724 | ) | (22 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 52,085 | $ | 810 | 51,327 | $ | 727 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Dividend Appreciation Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 338,440 | $ | 6,565 | 1,571,327 | $ | 29,392 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 299,419 | 5,739 | 174,490 | 3,283 | ||||||||||||
Shares Redeemed | (2,178,504 | ) | (42,374 | ) | (4,785,356 | ) | (90,946 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,540,645 | ) | $ | (30,070 | ) | (3,039,539 | ) | $ | (58,271 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,404,133 | $ | 27,221 | 24,813,876 | $ | 468,038 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,142,868 | 22,283 | 773,578 | 14,787 | ||||||||||||
Shares Redeemed | (2,960,491 | ) | (58,699 | ) | (31,373,199 | ) | (594,714 | ) | ||||||||
Shares Redeemed through in-kind Redemptions | — | — | (19,698,827 | ) | (373,555 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (413,490 | ) | $ | (9,195 | ) | (25,484,572 | ) | $ | (485,444 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Large Cap Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,740,469 | $ | 38,710 | 2,241,430 | $ | 51,607 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,059,338 | 67,000 | 1,432,234 | 31,595 | ||||||||||||
Shares Redeemed | (2,889,804 | ) | (64,386 | ) | (6,703,734 | ) | (152,263 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 1,910,003 | $ | 41,324 | (3,030,070 | ) | $ | (69,061 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 21,311 | $ | 487 | 99,985 | $ | 2,299 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 105,507 | 2,305 | 60,256 | 1,327 | ||||||||||||
Shares Redeemed | (103,905 | ) | (2,321 | ) | (400,430 | ) | (9,303 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 22,913 | $ | 471 | (240,189 | ) | $ | (5,677 | ) | ||||||||
|
|
|
|
|
|
|
|
55
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW Relative Value Mid Cap Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 225,370 | $ | 5,853 | 365,523 | $ | 8,619 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 260,384 | 6,601 | 20,199 | 461 | ||||||||||||
Shares Redeemed | (494,503 | ) | (12,662 | ) | (883,074 | ) | (20,885 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (8,749 | ) | $ | (208 | ) | (497,352 | ) | $ | (11,805 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 15,819 | $ | 396 | 133,705 | $ | 3,025 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 58,853 | 1,452 | 3,399 | 76 | ||||||||||||
Shares Redeemed | (57,642 | ) | (1,433 | ) | (245,555 | ) | (5,652 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 17,030 | $ | 415 | (108,451 | ) | $ | (2,551 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Select Equities Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,544,758 | $ | 101,060 | 4,737,934 | $ | 124,547 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 4,718,127 | 118,189 | 1,164,576 | 27,822 | ||||||||||||
Shares Redeemed | (3,690,183 | ) | (100,539 | ) | (29,165,155 | ) | (750,355 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 4,572,702 | $ | 118,710 | (23,262,645 | ) | $ | (597,986 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 170,001 | $ | 4,512 | 229,950 | $ | 5,748 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,337,789 | 30,448 | 396,802 | 8,817 | ||||||||||||
Shares Redeemed | (834,400 | ) | (21,016 | ) | (1,917,314 | ) | (47,696 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 673,390 | $ | 13,944 | (1,290,562 | ) | $ | (33,131 | ) | ||||||||
|
|
|
|
|
|
|
|
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, 2018.
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, 2018. 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, 2018. 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.
56
Table of Contents
TCW Funds, Inc.
April 30, 2018 |
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 — Subsequent Event
The Advisor recommended and the Board approved the liquidation of the TCW Focused Equities Fund. As a result, the Fund liquidated and distributed its assets to its shareholders on or about May 31, 2018.
The liquidation is a taxable event and will be treated as any other redemption of shares and may result in capital gain or loss for federal tax purposes.
57
Table of Contents
TCW Artificial Intelligence Equity Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | August 31, 2017 (Commencement of Operations) through October 31, 2017 | |||||||
Net Asset Value per Share, Beginning of Period | $ | 10.64 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: | ||||||||
Net Investment Loss | (0.02 | ) | (0.00 | ) (1) | ||||
Net Realized and Unrealized Gain on Investments (2) | 0.75 | 0.64 | ||||||
|
|
|
| |||||
Total from Investment Operations | 0.73 | 0.64 | ||||||
|
|
|
| |||||
Less Distributions: | ||||||||
Distributions from Net Investment Income | (0.00 | ) (1) | — | |||||
|
|
|
| |||||
Net Asset Value per Share, End of Period | $ | 11.37 | $ | 10.64 | ||||
|
|
|
| |||||
Total Return | 6.88 | % (4) | 6.40 | % (3) | ||||
Ratios/Supplemental Data: | ||||||||
Net Assets, End of Period (in thousands) | $ | 1,042 | $ | 695 | ||||
Ratio of Expenses to Average Net Assets: | ||||||||
Before Expense Reimbursement (5) | 12.30 | % | 23.66 | % | ||||
After Expense Reimbursement (5) | 1.05 | % | 1.05 | % | ||||
Ratio of Net Investment Loss to Average Net Assets (5) | (0.31 | )% | (0.23 | )% | ||||
Portfolio Turnover Rate | 43.12 | % (4) | 13.05 | % (3) |
(1) | Amount rounds to less than $0.01 per share. |
(2) | Computed using average shares outstanding throughout the period. |
(3) | For the period August 31, 2017 (commencement of operations) through October 31, 2017. |
(4) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying notes to financial statements.
58
Table of Contents
TCW Artificial Intelligence Equity Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | August 31, 2017 (Commencement of Operations) through October 31, 2017 | |||||||
Net Asset Value per Share, Beginning of Period | $ | 10.64 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: | ||||||||
Net Investment Loss | (0.02 | ) | (0.00 | ) (1) | ||||
Net Realized and Unrealized Gain on Investments (2) | 0.75 | 0.64 | ||||||
|
|
|
| |||||
Total from Investment Operations | 0.73 | 0.64 | ||||||
|
|
|
| |||||
Less Distributions: | ||||||||
Distributions from Net Investment Income | (0.00 | ) (1) | — | |||||
|
|
|
| |||||
Net Asset Value per Share, End of Period | $ | 11.37 | $ | 10.64 | ||||
|
|
|
| |||||
Total Return | 6.88 | % (4) | 6.40 | % (3) | ||||
Ratios/Supplemental Data: | ||||||||
Net Assets, End of Period (in thousands) | $ | 574 | $ | 532 | ||||
Ratio of Expenses to Average Net Assets: | ||||||||
Before Expense Reimbursement (5) | 14.49 | % | 26.07 | % | ||||
After Expense Reimbursement (5) | 1.05 | % | 1.05 | % | ||||
Ratio of Net Investment Loss to Average Net Assets (5) | (0.31 | )% | (0.25 | )% | ||||
Portfolio Turnover Rate | 43.12 | % (4) | 13.05 | % (3) |
(1) | Amount rounds to less than $0.01 per share. |
(2) | Computed using average shares outstanding throughout the period. |
(3) | For the period August 31, 2017 (commencement of operations) through October 31, 2017. |
(4) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying notes to financial statements.
59
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 12.17 | $ | 12.13 | $ | 12.50 | $ | 12.24 | $ | 11.66 | $ | 10.91 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.11 | 0.15 | 0.17 | 0.13 | 0.11 | 0.22 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.02 | 0.67 | (0.07 | ) | 0.33 | 0.67 | 0.79 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.13 | 0.82 | 0.10 | 0.46 | 0.78 | 1.01 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.20 | ) | (0.29 | ) | (0.19 | ) | (0.14 | ) | (0.20 | ) | (0.26 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.30 | ) | (0.49 | ) | (0.28 | ) | (0.06 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.50 | ) | (0.78 | ) | (0.47 | ) | (0.20 | ) | (0.20 | ) | (0.26 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.80 | $ | 12.17 | $ | 12.13 | $ | 12.50 | $ | 12.24 | $ | 11.66 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.07 | % (2) | 7.28 | % | 0.78 | % | 3.88 | % | 6.66 | % | 9.42 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 29,032 | $ | 30,144 | $ | 28,982 | $ | 33,909 | $ | 30,746 | $ | 27,121 | ||||||||||||
Ratio of Expenses to Average Net Assets: (3) | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.37 | % (4) | 0.36 | % | 0.30 | % | 0.25 | % | 0.29 | % | 0.40 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.83 | % (4) | 1.26 | % | 1.41 | % | 1.01 | % | 0.94 | % | 1.96 | % | ||||||||||||
Portfolio Turnover Rate | 9.40 | % (2) | 55.53 | % | 37.62 | % | 30.24 | % | 40.56 | % | 57.98 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 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.
60
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 12.15 | $ | 12.07 | $ | 12.44 | $ | 12.17 | $ | 11.61 | $ | 10.89 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.08 | 0.11 | 0.11 | 0.04 | 0.05 | 0.18 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.03 | 0.66 | (0.08 | ) | 0.35 | 0.66 | 0.78 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.11 | 0.77 | 0.03 | 0.39 | 0.71 | 0.96 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.20 | ) | (0.12 | ) | (0.06 | ) | (0.15 | ) | (0.24 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.30 | ) | (0.49 | ) | (0.28 | ) | (0.06 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.45 | ) | (0.69 | ) | (0.40 | ) | (0.12 | ) | (0.15 | ) | (0.24 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.81 | $ | 12.15 | $ | 12.07 | $ | 12.44 | $ | 12.17 | $ | 11.61 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 0.84 | % (2) | 6.74 | % | 0.31 | % | 3.31 | % | 6.07 | % | 8.97 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 556 | $ | 532 | $ | 1,597 | $ | 1,876 | $ | 807 | $ | 1,047 | ||||||||||||
Ratio of Expenses to Average Net Assets: (3) | ||||||||||||||||||||||||
Before Expense Reimbursement | 5.16 | % (4) | 3.30 | % | 1.54 | % | 1.61 | % | 3.20 | % | 2.84 | % | ||||||||||||
After Expense Reimbursement | 0.77 | % (4) | 0.81 | % | 0.82 | % | 0.84 | % | 0.85 | % | 0.85 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.42 | % (4) | 0.89 | % | 0.89 | % | 0.36 | % | 0.41 | % | 1.58 | % | ||||||||||||
Portfolio Turnover Rate | 9.40 | % (2) | 55.53 | % | 37.62 | % | 30.24 | % | 40.56 | % | 57.98 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 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.
61
Table of Contents
TCW Focused Equities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 21.37 | $ | 18.67 | $ | 19.45 | $ | 19.37 | $ | 16.02 | $ | 12.20 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.08 | 0.12 | 0.20 | 0.12 | 0.09 | 0.08 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.92 | 2.83 | (0.79 | ) | 0.04 | 3.34 | 3.86 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.00 | 2.95 | (0.59 | ) | 0.16 | 3.43 | 3.94 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.25 | ) | (0.19 | ) | (0.08 | ) | (0.08 | ) | (0.12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 22.26 | $ | 21.37 | $ | 18.67 | $ | 19.45 | $ | 19.37 | $ | 16.02 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.64 | % (2) | 15.91 | % | (3.04 | )% | 0.79 | % | 21.46 | % | 32.67 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 3,148 | $ | 8,987 | $ | 8,903 | $ | 9,386 | $ | 9,970 | $ | 7,628 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.86 | % (3) | 1.82 | % | 1.60 | % | 1.46 | % | 1.60 | % | 1.95 | % | ||||||||||||
After Expense Reimbursement | 1.00 | % (3) | 1.04 | % | 1.08 | % | 1.09 | % | 1.11 | % | 1.14 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.75 | % (3) | 0.61 | % | 1.08 | % | 0.62 | % | 0.52 | % | 0.56 | % | ||||||||||||
Portfolio Turnover Rate | 8.84 | % (2) | 19.03 | % | 47.89 | % | 83.02 | % | 39.65 | % | 39.65 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
62
Table of Contents
TCW Focused Equities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 21.15 | $ | 18.47 | $ | 19.25 | $ | 19.17 | $ | 15.85 | $ | 12.11 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.08 | 0.13 | 0.19 | 0.12 | 0.09 | 0.08 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.90 | 2.80 | (0.78 | ) | 0.04 | 3.31 | 3.82 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.98 | 2.93 | (0.59 | ) | 0.16 | 3.40 | 3.90 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.25 | ) | (0.19 | ) | (0.08 | ) | (0.08 | ) | (0.16 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 22.02 | $ | 21.15 | $ | 18.47 | $ | 19.25 | $ | 19.17 | $ | 15.85 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.64 | % (2) | 15.98 | % | (3.08 | )% | 0.80 | % | 21.50 | % | 32.61 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 649 | $ | 693 | $ | 958 | $ | 1,454 | $ | 1,804 | $ | 921 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 6.03 | % (3) | 4.70 | % | 3.19 | % | 2.39 | % | 3.66 | % | 4.15 | % | ||||||||||||
After Expense Reimbursement | 1.00 | % (3) | 1.04 | % | 1.08 | % | 1.09 | % | 1.11 | % | 1.14 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.73 | % (3) | 0.63 | % | 1.05 | % | 0.63 | % | 0.50 | % | 0.58 | % | ||||||||||||
Portfolio Turnover Rate | 8.84 | % (2) | 19.03 | % | 47.89 | % | 83.02 | % | 39.65 | % | 39.65 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
63
Table of Contents
TCW Global Real Estate Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | November 28, 2014 (Commencement of Operations through October 31, 2015) | ||||||||||||||
2017 | 2016 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.10 | $ | 9.42 | $ | 9.71 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (1) | 0.11 | 0.25 | 0.30 | 0.21 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.51 | ) | 0.70 | (0.26 | ) | (0.27 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | (0.40 | ) | 0.95 | 0.04 | (0.06 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.27 | ) | (0.29 | ) | (0.23 | ) | ||||||||
Distributions from Net Realized Gain | — | — | (0.01 | ) | — | |||||||||||
Distributions from Return of Capital | — | — | (0.03 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.09 | ) | (0.27 | ) | (0.33 | ) | (0.23 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 9.61 | $ | 10.10 | $ | 9.42 | $ | 9.71 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | (3.99 | )% (3) | 10.28 | % | 0.31 | % | (0.62 | )% (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 3,504 | $ | 2,818 | $ | 3,499 | $ | 4,320 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 3.51 | % (4) | 4.38 | % | 3.29 | % | 5.28 | % (4) | ||||||||
After Expense Reimbursement | 1.23 | % (4) | 1.37 | % | 1.40 | % | 1.43 | % (4) | ||||||||
Ratio of Net Investment Income to Average Net Assets | 2.34 | % (4) | 2.57 | % | 3.14 | % | 2.27 | % (4) | ||||||||
Portfolio Turnover Rate | 58.21 | % (3) | 74.51 | % | 68.69 | % | 23.58 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period November 28, 2014 (Commencement of Operations) through October 31, 2015. |
(3) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
64
Table of Contents
TCW Global Real Estate Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | November 28, 2014 (Commencement of Operations through October 31, 2015) | ||||||||||||||
2017 | 2016 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.10 | $ | 9.42 | $ | 9.70 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (1) | 0.11 | 0.25 | 0.32 | 0.24 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.51 | ) | 0.70 | (0.27 | ) | (0.31 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | (0.40 | ) | 0.95 | 0.05 | (0.07 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.27 | ) | (0.29 | ) | (0.23 | ) | ||||||||
Distributions from Net Realized Gain | — | — | (0.01 | ) | — | |||||||||||
Distributions from Return of Capital | — | — | (0.03 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.09 | ) | (0.27 | ) | (0.33 | ) | (0.23 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 9.61 | $ | 10.10 | $ | 9.42 | $ | 9.70 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | (3.99 | )% (3) | 10.28 | % | 0.41 | % | (0.72 | )% (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 559 | $ | 581 | $ | 517 | $ | 510 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 7.25 | % (4) | 7.92 | % | 6.66 | % | 9.21 | % (4) | ||||||||
After Expense Reimbursement | 1.29 | % (4) | 1.37 | % | 1.40 | % | 1.43 | % (4) | ||||||||
Ratio of Net Investment Income to Average Net Assets | 2.25 | % (4) | 2.51 | % | 3.34 | % | 2.58 | % (4) | ||||||||
Portfolio Turnover Rate | 58.21 | % (3) | 74.51 | % | 68.69 | % | 23.58 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period November 28, 2014 (Commencement of Operations) through October 31, 2015. |
(3) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
65
Table of Contents
TCW New America Premier Equities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | January 29, 2016 (Commencement of Operations) through October 31, 2016 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 15.24 | $ | 11.23 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (Loss) (1) | (0.01 | ) | 0.01 | 0.08 | ||||||||
Net Realized and Unrealized Gain on Investments | 1.03 | 4.22 | 1.15 | |||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 1.02 | 4.23 | 1.23 | |||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | — | (0.05 | ) | — | ||||||||
Distributions from Net Realized Gain | (0.54 | ) | (0.17 | ) | — | |||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.54 | ) | (0.22 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 15.72 | $ | 15.24 | $ | 11.23 | ||||||
|
|
|
|
|
| |||||||
Total Return | 6.86 | % (3) | 38.41 | % | 12.30 | % (2) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Period (in thousands) | $ | 19,597 | $ | 16,527 | $ | 3,143 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 1.42 | % (4) | 1.79 | % | 4.72 | % (4) | ||||||
After Expense Reimbursement | 1.04 | % (4) | 1.04 | % | 1.05 | % (4) | ||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.09 | )% (4) | 0.11 | % | 1.03 | % (4) | ||||||
Portfolio Turnover Rate | 17.07 | % (3) | 114.48 | % | 73.83 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period January 29, 2016 (commencement of operations) through October 31, 2016. |
(3) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
66
Table of Contents
TCW New America Premier Equities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | January 29, 2016 (Commencement of Operations) through October 31, 2016 | ||||||||||
Net Asset Value per Share, Beginning of Period | $ | 15.24 | $ | 11.23 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (Loss) (1) | (0.01 | ) | 0.01 | 0.08 | ||||||||
Net Realized and Unrealized Gain on Investments | 1.03 | 4.22 | 1.15 | |||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 1.02 | 4.23 | 1.23 | |||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | — | (0.05 | ) | — | ||||||||
Distributions from Net Realized Gain | (0.54 | ) | (0.17 | ) | — | |||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.54 | ) | (0.22 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Period | $ | 15.72 | $ | 15.24 | $ | 11.23 | ||||||
|
|
|
|
|
| |||||||
Total Return | 6.86 | % (3) | 38.41 | % | 12.30 | % (2) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Period (in thousands) | $ | 3,205 | $ | 2,313 | $ | 1,128 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 2.42 | % (4) | 3.64 | % | 6.08 | % (4) | ||||||
After Expense Reimbursement | 1.04 | % (4) | 1.04 | % | 1.05 | % (4) | ||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.08 | )% (4) | 0.11 | % | 0.98 | % (4) | ||||||
Portfolio Turnover Rate | 17.07 | % (3) | 114.48 | % | 73.83 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period January 29, 2016 (commencement of operations) through October 31, 2016. |
(3) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
67
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 19.14 | $ | 16.95 | $ | 16.49 | $ | 16.71 | $ | 15.11 | $ | 11.77 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.48 | 0.35 | 0.30 | 0.27 | 0.25 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.49 | 2.17 | 0.41 | (0.24 | ) | 1.61 | 3.36 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.66 | 2.65 | 0.76 | 0.06 | 1.88 | 3.61 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.21 | ) | (0.46 | ) | (0.30 | ) | (0.28 | ) | (0.28 | ) | (0.27 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.72 | ) | — | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.93 | ) | (0.46 | ) | (0.30 | ) | (0.28 | ) | (0.28 | ) | (0.27 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 18.87 | $ | 19.14 | $ | 16.95 | $ | 16.49 | $ | 16.71 | $ | 15.11 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.41 | % (2) | 15.69 | % | 4.66 | % | 0.40 | % | 12.49 | % | 31.06 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 97,625 | $ | 128,498 | $ | 165,331 | $ | 175,694 | $ | 195,400 | $ | 176,226 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.80 | % (3) | 0.78 | % | 0.87 | % | 0.86 | % | 0.86 | % | 0.82 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.78 | % (3) | 2.60 | % | 2.11 | % | 1.81 | % | 1.67 | % | 1.86 | % | ||||||||||||
Portfolio Turnover Rate | 7.10 | % (2) | 23.45 | % | 19.13 | % | 17.95 | % | 17.33 | % | 18.37 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
68
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 19.46 | $ | 17.23 | $ | 16.76 | $ | 16.99 | $ | 15.34 | $ | 11.92 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.15 | 0.43 | 0.31 | 0.26 | 0.23 | 0.22 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.50 | 2.23 | 0.43 | (0.25 | ) | 1.63 | 3.41 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.65 | 2.66 | 0.74 | 0.01 | 1.86 | 3.63 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.19 | ) | (0.43 | ) | (0.27 | ) | (0.24 | ) | (0.21 | ) | (0.21 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.72 | ) | — | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.91 | ) | (0.43 | ) | (0.27 | ) | (0.24 | ) | (0.21 | ) | (0.21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 19.20 | $ | 19.46 | $ | 17.23 | $ | 16.76 | $ | 16.99 | $ | 15.34 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.31 | % (2) | 15.46 | % | 4.43 | % | 0.10 | % | 12.19 | % | 30.71 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 479,332 | $ | 493,766 | $ | 876,421 | $ | 878,544 | $ | 970,397 | $ | 887,435 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.06 | % (3) | 1.05 | % | 1.15 | % | 1.14 | % | 1.14 | % | 1.11 | % | ||||||||||||
After Expense Reimbursement | 1.00 | % (3) | 1.00 | % | 1.11 | % | N/A | N/A | N/A | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.55 | % (3) | 2.24 | % | 1.86 | % | 1.53 | % | 1.40 | % | 1.60 | % | ||||||||||||
Portfolio Turnover Rate | 7.10 | % (2) | 23.45 | % | 19.13 | % | 17.95 | % | 17.33 | % | 18.37 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
69
Table of Contents
TCW Relative Value Large Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 24.30 | $ | 21.38 | $ | 21.99 | $ | 22.09 | $ | 19.47 | $ | 14.91 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.14 | 0.49 | 0.32 | 0.26 | 0.21 | 0.19 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.33 | 3.96 | 0.19 | (0.14 | ) | 2.65 | 4.53 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.47 | 4.45 | 0.51 | 0.12 | 2.86 | 4.72 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.47 | ) | (0.41 | ) | (0.25 | ) | (0.22 | ) | (0.24 | ) | (0.16 | ) | ||||||||||||
Distributions from Net Realized Gain | (3.11 | ) | (1.12 | ) | (0.87 | ) | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (3.58 | ) | (1.53 | ) | (1.12 | ) | (0.22 | ) | (0.24 | ) | (0.16 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 21.19 | $ | 24.30 | $ | 21.38 | $ | 21.99 | $ | 22.09 | $ | 19.47 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.45 | % (2) | 21.55 | % | 2.61 | % | 0.50 | % | 14.79 | % | 31.99 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 452,274 | $ | 472,078 | $ | 480,174 | $ | 667,957 | $ | 700,484 | $ | 543,669 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.76 | % (3) | 0.77 | % | 0.88 | % | 0.88 | % | 0.88 | % | 0.87 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.22 | % (3) | 2.11 | % | 1.57 | % | 1.14 | % | 1.02 | % | 1.13 | % | ||||||||||||
Portfolio Turnover Rate | 9.60 | % (2) | 24.44 | % | 14.71 | % | 21.60 | % | 18.77 | % | 37.33 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
70
Table of Contents
TCW Relative Value Large Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 24.21 | $ | 21.31 | $ | 21.91 | $ | 22.04 | $ | 19.44 | $ | 14.89 | ||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.11 | 0.44 | 0.28 | 0.19 | 0.16 | 0.15 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.33 | 3.94 | 0.19 | (0.14 | ) | 2.65 | 4.52 | |||||||||||||||||
|
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|
|
|
|
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|
|
|
| |||||||||||||
Total from Investment Operations | 0.44 | 4.38 | 0.47 | 0.05 | 2.81 | 4.67 | ||||||||||||||||||
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| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.41 | ) | (0.36 | ) | (0.20 | ) | (0.18 | ) | (0.21 | ) | (0.12 | ) | ||||||||||||
Distributions from Net Realized Gain | (3.11 | ) | (1.12 | ) | (0.87 | ) | — | — | — | |||||||||||||||
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|
|
|
|
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|
|
| |||||||||||||
Total Distributions | (3.52 | ) | (1.48 | ) | (1.07 | ) | (0.18 | ) | (0.21 | ) | (0.12 | ) | ||||||||||||
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| |||||||||||||
Net Asset Value per Share, End of Period | $ | 21.13 | $ | 24.21 | $ | 21.31 | $ | 21.91 | $ | 22.04 | $ | 19.44 | ||||||||||||
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| |||||||||||||
Total Return | 1.32 | % (2) | 21.27 | % | 2.42 | % | 0.20 | % | 14.52 | % | 31.64 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 14,780 | $ | 16,373 | $ | 19,530 | $ | 25,084 | $ | 29,589 | $ | 75,450 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.22 | % (3) | 1.16 | % | 1.23 | % | 1.20 | % | 1.12 | % | 1.13 | % | ||||||||||||
After Expense Reimbursement | 1.00 | % (3) | 1.00 | % | 1.10 | % | 1.16 | % | N/A | N/A | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.99 | % (3) | 1.93 | % | 1.35 | % | 0.86 | % | 0.77 | % | 0.83 | % | ||||||||||||
Portfolio Turnover Rate | 9.60 | % (2) | 24.44 | % | 14.71 | % | 21.60 | % | 18.77 | % | 37.33 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
71
Table of Contents
TCW Relative Value Mid Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 25.96 | $ | 20.02 | $ | 22.43 | $ | 26.62 | $ | 26.56 | $ | 20.10 | ||||||||||||
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| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.05 | 0.11 | 0.18 | 0.17 | 0.13 | 0.16 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.12 | 5.96 | 0.34 | (1.16 | ) | 2.70 | 6.48 | |||||||||||||||||
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| |||||||||||||
Total from Investment Operations | 1.17 | 6.07 | 0.52 | (0.99 | ) | 2.83 | 6.64 | |||||||||||||||||
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| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.13 | ) | (0.13 | ) | (0.16 | ) | (0.12 | ) | (0.14 | ) | (0.17 | ) | ||||||||||||
Distributions from Net Realized Gain | (1.95 | ) | — | (2.77 | ) | (3.08 | ) | (2.63 | ) | (0.01 | ) | |||||||||||||
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|
|
|
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| |||||||||||||
Total Distributions | (2.08 | ) | (0.13 | ) | (2.93 | ) | (3.20 | ) | (2.77 | ) | (0.18 | ) | ||||||||||||
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| |||||||||||||
Net Asset Value per Share, End of Period | $ | 25.05 | $ | 25.96 | $ | 20.02 | $ | 22.43 | $ | 26.62 | $ | 26.56 | ||||||||||||
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| |||||||||||||
Total Return | 4.40 | % (2) | 30.40 | % | 3.53 | % | (4.58 | )% | 11.09 | % | 33.30 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 80,972 | $ | 84,136 | $ | 74,840 | $ | 93,356 | $ | 114,823 | $ | 118,138 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.96 | % (3) | 0.99 | % | 0.98 | % | 0.96 | % | 0.95 | % | 0.94 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.40 | % (3) | 0.45 | % | 0.96 | % | 0.68 | % | 0.49 | % | 0.68 | % | ||||||||||||
Portfolio Turnover Rate | 8.55 | % (2) | 31.93 | % | 17.81 | % | 23.15 | % | 21.67 | % | 28.91 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
72
Table of Contents
TCW Relative Value Mid Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 25.28 | $ | 19.50 | $ | 21.90 | $ | 26.08 | $ | 26.07 | $ | 19.74 | ||||||||||||
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|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.03 | 0.07 | 0.14 | 0.10 | 0.06 | 0.09 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.10 | 5.80 | 0.32 | (1.12 | ) | 2.65 | 6.37 | |||||||||||||||||
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| |||||||||||||
Total from Investment Operations | 1.13 | 5.87 | 0.46 | (1.02 | ) | 2.71 | 6.46 | |||||||||||||||||
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| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.09 | ) | (0.09 | ) | (0.08 | ) | (0.07 | ) | (0.12 | ) | ||||||||||||
Distributions from Net Realized Gain | (1.95 | ) | — | (2.77 | ) | (3.08 | ) | (2.63 | ) | (0.01 | ) | |||||||||||||
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|
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| |||||||||||||
Total Distributions | (2.03 | ) | (0.09 | ) | (2.86 | ) | (3.16 | ) | (2.70 | ) | (0.13 | ) | ||||||||||||
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| |||||||||||||
Net Asset Value per Share, End of Period | $ | 24.38 | $ | 25.28 | $ | 19.50 | $ | 21.90 | $ | 26.08 | $ | 26.07 | ||||||||||||
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| |||||||||||||
Total Return | 4.35 | % (2) | 30.15 | % | 3.30 | % | (4.78 | )% | 10.80 | % | 32.90 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 18,828 | $ | 19,095 | $ | 16,839 | $ | 19,559 | $ | 28,458 | $ | 36,875 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.34 | % (3) | 1.37 | % | 1.35 | % | 1.30 | % | 1.27 | % | 1.32 | % | ||||||||||||
After Expense Reimbursement | 1.08 | % (3) | 1.16 | % | 1.20 | % | 1.21 | % | 1.20 | % | 1.23 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.28 | % (3) | 0.29 | % | 0.74 | % | 0.44 | % | 0.23 | % | 0.40 | % | ||||||||||||
Portfolio Turnover Rate | 8.55 | % (2) | 31.93 | % | 17.81 | % | 23.15 | % | 21.67 | % | 28.91 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
73
Table of Contents
TCW Select Equities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 30.42 | $ | 26.06 | $ | 29.65 | $ | 26.71 | $ | 24.84 | $ | 19.81 | ||||||||||||
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|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.04 | ) | (0.05 | ) | (0.10 | ) | (0.02 | ) | (0.03 | ) | 0.03 | |||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.84 | 5.99 | (1.42 | ) | 3.80 | 2.71 | 5.34 | |||||||||||||||||
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|
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| |||||||||||||
Total from Investment Operations | 2.80 | 5.94 | (1.52 | ) | 3.78 | 2.68 | 5.37 | |||||||||||||||||
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| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | — | — | — | — | (0.00 | ) (2) | (0.05 | ) | ||||||||||||||||
Distributions from Net Realized Gain | (6.58 | ) | (1.58 | ) | (2.07 | ) | (0.84 | ) | (0.81 | ) | (0.29 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (6.58 | ) | (1.58 | ) | (2.07 | ) | (0.84 | ) | (0.81 | ) | (0.34 | ) | ||||||||||||
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| |||||||||||||
Net Asset Value per Share, End of Period | $ | 26.64 | $ | 30.42 | $ | 26.06 | $ | 29.65 | $ | 26.71 | $ | 24.84 | ||||||||||||
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| |||||||||||||
Total Return | 10.56 | % (3) | 24.47 | % | (5.56 | )% | 14.54 | % | 11.01 | % | 27.53 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 794,967 | $ | 768,535 | $ | 1,264,622 | $ | 1,629,090 | $ | 1,611,400 | $ | 1,325,609 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.88 | % (4) | 0.88 | % | 0.89 | % | 0.88 | % | 0.86 | % | 0.83 | % | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.26 | )% (4) | (0.18 | )% | (0.38 | )% | (0.08 | )% | (0.11 | )% | 0.15 | % | ||||||||||||
Portfolio Turnover Rate | 8.41 | % (3) | 17.95 | % | 14.05 | % | 27.19 | % | 25.79 | % | 24.55 | % |
(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, 2018 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
74
Table of Contents
TCW Select Equities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 28.23 | $ | 24.35 | $ | 27.91 | $ | 25.26 | $ | 23.59 | $ | 18.84 | ||||||||||||
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|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Loss (1) | (0.06 | ) | (0.10 | ) | (0.16 | ) | (0.09 | ) | (0.10 | ) | (0.02 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.61 | 5.56 | (1.33 | ) | 3.58 | 2.58 | 5.06 | |||||||||||||||||
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| |||||||||||||
Total from Investment Operations | 2.55 | 5.46 | (1.49 | ) | 3.49 | 2.48 | 5.04 | |||||||||||||||||
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| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Realized Gain | (6.58 | ) | (1.58 | ) | (2.07 | ) | (0.84 | ) | (0.81 | ) | (0.29 | ) | ||||||||||||
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| |||||||||||||
Net Asset Value per Share, End of Period | $ | 24.20 | $ | 28.23 | $ | 24.35 | $ | 27.91 | $ | 25.26 | $ | 23.59 | ||||||||||||
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| |||||||||||||
Total Return | 10.49 | % (2) | 24.20 | % | (5.81 | )% | 14.22 | % | 10.73 | % | 27.14 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 135,257 | $ | 138,807 | $ | 151,174 | $ | 274,026 | $ | 227,231 | $ | 378,026 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.16 | % (3) | 1.16 | % | 1.16 | % | 1.14 | % | 1.13 | % | 1.10 | % | ||||||||||||
After Expense Reimbursement | 1.08 | % (3) | 1.11 | % | 1.14 | % | N/A | N/A | N/A | |||||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.47 | )% (3) | (0.39 | )% | (0.64 | )% | (0.33 | )% | (0.40 | )% | (0.10 | )% | ||||||||||||
Portfolio Turnover Rate | 8.41 | % (2) | 17.95 | % | 14.05 | % | 27.19 | % | 25.79 | % | 24.55 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
75
Table of Contents
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, 2017 to April 30, 2018 (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, 2017 | Ending Account Value April 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2017 to April 30, 2018) | ||||||||||||
TCW Artificial Intelligence Equity Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.80 | 1.05 | % | $ | 5.39 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.59 | 1.05 | % | 5.26 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.80 | 1.05 | % | $ | 5.39 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.59 | 1.05 | % | 5.26 | |||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.70 | 0.37 | % (1) | $ | 1.84 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.96 | 0.37 | % (1) | 1.86 | (1) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,008.40 | 0.77 | % (1) | $ | 3.83 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.98 | 0.77 | % (1) | 3.86 | (1) | ||||||||||
TCW Focused Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,046.40 | 1.00 | % | $ | 5.07 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.84 | 1.00 | % | 5.01 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,046.40 | 1.00 | % | $ | 5.07 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.84 | 1.00 | % | 5.01 |
76
Table of Contents
TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value November 1, 2017 | Ending Account Value April 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2017 to April 30, 2018) | ||||||||||||
TCW Global Real Estate Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 960.10 | 1.23 | % | $ | 5.98 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.70 | 1.23 | % | 6.16 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 960.10 | 1.29 | % | $ | 6.27 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.40 | 1.29 | % | 6.46 | |||||||||||
TCW New America Premier Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.60 | 1.04 | % | $ | 5.33 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.64 | 1.04 | % | 5.21 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.60 | 1.04 | % | $ | 5.33 | ||||||||
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 | $ | 1,034.10 | 0.80 | % | $ | 4.03 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.83 | 0.80 | % | 4.01 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.10 | 1.00 | % | $ | 5.04 | ||||||||
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 | $ | 1,014.50 | 0.76 | % | $ | 3.80 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.03 | 0.76 | % | 3.81 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.20 | 1.00 | % | $ | 4.99 | ||||||||
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 | $ | 1,044.00 | 0.96 | % | $ | 4.87 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | �� | 1,020.03 | 0.96 | % | 4.81 | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,043.50 | 1.08 | % | $ | 5.47 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.44 | 1.08 | % | 5.41 | |||||||||||
TCW Select Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,105.60 | 0.88 | % | $ | 4.59 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.43 | 0.88 | % | 4.41 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,104.90 | 1.08 | % | $ | 5.64 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.44 | 1.08 | % | 5.41 |
(1) | Does not included Expenses of the underlying affiliated investments. |
77
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TCW Funds, Inc.
Proxy Voting Guidelines
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board 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). |
78
Table of Contents
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
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 Principal Financial and Accounting Officer
Jeffrey A. Engelsman
Chief Compliance Officer and Anti-Money Laundering Officer
Patrick W. Dennis
Vice President and Assistant Secretary
Lisa Eisen
Tax Officer
George N. Winn
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Artificial Intelligence Equity Fund
TCW Focused Equities Fund (1)
TCW Global Real Estate 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 Small Cap Fund
(1) Fund terminated May 31, 2018.
FUNDsarEQ0418
Table of Contents
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
Table of Contents
TCW Funds, Inc.
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42 | ||||
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 110 |
Table of Contents
|
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, 2018. 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, 2018, the TCW Funds held total assets of nearly $16.0 billion.
This report contains information outlining the performance and a list of portfolio holdings as of April 30, 2018 for the TCW Funds’ Fixed Income Funds.
Economic Review and Market Environment
After a year characterized by investor complacency and risk-on sentiment, the first quarter of 2018 saw a significant pick-up in volatility as markets began pricing in the reality of tighter global liquidity conditions and the equity market experienced its first quarterly loss in three years. Notably, the VIX index surged in February to levels roughly double the average of the past two years, driving significant outflows from mutual funds as investors sought to adjust their risk positions. While bond market volatility was less pronounced, Treasury yields did considerably recalibrate as the Fed continued along the path of rate normalization — with two hikes during the six-month period as expected. The 10-Year yield was 54 basis points (bps) higher to close April month-end at 2.95% while the policy-sensitive 2-Year Treasury note was up 71 bps and overtook the dividend yield on the S&P 500 for the first time since 2008. On the surface, macroeconomic data remained encouraging on balance, with a stronger than expected first quarter GDP growth print, still muted unemployment levels, and solid housing data. However, late-cycle behavior appeared ever-present as share buybacks rose, households became increasingly more levered, and bank lending pulled back. Further, it is important to note that the Fed’s rising rate regime is occurring at the same time that fiscal stimulus is being implemented by way of tax reform, which has necessitated increased T-bill issuance to fund swelling deficits. This in turn puts further upward pressure on
short-term funding costs, which will exacerbate already tightening liquidity conditions.
Given the substantial equity market correction in the first quarter, the S&P 500 Index return for the six-month period ended April 2018 ultimately came to a modest 0.7% gain while the backdrop of rising rates led to negative absolute total returns for fixed income markets. The Bloomberg Barclays U.S. Aggregate Index was down 1.7% and trailed duration-matched Treasuries by 8 bps. U.S. investment grade credit performance was particularly weak during the period, with the overall sector down 2.3%. Sovereigns were the worst performers (-2.6%), followed by industrial sectors such as capital goods (-3.0%) and transportation (-3.2%) though communications and energy credits outperformed. High yield credit was an outlier, returning 0.1% and posting positive excess returns of over 125 bps given modestly tighter spreads. Securitized products also fared better than high grade credit, led by non-agency MBS which was supported by strong investor sponsorship and continued improvement in fundamentals. Commercial MBS (CMBS) was another securitized segment that did well, led by non-agency CMBS to outpace duration-matched Treasuries by 28 bps during the period. Agency mortgage-backed securities experienced some pricing weakness early in 2018, then recovered, and ultimately posted modest negative excess returns of 6 bps. Among asset-backed securities (ABS), FFELP student loans outperformed while holdings backed by credit card collateral trailed.
The Economy and Market Ahead
Looking forward to the remainder of 2018, the increase in volatility that started the year does not show any signs of abating as the catalysts for downside risk remain numerous. To start, the ultimate consequences of the Fed’s cumulative rate normalization path remain a looming uncertainty; as these rate hikes are passed through to consumers, we believe interest-rate sensitive parts of the economy will be negatively impacted (i.e., retail sales, auto sales, and
1
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Letter to Shareholders (Continued) |
mortgage rates). With consumer debt levels already at historically high levels, any additional interest expense burden will likely stretch budgets further, potentially beyond their limits. One warning sign reflective of this stress is the increasing percentage of auto loan delinquencies. Just as corporate balance sheet leverage will have to be dealt with, given a rising rate environment and the resulting higher funding costs, heightened levels of household leverage cannot be sustained in the long run. Another prominent concern is the potential for a trade war as protectionist rhetoric between China and the U.S. escalates and retaliatory tariffs are imposed. All in all, while low yields, low volatility, and low risk aversion have thus far underpinned strong demand for risk assets, those conditions are now changing and we expect a choppier, higher volatility trading environment in the short to medium term with a meaningful repricing of fixed income assets not out of the question.
Given rising interest rate pressures and an aging credit cycle where the compensation for underwriting risks is limited, the Funds remain true to their disciplined, value-based approach, reflected in a focus on higher quality, more defensive areas of the market. With wariness of embedded risks in the corporate credit market, 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 we believe are robust enough to weather anticipated volatility going forward. Securitized products, which offer opportunities for attractive risk-adjusted returns, remain an emphasis and positioning favors high quality, more senior issues. We believe that legacy non-agency MBS remains one of the most attractive sectors given the improving fundamentals — it is one of the few places where leverage is decreasing rather than the opposite. Among CMBS, exposure is skewed towards agency-backed issues as well as seasoned non-agency bonds at the top of the capital structure and single asset single borrower deals to avoid the deteriorating underwriting challenges faced by current vintage non-agency CMBS. Consistent with this defensive posture, the ABS allocation favors sectors that offer strong
structures and solid collateral such as federally guaranteed student loans and top of the capital structure CLOs. Finally, 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 2018 Thomson Reuters Lipper Fund Awards
On February 28, 2018, two fixed income funds from the TCW Funds family were honored in the 2018 Thomson Reuters Lipper Fund Awards:
• | The TCW Total Return Bond Fund (TGLMX) was named best U.S. mortgage fund for the ten-year period ended 12/31/17. |
• | The TCW Emerging Markets Income Fund (TGEIX) was named best emerging markets hard currency debt fund for the ten-year period ended 12/31/17. |
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
Table of Contents
TCW Funds, Inc.
Performance Summary (Unaudited)
NAV | Six Months Return as of April 30, 2018 | Total Return Annualized as of April 30, 2018 (1) | Inception Date | |||||||||||||||||||||||||
1-Year | 5-Year | 10-Year | Since Inception | |||||||||||||||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||||||||||||||
I Class | $ | 10.68 | (1.73 | )% | (0.42 | )% | 1.26 | % | 4.81 | % | 5.89 | % (2) | 01/01/90 | (3) | ||||||||||||||
N Class | $ | 10.65 | (1.85 | )% | (0.77 | )% | 0.96 | % | 4.48 | % | 4.88 | % | 02/26/99 | |||||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||||||||||||||
I Class | $ | 5.44 | 5.35 | % | 9.40 | % | (5.95 | )% | N/A | (6.43 | )% | 03/31/11 | ||||||||||||||||
N Class | $ | 5.44 | 5.35 | % | 9.40 | % | (5.99 | )% | N/A | (6.44 | )% | 03/31/11 | ||||||||||||||||
TCW Global Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 9.73 | 0.46 | % | 2.89 | % | 0.24 | % | N/A | 2.24 | % | 11/30/11 | ||||||||||||||||
N Class | $ | 9.73 | 0.46 | % | 2.89 | % | 0.24 | % | N/A | 2.24 | % | 11/30/11 | ||||||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 6.25 | 0.37 | % | 3.21 | % | 3.94 | % | 6.18 | % | 7.13 | % (2) | 02/01/89 | (3) | ||||||||||||||
N Class | $ | 6.29 | 0.12 | % | 3.00 | % | 3.67 | % | 5.96 | % | 5.20 | % | 02/26/99 | |||||||||||||||
TCW Short Term Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 8.57 | 0.45 | % | 0.84 | % | 0.63 | % | 1.58 | % | 3.91 | % (2) | 02/01/90 | (3) | ||||||||||||||
TCW Total Return Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 9.65 | (1.66 | )% | (0.05 | )% | 1.82 | % | 5.72 | % | 6.27 | % | 06/17/93 | |||||||||||||||
N Class | $ | 9.95 | (1.75 | )% | (0.38 | )% | 1.51 | % | 5.41 | % | 5.70 | % | 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
Table of Contents
Schedule of Investments (Unaudited)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 102.0% of Net Assets |
| |||||||||||
CORPORATE BONDS — 34.2% | ||||||||||||
Aerospace/Defense — 0.7% | ||||||||||||
L3 Technologies, Inc. |
| |||||||||||
5.20% | 10/15/19 | $ | 3,202,000 | $ | 3,291,554 | |||||||
Northrop Grumman Corp. |
| |||||||||||
3.25% | 01/15/28 | 2,605,000 | 2,446,961 | |||||||||
United Technologies Corp. |
| |||||||||||
1.78% | 05/04/18 | 5,850,000 | 5,849,774 | |||||||||
|
| |||||||||||
11,588,289 | ||||||||||||
|
| |||||||||||
Agriculture — 0.4% | ||||||||||||
Bat Capital Corp. |
| |||||||||||
2.30% (1) | 08/14/20 | 1,500,000 | 1,468,379 | |||||||||
BAT International Finance PLC (United Kingdom) |
| |||||||||||
1.85% (1) | 06/15/18 | 5,000,000 | 4,995,661 | |||||||||
|
| |||||||||||
6,464,040 | ||||||||||||
|
| |||||||||||
Airlines — 0.4% | ||||||||||||
America West Airlines, Inc. Pass-Through Certificates, (01-1) (EETC) |
| |||||||||||
7.10% | 10/02/22 | 1,496,823 | 1,591,273 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates, (00-2-A1) (EETC) |
| |||||||||||
7.71% | 10/02/22 | 15,662 | 16,614 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates, (07-1-A) (EETC) |
| |||||||||||
5.98% | 10/19/23 | 911,761 | 972,029 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates, (09-2-A1) (EETC) |
| |||||||||||
7.25% | 05/10/21 | 630,096 | 663,176 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates, (99-1-A) (EETC) |
| |||||||||||
6.55% | 08/02/20 | 273,015 | 275,745 | |||||||||
Northwest Airlines LLC Pass-Through Certificates, (01-1-A1) (EETC) |
| |||||||||||
7.04% | 10/01/23 | 456,886 | 507,418 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (12-1A) (EETC) |
| |||||||||||
5.90% | 04/01/26 | 1,762,900 | 1,909,498 | |||||||||
US Airways Group, Inc. Pass-Through Certificates, (10-1A) (EETC) |
| |||||||||||
6.25% | 10/22/24 | 411,065 | 445,255 | |||||||||
US Airways Group, Inc. Pass-Through Certificates, (12-2-A) (EETC) |
| |||||||||||
4.63% | 12/03/26 | 714,348 | 734,311 | |||||||||
|
| |||||||||||
7,115,319 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 0.6% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.24% | 06/15/18 | 2,000,000 | 1,999,413 | |||||||||
8.13% | 01/15/20 | 1,375,000 | 1,484,471 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Auto Manufacturers (Continued) | ||||||||||||
General Motors Co. |
| |||||||||||
6.60% | 04/01/36 | $ | 1,680,000 | $ | 1,890,644 | |||||||
General Motors Financial Co., Inc. |
| |||||||||||
2.40% | 05/09/19 | 555,000 | 553,700 | |||||||||
3.10% | 01/15/19 | 3,500,000 | 3,507,118 | |||||||||
|
| |||||||||||
9,435,346 | ||||||||||||
|
| |||||||||||
Banks — 11.9% | ||||||||||||
Bank of America Corp. |
| |||||||||||
2.37% (3 mo. USD LIBOR + 0.660%) (2) | 07/21/21 | 1,030,000 | 1,010,751 | |||||||||
2.60% | 01/15/19 | 217,000 | 216,983 | |||||||||
2.74% (3) | 01/23/22 | 4,400,000 | 4,329,293 | |||||||||
3.00% (3 mo. USD LIBOR + 1.790%) (1)(2) | 12/20/23 | 4,531,000 | 4,399,837 | |||||||||
3.09% (3 mo. USD LIBOR + 1.090%) (2) | 10/01/25 | 2,560,000 | 2,440,743 | |||||||||
3.71% (3 mo. USD LIBOR + 1.512%) (2) | 04/24/28 | 6,900,000 | 6,666,083 | |||||||||
4.13% | 01/22/24 | 2,675,000 | 2,740,292 | |||||||||
5.65% | 05/01/18 | 5,930,000 | 5,929,988 | |||||||||
Bank of New York Mellon Corp. (The) |
| |||||||||||
2.30% | 09/11/19 | 5,000,000 | 4,970,370 | |||||||||
Capital One N.A. |
| |||||||||||
2.35% | 08/17/18 | 2,450,000 | 2,449,286 | |||||||||
Citibank NA |
| |||||||||||
3.05% | 05/01/20 | 4,415,000 | 4,413,564 | |||||||||
Citigroup, Inc. |
| |||||||||||
2.05% | 12/07/18 | 9,500,000 | 9,469,992 | |||||||||
2.50% | 09/26/18 | 4,000,000 | 4,000,094 | |||||||||
2.50% | 07/29/19 | 3,700,000 | 3,685,447 | |||||||||
6.13% | 05/15/18 | 5,450,000 | 5,457,556 | |||||||||
8.50% | 05/22/19 | 1,615,000 | 1,711,216 | |||||||||
Discover Bank |
| |||||||||||
2.60% | 11/13/18 | 2,000,000 | 1,998,407 | |||||||||
4.20% | 08/08/23 | 1,500,000 | 1,519,258 | |||||||||
7.00% | 04/15/20 | 1,495,000 | 1,591,305 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.55% | 10/23/19 | 3,000,000 | 2,984,941 | |||||||||
2.63% | 01/31/19 | 5,000,000 | 5,001,806 | |||||||||
2.63% | 04/25/21 | 1,000,000 | 980,736 | |||||||||
3.81% (3 mo. USD LIBOR + 1.158%) (2) | 04/23/29 | 1,760,000 | 1,685,362 | |||||||||
3.85% | 07/08/24 | 2,435,000 | 2,423,196 | |||||||||
6.00% | 06/15/20 | 50,000 | 52,935 | |||||||||
7.50% | 02/15/19 | 4,378,000 | 4,543,493 | |||||||||
HBOS PLC (United Kingdom) |
| |||||||||||
6.75% (1) | 05/21/18 | 4,000,000 | 4,008,402 |
See accompanying notes to financial statements.
4
Table of Contents
TCW Core Fixed Income Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Banks (Continued) | ||||||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.70% | 05/18/23 | $ | 2,100,000 | $ | 2,013,288 | |||||||
3.22% (3 mo. USD LIBOR + 1.155%) (2) | 03/01/25 | 3,250,000 | 3,137,948 | |||||||||
3.51% (3 mo. USD LIBOR + 0.945%) (2) | 01/23/29 | 3,500,000 | 3,319,315 | |||||||||
3.90% | 07/15/25 | 5,110,000 | 5,087,138 | |||||||||
JPMorgan Chase Bank NA |
| |||||||||||
2.07% (3) | 02/13/20 | 7,040,000 | 7,046,290 | |||||||||
2.60% (3 mo. USD LIBOR + 0.028%) (2) | 02/01/21 | 7,005,000 | 6,953,345 | |||||||||
3.09% (3) | 04/26/21 | 2,260,000 | 2,260,455 | |||||||||
Lloyds Banking Group PLC (United Kingdom) |
| |||||||||||
2.91% (3 mo. USD LIBOR + 0.810%) (2) | 11/07/23 | 1,740,000 | 1,675,017 | |||||||||
Lloyds TSB Bank PLC (United Kingdom) |
| |||||||||||
5.80% (1) | 01/13/20 | 850,000 | 887,679 | |||||||||
Macquarie Bank, Ltd. (Australia) |
| |||||||||||
2.35% (1) | 01/15/19 | 3,250,000 | 3,241,002 | |||||||||
Morgan Stanley |
| |||||||||||
2.63% (3 mo. USD LIBOR + 0.800%) (2) | 02/14/20 | 3,000,000 | 3,010,969 | |||||||||
3.29% (3 mo. USD LIBOR + 0.930%) (2) | 07/22/22 | 5,000,000 | 5,062,269 | |||||||||
3.77% (3 mo. USD LIBOR + 1.114%) (2) | 01/24/29 | 1,760,000 | 1,693,650 | |||||||||
5.63% | 09/23/19 | 2,750,000 | 2,853,213 | |||||||||
7.30% | 05/13/19 | 10,470,000 | 10,946,282 | |||||||||
PNC Bank NA |
| |||||||||||
2.25% | 07/02/19 | 2,000,000 | 1,988,667 | |||||||||
3.80% | 07/25/23 | 3,500,000 | 3,522,015 | |||||||||
Santander UK Group Holdings PLC |
| |||||||||||
3.37% (3 mo. USD LIBOR + 1.080%) (2) | 01/05/24 | 2,680,000 | 2,601,803 | |||||||||
Santander UK PLC (United Kingdom) |
| |||||||||||
2.50% | 03/14/19 | 3,250,000 | 3,243,555 | |||||||||
UBS AG (Switzerland) |
| |||||||||||
2.30% (3 mo. USD LIBOR + 0.32%) (1)(2) | 05/28/19 | 3,305,000 | 3,309,862 | |||||||||
Wells Fargo & Co. |
| |||||||||||
2.60% | 07/22/20 | 2,355,000 | 2,329,946 | |||||||||
2.63% | 07/22/22 | 2,000,000 | 1,921,737 | |||||||||
3.00% | 04/22/26 | 10,450,000 | 9,667,295 | |||||||||
3.55% | 09/29/25 | 925,000 | 895,620 | |||||||||
Wells Fargo Bank N.A. |
| |||||||||||
2.40% | 01/15/20 | 15,000,000 | 14,869,890 | |||||||||
|
| |||||||||||
194,219,586 | ||||||||||||
|
| |||||||||||
Beverages — 0.3% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. |
| |||||||||||
3.65% | 02/01/26 | 1,000,000 | 980,015 | |||||||||
4.90% | 02/01/46 | 2,485,000 | 2,591,869 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Beverages (Continued) | ||||||||||||
Constellation Brands, Inc. |
| |||||||||||
3.88% | 11/15/19 | $ | 2,000,000 | $ | 2,025,503 | |||||||
|
| |||||||||||
5,597,387 | ||||||||||||
|
| |||||||||||
Biotechnology — 0.9% | ||||||||||||
Amgen, Inc. |
| |||||||||||
2.13% | 05/01/20 | 1,500,000 | 1,471,141 | |||||||||
2.20% | 05/22/19 | 1,000,000 | 995,469 | |||||||||
4.40% | 05/01/45 | 1,870,000 | 1,826,446 | |||||||||
4.66% | 06/15/51 | 1,402,000 | 1,405,834 | |||||||||
Baxalta, Inc. |
| |||||||||||
2.88% | 06/23/20 | 2,000,000 | 1,980,342 | |||||||||
Biogen, Inc. |
| |||||||||||
5.20% | 09/15/45 | 1,168,000 | 1,238,154 | |||||||||
Celgene Corp. |
| |||||||||||
3.90% | 02/20/28 | 2,500,000 | 2,419,234 | |||||||||
5.00% | 08/15/45 | 2,200,000 | 2,248,499 | |||||||||
Gilead Sciences, Inc. |
| |||||||||||
4.15% | 03/01/47 | 1,000,000 | 954,736 | |||||||||
|
| |||||||||||
14,539,855 | ||||||||||||
|
| |||||||||||
Chemicals — 0.1% | ||||||||||||
Dow Chemical Co. (The) |
| |||||||||||
8.55% | 05/15/19 | 1,000,000 | 1,057,844 | |||||||||
|
| |||||||||||
Computers — 0.2% | ||||||||||||
Dell International LLC / EMC Corp. |
| |||||||||||
3.48% (1) | 06/01/19 | 3,500,000 | 3,508,771 | |||||||||
|
| |||||||||||
Diversified Financial Services — 1.3% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
4.50% | 05/15/21 | 1,840,000 | 1,888,300 | |||||||||
AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust (Netherlands) |
| |||||||||||
5.00% | 10/01/21 | 640,000 | 666,560 | |||||||||
Air Lease Corp. |
| |||||||||||
4.75% | 03/01/20 | 3,395,000 | 3,484,613 | |||||||||
American Express Credit Corp. |
| |||||||||||
2.20% | 03/03/20 | 2,650,000 | 2,617,289 | |||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland) |
| |||||||||||
4.42% | 11/15/35 | 425,000 | 407,726 | |||||||||
International Lease Finance Corp. |
| |||||||||||
6.25% | 05/15/19 | 1,500,000 | 1,549,602 | |||||||||
7.13% (1) | 09/01/18 | 4,000,000 | 4,055,000 | |||||||||
Protective Life Global Funding |
| |||||||||||
1.72% (1) | 04/15/19 | 4,000,000 | 3,964,974 | |||||||||
2.60% (3 mo. USD LIBOR + 0.550%) (1)(2) | 06/08/18 | 2,875,000 | 2,874,845 | |||||||||
|
| |||||||||||
21,508,909 | ||||||||||||
|
|
See accompanying notes to financial statements.
5
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Electric — 3.0% | ||||||||||||
Appalachian Power Co. |
| |||||||||||
3.30% | 06/01/27 | $ | 750,000 | $ | 721,005 | |||||||
4.45% | 06/01/45 | 750,000 | 769,949 | |||||||||
Black Hills Corp. |
| |||||||||||
2.50% | 01/11/19 | 1,900,000 | 1,896,466 | |||||||||
Dominion Energy, Inc. |
| |||||||||||
2.41% (3 mo. USD LIBOR + 0.40%) (1)(2) | 12/01/20 | 5,000,000 | 5,004,775 | |||||||||
Duke Energy Florida LLC |
| |||||||||||
2.10% | 12/15/19 | 2,275,000 | 2,262,563 | |||||||||
Duke Energy Progress LLC |
| |||||||||||
3.70% | 10/15/46 | 2,800,000 | 2,618,245 | |||||||||
El Paso Electric Co. |
| |||||||||||
3.30% | 12/15/22 | 2,250,000 | 2,218,014 | |||||||||
Emera US Finance LP |
| |||||||||||
2.15% | 06/15/19 | 3,684,000 | 3,649,608 | |||||||||
Entergy Mississippi, Inc. |
| |||||||||||
3.10% | 07/01/23 | 3,000,000 | 2,901,531 | |||||||||
FirstEnergy Transmission LLC |
| |||||||||||
4.35% (1) | 01/15/25 | 1,585,000 | 1,612,789 | |||||||||
Indiana Michigan Power Co. |
| |||||||||||
4.55% | 03/15/46 | 1,000,000 | 1,058,328 | |||||||||
ITC Holdings Corp. |
| |||||||||||
3.25% | 06/30/26 | 4,000,000 | 3,771,016 | |||||||||
Kansas City Power & Light Co. |
| |||||||||||
3.15% | 03/15/23 | 4,000,000 | 3,911,784 | |||||||||
KCP&L Greater Missouri Operations Co. |
| |||||||||||
8.27% | 11/15/21 | 1,100,000 | 1,260,557 | |||||||||
Metropolitan Edison Co. |
| |||||||||||
3.50% (1) | 03/15/23 | 3,300,000 | 3,282,684 | |||||||||
MidAmerican Energy Co. |
| |||||||||||
5.80% | 10/15/36 | 1,800,000 | 2,211,823 | |||||||||
Niagara Mohawk Power Corp. |
| |||||||||||
2.72% (1) | 11/28/22 | 1,000,000 | 965,058 | |||||||||
Public Service Co. of New Mexico |
| |||||||||||
7.95% | 05/15/18 | 2,545,000 | 2,549,821 | |||||||||
Public Service Co. of Oklahoma |
| |||||||||||
4.40% | 02/01/21 | 2,000,000 | 2,067,964 | |||||||||
Puget Energy, Inc. |
| |||||||||||
6.00% | 09/01/21 | 1,980,000 | 2,126,312 | |||||||||
Southwestern Electric Power Co. |
| |||||||||||
6.45% | 01/15/19 | 1,000,000 | 1,026,405 | |||||||||
Tucson Electric Power Co. |
| |||||||||||
5.15% | 11/15/21 | 1,000,000 | 1,046,856 | |||||||||
|
| |||||||||||
48,933,553 | ||||||||||||
|
| |||||||||||
Energy-Alternate Sources — 0.1% | ||||||||||||
Alta Wind Holdings LLC |
| |||||||||||
7.00% (1)(4)(5) | 06/30/35 | 1,029,770 | 1,133,551 | |||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Environmental Control — 0.2% | ||||||||||||
Republic Services, Inc. |
| |||||||||||
2.90% | 07/01/26 | $ | 2,075,000 | $ | 1,932,367 | |||||||
3.80% | 05/15/18 | 2,000,000 | 2,001,027 | |||||||||
|
| |||||||||||
3,933,394 | ||||||||||||
|
| |||||||||||
Food — 0.7% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.00% | 06/01/26 | 875,000 | 795,748 | |||||||||
3.95% | 07/15/25 | 1,850,000 | 1,825,266 | |||||||||
4.38% | 06/01/46 | 1,700,000 | 1,525,688 | |||||||||
5.38% | 02/10/20 | 143,000 | 148,428 | |||||||||
6.13% | 08/23/18 | 3,000,000 | 3,033,015 | |||||||||
Mondelez International Holdings Netherlands BV |
| |||||||||||
2.00% (1) | 10/28/21 | 1,000,000 | 952,171 | |||||||||
2.97% (3 mo. USD LIBOR + 0.610%) (1)(2) | 10/28/19 | 2,400,000 | 2,411,106 | |||||||||
|
| |||||||||||
10,691,422 | ||||||||||||
|
| |||||||||||
Forest Products & Paper — 0.2% | ||||||||||||
Georgia-Pacific LLC |
| |||||||||||
2.54% (1) | 11/15/19 | 4,000,000 | 3,971,728 | |||||||||
|
| |||||||||||
Gas — 0.3% | ||||||||||||
CenterPoint Energy Resources Corp. |
| |||||||||||
6.25% | 02/01/37 | 1,750,000 | 2,163,655 | |||||||||
KeySpan Gas East Corp. |
| |||||||||||
5.82% (1) | 04/01/41 | 1,686,000 | 2,062,758 | |||||||||
NiSource Finance Corp. |
| |||||||||||
6.80% | 01/15/19 | 62,000 | 63,730 | |||||||||
|
| |||||||||||
4,290,143 | ||||||||||||
|
| |||||||||||
Healthcare-Products — 0.7% | ||||||||||||
Abbott Laboratories |
| |||||||||||
2.35% | 11/22/19 | 2,678,000 | 2,649,856 | |||||||||
Becton Dickinson and Co. |
| |||||||||||
2.94% (3) | 12/29/20 | 4,000,000 | 4,010,577 | |||||||||
Thermo Fisher Scientific, Inc. |
| |||||||||||
2.40% | 02/01/19 | 4,000,000 | 4,010,500 | |||||||||
|
| |||||||||||
10,670,933 | ||||||||||||
|
| |||||||||||
Healthcare-Services — 2.3% | ||||||||||||
Aetna, Inc. |
| |||||||||||
1.70% | 06/07/18 | 4,300,000 | 4,297,208 | |||||||||
Anthem, Inc. |
| |||||||||||
2.30% | 07/15/18 | 1,360,000 | 1,359,645 | |||||||||
2.50% | 11/21/20 | 1,500,000 | 1,473,880 | |||||||||
3.65% | 12/01/27 | 2,620,000 | 2,497,005 | |||||||||
Cigna Corp. |
| |||||||||||
3.05% | 10/15/27 | 2,580,000 | 2,338,886 | |||||||||
Fresenius Medical Care US Finance II, Inc. |
| |||||||||||
5.63% (1) | 07/31/19 | 5,115,000 | 5,263,381 |
See accompanying notes to financial statements.
6
Table of Contents
TCW Core Fixed Income Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Healthcare-Services (Continued) | ||||||||||||
Hartford HealthCare Corp. |
| |||||||||||
5.75% | 04/01/44 | $ | 2,545,000 | $ | 2,968,102 | |||||||
Humana, Inc. |
| |||||||||||
2.63% | 10/01/19 | 2,000,000 | 1,992,353 | |||||||||
Kaiser Foundation Hospitals |
| |||||||||||
4.15% | 05/01/47 | 675,000 | 682,885 | |||||||||
New York and Presbyterian Hospital (The) |
| |||||||||||
3.56% | 08/01/36 | 4,105,000 | 3,932,278 | |||||||||
NYU Hospitals Center |
| |||||||||||
4.43% | 07/01/42 | 3,000,000 | 3,095,302 | |||||||||
Saint Barnabas Health Care System |
| |||||||||||
4.00% | 07/01/28 | 3,290,000 | 3,267,489 | |||||||||
Sutter Health |
| |||||||||||
2.29% | 08/15/53 | 2,270,000 | 2,258,650 | |||||||||
UnitedHealth Group, Inc. |
| |||||||||||
4.63% | 07/15/35 | 1,305,000 | 1,397,328 | |||||||||
|
| |||||||||||
36,824,392 | ||||||||||||
|
| |||||||||||
Insurance — 0.5% | ||||||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
4.40% | 05/15/42 | 500,000 | 518,927 | |||||||||
Farmers Exchange Capital |
| |||||||||||
7.20% (1) | 07/15/48 | 1,625,000 | 2,010,222 | |||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% (3 mo. USD LIBOR + 3.744%) (1)(2) | 11/01/53 | 2,250,000 | 2,473,035 | |||||||||
MetLife, Inc. |
| |||||||||||
4.37% | 09/15/23 | 800,000 | 828,264 | |||||||||
5.70% | 06/15/35 | 300,000 | 355,166 | |||||||||
Pricoa Global Funding I |
| |||||||||||
1.60% (1) | 05/29/18 | 1,000,000 | 999,560 | |||||||||
Prudential Financial, Inc. |
| |||||||||||
4.50% | 11/15/20 | 1,000,000 | 1,032,217 | |||||||||
|
| |||||||||||
8,217,391 | ||||||||||||
|
| |||||||||||
Internet — 0.2% | ||||||||||||
Amazon.com, Inc. |
| |||||||||||
3.15% (1) | 08/22/27 | 2,600,000 | 2,500,880 | |||||||||
|
| |||||||||||
Media — 0.5% | ||||||||||||
CBS Corp. |
| |||||||||||
3.70% (1) | 06/01/28 | 2,605,000 | 2,447,336 | |||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
3.75% | 02/15/28 | 3,469,000 | 3,171,121 | |||||||||
NBCUniversal Media LLC |
| |||||||||||
5.15% | 04/30/20 | 200,000 | 208,156 | |||||||||
Time Warner Cable LLC |
| |||||||||||
6.75% | 07/01/18 | 2,501,000 | 2,516,069 | |||||||||
|
| |||||||||||
8,342,682 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Mining — 0.0% | ||||||||||||
Southern Copper Corp. (Peru) |
| |||||||||||
7.50% | 07/27/35 | $ | 300,000 | $ | 382,647 | |||||||
|
| |||||||||||
Miscellaneous Manufacturers — 0.4% | ||||||||||||
General Electric Capital Corp. |
| |||||||||||
2.32% (3 mo. USD LIBOR + 0.480%) (2) | 08/15/36 | 3,315,000 | 2,826,230 | |||||||||
3.15% | 09/07/22 | 287,000 | 282,086 | |||||||||
Siemens Financieringsmaatschappij NV (Netherlands) |
| |||||||||||
1.70% (1) | 09/15/21 | 2,868,000 | 2,740,220 | |||||||||
|
| |||||||||||
5,848,536 | ||||||||||||
|
| |||||||||||
Oil & Gas — 0.1% | ||||||||||||
Shell International Finance BV (Netherlands) |
| |||||||||||
4.38% | 05/11/45 | 1,250,000 | 1,293,359 | |||||||||
|
| |||||||||||
Packaging & Containers — 0.2% | ||||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
3.63% (1) | 04/28/26 | 1,500,000 | 1,417,430 | |||||||||
WestRock MWV LLC |
| |||||||||||
7.38% | 09/01/19 | 2,000,000 | 2,109,571 | |||||||||
|
| |||||||||||
3,527,001 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 1.4% | ||||||||||||
AbbVie, Inc. |
| |||||||||||
1.80% | 05/14/18 | 1,500,000 | 1,499,773 | |||||||||
4.70% | 05/14/45 | 50,000 | 49,721 | |||||||||
Actavis Funding SCS (Luxembourg) |
| |||||||||||
3.80% | 03/15/25 | 1,000,000 | 962,471 | |||||||||
4.55% | 03/15/35 | 1,150,000 | 1,086,092 | |||||||||
Actavis, Inc. |
| |||||||||||
3.25% | 10/01/22 | 1,016,000 | 988,520 | |||||||||
AstraZeneca PLC (United Kingdom) |
| |||||||||||
3.13% | 06/12/27 | 1,700,000 | 1,607,088 | |||||||||
Bayer US Finance LLC |
| |||||||||||
2.38% (1) | 10/08/19 | 3,500,000 | 3,464,515 | |||||||||
CVS Health Corp. |
| |||||||||||
3.88% | 07/20/25 | 3,920,000 | 3,859,430 | |||||||||
5.05% | 03/25/48 | 4,210,000 | 4,293,381 | |||||||||
Pfizer, Inc. |
| |||||||||||
4.40% | 05/15/44 | 1,282,000 | 1,334,339 | |||||||||
Shire Acquisitions Investments Ireland DAC (Ireland) |
| |||||||||||
1.90% | 09/23/19 | 3,835,000 | 3,768,557 | |||||||||
|
| |||||||||||
22,913,887 | ||||||||||||
|
| |||||||||||
Pipelines — 1.5% | ||||||||||||
Enbridge Energy Partners LP |
| |||||||||||
5.88% | 10/15/25 | 1,000,000 | 1,091,424 | |||||||||
Energy Transfer Partners LP |
| |||||||||||
5.95% | 10/01/43 | 1,500,000 | 1,499,818 |
See accompanying notes to financial statements.
7
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Pipelines (Continued) | ||||||||||||
Florida Gas Transmission Co. LLC |
| |||||||||||
7.90% (1) | 05/15/19 | $ | 1,250,000 | $ | 1,310,784 | |||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
5.80% | 03/15/35 | 850,000 | 902,525 | |||||||||
Panhandle Eastern Pipe Line Co. LP |
| |||||||||||
7.00% | 06/15/18 | 675,000 | 678,414 | |||||||||
8.13% | 06/01/19 | 825,000 | 866,320 | |||||||||
Plains All American Pipeline LP / PAA Finance Corp. |
| |||||||||||
4.65% | 10/15/25 | 2,300,000 | 2,304,955 | |||||||||
Ruby Pipeline LLC |
| |||||||||||
6.00% (1) | 04/01/22 | 2,100,758 | 2,177,040 | |||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.63% | 03/01/25 | 2,000,000 | 2,134,375 | |||||||||
Southern Natural Gas Co. LLC |
| |||||||||||
7.35% | 02/15/31 | 2,590,000 | 3,157,121 | |||||||||
TC PipeLines LP |
| |||||||||||
4.38% | 03/13/25 | 2,000,000 | 2,000,772 | |||||||||
Tennessee Gas Pipeline Co. |
| |||||||||||
8.38% | 06/15/32 | 2,090,000 | 2,686,725 | |||||||||
Texas Eastern Transmission LP |
| |||||||||||
2.80% (1) | 10/15/22 | 1,000,000 | 953,631 | |||||||||
TransCanada PipeLines, Ltd. (Canada) |
| |||||||||||
6.10% | 06/01/40 | 375,000 | 444,288 | |||||||||
Williams Partners LP |
| |||||||||||
3.90% | 01/15/25 | 1,000,000 | 972,255 | |||||||||
6.30% | 04/15/40 | 1,250,000 | 1,415,108 | |||||||||
|
| |||||||||||
24,595,555 | ||||||||||||
|
| |||||||||||
REIT — 2.8% | ||||||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||||||
4.60% | 04/01/22 | 2,250,000 | 2,323,580 | |||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.35% | 10/01/20 | 2,000,000 | 1,996,150 | |||||||||
American Tower Corp. |
| |||||||||||
3.00% | 06/15/23 | 1,745,000 | 1,674,709 | |||||||||
3.40% | 02/15/19 | 2,610,000 | 2,621,866 | |||||||||
AvalonBay Communities, Inc. |
| |||||||||||
3.95% | 01/15/21 | 1,000,000 | 1,017,223 | |||||||||
Boston Properties LP |
| |||||||||||
3.20% | 01/15/25 | 1,745,000 | 1,660,418 | |||||||||
5.88% | 10/15/19 | 2,200,000 | 2,281,566 | |||||||||
CC Holdings GS V LLC / Crown Castle GS III Corp. |
| |||||||||||
3.85% | 04/15/23 | 2,065,000 | 2,059,766 | |||||||||
HCP, Inc. |
| |||||||||||
3.75% | 02/01/19 | 3,430,000 | 3,448,170 | |||||||||
3.88% | 08/15/24 | 2,295,000 | 2,253,379 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.75% | 04/15/23 | 2,000,000 | 1,970,576 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
REIT (Continued) | ||||||||||||
Host Hotels & Resorts LP |
| |||||||||||
5.25% | 03/15/22 | $ | 2,000,000 | $ | 2,088,732 | |||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 2,590,000 | 2,511,919 | |||||||||
SL Green Realty Corp. |
| |||||||||||
5.00% | 08/15/18 | 2,440,000 | 2,446,337 | |||||||||
7.75% | 03/15/20 | 1,000,000 | 1,078,031 | |||||||||
Ventas Realty LP |
| |||||||||||
3.85% | 04/01/27 | 750,000 | 720,346 | |||||||||
Ventas Realty LP / Ventas Capital Corp. |
| |||||||||||
2.70% | 04/01/20 | 2,850,000 | 2,820,526 | |||||||||
VEREIT Operating Partnership LP |
| |||||||||||
3.00% | 02/06/19 | 828,000 | 826,845 | |||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC |
| |||||||||||
3.25% (1) | 10/05/20 | 5,000,000 | 4,979,438 | |||||||||
Welltower, Inc. |
| |||||||||||
3.75% | 03/15/23 | 605,000 | 604,090 | |||||||||
4.95% | 01/15/21 | 545,000 | 563,939 | |||||||||
6.13% | 04/15/20 | 3,400,000 | 3,582,399 | |||||||||
|
| |||||||||||
45,530,005 | ||||||||||||
|
| |||||||||||
Retail — 0.4% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
3.55% (1) | 07/26/27 | 3,535,000 | 3,354,741 | |||||||||
Walgreens Boots Alliance, Inc. |
| |||||||||||
2.70% | 11/18/19 | 3,000,000 | 2,989,564 | |||||||||
|
| |||||||||||
6,344,305 | ||||||||||||
|
| |||||||||||
Semiconductors — 0.2% | ||||||||||||
Broadcom Corp. / Broadcom Cayman Finance, Ltd. |
| |||||||||||
2.38% | 01/15/20 | 4,000,000 | 3,946,102 | |||||||||
|
| |||||||||||
Software — 0.2% | ||||||||||||
Microsoft Corp. |
| |||||||||||
2.88% | 02/06/24 | 1,700,000 | 1,657,050 | |||||||||
Oracle Corp. |
| |||||||||||
3.25% | 11/15/27 | 1,745,000 | 1,682,868 | |||||||||
|
| |||||||||||
3,339,918 | ||||||||||||
|
| |||||||||||
Telecommunications — 1.5% | ||||||||||||
AT&T, Inc. |
| |||||||||||
4.13% | 02/17/26 | 1,400,000 | 1,386,815 | |||||||||
4.35% | 06/15/45 | 1,500,000 | 1,324,393 | |||||||||
4.45% | 04/01/24 | 1,500,000 | 1,538,298 | |||||||||
4.50% | 03/09/48 | 970,000 | 872,590 | |||||||||
4.75% | 05/15/46 | 3,000,000 | 2,804,507 | |||||||||
5.25% | 03/01/37 | 3,435,000 | 3,519,092 | |||||||||
Qwest Corp. |
| |||||||||||
7.25% | 09/15/25 | 1,000,000 | 1,077,287 |
See accompanying notes to financial statements.
8
Table of Contents
TCW Core Fixed Income Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Telecommunications (Continued) | ||||||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
4.74% (1) | 03/20/25 | $ | 2,525,000 | $ | 2,556,563 | |||||||
Verizon Communications, Inc. |
| |||||||||||
3.00% | 11/01/21 | 1,526,000 | 1,513,114 | |||||||||
4.27% | 01/15/36 | 1,439,000 | 1,364,080 | |||||||||
4.52% | 09/15/48 | 600,000 | 558,682 | |||||||||
4.81% | 03/15/39 | 985,000 | 978,297 | |||||||||
4.86% | 08/21/46 | 3,500,000 | 3,446,359 | |||||||||
5.01% | 04/15/49 | 150,000 | 149,998 | |||||||||
5.25% | 03/16/37 | 1,500,000 | 1,578,701 | |||||||||
|
| |||||||||||
24,668,776 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds | ||||||||||||
(Cost: $560,109,284) |
| 556,935,506 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS —1.2% |
| |||||||||||
Alabama Economic Settlement Authority, Revenue Bond |
| |||||||||||
3.16% | 09/15/25 | 4,170,000 | 4,155,322 | |||||||||
City of New York, General Obligation |
| |||||||||||
5.05% | 10/01/24 | 1,500,000 | 1,605,945 | |||||||||
5.52% | 10/01/37 | 1,250,000 | 1,510,612 | |||||||||
Fiscal Year 2005 Securitization Corp., Special Obligation Bond for the City of New York |
| |||||||||||
4.93% | 04/01/20 | 445,000 | 453,010 | |||||||||
Los Angeles Unified School District/CA, General Obligation |
| |||||||||||
5.76% | 07/01/29 | 2,500,000 | 2,934,525 | |||||||||
New York State Dormitory Authority, Revenue Bond |
| |||||||||||
5.50% | 03/15/30 | 2,480,000 | 2,808,823 | |||||||||
New York State, Build America Bonds, General Obligation |
| |||||||||||
5.82% | 10/01/31 | 730,000 | 777,487 | |||||||||
State of California, General Obligation |
| |||||||||||
7.95% | 03/01/36 | 3,000,000 | 3,256,680 | |||||||||
State of Oregon, General Obligation |
| |||||||||||
5.76% | 06/01/23 | 2,267,167 | 2,450,308 | |||||||||
|
| |||||||||||
Total Municipal Bonds | ||||||||||||
(Cost: $20,167,756) |
| 19,952,712 | ||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 6.0% |
| |||||||||||
321 Henderson Receivables I LLC (13-3A-A) |
| |||||||||||
4.08% (1) | 01/17/73 | 1,625,002 | 1,646,240 | |||||||||
321 Henderson Receivables I LLC (14-2A-A) |
| |||||||||||
3.61% (1) | 01/17/73 | 1,899,428 | 1,839,168 | |||||||||
Academic Loan Funding Trust (12-1A-A2) |
| |||||||||||
3.00% (1 mo. USD LIBOR + 1.100%) (1)(2) | 12/27/44 | 2,736,171 | 2,745,938 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
Babson CLO, Ltd. (14-IIA-AR) |
| |||||||||||
3.50% (3 mo. USD LIBOR + 1.150%) (1)(2) | 10/17/26 | $ | 500,000 | $ | 500,786 | |||||||
Brazos Education Loan Authority, Inc. (12-1-A1) |
| |||||||||||
2.60% (1 mo. USD LIBOR + 0.700%) (2) | 12/26/35 | 1,056,850 | 1,055,815 | |||||||||
Brazos Higher Education Authority, Inc. (06-2-A9) |
| |||||||||||
0.00% (3) | 12/26/24 | 180,014 | 180,454 | |||||||||
Brazos Higher Education Authority, Inc. (10-1-A2) |
| |||||||||||
3.14% (3 mo. USD LIBOR + 1.200%) (2) | 02/25/35 | 675,000 | 689,964 | |||||||||
Brazos Higher Education Authority, Inc. (11-1-A3) |
| |||||||||||
2.99% (3 mo. USD LIBOR + 1.050%) (2) | 11/25/33 | 1,695,000 | 1,730,769 | |||||||||
Dryden XXVI Senior Loan Fund (13-26A-AR) |
| |||||||||||
3.25% (1)(3) | 04/15/29 | 800,000 | 800,785 | |||||||||
Educational Funding of the South, Inc. (11-1-A2) |
| |||||||||||
3.01% (3 mo. USD LIBOR + 0.650%) (2) | 04/25/35 | 1,639,354 | 1,641,253 | |||||||||
Educational Services of America, Inc. (12-2-A) |
| |||||||||||
2.63% (1 mo. USD LIBOR + 0.730%) (1)(2) | 04/25/39 | 787,570 | 789,748 | |||||||||
GCO Education Loan Funding Master Trust (06-2AR-A1RN) |
| |||||||||||
2.52% (1 mo. USD LIBOR + 0.650%) (1)(2) | 08/27/46 | 2,838,433 | 2,798,751 | |||||||||
Global SC Finance SRL (14-1A-A2) |
| |||||||||||
3.09% (1) | 07/17/29 | 1,928,125 | 1,875,745 | |||||||||
Higher Education Funding I (14-1-A) |
| |||||||||||
2.99% (3 mo. USD LIBOR + 1.050%) (1)(2) | 05/25/34 | 2,695,551 | 2,716,664 | |||||||||
Magnetite XI, Ltd. (14-11A-A1R) |
| |||||||||||
3.48% (3 mo. USD LIBOR + 1.120%) (1)(2) | 01/18/27 | 3,400,000 | 3,405,372 | |||||||||
Magnetite XII, Ltd. (15-12A-AR) |
| |||||||||||
3.68% (3 mo. USD LIBOR + 1.330%) (1)(2) | 04/15/27 | 3,260,000 | 3,276,893 | |||||||||
Navient Student Loan Trust (14-2-A) |
| |||||||||||
2.54% (1 mo. USD LIBOR + 0.640%) (2) | 03/25/83 | 4,179,506 | 4,173,915 | |||||||||
Navient Student Loan Trust (14-3-A) |
| |||||||||||
2.52% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 4,220,114 | 4,218,861 | |||||||||
Navient Student Loan Trust (14-4-A) |
| |||||||||||
2.52% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 2,041,526 | 2,035,727 | |||||||||
Navient Student Loan Trust (16-1A-A) |
| |||||||||||
2.60% (1 mo. USD LIBOR + 0.700%) (1)(2) | 02/25/70 | 4,171,515 | 4,192,647 | |||||||||
Navient Student Loan Trust (17-3A-A3) |
| |||||||||||
2.95% (1 mo. USD LIBOR + 1.050%) (1)(2) | 07/26/66 | 4,400,000 | 4,496,256 |
See accompanying notes to financial statements.
9
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
Nelnet Student Loan Trust (11-1A-A) |
| |||||||||||
2.72% (1 mo. USD LIBOR + 0.850%) (1)(2) | 02/25/48 | $ | 2,437,578 | $ | 2,463,624 | |||||||
Nelnet Student Loan Trust (14-4A-A2) |
| |||||||||||
2.85% (1 mo. USD LIBOR + 0.950%) (1)(2) | 11/25/48 | 2,965,000 | 2,996,761 | |||||||||
Nelnet Student Loan Trust (15-2A-A2) |
| |||||||||||
2.50% (1 mo. USD LIBOR + 0.600%) (1)(2) | 09/25/47 | 4,883,554 | 4,880,687 | |||||||||
Octagon Investment Partners 25, Ltd. (15-1A-AR) |
| |||||||||||
3.16% (1)(3) | 10/20/26 | 4,500,000 | 4,499,130 | |||||||||
PHEAA Student Loan Trust (15-1A-A) |
| |||||||||||
2.50% (1 mo. USD LIBOR + 0.600%) (1)(2) | 10/25/41 | 2,156,808 | 2,134,676 | |||||||||
SLM Student Loan Trust (03-10A-A3) |
| |||||||||||
2.59% (3 mo. USD LIBOR + 0.550%) (1)(2) | 12/15/27 | 3,133,521 | 3,146,949 | |||||||||
SLM Student Loan Trust (06-2-A6) |
| |||||||||||
2.53% (3 mo. USD LIBOR + 0.170%) (2) | 01/25/41 | 3,400,000 | 3,320,068 | |||||||||
SLM Student Loan Trust (06-8-A6) |
| |||||||||||
2.52% (3 mo. USD LIBOR + 0.160%) (2) | 01/25/41 | 3,400,000 | 3,314,154 | |||||||||
SLM Student Loan Trust (07-6-A4) |
| |||||||||||
2.74% (3 mo. USD LIBOR + 0.380%) (2) | 10/25/24 | 2,922,522 | 2,926,550 | |||||||||
SLM Student Loan Trust (08-2-B) |
| |||||||||||
3.56% (3 mo. USD LIBOR + 1.200%) (2) | 01/25/83 | 710,000 | 700,139 | |||||||||
SLM Student Loan Trust (08-3-B) |
| |||||||||||
3.56% (3 mo. USD LIBOR + 1.200%) (2) | 04/26/83 | 710,000 | 698,106 | |||||||||
SLM Student Loan Trust (08-4-A4) |
| |||||||||||
4.01% (3 mo. USD LIBOR + 1.650%) (2) | 07/25/22 | 6,072,029 | 6,219,912 | |||||||||
SLM Student Loan Trust (08-4-B) |
| |||||||||||
4.21% (3 mo. USD LIBOR + 1.850%) (2) | 04/25/73 | 710,000 | 728,874 | |||||||||
SLM Student Loan Trust (08-5-B) |
| |||||||||||
4.21% (3 mo. USD LIBOR + 1.850%) (2) | 07/25/73 | 710,000 | 733,750 | |||||||||
SLM Student Loan Trust (08-6-B) |
| |||||||||||
4.21% (3 mo. USD LIBOR + 1.850%) (2) | 07/26/83 | 710,000 | 732,489 | |||||||||
SLM Student Loan Trust (08-7-B) |
| |||||||||||
4.21% (3 mo. USD LIBOR + 1.850%) (2) | 07/26/83 | 710,000 | 731,373 | |||||||||
SLM Student Loan Trust (08-8-B) |
| |||||||||||
4.61% (3 mo. USD LIBOR + 2.250%) (2) | 10/25/75 | 710,000 | 752,843 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
SLM Student Loan Trust (08-9-B) |
| |||||||||||
4.61% (3 mo. USD LIBOR + 2.250%) (2) | 10/25/83 | $ | 710,000 | $ | 750,103 | |||||||
SLM Student Loan Trust (09-3-A) |
| |||||||||||
2.65% (1 mo. USD LIBOR + 0.750%) (1)(2) | 01/25/45 | 3,799,844 | 3,833,681 | |||||||||
SLM Student Loan Trust (11-2-A2) |
| |||||||||||
3.10% (1 mo. USD LIBOR + 1.200%) (2) | 10/25/34 | 2,000,000 | 2,059,363 | |||||||||
SLM Student Loan Trust (12-7-A3) |
| |||||||||||
2.55% (1 mo. USD LIBOR + 0.650%) (2) | 05/26/26 | 2,537,499 | 2,521,118 | |||||||||
|
| |||||||||||
Total Asset-backed Securities |
| |||||||||||
(Cost: $94,926,037) |
| 96,956,101 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 4.1% |
| |||||||||||
Fannie Mae (14-M12-FA) (ACES) |
| |||||||||||
2.12% (1 mo. USD LIBOR + 0.300%) (2) | 10/25/21 | 919,701 | 920,782 | |||||||||
Fannie Mae, Pool #467944 |
| |||||||||||
4.25% | 04/01/21 | 3,045,000 | 3,144,963 | |||||||||
Fannie Mae, Pool #468048 |
| |||||||||||
4.41% | 05/01/21 | 1,727,242 | 1,782,426 | |||||||||
Fannie Mae, Pool #AE0134 |
| |||||||||||
4.40% | 02/01/20 | 2,305,000 | 2,356,101 | |||||||||
Fannie Mae, Pool #AE0918 |
| |||||||||||
3.67% | 10/01/20 | 2,688,318 | 2,733,100 | |||||||||
Fannie Mae, Pool #Al0151 |
| |||||||||||
4.38% | 04/01/21 | 1,238,539 | 1,277,287 | |||||||||
Fannie Mae, Pool #AM1551 |
| |||||||||||
2.44% | 12/01/23 | 2,247,655 | 2,180,402 | |||||||||
Fannie Mae, Pool #AM3058 |
| |||||||||||
3.41% | 04/01/28 | 3,462,937 | 3,456,676 | |||||||||
Fannie Mae, Pool #AM4198 |
| |||||||||||
3.55% | 03/01/24 | 3,471,165 | 3,572,639 | |||||||||
Fannie Mae, Pool #AM9536 |
| |||||||||||
3.34% | 08/01/30 | 3,004,132 | 2,960,288 | |||||||||
Fannie Mae, Pool #AM9793 |
| |||||||||||
3.12% | 10/01/27 | 3,265,000 | 3,189,311 | |||||||||
Fannie Mae, Pool #AN0245 |
| |||||||||||
3.42% | 11/01/35 | 2,268,234 | 2,253,940 | |||||||||
Fannie Mae, Pool #AN1282 |
| |||||||||||
3.01% | 04/01/28 | 3,512,000 | 3,424,163 | |||||||||
Fannie Mae, Pool #AN5742 |
| |||||||||||
3.19% | 05/01/30 | 3,431,492 | 3,325,014 | |||||||||
Fannie Mae, Pool #AN5977 |
| |||||||||||
3.49% | 02/01/33 | 3,000,000 | 2,964,438 | |||||||||
Fannie Mae, Pool #FN0000 |
| |||||||||||
3.59% | 09/01/20 | 1,889,054 | 1,917,519 |
See accompanying notes to financial statements.
10
Table of Contents
TCW Core Fixed Income Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #FN0001 |
| |||||||||||
3.76% | 12/01/20 | $ | 2,596,590 | $ | 2,643,555 | |||||||
Fannie Mae, Pool #FN0003 |
| |||||||||||
4.28% | 01/01/21 | 2,012,423 | 2,073,499 | |||||||||
Freddie Mac (Q004-A2H) |
| |||||||||||
2.70% (3) | 01/25/21 | 8,392,320 | 8,416,191 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KJ05-A1) |
| |||||||||||
1.42% | 05/25/21 | 6,116,093 | 5,992,945 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (Q006-A-PT2) |
| |||||||||||
2.50% (3) | 09/25/26 | 5,849,713 | 5,919,647 | |||||||||
NCUA Guaranteed Notes (11-C1-2A) |
| |||||||||||
2.41% (1 mo. USD LIBOR + 0.530%) (2) | 03/09/21 | 814,463 | 812,864 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $70,086,804) |
| 67,317,750 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 1.2% |
| |||||||||||
BBCMS Trust (13-TYSN-A2) |
| |||||||||||
3.76% (1) | 09/05/32 | 1,740,000 | 1,766,491 | |||||||||
CGRBS Commercial Mortgage Trust (13-VN05-A) |
| |||||||||||
3.37% (1) | 03/13/35 | 1,700,000 | 1,695,086 | |||||||||
COMM Mortgage Trust (13-300P-A1) |
| |||||||||||
4.35% (1) | 08/10/30 | 1,515,000 | 1,571,666 | |||||||||
COMM Mortgage Trust (14-277P-A) |
| |||||||||||
3.73% (1)(3) | 08/10/49 | 400,000 | 401,754 | |||||||||
COMM Mortgage Trust (16-787S-A) |
| |||||||||||
3.55% (1) | 02/10/36 | 1,635,000 | 1,608,206 | |||||||||
Commercial Mortgage Asset Trust (99-C2-G) |
| |||||||||||
6.00% | 11/17/32 | 234,870 | 234,920 | |||||||||
Core Industrial Trust (15-CALW-A) |
| |||||||||||
3.04% (1) | 02/10/34 | 1,450,000 | 1,440,060 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (11-C3-A3) |
| |||||||||||
4.39% (1) | 02/15/46 | 51,388 | 51,421 | |||||||||
OBP Depositor LLC Trust (10-OBP-A) |
| |||||||||||
4.65% (1) | 07/15/45 | 2,055,000 | 2,113,446 | |||||||||
RBS Commercial Funding, Inc. (13-GSP-A) |
| |||||||||||
3.96% (1)(3) | 01/13/32 | 1,555,000 | 1,564,767 | |||||||||
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A1) |
| |||||||||||
3.87% (1)(3) | 01/05/43 | 1,710,000 | 1,617,423 | |||||||||
VNDO Mortgage Trust (12-6AVE-A) |
| |||||||||||
3.00% (1) | 11/15/30 | 1,250,000 | 1,230,808 | |||||||||
VNDO Mortgage Trust (13-PENN-A) |
| |||||||||||
3.81% (1) | 12/13/29 | 1,675,000 | 1,700,225 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Wells Fargo Commercial Mortgage Trust (13-120B-A) (P/O) |
| |||||||||||
2.80% (1)(3) | 03/18/28 | $ | 1,695,000 | $ | 1,678,231 | |||||||
WF-RBS Commercial Mortgage Trust (11-C4-A3) |
| |||||||||||
4.39% (1) | 06/15/44 | 861,222 | 868,821 | |||||||||
WTC Depositor LLC Trust (12-7WTC-A) |
| |||||||||||
4.08% (1) | 03/13/31 | 143,930 | 144,039 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backed |
| |||||||||||
(Cost: $20,405,064) |
| 19,687,364 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 27.0% |
| |||||||||||
Fannie Mae (01-14-SH) (I/F) |
| |||||||||||
21.19% (-3.50 x 1 mo. USD LIBOR + 27.825%) (2) | 03/25/30 | 169,419 | 239,872 | |||||||||
Fannie Mae (01-34-FV) |
| |||||||||||
2.40% (1 mo. USD LIBOR + 0.500%) (2) | 08/25/31 | 216,338 | 217,321 | |||||||||
Fannie Mae (04-W10-A6) (PAC) |
| |||||||||||
5.75% | 08/25/34 | 2,000,000 | 2,118,716 | |||||||||
Fannie Mae (07-89-GF) |
| |||||||||||
2.42% (1 mo. USD LIBOR + 0.520%) (2) | 09/25/37 | 815,924 | 823,527 | |||||||||
Fannie Mae (08-30-SA) (I/O) (I/F) |
| |||||||||||
4.95% (-1.00 x 1 mo. USD LIBOR + 6.850%) (2) | 04/25/38 | 139,225 | 21,473 | |||||||||
Fannie Mae (08-62-SN) (I/O) (I/F) |
| |||||||||||
4.30% (-1.00 x 1 mo. USD LIBOR + 6.200%) (2) | 07/25/38 | 243,759 | 34,001 | |||||||||
Fannie Mae (09-64-TB) |
| |||||||||||
4.00% | 08/25/29 | 2,003,278 | 2,048,643 | |||||||||
Fannie Mae (09-68-SA) (I/O) (I/F) |
| |||||||||||
4.85% (-1.00 x 1 mo. USD LIBOR + 6.750%) (2) | 09/25/39 | 102,047 | 16,207 | |||||||||
Fannie Mae (10-26-AS) (I/O) (I/F) |
| |||||||||||
4.43% (-1.00 x 1 mo. USD LIBOR + 6.330%) (2) | 03/25/40 | 1,662,758 | 193,946 | |||||||||
Fannie Mae (11-111-DB) |
| |||||||||||
4.00% | 11/25/41 | 4,000,000 | 4,097,335 | |||||||||
Fannie Mae, Pool #254634 |
| |||||||||||
5.50% | 02/01/23 | 13,380 | 14,486 | |||||||||
Fannie Mae, Pool #596686 |
| |||||||||||
6.50% | 11/01/31 | 12,707 | 13,807 | |||||||||
Fannie Mae, Pool #679263 |
| |||||||||||
4.50% | 11/01/24 | 23,241 | 24,241 |
See accompanying notes to financial statements.
11
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #725275 |
| |||||||||||
4.00% | 03/01/19 | $ | 5,244 | $ | 5,250 | |||||||
Fannie Mae, Pool #727575 |
| |||||||||||
5.00% | 06/01/33 | 49,562 | 51,742 | |||||||||
Fannie Mae, Pool #748751 |
| |||||||||||
5.50% | 10/01/33 | 98,167 | 103,066 | |||||||||
Fannie Mae, Pool #782593 |
| |||||||||||
4.50% | 06/01/34 | 16,514 | 17,302 | |||||||||
Fannie Mae, Pool #AB2127 |
| |||||||||||
3.50% | 01/01/26 | 1,087,334 | 1,103,177 | |||||||||
Fannie Mae, Pool #AB3679 |
| |||||||||||
3.50% | 10/01/41 | 1,331,972 | 1,327,842 | |||||||||
Fannie Mae, Pool #AB3685 |
| |||||||||||
4.00% | 10/01/41 | 2,142,671 | 2,197,906 | |||||||||
Fannie Mae, Pool #AB3864 |
| |||||||||||
3.50% | 11/01/41 | 1,878,860 | 1,883,110 | |||||||||
Fannie Mae, Pool #AB4045 |
| |||||||||||
3.50% | 12/01/41 | 3,897,656 | 3,910,424 | |||||||||
Fannie Mae, Pool #AC1604 |
| |||||||||||
4.00% | 08/01/39 | 2,850,748 | 2,935,826 | |||||||||
Fannie Mae, Pool #AL0209 |
| |||||||||||
4.50% | 05/01/41 | 766,246 | 811,668 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 814,244 | 901,617 | |||||||||
Fannie Mae, Pool #AL9106 |
| |||||||||||
4.50% | 02/01/46 | 4,478,827 | 4,686,848 | |||||||||
Fannie Mae, Pool #AS9830 |
| |||||||||||
4.00% | 06/01/47 | 5,092,895 | 5,193,117 | |||||||||
Fannie Mae, Pool #AS9972 |
| |||||||||||
4.00% | 07/01/47 | 4,416,401 | 4,503,310 | |||||||||
Fannie Mae, Pool #MA1561 |
| |||||||||||
3.00% | 09/01/33 | 3,481,984 | 3,431,243 | |||||||||
Fannie Mae, Pool #MA1584 |
| |||||||||||
3.50% | 09/01/33 | 5,517,853 | 5,583,162 | |||||||||
Fannie Mae, Pool #MA2995 |
| |||||||||||
4.00% | 05/01/47 | 6,036,428 | 6,153,160 | |||||||||
Fannie Mae, Pool #MA3027 |
| |||||||||||
4.00% | 06/01/47 | 5,117,499 | 5,216,519 | |||||||||
Fannie Mae, Pool #MA3210 |
| |||||||||||
3.50% | 12/01/47 | 11,061,161 | 10,988,480 | |||||||||
Fannie Mae, Pool #MA3332 |
| |||||||||||
3.50% | 04/01/48 | 16,851,782 | 16,740,884 | |||||||||
Fannie Mae TBA, 15 Year |
| |||||||||||
3.00% (6) | 05/17/33 | 8,580,000 | 8,511,628 | |||||||||
3.50% (6) | 05/17/33 | 2,920,000 | 2,954,903 | |||||||||
Fannie Mae TBA, 30 Year |
| |||||||||||
3.00% (6) | 05/14/48 | 8,930,000 | 8,613,961 | |||||||||
3.50% (6) | 05/14/48 | 7,235,000 | 7,183,564 | |||||||||
4.00% (6) | 05/14/48 | 12,245,000 | 12,471,724 | |||||||||
4.50% (6) | 05/14/48 | 27,735,000 | 28,894,236 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac (2439-KZ) |
| |||||||||||
6.50% | 04/15/32 | $ | 164,201 | $ | 179,381 | |||||||
Freddie Mac (2575-FD) (PAC) |
| |||||||||||
2.35% (1 mo. USD LIBOR + 0.450%) (2) | 02/15/33 | 402,234 | 405,323 | |||||||||
Freddie Mac (2662-MT) (TAC) |
| |||||||||||
4.50% | 08/15/33 | 242,972 | 250,971 | |||||||||
Freddie Mac (277-30) |
| |||||||||||
3.00% | 09/15/42 | 4,895,841 | 4,742,447 | |||||||||
Freddie Mac (3315-S) (I/O) (I/F) |
| |||||||||||
4.51% (-1.00 x 1 mo. USD LIBOR + 6.410%) (2) | 05/15/37 | 52,983 | 5,569 | |||||||||
Freddie Mac (3339-JS) (I/F) |
| |||||||||||
30.51% (-6.50 x 1 mo. USD LIBOR + 42.835%) (2) | 07/15/37 | 532,309 | 937,138 | |||||||||
Freddie Mac (3351-ZC) |
| |||||||||||
5.50% | 07/15/37 | 417,794 | 453,826 | |||||||||
Freddie Mac (3380-SM) (I/O) (I/F) |
| |||||||||||
4.51% (-1.00 x 1 mo. USD LIBOR + 6.410%) (2) | 10/15/37 | 637,747 | 92,220 | |||||||||
Freddie Mac (3382-FL) |
| |||||||||||
2.60% (1 mo. USD LIBOR + 0.700%) (2) | 11/15/37 | 259,008 | 261,487 | |||||||||
Freddie Mac (3439-SC) (I/O) (I/F) |
| |||||||||||
4.00% (-1.00 x 1 mo. USD LIBOR + 5.900%) (2) | 04/15/38 | 2,317,820 | 271,923 | |||||||||
Freddie Mac (3578-DI) (I/O) (I/F) |
| |||||||||||
4.75% (-1.00 x 1 mo. USD LIBOR + 6.650%) (2) | 04/15/36 | 967,596 | 135,593 | |||||||||
Freddie Mac (4139-PA) (PAC) |
| |||||||||||
2.50% | 11/15/41 | 3,167,128 | 3,106,311 | |||||||||
Freddie Mac, Pool #A97179 |
| |||||||||||
4.50% | 03/01/41 | 2,375,554 | 2,517,331 | |||||||||
Freddie Mac, Pool #B15026 |
| |||||||||||
5.00% | 06/01/19 | 2,696 | 2,712 | |||||||||
Freddie Mac, Pool #B15591 |
| |||||||||||
5.00% | 07/01/19 | 2,384 | 2,402 | |||||||||
Freddie Mac, Pool #C90526 |
| |||||||||||
5.50% | 02/01/22 | 11,360 | 11,729 | |||||||||
Freddie Mac, Pool #G06360 |
| |||||||||||
4.00% | 03/01/41 | 2,820,281 | 2,905,760 | |||||||||
Freddie Mac, Pool #G06498 |
| |||||||||||
4.00% | 04/01/41 | 2,120,396 | 2,182,418 | |||||||||
Freddie Mac, Pool #G06499 |
| |||||||||||
4.00% | 03/01/41 | 1,516,437 | 1,559,371 |
See accompanying notes to financial statements.
12
Table of Contents
TCW Core Fixed Income Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G07849 |
| |||||||||||
3.50% | 05/01/44 | $ | 1,679,001 | $ | 1,680,926 | |||||||
Freddie Mac, Pool #G07924 |
| |||||||||||
3.50% | 01/01/45 | 3,337,365 | 3,337,104 | |||||||||
Freddie Mac, Pool #G08710 |
| |||||||||||
3.00% | 06/01/46 | 5,114,764 | 4,941,328 | |||||||||
Freddie Mac, Pool #G08711 |
| |||||||||||
3.50% | 06/01/46 | 10,181,329 | 10,121,619 | |||||||||
Freddie Mac, Pool #G08715 |
| |||||||||||
3.00% | 08/01/46 | 9,543,906 | 9,219,931 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 6,772,959 | 6,733,240 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 7,729,895 | 7,461,731 | |||||||||
Freddie Mac, Pool #G08722 |
| |||||||||||
3.50% | 09/01/46 | 2,687,807 | 2,672,043 | |||||||||
Freddie Mac, Pool #G08726 |
| |||||||||||
3.00% | 10/01/46 | 7,416,242 | 7,158,959 | |||||||||
Freddie Mac, Pool #G08732 |
| |||||||||||
3.00% | 11/01/46 | 7,182,050 | 6,932,892 | |||||||||
Freddie Mac, Pool #G08741 |
| |||||||||||
3.00% | 01/01/47 | 4,997,166 | 4,823,805 | |||||||||
Freddie Mac, Pool #G08750 |
| |||||||||||
3.00% | 03/01/47 | 2,315,383 | 2,235,058 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 2,347,320 | 2,335,922 | |||||||||
Freddie Mac, Pool #G18622 |
| |||||||||||
2.50% | 12/01/31 | 7,782,109 | 7,571,560 | |||||||||
Freddie Mac, Pool #G18670 |
| |||||||||||
3.00% | 12/01/32 | 1,705,702 | 1,692,913 | |||||||||
Freddie Mac, Pool #G60344 |
| |||||||||||
4.00% | 12/01/45 | 1,558,611 | 1,599,333 | |||||||||
Freddie Mac, Pool #G67700 |
| |||||||||||
3.50% | 08/01/46 | 2,244,698 | 2,242,067 | |||||||||
Freddie Mac, Pool #G67703 |
| |||||||||||
3.50% | 04/01/47 | 13,259,910 | 13,240,227 | |||||||||
Freddie Mac, Pool #G67706 |
| |||||||||||
3.50% | 12/01/47 | 8,634,485 | 8,613,209 | |||||||||
Freddie Mac, Pool #G67707 |
| |||||||||||
3.50% | 01/01/48 | 15,147,358 | 15,135,672 | |||||||||
Freddie Mac, Pool #G67708 |
| |||||||||||
3.50% | 03/01/48 | 16,697,002 | 16,656,563 | |||||||||
Freddie Mac, Pool #G67710 |
| |||||||||||
3.50% | 03/01/48 | 14,548,097 | 14,480,637 | |||||||||
Freddie Mac, Pool #G67711 |
| |||||||||||
4.00% (7) | 03/01/48 | 4,824,006 | 4,949,129 | |||||||||
Freddie Mac, Pool #Q05261 |
| |||||||||||
3.50% | 12/01/41 | 2,518,115 | 2,525,787 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #Q20178 |
| |||||||||||
3.50% | 07/01/43 | $ | 4,100,821 | $ | 4,111,316 | |||||||
Freddie Mac TBA, 30 Year |
| |||||||||||
3.50% (6) | 05/14/48 | 9,580,000 | 9,515,634 | |||||||||
Ginnie Mae (04-30-UC) (PAC) |
| |||||||||||
5.50% | 02/20/34 | 186,986 | 188,947 | |||||||||
Ginnie Mae (08-27-SI) (I/O) (I/F) |
| |||||||||||
4.57% (-1.00 x 1 mo. USD LIBOR + 6.470%) (2) | 03/20/38 | 398,814 | 57,279 | |||||||||
Ginnie Mae (08-81-S) (I/O) (I/F) |
| |||||||||||
4.30% (-1.00 x 1 mo. USD LIBOR + 6.200%) (2) | 09/20/38 | 1,532,865 | 211,624 | |||||||||
Ginnie Mae (09-66-UF) |
| |||||||||||
2.90% (1 mo. USD LIBOR + 1.000%) (2) | 08/16/39 | 616,473 | 632,238 | |||||||||
Ginnie Mae (10-1-S) (I/O) (I/F) |
| |||||||||||
3.85% (-1.00 x 1 mo. USD LIBOR + 5.750%) (2) | 01/20/40 | 2,467,614 | 269,991 | |||||||||
Ginnie Mae, Pool #608259 |
| |||||||||||
4.50% | 08/15/33 | 51,752 | 53,856 | |||||||||
Ginnie Mae, Pool #782114 |
| |||||||||||
5.00% | 09/15/36 | 162,055 | 173,691 | |||||||||
Ginnie Mae, Pool #MA4127 |
| |||||||||||
3.50% | 12/20/46 | 5,347,613 | 5,382,975 | |||||||||
Ginnie Mae II, Pool #MA3521 |
| |||||||||||
3.50% | 03/20/46 | 4,326,507 | 4,342,745 | |||||||||
Ginnie Mae II, Pool #MA3597 |
| |||||||||||
3.50% | 04/20/46 | 4,182,310 | 4,198,007 | |||||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 4,221,326 | 4,237,169 | |||||||||
Ginnie Mae II, Pool #MA4126 |
| |||||||||||
3.00% | 12/20/46 | 10,507,293 | 10,250,932 | |||||||||
Ginnie Mae II, Pool #MA4196 |
| |||||||||||
3.50% | 01/20/47 | 3,454,914 | 3,477,764 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 1,589,453 | 1,672,894 | |||||||||
Ginnie Mae II, Pool #MA4510 |
| |||||||||||
3.50% | 06/20/47 | 1,940,424 | 1,944,555 | |||||||||
Ginnie Mae II, Pool #MA4589 |
| |||||||||||
5.00% | 07/20/47 | 4,227,896 | 4,448,387 | |||||||||
Ginnie Mae II, Pool #MA4719 |
| |||||||||||
3.50% | 09/20/47 | 1,624,189 | 1,627,647 | |||||||||
Ginnie Mae II, Pool #MA4722 |
| |||||||||||
5.00% | 09/20/47 | 1,685,817 | 1,776,143 | |||||||||
Ginnie Mae II, Pool #MA4777 |
| |||||||||||
3.00% | 10/20/47 | 1,419,858 | 1,385,069 |
See accompanying notes to financial statements.
13
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA4838 |
| |||||||||||
4.00% | 11/20/47 | $ | 4,189,969 | $ | 4,290,336 | |||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
3.50% (6) | 05/21/48 | 7,015,000 | 7,024,317 | |||||||||
4.50% (6) | 05/21/48 | 17,390,000 | 18,048,918 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
3.00% (6) | 05/21/48 | 8,610,000 | 8,392,732 | |||||||||
4.00% (6) | 05/21/48 | 4,045,000 | 4,137,593 | |||||||||
NCUA Guaranteed Notes (10-R1-1A) |
| |||||||||||
2.33% (1 mo. USD LIBOR + 0.450%) (2) | 10/07/20 | 1,045,048 | 1,048,742 | |||||||||
NCUA Guaranteed Notes (10-R3-1A) |
| |||||||||||
2.44% (1 mo. USD LIBOR + 0.560%) (2) | 12/08/20 | 658,552 | 661,991 | |||||||||
NCUA Guaranteed Notes (10-R3-2A) |
| |||||||||||
2.43% (1 mo. USD LIBOR + 0.560%) (2) | 12/08/20 | 597,884 | 601,341 | |||||||||
NCUA Guaranteed Notes (11-R1-1A) |
| |||||||||||
2.33% (1 mo. USD LIBOR + 0.450%) (2) | 01/08/20 | 590,627 | 591,910 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $448,423,889) |
| 439,381,554 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 4.5% |
| |||||||||||
Aegis Asset Backed Securities Trust (05-5-2A) |
| |||||||||||
2.15% (1 mo. USD LIBOR + 0.250%) (2) | 12/25/35 | 5,931,259 | 5,928,163 | |||||||||
Ameriquest Mortgage Securities, Inc. Asset Backed Pass-Through (05-R11-A1) |
| |||||||||||
2.13% (1 mo. USD LIBOR + 0.230%) (2) | 01/25/36 | 2,196,289 | 2,200,886 | |||||||||
Banc of America Funding Trust (15-R2-9A1) |
| |||||||||||
2.11% (1 mo. USD LIBOR + 0.215%) (1)(2) | 03/27/36 | 3,550,566 | 3,492,006 | |||||||||
Bear Stearns Asset-Backed Securities Trust (06-HE1-1M1) |
| |||||||||||
2.31% (1 mo. USD LIBOR + 0.410%) (2) | 12/25/35 | 1,326,260 | 1,330,055 | |||||||||
Centex Home Equity (02-C-AF6) |
| |||||||||||
4.50% (3) | 09/25/32 | 94,613 | 95,401 | |||||||||
CIM Trust (17-7-A) |
| |||||||||||
3.00% (1)(3) | 04/25/57 | 8,345,687 | 8,277,126 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (05-5-2A2) |
| |||||||||||
5.75% (8) | 08/25/35 | 367,774 | 301,079 | |||||||||
Conseco Financial Corp. (98-6-A8) |
| |||||||||||
6.66% (3) | 06/01/30 | 805,479 | 851,422 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA) |
| |||||||||||
5.75% | 04/22/33 | 7,810 | 8,167 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Credit Suisse Mortgage Capital Certificates (15-5R-1A1) |
| |||||||||||
1.07% (1) | 09/27/46 | $ | 4,432,467 | $ | 4,306,495 | |||||||
CSMC Trust (14-7R-8A1) |
| |||||||||||
3.31% (1)(3) | 07/27/37 | 3,609,805 | 3,619,798 | |||||||||
Home Equity Asset Trust (06-3-1A1) |
| |||||||||||
2.10% (1 mo. USD LIBOR + 0.200%) (2) | 07/25/36 | 4,898,840 | 4,905,955 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR6-2A1) |
| |||||||||||
2.38% (1 mo. USD LIBOR + 0.480%) (2) | 04/25/35 | 1,010,930 | 968,564 | |||||||||
Merrill Lynch Mortgage Investors Trust (05-2-2A) |
| |||||||||||
3.48% (1 year Treasury Constant Maturity Rate + 2.250%) (2) | 10/25/35 | 3,283,798 | 3,419,976 | |||||||||
Mid-State Trust (04-1-B) |
| |||||||||||
8.90% | 08/15/37 | 1,339,151 | 1,518,283 | |||||||||
Morgan Stanley Capital, Inc. (04-WMC2-M1) |
| |||||||||||
2.81% (1 mo. USD LIBOR + 0.915%) (2) | 07/25/34 | 1,346,403 | 1,388,668 | |||||||||
Morgan Stanley Home Equity Loan Trust (05-1-M3) |
| |||||||||||
2.68% (1 mo. USD LIBOR + 0.780%) (2) | 12/25/34 | 3,339,693 | 3,341,064 | |||||||||
Morgan Stanley Mortgage Loan Trust (04-3-4A) |
| |||||||||||
5.67% (3) | 04/25/34 | 238,061 | 252,404 | |||||||||
New Century Home Equity Loan Trust (05-1-A2C) |
| |||||||||||
2.60% (1 mo. USD LIBOR + 0.700%) (2) | 03/25/35 | 1,015,268 | 1,015,774 | |||||||||
New Century Home Equity Loan Trust (05-3-M2) |
| |||||||||||
2.63% (1 mo. USD LIBOR + 0.735%) (2) | 07/25/35 | 2,572,907 | 2,583,633 | |||||||||
New Century Home Equity Loan Trust (05-D-A1) |
| |||||||||||
2.12% (1 mo. USD LIBOR + 0.220%) (2) | 02/25/36 | 6,770,736 | 6,719,444 | |||||||||
Nomura Resecuritization Trust (14-5R-3A1) |
| |||||||||||
2.11% (1 mo. USD LIBOR + 0.240%) (1)(2) | 05/26/37 | 1,346,837 | 1,334,804 | |||||||||
Nomura Resecuritization Trust (15-1R-6A1) |
| |||||||||||
2.10% (1 mo. USD LIBOR + 0.210%) (1)(2) | 05/26/47 | 1,597,853 | 1,589,403 | |||||||||
Nomura Resecuritization Trust (15-4R-3A1) |
| |||||||||||
3.73% (1)(3) | 02/26/36 | 263,272 | 264,095 | |||||||||
Nomura Resecuritization Trust (15-5R-2A1) |
| |||||||||||
3.63% (1)(3) | 03/26/35 | 2,935,599 | 2,977,727 | |||||||||
Structured Asset Securities Corp. (03-34A-5A4) |
| |||||||||||
3.79% (3) | 11/25/33 | 478,423 | 487,659 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR3-A2) |
| |||||||||||
3.66% (3) | 03/25/35 | 1,965,940 | 1,993,579 | |||||||||
Wells Fargo Alternative Loan Trust (07-PA3-2A1) |
| |||||||||||
6.00% | 07/25/37 | 141,138 | 139,180 |
See accompanying notes to financial statements.
14
Table of Contents
TCW Core Fixed Income Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Wells Fargo Home Equity Trust (04-2-A33) |
| |||||||||||
2.90% (1 mo. USD LIBOR + 1.000%) (2) | 10/25/34 | $ | 7,263,115 | $ | 7,309,278 | |||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities — Non-agency |
| |||||||||||
(Cost: $70,606,668) |
| 72,620,088 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 23.8% |
| |||||||||||
U.S. Treasury Note 1.00% (9) | 02/15/48 | 4,018,049 | 4,124,224 | |||||||||
2.25% | 03/31/20 | 9,390,000 | 9,350,203 | |||||||||
2.38% | 01/31/23 | 22,260,000 | 21,858,973 | |||||||||
2.50% | 03/31/23 | 61,280,000 | 60,471,946 | |||||||||
2.75% | 04/30/23 | 106,485,000 | 106,297,667 | |||||||||
2.75% | 02/15/28 | 68,120,000 | 67,059,616 | |||||||||
3.00% | 02/15/48 | 121,295,000 | 119,070,469 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $388,066,066) |
| 388,233,098 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $1,672,791,568) |
| 1,661,084,173 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 0.1% |
| |||||||||||
Dreyfus Government Cash Management Fund — Institutional Shares, |
| 944,000 | 944,000 | |||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (10) |
| 798,818 | 798,818 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $1,742,818) |
| 1,742,818 | ||||||||||
|
| |||||||||||
Issues | Maturity Date | Principal Amount | Value | |||||||||
SHORT TERM INVESTMENTS — 5.0% |
| |||||||||||
FOREIGN GOVERNMENT BONDS — 2.6% | ||||||||||||
Japan Treasury Bill 0.00% (11) 07/02/18 | JPY | 2,780,000,000 | $ | 25,413,135 | ||||||||
0.00% (11) 06/04/18 | JPY | 1,797,000,000 | 16,424,874 | |||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $42,749,914) |
| 41,838,009 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 2.4% |
| |||||||||||
U.S. Treasury Bill 1.70% (12) | 07/05/18 | $ | 38,914,000 | 38,791,499 | ||||||||
1.60% (12)(13) | 06/14/18 | 798,000 | 796,398 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $39,591,789) |
| 39,587,897 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $82,341,703) |
| 81,425,906 | ||||||||||
|
| |||||||||||
Total Investments (107.1%) |
| |||||||||||
(Cost: $1,756,876,089) |
| 1,744,252,897 | ||||||||||
Liabilities in Excess of Other Assets (-7.1%) |
| (116,154,191 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 1,628,098,706 | |||||||||
|
|
See accompanying notes to financial statements.
15
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Unaudited) (Continued)
Futures | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional Value | Market Value | Net Unrealized Appreciation/ Depreciation | |||||||||||||
Long Futures | ||||||||||||||||||
686 | 2-Year U.S. Treasury Note Futures | 06/29/18 | $ | 145,792,511 | $ | 145,464,157 | $ | (328,354 | ) | |||||||||
854 | 5-Year U.S. Treasury Note Futures | 06/29/18 | 97,293,358 | 96,935,672 | (357,686 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||
$ | 243,085,869 | $ | 242,399,829 | $ | (686,040 | ) | ||||||||||||
|
|
|
|
|
|
Forward Currency Exchange Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
SELL (14) | ||||||||||||||||||||||||
Bank of America | JPY | 2,780,000,000 | 07/02/18 | $ | 26,063,396 | $ | 25,513,739 | $ | 549,657 | |||||||||||||||
Goldman Sachs & Co. | JPY | 1,797,000,000 | 06/04/18 | 16,881,428 | 16,456,202 | 425,226 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 42,944,824 | $ | 41,969,941 | $ | 974,883 | |||||||||||||||||||
|
|
|
|
|
|
Notes to 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. |
OTC - Over | the Counter. |
PAC - Planned | Amortization Class. |
P/O - Principal | Only Security. |
REIT - Real | Estate Investment Trust. |
TAC - Target | Amortization Class. |
TBA - To | be Announced. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2018, the value of these securities amounted to $197,114,207 or 12.1% 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 Fund’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2018. |
(3) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(4) | Restricted security (Note10). |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(6) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(7) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(8) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(9) | Interest rate for this security is a stated rate. Interest payments are determined based on the inflation-adjusted principal. |
(10) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
(11) | Security is not accruing interest. |
(12) | Rate shown represents yield-to-maturity. |
(13) | All or a portion of this security is held as collateral for open futures contracts. |
(14) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
16
Table of Contents
TCW Core Fixed Income Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Aerospace/Defense | 0.7 | % | ||
Agriculture | 0.4 | |||
Airlines | 0.4 | |||
Asset-Backed Securities | 6.0 | |||
Auto Manufacturers | 0.6 | |||
Banks | 11.9 | |||
Beverages | 0.3 | |||
Biotechnology | 0.9 | |||
Chemicals | 0.1 | |||
Commercial Mortgage-Backed Securities — Agency | 4.1 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 1.2 | |||
Computers | 0.2 | |||
Diversified Financial Services | 1.3 | |||
Electric | 3.0 | |||
Energy-Alternate Sources | 0.1 | |||
Environmental Control | 0.2 | |||
Food | 0.7 | |||
Forest Products & Paper | 0.2 | |||
Gas | 0.3 | |||
Healthcare-Products | 0.7 | |||
Healthcare-Services | 2.3 | |||
Insurance | 0.5 | |||
Internet | 0.2 | |||
Media | 0.5 | |||
Mining | 0.0 | * | ||
Miscellaneous Manufacturers | 0.4 | |||
Municipal Bonds | 1.2 | |||
Oil & Gas | 0.1 | |||
Packaging & Containers | 0.2 | |||
Pharmaceuticals | 1.4 | |||
Pipelines | 1.5 | |||
REIT | 2.8 | |||
Residential Mortgage-Backed Securities — Agency | 27.0 | |||
Residential Mortgage-Backed Securities — Non-Agency | 4.5 | |||
Retail | 0.4 | |||
Semiconductors | 0.2 | |||
Short Term Investments | 5.0 | |||
Software | 0.2 | |||
Telecommunications | 1.5 | |||
U.S. Treasury Securities | 23.8 | |||
Money Market Investments | 0.1 | |||
|
| |||
Total | 107.1 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
17
Table of Contents
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, 2018 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* | $ | — | $ | 555,801,955 | $ | 1,133,551 | $ | 556,935,506 | ||||||||
Municipal Bonds | — | 19,952,712 | — | 19,952,712 | ||||||||||||
Asset-Backed Securities | — | 96,956,101 | — | 96,956,101 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 67,317,750 | — | 67,317,750 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 19,687,364 | — | 19,687,364 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 439,381,554 | — | 439,381,554 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 72,620,088 | — | 72,620,088 | ||||||||||||
U.S. Treasury Securities | 384,108,874 | 4,124,224 | — | 388,233,098 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 384,108,874 | 1,275,841,748 | 1,133,551 | 1,661,084,173 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 1,742,818 | — | — | 1,742,818 | ||||||||||||
Short-Term Investments | 39,587,897 | 41,838,009 | — | 81,425,906 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 425,439,589 | 1,317,679,757 | 1,133,551 | 1,744,252,897 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 974,883 | — | 974,883 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 425,439,589 | $ | 1,318,654,640 | $ | 1,133,551 | $ | 1,745,227,780 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures | ||||||||||||||||
Interest Rate Risk | $ | (686,040 | ) | $ | — | $ | — | $ | (686,040 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (686,040 | ) | $ | — | $ | — | $ | (686,040 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
18
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited) | April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 22.9% of Net Assets |
| |||||||||||
ASSET-BACKED SECURITIES — 0.9% | ||||||||||||
Educational Services of America, Inc. (12-2-A) |
| |||||||||||
2.63% (1 mo. USD LIBOR + 0.730%) (1)(2) | 04/25/39 | $ | 7,876 | $ | 7,898 | |||||||
Nelnet Student Loan Trust (12-5A-A) |
| |||||||||||
2.47% (1 mo. USD LIBOR + 0.600%) (1)(2) | 10/27/36 | 4,592 | 4,586 | |||||||||
Scholar Funding Trust (11-A-A) |
| |||||||||||
3.26% (3 mo. USD LIBOR + 0.900%) (1)(2) | 10/28/43 | 3,851 | 3,865 | |||||||||
|
| |||||||||||
Total Asset-backed Securities |
| |||||||||||
(Cost: $16,388) |
| 16,349 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 0.2% (Cost: $4,017) | ||||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KF05-A) |
| |||||||||||
2.23% (1 mo. USD LIBOR + 0.350%)(2) | 09/25/21 | 4,017 | 4,023 | |||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 0.5% (Cost: $2,941) | ||||||||||||
LB-UBS Commercial Mortgage Trust (06-C6-XCL) (I/O) |
| |||||||||||
0.62% (1)(3)(4)(5) | 09/15/39 | 1,568,548 | 8,977 | |||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 0.8% (Cost: $13,791) | ||||||||||||
Fannie Mae (05-W3-2AF) |
| |||||||||||
2.12% (1 mo. USD LIBOR + 0.220%) (2) | 03/25/45 | 14,145 | 14,084 | |||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 9.5% | ||||||||||||
Bear Stearns Alt-A Trust (04-13-A1) |
| |||||||||||
2.64% (1 mo. USD LIBOR + 0.740%) (2) | 11/25/34 | 2,135 | 2,141 | |||||||||
Bombardier Capital Mortgage Securitization Corp. (01-A-A) |
| |||||||||||
6.81% (4) | 12/15/30 | 3,426 | 3,461 | |||||||||
Centex Home Equity Loan Trust (05-A-AF5) |
| |||||||||||
5.78% | 01/25/35 | 56,358 | 57,162 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (03-CB5-M1) |
| |||||||||||
2.92% (1 mo. USD LIBOR + 1.020%) (2) | 11/25/33 | 10,310 | 10,101 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C) |
| |||||||||||
2.90% (1 mo. USD LIBOR + 1.000%) (2) | 08/25/34 | 10,793 | 10,548 | |||||||||
Homestar Mortgage Acceptance Corp. (04-5-A1) |
| |||||||||||
2.80% (1 mo. USD LIBOR + 0.900%) (2) | 10/25/34 | 1,191 | 1,199 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
JPMorgan Mortgage Trust (05-A6-7A1) |
| |||||||||||
3.63% (4) | 08/25/35 | $ | 27,304 | $ | 26,644 | |||||||
MASTR Seasoned Securitization Trust (05-1-4A1) |
| |||||||||||
3.45% (4) | 10/25/32 | 21,635 | 21,887 | |||||||||
Mid-State Trust (04-1-M1) |
| |||||||||||
6.50% | 08/15/37 | 24,699 | 26,246 | |||||||||
Morgan Stanley Mortgage Loan Trust (04-6AR-1A) |
| |||||||||||
2.80% (1 mo. USD LIBOR + 0.900%) (2) | 07/25/34 | 5,599 | 5,552 | |||||||||
Residential Asset Mortgage Products, Inc. (04-SL3-A2) |
| |||||||||||
6.50% | 12/25/31 | 10,806 | 10,813 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities — Non-agency |
| |||||||||||
(Cost: $156,845) |
| 175,754 | ||||||||||
|
| |||||||||||
CORPORATE BONDS — 11.0% | ||||||||||||
Airlines — 2.3% | ||||||||||||
Continental Airlines, Inc. Pass-Through Certificates (00-1-A1) (EETC) |
| |||||||||||
8.05% | 05/01/22 | 40,771 | 43,217 | |||||||||
|
| |||||||||||
Banks — 4.1% | ||||||||||||
Citigroup, Inc. |
| |||||||||||
3.54% (3 mo. USD LIBOR + 1.700%) (2) | 05/15/18 | 75,000 | 75,043 | |||||||||
|
| |||||||||||
Insurance — 3.8% | ||||||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
4.41% (3 mo. USD LIBOR + 2.290%) (1)(2) | 12/15/24 | 70,000 | 69,738 | |||||||||
|
| |||||||||||
REIT — 0.8% | ||||||||||||
HCP, Inc. |
| |||||||||||
3.15% | 08/01/22 | 15,000 | 14,663 | |||||||||
|
| |||||||||||
Total Corporate Bonds | ||||||||||||
(Cost: $200,258) |
| 202,661 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $394,240) |
| 421,848 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 13.9% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (6)(7) |
| 256,588 | 256,588 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $256,588) |
| 256,588 | ||||||||||
|
|
See accompanying notes to financial statements.
19
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
SHORT TERM INVESTMENTS — 56.6% |
| |||||||||||
U.S. TREASURY SECURITIES — 56.6% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
1.05% (8) | 05/03/18 | $ | 160,000 | $ | 159,987 | |||||||
1.74% (8) | 07/12/18 | 130,000 | 129,549 | |||||||||
1.75% (8) | 07/05/18 | 322,000 | 320,986 | |||||||||
1.75% (8) | 07/05/18 | 24,000 | 23,925 | |||||||||
1.76% (8) | 07/19/18 | 160,000 | 159,386 | |||||||||
1.79% (8) | 07/26/18 | 130,000 | 129,448 | |||||||||
1.96% (8) | 10/04/18 | 121,000 | 119,988 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $1,043,355) |
| 1,043,269 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $1,043,355) |
| 1,043,269 | ||||||||||
|
| |||||||||||
Total Investments (93.4%) |
| |||||||||||
(Cost: $1,694,183) |
| 1,721,705 | ||||||||||
Excess of Other Assets over Liabilities (6.6%) |
| 120,905 | ||||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 1,842,610 | |||||||||
|
|
Total Return Swaps (7) | ||||||||||||||||||||||||||
Notional Amount | Expiration Date | Counterparty | Payment Made by Fund | Payment Received by Fund | Payment Frequency | Unrealized Appreciation | Premium Paid | Value | ||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||
$ 1,852,091 | 5/22/18 | Credit Suisse First Boston Corp. | 3-Month U.S. Treasury Bills plus 0.2% | Credit Suisse Custom 24 Total Return Index (9) | Monthly | $ (5,209) | $ — | $ (5,209 | ) | |||||||||||||||||
|
|
|
|
|
|
Notes to Schedule of Investments:
EETC - | Enhanced Equipment Trust Certificate. |
I/O - | Interest Only Security. |
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, 2018, the value of these securities amounted to $95,064 or 5.2% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Fund’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2018. |
(3) | Restricted security (Note 10). |
(4) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(6) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
(7) | All or a portion of this security is owned by TCW Cayman Enhanced Commodity Fund, Ltd. |
(8) | Rate shown represents yield-to-maturity. |
(9) | Custom Index has exposure to the following commodities as shown on the next page. |
See accompanying notes to financial statements.
20
Table of Contents
TCW Enhanced Commodity Strategy Fund
Custom Index Components | April 30, 2018 |
Description | Notional | Weight % | Unrealized Appreciation (Depreciation) | |||||||||
Gold | $ | 213,916 | 11.55 | % | $ | (3,089 | ) | |||||
Brent Crude Oil | 149,464 | 8.07 | % | 2,680 | ||||||||
Natural Gas | 146,130 | 7.89 | % | (415 | ) | |||||||
WTI Crude Oil | 145,760 | 7.87 | % | 637 | ||||||||
Corn | 125,016 | 6.75 | % | 4,743 | ||||||||
Copper High Grade | 121,682 | 6.57 | % | (3,217 | ) | |||||||
Soybeans | 115,015 | 6.21 | % | 902 | ||||||||
Aluminum Primary | 82,788 | 4.47 | % | (7,807 | ) | |||||||
RBOB Gasoline | 78,899 | 4.26 | % | 1,128 | ||||||||
SRW Wheat | 69,083 | 3.73 | % | 4,480 | ||||||||
Heating Oil | 68,713 | 3.71 | % | 1,019 | ||||||||
Live Cattle | 67,601 | 3.65 | % | 539 | ||||||||
Soybean Meal | 66,305 | 3.58 | % | 2,552 | ||||||||
Silver | 62,230 | 3.36 | % | (3,104 | ) | |||||||
Nickel Primary | 53,711 | 2.90 | % | (4,665 | ) | |||||||
Zinc High Grade | 51,488 | 2.78 | % | (1,769 | ) | |||||||
Sugar#11 | 49,266 | 2.66 | % | (502 | ) | |||||||
Coffee ‘C’ Arabica | 44,450 | 2.40 | % | 1,843 | ||||||||
Soybean Oil | 44,450 | 2.40 | % | (1,363 | ) | |||||||
Lean Hogs | 39,450 | 2.13 | % | (2,323 | ) | |||||||
HRW Wheat | 28,707 | 1.55 | % | 1,885 | ||||||||
Cotton | 27,967 | 1.51 | % | (296 | ) | |||||||
United States Treasury Bill | — | — | 933 | |||||||||
|
|
|
|
|
| |||||||
$ | 1,852,091 | 100.00 | % | $ | (5,209 | ) | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
21
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Airlines | 2.3 | % | ||
Asset-Backed Securities | 0.9 | |||
Banks | 4.1 | |||
Commercial Mortgage-Backed Securities — Agency | 0.2 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.5 | |||
Insurance | 3.8 | |||
REIT | 0.8 | |||
Residential Mortgage-Backed Securities — Agency | 0.8 | |||
Residential Mortgage-Backed Securities — Non-Agency | 9.5 | |||
U.S Treasury Securities | 56.6 | |||
Money Market Investments | 13.9 | |||
|
| |||
Total | 93.4 | % | ||
|
|
See accompanying notes to financial statements.
22
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | — | $ | 16,349 | $ | — | $ | 16,349 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 4,023 | — | 4,023 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | — | 8,977 | 8,977 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 14,084 | — | 14,084 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 175,754 | — | 175,754 | ||||||||||||
Corporate Bonds* | — | 202,661 | — | 202,661 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 412,871 | 8,977 | 421,848 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 256,588 | — | — | 256,588 | ||||||||||||
Short-Term Investments | 1,043,269 | — | — | 1,043,269 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,299,857 | $ | 412,871 | $ | 8,977 | $ | 1,721,705 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Swap Agreements |
| |||||||||||||||
Commodity Risk | $ | — | $ | (5,209 | ) | $ | — | $ | (5,209 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (5,209 | ) | $ | — | $ | (5,209 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
23
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 88.9% of Net Assets |
| |||||||||||
CORPORATE BONDS — 20.1% |
| |||||||||||
Aerospace/Defense — 0.5% | ||||||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
6.38% (1) | 06/01/19 | $ | 35,000 | $ | 36,285 | |||||||
United Technologies Corp. |
| |||||||||||
1.78% (2) | 05/04/18 | 50,000 | 49,998 | |||||||||
|
| |||||||||||
86,283 | ||||||||||||
|
| |||||||||||
Airlines — 0.9% | ||||||||||||
Continental Airlines, Inc. Pass-Through Trust (01-1A-1) (EETC) |
| |||||||||||
6.70% | 12/15/22 | 14,186 | 15,179 | |||||||||
Delta Air Lines, Inc. Pass-Through Certificates (02-1G1) (EETC) |
| |||||||||||
6.72% | 07/02/24 | 69,463 | 75,166 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (10-1A) (EETC) |
| |||||||||||
6.25% | 10/22/24 | 13,702 | 14,842 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (12-1A) (EETC) |
| |||||||||||
5.90% | 04/01/26 | 41,480 | 44,930 | |||||||||
|
| |||||||||||
150,117 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 0.3% | ||||||||||||
General Motors Co. |
| |||||||||||
3.50% | 10/02/18 | 50,000 | 50,188 | |||||||||
|
| |||||||||||
Banks — 6.0% | ||||||||||||
Bank of America Corp. |
| |||||||||||
5.65% | 05/01/18 | 40,000 | 40,000 | |||||||||
Citigroup, Inc. |
| |||||||||||
2.05% | 12/07/18 | 125,000 | 124,605 | |||||||||
2.50% | 09/26/18 | 50,000 | 50,001 | |||||||||
3.14% (2) | 01/24/23 | 75,000 | 73,665 | |||||||||
6.13% | 05/15/18 | 50,000 | 50,069 | |||||||||
HBOS PLC (United Kingdom) |
| |||||||||||
6.75% (1) | 05/21/18 | 40,000 | 40,084 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.25% | 01/23/20 | 75,000 | 74,081 | |||||||||
2.69% (3 mo. USD LIBOR + 0.680%) (3) | 06/01/21 | 50,000 | 50,266 | |||||||||
3.90% | 07/15/25 | 100,000 | 99,553 | |||||||||
Morgan Stanley |
| |||||||||||
3.73% (3 mo. USD LIBOR + 1.375%) (3) | 02/01/19 | 50,000 | 50,414 | |||||||||
Wells Fargo & Co. |
| |||||||||||
3.00% | 04/22/26 | 85,000 | 78,634 | |||||||||
Wells Fargo Bank N.A. |
| |||||||||||
2.40% | 01/15/20 | 250,000 | 247,831 | |||||||||
|
| |||||||||||
979,203 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Beverages — 0.5% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. |
| |||||||||||
4.90% | 02/01/46 | $ | 29,000 | $ | 30,247 | |||||||
Constellation Brands, Inc. |
| |||||||||||
2.00% | 11/07/19 | 50,000 | 49,252 | |||||||||
|
| |||||||||||
79,499 | ||||||||||||
|
| |||||||||||
Biotechnology — 0.6% | ||||||||||||
Amgen, Inc. |
| |||||||||||
4.66% | 06/15/51 | 22,000 | 22,060 | |||||||||
Baxalta, Inc. |
| |||||||||||
2.88% | 06/23/20 | 20,000 | 19,804 | |||||||||
Celgene Corp. |
| |||||||||||
3.88% | 08/15/25 | 20,000 | 19,654 | |||||||||
Gilead Sciences, Inc. |
| |||||||||||
3.65% | 03/01/26 | 40,000 | 39,565 | |||||||||
|
| |||||||||||
101,083 | ||||||||||||
|
| |||||||||||
Chemicals — 0.3% | ||||||||||||
Dow Chemical Co. (The) |
| |||||||||||
8.55% | 05/15/19 | 40,000 | 42,314 | |||||||||
|
| |||||||||||
Cosmetics/Personal Care — 0.0% | ||||||||||||
First Quality Finance Co., Inc. |
| |||||||||||
4.63% (1) | 05/15/21 | 2,000 | 1,985 | |||||||||
5.00% (1) | 07/01/25 | 3,000 | 2,880 | |||||||||
|
| |||||||||||
4,865 | ||||||||||||
|
| |||||||||||
Diversified Financial Services — 0.5% | ||||||||||||
Air Lease Corp. |
| |||||||||||
2.13% | 01/15/20 | 35,000 | 34,352 | |||||||||
International Lease Finance Corp. |
| |||||||||||
7.13% (1) | 09/01/18 | 50,000 | 50,688 | |||||||||
|
| |||||||||||
85,040 | ||||||||||||
|
| |||||||||||
Electric — 1.1% | ||||||||||||
AEP Texas Central Co. |
| |||||||||||
3.85% (1) | 10/01/25 | 50,000 | 50,315 | |||||||||
FirstEnergy Transmission LLC |
| |||||||||||
4.35% (1) | 01/15/25 | 50,000 | 50,877 | |||||||||
ITC Holdings Corp. |
| |||||||||||
3.65% | 06/15/24 | 40,000 | 39,755 | |||||||||
MidAmerican Energy Co. |
| |||||||||||
3.10% | 05/01/27 | 40,000 | 38,307 | |||||||||
|
| |||||||||||
179,254 | ||||||||||||
|
| |||||||||||
Electronics — 0.0% | ||||||||||||
Itron, Inc. |
| |||||||||||
5.00% (1) | 01/15/26 | 4,000 | 3,940 | |||||||||
|
| |||||||||||
Environmental Control — 0.0% | ||||||||||||
Clean Harbors, Inc. |
| |||||||||||
5.13% | 06/01/21 | 5,000 | 5,050 | |||||||||
|
|
See accompanying notes to financial statements.
24
Table of Contents
TCW Global Bond Fund
April 30, 2018
Issues | Maturity Date | Principal Amount | Value | |||||||||
Food — 0.2% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.95% | 07/15/25 | $ | 35,000 | $ | 34,532 | |||||||
|
| |||||||||||
Forest Products & Paper — 0.3% | ||||||||||||
Georgia-Pacific LLC |
| |||||||||||
2.54% (1) | 11/15/19 | 50,000 | 49,647 | |||||||||
|
| |||||||||||
Healthcare-Products — 0.3% | ||||||||||||
Abbott Laboratories |
| |||||||||||
3.75% | 11/30/26 | 40,000 | 39,475 | |||||||||
|
| |||||||||||
Healthcare-Services — 1.1% | ||||||||||||
Anthem, Inc. |
| |||||||||||
3.50% | 08/15/24 | 50,000 | 48,680 | |||||||||
Centene Corp. |
| |||||||||||
4.75% | 01/15/25 | 8,000 | 7,800 | |||||||||
DaVita, Inc. |
| |||||||||||
5.13% | 07/15/24 | 3,000 | 2,912 | |||||||||
5.75% | 08/15/22 | 2,000 | 2,050 | |||||||||
Fresenius Medical Care US Finance II, Inc. |
| |||||||||||
5.63% (1) | 07/31/19 | 50,000 | 51,450 | |||||||||
HCA, Inc. |
| |||||||||||
5.00% | 03/15/24 | 8,000 | 8,110 | |||||||||
6.50% | 02/15/20 | 8,000 | 8,380 | |||||||||
Humana, Inc. |
| |||||||||||
2.63% | 10/01/19 | 40,000 | 39,847 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
4.88% (1) | 06/15/25 | 3,000 | 2,865 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.38% | 10/01/21 | 5,000 | 4,950 | |||||||||
|
| |||||||||||
177,044 | ||||||||||||
|
| |||||||||||
Household Products/Wares — 0.0% | ||||||||||||
Central Garden & Pet Co. |
| |||||||||||
5.13% | 02/01/28 | 3,000 | 2,865 | |||||||||
|
| |||||||||||
Insurance — 0.5% | ||||||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% (3 mo. USD LIBOR + 3.744%) (1)(3) | 11/01/53 | 80,000 | 87,930 | |||||||||
|
| |||||||||||
Internet — 0.0% | ||||||||||||
Zayo Group LLC / Zayo Capital, Inc. |
| |||||||||||
5.75% (1) | 01/15/27 | 3,000 | 2,986 | |||||||||
|
| |||||||||||
Media — 0.5% | ||||||||||||
21st Century Fox America, Inc. |
| |||||||||||
4.95% | 10/15/45 | 20,000 | 21,958 | |||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
| |||||||||||
5.00% (1) | 02/01/28 | 6,000 | 5,550 | |||||||||
5.13% (1) | 05/01/27 | 8,000 | 7,510 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Media (Continued) | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
6.48% | 10/23/45 | $ | 30,000 | $ | 32,341 | |||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% (1) | 08/01/22 | 5,000 | 4,863 | |||||||||
|
| |||||||||||
72,222 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 1.0% | ||||||||||||
General Electric Capital Corp. |
| |||||||||||
2.32% (3 mo. USD LIBOR + 0.480%) (3) | 08/15/36 | 200,000 | 170,512 | |||||||||
|
| |||||||||||
Oil & Gas — 0.7% | ||||||||||||
Centennial Resource Production LLC |
| |||||||||||
5.38% (1) | 01/15/26 | 3,000 | 2,985 | |||||||||
Parsley Energy LLC / Parsley Finance Corp. |
| |||||||||||
5.38% (1) | 01/15/25 | 3,000 | 3,022 | |||||||||
Petroleos Mexicanos |
| |||||||||||
3.50% | 07/23/20 | 100,000 | 99,520 | |||||||||
|
| |||||||||||
105,527 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 0.1% | ||||||||||||
Berry Global, Inc. |
| |||||||||||
4.50% (1) | 02/15/26 | 2,000 | 1,915 | |||||||||
Crown Americas LLC / Crown Americas Capital Corp. V |
| |||||||||||
4.25% | 09/30/26 | 2,000 | 1,858 | |||||||||
Graphic Packaging International, Inc. |
| |||||||||||
4.88% | 11/15/22 | 8,000 | 8,160 | |||||||||
OI European Group BV (Netherlands) |
| |||||||||||
4.00% (1) | 03/15/23 | 5,000 | 4,762 | |||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg) |
| |||||||||||
5.85% (3 mo. USD LIBOR + 3.500%) (1)(3) | 07/15/21 | 5,000 | 5,081 | |||||||||
|
| |||||||||||
21,776 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 0.8% | ||||||||||||
AbbVie, Inc. |
| |||||||||||
4.50% | 05/14/35 | 25,000 | 25,000 | |||||||||
Actavis Funding SCS (Luxembourg) |
| |||||||||||
3.80% | 03/15/25 | 20,000 | 19,249 | |||||||||
AstraZeneca PLC (United Kingdom) |
| |||||||||||
3.38% | 11/16/25 | 25,000 | 24,307 | |||||||||
CVS Health Corp. |
| |||||||||||
5.05% | 03/25/48 | 40,000 | 40,792 | |||||||||
Valeant Pharmaceuticals International, Inc. (Canada) |
| |||||||||||
5.50% (1) | 11/01/25 | 2,000 | 1,998 | |||||||||
5.88% (1) | 05/15/23 | 8,000 | 7,380 | |||||||||
6.13% (1) | 04/15/25 | 6,000 | 5,430 | |||||||||
|
| |||||||||||
124,156 | ||||||||||||
|
|
See accompanying notes to financial statements.
25
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Pipelines — 0.3% | ||||||||||||
Energy Transfer Partners LP |
| |||||||||||
5.15% | 03/15/45 | $ | 50,000 | $ | 45,812 | |||||||
Rockies Express Pipeline LLC |
| |||||||||||
5.63% (1) | 04/15/20 | 3,000 | 3,121 | |||||||||
|
| |||||||||||
48,933 | ||||||||||||
|
| |||||||||||
REIT — 2.0% | ||||||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||||||
3.45% | 04/30/25 | 25,000 | 23,842 | |||||||||
AvalonBay Communities, Inc. |
| |||||||||||
2.78% (2) | 01/15/21 | 40,000 | 40,036 | |||||||||
HCP, Inc. |
| |||||||||||
3.15% | 08/01/22 | 50,000 | 48,877 | |||||||||
Host Hotels & Resorts LP |
| |||||||||||
5.25% | 03/15/22 | 40,000 | 41,775 | |||||||||
SBA Communications Corp. |
| |||||||||||
4.00% (1) | 10/01/22 | 8,000 | 7,660 | |||||||||
SL Green Realty Corp. |
| |||||||||||
5.00% | 08/15/18 | 100,000 | 100,260 | |||||||||
Welltower, Inc. |
| |||||||||||
4.13% | 04/01/19 | 70,000 | 70,581 | |||||||||
|
| |||||||||||
333,031 | ||||||||||||
|
| |||||||||||
Retail — 0.4% | ||||||||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC |
| |||||||||||
5.25% (1) | 06/01/26 | 4,000 | 4,030 | |||||||||
Walgreens Boots Alliance, Inc. |
| |||||||||||
3.45% | 06/01/26 | 60,000 | 56,383 | |||||||||
|
| |||||||||||
60,413 | ||||||||||||
|
| |||||||||||
Software — 0.0% | ||||||||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. |
| |||||||||||
5.75% (1) | 03/01/25 | 3,000 | 2,947 | |||||||||
|
| |||||||||||
Telecommunications — 1.2% | ||||||||||||
AT&T, Inc. |
| |||||||||||
3.40% | 05/15/25 | 45,000 | 42,875 | |||||||||
4.13% | 02/17/26 | 25,000 | 24,765 | |||||||||
4.80% | 06/15/44 | 44,000 | 41,514 | |||||||||
Intelsat Jackson Holdings S.A. (Luxembourg) |
| |||||||||||
9.75% (1) | 07/15/25 | 9,000 | 8,854 | |||||||||
Sprint Communications, Inc. |
| |||||||||||
9.00% (1) | 11/15/18 | 8,000 | 8,240 | |||||||||
Verizon Communications, Inc. |
| |||||||||||
4.86% | 08/21/46 | 75,000 | 73,851 | |||||||||
|
| |||||||||||
200,099 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds | ||||||||||||
(Cost: $3,222,405) |
| 3,300,931 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BOND — 0.2% (Cost: $40,000) |
| |||||||||||
Alabama Economic Settlement Authority, Revenue Bond |
| |||||||||||
4.26% | 09/15/32 | $ | 40,000 | $ | 41,137 | |||||||
|
| |||||||||||
FOREIGN GOVERNMENT BONDS — 44.5% |
| |||||||||||
Australia Government Bond |
| |||||||||||
2.75% (4) | 04/21/24 | AUD | 186,000 | 141,989 | ||||||||
4.75% (4) | 04/21/27 | AUD | 110,000 | 96,280 | ||||||||
Bundesrepublik Deutschland (Germany) |
| |||||||||||
1.25% (4) | 08/15/48 | EUR | 33,000 | 40,015 | ||||||||
2.25% (4) | 09/04/21 | EUR | 177,000 | 232,653 | ||||||||
Canadian Government Bond |
| |||||||||||
0.50% | 03/01/22 | CAD | 215,000 | 158,075 | ||||||||
0.75% | 03/01/21 | CAD | 416,000 | 313,550 | ||||||||
Colombia Government International Bond |
| |||||||||||
8.13% | 05/21/24 | $ | 52,000 | 63,245 | ||||||||
Denmark Government Bond |
| |||||||||||
1.75% | 11/15/25 | DKK | 900,000 | 161,679 | ||||||||
France Government Bond OAT |
| |||||||||||
2.50% (4) | 05/25/30 | EUR | 154,000 | 219,095 | ||||||||
3.25% (4) | 10/25/21 | EUR | 170,000 | 230,555 | ||||||||
French Republic Government Bond OAT |
| |||||||||||
2.00% (1)(4) | 05/25/48 | EUR | 132,000 | 173,565 | ||||||||
Indonesia Treasury Bond |
| |||||||||||
8.38% | 03/15/24 | IDR | 950,000,000 | 73,576 | ||||||||
Ireland Government Bond |
| |||||||||||
3.40% (4) | 03/18/24 | EUR | 55,000 | 78,501 | ||||||||
Italy Buoni Poliennali Del Tesoro |
| |||||||||||
0.20% | 10/15/20 | EUR | 135,000 | 164,233 | ||||||||
2.70% (1)(4) | 03/01/47 | EUR | 42,000 | 50,172 | ||||||||
4.50% | 03/01/24 | EUR | 335,000 | 486,813 | ||||||||
Japan Government Ten-Year Bond |
| |||||||||||
0.10% | 06/20/27 | JPY | 39,000,000 | 358,863 | ||||||||
1.00% | 09/20/21 | JPY | 95,800,000 | 908,973 | ||||||||
Japan Government Thirty-Year Bond |
| |||||||||||
2.00% | 03/20/42 | JPY | 41,400,000 | 492,585 | ||||||||
Japan Government Twenty Year Bond |
| |||||||||||
0.50% | 09/20/36 | JPY | 8,700,000 | 80,067 | ||||||||
Korea Treasury Bond |
| |||||||||||
1.88% | 06/10/26 | KRW | 144,000,000 | 127,002 | ||||||||
2.38% | 12/10/27 | KRW | 94,000,000 | 85,565 | ||||||||
Malaysia Government Bond |
| |||||||||||
3.96% | 09/15/25 | MYR | 525,000 | 131,964 | ||||||||
4.50% | 04/15/30 | MYR | 650,000 | 165,258 | ||||||||
Norway Government Bond |
| |||||||||||
2.00% (1)(4) | 05/24/23 | NOK | 2,950,000 | 377,574 | ||||||||
Poland Government Bond |
| |||||||||||
3.25% | 07/25/25 | PLN | 265,000 | 77,660 | ||||||||
Portugal Obrigacoes do Tesouro OT |
| |||||||||||
2.13% (1)(4) | 10/17/28 | EUR | 140,000 | 176,694 | ||||||||
4.75% (1)(4) | 06/14/19 | EUR | 145,000 | 185,098 |
See accompanying notes to financial statements.
26
Table of Contents
TCW Global Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Telecommunications (Continued) | ||||||||||||
South Africa Government International Bond |
| |||||||||||
4.67% | 01/17/24 | $ | 100,000 | $ | 99,699 | |||||||
Spain Government Bond |
| |||||||||||
0.05% | 01/31/21 | EUR | 100,000 | 121,431 | ||||||||
1.40% | 01/31/20 | EUR | 131,000 | 163,176 | ||||||||
2.75% (1)(4) | 10/31/24 | EUR | 192,000 | 263,221 | ||||||||
2.90% (1)(4) | 10/31/46 | EUR | 128,000 | 174,827 | ||||||||
Sweden Government Bond |
| |||||||||||
3.50% | 06/01/22 | SEK | 500,000 | 65,884 | ||||||||
United Kingdom Gilt |
| |||||||||||
1.25% (4) | 07/22/27 | GBP | 90,000 | 121,826 | ||||||||
2.00% (4) | 07/22/20 | GBP | 90,000 | 127,308 | ||||||||
2.75% (4) | 09/07/24 | GBP | 170,000 | 256,834 | ||||||||
Uruguay Government International Bond |
| |||||||||||
8.00% | 11/18/22 | $ | 58,000 | 66,636 | ||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $7,502,604) |
| 7,312,141 | ||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 3.9% |
| |||||||||||
Babson CLO, Ltd. (13-IA-AR) |
| |||||||||||
3.16% (1)(2) | 01/20/28 | 40,000 | 39,939 | |||||||||
Educational Funding of the South, Inc. (11-1-A2) |
| |||||||||||
3.01% (3 mo. USD LIBOR + 0.650%) (3) | 04/25/35 | 25,761 | 25,791 | |||||||||
Magnetite XI, Ltd. (14-11A-A1R) |
| |||||||||||
3.48% (3 mo. USD LIBOR + 1.120%) (1)(3) | 01/18/27 | 20,000 | 20,032 | |||||||||
Magnetite XII, Ltd. (15-12A-AR) |
| |||||||||||
3.68% (3 mo. USD LIBOR + 1.330%) (1)(3) | 04/15/27 | 30,000 | 30,156 | |||||||||
Navient Student Loan Trust (14-8-A3) |
| |||||||||||
2.50% (1 mo. USD LIBOR + 0.600%) (3) | 05/27/49 | 80,000 | 80,302 | |||||||||
Navient Student Loan Trust (16-2-A3) |
| |||||||||||
3.40% (1 mo. USD LIBOR + 1.500%) (1)(3) | 06/25/65 | 50,000 | 52,403 | |||||||||
SLC Student Loan Trust (08-1-A4A) |
| |||||||||||
3.72% (3 mo. USD LIBOR + 1.600%) (3) | 12/15/32 | 56,892 | 58,816 | |||||||||
SLM Student Loan Trust (07-3-A4) |
| |||||||||||
2.42% (3 mo. USD LIBOR + 0.060%) (3) | 01/25/22 | 50,000 | 48,823 | |||||||||
SLM Student Loan Trust (07-6-A4) |
| |||||||||||
2.74% (3 mo. USD LIBOR + 0.380%) (3) | 10/25/24 | 46,760 | 46,825 | |||||||||
SLM Student Loan Trust (08-9-A) |
| |||||||||||
3.86% (3 mo. USD LIBOR + 1.500%) (3) | 04/25/23 | 12,634 | 12,898 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Telecommunications (Continued) | ||||||||||||
SLM Student Loan Trust (11-2-A2) |
| |||||||||||
3.10% (1 mo. USD LIBOR + 1.200%) (3) | 10/25/34 | $ | 50,000 | $ | 51,484 | |||||||
SLM Student Loan Trust (12-7-A3) |
| |||||||||||
2.55% (1 mo. USD LIBOR + 0.650%) (3) | 05/26/26 | 97,596 | 96,966 | |||||||||
Student Loan Consolidation Center (02-2-B2) |
| |||||||||||
0.00% (28-Day Auction Rate) (1)(2)(3) | 07/01/42 | 50,000 | 39,830 | |||||||||
Voya CLO, Ltd. (14-4A-A1R) |
| |||||||||||
3.30% (3 mo. USD LIBOR + 0.950%) (1)(3) | 10/14/26 | 40,000 | 40,046 | |||||||||
|
| |||||||||||
Total Asset-backed Securities |
| |||||||||||
(Cost: $636,008) |
| 644,311 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 3.9% | ||||||||||||
Fannie Mae (12-M10-AFL) |
| |||||||||||
2.35% (1 mo. USD LIBOR + 0.450%) (3) | 09/25/22 | 106,856 | 106,658 | |||||||||
Fannie Mae (14-M12-FA) |
| |||||||||||
2.12% (1 mo. USD LIBOR + 0.300%) (3) | 10/25/21 | 7,343 | 7,352 | |||||||||
Fannie Mae, Pool #470251 |
| |||||||||||
3.20% | 02/01/22 | 79,560 | 79,858 | |||||||||
Fannie Mae, Pool #AL6465 |
| |||||||||||
3.25% | 11/01/23 | 86,576 | 87,395 | |||||||||
Fannie Mae, Pool #AL6577 |
| |||||||||||
3.05% | 11/01/22 | 71,472 | 71,296 | |||||||||
Fannie Mae, Pool #AL6578 |
| |||||||||||
2.99% | 04/01/23 | 86,965 | 86,874 | |||||||||
Fannie Mae, Pool #AL8939 |
| |||||||||||
2.48% | 11/01/22 | 30,527 | 29,918 | |||||||||
Fannie Mae, Pool #AM2366 |
| |||||||||||
2.40% | 02/01/23 | 69,781 | 67,742 | |||||||||
Fannie Mae, Pool #AM4011 |
| |||||||||||
3.67% | 07/01/23 | 90,000 | 92,117 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KSCT-AX) (I/O) |
| |||||||||||
1.16% (2) | 01/25/20 | 313,705 | 4,960 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backed Securities — Agency | ||||||||||||
(Cost: $650,847) |
| 634,170 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 0.5% | ||||||||||||
Bank of America-First Union NB Commercial Mortgage (01-3-XC) (I/O) |
| |||||||||||
1.44% (1)(2)(5)(6) | 04/11/37 | 1,749,728 | 6,841 | |||||||||
COMM Mortgage Trust (14-277P-A) |
| |||||||||||
3.73% (1)(2) | 08/10/49 | 20,000 | 20,088 |
See accompanying notes to financial statements.
27
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TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Morgan Stanley Capital I Trust (15-420-A) |
| |||||||||||
3.73% (1) | 10/12/50 | $ | 15,000 | $ | 15,013 | |||||||
Morgan Stanley Capital I Trust (99-RM1-X) (I/O) |
| |||||||||||
0.99% (1)(2)(5)(6) | 12/15/31 | 618,569 | 183 | |||||||||
VNDO Mortgage Trust (12-6AVE-A) |
| |||||||||||
3.00% (1) | 11/15/30 | 25,000 | 24,616 | |||||||||
WF-RBS Commercial Mortgage Trust (11-C4-A3) |
| |||||||||||
4.39% (1) | 06/15/44 | 13,018 | 13,134 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backed |
| |||||||||||
(Cost: $76,157) |
| 79,875 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 9.7% | ||||||||||||
Fannie Mae (07-52-LS) (I/O) (I/F) |
| |||||||||||
4.15% (-1.00 X 1 mo. USD LIBOR + 6.050%) (3) | 06/25/37 | 90,842 | 9,283 | |||||||||
Fannie Mae (08-18-SM) (I/O) (I/F) |
| |||||||||||
5.10% (-1.00 X 1 mo. USD LIBOR + 7.000%) (3) | 03/25/38 | 81,286 | 9,895 | |||||||||
Fannie Mae (09-115-SB) (I/O) (I/F) |
| |||||||||||
4.35% (-1.00 X 1 mo. USD LIBOR + 6.250%) (3) | 01/25/40 | 63,592 | 7,464 | |||||||||
Fannie Mae (10-116-SE) (I/O) (I/F) |
| |||||||||||
4.70% (-1.00 X 1 mo. USD LIBOR + 6.600%) (3) | 10/25/40 | 129,168 | 18,144 | |||||||||
Fannie Mae, Pool #AB3679 |
| |||||||||||
3.50% | 10/01/41 | 133,197 | 132,784 | |||||||||
Fannie Mae, Pool #AB4045 |
| |||||||||||
3.50% | 12/01/41 | 148,458 | 148,945 | |||||||||
Fannie Mae, Pool #AT5914 |
| |||||||||||
3.50% | 06/01/43 | 55,631 | 55,561 | |||||||||
Fannie Mae, Pool #BD7081 |
| |||||||||||
4.00% | 03/01/47 | 92,237 | 94,096 | |||||||||
Fannie Mae, Pool #MA1527 |
| |||||||||||
3.00% | 08/01/33 | 70,869 | 69,836 | |||||||||
Fannie Mae, Pool #MA1652 |
| |||||||||||
3.50% | 11/01/33 | 55,803 | 56,463 | |||||||||
Freddie Mac (2990-ND) (I/F) (PAC) |
| |||||||||||
12.07% (-2.54 X 1 mo. USD LIBOR + 16.891%) (3) | 12/15/34 | 5,321 | 5,645 | |||||||||
Freddie Mac (3439-SC) (I/O) (I/F) |
| |||||||||||
4.00% (-1.00 X 1 mo. USD LIBOR + 5.900%) (3) | 04/15/38 | 88,509 | 10,384 | |||||||||
Freddie Mac, Pool #G08698 |
| |||||||||||
3.50% | 03/01/46 | 81,435 | 81,042 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 81,504 | 81,026 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 13,282 | 12,821 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G08722 |
| |||||||||||
3.50% | 09/01/46 | $ | 8,270 | $ | 8,222 | |||||||
Freddie Mac, Pool #G08726 |
| |||||||||||
3.00% | 10/01/46 | 156,272 | 150,851 | |||||||||
Freddie Mac, Pool #G08732 |
| |||||||||||
3.00% | 11/01/46 | 18,057 | 17,430 | |||||||||
Freddie Mac, Pool #G08762 |
| |||||||||||
4.00% | 05/01/47 | 91,887 | 93,692 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 10,637 | 10,586 | |||||||||
Ginnie Mae (11-146-EI) (I/O) (PAC) |
| |||||||||||
5.00% | 11/16/41 | 90,207 | 18,778 | |||||||||
Ginnie Mae (11-69-GI) (I/O) |
| |||||||||||
5.00% | 05/16/40 | 156,339 | 12,507 | |||||||||
Ginnie Mae (12-7-PI) (I/O) (PAC) |
| |||||||||||
3.50% | 01/20/38 | 99,809 | 3,558 | |||||||||
Ginnie Mae II, Pool #MA3597 |
| |||||||||||
3.50% | 04/20/46 | 49,204 | 49,388 | |||||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 7,303 | 7,331 | |||||||||
Ginnie Mae II, Pool #MA3803 |
| |||||||||||
3.50% | 07/20/46 | 34,683 | 34,813 | |||||||||
Ginnie Mae II, Pool #MA4196 |
| |||||||||||
3.50% | 01/20/47 | 90,578 | 91,177 | |||||||||
Ginnie Mae II, Pool #MA4263 |
| |||||||||||
4.00% | 02/20/47 | 105,464 | 108,307 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 39,165 | 41,221 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
5.00% (7) | 12/01/38 | 25,000 | 26,270 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
4.50% (7) | 07/01/47 | 120,000 | 124,547 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $1,667,688) |
| 1,592,067 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 6.1% | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust (05-HE3-M2) |
| |||||||||||
2.57% (1 mo. USD LIBOR + 0.675%) (3) | 05/25/35 | 64,861 | 65,084 | |||||||||
Banc of America FundingTrust (05-C-A3) |
| |||||||||||
2.20% (1 mo. USD LIBOR + 0.300%) (3) | 05/20/35 | 66,694 | 65,764 | |||||||||
BCMSC Trust (00-A-A4) |
| |||||||||||
8.29% (2) | 06/15/30 | 189,525 | 78,149 | |||||||||
Bear Stearns ALT-A Trust (05-8-11A1) |
| |||||||||||
2.44% (1 mo. USD LIBOR + 0.540%) (3) | 10/25/35 | 73,840 | 72,469 |
See accompanying notes to financial statements.
28
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TCW Global Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
First Horizon Mortgage Pass-Through Trust (05-AR4-2A1) |
| |||||||||||
3.34% (2) | 10/25/35 | $ | 71,608 | $ | 68,861 | |||||||
Green Tree Financial Corp. (98-6-A8) |
| |||||||||||
6.66% (2) | 06/01/30 | 27,616 | 29,192 | |||||||||
JPMorgan Mortgage Trust (05-A6-7A1) |
| |||||||||||
3.63% (2) | 08/25/35 | 48,412 | 47,241 | |||||||||
Lehman XS Trust (06-9-A1B) |
| |||||||||||
2.06% (1 mo. USD LIBOR + 0.160%) (3) | 05/25/46 | 67,333 | 82,253 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A3-A2D) |
| |||||||||||
2.23% (1 mo. USD LIBOR + 0.330%)(3)(5) | 04/25/37 | 1,251,739 | 144,902 | |||||||||
MortgageIT Trust (05-1-1A1) |
| |||||||||||
2.54% (1 mo. USD LIBOR + 0.640%)(3) | 02/25/35 | 68,150 | 68,373 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (04-18-4A1) |
| |||||||||||
3.49% (2) | 12/25/34 | 70,379 | 69,823 | |||||||||
Structured Asset Mortgage Investments II Trust (05-AR6-2A1) |
| |||||||||||
2.52% (1 mo. USD LIBOR + 0.310%)(3) | 09/25/45 | 72,917 | 71,561 | |||||||||
Structured Asset Mortgage Investments, Inc. (06-AR3-22A1) |
| |||||||||||
3.24% (2) | 05/25/36 | 193,399 | 135,225 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed |
| |||||||||||
(Cost: $891,233) |
| 998,897 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities | ||||||||||||
(Cost: $14,686,942) |
| 14,603,529 | ||||||||||
|
|
Issues | Maturity Date | Shares | Value | |||||||||
MONEY MARKET INVESTMENTS — 2.1% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (8) |
| 349,319 | $ | 349,319 | ||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $349,319) |
| 349,319 | ||||||||||
|
| |||||||||||
Security | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 9.4% |
| |||||||||||
FOREIGN GOVERNMENT BONDS — 3.8% | ||||||||||||
Japan Treasury Bill | ||||||||||||
0.00% (9) | 07/09/18 | JPY | 25,000,000 | 228,538 | ||||||||
0.00% (9) | 06/04/18 | JPY | 43,300,000 | 395,769 | ||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $638,783) |
| 624,307 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 5.6% |
| |||||||||||
U.S. Treasury Bill | ||||||||||||
1.62% (10)(11) | 06/14/18 | $ | 70,000 | 69,860 | ||||||||
1.76% (10) | 07/19/18 | 271,000 | 269,959 | |||||||||
1.96% (10) | 10/04/18 | 589,000 | 584,074 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $923,872) |
| 923,893 | ||||||||||
|
| |||||||||||
Total Short Term Investments | ||||||||||||
(Cost: $1,562,655) |
| 1,548,200 | ||||||||||
|
| |||||||||||
Total Investments (100.4%) |
| |||||||||||
(Cost: $16,598,916) |
| 16,501,048 | ||||||||||
Liabilities in Excess of Other Assets (-0.4%) |
| (62,533 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 16,438,515 | |||||||||
|
|
Forward Currency Exchange Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
BUY (12) | ||||||||||||||||||||||||
Goldman Sachs International | EUR | 645,000 | 07/20/18 | $ | 800,315 | $ | 784,019 | $ | (16,296 | ) | ||||||||||||||
Goldman Sachs International | JPY | 15,615,780 | 07/20/18 | 146,000 | 143,495 | (2,505 | ) | |||||||||||||||||
Barclays Capital | NOK | 1,690,000 | 07/11/18 | 209,304 | 211,492 | 2,188 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 1,155,619 | $ | 1,139,006 | $ | (16,613 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (13) | ||||||||||||||||||||||||
Goldman Sachs International | JPY | 15,615,780 | 07/20/18 | 145,605 | 143,495 | 2,110 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 145,605 | $ | 143,495 | $ | 2,110 | |||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
29
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional Value | Market Value | Net Unrealized Appreciation/ Depreciation | |||||||||||||
BUY | ||||||||||||||||||
5 | 2-Year U.S. Treasury Note Futures | 06/29/18 | $ | 1,062,354 | $ | 1,060,234 | $ | (2,120 | ) | |||||||||
10 | 5-Year U.S. Treasury Note Futures | 06/29/18 | 1,139,239 | 1,135,078 | (4,161 | ) | ||||||||||||
3 | 10-Year U.S. Treasury Note Futures | 06/20/18 | 382,249 | 383,672 | 1,423 | |||||||||||||
5 | U.S. Ultra Long Bond Futures | 06/20/18 | 766,768 | 785,625 | 18,857 | |||||||||||||
|
|
|
|
|
| |||||||||||||
$ | 3,350,610 | $ | 3,364,609 | $ | 13,999 | |||||||||||||
|
|
|
|
|
|
Notes to Schedule of Investments:
AUD | Australian Dollar. |
CAD | Canadian Dollar. |
DKK | Danish Krone. |
EUR | Euro Currency. |
GBP | British Pound Sterling. |
IDR | Indonesian Rupiah. |
JPY | Japanese Yen. |
NOK | Norwegian Krona. |
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. |
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, 2018, the value of these securities amounted to $2,220,712 or 13.5% 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 Fund’s Board of Directors. |
(2) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(3) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2018. |
(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, 2018, the value of these securities amounted to $2,946,207 or 17.9% of net assets. |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(6) | Restricted security (Note 10). |
(7) | 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. |
(8) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
(9) | Security is not accruing interest. |
(10) | Rate shown represents yield-to-maturity. |
(11) | All or a portion of this security is held as collateral for open futures contracts. |
(12) | Fund buys foreign currency, sells U.S. Dollar. |
(13) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
30
Table of Contents
TCW Global Bond Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Aerospace/Defense | 0.5 | % | ||
Airlines | 0.9 | |||
Asset-Backed Securities | 3.9 | |||
Auto Manufacturers | 0.3 | |||
Banks | 6.0 | |||
Beverages | 0.5 | |||
Biotechnology | 0.6 | |||
Chemicals | 0.3 | |||
Commercial Mortgage-Backed Securities — Agency | 3.9 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.5 | |||
Cosmetics/Personal Care | 0.0 | * | ||
Diversified Financial Services | 0.5 | |||
Electric | 1.1 | |||
Electronics | 0.0 | * | ||
Environmental Control | 0.0 | * | ||
Food | 0.2 | |||
Foreign Government Bonds | 44.5 | |||
Forest Products & Paper | 0.3 | |||
Healthcare-Products | 0.3 | |||
Healthcare-Services | 1.1 | |||
Household Products/Wares | 0.0 | * | ||
Insurance | 0.5 | |||
Internet | 0.0 | * | ||
Media | 0.5 | |||
Miscellaneous Manufacturers | 1.0 | |||
Municipal Bonds | 0.2 | |||
Oil & Gas | 0.7 | |||
Packaging & Containers | 0.1 | |||
Pharmaceuticals | 0.8 | |||
Pipelines | 0.3 | |||
REIT | 2.0 | |||
Residential Mortgage-Backed Securities — Agency | 9.7 | |||
Residential Mortgage-Backed Securities — Non-Agency | 6.1 | |||
Retail | 0.4 | |||
Short Term Investments | 9.4 | |||
Software | 0.0 | * | ||
Telecommunications | 1.2 | |||
Money Market Investments | 2.1 | |||
|
| |||
Total | 100.4 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
31
Table of Contents
TCW Global Bond Fund
Investments by Country (Unaudited) | April 30, 2018 |
Country | Percentage of Net Assets | |||
Australia | 1.5 | % | ||
Canada | 2.9 | |||
Cayman Islands | 0.7 | |||
Colombia | 0.4 | |||
Denmark | 1.0 | |||
France | 3.7 | |||
Germany | 1.6 | |||
Great Britain | 3.3 | |||
Indonesia | 0.4 | |||
Ireland | 0.5 | |||
Italy | 4.3 | |||
Japan | 15.0 | |||
Luxembourg | 0.2 | |||
Malaysia | 1.8 | |||
Mexico | 0.6 | |||
Netherlands | 0.0 | * | ||
Norway | 2.3 | |||
Poland | 0.5 | |||
Portugal | 2.2 | |||
South Africa | 0.6 | |||
South Korea | 1.3 | |||
Spain | 4.4 | |||
Sweden | 0.4 | |||
United Kingdom | 0.2 | |||
United States | 50.2 | |||
Uruguay | 0.4 | |||
|
| |||
Total | 100.4 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
32
Table of Contents
TCW Global Bond Fund
Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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* | $ | — | $ | 3,300,931 | $ | — | $ | 3,300,931 | ||||||||
Municipal Bonds | — | 41,137 | — | 41,137 | ||||||||||||
Foreign Government Bonds | — | 7,312,141 | — | 7,312,141 | ||||||||||||
Asset-Backed Securities | — | 644,311 | — | 644,311 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 634,170 | — | 634,170 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 72,851 | 7,024 | 79,875 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 1,592,067 | — | 1,592,067 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 853,995 | 144,902 | 998,897 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 14,451,603 | 151,926 | 14,603,529 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 349,319 | — | — | 349,319 | ||||||||||||
Short-Term Investments | 923,893 | 624,307 | — | 1,548,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,273,212 | 15,075,910 | 151,926 | 16,501,048 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 4,298 | — | 4,298 | ||||||||||||
Futures | ||||||||||||||||
Interest Rate Risk | 20,280 | — | — | 20,280 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,293,492 | $ | 15,080,208 | $ | 151,926 | $ | 16,525,626 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (18,801 | ) | $ | — | $ | (18,801 | ) | ||||||
Futures | ||||||||||||||||
Interest Rate Risk | (6,281 | ) | — | — | (6,281 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (6,281 | ) | $ | (18,801 | ) | $ | — | $ | (25,082 | ) | |||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
33
Table of Contents
Schedule of Investments (Unaudited)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 86.7% of Net Assets |
| |||||||||||
BANK LOANS — 9.1% | ||||||||||||
Commercial Services — 2.8% | ||||||||||||
Agro Merchants NAI Holdings, LLC, 2017 1st Lien Term Loan B |
| |||||||||||
6.05% (3 mo. USD LIBOR + 3.750%) (1) | 12/06/24 | $ | 49,878 | $ | 50,440 | |||||||
Mister Car Wash, Inc., Term Loan B |
| |||||||||||
5.70% (3 mo. USD LIBOR + 3.250%) (1) | 08/20/21 | 54,180 | 54,552 | |||||||||
SBA Senior Finance II LLC 2018 Term Loan B |
| |||||||||||
2.00% (3 mo. USD LIBOR + 2.000%) (1) | 04/11/25 | 90,000 | 90,357 | |||||||||
Scientific Games International, Inc., 2018 Term Loan B5 |
| |||||||||||
4.70% (3 mo. USD LIBOR + 2.750%) (1) | 08/14/24 | 80,000 | 80,581 | |||||||||
SS&C Technologies Holdings Europe S.A.R.L., 2018 Term Loan B4 |
| |||||||||||
2.50% (3 mo. USD LIBOR + 2.500%) (1) | 04/16/25 | 35,496 | 35,778 | |||||||||
SS&C Technologies, Inc., 2018 Term Loan B3 |
| |||||||||||
2.50% (3 mo. USD LIBOR + 2.500%) (1) | 04/16/25 | 95,938 | 96,700 | |||||||||
VICI Properties 1 LLC, Replacement Term Loan B |
| |||||||||||
3.90% (3 mo. USD LIBOR + 2.000%) (1) | 12/20/24 | 38,182 | 38,367 | |||||||||
WMG Acquisition Corp., 2017 Term Loan E |
| |||||||||||
4.15% (3 mo. USD LIBOR + 2.250%) (1) | 11/01/23 | 30,000 | 30,177 | |||||||||
|
| |||||||||||
476,952 | ||||||||||||
|
| |||||||||||
Electric — 0.6% | ||||||||||||
Dynegy, Inc., 2017 Term Loan C2 |
| |||||||||||
4.40% (3 mo. USD LIBOR + 2.750%) (1) | 02/07/24 | 25,000 | 25,192 | |||||||||
TEX Operations Co. LLC, Exit Term Loan B |
| |||||||||||
4.40% (3 mo. USD LIBOR + 2.750%) (1) | 08/04/23 | 60,308 | 60,798 | |||||||||
TEX Operations Co. LLC, Exit Term Loan C |
| |||||||||||
4.40% (3 mo. USD LIBOR + 2.750%) (1) | 08/04/23 | 10,714 | 10,801 | |||||||||
|
| |||||||||||
96,791 | ||||||||||||
|
| |||||||||||
Entertainment — 0.6% | ||||||||||||
Churchill Downs, Inc., 2017 Term Loan B |
| |||||||||||
3.91% (3 mo. USD LIBOR + 2.000%) (1) | 12/27/24 | 94,763 | 95,295 | |||||||||
|
| |||||||||||
Healthcare-Services — 0.1% | ||||||||||||
BCPE Eagle Buyer LLC, 2017 1st Lien Term Loan |
| |||||||||||
6.15% (3 mo. USD LIBOR + 4..250%) (1) | 03/18/24 | 12,870 | 12,697 | |||||||||
BCPE Eagle Buyer LLC, 2017 2nd Lien Term Loan |
| |||||||||||
9.93% (3 mo. USD LIBOR + 8.000%) (1) | 03/17/25 | 13,000 | 12,946 | |||||||||
|
| |||||||||||
25,643 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Lodging — 0.3% | ||||||||||||
CityCenter Holdings, LLC, 2017 Term Loan B |
| |||||||||||
4.40% (3 mo. USD LIBOR + 2.50%) (1) | 04/18/24 | $ | 54,338 | $ | 54,674 | |||||||
Pharmaceuticals — 0.9% | ||||||||||||
Alphabet Holding Co., Inc., 2017 1st Lien Term Loan |
| |||||||||||
5.40% (3 mo. USD LIBOR + 3.50%) (1) | 09/26/24 | 77,610 | 67,456 | |||||||||
Catalent Pharma Solutions, Inc., Term Loan B |
| |||||||||||
4.15% (3 mo. USD LIBOR + 2.250%) (1) | 05/20/24 | 39,880 | 40,107 | |||||||||
PharMerica Corp., 1st Lien Term Loan |
| |||||||||||
9.65% (3 mo. USD LIBOR + 3.500%) (1) | 12/06/24 | 26,000 | 26,163 | |||||||||
PharMerica Corp., 2nd Lien Term Loan |
| |||||||||||
9.65% (3 mo. USD LIBOR + 8.750%) (1) | 12/07/25 | 26,000 | 26,130 | |||||||||
|
| |||||||||||
159,856 | ||||||||||||
|
| |||||||||||
Retail — 1.1% | ||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B3 |
| |||||||||||
4.15% (3 mo. USD LIBOR + 2.250%) (1) | 02/16/24 | 148,497 | 149,098 | |||||||||
Petco Animal Supplies, Inc., 2017 Term Loan B |
| |||||||||||
5.61% (3 mo. USD LIBOR + 3.000%) (1) | 01/26/23 | 49,746 | 34,290 | |||||||||
|
| |||||||||||
183,388 | ||||||||||||
|
| |||||||||||
Software — 1.8% | ||||||||||||
First Data Corp., 2022 Term Loan |
| |||||||||||
4.15% (3 mo. USD LIBOR + 2.250%) (1) | 07/08/22 | 65,000 | 65,305 | |||||||||
First Data Corp., 2024 Term Loan |
| |||||||||||
4.15% (3 mo. USD LIBOR + 2.250%) (1) | 04/26/24 | 212,274 | 213,259 | |||||||||
TierPoint LLC, 2017 1st Lien Term Loan |
| |||||||||||
5.65% (3 mo. USD LIBOR + 3.750%) (1) | 05/06/24 | 35,475 | 34,400 | |||||||||
|
| |||||||||||
312,964 | ||||||||||||
|
| |||||||||||
Telecommunications — 0.9% | ||||||||||||
Colorado Buyer, Inc., Term Loan B |
| |||||||||||
4.78% (3 mo. USD LIBOR + 3.000%) (1) | 05/01/24 | 24,813 | 24,797 | |||||||||
Intelsat Jackson Holdings S.A., 2017 Term Loan B5 |
| |||||||||||
6.63% (3 mo. USD LIBOR + 6.6250%) (1) | 01/02/24 | 130,000 | 132,779 | |||||||||
|
| |||||||||||
157,576 | ||||||||||||
|
| |||||||||||
Total Bank Loans | ||||||||||||
(Cost: $1,482,414) |
| 1,563,139 | ||||||||||
|
|
See accompanying notes to financial statements.
34
Table of Contents
TCW High Yield Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATE BONDS — 77.6% | ||||||||||||
Advertising — 0.6% | ||||||||||||
Lamar Media Corp. |
| |||||||||||
5.75% | 02/01/26 | $ | 100,000 | $ | 104,000 | |||||||
|
| |||||||||||
Aerospace/Defense — 0.2% | ||||||||||||
KLX, Inc. |
| |||||||||||
5.88% (2) | 12/01/22 | 28,000 | 29,296 | |||||||||
|
| |||||||||||
Airlines — 3.4% | ||||||||||||
American Airlines, Inc. Pass-Through Trust (13-2-B) (EETC) |
| |||||||||||
5.60% (2) | 01/15/22 | 251,116 | 257,344 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates (99-1-A) (EETC) |
| |||||||||||
6.55% | 08/02/20 | 62,793 | 63,421 | |||||||||
Delta Air Lines, Inc. Pass-Through Certificates (02-1-G-1) (EETC) |
| |||||||||||
6.72% | 07/02/24 | 236,805 | 256,248 | |||||||||
|
| |||||||||||
577,013 | ||||||||||||
|
| |||||||||||
Auto Parts & Equipment — 0.2% | ||||||||||||
Tenneco, Inc. |
| |||||||||||
5.00% | 07/15/26 | 34,000 | 31,875 | |||||||||
|
| |||||||||||
Banks — 0.3% | ||||||||||||
CIT Group, Inc. |
| |||||||||||
3.88% | 02/19/19 | 50,000 | 50,295 | |||||||||
Chemicals — 1.3% | ||||||||||||
Axalta Coating Systems LLC |
| |||||||||||
4.88% (2) | 08/15/24 | 160,000 | 162,000 | |||||||||
Kissner Holdings LP / Kissner Milling Co., Ltd. / BSC Holding, Inc. / Kissner USA (Canada) |
| |||||||||||
8.38% (2) | 12/01/22 | 20,000 | 20,550 | |||||||||
Valvoline, Inc. |
| |||||||||||
4.38% | 08/15/25 | 40,000 | 38,450 | |||||||||
|
| |||||||||||
221,000 | ||||||||||||
|
| |||||||||||
Coal — 0.1% | ||||||||||||
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp. |
| |||||||||||
7.50% (2) | 06/15/25 | 22,000 | 22,770 | |||||||||
|
| |||||||||||
Commercial Services — 2.9% | ||||||||||||
Brink’s Co. (The) |
| |||||||||||
4.63% (2) | 10/15/27 | 58,000 | 53,505 | |||||||||
Gartner, Inc. |
| |||||||||||
5.13% (2) | 04/01/25 | 12,000 | 12,056 | |||||||||
IHS Markit, Ltd. |
| |||||||||||
4.00% (2) | 03/01/26 | 103,000 | 99,172 | |||||||||
4.75% (2) | 02/15/25 | 15,000 | 15,114 | |||||||||
Matthews International Corp. |
| |||||||||||
5.25% (2) | 12/01/25 | 120,000 | 118,800 | |||||||||
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. |
| |||||||||||
7.88% (2) | 10/01/22 | 46,000 | 45,885 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Commercial Services (Continued) | ||||||||||||
Service Corp. International |
| |||||||||||
4.50% | 11/15/20 | $ | 110,000 | $ | 110,550 | |||||||
4.63% | 12/15/27 | 50,000 | 49,015 | |||||||||
|
| |||||||||||
504,097 | ||||||||||||
|
| |||||||||||
Computers — 0.8% | ||||||||||||
EMC Corp. |
| |||||||||||
1.88% | 06/01/18 | 130,000 | 130,130 | |||||||||
|
| |||||||||||
Cosmetics/Personal Care — 0.3% | ||||||||||||
First Quality Finance Co., Inc. |
| |||||||||||
4.63% (2) | 05/15/21 | 50,000 | 49,625 | |||||||||
|
| |||||||||||
Diversified Financial Services — 1.5% | ||||||||||||
Ally Financial, Inc. |
| |||||||||||
3.25% | 11/05/18 | 250,000 | 250,625 | |||||||||
|
| |||||||||||
Electric — 0.2% | ||||||||||||
NextEra Energy Operating Partners LP |
| |||||||||||
4.25% (2) | 09/15/24 | 7,000 | 6,790 | |||||||||
4.50% (2) | 09/15/27 | 30,000 | 28,200 | |||||||||
|
| |||||||||||
34,990 | ||||||||||||
|
| |||||||||||
Electronics — 0.8% | ||||||||||||
Itron, Inc. |
| |||||||||||
5.00% (2) | 01/15/26 | 145,000 | 142,825 | |||||||||
|
| |||||||||||
Entertainment — 2.5% | ||||||||||||
Caesars Resort Collection LLC / CRC Finco, Inc. |
| |||||||||||
5.25% (2) | 10/15/25 | 27,000 | 25,920 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
4.38% | 11/01/18 | 260,000 | 261,300 | |||||||||
Rivers Pittsburgh Borrower LP / Rivers Pittsburgh Finance Corp. |
| |||||||||||
6.13% (2) | 08/15/21 | 93,000 | 89,977 | |||||||||
WMG Acquisition Corp. |
| |||||||||||
5.50% (2) | 04/15/26 | 52,000 | 52,325 | |||||||||
|
| |||||||||||
429,522 | ||||||||||||
|
| |||||||||||
Environmental Control — 2.5% | ||||||||||||
Clean Harbors, Inc. |
| |||||||||||
5.13% | 06/01/21 | 229,000 | 231,290 | |||||||||
Covanta Holding Corp. |
| |||||||||||
5.88% | 07/01/25 | 18,000 | 17,550 | |||||||||
GFL Environmental, Inc. |
| |||||||||||
5.38% (2) | 03/01/23 | 57,000 | 56,572 | |||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% (2) | 02/15/26 | 130,000 | 128,986 | |||||||||
|
| |||||||||||
434,398 | ||||||||||||
|
| |||||||||||
Food — 2.4% | ||||||||||||
B&G Foods, Inc. |
| |||||||||||
4.63% | 06/01/21 | 150,000 | 148,641 |
See accompanying notes to financial statements.
35
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Food (Continued) | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.88% (2) | 02/15/25 | $ | 60,000 | $ | 62,457 | |||||||
Pilgrim’s Pride Corp. |
| |||||||||||
5.75% (2) | 03/15/25 | 7,000 | 6,860 | |||||||||
5.88% (2) | 09/30/27 | 58,000 | 55,535 | |||||||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. |
| |||||||||||
5.88% | 01/15/24 | 10,000 | 10,350 | |||||||||
Post Holdings, Inc. |
| |||||||||||
5.63% (2) | 01/15/28 | 125,000 | 119,844 | |||||||||
TreeHouse Foods, Inc. |
| |||||||||||
6.00% (2) | 02/15/24 | 6,000 | 5,992 | |||||||||
|
| |||||||||||
409,679 | ||||||||||||
|
| |||||||||||
Healthcare-Products — 1.1% | ||||||||||||
Hill-Rom Holdings, Inc. |
| |||||||||||
5.75% (2) | 09/01/23 | 70,000 | 72,716 | |||||||||
Hologic, Inc. |
| |||||||||||
4.63% (2) | 02/01/28 | 55,000 | 52,456 | |||||||||
Teleflex, Inc. |
| |||||||||||
4.63% | 11/15/27 | 25,000 | 23,969 | |||||||||
4.88% | 06/01/26 | 7,000 | 6,928 | |||||||||
5.25% | 06/15/24 | 37,000 | 37,740 | |||||||||
|
| |||||||||||
193,809 | ||||||||||||
|
| |||||||||||
Healthcare-Services — 9.0% | ||||||||||||
Acadia Healthcare Co., Inc. |
| |||||||||||
6.50% | 03/01/24 | 76,000 | 79,040 | |||||||||
Centene Corp. |
| |||||||||||
4.75% | 05/15/22 | 40,000 | 40,600 | |||||||||
4.75% | 01/15/25 | 87,000 | 84,825 | |||||||||
5.63% | 02/15/21 | 35,000 | 36,006 | |||||||||
CHS / Community Health Systems, Inc. |
| |||||||||||
5.13% | 08/01/21 | 12,000 | 11,085 | |||||||||
6.25% | 03/31/23 | 225,000 | 206,437 | |||||||||
DaVita, Inc. |
| |||||||||||
5.00% | 05/01/25 | 20,000 | 19,004 | |||||||||
5.75% | 08/15/22 | 47,000 | 48,175 | |||||||||
Encompass Health Corp. |
| |||||||||||
5.75% | 11/01/24 | 135,000 | 137,869 | |||||||||
HCA, Inc. |
| |||||||||||
3.75% | 03/15/19 | 75,000 | 75,398 | |||||||||
5.00% | 03/15/24 | 15,000 | 15,206 | |||||||||
6.50% | 02/15/20 | 365,000 | 382,337 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
5.38% | 11/15/22 | 17,000 | 17,043 | |||||||||
Polaris Intermediate Corp. |
| |||||||||||
8.50% (2) | 12/01/22 | 20,000 | 20,375 | |||||||||
SP Finco LLC |
| |||||||||||
6.75% (2) | 07/01/25 | 22,000 | 20,900 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Healthcare-Services (Continued) | ||||||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.50% | 04/01/21 | $ | 113,000 | $ | 112,718 | |||||||
4.63% (2) | 07/15/24 | 104,000 | 100,760 | |||||||||
4.75% | 06/01/20 | 75,000 | 75,750 | |||||||||
WellCare Health Plans, Inc. |
| |||||||||||
5.25% | 04/01/25 | 61,000 | 61,464 | |||||||||
|
| |||||||||||
1,544,992 | ||||||||||||
|
| |||||||||||
Household Products/Wares — 0.7% | ||||||||||||
Central Garden & Pet Co. |
| |||||||||||
5.13% | 02/01/28 | 55,000 | 52,525 | |||||||||
Spectrum Brands, Inc. |
| |||||||||||
6.13% | 12/15/24 | 20,000 | 20,400 | |||||||||
6.63% | 11/15/22 | 45,000 | 46,688 | |||||||||
|
| |||||||||||
119,613 | ||||||||||||
|
| |||||||||||
Internet — 0.5% | ||||||||||||
Zayo Group LLC / Zayo Capital, Inc. |
| |||||||||||
5.75% (2) | 01/15/27 | 92,000 | 91,575 | |||||||||
|
| |||||||||||
Leisure Time — 0.3% | ||||||||||||
NCL Corp., Ltd. |
| |||||||||||
4.75% (2) | 12/15/21 | 48,000 | 48,840 | |||||||||
|
| |||||||||||
Lodging — 0.6% | ||||||||||||
Boyd Gaming Corp. |
| |||||||||||
6.88% | 05/15/23 | 32,000 | 33,720 | |||||||||
Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp. |
| |||||||||||
5.88% (2) | 05/15/25 | 38,000 | 36,527 | |||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. |
| |||||||||||
5.25% (2) | 05/15/27 | 30,000 | 29,063 | |||||||||
|
| |||||||||||
99,310 | ||||||||||||
|
| |||||||||||
Machinery-Diversified — 0.1% | ||||||||||||
Titan Acquisition, Ltd. / Titan Co-Borrower LLC |
| |||||||||||
7.75% (2) | 04/15/26 | 20,000 | 19,950 | |||||||||
|
| |||||||||||
Media — 12.4% | ||||||||||||
Altice US Finance I Corp. (Luxembourg) |
| |||||||||||
5.50% (2) | 05/15/26 | 200,000 | 196,500 | |||||||||
AMC Networks, Inc. |
| |||||||||||
4.75% | 08/01/25 | 45,000 | 42,975 | |||||||||
Cable One, Inc. |
| |||||||||||
5.75% (2) | 06/15/22 | 117,000 | 119,925 | |||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
| |||||||||||
5.00% (2) | 02/01/28 | 101,000 | 93,425 | |||||||||
5.13% (2) | 05/01/27 | 195,000 | 183,055 | |||||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp. |
| |||||||||||
5.13% (2) | 12/15/21 | 25,000 | 24,839 |
See accompanying notes to financial statements.
36
Table of Contents
TCW High Yield Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Media (Continued) | ||||||||||||
CSC Holdings LLC |
| |||||||||||
5.38% (2) | 02/01/28 | $ | 200,000 | $ | 187,500 | |||||||
7.63% | 07/15/18 | 235,000 | 237,203 | |||||||||
DISH DBS Corp. |
| |||||||||||
7.88% | 09/01/19 | 192,000 | 199,200 | |||||||||
EW Scripps Co. (The) |
| |||||||||||
5.13% (2) | 05/15/25 | 38,000 | 35,483 | |||||||||
Midcontinent Communications & Finance Co. |
| |||||||||||
6.88% (2) | 08/15/23 | 55,000 | 57,819 | |||||||||
Radiate Holdco LLC / Radiate Finance, Inc. |
| |||||||||||
6.88% (2) | 02/15/23 | 18,000 | 17,505 | |||||||||
Sinclair Television Group, Inc. |
| |||||||||||
6.13% | 10/01/22 | 195,000 | 201,094 | |||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% (2) | 08/01/22 | 219,000 | 212,988 | |||||||||
TEGNA, Inc. |
| |||||||||||
5.13% | 10/15/19 | 91,000 | 91,796 | |||||||||
Univision Communications, Inc. |
| |||||||||||
5.13% (2) | 02/15/25 | 39,000 | 36,172 | |||||||||
Virgin Media Secured Finance PLC (United Kingdom) |
| |||||||||||
5.50% (2) | 08/15/26 | 200,000 | 193,250 | |||||||||
|
| |||||||||||
2,130,729 | ||||||||||||
|
| |||||||||||
Oil & Gas — 4.1% | ||||||||||||
Antero Resources Corp. |
| |||||||||||
5.00% | 03/01/25 | 22,000 | 22,110 | |||||||||
Centennial Resource Production LLC |
| |||||||||||
5.38% (2) | 01/15/26 | 88,000 | 87,560 | |||||||||
CrownRock LP / CrownRock Finance, Inc. |
| |||||||||||
5.63% (2) | 10/15/25 | 47,000 | 46,589 | |||||||||
Diamondback Energy, Inc. |
| |||||||||||
4.75% | 11/01/24 | 5,000 | 4,999 | |||||||||
5.38% | 05/31/25 | 20,000 | 20,350 | |||||||||
Endeavor Energy Resources LP / EER Finance, Inc. |
| |||||||||||
5.75% (2) | 01/30/28 | 38,000 | 38,332 | |||||||||
Ensco PLC (United Kingdom) |
| |||||||||||
7.75% | 02/01/26 | 77,000 | 72,861 | |||||||||
Gulfport Energy Corp. |
| |||||||||||
6.38% | 05/15/25 | 8,000 | 7,708 | |||||||||
Newfield Exploration Co. |
| |||||||||||
5.63% | 07/01/24 | 5,000 | 5,312 | |||||||||
5.75% | 01/30/22 | 78,000 | 82,290 | |||||||||
Parsley Energy LLC / Parsley Finance Corp. |
| |||||||||||
5.25% (2) | 08/15/25 | 78,000 | 78,195 | |||||||||
Range Resources Corp. |
| |||||||||||
4.88% | 05/15/25 | 59,000 | 54,907 | |||||||||
Seven Generations Energy, Ltd. (Canada) |
| |||||||||||
5.38% (2) | 09/30/25 | 37,000 | 36,029 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Oil & Gas (Continued) | ||||||||||||
Sunoco LP / Sunoco Finance Corp. |
| |||||||||||
4.88% (2) | 01/15/23 | $ | 140,000 | $ | 137,529 | |||||||
WPX Energy, Inc. |
| |||||||||||
5.25% | 09/15/24 | 11,000 | 11,110 | |||||||||
6.00% | 01/15/22 | 3,000 | 3,139 | |||||||||
|
| |||||||||||
709,020 | ||||||||||||
|
| |||||||||||
Oil & Gas Services — 1.3% | ||||||||||||
Transocean Proteus, Ltd. |
| |||||||||||
6.25% (2) | 12/01/24 | 130,500 | 134,578 | |||||||||
USA Compression Partners LP / USA Compression Finance Corp. |
| |||||||||||
6.88% (2) | 04/01/26 | 91,000 | 93,161 | |||||||||
|
| |||||||||||
227,739 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 5.7% | ||||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (Ireland) |
| |||||||||||
4.63% (2) | 05/15/23 | 225,000 | 225,563 | |||||||||
Ball Corp. |
| |||||||||||
4.00% | 11/15/23 | 15,000 | 14,756 | |||||||||
4.38% | 12/15/20 | 55,000 | 56,306 | |||||||||
4.88% | 03/15/26 | 55,000 | 55,000 | |||||||||
Berry Global, Inc. |
| |||||||||||
4.50% (2) | 02/15/26 | 50,000 | 47,875 | |||||||||
Berry Plastics Corp. |
| |||||||||||
5.13% | 07/15/23 | 40,000 | 40,450 | |||||||||
Crown Americas LLC / Crown Americas Capital Corp. V |
| |||||||||||
4.25% | 09/30/26 | 63,000 | 58,511 | |||||||||
Graphic Packaging International, Inc. |
| |||||||||||
4.88% | 11/15/22 | 60,000 | 61,200 | |||||||||
Multi-Color Corp. |
| |||||||||||
4.88% (2) | 11/01/25 | 120,000 | 112,200 | |||||||||
OI European Group BV (Netherlands) |
| |||||||||||
4.00% (2) | 03/15/23 | 128,000 | 121,920 | |||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg) |
| |||||||||||
5.85% (3 mo. USD LIBOR + 3.500%) (1)(2) | 07/15/21 | 170,000 | 172,763 | |||||||||
Sealed Air Corp. |
| |||||||||||
5.25% (2) | 04/01/23 | 17,000 | 17,510 | |||||||||
|
| |||||||||||
984,054 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 1.8% | ||||||||||||
Valeant Pharmaceuticals International, Inc. (Canada) |
| |||||||||||
5.50% (2) | 11/01/25 | 3,000 | 2,996 | |||||||||
5.88% (2) | 05/15/23 | 162,000 | 149,445 | |||||||||
6.13% (2) | 04/15/25 | 117,000 | 105,885 | |||||||||
6.50% (2) | 03/15/22 | 45,000 | 46,857 | |||||||||
|
| |||||||||||
305,183 | ||||||||||||
|
|
See accompanying notes to financial statements.
37
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Pipelines — 5.6% | ||||||||||||
Cheniere Corpus Christi Holdings LLC |
| |||||||||||
5.13% (2) | 06/30/27 | $ | 35,000 | $ | 34,256 | |||||||
Cheniere Energy Partners LP |
| |||||||||||
5.25% (2) | 10/01/25 | 18,000 | 17,640 | |||||||||
Energy Transfer Equity LP |
| |||||||||||
5.50% | 06/01/27 | 115,000 | 115,287 | |||||||||
5.88% | 01/15/24 | 17,000 | 17,426 | |||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
2.65% | 02/01/19 | 135,000 | 134,648 | |||||||||
NGPL PipeCo LLC |
| |||||||||||
4.38% (2) | 08/15/22 | 145,000 | 144,819 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
5.63% (2) | 04/15/20 | 155,000 | 161,248 | |||||||||
6.00% (2) | 01/15/19 | 85,000 | 86,806 | |||||||||
6.88% (2) | 04/15/40 | 10,000 | 11,600 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. |
| |||||||||||
5.88% (2) | 04/15/26 | 101,000 | 100,248 | |||||||||
TransMontaigne Partners LP / TLP Finance Corp. |
| |||||||||||
6.13% | 02/15/26 | 100,000 | 100,000 | |||||||||
Williams Cos., Inc. (The) |
| |||||||||||
3.70% | 01/15/23 | 45,000 | 43,749 | |||||||||
|
| |||||||||||
967,727 | ||||||||||||
|
| |||||||||||
REIT — 0.4% | ||||||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. |
| |||||||||||
4.50% | 01/15/28 | 48,000 | 44,400 | |||||||||
5.63% | 05/01/24 | 21,000 | 21,525 | |||||||||
|
| |||||||||||
65,925 | ||||||||||||
|
| |||||||||||
Retail — 2.0% | ||||||||||||
1011778 BC ULC / New Red Finance, Inc. (Canada) |
| |||||||||||
4.25% (2) | 05/15/24 | 57,000 | 54,364 | |||||||||
Cumberland Farms, Inc. |
| |||||||||||
6.75% (2) | 05/01/25 | 57,000 | 59,351 | |||||||||
IRB Holding Corp. |
| |||||||||||
6.75% (2) | 02/15/26 | 20,000 | 19,350 | |||||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC |
| |||||||||||
4.75% (2) | 06/01/27 | 8,000 | 7,660 | |||||||||
5.00% (2) | 06/01/24 | 3,000 | 3,008 | |||||||||
Nathan’s Famous, Inc. |
| |||||||||||
6.63% (2) | 11/01/25 | 19,000 | 19,166 | |||||||||
Penske Automotive Group, Inc. |
| |||||||||||
3.75% | 08/15/20 | 105,000 | 104,643 | |||||||||
Rite Aid Corp. |
| |||||||||||
6.13% (2) | 04/01/23 | 80,000 | 81,400 | |||||||||
348,942 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Software — 1.4% | ||||||||||||
CDK Global, Inc. |
| |||||||||||
3.80% | 10/15/19 | $ | 188,000 | $ | 189,194 | |||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. |
| |||||||||||
5.75% (2) | 03/01/25 | 38,000 | 37,335 | |||||||||
MSCI, Inc. |
| |||||||||||
4.75% (2) | 08/01/26 | 4,000 | 3,975 | |||||||||
|
| |||||||||||
230,504 | ||||||||||||
|
| |||||||||||
Telecommunications — 10.6% | ||||||||||||
Frontier Communications Corp. |
| |||||||||||
7.13% | 01/15/23 | 148,000 | 105,913 | |||||||||
8.50% (2) | 04/01/26 | 27,000 | 26,325 | |||||||||
GTT Communications, Inc. |
| |||||||||||
7.88% (2) | 12/31/24 | 4,000 | 4,105 | |||||||||
Intelsat Jackson Holdings S.A. (Luxembourg) |
| |||||||||||
5.50% | 08/01/23 | 198,000 | 166,815 | |||||||||
9.75% (2) | 07/15/25 | 45,000 | 44,269 | |||||||||
Level 3 Financing, Inc. |
| |||||||||||
5.38% | 01/15/24 | 138,000 | 136,965 | |||||||||
6.13% | 01/15/21 | 45,000 | 45,788 | |||||||||
Qwest Corp. |
| |||||||||||
6.75% | 12/01/21 | 105,000 | 113,405 | |||||||||
SoftBank Group Corp. (Japan) |
| |||||||||||
4.50% (2) | 04/15/20 | 200,000 | 206,280 | |||||||||
Sprint Capital Corp. |
| |||||||||||
8.75% | 03/15/32 | 178,000 | 204,366 | |||||||||
Sprint Communications, Inc. |
| |||||||||||
9.00% (2) | 11/15/18 | 130,000 | 133,900 | |||||||||
Sprint Corp. |
| |||||||||||
7.63% | 03/01/26 | 115,000 | 121,612 | |||||||||
Sprint Nextel Corp. |
| |||||||||||
9.25% | 04/15/22 | 55,000 | 63,525 | |||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
4.74% (2) | 03/20/25 | 200,000 | 202,500 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
4.00% | 04/15/22 | 50,000 | 50,250 | |||||||||
4.75% | 02/01/28 | 141,000 | 136,072 | |||||||||
6.50% | 01/15/24 | 40,000 | 42,000 | |||||||||
Windstream Services LLC |
| |||||||||||
6.38% | 08/01/23 | 15,000 | 8,850 | |||||||||
|
| |||||||||||
1,812,940 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds | ||||||||||||
(Cost: $13,443,683) |
| 13,322,992 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities | ||||||||||||
(Cost: $14,926,097) |
| 14,886,131 | ||||||||||
|
|
See accompanying notes to financial statements.
38
Table of Contents
TCW High Yield Bond Fund
April 30, 2018 |
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.5% |
| |||||||||||
Electric — 0.5% | ||||||||||||
Homer City Holdings LLC — Series A (3)(4) |
| 5,610 | $ | 86,955 | ||||||||
|
| |||||||||||
Total Common Stock | ||||||||||||
(Cost: $327,224) | 86,955 | |||||||||||
|
| |||||||||||
MONEY MARKET INVESTMENTS — 2.6% | ||||||||||||
State Street Institutional U.S. Government Money Market |
| 441,697 | 441,697 | |||||||||
|
| |||||||||||
Total Money Market Investments | ||||||||||||
(Cost: $441,697) | 441,697 | |||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
SHORT TERM INVESTMENTS — 9.4% |
| |||||||||||
U.S. Treasury Securities — 9.4% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
1.74% (6) | 07/12/18 | $ | 442,000 | $ | 440,467 | |||||||
1.75% (6) | 07/05/18 | 396,000 | 394,754 | |||||||||
1.96% (6) | 10/04/18 | 787,000 | 780,416 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost: $1,615,726) |
| 1,615,637 | ||||||||||
|
| |||||||||||
Total Short Term Investments | ||||||||||||
(Cost: $1,615,726) |
| 1,615,637 | ||||||||||
|
| |||||||||||
Total Investments (99.2%) |
| |||||||||||
(Cost: $17,310,744) |
| 17,030,420 | ||||||||||
Excess of Other Assets over Liabilities (0.8%) |
| 134,626 | ||||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 17,165,046 | |||||||||
|
|
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||||||||
Notional Amount (7) | Implied Credit Spread (8) | Expiration Date | Counterparty | Reference Entity | Fixed Deal Pay Rate | Payment Frequency | Unrealized Appreciation (Depreciation) | Premium Paid (Received) | Value (9) | |||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||||||||
$ 250,000 | 0.29 | % | 3/20/19 | Goldman Sachs International | Arconic, Inc. | 1.0 | % | Quarterly | $ | (3,320 | ) | $ | 1,485 | $ | (1,835 | ) | ||||||||||||||||
|
|
|
|
|
|
Notes to Schedule of Investments:
EETC - | Enhanced Equipment Trust Certificate. |
OTC - | Over the Counter. |
REIT - | Real Estate Investment Trust. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2018. |
(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, 2018, the value of these securities amounted to $6,634,615 or 38.7% 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 Fund’s Board of Directors. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(4) | Non-income producing security. |
(5) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
(6) | Rate shown represents yield-to-maturity. |
(7) | 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. |
(8) | 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. |
(9) | 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.
39
Table of Contents
TCW High Yield Bond Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Advertising | 0.6 | % | ||
Aerospace/Defense | 0.2 | |||
Airlines | 3.4 | |||
Auto Parts & Equipment | 0.2 | |||
Banks | 0.3 | |||
Chemicals | 1.3 | |||
Coal | 0.1 | |||
Commercial Services | 5.7 | |||
Computers | 0.8 | |||
Cosmetics/Personal Care | 0.3 | |||
Diversified Financial Services | 1.5 | |||
Electric | 1.3 | |||
Electronics | 0.8 | |||
Entertainment | 3.1 | |||
Environmental Control | 2.5 | |||
Food | 2.4 | |||
Healthcare-Products | 1.1 | |||
Healthcare-Services | 9.1 | |||
Household Products/Wares | 0.7 | |||
Internet | 0.5 | |||
Leisure Time | 0.3 | |||
Lodging | 0.9 | |||
Machinery-Diversified | 0.1 | |||
Media | 12.4 | |||
Oil & Gas | 4.1 | |||
Oil & Gas Services | 1.3 | |||
Packaging & Containers | 5.7 | |||
Pharmaceuticals | 2.7 | |||
Pipelines | 5.6 | |||
REIT | 0.4 | |||
Retail | 3.1 | |||
Short Term Investments | 9.4 | |||
Software | 3.2 | |||
Telecommunications | 11.5 | |||
Money Market Investments | 2.6 | |||
|
| |||
Total | 99.2 | % | ||
|
|
See accompanying notes to financial statements.
40
Table of Contents
TCW High Yield Bond Fund
Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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* | $ | — | $ | 1,563,139 | $ | — | $ | 1,563,139 | ||||||||
Corporate Bonds* | — | 13,322,992 | — | 13,322,992 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 14,886,131 | — | 14,886,131 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Securities | ||||||||||||||||
Common Stock* | — | — | 86,955 | 86,955 | ||||||||||||
Money Market Investments | 441,697 | — | — | 441,697 | ||||||||||||
Short-Term Investments | 1,615,637 | — | — | 1,615,637 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,057,334 | $ | 14,886,131 | $ | 86,955 | $ | 17,030,420 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | $ | — | $ | (1,835 | ) | $ | — | $ | (1,835 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (1,835 | ) | $ | — | $ | (1,835 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
41
Table of Contents
Schedule of Investments (Unaudited)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 69.8% of Net Assets |
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 3.8% | ||||||||||||
Fannie Mae, Pool #AM7028 |
| |||||||||||
1.91% (1 mo. USD LIBOR + 0.240%) (1) | 10/01/19 | $ | 65,000 | $ | 64,996 | |||||||
Fannie Mae (13-M13-FA) |
| |||||||||||
2.25% (1 mo. USD LIBOR + 0.350%) (1) | 05/25/18 | 1,102 | 1,102 | |||||||||
Fannie Mae (15-M10-FA) |
| |||||||||||
2.07% (1 mo. USD LIBOR + 0.250%) (1) | 03/25/19 | 4,290 | 4,286 | |||||||||
Fannie Mae (15-M12-FA) |
| |||||||||||
2.16% (1 mo. USD LIBOR + 0.340%) (1) | 04/25/20 | 23,045 | 23,033 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (J15F-A1) |
| |||||||||||
2.36% | 07/25/20 | 38,235 | 38,025 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KF14-A) |
| |||||||||||
2.53% (1 mo. USD LIBOR + 0.650%) (1) | 01/25/23 | 22,769 | 22,870 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KIR1-A1) |
| |||||||||||
2.45% | 03/25/26 | 46,049 | 44,787 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KJ02-A2) |
| |||||||||||
2.60% | 09/25/20 | 34,989 | 34,765 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KP02-A2) |
| |||||||||||
2.36% (2) | 04/25/21 | 53,237 | 52,941 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backed Securities — Agency | ||||||||||||
(Cost: $291,269) | 286,805 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 0.3% | ||||||||||||
Bear Stearns Commercial Mortgage Securities Trust (99-CLF1-A4) |
| |||||||||||
7.00% (2) | 05/20/30 | 442 | 442 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (06-LDP9-A3S) |
| |||||||||||
5.24% (3) | 05/15/47 | 16,181 | 16,129 | |||||||||
OBP Depositor LLC Trust (10-OBP-A) |
| |||||||||||
4.65% (3) | 07/15/45 | 10,000 | 10,284 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backed Securities — Non-agency | ||||||||||||
(Cost: $27,832) |
| 26,855 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 20.3% | ||||||||||||
Fannie Mae (03-11-FA) |
| |||||||||||
2.90% (1 mo. USD LIBOR + 1.000%) (1) | 09/25/32 | 19,473 | 19,940 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (03-52-NF) |
| |||||||||||
2.30% (1 mo. USD LIBOR + 0.400%) (1) | 06/25/23 | $ | 8,869 | $ | 8,871 | |||||||
Fannie Mae (03-64-KS) (I/F) |
| |||||||||||
7.22% (-1.29 X 1 mo. USD LIBOR + 9.643%) (1) | 07/25/18 | 220 | 220 | |||||||||
Fannie Mae (03-84-GE) (PAC) |
| |||||||||||
4.50% | 09/25/18 | 1,940 | 1,941 | |||||||||
Fannie Mae (03-97-CA) (PAC) |
| |||||||||||
5.00% | 10/25/18 | 2,770 | 2,771 | |||||||||
Fannie Mae (04-94-HY) |
| |||||||||||
5.00% | 12/25/19 | 1,953 | 1,953 | |||||||||
Fannie Mae (05-114-PF) (PAC) |
| |||||||||||
2.27% (1 mo. USD LIBOR + 0.375%) (1) | 08/25/35 | 38,768 | 38,821 | |||||||||
Fannie Mae (06-56-FD) (TAC) |
| |||||||||||
2.15% (1 mo. USD LIBOR + 0.250%) (1) | 07/25/36 | 14,731 | 14,730 | |||||||||
Fannie Mae (06-60-DF) |
| |||||||||||
2.33% (1 mo. USD LIBOR + 0.430%) (1) | 04/25/35 | 34,257 | 34,409 | |||||||||
Fannie Mae (06-84-WF) (PAC) |
| |||||||||||
2.20% (1 mo. USD LIBOR + 0.300%) (1) | 02/25/36 | 12,204 | 12,209 | |||||||||
Fannie Mae (07-64-FA) |
| |||||||||||
2.37% (1 mo. USD LIBOR + 0.470%) (1) | 07/25/37 | 38,126 | 38,463 | |||||||||
Fannie Mae (07-67-FA) |
| |||||||||||
2.15% (1 mo. USD LIBOR + 0.250%) (1) | 04/25/37 | 38,426 | 38,444 | |||||||||
Fannie Mae (08-15-JN) |
| |||||||||||
4.50% | 02/25/23 | 32,862 | 33,120 | |||||||||
Fannie Mae (08-24-PF) (PAC) |
| |||||||||||
2.55% (1 mo. USD LIBOR + 0.650%) (1) | 02/25/38 | 29,443 | 29,736 | |||||||||
Fannie Mae (08-47-PF) (PAC) |
| |||||||||||
2.40% (1 mo. USD LIBOR + 0.500%) (1) | 06/25/38 | 2,832 | 2,835 | |||||||||
Fannie Mae (09-33-FB) |
| |||||||||||
2.72% (1 mo. USD LIBOR + 0.820%) (1) | 03/25/37 | 29,349 | 30,022 | |||||||||
Fannie Mae (10-83-AK) |
| |||||||||||
3.00% | 11/25/18 | 11,734 | 11,726 | |||||||||
Fannie Mae (11-124-DF) |
| |||||||||||
2.35% (1 mo. USD LIBOR + 0.450%) (1) | 08/25/40 | 18,948 | 19,038 | |||||||||
Fannie Mae (11-75-HP) (PAC) |
| |||||||||||
2.50% | 07/25/40 | 44,304 | 43,881 | |||||||||
Fannie Mae, Pool #254548 |
| |||||||||||
5.50% | 12/01/32 | 15,487 | 16,921 |
See accompanying notes to financial statements.
42
Table of Contents
TCW Short Term Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #600187 |
| |||||||||||
7.00% | 07/01/31 | $ | 34,052 | $ | 37,378 | |||||||
Fannie Mae, Pool #995364 |
| |||||||||||
6.00% | 10/01/38 | 18,706 | 20,905 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 9,235 | 10,226 | |||||||||
Freddie Mac (2550-FI) (TAC) |
| |||||||||||
2.25% (1 mo. USD LIBOR + 0.350%) (1) | 11/15/32 | 5,124 | 5,138 | |||||||||
Freddie Mac (2763-FC) |
| |||||||||||
2.25% (1 mo. USD LIBOR + 0.350%) (1) | 04/15/32 | 9,182 | 9,192 | |||||||||
Freddie Mac (2764-OE) (PAC) |
| |||||||||||
4.50% | 03/15/19 | 12,018 | 12,049 | |||||||||
Freddie Mac (2990-DE) |
| |||||||||||
2.28% (1 mo. USD LIBOR + 0.380%) (1) | 11/15/34 | 37,396 | 37,520 | |||||||||
Freddie Mac (3071-TF) (PAC) |
| |||||||||||
2.20% (1 mo. USD LIBOR + 0.300%) (1) | 04/15/35 | 49,299 | 49,327 | |||||||||
Freddie Mac (3139-FL) (PAC) |
| |||||||||||
2.20% (1 mo. USD LIBOR + 0.300%) (1) | 01/15/36 | 38,995 | 39,017 | |||||||||
Freddie Mac (3172-FK) |
| |||||||||||
2.35% (1 mo. USD LIBOR + 0.450%) (1) | 08/15/33 | 22,548 | 22,576 | |||||||||
Freddie Mac (3300-FA) |
| |||||||||||
2.20% (1 mo. USD LIBOR + 0.300%) (1) | 08/15/35 | 47,805 | 47,826 | |||||||||
Freddie Mac (3318-F) |
| |||||||||||
2.15% (1 mo. USD LIBOR + 0.250%) (1) | 05/15/37 | 56,186 | 56,068 | |||||||||
Freddie Mac (3335-FT) |
| |||||||||||
2.05% (1 mo. USD LIBOR + 0.150%) (1) | 08/15/19 | 800 | 800 | |||||||||
Freddie Mac (3645-EH) |
| |||||||||||
3.00% | 12/15/20 | 30,654 | 30,694 | |||||||||
Freddie Mac (3747-HG) (PAC) |
| |||||||||||
2.40% | 07/15/37 | 20,523 | 20,497 | |||||||||
Freddie Mac (3767-JF) (PAC) |
| |||||||||||
2.20% (1 mo. USD LIBOR + 0.300%) (1) | 02/15/39 | 58,615 | 58,852 | |||||||||
Freddie Mac (3804-FN) (PAC) |
| |||||||||||
2.35% (1 mo. USD LIBOR + 0.450%) (1) | 03/15/39 | 29,584 | 29,580 | |||||||||
Freddie Mac (3824-FA) |
| |||||||||||
2.05% (1 mo. USD LIBOR + 0.150%) (1) | 03/15/26 | 2,973 | 2,974 | |||||||||
Freddie Mac (3828-TF) |
| |||||||||||
2.30% (1 mo. USD LIBOR + 0.400%) (1) | 04/15/29 | 70,734 | 70,828 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac (3879-MF) |
| |||||||||||
2.25% (1 mo. USD LIBOR + 0.350%) (1) | 09/15/38 | $ | 35,409 | $ | 35,524 | |||||||
Freddie Mac (3901-CD) |
| |||||||||||
2.00% | 10/15/18 | 11,548 | 11,535 | |||||||||
Freddie Mac (3940-PF) (PAC) |
| |||||||||||
2.25% (1 mo. USD LIBOR + 0.350%) (1) | 05/15/40 | 67,787 | 67,892 | |||||||||
Freddie Mac (3946-FG) (PAC) |
| |||||||||||
2.25% (1 mo. USD LIBOR + 0.350%) (1) | 10/15/39 | 32,262 | 32,330 | |||||||||
Freddie Mac (4231-FD) |
| |||||||||||
2.25% (1 mo. USD LIBOR + 0.350%) (1) | 10/15/32 | 76,660 | 76,659 | |||||||||
Freddie Mac (263-F5) |
| |||||||||||
2.40% (1 mo. USD LIBOR + 0.500%) (1) | 06/15/42 | 56,971 | 57,557 | |||||||||
Ginnie Mae (04-5-PF) |
| |||||||||||
2.45% (1 mo. USD LIBOR + 0.550%) (1) | 02/20/33 | 29,665 | 29,694 | |||||||||
Ginnie Mae (12-13-KF) |
| |||||||||||
2.20% (1 mo. USD LIBOR + 0.300%) (1) | 07/20/38 | 42,622 | 42,731 | |||||||||
Ginnie Mae II, Pool #80022 |
| |||||||||||
3.13% (1 year Treasury Constant Maturity Rate + 1.500%) (1) | 12/20/26 | 16,643 | 17,073 | |||||||||
Ginnie Mae II, Pool #80636 |
| |||||||||||
2.75% (1 year Treasury Constant Maturity Rate + 1.500%) (1) | 09/20/32 | 12,309 | 12,680 | |||||||||
Ginnie Mae II, Pool #80757 |
| |||||||||||
2.75% (1 year Treasury Constant Maturity Rate + 1.500%) (1) | 10/20/33 | 9,335 | 9,287 | |||||||||
Ginnie Mae II, Pool #80797 |
| |||||||||||
2.38% (1 year Treasury Constant Maturity Rate + 1.500%) (1) | 01/20/34 | 62,561 | 64,314 | |||||||||
Ginnie Mae II, Pool #80937 |
| |||||||||||
2.63% (1 year Treasury Constant Maturity Rate + 1.500%) (1) | 06/20/34 | 26,513 | 27,427 | |||||||||
NCUA Guaranteed Notes (10-R1-1A) |
| |||||||||||
2.33% (1 mo. USD LIBOR + 0.450%) (1) | 10/07/20 | 71,349 | 71,601 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities — Agency | ||||||||||||
(Cost: $1,512,588) |
| 1,517,802 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 1.8% | ||||||||||||
Credit Suisse First Boston Mortgage Securities Corp. (02-AR31-6A1) |
| |||||||||||
3.64% (2 ) | 11/25/32 | 98,411 | 100,241 |
See accompanying notes to financial statements.
43
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C) |
| |||||||||||
2.90% (1 mo. USD LIBOR + 1.000%) (1) | 08/25/34 | $ | 21,586 | $ | 21,097 | |||||||
Homestar Mortgage Acceptance Corp. (04-5-A1) |
| |||||||||||
2.80% (1 mo. USD LIBOR + 0.900%) (1) | 10/25/34 | 2,351 | 2,366 | |||||||||
Morgan Stanley Mortgage Loan Trust (04-6AR-1A) |
| |||||||||||
2.80% (1 mo. USD LIBOR + 0.900%) (1) | 07/25/34 | 11,199 | 11,104 | |||||||||
Residential Accredit Loans, Inc. (02-QS16-A2) |
| |||||||||||
2.45% (1 mo. USD LIBOR + 0.55%) (1)(4) | 10/25/17 | 449 | 451 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities — Non-agency | ||||||||||||
(Cost: $130,854) |
| 135,259 | ||||||||||
|
| |||||||||||
CORPORATE BONDS — 34.9% | ||||||||||||
Aerospace/Defense — 1.5% | ||||||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
6.38% (3) | 06/01/19 | 20,000 | 20,734 | |||||||||
L3 Technologies, Inc. |
| |||||||||||
5.20% | 10/15/19 | 15,000 | 15,419 | |||||||||
Lockheed Martin Corp. |
| |||||||||||
1.85% | 11/23/18 | 25,000 | 24,923 | |||||||||
United Technologies Corp. |
| |||||||||||
1.78% (2) | 05/04/18 | 50,000 | 49,998 | |||||||||
|
| |||||||||||
111,074 | ||||||||||||
|
| |||||||||||
Agriculture — 0.7% | ||||||||||||
Altria Group, Inc. |
| |||||||||||
9.70% | 11/10/18 | 20,000 | 20,720 | |||||||||
BAT International Finance PLC (United Kingdom) |
| |||||||||||
1.85% (3) | 06/15/18 | 30,000 | 29,974 | |||||||||
|
| |||||||||||
50,694 | ||||||||||||
|
| |||||||||||
Airlines — 0.5% | ||||||||||||
Continental Airlines, Inc. Pass-Through Certificates (99-1-A) (EETC) |
| |||||||||||
6.55% | 08/02/20 | 33,854 | 34,192 | |||||||||
|
| |||||||||||
Auto Manufacturers — 0.6% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.60% | 11/04/19 | 25,000 | 24,807 | |||||||||
General Motors Co. |
| |||||||||||
3.50% | 10/02/18 | 20,000 | 20,075 | |||||||||
|
| |||||||||||
44,882 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Banks — 12.1% | ||||||||||||
Bank of America Corp. |
| |||||||||||
2.37% (3 mo. USD LIBOR + 0.660%) (1) | 07/21/21 | $ | 30,000 | $ | 29,439 | |||||||
2.74% (2) | 01/23/22 | 25,000 | 24,598 | |||||||||
5.65% | 05/01/18 | 80,000 | 80,000 | |||||||||
7.63% | 06/01/19 | 15,000 | 15,754 | |||||||||
Bank of New York Mellon Corp. (The) |
| |||||||||||
2.20% | 05/15/19 | 25,000 | 24,905 | |||||||||
Capital One N.A. |
| |||||||||||
2.35% | 08/17/18 | 25,000 | 24,993 | |||||||||
Citigroup, Inc. |
| |||||||||||
2.05% | 12/07/18 | 25,000 | 24,921 | |||||||||
2.45% | 01/10/20 | 25,000 | 24,789 | |||||||||
2.50% | 07/29/19 | 25,000 | 24,902 | |||||||||
6.13% | 05/15/18 | 45,000 | 45,062 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.55% | 10/23/19 | 40,000 | 39,799 | |||||||||
2.94% (3 mo. USD LIBOR + 1.100%) (1) | 11/15/18 | 25,000 | 25,129 | |||||||||
7.50% | 02/15/19 | 50,000 | 51,890 | |||||||||
HBOS PLC (United Kingdom) |
| |||||||||||
6.75% (3) | 05/21/18 | 35,000 | 35,074 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.69% (3 mo. USD LIBOR + 0.680%) (1) | 06/01/21 | 75,000 | 75,399 | |||||||||
Macquarie Bank, Ltd. (Australia) |
| |||||||||||
2.35% (3) | 01/15/19 | 15,000 | 14,958 | |||||||||
Morgan Stanley |
| |||||||||||
2.29% (3 mo. USD LIBOR + 0.55%) (1) | 02/10/21 | 30,000 | 30,109 | |||||||||
2.63% (3 mo. USD LIBOR + 0.800%) (1) | 02/14/20 | 30,000 | 30,110 | |||||||||
7.30% | 05/13/19 | 60,000 | 62,729 | |||||||||
PNC Bank NA |
| |||||||||||
1.80% | 11/05/18 | 50,000 | 49,879 | |||||||||
Santander UK PLC (United Kingdom) |
| |||||||||||
2.50% | 03/14/19 | 30,000 | 29,941 | |||||||||
Wells Fargo & Co. |
| |||||||||||
2.15% | 01/30/20 | 40,000 | 39,483 | |||||||||
Wells Fargo Bank N.A. |
| |||||||||||
2.40% | 01/15/20 | 100,000 | 99,133 | |||||||||
|
| |||||||||||
902,996 | ||||||||||||
|
| |||||||||||
Beverages — 1.3% | ||||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
6.88% | 11/15/19 | 25,000 | 26,537 | |||||||||
Beam Suntory, Inc. |
| |||||||||||
1.75% | 06/15/18 | 30,000 | 29,958 | |||||||||
Constellation Brands, Inc. |
| |||||||||||
2.00% | 11/07/19 | 25,000 | 24,626 |
See accompanying notes to financial statements.
44
Table of Contents
TCW Short Term Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Beverages (Continued) | ||||||||||||
Molson Coors Brewing Co. |
| |||||||||||
2.25% | 03/15/20 | $ | 15,000 | $ | 14,746 | |||||||
|
| |||||||||||
95,867 | ||||||||||||
|
| |||||||||||
Chemicals — 0.5% | ||||||||||||
Dow Chemical Co. (The) |
| |||||||||||
8.55% | 05/15/19 | 20,000 | 21,157 | |||||||||
Monsanto Co. |
| |||||||||||
2.13% | 07/15/19 | 20,000 | 19,826 | |||||||||
|
| |||||||||||
40,983 | ||||||||||||
|
| |||||||||||
Computers — 0.7% | ||||||||||||
Apple, Inc. |
| |||||||||||
1.70% | 02/22/19 | 30,000 | 29,841 | |||||||||
Dell International LLC / EMC Corp. |
| |||||||||||
3.48% (3) | 06/01/19 | 20,000 | 20,050 | |||||||||
|
| |||||||||||
49,891 | ||||||||||||
|
| |||||||||||
Diversified Financial Services — 1.0% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust |
| |||||||||||
3.75% | 05/15/19 | 25,000 | 25,190 | |||||||||
Air Lease Corp. |
| |||||||||||
2.63% | 09/04/18 | 25,000 | 24,988 | |||||||||
American Express Credit Corp. |
| |||||||||||
2.25% | 08/15/19 | 25,000 | 24,866 | |||||||||
|
| |||||||||||
75,044 | ||||||||||||
|
| |||||||||||
Electric — 1.8% | ||||||||||||
Entergy Gulf States Louisiana LLC |
| |||||||||||
6.00% | 05/01/18 | 20,000 | 20,000 | |||||||||
Jersey Central Power & Light Co. |
| |||||||||||
7.35% | 02/01/19 | 40,000 | 41,263 | |||||||||
Oncor Electric Delivery Co. LLC |
| |||||||||||
6.80% | 09/01/18 | 50,000 | 50,643 | |||||||||
Vectren Utility Holdings, Inc. |
| |||||||||||
5.75% | 08/01/18 | 25,000 | 25,190 | |||||||||
|
| |||||||||||
137,096 | ||||||||||||
|
| |||||||||||
Entertainment — 0.1% | ||||||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
4.38% | 11/01/18 | 4,000 | 4,020 | |||||||||
|
| |||||||||||
Environmental Control — 0.5% | ||||||||||||
Republic Services, Inc. |
| |||||||||||
3.80% | 05/15/18 | 40,000 | 40,020 | |||||||||
|
| |||||||||||
Food — 1.8% | ||||||||||||
Campbell Soup Co. |
| |||||||||||
2.65% (2) | 03/16/20 | 15,000 | 15,040 | |||||||||
Conagra Brands, Inc. |
| |||||||||||
2.83% (2) | 10/09/20 | 25,000 | 25,039 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Food (Continued) | ||||||||||||
Danone SA |
| |||||||||||
1.69% (3) | 10/30/19 | $ | 20,000 | $ | 19,610 | |||||||
Kraft Heinz Foods Co. |
| |||||||||||
6.13% | 08/23/18 | 35,000 | 35,385 | |||||||||
Mondelez International Holdings Netherlands BV |
| |||||||||||
1.63% (3) | 10/28/19 | 25,000 | 24,515 | |||||||||
Tyson Foods, Inc. |
| |||||||||||
2.34% (3 mo. USD LIBOR + 0.45%)(1) | 08/21/20 | 15,000 | 15,008 | |||||||||
|
| |||||||||||
134,597 | ||||||||||||
|
| |||||||||||
Forest Products & Paper — 0.3% | ||||||||||||
Georgia-Pacific LLC |
| |||||||||||
2.54% (3) | 11/15/19 | 20,000 | 19,859 | |||||||||
|
| |||||||||||
Gas — 0.3% | ||||||||||||
ONE Gas, Inc. |
| |||||||||||
2.07% | 02/01/19 | 25,000 | 24,911 | |||||||||
|
| |||||||||||
Healthcare-Products — 0.8% | ||||||||||||
Abbott Laboratories |
| |||||||||||
2.35% | 11/22/19 | 13,000 | 12,863 | |||||||||
Becton Dickinson and Co. |
| |||||||||||
2.94% (2) | 12/29/20 | 20,000 | 20,053 | |||||||||
Boston Scientific Corp. |
| |||||||||||
6.00% | 01/15/20 | 15,000 | 15,682 | |||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
2.93% (2) | 03/19/21 | 15,000 | 15,027 | |||||||||
|
| |||||||||||
63,625 | ||||||||||||
|
| |||||||||||
Healthcare-Services — 1.1% | ||||||||||||
Anthem, Inc. |
| |||||||||||
2.25% | 08/15/19 | 25,000 | 24,759 | |||||||||
Fresenius Medical Care US Finance II, Inc. |
| |||||||||||
5.63% (3) | 07/31/19 | 25,000 | 25,725 | |||||||||
Humana, Inc. |
| |||||||||||
2.50% | 12/15/20 | 15,000 | 14,761 | |||||||||
Universal Health Services, Inc. |
| |||||||||||
3.75% (3) | 08/01/19 | 20,000 | 20,063 | |||||||||
|
| |||||||||||
85,308 | ||||||||||||
|
| |||||||||||
Housewares — 0.3% | ||||||||||||
Newell Brands, Inc. |
| |||||||||||
2.60% | 03/29/19 | 20,000 | 19,930 | |||||||||
|
| |||||||||||
Insurance — 0.7% | ||||||||||||
Allstate Corp. (The) |
| |||||||||||
2.73% (2) | 03/29/21 | 25,000 | 25,095 | |||||||||
Pricoa Global Funding I |
| |||||||||||
1.45% (3) | 09/13/19 | 25,000 | 24,493 | |||||||||
|
| |||||||||||
49,588 | ||||||||||||
|
|
See accompanying notes to financial statements.
45
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Miscellaneous Manufacturers — 0.3% | ||||||||||||
General Electric Co. |
| |||||||||||
2.20% | 01/09/20 | $ | 20,000 | $ | 19,749 | |||||||
|
| |||||||||||
Oil & Gas — 0.3% | ||||||||||||
Phillips 66 |
| |||||||||||
3.00% (3 mo. USD LIBOR + 0.650%) (1)(3) | 04/15/19 | 25,000 | 25,010 | |||||||||
|
| |||||||||||
Packaging & Containers — 0.7% | ||||||||||||
Bemis Co., Inc. |
| |||||||||||
6.80% | 08/01/19 | 20,000 | 20,923 | |||||||||
WestRock RKT Co. |
| |||||||||||
4.45% | 03/01/19 | 30,000 | 30,390 | |||||||||
|
| |||||||||||
51,313 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 0.9% | ||||||||||||
Bayer US Finance LLC |
| |||||||||||
2.38% (3) | 10/08/19 | 15,000 | 14,848 | |||||||||
CVS Health Corp. |
| |||||||||||
2.25% | 12/05/18 | 55,000 | 54,884 | |||||||||
|
| |||||||||||
69,732 | ||||||||||||
|
| |||||||||||
Pipelines — 0.1% | ||||||||||||
Rockies Express Pipeline LLC |
| |||||||||||
6.85% (3) | 07/15/18 | 8,000 | 8,060 | |||||||||
|
| |||||||||||
REIT — 4.5% | ||||||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||||||
2.75% | 01/15/20 | 25,000 | 24,831 | |||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.35% | 10/01/20 | 20,000 | 19,962 | |||||||||
American Tower Corp. |
| |||||||||||
3.40% | 02/15/19 | 25,000 | 25,114 | |||||||||
Boston Properties LP |
| |||||||||||
5.88% | 10/15/19 | 40,000 | 41,483 | |||||||||
Digital Realty Trust LP |
| |||||||||||
5.88% | 02/01/20 | 15,000 | 15,593 | |||||||||
HCP, Inc. |
| |||||||||||
3.75% | 02/01/19 | 45,000 | 45,238 | |||||||||
Kimco Realty Corp. |
| |||||||||||
6.88% | 10/01/19 | 15,000 | 15,772 | |||||||||
SL Green Realty Corp. |
| |||||||||||
5.00% | 08/15/18 | 50,000 | 50,130 | |||||||||
Ventas Realty LP / Ventas Capital Corp. |
| |||||||||||
2.70% | 04/01/20 | 25,000 | 24,741 | |||||||||
VEREIT Operating Partnership LP |
| |||||||||||
3.00% | 02/06/19 | 20,000 | 19,972 | |||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC |
| |||||||||||
2.70% (3) | 09/17/19 | 25,000 | 24,824 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
REIT (Continued) | ||||||||||||
Welltower, Inc. |
| |||||||||||
4.13% | 04/01/19 | $ | 30,000 | $ | 30,249 | |||||||
|
| |||||||||||
337,909 | ||||||||||||
|
| |||||||||||
Retail — 0.8% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
2.35% (3) | 12/13/19 | 20,000 | 19,740 | |||||||||
Dollar Tree, Inc. |
| |||||||||||
3.06% (2) | 04/17/20 | 25,000 | 25,075 | |||||||||
Walgreens Boots Alliance, Inc. |
| |||||||||||
2.70% | 11/18/19 | 15,000 | 14,948 | |||||||||
|
| |||||||||||
59,763 | ||||||||||||
|
| |||||||||||
Semiconductors — 0.7% | ||||||||||||
Analog Devices, Inc. |
| |||||||||||
2.85% | 03/12/20 | 10,000 | 9,969 | |||||||||
Broadcom Corp. / Broadcom Cayman Finance, Ltd. |
| |||||||||||
2.38% | 01/15/20 | 15,000 | 14,798 | |||||||||
QUALCOMM, Inc. |
| |||||||||||
1.85% | 05/20/19 | 25,000 | 24,942 | |||||||||
|
| |||||||||||
49,709 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $2,659,332) |
| 2,605,822 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 8.7% | ||||||||||||
U.S. Treasury Note |
| |||||||||||
2.25% | 03/31/20 | 460,000 | 458,050 | |||||||||
2.38% | 04/30/20 | 190,000 | 189,598 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $591,744) |
| 647,648 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $5,213,619) |
| 5,220,191 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 4.2% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (5) | 312,704 | 312,704 | ||||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $312,704) |
| 312,704 | ||||||||||
|
| |||||||||||
See accompanying notes to financial statements.
46
Table of Contents
TCW Short Term Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
SHORT TERM INVESTMENTS — 28.0% |
| |||||||||||
U.S. Treasury Securities — 28.0% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
1.74% (6) | 07/12/18 | $ | 807,000 | $ | 804,202 | |||||||
1.75% (6) | 07/05/18 | 440,000 | 438,615 | |||||||||
1.76% (6) | 07/19/18 | 655,000 | 652,484 | |||||||||
1.96% (6) | 10/04/18 | 199,000 | 197,332 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $2,093,125) |
| 2,092,633 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $2,093,125) |
| 2,092,633 | ||||||||||
|
| |||||||||||
Total Investments (102.0%) |
| |||||||||||
(Cost: $7,619,448) |
| 7,625,528 | ||||||||||
Liabilities in Excess of Other Assets (-2.0%) |
| (151,236 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 7,474,292 | |||||||||
|
|
Notes to 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, 2018. |
(2) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(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, 2018, the value of these securities amounted to $373,950 or 5.0% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Fund’s Board of Directors. |
(4) | The maturity date of the issuer has been extended past the date disclosed. The new maturity date is not known as of April 30, 2018. |
(5) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
(6) | Rate shown represents yield-to-maturity. |
See accompanying notes to financial statements.
47
Table of Contents
TCW Short Term Bond Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Aerospace/Defense | 1.5 | % | ||
Agriculture | 0.7 | |||
Airlines | 0.5 | |||
Auto Manufacturers | 0.6 | |||
Banks | 12.1 | |||
Beverages | 1.3 | |||
Chemicals | 0.5 | |||
Commercial Mortgage-Backed Securities — Agency | 3.8 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.3 | |||
Computers | 0.7 | |||
Diversified Financial Services | 1.0 | |||
Electric | 1.8 | |||
Entertainment | 0.1 | |||
Environmental Control | 0.5 | |||
Food | 1.8 | |||
Forest Products & Paper | 0.3 | |||
Gas | 0.3 | |||
Healthcare-Products | 0.8 | |||
Healthcare-Services | 1.1 | |||
Housewares | 0.3 | |||
Insurance | 0.7 | |||
Miscellaneous Manufacturers | 0.3 | |||
Oil & Gas | 0.3 | |||
Packaging & Containers | 0.7 | |||
Pharmaceuticals | 0.9 | |||
Pipelines | 0.1 | |||
REIT | 4.5 | |||
Residential Mortgage-Backed Securities — Agency | 20.3 | |||
Residential Mortgage-Backed Securities — Non-Agency | 1.8 | |||
Retail | 0.8 | |||
Semiconductors | 0.7 | |||
Short Term Investments | 28.0 | |||
U.S. Treasury Securities | 8.7 | |||
Money Market Investments | 4.2 | |||
|
| |||
Total | 102.0 | % | ||
|
|
See accompanying notes to financial statements.
48
Table of Contents
TCW Short Term Bond Fund
Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | — | $ | 286,805 | $ | — | $ | 286,805 | ||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 26,855 | — | 26,855 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 1,517,802 | — | 1,517,802 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 135,259 | — | 135,259 | ||||||||||||
Corporate Bonds* | — | 2,605,822 | — | 2,605,822 | ||||||||||||
U.S. Treasury Securities | 647,648 | — | — | 647,648 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 647,648 | 4,572,543 | — | 5,220,191 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 312,704 | — | — | 312,704 | ||||||||||||
Short-Term Investments | 2,092,633 | — | — | 2,092,633 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,052,985 | $ | 4,572,543 | $ | — | $ | 7,625,528 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
49
Table of Contents
Schedule of Investments (Unaudited)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 95.0% of Net Assets |
| |||||||||||
ASSET-BACKED SECURITIES — 2.1% | ||||||||||||
321 Henderson Receivables I LLC (13-3A-A) |
| |||||||||||
4.08% (1) | 01/17/73 | $ | 7,923,287 | $ | 8,026,841 | |||||||
ACE Securities Corp. Home Equity Loan Trust (05-HE7-A2D) |
| |||||||||||
2.56% (1 mo. USD LIBOR + 0.660%) (2) | 11/25/35 | 727,891 | 730,966 | |||||||||
Ameriquest Mortgage Securities Trust (06-R2-A1) |
| |||||||||||
2.07% (1 mo. USD LIBOR + 0.175%) (2) | 04/25/36 | 5,210,302 | 5,205,985 | |||||||||
Brazos Higher Education Authority, Inc. (11-1-A3) |
| |||||||||||
2.99% (3 mo. USD LIBOR + 1.050%) (2) | 11/25/33 | 18,835,000 | 19,232,464 | |||||||||
EFS Volunteer No 2 LLC (12-1-A2) |
| |||||||||||
3.25% (1 mo. USD LIBOR + 1.350%) (1)(2) | 03/25/36 | 7,225,000 | 7,356,625 | |||||||||
EFS Volunteer No 3 LLC (12-1-A3) |
| |||||||||||
2.90% (1 mo. USD LIBOR + 1.000%) (1)(2) | 04/25/33 | 17,750,000 | 17,852,711 | |||||||||
Global SC Finance SRL (14-1A-A2) |
| |||||||||||
3.09% (1) | 07/17/29 | 10,228,125 | 9,950,267 | |||||||||
Higher Education Funding I (14-1-A) |
| |||||||||||
2.99% (3 mo. USD LIBOR + 1.050%) (1)(2) | 05/25/34 | 18,182 | 18,325 | |||||||||
Navient Student Loan Trust (14-2-A) |
| |||||||||||
2.54% (1 mo. USD LIBOR + 0.640%) (2) | 03/25/83 | 28,065,911 | 28,028,363 | |||||||||
Navient Student Loan Trust (14-3-A) |
| |||||||||||
2.52% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 28,338,598 | 28,330,181 | |||||||||
Navient Student Loan Trust (14-4-A) |
| |||||||||||
2.52% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 15,903,319 | 15,858,142 | |||||||||
SLM Student Loan Trust (08-8-B) |
| |||||||||||
4.61% (3 mo. USD LIBOR + 2.250%) (2) | 10/25/75 | 5,706,000 | 6,050,309 | |||||||||
Towd Point Mortgage Trust (17-4-A1) |
| |||||||||||
2.75% (1)(3) | 06/25/57 | 22,629,002 | 22,249,953 | |||||||||
|
| |||||||||||
Total Asset-backed Securities |
| |||||||||||
(Cost: $166,388,928) |
| 168,891,132 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 1.5% | ||||||||||||
Fannie Mae, Pool #AL3366 |
| |||||||||||
2.44% | 02/01/23 | 39,289,944 | 38,010,953 | |||||||||
Fannie Mae, Pool #AL2660 |
| |||||||||||
2.63% | 10/01/22 | 15,195,583 | 14,824,545 | |||||||||
Fannie Mae (12-M12-1A) (ACES) |
| |||||||||||
2.94% (3) | 08/25/22 | 44,595,395 | 44,412,259 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (12-M15-A) (ACES) |
| |||||||||||
2.79% (3) | 10/25/22 | $ | 25,195,366 | $ | 24,918,320 | |||||||
|
| |||||||||||
Total Commercial Mortgage-backed |
| |||||||||||
(Cost: $128,746,140) |
| 122,166,077 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 0.4% | ||||||||||||
DBRR Trust (11-LC2-A4A) |
| |||||||||||
4.54% (1)(3) | 07/12/44 | 10,300,241 | 10,576,545 | |||||||||
GRACE Mortgage Trust (14-GRCE-A) |
| |||||||||||
3.37% (1) | 06/10/28 | 15,750,000 | 15,837,589 | |||||||||
GS Mortgage Securities Corp. (12-ALOH-A) |
| |||||||||||
3.55% (1) | 04/10/34 | 6,105,000 | 6,163,192 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-backed |
| |||||||||||
(Cost: $34,259,704) |
| 32,577,326 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 49.8% | ||||||||||||
Fannie Mae (01-40-Z) |
| |||||||||||
6.00% | 08/25/31 | 232,640 | 254,296 | |||||||||
Fannie Mae (03-117-TG) (PAC) |
| |||||||||||
4.75% | 08/25/33 | 487,532 | 504,654 | |||||||||
Fannie Mae (04-52-SW) (I/O) (I/F) |
| |||||||||||
5.20% (1 mo. USD LIBOR + 7.100%) (2) | 07/25/34 | 722,187 | 100,466 | |||||||||
Fannie Mae (04-65-LT) |
| |||||||||||
4.50% | 08/25/24 | 1,391,253 | 1,432,525 | |||||||||
Fannie Mae (04-68-LC) |
| |||||||||||
5.00% | 09/25/29 | 1,755,178 | 1,842,884 | |||||||||
Fannie Mae (05-117-LC) (PAC) |
| |||||||||||
5.50% | 11/25/35 | 5,171,849 | 5,412,677 | |||||||||
Fannie Mae (05-74-CP) (I/F) (PAC) |
| |||||||||||
17.79% (-3.67 X 1 mo. USD LIBOR + 24.750%) (2) | 05/25/35 | 310,560 | 398,321 | |||||||||
Fannie Mae (07-20-SI) (I/O) (I/F) |
| |||||||||||
4.55% (-1.00 X 1 mo. USD LIBOR + 6.450%) (2) | 03/25/37 | 1,729,536 | 216,163 | |||||||||
Fannie Mae (07-21-SE) (I/O) (I/F) |
| |||||||||||
4.54% (-1.00 X 1 mo. USD LIBOR + 6.440%) (2) | 03/25/37 | 1,650,334 | 194,970 | |||||||||
Fannie Mae (07-56-SG) (I/O) (I/F) |
| |||||||||||
4.51% (-1.00 X 1 mo. USD LIBOR + 6.410%) (2) | 06/25/37 | 1,790,906 | 147,007 |
See accompanying notes to financial statements.
50
Table of Contents
TCW Total Return Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (07-58-SV) (I/O) (I/F) |
| |||||||||||
4.85% (-1.00 X 1 mo. USD LIBOR + 6.750%) (2) | 06/25/37 | $ | 6,456,780 | $ | 746,688 | |||||||
Fannie Mae (07-65-S) (I/O) (I/F) |
| |||||||||||
4.70% (-1.00 X 1 mo. USD LIBOR + 6.600%) (2) | 07/25/37 | 1,269,770 | 188,174 | |||||||||
Fannie Mae (07-88-FY) |
| |||||||||||
2.36% (1 mo. USD LIBOR + 0.460%) (2) | 09/25/37 | 822,685 | 829,365 | |||||||||
Fannie Mae (07-103-AI) (I/O) (I/F) |
| |||||||||||
4.60% (1 mo. USD LIBOR + 6.500%) (2) | 03/25/37 | 5,581,999 | 761,410 | |||||||||
Fannie Mae (07-B2-ZA) |
| |||||||||||
5.50% | 06/25/37 | 15,789,563 | 17,029,984 | |||||||||
Fannie Mae (08-1-AI) (I/O) (I/F) |
| |||||||||||
4.35% (-1.00 X 1 mo. USD LIBOR + 6.250%) (2) | 05/25/37 | 5,793,687 | 714,671 | |||||||||
Fannie Mae (08-13-SB) (I/O) (I/F) |
| |||||||||||
4.34% (-1.00 X 1 mo. USD LIBOR + 6.240%) (2) | 03/25/38 | 5,238,735 | 744,790 | |||||||||
Fannie Mae (08-23-SB) (I/O) (I/F) |
| |||||||||||
4.95% (-1.00 X 1 mo. USD LIBOR + 6.850%) (2) | 04/25/38 | 9,453,552 | 1,225,149 | |||||||||
Fannie Mae (08-35-SD) (I/O) (I/F) |
| |||||||||||
4.55% (-1.00 X 1 mo. USD LIBOR + 6.450%) (2) | 05/25/38 | 705,645 | 64,208 | |||||||||
Fannie Mae (08-66-SG) (I/O) (I/F) |
| |||||||||||
4.17% (-1.00 X 1 mo. USD LIBOR + 6.070%) (2) | 08/25/38 | 14,864,291 | 2,192,560 | |||||||||
Fannie Mae (08-68-SA) (I/O) (I/F) |
| |||||||||||
4.07% (-1.00 X 1 mo. USD LIBOR + 5.970%) (2) | 08/25/38 | 4,559,273 | 418,733 | |||||||||
Fannie Mae (09-3-SH) (I/O) (I/F) |
| |||||||||||
3.55% (-1.00 X 1 mo. USD LIBOR + 5.450%) (2) | 06/25/37 | 2,139,761 | 201,879 | |||||||||
Fannie Mae (09-47-SV) (I/O) (I/F) |
| |||||||||||
4.85% (-1.00 X 1 mo. USD LIBOR + 6.750%) (2) | 07/25/39 | 1,299,903 | 140,248 | |||||||||
Fannie Mae (09-51-SA) (I/O) (I/F) |
| |||||||||||
4.85% (-1.00 X 1 mo. USD LIBOR + 6.750%) (2) | 07/25/39 | 5,459,691 | 739,619 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (09-6-SD) (I/O) (I/F) |
| |||||||||||
3.65% (-1.00 X 1 mo. USD LIBOR + 5.550%) (2) | 02/25/39 | $ | 2,593,329 | $ | 407,133 | |||||||
Fannie Mae (09-68-KB) |
| |||||||||||
4.00% | 09/25/24 | 5,841,747 | 5,927,337 | |||||||||
Fannie Mae (09-71-LB) |
| |||||||||||
4.00% | 09/25/29 | 15,077,186 | 15,485,485 | |||||||||
Fannie Mae (09-72-AC) |
| |||||||||||
4.00% | 09/25/29 | 19,470,755 | 19,898,572 | |||||||||
Fannie Mae (09-72-JS) (I/O) (I/F) |
| |||||||||||
5.35% (-1.00 X 1 mo. USD LIBOR + 7.250%) (2) | 09/25/39 | 1,163,991 | 194,203 | |||||||||
Fannie Mae (10-136-CX) (PAC) |
| |||||||||||
4.00% | 08/25/39 | 20,937,000 | 21,522,298 | |||||||||
Fannie Mae (11-111-DB) |
| |||||||||||
4.00% | 11/25/41 | 50,000,000 | 51,216,690 | |||||||||
Fannie Mae (11-123-ZP) (PAC) |
| |||||||||||
4.50% | 12/25/41 | 4,501,042 | 4,847,347 | |||||||||
Fannie Mae (12-128-UY) (PAC) |
| |||||||||||
2.50% | 11/25/42 | 11,738,000 | 10,435,677 | |||||||||
Fannie Mae (12-133-GC) (PAC) |
| |||||||||||
2.50% | 08/25/41 | 30,736,729 | 30,078,771 | |||||||||
Fannie Mae (12-153-PC) (PAC) |
| |||||||||||
2.00% | 05/25/42 | 9,970,114 | 9,380,071 | |||||||||
Fannie Mae (13-101-BO) (P/O) |
| |||||||||||
0.00% (4) | 10/25/43 | 8,409,587 | 6,470,740 | |||||||||
Fannie Mae (13-101-CO) (P/O) |
| |||||||||||
0.00% (4) | 10/25/43 | 19,823,728 | 15,490,897 | |||||||||
Fannie Mae (13-21-EC) |
| |||||||||||
2.00% | 12/25/38 | 15,463,750 | 14,990,971 | |||||||||
Fannie Mae (13-95-PN) (PAC) |
| |||||||||||
3.00% | 01/25/43 | 21,400,000 | 20,720,164 | |||||||||
Fannie Mae (93-202-SZ) (I/F) (PAC) |
| |||||||||||
10.00% (3) | 11/25/23 | 62,016 | 68,235 | |||||||||
Fannie Mae (95-21-C) (P/O) |
| |||||||||||
0.00% (4) | 05/25/24 | 343,249 | 321,324 | |||||||||
Fannie Mae (G92-29-J) |
| |||||||||||
8.00% | 07/25/22 | 23,832 | 25,406 | |||||||||
Fannie Mae, Pool #254634 |
| |||||||||||
5.50% | 02/01/23 | 107,039 | 115,888 | |||||||||
Fannie Mae, Pool #257536 |
| |||||||||||
5.00% | 01/01/29 | 1,655,100 | 1,759,377 | |||||||||
Fannie Mae, Pool #310033 |
| |||||||||||
6.00% | 07/01/47 | 533,441 | 566,957 | |||||||||
Fannie Mae, Pool #555424 |
| |||||||||||
5.50% | 05/01/33 | 3,900,971 | 4,258,306 |
See accompanying notes to financial statements.
51
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #555811 |
| |||||||||||
4.00% | 10/01/18 | $ | 30,451 | $ | 30,453 | |||||||
Fannie Mae, Pool #661856 |
| |||||||||||
3.37% (12 mo. USD LIBOR + 1.623%) (2) | 10/01/32 | 37,505 | 37,299 | |||||||||
Fannie Mae, Pool #671133 |
| |||||||||||
3.04% (6 mo. USD LIBOR + 1.413%) (2) | 02/01/33 | 80,102 | 82,517 | |||||||||
Fannie Mae, Pool #672272 |
| |||||||||||
3.45% (12 mo. USD LIBOR + 1.579%) (2) | 12/01/32 | 39,831 | 41,377 | |||||||||
Fannie Mae, Pool #687847 |
| |||||||||||
3.68% (12 mo. USD LIBOR + 1.590%) (2) | 02/01/33 | 106,729 | 111,649 | |||||||||
Fannie Mae, Pool #692104 |
| |||||||||||
3.29% (6 mo. USD LIBOR + 1.413%) (2) | 02/01/33 | 512,904 | 528,747 | |||||||||
Fannie Mae, Pool #699866 |
| |||||||||||
3.48% (12 mo. USD LIBOR + 1.588%) (2) | 04/01/33 | 306,715 | 318,560 | |||||||||
Fannie Mae, Pool #704454 |
| |||||||||||
3.45% (12 mo. USD LIBOR + 1.695%) (2) | 05/01/33 | 114,190 | 117,642 | |||||||||
Fannie Mae, Pool #725275 |
| |||||||||||
4.00% | 03/01/19 | 18,355 | 18,373 | |||||||||
Fannie Mae, Pool #728824 |
| |||||||||||
3.33% (12 mo. USD LIBOR + 1.586%) (2) | 07/01/33 | 117,561 | 123,932 | |||||||||
Fannie Mae, Pool #734384 |
| |||||||||||
5.50% | 07/01/33 | 416,424 | 439,137 | |||||||||
Fannie Mae, Pool #785677 |
| |||||||||||
5.00% | 07/01/19 | 5,094 | 5,177 | |||||||||
Fannie Mae, Pool #888593 |
| |||||||||||
7.00% | 06/01/37 | 460,312 | 525,927 | |||||||||
Fannie Mae, Pool #934103 |
| |||||||||||
5.00% | 07/01/38 | 437,036 | 451,214 | |||||||||
Fannie Mae, Pool #979563 |
| |||||||||||
5.00% | 04/01/28 | 968,598 | 1,029,623 | |||||||||
Fannie Mae, Pool #995040 |
| |||||||||||
5.00% | 06/01/23 | 493,161 | 514,925 | |||||||||
Fannie Mae, Pool #995425 |
| |||||||||||
6.00% | 01/01/24 | 2,495,515 | 2,624,825 | |||||||||
Fannie Mae, Pool #995573 |
| |||||||||||
6.00% | 01/01/49 | 1,377,156 | 1,480,841 | |||||||||
Fannie Mae, Pool #995953 |
| |||||||||||
6.00% | 11/01/28 | 4,901,156 | 5,425,892 | |||||||||
Fannie Mae, Pool #995954 |
| |||||||||||
6.00% | 03/01/29 | 2,746,586 | 3,041,876 | |||||||||
Fannie Mae, Pool #AA3303 |
| |||||||||||
5.50% | 06/01/38 | 3,139,084 | 3,419,948 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #AB6210 |
| |||||||||||
3.00% | 09/01/42 | $ | 36,012,729 | $ | 35,113,847 | |||||||
Fannie Mae, Pool #AE0588 |
| |||||||||||
6.00% | 08/01/37 | 8,247,483 | 9,207,652 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 5,822,845 | 6,447,666 | |||||||||
Fannie Mae, Pool #AL1594 |
| |||||||||||
6.00% | 07/01/40 | 4,347,600 | 4,788,670 | |||||||||
Fannie Mae, Pool #AL9106 |
| |||||||||||
4.50% | 02/01/46 | 34,785,880 | 36,401,521 | |||||||||
Fannie Mae, Pool #AS8764 |
| |||||||||||
2.50% | 02/01/32 | 24,955,954 | 24,304,607 | |||||||||
Fannie Mae, Pool #AS9749 |
| |||||||||||
4.00% | 06/01/47 | 21,485,210 | 21,908,012 | |||||||||
Fannie Mae, Pool #AS9830 |
| |||||||||||
4.00% | 06/01/47 | 26,309,382 | 26,827,117 | |||||||||
Fannie Mae, Pool #AS9972 |
| |||||||||||
4.00% | 07/01/47 | 22,814,135 | 23,263,088 | |||||||||
Fannie Mae, Pool #MA1561 |
| |||||||||||
3.00% | 09/01/33 | 47,891,783 | 47,193,891 | |||||||||
Fannie Mae, Pool #MA1584 |
| |||||||||||
3.50% | 09/01/33 | 33,104,009 | 33,495,824 | |||||||||
Fannie Mae, Pool #MA2871 |
| |||||||||||
3.00% | 01/01/32 | 15,740,347 | 15,629,110 | |||||||||
Fannie Mae, Pool #MA2883 |
| |||||||||||
3.00% | 01/01/27 | 16,596,867 | 16,609,247 | |||||||||
Fannie Mae, Pool #MA2995 |
| |||||||||||
4.00% | 05/01/47 | 31,245,341 | 31,849,559 | |||||||||
Fannie Mae, Pool #MA3027 |
| |||||||||||
4.00% | 06/01/47 | 67,003,632 | 68,300,105 | |||||||||
Fannie Mae, Pool #MA3058 |
| |||||||||||
4.00% | 07/01/47 | 116,354,124 | 118,606,027 | |||||||||
Fannie Mae, Pool #MA3276 |
| |||||||||||
3.50% | 02/01/48 | 80,800,065 | 80,269,144 | |||||||||
Fannie Mae, Pool #MA3305 |
| |||||||||||
3.50% | 03/01/48 | 35,267,513 | 35,035,425 | |||||||||
Fannie Mae, Pool #MA3332 |
| |||||||||||
3.50% | 04/01/48 | 35,465,500 | 35,232,110 | |||||||||
Fannie Mae TBA, 30 Year |
| |||||||||||
3.50% (5) | 06/01/47 | 1,685,000 | 1,673,021 | |||||||||
4.00% (5) | 05/01/47 | 81,695,000 | 83,207,634 | |||||||||
4.50% (5) | 07/01/47 | 207,760,000 | 216,443,714 | |||||||||
Freddie Mac (1829-ZB) |
| |||||||||||
6.50% | 03/15/26 | 116,629 | 124,162 | |||||||||
Freddie Mac (2367-ZK) |
| |||||||||||
6.00% | 10/15/31 | 178,861 | 192,989 | |||||||||
Freddie Mac (2514-PZ) (PAC) |
| |||||||||||
5.50% | 10/15/32 | 2,643,577 | 2,826,125 |
See accompanying notes to financial statements.
52
Table of Contents
TCW Total Return Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac (2571-PZ) (PAC) |
| |||||||||||
5.50% | 02/15/33 | $ | 6,163,996 | $ | 6,518,139 | |||||||
Freddie Mac (2642-AR) |
| |||||||||||
4.50% | 07/15/23 | 555,558 | 569,662 | |||||||||
Freddie Mac (2647-OV) (P/O) |
| |||||||||||
0.00% (4) | 07/15/33 | 604,092 | 531,521 | |||||||||
Freddie Mac (2662-MT) (TAC) |
| |||||||||||
4.50% | 08/15/33 | 2,680,356 | 2,768,590 | |||||||||
Freddie Mac (2666-BD) |
| |||||||||||
4.50% | 08/15/23 | 1,247,097 | 1,278,847 | |||||||||
Freddie Mac (2700-B) |
| |||||||||||
4.50% | 11/15/23 | 1,898,997 | 1,965,004 | |||||||||
Freddie Mac (2752-GZ) (PAC) |
| |||||||||||
5.00% | 02/15/34 | 24,956,237 | 26,523,614 | |||||||||
Freddie Mac (277-30) |
| |||||||||||
3.00% | 09/15/42 | 36,391,053 | 35,250,865 | |||||||||
Freddie Mac (2882-JH) (PAC) |
| |||||||||||
4.50% | 10/15/34 | 364,320 | 372,164 | |||||||||
Freddie Mac (2903-PO) (P/O) |
| |||||||||||
0.00% (4) | 11/15/23 | 362,387 | 336,422 | |||||||||
Freddie Mac (3045-HZ) |
| |||||||||||
4.50% | 10/15/35 | 2,654,435 | 2,727,943 | |||||||||
Freddie Mac (3063-YG) (PAC) |
| |||||||||||
5.50% | 11/15/35 | 29,489,662 | 31,843,812 | |||||||||
Freddie Mac (3114-KZ) |
| |||||||||||
5.00% | 02/15/36 | 21,205,096 | 22,481,239 | |||||||||
Freddie Mac (3146-GE) |
| |||||||||||
5.50% | 04/15/26 | 5,913,189 | 6,294,355 | |||||||||
Freddie Mac (3149-OD) (P/O) (PAC) |
| |||||||||||
0.00% (4) | 05/15/36 | 6,229,610 | 5,326,815 | |||||||||
Freddie Mac (3315-S) (I/O) (I/F) |
| |||||||||||
4.51% (-1.00 X 1 mo. USD LIBOR + 6.410%) (2) | 05/15/37 | 2,600,900 | 273,403 | |||||||||
Freddie Mac (3376-SX) (I/O) (I/F) |
| |||||||||||
4.14% (-1.00 X 1 mo. USD LIBOR + 6.040%) (2) | 10/15/37 | 3,645,318 | 416,365 | |||||||||
Freddie Mac (3410-IS) (I/O) (I/F) |
| |||||||||||
4.37% (-1.00 X 1 mo. USD LIBOR + 6.270%) (2) | 02/15/38 | 5,047,925 | 659,041 | |||||||||
Freddie Mac (3424-BI) (I/O) (I/F) |
| |||||||||||
4.90% (-1.00 X 1 mo. USD LIBOR + 6.800%) (2) | 04/15/38 | 5,384,594 | 943,889 | |||||||||
Freddie Mac (3512-AY) |
| |||||||||||
4.00% | 02/15/24 | 2,747,656 | 2,761,159 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac (3519-SH) (I/O) (I/F) |
| |||||||||||
3.60% (-1.00 X 1 mo. USD LIBOR + 5.500%) (2) | 07/15/37 | $ | 613,667 | $ | 27,552 | |||||||
Freddie Mac (3531-SC) (I/O) (I/F) |
| |||||||||||
4.40% (-1.00 X 1 mo. USD LIBOR + 6.300%) (2) | 05/15/39 | 8,007,081 | 485,301 | |||||||||
Freddie Mac (3541-SA) (I/O) (I/F) |
| |||||||||||
4.85% (-1.00 X 1 mo. USD LIBOR + 6.750%) (2) | 06/15/39 | 2,255,549 | 320,500 | |||||||||
Freddie Mac (3550-GS) (I/O) (I/F) |
| |||||||||||
4.85% (-1.00 X 1 mo. USD LIBOR + 6.750%) (2) | 07/15/39 | 7,230,666 | 1,219,042 | |||||||||
Freddie Mac (3551-VZ) |
| |||||||||||
5.50% | 12/15/32 | 3,241,987 | 3,480,064 | |||||||||
Freddie Mac (3557-KB) |
| |||||||||||
4.50% | 07/15/29 | 6,800,945 | 7,050,805 | |||||||||
Freddie Mac (3557-NB) |
| |||||||||||
4.50% | 07/15/29 | 15,504,207 | 15,911,323 | |||||||||
Freddie Mac (3558-KB) |
| |||||||||||
4.00% | 08/15/29 | 7,842,684 | 8,021,909 | |||||||||
Freddie Mac (3565-XB) |
| |||||||||||
4.00% | 08/15/24 | 10,844,019 | 11,029,669 | |||||||||
Freddie Mac (3575-D) |
| |||||||||||
4.50% | 03/15/37 | 948,726 | 979,393 | |||||||||
Freddie Mac (3626-MD) (PAC) |
| |||||||||||
5.00% | 01/15/38 | 20,115,000 | 20,865,009 | |||||||||
Freddie Mac (3719-PJ) (PAC) |
| |||||||||||
4.50% | 09/15/40 | 20,025,406 | 20,987,932 | |||||||||
Freddie Mac (3788-SB) (I/O) (I/F) |
| |||||||||||
4.58% (-1.00 X 1 mo. USD LIBOR + 6.480%) (2) | 01/15/41 | 10,190,435 | 1,327,859 | |||||||||
Freddie Mac (3885-PO) (P/O) (PAC) |
| |||||||||||
0.00% (4) | 11/15/33 | 2,532,164 | 2,189,223 | |||||||||
Freddie Mac (3930-KE) (PAC) |
| |||||||||||
4.00% | 09/15/41 | 10,470,000 | 10,735,838 | |||||||||
Freddie Mac (4030-HS) (I/O) (I/F) |
| |||||||||||
4.71% (-1.00 X 1 mo. USD LIBOR + 6.610%) (2) | 04/15/42 | 4,353,032 | 723,188 | |||||||||
Freddie Mac (4604-PB) (PAC) |
| |||||||||||
3.00% | 01/15/46 | 2,201,517 | 2,089,059 | |||||||||
Freddie Mac (R002-ZA) |
| |||||||||||
5.50% | 06/15/35 | 5,542,272 | 6,015,721 | |||||||||
Freddie Mac, Pool #A91162 |
| |||||||||||
5.00% | 02/01/40 | 24,575,768 | 26,568,708 |
See accompanying notes to financial statements.
53
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #A92195 |
| |||||||||||
5.00% | 05/01/40 | $ | 7,409,949 | $ | 8,005,974 | |||||||
Freddie Mac, Pool #B15322 |
| |||||||||||
5.00% | 07/01/19 | 1,521 | 1,530 | |||||||||
Freddie Mac, Pool #B15490 |
| |||||||||||
5.00% | 07/01/19 | 2,711 | 2,727 | |||||||||
Freddie Mac, Pool #B15557 |
| |||||||||||
5.00% | 07/01/19 | 8,748 | 8,801 | |||||||||
Freddie Mac, Pool #C90552 |
| |||||||||||
6.00% | 06/01/22 | 34,371 | 37,585 | |||||||||
Freddie Mac, Pool #G01959 |
| |||||||||||
5.00% | 12/01/35 | 147,725 | 158,368 | |||||||||
Freddie Mac, Pool #G06173 |
| |||||||||||
4.00% | 11/01/40 | 30,135,515 | 31,002,770 | |||||||||
Freddie Mac, Pool #G07556 |
| |||||||||||
4.00% | 11/01/43 | 8,958,910 | 9,226,765 | |||||||||
Freddie Mac, Pool #G07786 |
| |||||||||||
4.00% | 08/01/44 | 33,643,684 | 34,621,489 | |||||||||
Freddie Mac, Pool #G07848 |
| |||||||||||
3.50% | 04/01/44 | 72,706,782 | 72,790,169 | |||||||||
Freddie Mac, Pool #G08687 |
| |||||||||||
3.50% | 01/01/46 | 89,749,474 | 89,403,378 | |||||||||
Freddie Mac, Pool #G08710 |
| |||||||||||
3.00% | 06/01/46 | 4,196,219 | 4,053,930 | |||||||||
Freddie Mac, Pool #G08715 |
| |||||||||||
3.00% | 08/01/46 | 80,526,155 | 77,792,635 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 50,801,225 | 50,503,303 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 89,788,088 | 86,673,176 | |||||||||
Freddie Mac, Pool #G08722 |
| |||||||||||
3.50% | 09/01/46 | 49,900,465 | 49,607,799 | |||||||||
Freddie Mac, Pool #G08737 |
| |||||||||||
3.00% | 12/01/46 | 148,977,444 | 143,809,145 | |||||||||
Freddie Mac, Pool #G11678 |
| |||||||||||
4.50% | 04/01/20 | 99,908 | 100,772 | |||||||||
Freddie Mac, Pool #G12635 |
| |||||||||||
5.50% | 03/01/22 | 401,856 | 407,722 | |||||||||
Freddie Mac, Pool #G12702 |
| |||||||||||
4.50% | 09/01/20 | 252,692 | 254,619 | |||||||||
Freddie Mac, Pool #G13390 |
| |||||||||||
6.00% | 01/01/24 | 687,208 | 715,861 | |||||||||
Freddie Mac, Pool #G16085 |
| |||||||||||
2.50% | 02/01/32 | 7,903,748 | 7,687,853 | |||||||||
Freddie Mac, Pool #G16258 |
| |||||||||||
2.50% | 06/01/32 | 36,827,246 | 35,840,390 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 42,218,818 | 42,013,819 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G18627 |
| |||||||||||
3.00% | 01/01/32 | $ | 24,580,668 | $ | 24,407,666 | |||||||
Freddie Mac, Pool #G30194 |
| |||||||||||
6.50% | 04/01/21 | 9,844 | 10,183 | |||||||||
Freddie Mac, Pool #G30450 |
| |||||||||||
6.00% | 01/01/29 | 1,797,596 | 1,996,382 | |||||||||
Freddie Mac, Pool #G30452 |
| |||||||||||
6.00% | 10/01/28 | 1,845,944 | 2,045,312 | |||||||||
Freddie Mac, Pool #G30454 |
| |||||||||||
5.00% | 05/01/29 | 2,509,450 | 2,667,241 | |||||||||
Freddie Mac, Pool #G60238 |
| |||||||||||
3.50% | 10/01/45 | 115,922,115 | 115,840,610 | |||||||||
Freddie Mac, Pool #G60440 |
| |||||||||||
3.50% | 03/01/46 | 71,239,867 | 71,189,778 | |||||||||
Freddie Mac, Pool #G67700 |
| |||||||||||
3.50% | 08/01/46 | 63,529,055 | 63,454,606 | |||||||||
Freddie Mac, Pool #G67703 |
| |||||||||||
3.50% | 04/01/47 | 81,150,283 | 81,029,823 | |||||||||
Freddie Mac, Pool #G67706 |
| |||||||||||
3.50% | 12/01/47 | 67,151,708 | 66,986,238 | |||||||||
Freddie Mac, Pool #G67707 |
| |||||||||||
3.50% | 01/01/48 | 31,954,297 | 31,929,644 | |||||||||
Freddie Mac, Pool #G67708 |
| |||||||||||
3.50% | 03/01/48 | 92,091,148 | 91,868,113 | |||||||||
Freddie Mac, Pool #G67709 |
| |||||||||||
3.50% (6) | 03/01/48 | 6,693,280 | 6,677,512 | |||||||||
Freddie Mac, Pool #G67710 |
| |||||||||||
3.50% | 03/01/48 | 104,043,499 | 103,561,042 | |||||||||
Freddie Mac, Pool #G67711 |
| |||||||||||
4.00% (6) | 03/01/48 | 150,961,563 | 154,877,114 | |||||||||
Freddie Mac, Pool #H82001 |
| |||||||||||
5.50% | 07/01/37 | 435,184 | 463,743 | |||||||||
Freddie Mac, Pool #N70081 |
| |||||||||||
5.50% | 07/01/38 | 4,257,715 | 4,656,625 | |||||||||
Freddie Mac, Pool #P51350 |
| |||||||||||
5.00% | 03/01/36 | 3,999,081 | 4,281,199 | |||||||||
Freddie Mac TBA, 30 Year |
| |||||||||||
3.50% (5) | 06/01/47 | 121,200,000 | 120,385,688 | |||||||||
Ginnie Mae (03-42-SH) (I/O) (I/F) |
| |||||||||||
4.65% (-1.00 X 1 mo. USD LIBOR + 6.550%) (2) | 05/20/33 | 899,248 | 129,056 | |||||||||
Ginnie Mae (11-70-BO) (P/O) |
| |||||||||||
0.00% (4) | 05/20/41 | 11,318,922 | 9,010,654 | |||||||||
Ginnie Mae (15-42-ZB) |
| |||||||||||
3.00% | 03/20/45 | 17,498,638 | 15,740,168 | |||||||||
Ginnie Mae (15-43-DM) |
| |||||||||||
2.50% | 03/20/45 | 37,325,347 | 32,116,826 |
See accompanying notes to financial statements.
54
Table of Contents
TCW Total Return Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae (15-44-Z) |
| |||||||||||
3.00% | 03/20/45 | $ | 11,841,483 | $ | 11,067,526 | |||||||
Ginnie Mae (15-52-EZ) |
| |||||||||||
3.00% | 04/16/45 | 10,450,663 | 9,208,406 | |||||||||
Ginnie Mae II, Pool #80963 |
| |||||||||||
2.75% (1 year Treasury Constant Maturity Rate + 1.500%) (2) | 07/20/34 | 265,091 | 268,711 | |||||||||
Ginnie Mae II, Pool #MA2374 |
| |||||||||||
5.00% | 11/20/44 | 870,605 | 915,869 | |||||||||
Ginnie Mae II, Pool #MA2828 |
| |||||||||||
4.50% | 05/20/45 | 566,310 | 590,625 | |||||||||
Ginnie Mae II, Pool #MA3456 |
| |||||||||||
4.50% | 02/20/46 | 3,094,728 | 3,240,787 | |||||||||
Ginnie Mae II, Pool #MA3521 |
| |||||||||||
3.50% | 03/20/46 | 90,609,884 | 90,949,964 | |||||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 44,575,884 | 44,743,188 | |||||||||
Ginnie Mae II, Pool #MA3665 |
| |||||||||||
4.50% | 05/20/46 | 5,100,531 | 5,342,009 | |||||||||
Ginnie Mae II, Pool #MA3736 |
| |||||||||||
3.50% | 06/20/46 | 34,900,764 | 35,031,755 | |||||||||
Ginnie Mae II, Pool #MA3739 |
| |||||||||||
5.00% | 06/20/46 | 9,431,008 | 9,989,034 | |||||||||
Ginnie Mae II, Pool #MA3803 |
| |||||||||||
3.50% | 07/20/46 | 12,786,318 | 12,834,308 | |||||||||
Ginnie Mae II, Pool #MA3876 |
| |||||||||||
4.50% | 08/20/46 | 321,626 | 337,657 | |||||||||
Ginnie Mae II, Pool #MA3877 |
| |||||||||||
5.00% | 08/20/46 | 4,311,486 | 4,536,577 | |||||||||
Ginnie Mae II, Pool #MA4006 |
| |||||||||||
4.50% | 10/20/46 | 155,994 | 163,769 | |||||||||
Ginnie Mae II, Pool #MA4007 |
| |||||||||||
5.00% | 10/20/46 | 9,886,698 | 10,400,729 | |||||||||
Ginnie Mae II, Pool #MA4071 |
| |||||||||||
4.50% | 11/20/46 | 720,261 | 759,923 | |||||||||
Ginnie Mae II, Pool #MA4126 |
| |||||||||||
3.00% | 12/20/46 | 114,158,752 | 111,373,460 | |||||||||
Ginnie Mae II, Pool #MA4129 |
| |||||||||||
4.50% | 12/20/46 | 223,147 | 232,689 | |||||||||
Ginnie Mae II, Pool #MA4199 |
| |||||||||||
5.00% | 01/20/47 | 9,433,942 | 9,950,533 | |||||||||
Ginnie Mae II, Pool #MA4264 |
| |||||||||||
4.50% | 02/20/47 | 28,387,311 | 29,523,173 | |||||||||
Ginnie Mae II, Pool #MA4265 |
| |||||||||||
5.00% | 02/20/47 | 9,650,685 | 10,153,705 | |||||||||
Ginnie Mae II, Pool #MA4324 |
| |||||||||||
5.00% | 03/20/47 | 10,916,149 | 11,503,198 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA4385 |
| |||||||||||
5.00% | 04/20/47 | $ | 2,212,824 | $ | 2,328,226 | |||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 1,771,635 | 1,864,640 | |||||||||
Ginnie Mae II, Pool #MA4512 |
| |||||||||||
4.50% | 06/20/47 | 78,202,094 | 81,234,625 | |||||||||
Ginnie Mae II, Pool #MA4513 |
| |||||||||||
5.00% | 06/20/47 | 6,864,429 | 7,223,323 | |||||||||
Ginnie Mae II, Pool #MA4781 |
| |||||||||||
5.00% | 10/20/47 | 10,334,173 | 10,890,219 | |||||||||
Ginnie Mae II, Pool #MA4838 |
| |||||||||||
4.00% | 11/20/47 | 45,112,383 | 46,193,010 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
3.00% (5) | 05/01/47 | 73,680,000 | 71,820,731 | |||||||||
3.50% (5) | 05/01/47 | 63,440,000 | 63,524,257 | |||||||||
4.00% (5) | 05/01/47 | 19,875,000 | 20,329,951 | |||||||||
5.00% (5) | 12/01/38 | 11,490,000 | 12,073,477 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed Securities — Agency |
| |||||||||||
(Cost: $4,154,590,622) |
| 4,036,520,292 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 16.0% | ||||||||||||
ACE Securities Corp. (06-ASP1-A2D) |
| |||||||||||
2.52% (1 mo. USD LIBOR + 0.620%) (2) | 12/25/35 | 7,758,052 | 7,711,993 | |||||||||
ACE Securities Corp. (07-ASP1-A2C) |
| |||||||||||
2.16% (1 mo. USD LIBOR + 0.260%) (2) | 03/25/37 | 15,587,893 | 9,423,751 | |||||||||
ACE Securities Corp. (07-ASP1-A2D) |
| |||||||||||
2.28% (1 mo. USD LIBOR + 0.380%) (2) | 03/25/37 | 8,378,327 | 5,085,259 | |||||||||
Adjustable Rate Mortgage Trust (04-5-3A1) |
| |||||||||||
3.79% (3) | 04/25/35 | 859,951 | 869,262 | |||||||||
Asset-Backed Funding Certificates (05-HE2-M2) |
| |||||||||||
2.65% (1 mo. USD LIBOR + 0.750%) (2) | 06/25/35 | 219,695 | 227,230 | |||||||||
Asset-Backed Funding Certificates (07-NC1-A2) |
| |||||||||||
2.20% (1 mo. USD LIBOR + 0.300%) (1)(2) | 05/25/37 | 8,747,000 | 8,394,545 | |||||||||
Asset-Backed Funding Certificates (07-WMC1-A2A) |
| |||||||||||
2.65% (1 mo. USD LIBOR + 0.750%) (2) | 06/25/37 | 15,911,754 | 14,054,305 | |||||||||
Banc of America Funding Corp. (04-B-3A1) |
| |||||||||||
3.54% (3)(7)(7) | 12/20/34 | 341,629 | 262,403 | |||||||||
Banc of America Funding Corp. (06-D-2A1) |
| |||||||||||
3.51% (3)(7) | 05/20/36 | 60,945 | 55,541 | |||||||||
Banc of America Funding Corp. (06-D-3A1) |
| |||||||||||
3.55% (3) | 05/20/36 | 3,783,296 | 3,469,034 |
See accompanying notes to financial statements.
55
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Banc of America Funding Corp. (06-G-2A1) |
| |||||||||||
2.12% (1 mo. USD LIBOR + 0.220%) (2) | 07/20/36 | $ | 6,931,817 | $ | 6,956,710 | |||||||
Banc of America Funding Corp. (15-R8-1A1) |
| |||||||||||
2.12% (1)(3) | 11/26/46 | 6,972,724 | 6,927,455 | |||||||||
Banc of America Funding Trust (06-3-4A14) |
| |||||||||||
6.00% | 03/25/36 | 1,108,161 | 1,123,586 | |||||||||
Banc of America Funding Trust (06-3-5A3) |
| |||||||||||
5.50% | 03/25/36 | 4,044,417 | 3,873,753 | |||||||||
BCAP LLC Trust (08-IND2-A1) |
| |||||||||||
3.55% (1 mo. USD LIBOR + 1.650%) (2) | 04/25/38 | 11,448,022 | 11,537,228 | |||||||||
BCAP LLC Trust (11-RR3-1A5) |
| |||||||||||
3.80% (1)(3) | 05/27/37 | 83,318 | 83,408 | |||||||||
BCAP LLC Trust (11-RR3-5A3) |
| |||||||||||
3.46% (1)(3) | 11/27/37 | 500,134 | 500,070 | |||||||||
BCAP LLC Trust (11-RR4-2A3) |
| |||||||||||
3.89% (1)(3) | 06/26/47 | 1,743,914 | 1,758,035 | |||||||||
BCAP LLC Trust (11-RR4-3A3) |
| |||||||||||
3.62% (1)(3) | 07/26/36 | 1,967,630 | 1,963,235 | |||||||||
BCAP LLC Trust (11-RR9-7A1) |
| |||||||||||
3.11% (1)(3) | 04/26/37 | 5,815,534 | 5,781,471 | |||||||||
BCAP LLC Trust (12-RR2-9A3) |
| |||||||||||
3.91% (1)(3) | 03/26/35 | 1,102,681 | 1,095,926 | |||||||||
BCAP LLC Trust (12-RR8-3A1) |
| |||||||||||
3.47% (1)(3) | 08/26/36 | 3,149,275 | 3,155,631 | |||||||||
BCAP LLC Trust (13-RR2-6A1) |
| |||||||||||
3.00% (1)(3) | 06/26/37 | 175,205 | 175,207 | |||||||||
Bear Stearns Alt-A Trust (04-13-A1) |
| |||||||||||
2.64% (1 mo. USD LIBOR + 0.740%)(2) | 11/25/34 | 549,537 | 550,890 | |||||||||
Bear Stearns Alt-A Trust (05-2-2A4) |
| |||||||||||
3.54% (3) | 04/25/35 | 4,257 | 4,258 | |||||||||
Bear Stearns Alt-A Trust (05-4-23A1) |
| |||||||||||
3.79% (3) | 05/25/35 | 6,273,955 | 6,333,977 | |||||||||
Bear Stearns Alt-A Trust (06-4-32A1) |
| |||||||||||
3.61% (3) | 07/25/36 | 569,563 | 460,904 | |||||||||
Bear Stearns ARM Trust (04-12-1A1) |
| |||||||||||
3.75% (3) | 02/25/35 | 1,061,815 | 1,048,398 | |||||||||
Bear Stearns ARM Trust (05-10-A3) |
| |||||||||||
3.72% (3) | 10/25/35 | 7,016,888 | 7,291,589 | |||||||||
Bear Stearns ARM Trust (06-2-2A1) |
| |||||||||||
3.73% (3) | 07/25/36 | 2,095,299 | 2,168,801 | |||||||||
Bear Stearns ARM Trust (07-1-2A1) |
| |||||||||||
3.84% (3) | 02/25/47 | 297,001 | 294,726 | |||||||||
Bear Stearns ARM Trust (07-5-3A1) |
| |||||||||||
3.68% (3) | 08/25/47 | 1,309,161 | 1,288,345 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A3) |
| |||||||||||
5.50% (3) | 09/25/35 | $ | 1,762,855 | $ | 1,767,569 | |||||||
Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A4) |
| |||||||||||
5.40% (3) | 09/25/35 | 3,769,284 | 3,779,666 | |||||||||
Bear Stearns Mortgage Funding Trust (06-AR3-1A1) |
| |||||||||||
2.08% (1 mo. USD LIBOR + 0.180%) (2) | 10/25/36 | 761,826 | 711,747 | |||||||||
Chase Mortgage Finance Corp. (06-A1-2A1) |
| |||||||||||
3.65% (3) | 09/25/36 | 1,011,061 | 1,015,439 | |||||||||
Chase Mortgage Finance Corp. (07-A1-8A1) |
| |||||||||||
3.72% (3) | 02/25/37 | 4,295,297 | 4,414,544 | |||||||||
Chaseflex Trust (05-1-1A5) |
| |||||||||||
6.50% | 02/25/35 | 3,889,108 | 4,053,225 | |||||||||
Chaseflex Trust (06-1-A3) |
| |||||||||||
6.30% (3) | 06/25/36 | 8,049,139 | 8,669,065 | |||||||||
CIM Trust (15-3AG-A1) |
| |||||||||||
3.64% (1 mo. USD LIBOR + 1.750%)(1)(2) | 10/25/57 | 18,433,446 | 18,859,363 | |||||||||
CIM Trust (15-4AG-A1) |
| |||||||||||
3.89% (1 mo. USD LIBOR + 2.000%) (1)(2) | 10/25/57 | 26,082,904 | 26,417,166 | |||||||||
CIM Trust (16-4-A1) |
| |||||||||||
3.89% (1 mo. USD LIBOR + 2.000%) (1)(2) | 10/25/57 | 41,677,794 | 43,005,034 | |||||||||
CIM Trust (17-7-A) |
| |||||||||||
3.00% (1)(3) | 12/25/65 | 38,960,863 | 38,917,371 | |||||||||
Citicorp Mortgage Securities Trust, Inc. (07-4-3A1) |
| |||||||||||
5.50% | 05/25/37 | 517,688 | 516,603 | |||||||||
Citicorp Residential Mortgage Trust, Inc. (06-2-A4) |
| |||||||||||
5.51% (3) | 09/25/36 | 584,913 | 587,307 | |||||||||
Citigroup Mortgage Loan Trust (06-HE3-A1) |
| |||||||||||
2.04% (1 mo. USD LIBOR + 0.140%) (1)(2) | 12/25/36 | 18,750,458 | 18,255,753 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (06-AR5-1A1A) |
| |||||||||||
3.68% (3) | 07/25/36 | 4,502,650 | 3,800,210 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (06-WFH2-A2A) |
| |||||||||||
2.05% (1 mo. USD LIBOR + 0.150%) (2) | 08/25/36 | 1,718,082 | 1,720,630 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (07-12-2A1) |
| |||||||||||
6.50% (1) | 10/25/36 | 3,624,147 | 2,869,570 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (10-4-4A5) |
| |||||||||||
5.00% (1) | 10/25/35 | 206,497 | 207,799 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (14-10-2A1) |
| |||||||||||
2.12% (1 mo. USD LIBOR + 0.250%) (1)(2) | 07/25/37 | 3,377,813 | 3,345,418 | |||||||||
CitiMortgage Alternative Loan Trust (05-A1-2A1) |
| |||||||||||
5.00% | 07/25/20 | 273,623 | 274,751 |
See accompanying notes to financial statements.
56
Table of Contents
TCW Total Return Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Conseco Financial Corp. (99-2-A7) |
| |||||||||||
6.44% | 12/01/30 | $ | 3,538,211 | $ | 3,685,008 | |||||||
Countrywide Alternative Loan Trust (05-20CB-4A1) |
| |||||||||||
5.25% | 07/25/20 | 384,422 | 381,058 | |||||||||
Countrywide Alternative Loan Trust (05-84-1A1) |
| |||||||||||
3.30% (3) | 02/25/36 | 269,433 | 220,717 | |||||||||
Countrywide Alternative Loan Trust (05-J1-2A1) |
| |||||||||||
5.50% | 02/25/25 | 843,074 | 853,987 | |||||||||
Countrywide Alternative Loan Trust (06-HY12-A5) |
| |||||||||||
3.42% (3) | 08/25/36 | 14,107,911 | 14,514,479 | |||||||||
Countrywide Alternative Loan Trust (06-J3-3A1) |
| |||||||||||
5.50% | 04/25/21 | 455,505 | 452,947 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (04-13-1A3) |
| |||||||||||
5.50% | 08/25/34 | 6,634,832 | 7,015,204 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (05-9-1A1) |
| |||||||||||
2.50% (1 mo. USD LIBOR + 0.600%) (2) | 05/25/35 | 12,282,574 | 11,451,786 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (05-HYB5-4A1) |
| |||||||||||
3.35% (3) | 09/20/35 | 30,621 | 25,815 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (07-HY5-1A1) |
| |||||||||||
3.82% (3) | 09/25/47 | 10,089 | 9,835 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (07-HYB1-1A1) |
| |||||||||||
3.14% (3) | 03/25/37 | 53,765 | 45,774 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA) |
| |||||||||||
5.75% | 04/22/33 | 31,240 | 32,666 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (05-11-1A1) |
| |||||||||||
6.50% | 12/25/35 | 2,411,296 | 1,893,231 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (05-12-1A1) |
| |||||||||||
6.50% | 01/25/36 | 9,054,008 | 6,075,482 | |||||||||
Credit Suisse Mortgage Capital Certificates (15-5R-2A1) |
| |||||||||||
1.90% (1 mo. USD LIBOR + 0.280%) (1)(2) | 04/27/47 | 8,309,314 | 8,187,371 | |||||||||
Credit Suisse Mortgage Trust (13-7R-4A1) |
| |||||||||||
2.03% (1 mo. USD LIBOR + 0.160%) (1)(2) | 07/26/36 | 3,062,505 | 2,929,827 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (06-CB1-AF2) |
| |||||||||||
3.44% (3) | 01/25/36 | 4,353,788 | 3,744,614 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (06-CB7-A4) |
| |||||||||||
2.06% (1 mo. USD LIBOR + 0.160%) (2) | 10/25/36 | 30,619,680 | 22,313,789 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Credit-Based Asset Servicing and Securitization LLC (06-CB9-A4) |
| |||||||||||
2.13% (1 mo. USD LIBOR + 0.230%) (2) | 11/25/36 | $ | 17,253,225 | $ | 11,200,426 | |||||||
Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2B) |
| |||||||||||
4.23% (3) | 02/25/37 | 3,914,065 | 3,056,407 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2C) |
| |||||||||||
4.23% (3) | 02/25/37 | 13,463,628 | 10,512,170 | |||||||||
CSMC Mortgage-Backed Trust (06-8-3A1) |
| |||||||||||
6.00% | 10/25/21 | 3,535,609 | 3,319,135 | |||||||||
CSMC Mortgage-Backed Trust (06-9-5A1) |
| |||||||||||
5.50% | 11/25/36 | 2,977,229 | 2,918,708 | |||||||||
CSMC Mortgage-Backed Trust (07-2-3A4) |
| |||||||||||
5.50% | 03/25/37 | 8,937,902 | 8,221,614 | |||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AR6-A6) |
| |||||||||||
2.09% (1 mo. USD LIBOR + 0.190%) (2) | 02/25/37 | 453,765 | 413,542 | |||||||||
DSLA Mortgage Loan Trust (05-AR6-2A1A) |
| |||||||||||
2.19% (1 mo. USD LIBOR + 0.290%) (2) | 10/19/45 | 3,153,199 | 3,135,383 | |||||||||
DSLA Mortgage Loan Trust (06-AR2-2A1A) |
| |||||||||||
2.10% (1 mo. USD LIBOR + 0.200%) (2) | 10/19/36 | 31,381,337 | 28,660,262 | |||||||||
DSLA Mortgage Loan Trust (07-AR1-2A1A) |
| |||||||||||
2.04% (1 mo. USD LIBOR + 0.140%) (2) | 04/19/47 | 9,268,777 | 8,724,889 | |||||||||
Fieldstone Mortgage Investment Corp. (07-1-2A2) |
| |||||||||||
2.17% (1 mo. USD LIBOR + 0.270%) (2) | 04/25/47 | 4,326,179 | 3,358,186 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2C) |
| |||||||||||
2.06% (1 mo. USD LIBOR + 0.160%) (2) | 12/25/37 | 24,297,421 | 18,003,419 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2D) |
| |||||||||||
2.11% (1 mo. USD LIBOR + 0.210%) (2) | 12/25/37 | 14,258,555 | 10,637,760 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2C) |
| |||||||||||
2.04% (1 mo. USD LIBOR + 0.140%) (2) | 01/25/38 | 5,855,231 | 4,387,813 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2D) |
| |||||||||||
2.12% (1 mo. USD LIBOR + 0.220%) (2) | 01/25/38 | 24,556,221 | 18,601,256 | |||||||||
First Franklin Mortgage Loan Trust (06-FF9-2A4) |
| |||||||||||
2.15% (1 mo. USD LIBOR + 0.250%) (2) | 06/25/36 | 5,068,000 | 3,631,458 |
See accompanying notes to financial statements.
57
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
First Horizon Alternative Mortgage Securities Trust (05-AA3-3A1) |
| |||||||||||
3.69% (3) | 05/25/35 | $ | 4,725,533 | $ | 4,824,187 | |||||||
First Horizon Alternative Mortgage Securities Trust (05-AA7-1A1) |
| |||||||||||
3.33% (3) | 09/25/35 | 3,982,503 | 3,753,823 | |||||||||
First Horizon Alternative Mortgage Securities Trust (05-AA7-2A1) |
| |||||||||||
3.39% (3) | 09/25/35 | 3,251,164 | 3,171,543 | |||||||||
First Horizon Alternative Mortgage Securities Trust (06-AA7-A1) |
| |||||||||||
3.32% (3) | 01/25/37 | 12,377,487 | 11,279,212 | |||||||||
Fremont Home Loan Trust (05-E-2A4) |
| |||||||||||
2.23% (1 mo. USD LIBOR + 0.330%) (2) | 01/25/36 | 16,237,563 | 15,733,834 | |||||||||
Fremont Home Loan Trust (06-1-2A3) |
| |||||||||||
2.08% (1 mo. USD LIBOR + 0.180%) (2) | 04/25/36 | 3,300,034 | 3,201,119 | |||||||||
GMAC Mortgage Loan Trust (05-AR5-2A1) |
| |||||||||||
3.95% (3) | 09/19/35 | 3,076,457 | 2,819,474 | |||||||||
GreenPoint Mortgage Funding Trust (05-AR3-1A1) |
| |||||||||||
2.14% (1 mo. USD LIBOR + 0.240%) (2) | 08/25/45 | 586,495 | 546,244 | |||||||||
GS Mortgage Securities Corp. (09-1R-3A1) |
| |||||||||||
3.81% (1)(3) | 11/25/35 | 577,616 | 583,518 | |||||||||
GSAA Home Equity Trust (05-7-AF5) |
| |||||||||||
4.61% (3) | 05/25/35 | 1,152,528 | 1,165,880 | |||||||||
GSAA Home Equity Trust (05-9-2A3) |
| |||||||||||
2.27% (1 mo. USD LIBOR + 0.370%) (2) | 08/25/35 | 622,224 | 618,325 | |||||||||
GSR Mortgage Loan Trust (04-9-3A1) |
| |||||||||||
3.53% (3) | 08/25/34 | 2,990,740 | 3,161,805 | |||||||||
GSR Mortgage Loan Trust (07-3F-3A7) |
| |||||||||||
6.00% | 05/25/37 | 12,511,831 | 11,795,731 | |||||||||
GSR Mortgage Loan Trust (07-AR2-2A1) |
| |||||||||||
3.62% (3) | 05/25/37 | 1,223,814 | 1,120,800 | |||||||||
GSR Mortgage Loan Trust (07-AR2-5A1A) |
| |||||||||||
3.63% (3) | 05/25/37 | 2,125,355 | 1,913,516 | |||||||||
Harborview Mortgage Loan Trust (05-9-2A1A) |
| |||||||||||
2.24% (1 mo. USD LIBOR + 0.340%) (2) | 06/20/35 | 2,940,030 | 2,891,746 | |||||||||
Harborview Mortgage Loan Trust (06-8-2A1A) |
| |||||||||||
2.09% (1 mo. USD LIBOR + 0.190%) (2) | 07/21/36 | 15,344,967 | 13,613,098 | |||||||||
Homestar Mortgage Acceptance Corp. (04-3-AV2C) |
| |||||||||||
2.48% (1 mo. USD LIBOR + 0.580%) (2) | 07/25/34 | 1,145,865 | 1,152,709 | |||||||||
Homestar Mortgage Acceptance Corp. (04-5-A1) |
| |||||||||||
2.80% (1 mo. USD LIBOR + 0.900%) (2) | 10/25/34 | 152,829 | 153,856 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
HSI Asset Loan Obligation Trust (07-2-2A12) |
| |||||||||||
6.00% | 09/25/37 | $ | 936,630 | $ | 855,775 | |||||||
Impac CMB Trust (04-5-1A1) |
| |||||||||||
2.62% (1 mo. USD LIBOR + 0.720%) (2) | 10/25/34 | 7,103 | 7,044 | |||||||||
Impac CMB Trust (05-1-1A1) |
| |||||||||||
2.42% (1 mo. USD LIBOR + 0.520%) (2) | 04/25/35 | 1,310,267 | 1,255,061 | |||||||||
Impac CMB Trust (05-5-A2) |
| |||||||||||
2.34% (1 mo. USD LIBOR + 0.440%) (2) | 08/25/35 | 6,618,102 | 6,169,652 | |||||||||
Indymac Index Mortgage Loan Trust (04-AR4-2A) |
| |||||||||||
3.52% (3) | 08/25/34 | 7,208,739 | 7,351,867 | |||||||||
Indymac Index Mortgage Loan Trust (04-AR9-4A) |
| |||||||||||
2.55% (3) | 11/25/34 | 1,024,793 | 885,596 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR17-3A1) |
| |||||||||||
3.44% (3) | 09/25/35 | 4,871,769 | 4,507,858 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR23-2A1) |
| |||||||||||
3.49% (3) | 11/25/35 | 3,888,020 | 3,634,811 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR23-6A1) |
| |||||||||||
3.50% (3) | 11/25/35 | 4,756,123 | 4,576,060 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR25-2A1) |
| |||||||||||
3.36% (3) | 12/25/35 | 2,572,863 | 2,467,200 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR7-2A1) |
| |||||||||||
3.30% (3) | 06/25/35 | 3,450,728 | 3,118,943 | |||||||||
Indymac Index Mortgage Loan Trust (06-AR39-A1) |
| |||||||||||
2.08% (1 mo. USD LIBOR + 0.180%) (2) | 02/25/37 | 9,588,682 | 9,096,164 | |||||||||
Indymac Index Mortgage Loan Trust (07-AR11-1A1) |
| |||||||||||
3.11% (3)(7) | 06/25/37 | 24,468 | 20,994 | |||||||||
Indymac Index Mortgage Loan Trust (07-AR5-2A1) |
| |||||||||||
3.55% (3) | 05/25/37 | 16,555,883 | 15,449,955 | |||||||||
Indymac Index Mortgage Loan Trust (07-AR7-1A1) |
| |||||||||||
3.62% (3) | 11/25/37 | 4,241,876 | 4,164,435 | |||||||||
JPMorgan Alternative Loan Trust (06-A2-5A1) |
| |||||||||||
3.70% (3) | 05/25/36 | 7,798,231 | 6,718,410 | |||||||||
JPMorgan Alternative Loan Trust (06-A4-A8) |
| |||||||||||
3.41% (3) | 09/25/36 | 2,935,800 | 3,687,448 | |||||||||
JPMorgan Mortgage Acquisition Corp. (06-CH2-AF4) |
| |||||||||||
5.76% (3) | 10/25/36 | 7,150,199 | 5,917,102 | |||||||||
JPMorgan Mortgage Acquisition Corp. (07-CH4-A4) |
| |||||||||||
2.06% (1 mo. USD LIBOR + 0.160%) (2) | 01/25/36 | 16,144,043 | 16,078,626 | |||||||||
JPMorgan Mortgage Trust (05-A6-7A1) |
| |||||||||||
3.63% (3) | 08/25/35 | 478,340 | 466,776 | |||||||||
JPMorgan Mortgage Trust (06-A2-5A3) |
| |||||||||||
3.59% (3) | 11/25/33 | 2,780,381 | 2,860,946 | |||||||||
JPMorgan Mortgage Trust (06-A4-1A4) |
| |||||||||||
3.84% (3) | 06/25/36 | 585,270 | 565,077 |
See accompanying notes to financial statements.
58
Table of Contents
TCW Total Return Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
JPMorgan Mortgage Trust (06-A7-2A4R) |
| |||||||||||
3.62% (3) | 01/25/37 | $ | 24,899 | $ | 25,208 | |||||||
JPMorgan Mortgage Trust (06-S2-2A2) |
| |||||||||||
5.88% | 06/25/21 | 795,419 | 764,578 | |||||||||
JPMorgan Resecuritization Trust Series (14-6-3A1) |
| |||||||||||
2.08% (1 mo. USD LIBOR + 0.210%) (1)(2) | 07/27/46 | 4,820,473 | 4,803,892 | |||||||||
Lehman Mortgage Trust (05-1-6A1) |
| |||||||||||
5.00% | 11/25/20 | 895,489 | 550,105 | |||||||||
Lehman Mortgage Trust (06-4-4A1) |
| |||||||||||
6.00% | 08/25/21 | 1,967,311 | 1,932,603 | |||||||||
Lehman Mortgage Trust (07-10-4A1) |
| |||||||||||
6.00% (7) | 01/25/27 | 675,822 | 557,254 | |||||||||
Lehman XS Trust (06-10N-1A3A) |
| |||||||||||
2.11% (1 mo. USD LIBOR + 0.210%) (2) | 07/25/46 | 16,888,569 | 16,371,457 | |||||||||
Lehman XS Trust (06-12N-A2A1) |
| |||||||||||
2.05% (1 mo. USD LIBOR + 0.150%) (2)(7) | 08/25/46 | 216 | 217 | |||||||||
Lehman XS Trust (06-12N-A31A) |
| |||||||||||
2.10% (1 mo. USD LIBOR + 0.200%) (2) | 08/25/46 | 5,845,297 | 4,992,566 | |||||||||
Lehman XS Trust (06-13-1A2) |
| |||||||||||
2.07% (1 mo. USD LIBOR + 0.170%) (2) | 09/25/36 | 3,151,817 | 3,342,871 | |||||||||
Lehman XS Trust (06-9-A1B) |
| |||||||||||
2.06% (1 mo. USD LIBOR + 0.160%) (2) | 05/25/46 | 7,769,236 | 9,490,680 | |||||||||
Lehman XS Trust (06-GP1-A2A) |
| |||||||||||
2.07% (1 mo. USD LIBOR + 0.170%) (2)(7)(8) | 05/25/46 | 739 | 739 | |||||||||
Lehman XS Trust (06-GP4-3A2A) |
| |||||||||||
2.06% (1 mo. USD LIBOR + 0.160%) (2)(8) | 08/25/46 | 2,692 | 2,692 | |||||||||
Long Beach Mortgage Loan Trust (06-WL1-1A3) |
| |||||||||||
2.56% (1 mo. USD LIBOR + 0.330%) (2) | 01/25/46 | 2,646,526 | 2,641,851 | |||||||||
Long Beach Mortgage Loan Trust (06-WL1-2A4) |
| |||||||||||
2.58% (1 mo. USD LIBOR + 0.340%) (2) | 01/25/46 | 14,950,000 | 14,718,523 | |||||||||
Madison Avenue Manufactured Housing Contract (02-A-B1) |
| |||||||||||
5.15% (1 mo. USD LIBOR + 3.250%) (2) | 03/25/32 | 3,088,038 | 3,130,710 | |||||||||
MASTR Alternative Loans Trust (05-4-1A1) |
| |||||||||||
6.50% | 05/25/35 | 6,403,049 | 6,491,329 | |||||||||
MASTR Alternative Loans Trust (06-2-2A1) |
| |||||||||||
2.30% (1 mo. USD LIBOR + 0.400%) (2)(8) | 03/25/36 | 70,243 | 12,995 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
MASTR Asset Securitization Trust (06-3-2A1) |
| |||||||||||
2.35% (1 mo. USD LIBOR + 0.450%) (2) | 10/25/36 | $ | 48,370 | $ | 26,588 | |||||||
MASTR Asset-Backed Securities Trust (06-AB1-A4) |
| |||||||||||
5.72% (3) | 02/25/36 | 1,197,531 | 1,170,673 | |||||||||
MASTR Asset-Backed Securities Trust (06-HE1-A4) |
| |||||||||||
2.19% (1 mo. USD LIBOR + 0.290%) (2) | 01/25/36 | 3,105,024 | 3,117,629 | |||||||||
MASTR Asset-Backed Securities Trust (06-HE5-A3) |
| |||||||||||
2.06% (1 mo. USD LIBOR + 0.160%) (2) | 11/25/36 | 21,342,573 | 15,738,875 | |||||||||
MASTR Seasoned Securitization Trust (04-1-4A1) |
| |||||||||||
3.60% (3) | 10/25/32 | 10,345 | 10,510 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A1-A2C) |
| |||||||||||
2.13% (1 mo. USD LIBOR + 0.230%) (2) | 01/25/37 | 2,070,998 | 1,102,551 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A1-A3) |
| |||||||||||
2.06% (1 mo. USD LIBOR + 0.160%) (2) | 01/25/37 | 1,065,321 | 552,929 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2B) |
| |||||||||||
2.07% (1 mo. USD LIBOR + 0.170%) (2) | 04/25/37 | 8,304,980 | 5,099,482 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2C) |
| |||||||||||
2.15% (1 mo. USD LIBOR + 0.250%) (2) | 04/25/37 | 29,063,921 | 18,045,443 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2D) |
| |||||||||||
2.24% (1 mo. USD LIBOR + 0.340%) (2) | 04/25/37 | 7,162,969 | 4,502,605 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-2-A2C) |
| |||||||||||
2.14% (1 mo. USD LIBOR + 0.240%) (2) | 05/25/37 | 6,424,640 | 4,507,156 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2B) |
| |||||||||||
2.03% (1 mo. USD LIBOR + 0.130%) (2) | 06/25/37 | 3,057,597 | 2,343,470 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-4-2A3) |
| |||||||||||
2.06% (1 mo. USD LIBOR + 0.160%) (2) | 07/25/37 | 38,866,211 | 27,939,489 | |||||||||
Merrill Lynch Mortgage-Backed Securities Trust (07-2-1A1) |
| |||||||||||
4.49% (1 year Treasury Constant Maturity Rate + 2.400%) (2) | 08/25/36 | 2,001,215 | 1,964,744 | |||||||||
Mid-State Trust (05-1-A) |
| |||||||||||
5.75% | 01/15/40 | 3,419,662 | 3,716,427 |
See accompanying notes to financial statements.
59
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust (04-NC8-M2) |
| |||||||||||
2.86% (1 mo. USD LIBOR + 0.960%) (2) | 09/25/34 | $ | 828,019 | $ | 831,167 | |||||||
Morgan Stanley ABS Capital I, Inc. Trust (05-HE3-M3) |
| |||||||||||
2.69% (1 mo. USD LIBOR + 0.795%) (2) | 07/25/35 | 1,449,052 | 1,457,289 | |||||||||
Morgan Stanley Home Equity Loan Trust (06-2-A4) |
| |||||||||||
2.18% (1 mo. USD LIBOR + 0.280%) (2) | 02/25/36 | 3,404,601 | 3,347,432 | |||||||||
Morgan Stanley Mortgage Loan Trust (05-6AR-1A1) |
| |||||||||||
2.18% (1 mo. USD LIBOR + 0.280%) (2) | 11/25/35 | 1,503,146 | 1,512,945 | |||||||||
Morgan Stanley Mortgage Loan Trust (07-3XS-2A6) |
| |||||||||||
5.76% (3) | 01/25/47 | 1,073,486 | 571,458 | |||||||||
Morgan Stanley Mortgage Loan Trust (07-7AX-2A1) |
| |||||||||||
2.02% (1 mo. USD LIBOR + 0.120%) (2) | 04/25/37 | 3,874,667 | 1,955,403 | |||||||||
Morgan Stanley REREMIC Trust (13-R2-1A) |
| |||||||||||
2.96% (1)(3) | 10/26/36 | 6,762,761 | 6,726,814 | |||||||||
Morgan Stanley REREMIC Trust (13-R3-12A) |
| |||||||||||
3.56% (1)(3) | 01/26/47 | 428,860 | 429,738 | |||||||||
Morgan Stanley Resecuritization Trust (14-R2-2A) |
| |||||||||||
3.09% (1)(3) | 12/26/46 | 8,346,199 | 8,289,504 | |||||||||
MortgageIT Trust (05-3-A1) |
| |||||||||||
2.50% (1 mo. USD LIBOR + 0.600%) (2) | 08/25/35 | 6,738,137 | 6,608,468 | |||||||||
MortgageIT Trust (05-4-A1) |
| |||||||||||
2.18% (1 mo. USD LIBOR + 0.280%) (2) | 10/25/35 | 3,262,838 | 3,208,947 | |||||||||
Nationstar Home Equity Loan Trust (07-B-2AV3) |
| |||||||||||
2.15% (1 mo. USD LIBOR + 0.250%) (2) | 04/25/37 | 8,104,972 | 8,099,883 | |||||||||
Nomura Resecuritization Trust (15-1R-2A1) |
| |||||||||||
2.29% (1 mo. USD LIBOR + 0.190%) (1)(2) | 10/26/36 | 2,661,627 | 2,677,756 | |||||||||
Nomura Resecuritization Trust (15-2R-1A1) |
| |||||||||||
2.28% (12 mo. Monthly Treasury Average Index + 1.000%) (1)(2) | 08/26/46 | 5,283,361 | 5,217,056 | |||||||||
Nomura Resecuritization Trust (15-4R-2A1) |
| |||||||||||
2.01% (1 mo. USD LIBOR + 0.306%) (1)(2) | 10/26/36 | 7,784,499 | 7,715,062 | |||||||||
Nomura Resecuritization Trust (15-4R-3A1) |
| |||||||||||
3.73% (1)(3) | 02/26/36 | 472,935 | 474,414 | |||||||||
Nomura Resecuritization Trust (15-5R-2A1) |
| |||||||||||
3.63% (1)(3) | 03/26/35 | 8,950,055 | 9,078,494 | |||||||||
Nomura Resecuritization Trust (15-7R-2A1) |
| |||||||||||
3.41% (1)(3) | 08/26/36 | 3,840,299 | 3,833,989 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Oakwood Mortgage Investors, Inc. (02-A-A4) |
| |||||||||||
6.97% (3) | 03/15/32 | $ | 2,780,059 | $ | 2,972,996 | |||||||
Oakwood Mortgage Investors, Inc. (99-E-A1) |
| |||||||||||
7.61% (3) | 03/15/30 | 4,901,805 | 4,571,199 | |||||||||
Opteum Mortgage Acceptance Corp. (06-1-2A1) |
| |||||||||||
5.75% (3) | 04/25/36 | 4,964,556 | 5,199,222 | |||||||||
Ownit Mortgage Loan Asset-Backed Certificates (06-3-A2D) |
| |||||||||||
2.17% (1 mo. USD LIBOR + 0.270%) (2) | 03/25/37 | 19,300,000 | 17,254,150 | |||||||||
Ownit Mortgage Loan Asset-Backed Certificates (06-6-A2C) |
| |||||||||||
2.06% (1 mo. USD LIBOR + 0.160%) (2) | 09/25/37 | 18,195,349 | 11,867,038 | |||||||||
Prime Mortgage Trust (06-1-1A1) |
| |||||||||||
5.50% | 06/25/36 | 2,295,922 | 2,523,661 | |||||||||
RAAC Series Trust (05-SP1-4A1) |
| |||||||||||
7.00% | 09/25/34 | 4,018,353 | 4,063,254 | |||||||||
RAAC Series Trust (07-SP1-A3) |
| |||||||||||
2.38% (1 mo. USD LIBOR + 0.480%) (2) | 03/25/37 | 1,439,090 | 1,443,111 | |||||||||
RALI Trust (05-QA13-2A1) |
| |||||||||||
4.36% (3) | 12/25/35 | 907,391 | 829,820 | |||||||||
RALI Trust (05-QA7-A21) |
| |||||||||||
3.94% (3) | 07/25/35 | 3,468,657 | 3,301,048 | |||||||||
RALI Trust (06-QA3-A1) |
| |||||||||||
2.10% (1 mo. USD LIBOR + 0.200%) (2) | 04/25/36 | 4,913,909 | 4,806,753 | |||||||||
Residential Accredit Loans, Inc. (05-QA8-CB21) |
| |||||||||||
4.10% (3) | 07/25/35 | 6,332,547 | 5,197,415 | |||||||||
Residential Accredit Loans, Inc. (05-QS7-A1) |
| |||||||||||
5.50% | 06/25/35 | 1,177,394 | 1,074,954 | |||||||||
Residential Accredit Loans, Inc. (06-QA1-A21) |
| |||||||||||
4.47% (3) | 01/25/36 | 22,711 | 19,866 | |||||||||
Residential Accredit Loans, Inc. (06-QA10-A2) |
| |||||||||||
2.08% (1 mo. USD LIBOR + 0.180%) (2) | 12/25/36 | 18,636,679 | 16,647,965 | |||||||||
Residential Accredit Loans, Inc. (06-QA2-1A1) |
| |||||||||||
2.15% (1 mo. USD LIBOR + 0.250%) (2) | 02/25/36 | 26,628 | 21,788 | |||||||||
Residential Accredit Loans, Inc. (06-QS10-AV) (I/O) |
| |||||||||||
0.57% (3)(8) | 08/25/36 | 48,904,801 | 1,161,655 | |||||||||
Residential Accredit Loans, Inc. (06-QS11-AV) (I/O) |
| |||||||||||
0.35% (3)(8) | 08/25/36 | 47,029,525 | 636,827 | |||||||||
Residential Accredit Loans, Inc. (06-QS5-A5) |
| |||||||||||
6.00% | 05/25/36 | 6,223,818 | 5,836,115 | |||||||||
Residential Accredit Loans, Inc. (06-QS6-1AV) (I/O) |
| |||||||||||
0.75% (3)(8) | 06/25/36 | 61,132,716 | 1,580,067 | |||||||||
Residential Accredit Loans, Inc. (06-QS7-AV) (I/O) |
| |||||||||||
0.69% (3)(8) | 06/25/36 | 13,923,084 | 351,497 |
See accompanying notes to financial statements.
60
Table of Contents
TCW Total Return Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Residential Accredit Loans, Inc. (07-QS1-2AV) (I/O) |
| |||||||||||
0.18% (3)(8) | 01/25/37 | $ | 3,195,587 | $ | 25,168 | |||||||
Residential Accredit Loans, Inc. (07-QS2-AV) (I/O) |
| |||||||||||
0.33% (3)(8) | 01/25/37 | 23,445,780 | 304,394 | |||||||||
Residential Accredit Loans, Inc. (07-QS3-AV) (I/O) |
| |||||||||||
0.36% (3)(8) | 02/25/37 | 96,038,482 | 1,290,344 | |||||||||
Residential Accredit Loans, Inc. (07-QS4-3AV) (I/O) |
| |||||||||||
0.38% (3)(8) | 03/25/37 | 11,291,216 | 168,938 | |||||||||
Residential Accredit Loans, Inc. (07-QS5-AV) (I/O) |
| |||||||||||
0.26% (3)(8) | 03/25/37 | 15,432,109 | 140,617 | |||||||||
Residential Accredit Loans, Inc. (07-QS6-A45) |
| |||||||||||
5.75% | 04/25/37 | 3,453,992 | 3,259,234 | |||||||||
Residential Accredit Loans, Inc. (07-QS8-AV) (I/O) |
| |||||||||||
0.40% (3)(8) | 06/25/37 | 22,796,749 | 390,361 | |||||||||
Residential Funding Mortgage Securities I (05-SA5-2A) |
| |||||||||||
4.11% (3) | 11/25/35 | 28,214 | 27,222 | |||||||||
Residential Funding Mortgage Securities I (06-S9-A3) (PAC) |
| |||||||||||
5.75% | 09/25/36 | 743,550 | 676,195 | |||||||||
Residential Funding Mortgage Securities I (07-S2-A9) |
| |||||||||||
6.00% | 02/25/37 | 8,245,560 | 7,873,123 | |||||||||
Residential Funding Mortgage Securities I (07-SA2-2A2) |
| |||||||||||
4.20% (3) | 04/25/37 | 27,497 | 26,360 | |||||||||
Saxon Asset Securities Trust (06-2-A2) |
| |||||||||||
2.03% (1 mo. USD LIBOR + 0.130%) (2) | 09/25/36 | 7,618,246 | 7,570,248 | |||||||||
Saxon Asset Securities Trust (06-3-A3) |
| |||||||||||
2.07% (1 mo. USD LIBOR + 0.170%) (2) | 10/25/46 | 13,137,089 | 12,880,244 | |||||||||
Saxon Asset Securities Trust (07-2-A2D) |
| |||||||||||
2.20% (1 mo. USD LIBOR + 0.300%) (2) | 05/25/47 | 19,727,556 | 16,631,991 | |||||||||
Securitized Asset-Backed Receivables LLC Trust (07-BR1-A2C) |
| |||||||||||
2.24% (1 mo. USD LIBOR + 0.340%) (2) | 02/25/37 | 3,310,778 | 2,023,750 | |||||||||
Securitized Asset-Backed Receivables LLC Trust (07-BR2-A2) |
| |||||||||||
2.13% (1 mo. USD LIBOR + 0.230%) (2) | 02/25/37 | 42,891,827 | 24,692,557 | |||||||||
Securitized Asset-Backed Receivables LLC Trust (07-NC2-A2B) |
| |||||||||||
2.04% (1 mo. USD LIBOR + 0.140%) (2) | 01/25/37 | 18,942,067 | 13,689,116 | |||||||||
Sequoia Mortgage Trust (03-8-A1) |
| |||||||||||
2.54% (1 mo. USD LIBOR + 0.640%) (2) | 01/20/34 | 897,864 | 875,555 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
SG Mortgage Securities Trust (07-NC1-A2) |
| |||||||||||
2.14% (1 mo. USD LIBOR + 0.240%) (1)(2) | 12/25/36 | $ | 21,973,549 | $ | 15,473,250 | |||||||
Soundview Home Equity Loan Trust (06-OPT4-2A4) |
| |||||||||||
2.13% (1 mo. USD LIBOR + 0.230%) (2) | 06/25/36 | 10,400,000 | 9,909,102 | |||||||||
Soundview Home Equity Loan Trust (07-OPT3-2A4) |
| |||||||||||
2.15% (1 mo. USD LIBOR + 0.250%) (2) | 08/25/37 | 4,000,000 | 3,811,517 | |||||||||
Specialty Underwriting & Residential Finance (06-AB3-A2B) |
| |||||||||||
2.05% (1 mo. USD LIBOR + 0.150%) (2) | 09/25/37 | 20,849 | 13,087 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (04-12-2A) |
| |||||||||||
3.64% (3) | 09/25/34 | 2,447,658 | 2,428,451 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (04-14-2A) |
| |||||||||||
3.83% (3) | 10/25/34 | 3,830,515 | 3,908,002 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (05-16XS-A2A) |
| |||||||||||
2.85% (1 mo. USD LIBOR + 0.950%) (2) | 08/25/35 | 4,422,292 | 4,433,246 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (06-2-5A1) |
| |||||||||||
3.87% (3) | 03/25/36 | 579,642 | 536,402 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (06-4-5A1) |
| |||||||||||
3.63% (3) | 05/25/36 | 2,202,922 | 2,080,956 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (06-5-1A1) |
| |||||||||||
3.81% (3) | 06/25/36 | 4,956,169 | 4,900,154 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (07-1-1A1) |
| |||||||||||
3.68% (3) | 02/25/37 | 2,691,973 | 2,284,506 | |||||||||
Structured Asset Securities Corp. (05-2XS-1A5B) |
| |||||||||||
5.15% (3) | 02/25/35 | 151,906 | 151,993 | |||||||||
Structured Asset Securities Corp. (06-EQ1A-A4) |
| |||||||||||
2.05% (1 mo. USD LIBOR + 0.150%) (1)(2) | 07/25/36 | 4,228,430 | 4,233,810 | |||||||||
Structured Asset Securities Corp. (06-WF2-A4) |
| |||||||||||
2.21% (1 mo. USD LIBOR + 0.310%) (2) | 07/25/36 | 5,457,238 | 5,428,007 | |||||||||
Suntrust Adjustable Rate Mortgage Loan Trust (07-2-2A1) |
| |||||||||||
3.85% (3) | 04/25/37 | 230,588 | 193,670 | |||||||||
Suntrust Adjustable Rate Mortgage Loan Trust (07-3-1A1) |
| |||||||||||
3.81% (3) | 06/25/37 | 8,150 | 7,704 |
See accompanying notes to financial statements.
61
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Suntrust Adjustable Rate Mortgage Loan Trust (07-S1-2A1) |
| |||||||||||
3.82% (3) | 01/25/37 | $ | 945,271 | $ | 939,579 | |||||||
Wachovia Mortgage Loan Trust LLC (06-AMN1-A3) |
| |||||||||||
2.14% (1 mo. USD LIBOR + 0.240%) (2) | 08/25/36 | 9,009,079 | 5,582,677 | |||||||||
WaMu Mortgage Pass-Through Certificates (04-AR14-A1) |
| |||||||||||
3.45% (3) | 01/25/35 | 7,218,128 | 7,405,544 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR13-A1A1) |
| |||||||||||
2.16% (1 mo. USD LIBOR + 0.290%) (2) | 10/25/45 | 8,906,490 | 8,922,965 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR13-A1A2) |
| |||||||||||
2.83% (12 mo. Monthly Treasury Average Index + 1.450%) (2) | 10/25/45 | 717,749 | 754,985 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR14-2A1) |
| |||||||||||
3.42% (3) | 12/25/35 | 1,535,919 | 1,423,432 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR18-1A1) |
| |||||||||||
3.41% (3) | 01/25/36 | 2,674,208 | 2,633,982 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR2-2A1A) |
| |||||||||||
2.21% (1 mo. USD LIBOR + 0.310%) (2) | 01/25/45 | 270,884 | 272,512 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR9-A1A) |
| |||||||||||
2.54% (1 mo. USD LIBOR + 0.640%) (2) | 07/25/45 | 6,531,519 | 6,522,984 | |||||||||
WaMu Mortgage Pass-Through Certificates (06-AR1-2A1A) |
| |||||||||||
2.45% (12 mo. Monthly Treasury Average Index + 1.070%) (2) | 01/25/46 | 19,526,584 | 20,042,771 | |||||||||
WaMu Mortgage Pass-Through Certificates (06-AR11-1A) |
| |||||||||||
2.34% (12 mo. Monthly Treasury Average Index + 0.960%) (2) | 09/25/46 | 5,252,734 | 4,904,670 | |||||||||
WaMu Mortgage Pass-Through Certificates (06-AR17-1A1A) |
| |||||||||||
2.09% (12 mo. Monthly Treasury Average Index + 0.810%) (2) | 12/25/46 | 5,792,945 | 5,755,005 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (02-AR1-1A1) |
| |||||||||||
3.36% (3) | 11/25/30 | 117,584 | 119,087 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-1-3A2) |
| |||||||||||
5.75% | 02/25/36 | $ | 1,282,215 | $ | 1,228,799 | |||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-5-1A1) |
| |||||||||||
2.50% (1 mo. USD LIBOR + 0.600%) (2) | 07/25/36 | 2,454,803 | 1,767,394 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-AR10-A2A) |
| |||||||||||
2.07% (1 mo. USD LIBOR + 0.170%) (2) | 12/25/36 | 4,485,435 | 4,065,511 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OA3-5A) |
| |||||||||||
2.07% (11th District Cost of Funds + 1.250%)(2) | 04/25/47 | 1,854,468 | 1,642,431 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OC2-A3) |
| |||||||||||
2.21% (1 mo. USD LIBOR + 0.310%) (2) | 06/25/37 | 5,502,033 | 5,014,638 | |||||||||
Washington Mutual Asset-Backed Certificates (06-HE1-2A4) |
| |||||||||||
2.18% (1 mo. USD LIBOR + 0.280%) (2) | 04/25/36 | 11,543,603 | 11,072,222 | |||||||||
Wells Fargo Home Equity Asset-Backed Securities (06-3-A2) |
| |||||||||||
2.05% (1 mo. USD LIBOR + 0.150%) (2) | 01/25/37 | 8,100,375 | 8,046,480 | |||||||||
Wells Fargo Home Equity Asset-Backed Securities (07-1-A3) |
| |||||||||||
2.22% (1 mo. USD LIBOR + 0.320%) (2) | 03/25/37 | 5,521,000 | 4,441,585 | |||||||||
Wells Fargo Mortgage Loan Trust (11-RR3-A1) |
| |||||||||||
3.57% (1)(3) | 03/27/37 | 571,857 | 572,423 | |||||||||
Wells Fargo Mortgage Loan Trust (12-RR2-1A1) |
| |||||||||||
2.05% (1 mo. USD LIBOR + 0.180%) (1)(2) | 09/27/47 | 38,682 | 38,849 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (04-DD-2A6) |
| |||||||||||
3.77% (3) | 01/25/35 | 2,320,955 | 2,398,648 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (06-AR11-A6) |
| |||||||||||
3.49% (3) | 08/25/36 | 4,702,974 | 4,732,625 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (06-AR6-4A1) |
| |||||||||||
3.64% (3) | 03/25/36 | 3,024,494 | 3,041,724 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (06-AR7-2A4) |
| |||||||||||
4.13% (3) | 05/25/36 | 2,057,236 | 2,091,535 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (07-10-1A32) |
| |||||||||||
6.00% | 07/25/37 | 3,676,508 | 3,685,264 |
See accompanying notes to financial statements.
62
Table of Contents
TCW Total Return Bond Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Wells Fargo Mortgage-Backed Securities Trust (07-AR4-A1) |
| |||||||||||
3.73% (3) | 08/25/37 | $ | 343,532 | $ | 337,883 | |||||||
Wells Fargo Mortgage-Backed Securities Trust (08-1-4A1) |
| |||||||||||
5.75% | 02/25/38 | 1,515,928 | 1,599,493 | |||||||||
|
| |||||||||||
Total Residential Mortgage-backed |
| |||||||||||
(Cost: $1,025,639,647) |
| 1,299,549,426 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 25.2% | ||||||||||||
U.S. Treasury Bond |
| |||||||||||
3.00% | 02/15/48 | 689,585,000 | 676,938,121 | |||||||||
U.S. Treasury Note |
| |||||||||||
2.25% | 03/31/20 | 145,945,000 | 145,326,453 | |||||||||
2.38% | 01/31/23 | 184,670,000 | 181,343,063 | |||||||||
2.50% | 03/31/23 | 96,440,000 | 95,168,317 | |||||||||
2.75% | 04/30/23 | 547,275,000 | 546,312,207 | |||||||||
2.75% | 02/15/28 | 401,855,000 | 395,599,560 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $2,040,541,618) |
| 2,040,687,721 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $7,550,166,659) |
| 7,700,391,974 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 1.7% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (9) |
| 136,312,235 | 136,312,235 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $136,312,235) |
| 136,312,235 | ||||||||||
|
| |||||||||||
Principal Amount | ||||||||||||
SHORT TERM INVESTMENTS — 10.6% |
| |||||||||||
Foreign Government Bonds — 2.8% | ||||||||||||
Japan Treasury Bill |
| |||||||||||
0.00% (4) | 07/02/18 | JPY | 9,105,000,000 | 83,232,589 | ||||||||
0.00% (4) | 06/04/18 | JPY | 15,540,000,000 | 142,038,142 | ||||||||
|
| |||||||||||
Total Foreign Government Bonds | ||||||||||||
(Cost: $230,639,353) |
| 225,270,731 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
U.S. Treasury Securities — 4.5% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
1.62% (10)(11) | 06/14/18 | $ | 6,419,000 | $ | 6,406,114 | |||||||
1.74% (10) | 07/12/18 | 130,290,000 | 129,838,219 | |||||||||
1.76% (10) | 07/19/18 | 172,000,000 | 171,339,472 | |||||||||
1.97% (10) | 10/04/18 | 60,000,000 | 59,496,900 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $367,093,733) |
| 367,080,705 | ||||||||||
|
| |||||||||||
COMMERCIAL PAPER — 1.0% | ||||||||||||
Computers — 0.5% | ||||||||||||
Apple, Inc. |
| |||||||||||
1.99% (10) | 07/05/18 | 41,740,000 | 41,593,687 | |||||||||
|
| |||||||||||
Retail — 0.5% | ||||||||||||
Wal-mart Stores, Inc. |
| |||||||||||
1.88% (10) | 05/07/18 | 43,360,000 | 43,349,247 | |||||||||
|
| |||||||||||
Total Commercial Paper | ||||||||||||
(Cost: $84,939,671) |
| 84,942,934 | ||||||||||
|
| |||||||||||
Discount Notes — 2.3% | ||||||||||||
Federal Home Loan Bank |
| |||||||||||
1.49% (10) | 05/16/18 | 10,000,000 | 9,992,960 | |||||||||
1.93% (10) | 07/19/18 | 180,000,000 | 179,277,120 | |||||||||
|
| |||||||||||
Total Discount Notes | ||||||||||||
(Cost: $189,247,346) |
| 189,270,080 | ||||||||||
|
| |||||||||||
Total Short Term Investments | ||||||||||||
(Cost: $871,920,103) |
| 866,564,450 | ||||||||||
|
| |||||||||||
Total Investments (107.3%) |
| |||||||||||
(Cost: $8,558,398,997) |
| 8,703,268,659 | ||||||||||
Liabilities in Excess of Other Assets (-7.3%) |
| (592,691,837 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 8,110,576,822 | |||||||||
|
|
See accompanying notes to financial statements.
63
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional Value | Market Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
BUY | ||||||||||||||||||
3,759 | 2-Year U.S. Treasury Note Futures | 06/29/18 | $ | 798,853,463 | $ | 797,084,207 | $ | (1,769,256 | ) | |||||||||
4,004 | 5-Year U.S. Treasury Note Futures | 06/29/18 | 455,973,970 | 454,485,283 | (1,488,687 | ) | ||||||||||||
1,563 | 10-Year U.S. Treasury Note Futures | 06/20/18 | 187,123,720 | 186,973,875 | (149,845 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||
$ | 1,441,951,153 | $ | 1,438,543,365 | $ | (3,407,788 | ) | ||||||||||||
|
|
|
|
|
|
Forward Currency Exchange Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
SELL (12) | ||||||||||||||||||||||||
Goldman Sachs & Co. | JPY | 15,540,000,000 | 06/04/18 | $ | 146,014,893 | $ | 142,309,061 | $ | 3,705,832 | |||||||||||||||
Goldman Sachs & Co. | JPY | 9,105,000,000 | 07/02/18 | 86,170,183 | 83,562,085 | 2,608,098 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 232,185,076 | $ | 225,871,146 | $ | 6,313,930 | |||||||||||||||||||
|
|
|
|
|
|
Notes to 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, 2018, the value of these securities amounted to $361,010,272 or 4.5% 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 Fund’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2018. |
(3) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(4) | Security is not accruing interest. |
(5) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(6) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(7) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(8) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(9) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
(10) | Rate shown represents yield-to-maturity. |
(11) | All or a portion of this security is held as collateral for open futures contracts. |
(12) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
64
Table of Contents
TCW Total Return Bond Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Asset-Backed Securities | 2.1 | % | ||
Commercial Mortgage-Backed Securities — Agency | 1.5 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.4 | |||
Residential Mortgage-Backed Securities — Agency | 49.8 | |||
Residential Mortgage-Backed Securities — Non-Agency | 16.0 | |||
Short Term Investments | 10.6 | |||
U.S. Treasury Securities | 25.2 | |||
Money Market Investments | 1.7 | |||
|
| |||
Total | 107.3 | % | ||
|
|
Fair Valuation Summary (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | — | $ | 168,891,132 | $ | — | $ | 168,891,132 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 122,166,077 | — | 122,166,077 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 32,577,326 | — | 32,577,326 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 4,036,520,292 | — | 4,036,520,292 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 1,293,483,132 | 6,066,294 | 1,299,549,426 | ||||||||||||
U.S. Treasury Securities | 2,040,687,721 | — | — | 2,040,687,721 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 2,040,687,721 | 5,653,637,959 | 6,066,294 | 7,700,391,974 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 136,312,235 | — | — | 136,312,235 | ||||||||||||
Short-Term Investments* | 367,080,705 | 499,483,745 | — | 866,564,450 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,544,080,661 | 6,153,121,704 | 6,066,294 | 8,703,268,659 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 6,313,930 | — | 6,313,930 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,544,080,661 | $ | 6,159,435,634 | $ | 6,066,294 | $ | 8,709,582,589 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures | ||||||||||||||||
Interest Rate Risk | $ | (3,407,788 | ) | $ | — | $ | — | $ | (3,407,788 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (3,407,788 | ) | $ | — | $ | — | $ | (3,407,788 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
65
Table of Contents
TCW Funds, Inc.
April 30, 2018 |
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) | $ | 1,744,253 | $ | 1,722 | $ | 16,501 | ||||||
Foreign Currency, at Value | — | — | — | (3)(4) | ||||||||
Receivable for Securities Sold | 6,513 | — | (4) | — | ||||||||
Receivable for Sale of When-Issued Securities | 11,930 | — | 36 | |||||||||
Receivable for Fund Shares Sold | 987 | — | — | |||||||||
Interest Receivable | 8,459 | 4 | 111 | |||||||||
Receivable from Investment Advisor | 46 | 19 | 10 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | 975 | — | 4 | |||||||||
Receivable for Daily Variation Margin on Open Financial Futures Contracts | — | — | 5 | |||||||||
Cash Collateral Held for Forward Currency Contracts | 1,326 | — | — | |||||||||
Cash Collateral on Swap Agreements | — | 190 | — | |||||||||
Prepaid Expenses | 46 | — | 21 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,774,535 | 1,935 | 16,688 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 536 | — | — | |||||||||
Payable for Securities Purchased | 12,778 | — | — | |||||||||
Payable for Purchase of When-Issued Securities | 126,865 | — | 187 | |||||||||
Payable for Fund Shares Redeemed | 3,973 | — | — | |||||||||
Accrued Directors’ Fees and Expenses | 12 | 12 | 12 | |||||||||
Accrued Management Fees | 580 | 1 | 8 | |||||||||
Accrued Distribution Fees | 70 | — | (4) | 2 | ||||||||
Interest Payable on Swap Agreements | — | 1 | — | |||||||||
Payable for Daily Variation Margin on Open Financial Futures Contracts | 683 | — | — | |||||||||
Open Swap Agreements, at Value | — | 5 | — | |||||||||
Collateral Pledged by Brokers on Forward Currency Contracts | 600 | — | — | |||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | — | 19 | |||||||||
Other Accrued Expenses | 339 | 73 | 21 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 146,436 | 92 | 249 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,628,099 | $ | 1,843 | $ | 16,439 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 1,684,433 | $ | 1,702 | $ | 16,719 | ||||||
Accumulated Net Realized Gain (Loss) on Investments, Futures Contracts, Swap Contracts and Foreign Currency | (41,594 | ) | 132 | (245 | ) | |||||||
Unrealized Appreciation (Depreciation) of Investments, Futures Contracts and Swap Contracts | (12,334 | ) | 23 | (99 | ) | |||||||
Undistributed (Overdistributed) Net Investment Income | (2,406 | ) | (14 | ) | 64 | |||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,628,099 | $ | 1,843 | $ | 16,439 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 1,315,775 | $ | 1,298 | $ | 8,739 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 312,324 | $ | 545 | $ | 7,700 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (5) | ||||||||||||
I Class Share | 123,164,304 | 238,696 | 898,192 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 29,312,979 | 100,261 | 791,451 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (6) | ||||||||||||
I Class Share | $ | 10.68 | $ | 5.44 | $ | 9.73 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 10.65 | $ | 5.44 | $ | 9.73 | ||||||
|
|
|
|
|
|
(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, 2018 was $1,756,876, $1,694 and $16,599, respectively. |
(3) | The identified cost for the TCW Global Bond Fund at April 30, 2018 was $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.
66
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2018 |
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) | $ | 17,031 | $ | 7,625 | $ | 8,703,269 | ||||||
Cash | — | — | 319 | |||||||||
Receivable for Securities Sold | 313 | — | — | |||||||||
Receivable for Sale of When-Issued Securities | — | — | 274,682 | |||||||||
Receivable for Fund Shares Sold | 4 | — | 15,742 | |||||||||
Interest Receivable | 204 | 32 | 21,941 | |||||||||
Receivable from Investment Advisor | 18 | 13 | 925 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | — | 6,314 | |||||||||
Cash Collateral Held for Forward Foreign Currency Contracts | — | — | 10,270 | |||||||||
Prepaid Expenses | 24 | 9 | 75 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 17,594 | 7,679 | 9,033,537 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 17 | 1 | 10,097 | |||||||||
Payable for Securities Purchased | 340 | 163 | 59,497 | |||||||||
Payable for Purchase of When-Issued Securities | — | — | 815,495 | |||||||||
Payable for Fund Shares Redeemed | 15 | 4 | 23,026 | |||||||||
Accrued Directors’ Fees and Expenses | 12 | 12 | 12 | |||||||||
Accrued Management Fees | 7 | 2 | 3,597 | |||||||||
Accrued Distribution Fees | 1 | — | 303 | |||||||||
Interest Payable on Swap Agreements | — | (2) | — | — | ||||||||
Payable for Daily Variation Margin on Open Financial Futures Contracts | — | — | 3,389 | |||||||||
Open Swap Agreements, at Value | 2 | — | — | |||||||||
Collateral Pledged by Brokers on Forward Foreign Currency Contracts | — | — | 5,570 | |||||||||
Other Accrued Expenses | 35 | 23 | 1,974 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 429 | 205 | 922,960 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 17,165 | $ | 7,474 | $ | 8,110,577 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 17,970 | $ | 14,940 | $ | 8,244,245 | ||||||
Accumulated Net Realized Loss on Investments, Futures Contracts, Swap Contracts and Foreign Currency | (538 | ) | (7,449 | ) | (341,168 | ) | ||||||
Unrealized Appreciation (Depreciation) of Investments, Futures Contracts, and Swap Contracts | (283 | ) | 6 | 147,776 | ||||||||
Undistributed (Overdistributed) Net Investment Income | 16 | (23 | ) | 59,724 | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 17,165 | $ | 7,474 | $ | 8,110,577 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 11,163 | $ | 7,474 | $ | 6,756,678 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 6,002 | $ | 1,353,899 | ||||||||
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (3) | ||||||||||||
I Class Share | 1,785,700 | 872,339 | 700,134,570 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 953,733 | 136,100,972 | ||||||||||
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE:(4) | ||||||||||||
I Class Share | $ | 6.25 | $ | 8.57 | $ | 9.65 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 6.29 | $ | 9.95 | ||||||||
|
|
|
|
(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, 2018 was $17,311, $7,619 and $8,558,399, 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.
67
Table of Contents
TCW Funds, Inc.
Six Months Ended April 30, 2018 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | TCW Global Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 22,722 | $ | 22 | $ | 220 | ||||||
|
|
|
|
|
| |||||||
Total | 22,722 | 22 | 220 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 3,415 | 7 | 45 | |||||||||
Accounting Services Fees | 85 | 13 | 2 | |||||||||
Administration Fees | 52 | 19 | 1 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 443 | 5 | 3 | |||||||||
N Class | 179 | 4 | 3 | |||||||||
Custodian Fees | 19 | 3 | 12 | |||||||||
Professional Fees | 52 | 21 | 19 | |||||||||
Directors’ Fees and Expenses | 24 | 24 | 24 | |||||||||
Registration Fees: | ||||||||||||
I Class | 20 | 2 | 9 | |||||||||
N Class | 12 | 2 | 9 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 411 | 1 | 10 | |||||||||
Shareholder Reporting Expense | 3 | 1 | — | (2) | ||||||||
Other | 72 | 4 | 2 | |||||||||
|
|
|
|
|
| |||||||
Total | 4,787 | 106 | 139 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 89 | 64 | 24 | |||||||||
N Class | 118 | 36 | 32 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 4,580 | 6 | 83 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 18,142 | 16 | 137 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | (20,939 | ) | — | (2) | (152 | ) | ||||||
Foreign Currency | 2,649 | — | (9 | ) | ||||||||
Foreign Currency Forward | ||||||||||||
Contracts | (3,164 | ) | — | 3 | ||||||||
Futures Contracts | (4,375 | ) | — | (89 | ) | |||||||
Swap Agreements | — | 76 | — | |||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (22,552 | ) | (6 | ) | 172 | |||||||
Foreign Currency | — | — | — | (2) | ||||||||
Foreign Currency Forward | ||||||||||||
Contracts | (439 | ) | — | (8 | ) | |||||||
Futures contracts | 552 | — | 14 | |||||||||
Swap Agreements | — | (18 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | (48,268 | ) | 52 | (69 | ) | |||||||
|
|
|
|
|
| |||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (30,126 | ) | $ | 68 | $ | 68 | |||||
|
|
|
|
|
|
(1) | Consolidated Statement of Operations (See Note 2). |
(2) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
68
Table of Contents
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2018 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 417 | $ | 67 | $ | 146,388 | ||||||
|
|
|
|
|
| |||||||
Total | 417 | 67 | 146,388 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 42 | 13 | 21,362 | |||||||||
Accounting Services Fees | 13 | 1 | 438 | |||||||||
Administration Fees | 1 | — | (1) | 269 | ||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 8 | 5 | 2,972 | |||||||||
N Class | 7 | — | 840 | |||||||||
Custodian Fees | 8 | 4 | 45 | |||||||||
Professional Fees | 18 | 24 | 174 | |||||||||
Directors’ Fees and Expenses | 24 | 24 | 24 | |||||||||
Registration Fees: | ||||||||||||
I Class | 8 | 10 | 34 | |||||||||
N Class | 8 | — | 23 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 8 | — | 1,925 | |||||||||
Shareholder Reporting Expense | 1 | — | (1) | 10 | ||||||||
Other | 3 | 3 | 409 | |||||||||
|
|
|
|
|
| |||||||
Total | 149 | 84 | 28,525 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 55 | 67 | 4,468 | |||||||||
N Class | 35 | — | 812 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 59 | 17 | 23,245 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 358 | 50 | 123,143 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 68 | (10 | ) | (129,472 | ) | |||||||
Foreign Currency | 1 | — | (1,536 | ) | ||||||||
Foreign Currency Forward | ||||||||||||
Contracts | (10 | ) | — | (7,825 | ) | |||||||
Futures Contracts | — | — | (38,926 | ) | ||||||||
Swap Agreements | (2 | ) | — | — | ||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (378 | ) | (11 | ) | (95,653 | ) | ||||||
Foreign Currency | — | — | — | |||||||||
Foreign Currency Forward | ||||||||||||
Contracts | (2 | ) | — | (1,755 | ) | |||||||
Futures contracts | — | — | 7,879 | |||||||||
Swap Agreements | 2 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | (321 | ) | (21 | ) | (267,288 | ) | ||||||
|
|
|
|
|
| |||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 37 | $ | 29 | $ | (144,145 | ) | |||||
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
69
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | |||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 18,142 | $ | 33,163 | $ | 16 | $ | 27 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Swap Contracts and Foreign Currency Transactions | (25,829 | ) | (16,204 | ) | 76 | (9 | ) | |||||||||
Change in Unrealized Appreciation on Investments and Futures Contracts | (22,439 | ) | (8,308 | ) | (24 | ) | 35 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (30,126 | ) | 8,651 | 68 | 53 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (15,389 | ) | (28,052 | ) | (9 | ) | (16 | ) | ||||||||
N Class | (3,259 | ) | (7,220 | ) | (5 | ) | (11 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | (14,647 | ) | — | (8 | ) | ||||||||||
N Class | — | (5,178 | ) | — | (5 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (18,648 | ) | (55,097 | ) | (14 | ) | (40 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (23,793 | ) | (8,123 | ) | 509 | 24 | ||||||||||
N Class | (35,460 | ) | (117,795 | ) | 5 | 17 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (59,253 | ) | (125,918 | ) | 514 | 41 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (108,027 | ) | (172,364 | ) | 568 | 54 | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 1,736,126 | 1,908,490 | 1,275 | 1,221 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 1,628,099 | $ | 1,736,126 | $ | 1,843 | $ | 1,275 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Overdistributed Net Investment Income | $ | (2,406 | ) | $ | (1,900 | ) | $ | (14 | ) | $ | (16 | ) |
(1) | Consolidated Statement of Changes in Net Assets (See Note 2). |
See accompanying notes to financial statements.
70
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Global Bond Fund | TCW High Yield Bond Fund | |||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 137 | $ | 282 | $ | 358 | $ | 929 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Swap Contracts and Foreign Currency Transactions | (247 | ) | (15 | ) | 57 | 761 | ||||||||||
Change in Unrealized Appreciation on Investments and Futures Contracts | 178 | (82 | ) | (378 | ) | (69 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 68 | 185 | 37 | 1,621 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (49 | ) | (144 | ) | (274 | ) | (726 | ) | ||||||||
N Class | (43 | ) | (127 | ) | (135 | ) | (339 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (9 | ) | (58 | ) | — | — | ||||||||||
N Class | (8 | ) | (51 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (109 | ) | (380 | ) | (409 | ) | (1,065 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 46 | 170 | (2,785 | ) | (6,449 | ) | ||||||||||
N Class | 41 | 184 | (807 | ) | (769 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 87 | 354 | (3,592 | ) | (7,218 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 46 | 159 | (3,964 | ) | (6,662 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 16,393 | 16,234 | 21,129 | 27,791 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 16,439 | $ | 16,393 | $ | 17,165 | $ | 21,129 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income | $ | 64 | $ | 19 | $ | 16 | $ | 67 |
See accompanying notes to financial statements.
71
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Short Term Bond Fund | TCW Total Return Bond Fund | |||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 50 | $ | 83 | $ | 123,143 | $ | 250,522 | ||||||||
Net Realized Loss on Investments, Futures Contracts and Foreign Currency Transactions | (10 | ) | (5 | ) | (177,759 | ) | (170,461 | ) | ||||||||
Change in Unrealized Appreciation on Investments and Futures Contracts | (11 | ) | (12 | ) | (89,529 | ) | (53,295 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 29 | 66 | (144,145 | ) | 26,766 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (78 | ) | (143 | ) | (119,370 | ) | (183,998 | ) | ||||||||
N Class | — | — | (24,127 | ) | (50,442 | ) | ||||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | — | (114,017 | ) | |||||||||||
N Class | — | — | — | (38,135 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (78 | ) | (143 | ) | (143,497 | ) | (386,592 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (428 | ) | 330 | (110,866 | ) | (671,642 | ) | |||||||||
N Class | — | — | (497,055 | ) | (767,389 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (428 | ) | 330 | (607,921 | ) | (1,439,031 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (477 | ) | 253 | (895,563 | ) | (1,798,857 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 7,951 | 7,698 | 9,006,140 | 10,804,997 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 7,474 | $ | 7,951 | $ | 8,110,577 | $ | 9,006,140 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | (23 | ) | $ | 5 | $ | 59,724 | $ | 80,078 |
See accompanying notes to financial statements.
72
Table of Contents
TCW Funds, Inc.
April 30, 2018 |
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 20 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. |
73
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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, 2018 were $364,758 or 19.8% of the Parent’s consolidated net assets. Intercompany balances and transactions have been eliminated in consolidation.
Net Asset Value: The net asset value per share (“NAV”) 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 in circumstances under which it is determined by the Advisor that prices received are not reflective of their market values, are valued by the Advisor’s Pricing Committee in accordance with the guidelines established by the Valuation Committee of the Company’s Board of Directors (“Board”) and under the general oversight 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 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
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TCW Funds, Inc.
April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
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 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.
Fair Value Measurements: Descriptions of the valuation techniques applied to the Funds’ major categories of assets and liabilities on a recurring basis are as follows:
Asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”). The fair value of ABS and MBS is estimated based on pricing 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.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy.
Credit default and total return swaps. Credit default and 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 credit default swaps would be categorized as Level 2; otherwise, the fair values would be categorized in Level 3.
Foreign currency contracts. The fair values 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.
The summary of the inputs used as of April 30, 2018 is listed after the Schedule 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, 2018.
76
Table of Contents
TCW Funds, Inc.
April 30, 2018 |
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, 2017 | $ | 1,229,012 | $ | 10,660 | $ | 146,477 | $ | 112,200 | $ | 6,981,408 | ||||||||||
Accrued Discounts (Premiums) | (761 | ) | (17 | ) | 5,057 | — | (592,398 | ) | ||||||||||||
Realized Gain (Loss) | (1,106 | ) | — | — | — | 1,551 | ||||||||||||||
Change in Unrealized Appreciation | (69,767 | ) | (1,666 | ) | 392 | (25,245 | ) | (324,859 | ) | |||||||||||
Purchases | — | — | — | — | 8,129 | |||||||||||||||
Sales | (23,827 | ) | — | — | — | (7,537 | ) | |||||||||||||
Transfers in to Level 3 (1) | — | — | — | — | — | |||||||||||||||
Transfers out of Level 3 (1) | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balance as of April 30, 2018 | $ | 1,133,551 | $ | 8,977 | $ | 151,926 | $ | 86,955 | $ | 6,066,294 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Unrealized Appreciation from Investments Still Held at April 30, 2018 | $ | (69,767 | ) | $ | (1,666 | ) | $ | 392 | $ | (25,245 | ) | $ | (324,859 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
(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, 2018 are as follows:
Description | Fair Value at 4/30/2018 | Valuation Techniques* | Unobservable Input | Price or Price Range | Average Weighted Price | |||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
Corporate Bonds | $ | 1,133,551 | Third-party Vendor | Vendor Prices | $110.078 | $110.078 | ||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | 8,977 | Third-party Vendor | Vendor Prices | $0.572 | $0.572 | |||||||||||
TCW Global Bond Fund | ||||||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | 7,024 | Third-party Vendor | Vendor Prices | $0.029–$0.391 | $0.297 | |||||||||||
Residential Mortgage-Backed Securities — Non-Agency | 144,902 | Third-party Vendor | Vendor Prices | $11.576 | $11.576 | |||||||||||
TCW High Yield Bond Fund | ||||||||||||||||
Common Stock | 86,955 | Third-party Vendor | Vendor Prices | $15.500 | $15.500 | |||||||||||
TCW Total Return Bond Fund | ||||||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | 3,431 | Third-party Vendor | Vendor Prices | $100.000 | $100.000 | |||||||||||
Residential Mortgage-Backed Securities — Non-Agency | 6,062,863 | Third-party Vendor | Vendor Prices | $0.786–$18.499 | $1.766 |
* | 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 Advisor’s own model and inputs. |
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency denominated securities and other assets and liabilities stated in foreign
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Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
currencies are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are included in, or are a reduction of, ordinary income for federal income tax purposes.
Foreign Taxes: The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.
Derivative Instruments: Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. A derivative contract may result in a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Funds may not be able to close out a derivative transaction at a favorable time or price.
For the period ended April 30, 2018, the following Funds had derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Notional Amounts or shares/Units):
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
TCW Core Fixed Income Fund |
| |||||||||||
Statement of Asset and Liabilities | ||||||||||||
Asset Derivatives | ||||||||||||
Forward Contracts | $ | 975 | $ | — | $ | 975 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | 975 | $ | — | $ | 975 | ||||||
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|
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|
|
| |||||||
Liability Derivatives | ||||||||||||
Futures Contracts (1) | $ | — | $ | (686 | ) | $ | (686 | ) | ||||
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|
|
|
|
| |||||||
Total Value | $ | — | $ | (686 | ) | $ | (686 | ) | ||||
|
|
|
|
|
| |||||||
Statement of Operations: | ||||||||||||
Realized Gain (Loss) | ||||||||||||
Forward Contracts | $ | (3,164 | ) | $ | — | $ | (3,164 | ) | ||||
Futures Contracts | — | (4,375 | ) | (4,375 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (3,164 | ) | $ | (4,375 | ) | $ | (7,539 | ) | |||
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|
|
|
|
| |||||||
Change in Appreciation (Depreciation) | ||||||||||||
Forward Contracts | $ | (439 | ) | $ | — | $ | (439 | ) | ||||
Futures Contracts | — | 552 | 552 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | (439 | ) | $ | 552 | $ | 113 | |||||
|
|
|
|
|
| |||||||
Number of Contracts or Notional Amounts (2) | ||||||||||||
Forward Currency Contracts | $ | 58,486,162 | $ | — | $ | 58,486,162 | ||||||
Futures Contracts | — | 1,420 | 1,420 | |||||||||
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Table of Contents
TCW Funds, Inc.
April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW Enhanced Commodity Strategy Fund |
| |||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||
Liability Derivatives | ||||||||||||||||
Swaps Contracts | $ | (5 | ) | $ | — | $ | — | $ | (10 | ) | ||||||
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|
|
|
|
|
| |||||||||
Total Value | $ | (5 | ) | $ | — | $ | — | $ | (10 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Swaps Contracts | $ | 76 | $ | — | $ | — | $ | 76 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | 76 | $ | — | $ | — | $ | 76 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||
Swaps Contracts | $ | (18 | ) | $ | — | $ | — | $ | (18 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | (18 | ) | $ | — | $ | — | $ | (18 | ) | ||||||
|
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|
|
|
|
|
| |||||||||
Notional Amounts (2) | ||||||||||||||||
Swaps Contracts | $ | 1,635,456 | $ | — | $ | — | $ | 1,635,456 | ||||||||
TCW Global Bond Fund |
| |||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | 20 | $ | 20 | ||||||||
Forward Contracts | — | 4 | — | 4 | ||||||||||||
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|
|
|
|
| |||||||||
Total Value | $ | — | $ | 4 | $ | 20 | $ | 24 | ||||||||
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|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | (19 | ) | $ | — | $ | (19 | ) | ||||||
Futures Contracts (1) | — | — | (6 | ) | (6 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | (19 | ) | $ | (6 | ) | $ | (25 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Forward Contracts | $ | — | $ | 3 | $ | — | $ | 3 | ||||||||
Futures Contracts | — | — | (89 | ) | (89 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | — | $ | 3 | $ | (89 | ) | $ | (86 | ) | ||||||
|
|
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|
|
|
|
| |||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||
Forward Contracts | $ | — | $ | (8 | ) | $ | — | $ | (8 | ) | ||||||
Futures Contracts | — | — | 14 | 14 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | (8 | ) | $ | 14 | $ | 6 | |||||||
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|
|
|
|
| |||||||||
Number of Contracts or Notional Amounts (2) | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 2,058,886 | $ | — | $ | 2,058,886 | ||||||||
Futures Contracts | — | — | 23 | 23 | ||||||||||||
79
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW High Yield Bond Fund |
| |||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||
Liability Derivatives | ||||||||||||||||
Swaps Contracts | $ | (2 | ) | $ | — | $ | — | $ | (2 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | (2 | ) | $ | — | $ | — | $ | (2 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Forward Contracts | $ | — | $ | (10 | ) | $ | — | $ | (10 | ) | ||||||
Swaps Contracts | (2 | ) | — | — | (2 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (2 | ) | $ | (10 | ) | $ | — | $ | (12 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||
Forward Contracts | $ | (2 | ) | $ | (2 | ) | ||||||||||
Swaps Contracts | 2 | — | — | 2 | ||||||||||||
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| |||||||||
Total Change in Appreciation (Depreciation) | $ | 2 | $ | (2 | ) | $ | — | $ | — | |||||||
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| |||||||||
Notional Amounts (2) | �� | |||||||||||||||
Forward Currency Contracts | $ | — | $ | 299,726 | $ | — | $ | 299,726 | ||||||||
Swaps Contracts | $ | 250,000 | $ | — | $ | — | $ | 250,000 | ||||||||
TCW Total Return Bond Fund |
| |||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 6,314 | $ | — | $ | 6,314 | ||||||||
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|
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|
|
|
| |||||||||
Total Value | $ | — | $ | 6,314 | $ | — | $ | 6,314 | ||||||||
|
|
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|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | (3,408 | ) | $ | (3,408 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | — | $ | (3,408 | ) | $ | (3,408 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Forward Contracts | $ | — | $ | (7,825 | ) | $ | — | $ | (7,825 | ) | ||||||
Futures Contracts | — | — | (38,926 | ) | (38,926 | ) | ||||||||||
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Total Realized Gain (Loss) | $ | — | $ | (7,825 | ) | $ | (38,926 | ) | $ | (46,751 | ) | |||||
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Change in Appreciation (Depreciation) | ||||||||||||||||
Forward Contracts | $ | — | $ | (1,755 | ) | $ | — | $ | (1,755 | ) | ||||||
Futures Contracts | — | — | 7,879 | 7,879 | ||||||||||||
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Total Change in Appreciation (Depreciation) | $ | — | $ | (1,755 | ) | $ | 7,879 | $ | 6,124 | |||||||
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Number of Contracts or Notional Amounts (2) | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 261,105,377 | $ | — | $ | 261,105,377 | ||||||||
Futures Contracts | — | — | 9,694 | 9,694 |
(1) | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin on April 30, 2018 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 six months ended April 30, 2018. |
Counterparty Credit Risk: Derivative contracts may be exposed to counterparty risk. Losses can occur if the counterparty does not perform under the contract.
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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, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets declines by a stated percentage or a Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral pledged or received by a Fund.
Cash collateral that has been pledged to cover obligations of a Fund is reported separately on the Statement of Assets and Liabilities. Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold, typically $250,000 or $500,000, before a transfer is required, which is determined at the close of each business day and the collateral is transferred on the next business day. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that the Advisor believes 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
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Note 2 — Significant Accounting Policies (Continued)
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, 2018 (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) | $ | 550 | $ | — | $ | 550 | $ | (320 | ) | $ | 230 | |||||||||
Goldman Sachs & Co. (Derivatives) | 425 | — | 425 | (280 | ) | 145 | ||||||||||||||
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Total | $ | 975 | $ | — | $ | 975 | $ | (600 | ) | $ | 375 | |||||||||
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(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
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) | $ | — | $ | (5 | ) | $ | (5 | ) | $ | 5 | (2) | $ | — | |||||||
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Total | $ | — | $ | (5 | ) | $ | (5 | ) | $ | 5 | (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) | $ | 2 | $ | — | $ | 2 | $ | — | $ | 2 | ||||||||||
Goldman Sachs International (Derivatives) | 2 | (19 | ) | (17 | ) | — | (17 | ) | ||||||||||||
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Total | $ | 4 | $ | (19 | ) | $ | (15 | ) | $ | — | $ | (15 | ) | |||||||
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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) | $ | — | $ | (2 | ) | $ | (2 | ) | $ | — | $ | (2 | ) | |||||||
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Total | $ | — | $ | (2 | ) | $ | (2 | ) | $ | — | $ | (2 | ) | |||||||
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(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
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April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
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) | |||||||||||||||
Goldman Sachs & Co. (Derivatives) | $ | 6,314 | $ | — | $ | 6,314 | $ | (5,570 | ) | $ | 744 | (2) | ||||||||
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Total | $ | 6,314 | $ | — | $ | 6,314 | $ | (5,570 | ) | $ | 744 | (2) | ||||||||
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(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Additional collateral was received subsequent to April 30, 2018 to reduce the Net Amount. |
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, the TCW High Yield Bond Fund, and the TCW Total Return Bond Fund entered into forward foreign currency contracts during the period to hedge against the foreign currency exposure within the Funds. Outstanding foreign currency forward contracts at April 30, 2018 are disclosed in the Schedule 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, the TCW Global Bond Fund and the TCW Total Return Bond Fund utilized futures during the six months ended
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Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
April 30, 2018 to help manage interest rate duration of those Funds. Futures contracts outstanding at April 30, 2018 are listed on the Schedule 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 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. 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
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April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. During the period ended April 30, 2018, 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 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.
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Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. A Fund also takes the risk that the market will move against its position in the swap agreement. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. When a Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from 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 each Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded as realized gains and losses, respectively. During the period ended April 30, 2018, 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). Mortgage pass-through securities differ from other forms of debt securities which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates. The 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.
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April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
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 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
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 movement. 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 set aside liquid assets to cover the commitment. To guard against the deemed leverage, the Fund monitors the obligations under these transactions 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 counterparties to complete the transaction. There were no such transactions by the Funds for the period ended April 30, 2018.
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, each Fund receives securities as collateral with a market value in excess of the repurchase price. 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, 2018.
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, 2018.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. Government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in
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April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the period ended April 30, 2018.
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. 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 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.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 3 — Risk Considerations (Continued)
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 an unanticipated rate of prepayment on underlying mortgages increases 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 achieve their objective through the use of the derivatives.
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.
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TCW Funds, Inc.
April 30, 2018 |
Note 3 — Risk Considerations (Continued)
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.
Commodities Risk: The TCW Enhanced Commodity Strategy Fund has exposure to commodity markets through its investments in total return swap agreements. Therefore, the price of its shares is affected by factors particular to the commodity markets and may decline and fluctuate more than the price of shares of a fund with a broader range of investments. Commodity prices can be extremely volatile and are affected by many factors, including changes in overall market movements, real or perceived inflationary trends, commodity index volatility, changes in interest rates or currency exchange rates, population growth and changing demographics, nationalization, expropriation, or other confiscation, international regulatory, political and economic developments (e.g., regime changes and changes in economic activity levels), and developments affecting a particular industry or commodity, such as drought, floods or other weather conditions, livestock disease, trade embargoes, competition from substitute products, transportation bottlenecks or shortages, fluctuations in supply and demand and tariffs.
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 Investment 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.
At April 30, 2018, 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 | $ | 11,200 | $ | (28,519 | ) | $ | (17,319 | ) | $ | 1,761,572 | ||||||
TCW Enhanced Commodity Strategy Fund | 28 | — | 28 | 1,694 | ||||||||||||
TCW Global Bond Fund | 367 | (490 | ) | (123 | ) | 20,984 | ||||||||||
TCW High Yield Bond Fund | 143 | (414 | ) | (271 | ) | 17,301 | ||||||||||
TCW Short Term Bond Fund | 13 | (145 | ) | (132 | ) | 7,757 | ||||||||||
TCW Total Return Bond Fund | 362,402 | (130,972 | ) | 231,430 | 8,471,839 |
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 4 — Federal Income Taxes (Continued)
At October 31, 2017 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 | $ | 5,191 | $ | $ | 5,191 | |||||||
TCW Enhanced Commodity Strategy Fund | 2 | — | 2 | |||||||||
TCW Global Bond Fund | 65 | 17 | 82 | |||||||||
TCW High Yield Bond Fund | 139 | — | 139 | |||||||||
TCW Short Term Bond Fund | 47 | — | 47 | |||||||||
TCW Total Return Bond Fund | 66,234 | — | 66,234 |
During the year ended October 31, 2017, 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 | $ | 51,602 | $ | 3,495 | $ | 55,097 | ||||||
TCW Enhanced Commodity Strategy Fund | 28 | 12 | 40 | |||||||||
TCW Global Bond Fund | 377 | 3 | 380 | |||||||||
TCW High Yield Bond Fund | 1,065 | — | 1,065 | |||||||||
TCW Short Term Bond Fund | 143 | — | 143 | |||||||||
TCW Total Return Bond Fund | 355,061 | 31,531 | 386,592 |
At October 31, 2017, 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 Core Fixed Income Fund | $ | — | $ | — | $ | 16,237 | $ | — | $ | 16,237 | ||||||||||
TCW Enhanced Commodity Strategy Fund | — | — | — | (3) | — | (3) | — | (3) | ||||||||||||
TCW High Yield Bond Fund | — | — | 218 | 460 | 678 | |||||||||||||||
TCW Short Term Bond Fund | 7,023 | 111 | 110 | 139 | 249 | |||||||||||||||
TCW Total Return Bond Fund | — | — | 173,692 | — | 173,692 |
(1) | Losses incurred prior to December 22, 2010. |
(2) | Losses incurred after December 22, 2010. |
(3) | Amount rounds to less than $1. |
The Funds did not have any unrecognized tax benefits at April 30, 2018, nor were there any increases or decreases in unrecognized tax benefits for the six months ended April 30, 2018. 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.
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 | % |
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TCW Funds, Inc.
April 30, 2018 |
Note 5 — Fund Management Fees and Other Expenses (Continued)
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets.
TCW Core Fixed Income Fund | ||||
I Class | 0.49 | % (1) | ||
N Class | 0.72 | % (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, 2018. 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 LLC (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 7 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the period ended April 30, 2018 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 | $ | 222,476 | $ | 171,922 | $ | 2,400,198 | $ | 2,454,702 | ||||||||
TCW Enhanced Commodity Strategy Fund | — | 17 | — | 7 | ||||||||||||
TCW Global Bond Fund | 5,376 | 3,767 | 3,517 | 5,681 | ||||||||||||
TCW High Yield Bond Fund | 9,137 | 12,403 | — | — | ||||||||||||
TCW Short Term Bond Fund | 1,429 | 1,030 | 2,716 | 3,431 | ||||||||||||
TCW Total Return Bond Fund | 41,839 | 209,528 | 11,896,172 | 12,637,430 |
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 8 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Core Fixed Income Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 20,109,652 | $ | 219,374 | 52,501,918 | $ | 575,707 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,446,867 | 15,694 | 3,503,848 | 38,366 | ||||||||||||
Shares Redeemed | (23,920,353 | ) | (258,861 | ) | (56,484,294 | ) | (622,196 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (2,363,834 | ) | $ | (23,793 | ) | (478,528 | ) | $ | (8,123 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,998,924 | $ | 43,273 | 4,750,936 | $ | 52,020 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 270,197 | 2,924 | 862,922 | 9,415 | ||||||||||||
Shares Redeemed | (7,525,357 | ) | (81,657 | ) | (16,351,869 | ) | (179,230 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (3,256,236 | ) | $ | (35,460 | ) | (10,738,011 | ) | $ | (117,795 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Enhanced Commodity Strategy Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 91,408 | $ | 500 | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,695 | 9 | 4,713 | 24 | ||||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 93,103 | $ | 509 | 4,713 | $ | 24 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 892 | 5 | 3,215 | 17 | ||||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 892 | $ | 5 | 3,215 | $ | 17 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Global Bond Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 6,672 | $ | 66 | 3,718 | $ | 36 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 7,300 | 71 | 21,732 | 208 | ||||||||||||
Shares Redeemed | (9,257 | ) | (91 | ) | (7,681 | ) | (74 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 4,715 | $ | 46 | 17,769 | $ | 170 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 125 | $ | 1 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,434 | 63 | 19,117 | 184 | ||||||||||||
Shares Redeemed | (2,263 | ) | (22 | ) | (164 | ) | (1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 4,171 | $ | 41 | 19,078 | $ | 184 | ||||||||||
|
|
|
|
|
|
|
|
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TCW Funds, Inc.
April 30, 2018 |
Note 8 — Capital Share Transactions (Continued)
TCW High Yield Bond Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 81,134 | $ | 513 | 658,272 | $ | 4,135 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 38,681 | 244 | 92,725 | 584 | ||||||||||||
Shares Redeemed | (560,923 | ) | (3,542 | ) | (1,775,760 | ) | (11,168 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (441,108 | ) | $ | (2,785 | ) | (1,024,763 | ) | $ | (6,449 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 154,898 | $ | 988 | 1,291,908 | $ | 8,204 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 20,115 | 128 | 42,606 | 270 | ||||||||||||
Shares Redeemed | (301,495 | ) | (1,923 | ) | (1,452,775 | ) | (9,243 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (126,482 | ) | $ | (807 | ) | (118,261 | ) | $ | (769 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Short Term Bond Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 120,977 | $ | 1,040 | 375,030 | $ | 3,259 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 9,609 | 82 | 14,015 | 121 | ||||||||||||
Shares Redeemed | (180,215 | ) | (1,550 | ) | (351,690 | ) | (3,050 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (49,629 | ) | $ | (428 | ) | 37,355 | $ | 330 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Total Return Bond Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 136,231,110 | $ | 1,341,890 | 273,529,025 | $ | 2,724,778 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 7,154,559 | 70,316 | 18,402,930 | 182,908 | ||||||||||||
Shares Redeemed | (155,232,643 | ) | (1,523,072 | ) | (358,584,609 | ) | (3,579,328 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (11,846,974 | ) | $ | (110,866 | ) | (66,652,654 | ) | $ | (671,642 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 7,792,100 | $ | 78,980 | 36,575,671 | $ | 376,747 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,578,453 | 26,141 | 8,106,956 | 83,082 | ||||||||||||
Shares Redeemed | (59,134,511 | ) | (602,176 | ) | (119,207,888 | ) | (1,227,218 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (48,763,958 | ) | $ | (497,055 | ) | (74,525,261 | ) | $ | (767,389 | ) | ||||||
|
|
|
|
|
|
|
|
Note 9 — Affiliate Ownership
As of April 30, 2018, affiliates of the Funds and Advisor owned 99.9%, and 97.4% of the NAV of 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 or exempted from such registration 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
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 10 — Restricted Securities (Continued)
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, 2018 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 | $ | 1,077,038 | $ | 1,133,551 | 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 | $ | 2,941 | $ | 8,977 | 0.49 | % | |||||||||
TCW Global Bond Fund | ||||||||||||||||
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||||
Bank of America-First Union NB Commercial Mortgage | 3/26/15 | $ | 0 | $ | 6,841 | 0.04 | % | |||||||||
Morgan Stanley Capital I Trust (99-RM1-X), (144A), | 3/26/15 | 0 | 183 | 0.00 | % | |||||||||||
|
|
|
|
|
| |||||||||||
$ | 0 | $ | 7,024 | 0.04 | % | |||||||||||
|
|
|
|
|
|
Note 11 — Committed Line Of Credit
The Funds have 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, 2018. 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, 2018. 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 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.
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TCW Core Fixed Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.99 | $ | 11.28 | $ | 11.14 | $ | 11.22 | $ | 10.97 | $ | 11.34 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.22 | 0.19 | 0.18 | 0.21 | 0.21 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.31 | ) | (0.15 | ) | 0.24 | (0.04 | ) | 0.24 | (0.27 | ) | ||||||||||||||
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Total from Investment Operations | (0.19 | ) | 0.07 | 0.43 | 0.14 | 0.45 | (0.06 | ) | ||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.12 | ) | (0.23 | ) | (0.19 | ) | (0.19 | ) | (0.20 | ) | (0.20 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.13 | ) | (0.10 | ) | (0.03 | ) | — | (0.11 | ) | ||||||||||||||
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Total Distributions | (0.12 | ) | (0.36 | ) | (0.29 | ) | (0.22 | ) | (0.20 | ) | (0.31 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 10.68 | $ | 10.99 | $ | 11.28 | $ | 11.14 | $ | 11.22 | $ | 10.97 | ||||||||||||
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Total Return | (1.73 | )% (2) | 0.68 | % | 3.97 | % | 1.25 | % | 4.14 | % | (0.49 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,315,775 | $ | 1,379,196 | $ | 1,421,267 | $ | 1,109,630 | $ | 646,372 | $ | 589,911 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 0.50 | % (3) | 0.51 | % | 0.51 | % | 0.50 | % | 0.49 | % | 0.48 | % | ||||||||||||
After Expense Reimbursement | 0.49 | % (3) | 0.49 | % | 0.49 | % | 0.49 | % | 0.47 | % | 0.44 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.17 | % (3) | 1.96 | % | 1.70 | % | 1.57 | % | 1.92 | % | 1.89 | % | ||||||||||||
Portfolio Turnover Rate | 153.20 | % (2) | 287.39 | % | 283.38 | % | 332.85 | % | 249.94 | % | 197.42 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
97
Table of Contents
TCW Core Fixed Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.96 | $ | 11.25 | $ | 11.12 | $ | 11.20 | $ | 10.97 | $ | 11.34 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.10 | 0.19 | 0.16 | 0.14 | 0.18 | 0.17 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.30 | ) | (0.15 | ) | 0.24 | (0.03 | ) | 0.22 | (0.25 | ) | ||||||||||||||
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Total from Investment Operations | (0.20 | ) | 0.04 | 0.40 | 0.11 | 0.40 | (0.08 | ) | ||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.20 | ) | (0.17 | ) | (0.16 | ) | (0.17 | ) | (0.18 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.13 | ) | (0.10 | ) | (0.03 | ) | — | (0.11 | ) | ||||||||||||||
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Total Distributions | (0.11 | ) | (0.33 | ) | (0.27 | ) | (0.19 | ) | (0.17 | ) | (0.29 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 10.65 | $ | 10.96 | $ | 11.25 | $ | 11.12 | $ | 11.20 | $ | 10.97 | ||||||||||||
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Total Return | (1.85 | )% (2) | 0.41 | % | 3.66 | % | 1.00 | % | 3.68 | % | (0.74 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 312,324 | $ | 356,930 | $ | 487,223 | $ | 542,103 | $ | 608,129 | $ | 698,223 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
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Before Expense Reimbursement | 0.80 | % (3) | 0.79 | % | 0.79 | % | 0.79 | % | 0.80 | % | 0.77 | % | ||||||||||||
After Expense Reimbursement | 0.73 | % (3) | 0.75 | % | 0.77 | % | 0.79 | % (4) | N/A | 0.77 | % (4) | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.93 | % (3) | 1.69 | % | 1.41 | % | 1.25 | % | 1.59 | % | 1.56 | % | ||||||||||||
Portfolio Turnover Rate | 153.20 | % (2) | 287.39 | % | 283.38 | % | 332.85 | % | 249.94 | % | 197.42 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 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.
98
Table of Contents
TCW Enhanced Commodity Strategy Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 5.20 | $ | 5.15 | $ | 5.30 | $ | 7.18 | $ | 7.61 | $ | 8.58 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.12 | 0.04 | 0.05 | 0.10 | 0.16 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.23 | 0.10 | (0.14 | ) | (1.87 | ) | (0.39 | ) | (0.92 | ) | ||||||||||||||
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Total from Investment Operations | 0.29 | 0.22 | (0.10 | ) | (1.82 | ) | (0.29 | ) | (0.76 | ) | ||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.05 | ) | (0.11 | ) | (0.05 | ) | (0.06 | ) | (0.11 | ) | (0.16 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.06 | ) | — | — | (0.03 | ) | (0.05 | ) | |||||||||||||||
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Total Distributions | (0.05 | ) | (0.17 | ) | (0.05 | ) | (0.06 | ) | (0.14 | ) | (0.21 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 5.44 | $ | 5.20 | $ | 5.15 | $ | 5.30 | $ | 7.18 | $ | 7.61 | ||||||||||||
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Total Return | 5.35 | % (2) | 4.55 | % | (1.83 | )% | (25.47 | )% | (3.90 | )% | (9.05 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,298 | $ | 758 | $ | 725 | $ | 1,443 | $ | 1,934 | $ | 2,013 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
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Before Expense Reimbursement | 6.44 | % (3) | 16.65 | % | 9.74 | % | 7.82 | % | 5.90 | % | 5.67 | % | ||||||||||||
After Expense Reimbursement | 0.70 | % (3) | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.12 | % (3) | 2.31 | % | 0.88 | % | 0.88 | % | 1.30 | % | 2.01 | % | ||||||||||||
Portfolio Turnover Rate | 0.00 | % (2) | 0.00 | % | 2.44 | % | 10.68 | % | 4.13 | % | 54.20 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
99
Table of Contents
TCW Enhanced Commodity Strategy Fund
Financial Highlights — N Class
Six Months April 30, | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 5.21 | $ | 5.15 | $ | 5.31 | $ | 7.18 | $ | 7.61 | $ | 8.58 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.12 | 0.04 | 0.05 | 0.10 | 0.16 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.22 | 0.11 | (0.15 | ) | (1.86 | ) | (0.39 | ) | (0.92 | ) | ||||||||||||||
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Total from Investment Operations | 0.28 | 0.23 | (0.11 | ) | (1.81 | ) | (0.29 | ) | (0.76 | ) | ||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.05 | ) | (0.11 | ) | (0.05 | ) | (0.06 | ) | (0.11 | ) | (0.16 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.06 | ) | — | — | (0.03 | ) | (0.05 | ) | |||||||||||||||
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Total Distributions | (0.05 | ) | (0.17 | ) | (0.05 | ) | (0.06 | ) | (0.14 | ) | (0.21 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 5.44 | $ | 5.21 | $ | 5.15 | $ | 5.31 | $ | 7.18 | $ | 7.61 | ||||||||||||
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Total Return | 5.35 | % (2) | 4.55 | % | (2.03 | )% | (25.36 | )% | (3.92 | )% | (9.05 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 545 | $ | 517 | $ | 496 | $ | 1,153 | $ | 1,546 | $ | 1,609 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
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Before Expense Reimbursement | 6.53 | % (3) | 18.01 | % | 8.32 | % | 8.32 | % | 6.45 | % | 6.14 | % | ||||||||||||
After Expense Reimbursement | 0.75 | % (3) | 0.75 | % | 0.75 | % | 0.75 | % | 0.73 | % | 0.70 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.09 | % (3) | 2.26 | % | 0.83 | % | 0.83 | % | 1.27 | % | 2.01 | % | ||||||||||||
Portfolio Turnover Rate | 0.00 | % (2) | 0.00 | % | 2.44 | % | 10.68 | % | 4.13 | % | 54.20 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
100
Table of Contents
TCW Global Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.75 | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | $ | 10.97 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.08 | 0.17 | 0.20 | 0.19 | 0.22 | 0.35 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.04 | ) | (0.07 | ) | 0.19 | (0.49 | ) | (0.20 | ) | (0.40 | ) | |||||||||||||
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Total from Investment Operations | 0.04 | 0.10 | 0.39 | (0.30 | ) | 0.02 | (0.05 | ) | ||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.05 | ) | (0.16 | ) | (0.22 | ) | (0.09 | ) | (0.13 | ) | (0.16 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.01 | ) | (0.07 | ) | (0.14 | ) | (0.02 | ) | (0.08 | ) | (0.31 | ) | ||||||||||||
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Total Distributions | (0.06 | ) | (0.23 | ) | (0.36 | ) | (0.11 | ) | (0.21 | ) | (0.47 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 9.73 | $ | 9.75 | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | ||||||||||||
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Total Return | 0.46 | % (2) | 1.07 | % | 4.03 | % | (2.96 | )% | 0.21 | % | (0.46 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 8,739 | $ | 8,714 | $ | 8,648 | $ | 7,878 | $ | 8,138 | $ | 11,170 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
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Before Expense Reimbursement | 1.56 | % (3) | 1.60 | % | 1.48 | % | 1.37 | % | 1.39 | % | 1.38 | % | ||||||||||||
After Expense Reimbursement | 1.01 | % (3) | 1.04 | % | 1.05 | % | �� | 1.08 | % | 1.12 | % | 1.14 | % | |||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.66 | % (3) | 1.75 | % | 2.02 | % | 1.92 | % | 2.11 | % | 3.31 | % | ||||||||||||
Portfolio Turnover Rate | 57.82 | % (2) | 90.08 | % | 116.87 | % | 147.16 | % | 125.54 | % | 135.67 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
101
Table of Contents
TCW Global Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.75 | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | $ | 10.97 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.08 | 0.17 | 0.20 | 0.19 | 0.22 | 0.35 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.04 | ) | (0.07 | ) | 0.19 | (0.49 | ) | (0.20 | ) | (0.40 | ) | |||||||||||||
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Total from Investment Operations | 0.04 | 0.10 | 0.39 | (0.30 | ) | 0.02 | (0.05 | ) | ||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.05 | ) | (0.16 | ) | (0.22 | ) | (0.09 | ) | (0.13 | ) | (0.16 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.01 | ) | (0.07 | ) | (0.14 | ) | (0.02 | ) | (0.08 | ) | (0.31 | ) | ||||||||||||
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Total Distributions | (0.06 | ) | (0.23 | ) | (0.36 | ) | (0.11 | ) | (0.21 | ) | (0.47 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 9.73 | $ | 9.75 | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | ||||||||||||
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Total Return | 0.46 | % (2) | 1.07 | % | 4.03 | % | (2.96 | )% | 0.21 | % | (0.46 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 7,700 | $ | 7,679 | $ | 7,586 | $ | 7,358 | $ | 7,565 | $ | 11,746 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
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Before Expense Reimbursement | 1.86 | % (3) | 1.89 | % | 1.76 | % | 1.64 | % | 1.67 | % | 1.62 | % | ||||||||||||
After Expense Reimbursement | 1.01 | % (3) | 1.04 | % | 1.05 | % | 1.08 | % | 1.12 | % | 1.14 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.66 | % (3) | 1.75 | % | 2.02 | % | 1.92 | % | 2.12 | % | 3.30 | % | ||||||||||||
Portfolio Turnover Rate | 57.82 | % (2) | 90.08 | % | 116.87 | % | 147.16 | % | 125.54 | % | 135.67 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
102
Table of Contents
TCW High Yield Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 6.37 | $ | 6.23 | $ | 6.18 | $ | 6.35 | $ | 6.33 | $ | 6.30 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.24 | 0.24 | 0.26 | 0.29 | 0.33 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.10 | ) | 0.18 | 0.06 | (0.15 | ) | 0.04 | 0.06 | ||||||||||||||||
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Total from Investment Operations | 0.02 | 0.42 | 0.30 | 0.11 | 0.33 | 0.39 | ||||||||||||||||||
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Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.14 | ) | (0.28 | ) | (0.25 | ) | (0.28 | ) | (0.31 | ) | (0.36 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 6.25 | $ | 6.37 | $ | 6.23 | $ | 6.18 | $ | 6.35 | $ | 6.33 | ||||||||||||
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Total Return | 0.37 | % (2) | 6.80 | % | 5.06 | % | 1.74 | % | 5.25 | % | 6.44 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 11,163 | $ | 14,195 | $ | 20,265 | $ | 20,791 | $ | 20,649 | $ | 26,102 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.44 | % (3) | 1.22 | % | 1.03 | % | 1.03 | % | 0.90 | % | 1.00 | % | ||||||||||||
After Expense Reimbursement | 0.55 | % (3) | 0.55 | % | 0.55 | % | 0.55 | % | 0.53 | % | 0.63 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.96 | % (3) | 3.85 | % | 3.88 | % | 4.11 | % | 4.60 | % | 5.14 | % | ||||||||||||
Portfolio Turnover Rate | 56.41 | % (2) | 179.87 | % | 244.36 | % | 195.97 | % | 145.14 | % | 114.95 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW High Yield Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 6.42 | $ | 6.28 | $ | 6.23 | $ | 6.41 | $ | 6.37 | $ | 6.35 | ||||||||||||
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Income (Loss) from Investment Operations: |
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Net Investment Income (1) | 0.12 | 0.23 | 0.22 | 0.25 | 0.28 | 0.32 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.11 | ) | 0.18 | 0.07 | (0.17 | ) | 0.05 | 0.06 | ||||||||||||||||
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Total from Investment Operations | 0.01 | 0.41 | 0.29 | 0.08 | 0.33 | 0.38 | ||||||||||||||||||
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Less Distributions: |
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Distributions from Net Investment Income | (0.14 | ) | (0.27 | ) | (0.24 | ) | (0.26 | ) | (0.29 | ) | (0.36 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 6.29 | $ | 6.42 | $ | 6.28 | $ | 6.23 | $ | 6.41 | $ | 6.37 | ||||||||||||
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Total Return | 0.12 | % (2) | 6.59 | % | 4.82 | % | 1.34 | % | 5.24 | % | 6.12 | % | ||||||||||||
Ratios/Supplemental Data: |
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Net Assets, End of Period (in thousands) | $ | 6,002 | $ | 6,934 | $ | 7,526 | $ | 15,910 | $ | 12,555 | $ | 14,620 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
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Before Expense Reimbursement | 1.93 | % (3) | 1.65 | % | 1.40 | % | 1.38 | % | 1.39 | % | 1.34 | % | ||||||||||||
After Expense Reimbursement | 0.80 | % (3) | 0.80 | % | 0.80 | % | 0.80 | % | 0.78 | % | 0.83 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.71 | % (3) | 3.60 | % | 3.64 | % | 3.87 | % | 4.30 | % | 4.96 | % | ||||||||||||
Portfolio Turnover Rate | 56.41 | % (2) | 179.87 | % | 244.36 | % | 195.97 | % | 145.14 | % | 114.95 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW Short Term Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.62 | $ | 8.70 | $ | 8.69 | $ | 8.75 | $ | 8.80 | $ | 8.85 | ||||||||||||
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Income (Loss) from Investment Operations: |
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Net Investment Income (1) | 0.06 | 0.08 | 0.05 | 0.05 | 0.06 | 0.09 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.02 | ) | (0.01 | ) | 0.02 | (0.03 | ) | 0.00 | (2) | (0.03 | ) | |||||||||||||
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Total from Investment Operations | 0.04 | 0.07 | 0.07 | 0.02 | 0.06 | 0.06 | ||||||||||||||||||
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Less Distributions: |
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Distributions from Net Investment Income | (0.09 | ) | (0.15 | ) | (0.06 | ) | (0.08 | ) | (0.11 | ) | (0.11 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 8.57 | $ | 8.62 | $ | 8.70 | $ | 8.69 | $ | 8.75 | $ | 8.80 | ||||||||||||
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Total Return | 0.45 | % (3) | 0.75 | % | 0.84 | % | 0.25 | % | 0.65 | % | 0.67 | % | ||||||||||||
Ratios/Supplemental Data: |
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Net Assets, End of Period (in thousands) | $ | 7,474 | $ | 7,951 | $ | 7,698 | $ | 9,614 | $ | 21,080 | $ | 15,202 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
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Before Expense Reimbursement | 2.23 | % (4) | 1.65 | % | 2.46 | % | 1.57 | % | 1.23 | % | 1.33 | % | ||||||||||||
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 | 1.34 | % (4) | 0.96 | % | 0.58 | % | 0.53 | % | 0.70 | % | 1.01 | % | ||||||||||||
Portfolio Turnover Rate | 79.45 | % (3) | 131.31 | % | 46.36 | % | 8.51 | % | 67.27 | % | 71.48 | % |
(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, 2018 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW Total Return Bond Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.98 | $ | 10.33 | $ | 10.28 | $ | 10.31 | $ | 10.13 | $ | 10.27 | ||||||||||||
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Income (Loss) from Investment Operations: |
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Net Investment Income (1) | 0.14 | 0.27 | 0.26 | 0.25 | 0.27 | 0.27 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.30 | ) | (0.20 | ) | 0.11 | (0.02 | ) | 0.18 | 0.06 | |||||||||||||||
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Total from Investment Operations | (0.16 | ) | 0.07 | 0.37 | 0.23 | 0.45 | 0.33 | |||||||||||||||||
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Less Distributions: |
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Distributions from Net Investment Income | (0.17 | ) | (0.26 | ) | (0.25 | ) | (0.22 | ) | (0.27 | ) | (0.33 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.16 | ) | (0.07 | ) | (0.04 | ) | — | — | |||||||||||||||
Distributions from Return of Capital | — | — | — | — | — | (0.14 | ) | |||||||||||||||||
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Total Distributions | (0.17 | ) | (0.42 | ) | (0.32 | ) | (0.26 | ) | (0.27 | ) | (0.47 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 9.65 | $ | 9.98 | $ | 10.33 | $ | 10.28 | $ | 10.31 | $ | 10.13 | ||||||||||||
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Total Return | (1.66 | )% (2) | 0.72 | % | 3.63 | % | 2.24 | % | 4.49 | % | 3.26 | % | ||||||||||||
Ratios/Supplemental Data: |
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Net Assets, End of Period (in thousands) | $ | 6,756,678 | $ | 7,103,832 | $ | 8,042,194 | $ | 6,360,295 | $ | 6,129,426 | $ | 5,085,781 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
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Before Expense Reimbursement | 0.62 | % (3) | 0.61 | % | 0.60 | % | 0.60 | % | 0.59 | % | 0.57 | % | ||||||||||||
After Expense Reimbursement | 0.49 | % (3) | 0.49 | % | 0.49 | % | 0.49 | % | 0.47 | % | 0.44 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.94 | % (3) | 2.73 | % | 2.55 | % | 2.46 | % | 2.65 | % | 2.60 | % | ||||||||||||
Portfolio Turnover Rate | 145.11 | % (2) | 287.55 | % | 318.48 | % | 287.85 | % | 201.30 | % | 190.79 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
106
Table of Contents
TCW Total Return Bond Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.29 | $ | 10.65 | $ | 10.60 | $ | 10.64 | $ | 10.45 | $ | 10.61 | ||||||||||||
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Income (Loss) from Investment Operations: |
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Net Investment Income (1) | 0.13 | 0.25 | 0.24 | 0.23 | 0.25 | 0.24 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.31 | ) | (0.21 | ) | 0.11 | (0.04 | ) | 0.19 | 0.07 | |||||||||||||||
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Total from Investment Operations | (0.18 | ) | 0.04 | 0.35 | 0.19 | 0.44 | 0.31 | |||||||||||||||||
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Less Distributions: |
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Distributions from Net Investment Income | (0.16 | ) | (0.24 | ) | (0.23 | ) | (0.19 | ) | (0.25 | ) | (0.33 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.16 | ) | (0.07 | ) | (0.04 | ) | — | — | |||||||||||||||
Distributions from Return of Capital | — | — | — | — | — | (0.14 | ) | |||||||||||||||||
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Total Distributions | (0.16 | ) | (0.40 | ) | (0.30 | ) | (0.23 | ) | (0.25 | ) | (0.47 | ) | ||||||||||||
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Net Asset Value per Share, End of Period | $ | 9.95 | $ | 10.29 | $ | 10.65 | $ | 10.60 | $ | 10.64 | $ | 10.45 | ||||||||||||
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Total Return | (1.75 | )% (2) | 0.41 | % | 3.35 | % | 1.83 | % | 4.24 | % | 2.96 | % | ||||||||||||
Ratios/Supplemental Data: |
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Net Assets, End of Period (in thousands) | $ | 1,353,899 | $ | 1,902,308 | $ | 2,762,803 | $ | 2,399,850 | $ | 2,177,160 | $ | 2,492,073 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
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Before Expense Reimbursement | 0.90 | % (3) | 0.88 | % | 0.87 | % | 0.88 | % | 0.87 | % | 0.83 | % | ||||||||||||
After Expense Reimbursement | 0.79 | % (3) | 0.79 | % | 0.79 | % | 0.79 | % | 0.77 | % | 0.73 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.63 | % (3) | 2.42 | % | 2.25 | % | 2.17 | % | 2.36 | % | 2.31 | % | ||||||||||||
Portfolio Turnover Rate | 145.11 | % (2) | 287.55 | % | 318.48 | % | 287.85 | % | 201.30 | % | 190.79 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
107
Table of Contents
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, 2017 to April 30, 2018 (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, 2017 | Ending Account Value April 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2017 to April 30, 2018) | ||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 982.70 | 0.49 | % | $ | 2.41 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.37 | 0.49 | % | 2.46 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 981.50 | 0.73 | % | $ | 3.59 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.18 | 0.73 | % | 3.66 | |||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,053.50 | 0.70 | % | $ | 3.56 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.32 | 0.70 | % | 3.51 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,053.50 | 0.75 | % | $ | 3.82 | ||||||||
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 | $ | 1,004.60 | 1.01 | % | $ | 5.02 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.79 | 1.01 | % | 5.06 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,004.60 | 1.01 | % | $ | 5.02 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.79 | 1.01 | % | 5.06 |
108
Table of Contents
TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value November 1, 2017 | Ending Account Value April 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2017 to April 30, 2018) | ||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.70 | 0.55 | % | $ | 2.73 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.07 | 0.55 | % | 2.76 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.20 | 0.80 | % | $ | 3.97 | ||||||||
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 | $ | 1,004.50 | 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 | $ | 983.40 | 0.49 | % | $ | 2.41 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.37 | 0.49 | % | 2.46 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 982.50 | 0.79 | % | $ | 3.88 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.88 | 0.79 | % | 3.96 |
109
Table of Contents
TCW Funds, Inc.
Supplemental Information
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board 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). |
110
Table of Contents
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
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 Principal Financial and Accounting Officer
Jeffrey A. Engelsman
Chief Compliance Officer and Anti-Money Laundering Officer
Patrick W. Dennis
Vice President and Assistant Secretary
Lisa Eisen
Tax Officer
George N. Winn
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Artificial Intelligence Equity Fund
TCW Focused Equities Fund (1)
TCW Global Real Estate 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 Small Cap Fund
(1) Fund terminated May 31, 2018.
FUNDsarFI0418
Table of Contents
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 Small Cap Fund
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TCW Funds, Inc.
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 78 |
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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, 2018. 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, 2018, the TCW Funds held total net assets of approximately $16 billion.
This report contains information outlining the performance and a list of portfolio holdings as of April 30, 2018 for the TCW Funds’ International fixed income and equity funds.
The International Fixed Income and Equity Markets
Over the past several months, the markets have been volatile due to varying factors, ranging from a quick move higher in US Treasuries, dollar strength and fears of rising global trade tensions. That said, we continue to remain constructive on International Markets, and Emerging Markets (EM) in particular. First quarter European and Japanese data was weaker than expected. In Europe, temporary factors such as severe weather and the flu epidemic contributed to the weakness and could reverse later in the year. April Purchasing Managers’ Index (PMI) data does not, however, indicate a reversal of the weakening trend so concerns around European growth will continue for a time. In the case of Japan, the deceleration was surprising as profit and labor income dynamics remained positive. A widening in the growth premium for the U.S. vis-a-vis the rest of the world would be USD positive, generally a negative factor for EM currencies, particularly for those countries, like Turkey, that rely on external funds flows to finance fiscal and current account deficits.
That said, we believe that a lot of these concerns have been priced in. In addition, the fundamental case for EM remains intact, in our view. The asset class continues to benefit from global growth and relatively loose financial conditions (in spite of Fed tightening and higher US
Treasuries). The differential between EM and Developed Markets growth is expected to widen over the next 12-18 months. Furthermore, the tail risks around China, in our view, have declined compared to several years ago, due to tighter controls on capital flows, well-executed currency management, and a pickup in export growth. Of course, there are risks of policy errors, but we believe the broader impact of trade tariffs on near-term Chinese growth to be limited, as only 3.5% of Chinese output is consumed in the U.S. Rising policy uncertainty over trade and investment barriers is likely to dampen business sentiment and capital expenditures, though we expect this to hit businesses in the U.S. harder than in China, given China’s capacity to enact counter-cyclical policies.
Looking at valuations, average yields in Emerging Markets dollar-denominated and local currency debt have converged, making the return potential more balanced, in our view, heading into the balance of the year. We do, however, believe that local currency debt presents greater individual opportunities for higher returns, particularly in light of the potential to capture currency gains. While there certainly may be these periods of counter trend dollar rallies, we do not see the case for a sustained and continued dollar strength, especially considering the fact that EM growth is outpacing U.S. growth and periods of twin deficits (both fiscal and current account deficits) in the U.S. are usually associated with dollar weakness. In addition, rising policy uncertainties and risks in the U.S. are likely to weigh on the dollar, in our view. Similarly, following the most recent pullback, EM and international equities are now essentially back to their long term median levels. EM continues to trade at a significant discount to developed markets, even as earnings growth prospects improved and economic backdrop turned more favorable.
During this period, the TCW Emerging Markets Income Fund (TGEIX), the TCW Emerging Markets Multi-Asset Opportunities Fund (TGMAX), and the TCW International Small Cap Fund (TGICX) outperformed their respective
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Letter to Shareholders (Continued) |
benchmarks, by 102 bps, 152 bps and 107 bps, respectively. Country allocation and security selection decisions were the primary drivers of outperformance. We also tactically reduced risk in light of risk-off sentiment.
The TCW Emerging Markets Local Currency Income Fund underperformed during the period, due to an overweight to EM currencies, which were under pressure due to dollar strength; however, we do not believe that dollar strength is sustainable, as mentioned, and therefore, we are maintaining our overweight to EM currencies (although to a lesser extent).
The TCW Developing Markets Equity Fund was outperforming throughout the bulk of the period, but underperformed in a very concentrated time frame at the end of April during the equity market correction, and has since resumed its outperformance.
Current valuations appear to be at an interesting entry point, particularly in light of the continuation of strong EM fundamentals. It does feel to us that we are likely closer to the end of the downtrade. That said, we do not dismiss the concerns around trade policy and this counter trend rally in the dollar. We have been opportunistically looking to add risk. Security selection and country differentiation remain key in this environment.
Accolades for TCW Emerging Markets Income Fund and TCW International Small Cap Fund
On February 28, 2018, the TCW Emerging Markets Income Fund — I Class was honored in the 2018 Lipper
Fund Awards and named best emerging markets hard currency debt fund for the ten-year period ended 12/31/17. 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.
The TCW International Small Cap Fund — I Class was ranked as a Category King in the Wall Street Journal for outstanding one-year performance through 3/31/18 and ranked 7th amongst international funds. The rankings are based upon Lipper data.
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
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TCW Funds, Inc.
Performance Summary (Unaudited)
NAV | Six Months Return as of April 30, 2018 | Annualized Total Return as of April 30, 2018 (1) | Inception Date | |||||||||||||||||||||||||
1-Year | 5-Year | 10-Year | Since Inception | |||||||||||||||||||||||||
TCW Developing Markets Equity Fund | ||||||||||||||||||||||||||||
I Class | $ | 11.59 | 4.28 | % | 20.46 | % | N/A | N/A | 5.92 | % | 06/30/15 | |||||||||||||||||
N Class | $ | 11.58 | 4.19 | % | 20.35 | % | N/A | N/A | 5.89 | % | 06/30/15 | |||||||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||||||||||||||
I Class | $ | 8.18 | (1.41 | )% | 1.87 | % | 2.59 | % | 8.08 | % | 9.33 | % (2) | 09/04/96 | (3) | ||||||||||||||
N Class | $ | 10.54 | (1.62 | )% | 1.60 | % | 2.31 | % | 7.80 | % | 7.83 | % | 02/27/04 | |||||||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||||||||||||||
I Class | $ | 9.30 | 4.68 | % | 7.94 | % | (1.28 | )% | N/A | 1.86 | % | 12/14/10 | ||||||||||||||||
N Class | $ | 9.29 | 4.69 | % | 7.95 | % | (1.30 | )% | N/A | 1.83 | % | 12/14/10 | ||||||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||||||||||||||
I Class | $ | 11.75 | 2.65 | % | 14.38 | % | N/A | N/A | 5.83 | % | 06/28/13 | |||||||||||||||||
N Class | $ | 11.70 | 2.57 | % | 14.34 | % | N/A | N/A | 5.74 | % | 06/28/13 | |||||||||||||||||
TCW International Small Cap Fund | ||||||||||||||||||||||||||||
I Class | $ | 11.20 | 6.46 | % | 25.70 | % | 7.89 | % | N/A | 3.44 | % | 02/28/11 | ||||||||||||||||
N Class | $ | 11.21 | 6.46 | % | 25.67 | % | 7.89 | % | N/A | 3.40 | % | 02/28/11 |
(1) | Past performance is not indicative of future performance. |
(2) | Performance data includes the performance of the predecessor limited partnership for periods before the Fund’s registration became effective. The limited partnership was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If the limited partnership had been registered under the 1940 Act, the limited partnership’s performance may have been lower. |
(3) | Inception date of the predecessor entity. |
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TCW Developing Markets Equity Fund
Schedule of Investments (Unaudited)
Issues | Shares | Value | ||||||
COMMON STOCK — 93.2% of Net Assets | ||||||||
Brazil — 7.6% | ||||||||
Banco Santander Brasil S.A. | 7,200 | $ | 78,674 | |||||
CVC Brasil Operadora e Agencia de Viagens S.A. | 3,800 | 63,183 | ||||||
Estacio Participacoes S.A. | 9,400 | 85,976 | ||||||
Gol Linhas Aereas Inteligentes S.A. (ADR) (1) | 4,750 | 52,013 | ||||||
Petroleo Brasileiro S.A. (SP ADR) (1) | 9,000 | 126,810 | ||||||
TIM Participacoes S.A. (ADR) | 3,700 | 84,175 | ||||||
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Total Brazil | ||||||||
(Cost: $438,589) | 490,831 | |||||||
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China — 37.2% | ||||||||
3SBio, Inc. (1) | 32,000 | 68,761 | ||||||
58.Com, Inc. (ADR) (1) | 800 | 69,912 | ||||||
Alibaba Group Holding, Ltd. (SP ADR) (China) (1) | 1,084 | 193,537 | ||||||
Anhui Conch Cement Co., Ltd. — Class H | 6,000 | 37,451 | ||||||
China Merchants Bank Co., Ltd. — Class H | 7,500 | 32,705 | ||||||
China Molybdenum Co., Ltd. — Class H (1) | 45,000 | 33,818 | ||||||
China Oilfield Services, Ltd. — Class H | 88,000 | 87,802 | ||||||
China Vanke Co., Ltd. — Class H | 15,700 | 64,889 | ||||||
Galaxy Entertainment Group, Ltd. | 14,000 | 122,543 | ||||||
Industrial & Commercial Bank of China, Ltd. — Class H | 195,000 | 171,195 | ||||||
Kweichow Moutai Co., Ltd. | 1,480 | 154,165 | ||||||
Melco Crown Entertainment, Ltd. (ADR) | 4,600 | 143,566 | ||||||
Microport Scientific Corp. | 64,000 | 74,532 | ||||||
Ping An Insurance Group Co. of China, Ltd. — Class H | 14,650 | 143,158 | ||||||
Sichuan Swellfun Co., Ltd. | 9,500 | 59,760 | ||||||
Silergy Corp. | 3,873 | 80,992 | ||||||
Sino Biopharmaceutical, Ltd. | 61,000 | 128,461 | ||||||
Tencent Holdings, Ltd. | 9,200 | 452,322 | ||||||
Weibo Corp. (SP ADR) (1) | 700 | 80,164 | ||||||
Wuxi Biologics, Inc. (1) | 8,000 | 72,571 | ||||||
Xiabuxiabu Catering Management China Holdings Co., Ltd. | 58,500 | 100,443 | ||||||
ZTE Corp. — Class H (1)(2) | 9,600 | 24,938 | ||||||
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Total China | ||||||||
(Cost: $1,763,790) | 2,397,685 | |||||||
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Egypt — 1.9% | ||||||||
Citadel Capital SAE (1) | 119,960 | 18,177 | ||||||
Commercial International Bank Egypt SAE | 12,815 | 68,475 | ||||||
Ezz Steel (1) | 11,244 | 18,933 | ||||||
Six of October Development & Investment (1) | 11,610 | 17,535 | ||||||
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Total Egypt | ||||||||
(Cost: $118,293) | 123,120 | |||||||
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Issues | Shares | Value | ||||||
Germany — 1.8% (Cost: $99,658) | ||||||||
Siltronic AG | 733 | $ | 117,431 | |||||
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Greece — 0.5% (Cost: $33,915) | ||||||||
Public Power Corp. S.A. (1) | 10,029 | 33,102 | ||||||
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Hungary — 0.8% (Cost: $34,852) | ||||||||
OTP Bank PLC | 1,240 | 54,133 | ||||||
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India — 7.1% | ||||||||
Dilip Buildcon, Ltd. | 10,386 | 179,602 | ||||||
HDFC Bank, Ltd. (ADR) | 700 | 67,067 | ||||||
KNR Constructions, Ltd. | 6,804 | 32,914 | ||||||
Maruti Suzuki India, Ltd. | 1,148 | 150,960 | ||||||
Tata Steel, Ltd. | 2,895 | 25,639 | ||||||
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Total India | ||||||||
(Cost: $380,824) | 456,182 | |||||||
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Indonesia — 1.0% (Cost: $49,193) | ||||||||
Bank Central Asia Tbk PT | 40,200 | 63,567 | ||||||
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Kazakhstan — 0.6% (Cost: $31,291) | ||||||||
KAZ Minerals PLC (1) | 2,986 | 37,746 | ||||||
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Kenya — 0.9% (Cost: $50,105) | ||||||||
Safari.com, Ltd. | 216,500 | 61,587 | ||||||
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Poland — 2.0% (Cost: $62,275) | ||||||||
Dino Polska S.A. (1) | 4,690 | 126,367 | ||||||
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Russia — 5.8% | ||||||||
Detsky Mir PJSC | 19,810 | 29,380 | ||||||
LUKOIL PJSC (SP ADR) | 1,867 | 123,017 | ||||||
Sberbank of Russia | 61,480 | 219,066 | ||||||
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Total Russia | ||||||||
(Cost: $308,532) | 371,463 | |||||||
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South Africa — 3.8% | ||||||||
Capitec Bank Holdings, Ltd. | 440 | 31,278 | ||||||
Clicks Group, Ltd. | 3,895 | 66,669 | ||||||
Mr Price Group, Ltd. | 4,502 | 98,643 | ||||||
Standard Bank Group, Ltd. | 2,778 | 47,573 | ||||||
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Total South Africa | ||||||||
(Cost: $162,094) | 244,163 | |||||||
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South Korea — 7.3% | ||||||||
KB Financial Group, Inc. (ADR) | 300 | 16,920 | ||||||
LG Household & Health Care, Ltd. | 83 | 105,981 | ||||||
Samsung Biologics Co., Ltd. (1) | 182 | 82,663 | ||||||
Samsung Electronics Co., Ltd. | 28 | 69,401 | ||||||
Shinsegae Co., Ltd. | 280 | 108,677 | ||||||
SK Energy Co., Ltd. | 173 | 31,701 | ||||||
Ssangyong Cement Industrial Co., Ltd. | 2,065 | 57,713 | ||||||
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Total South Korea | ||||||||
(Cost: $386,426) | 473,056 | |||||||
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See accompanying notes to financial statements.
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TCW Developing Markets Equity Fund
April 30, 2018 |
Issues | Shares | Value | ||||||
Switzerland — 0.5% (Cost: $26,170) | ||||||||
Wizz Air Holdings PLC (1) | 700 | $ | 30,752 | |||||
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Taiwan — 5.3% | ||||||||
Accton Technology Corp. | 38,000 | 86,850 | ||||||
ASPEED Technology, Inc. | 1,000 | 28,554 | ||||||
Cathay Financial Holding Co., Ltd. | 36,000 | 64,575 | ||||||
Globalwafers Co., Ltd. | 3,000 | 48,398 | ||||||
President Chain Store Corp. | 3,000 | 29,488 | ||||||
Win Semiconductors Corp. | 3,000 | 22,495 | ||||||
Yageo Corp. | 3,000 | 62,883 | ||||||
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Total Taiwan | ||||||||
(Cost: $356,133) | 343,243 | |||||||
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Thailand — 1.1% | ||||||||
Esso Thailand PCL (NVDR) (1) | 58,100 | 32,901 | ||||||
PTT Exploration & Production PCL (NVDR) | 9,200 | 38,987 | ||||||
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Total Thailand | ||||||||
(Cost: $67,606) | 71,888 | |||||||
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Turkey — 1.8% | ||||||||
Turk Hava Yollari (1) | 13,805 | 56,980 | ||||||
Turkiye Garanti Bankasi A.S. | 24,982 | 56,526 | ||||||
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Total Turkey | ||||||||
(Cost: $135,848) | 113,506 | |||||||
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United Arab Emirates — 2.7% (Cost: $52,426) | ||||||||
NMC Health PLC | 3,518 | 171,981 | ||||||
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United States — 3.5% | ||||||||
Facebook, Inc. (1) | 600 | 103,200 | ||||||
MSCI, Inc. | 800 | 119,864 | ||||||
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Total United States | ||||||||
(Cost: $191,966) | 223,064 | |||||||
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Total Common Stock | ||||||||
(Cost: $4,749,986) | 6,004,867 | |||||||
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Issues | Shares | Value | ||||||
MONEY MARKET INVESTMENTS — 4.4% |
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State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (3) | 280,156 | $ | 280,156 | |||||
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Total Money Market Investments |
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(Cost: $280,156) | 280,156 | |||||||
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Total Investments (97.6%) |
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(Cost: $5,030,142) | 6,285,023 | |||||||
Excess of Other Assets over Liabilities (2.4%) |
| 157,614 | ||||||
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Total Net Assets (100.0%) |
| $ | 6,442,637 | |||||
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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. |
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) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(3) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
See accompanying notes to financial statements.
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TCW Developing Markets Equity Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Airlines | 2.2 | % | ||
Automobiles | 2.4 | |||
Banks | 14.0 | |||
Beverages | 3.3 | |||
Biotechnology | 1.1 | |||
Capital Markets | 2.2 | |||
Communications Equipment | 1.7 | |||
Construction & Engineering | 3.3 | |||
Construction Materials | 1.5 | |||
Diversified Consumer Services | 1.3 | |||
Electric Utilities | 0.5 | |||
Electronic Equipment, Instruments & Components | 1.0 | |||
Energy Equipment & Services | 1.4 | |||
Food & Staples Retailing | 3.5 | |||
Health Care Equipment & Supplies | 1.1 | |||
Health Care Providers & Services | 2.7 | |||
Hotels, Restaurants & Leisure | 6.7 | |||
Household Products | 1.6 | |||
Insurance | 3.2 | |||
Internet Software & Services | 13.9 | |||
Life Sciences Tools & Services | 2.4 | |||
Metals & Mining | 1.8 | |||
Multiline Retail | 1.7 | |||
Oil, Gas & Consumable Fuels | 5.5 | |||
Pharmaceuticals | 2.0 | |||
Real Estate | 1.3 | |||
Semiconductors & Semiconductor Equipment | 4.6 | |||
Specialty Retail | 2.0 | |||
Technology Hardware, Storage & Peripherals | 1.1 | |||
Wireless Telecommunication Services | 2.2 | |||
Money Market Investments | 4.4 | |||
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Total | 97.6 | % | ||
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See accompanying notes to financial statements.
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TCW Developing Markets Equity Fund
Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | 52,012 | $ | 87,732 | $ | — | $ | 139,744 | ||||||||
Automobiles | — | 150,959 | — | 150,959 | ||||||||||||
Banks | 231,136 | 676,045 | — | 907,181 | ||||||||||||
Beverages | — | 213,925 | — | 213,925 | ||||||||||||
Biotechnology | — | 68,761 | — | 68,761 | ||||||||||||
Capital Markets | 119,864 | 18,178 | — | 138,042 | ||||||||||||
Communications Equipment | — | 86,850 | 24,938 | 111,788 | ||||||||||||
Construction & Engineering | — | 212,516 | — | 212,516 | ||||||||||||
Construction Materials | 57,713 | 37,451 | — | 95,164 | ||||||||||||
Diversified Consumer Services | 85,976 | — | — | 85,976 | ||||||||||||
Electric Utilities | — | 33,102 | — | 33,102 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 62,883 | — | 62,883 | ||||||||||||
Energy Equipment & Services | — | 87,802 | — | 87,802 | ||||||||||||
Food & Staples Retailing | 66,669 | 155,855 | — | 222,524 | ||||||||||||
Health Care Equipment & Supplies | — | 74,532 | — | 74,532 | ||||||||||||
Health Care Providers & Services | — | 171,981 | — | 171,981 | ||||||||||||
Hotels, Restaurants & Leisure | 206,749 | 222,985 | — | 429,734 | ||||||||||||
Household Products | — | 105,981 | — | 105,981 | ||||||||||||
Insurance | — | 207,734 | — | 207,734 | ||||||||||||
Internet Software & Services | 446,813 | 452,322 | — | 899,135 | ||||||||||||
Life Sciences Tools & Services | — | 155,234 | — | 155,234 | ||||||||||||
Metals & Mining | — | 116,135 | — | 116,135 | ||||||||||||
Multiline Retail | — | 108,677 | — | 108,677 | ||||||||||||
Oil, Gas & Consumable Fuels | 249,827 | 103,589 | — | 353,416 | ||||||||||||
Pharmaceuticals | — | 128,461 | — | 128,461 | ||||||||||||
Real Estate | — | 82,424 | — | 82,424 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 297,870 | — | 297,870 | ||||||||||||
Specialty Retail | 29,380 | 98,643 | — | 128,023 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 69,401 | — | 69,401 | ||||||||||||
Wireless Telecommunication Services | 84,175 | 61,587 | — | 145,762 | ||||||||||||
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Total Common Stock | 1,630,314 | 4,349,615 | 24,938 | 6,004,867 | ||||||||||||
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Money Market Investments | 280,156 | — | — | 280,156 | ||||||||||||
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Total Investments | $ | 1,910,470 | $ | 4,349,615 | $ | 24,938 | $ | 6,285,023 | ||||||||
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See accompanying notes to financial statements.
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TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 90.4% of Net Assets |
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Angola — 0.3% (Cost: $9,706,323) | ||||||||||||
Angolan Government International Bond |
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9.50% (1) | 11/12/25 | $ | 8,700,000 | $ | 9,798,375 | |||||||
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Argentina — 7.6% | ||||||||||||
Argentine Republic Government International Bond |
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4.63% | 01/11/23 | 31,230,000 | 29,879,615 | |||||||||
5.88% | 01/11/28 | 46,150,000 | 42,215,712 | |||||||||
6.63% | 07/06/28 | 46,780,000 | 45,259,650 | |||||||||
6.88% | 01/26/27 | 48,200,000 | 47,910,800 | |||||||||
6.88% | 01/11/48 | 21,050,000 | 18,734,500 | |||||||||
7.13% | 07/06/36 | 39,605,000 | 37,783,170 | |||||||||
Banco Hipotecario S.A. |
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25.23% (Argentina BADLAR Private Deposit Rate + 2.500%) (2)(3) | 01/12/20 | ARS | 212,317,000 | 10,208,844 | ||||||||
Rio Energy S.A. / UGEN S.A. / UENSA S.A. |
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6.88% (3) | 02/01/25 | $ | 6,130,000 | 5,992,075 | ||||||||
Tecpetrol S.A. | ||||||||||||
4.88% (3) | 12/12/22 | 4,448,000 | 4,325,680 | |||||||||
YPF S.A. | ||||||||||||
6.95% (3) | 07/21/27 | 26,025,000 | 25,667,156 | |||||||||
7.00% (3) | 12/15/47 | 9,385,000 | 8,415,530 | |||||||||
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Total Argentina |
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(Cost: $295,041,205) |
| 276,392,732 | ||||||||||
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Azerbaijan — 0.8% (Cost: $30,572,413) | ||||||||||||
Republic of Azerbaijan International Bond |
| |||||||||||
3.50% (1) | 09/01/32 | 34,895,000 | 28,759,831 | |||||||||
|
| |||||||||||
Bahrain — 2.1% | ||||||||||||
Bahrain Government International Bond |
| |||||||||||
7.00% (3) | 10/12/28 | 54,658,000 | 52,266,713 | |||||||||
Oil and Gas Holding Co. (The) |
| |||||||||||
7.50% (3) | 10/25/27 | 24,043,000 | 23,276,629 | |||||||||
|
| |||||||||||
Total Bahrain |
| |||||||||||
(Cost: $78,742,838) |
| 75,543,342 | ||||||||||
|
| |||||||||||
Brazil — 6.5% | ||||||||||||
Aegea Finance S.a.r.l. |
| |||||||||||
5.75% (3) | 10/10/24 | 15,925,000 | 15,746,640 | |||||||||
Andrade Gutierrez International S.A. |
| |||||||||||
4.00% (1) | 04/30/18 | 8,816,000 | 8,336,630 | |||||||||
Banco BTG Pactual S.A. |
| |||||||||||
5.50% (3) | 01/31/23 | 1,098,000 | 1,073,295 | |||||||||
Banco do Brasil S.A. |
| |||||||||||
6.25% (U.S. 10 year Treasury Constant Maturity Rate + 4.398%) (1)(2)(4) | 10/29/49 | 35,435,000 | 31,526,520 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Brazil (Continued) | ||||||||||||
9.00% (U.S. 10 year Treasury Constant Maturity Rate + 6.362%) (1)(2)(4) | 06/29/49 | $ | 21,947,000 | $ | 23,283,572 | |||||||
CIMPOR Financial Operations BV |
| |||||||||||
5.75% (1) | 07/17/24 | 14,489,000 | 13,710,216 | |||||||||
CSN Resources SA |
| |||||||||||
7.63% (3) | 02/13/23 | 12,160,000 | 11,598,208 | |||||||||
Light Servicos de Eletricidade SA/Light Energia SA |
| |||||||||||
7.25% (3) | 05/03/23 | 10,775,000 | 10,896,219 | |||||||||
MARB BondCo PLC |
| |||||||||||
6.88% (3) | 01/19/25 | 19,270,000 | 18,142,705 | |||||||||
Petrobras Global Finance BV |
| |||||||||||
5.63% | 05/20/43 | 4,400,000 | 3,689,840 | |||||||||
5.75% | 02/01/29 | 45,125,000 | 42,891,312 | |||||||||
6.75% | 01/27/41 | 24,535,000 | 23,450,798 | |||||||||
Samarco Mineracao S.A. |
| |||||||||||
4.13% (1)(5) | 11/01/22 | 13,565,000 | 9,894,311 | |||||||||
5.38% (1)(5) | 09/26/24 | 2,765,000 | 2,018,450 | |||||||||
Vale Overseas, Ltd. |
| |||||||||||
6.88% | 11/10/39 | 7,659,000 | 8,938,053 | |||||||||
Vrio Finco 1 LLC / Vrio Finco 2, Inc. |
| |||||||||||
6.25% (3) | 04/04/23 | 11,300,000 | 11,413,000 | |||||||||
|
| |||||||||||
Total Brazil |
| |||||||||||
(Cost: $238,775,998) |
| 236,609,769 | ||||||||||
|
| |||||||||||
Chile — 0.4% (Cost: $13,163,000) | ||||||||||||
Latam Finance, Ltd. |
| |||||||||||
6.88% (3) | 04/11/24 | 13,163,000 | 13,592,772 | |||||||||
|
| |||||||||||
China — 0.5% (Cost: $19,418,005) | ||||||||||||
Kaisa Group Holdings, Ltd. |
| |||||||||||
8.50% (1) | 06/30/22 | 19,548,000 | 17,032,172 | |||||||||
|
| |||||||||||
Colombia — 3.4% | ||||||||||||
Banco GNB Sudameris S.A. |
| |||||||||||
6.50% (U.S. 5 year Treasury Constant Maturity Rate + 4.561%) (2)(3) | 04/03/27 | 14,050,000 | 14,313,438 | |||||||||
Colombia Government International Bond |
| |||||||||||
3.88% | 04/25/27 | 37,235,000 | 36,024,862 | |||||||||
4.00% | 02/26/24 | 23,750,000 | 23,740,500 | |||||||||
5.00% | 06/15/45 | 40,565,000 | 40,118,785 | |||||||||
5.63% | 02/26/44 | 9,250,000 | 9,934,500 | |||||||||
|
| |||||||||||
Total Colombia |
| |||||||||||
(Cost: $125,153,370) |
| 124,132,085 | ||||||||||
|
| |||||||||||
Costa Rica — 0.7% (Cost: $24,474,677) | ||||||||||||
Autopistas del Sol S.A. |
| |||||||||||
7.38% (3) | 12/30/30 | 24,004,530 | 24,695,861 | |||||||||
|
|
See accompanying notes to financial statements.
8
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Dominican Republic — 2.6% | ||||||||||||
AES Andres B.V. / Dominican Power Partners / Empresa Generadora de Electricidad Itabo, S.A. |
| |||||||||||
7.95% (3) | 05/11/26 | $ | 12,627,000 | $ | 13,577,813 | |||||||
Dominican Republic International Bond |
| |||||||||||
5.95% (3) | 01/25/27 | 49,808,000 | 51,115,460 | |||||||||
6.85% (1) | 01/27/45 | 27,361,000 | 28,352,836 | |||||||||
|
| |||||||||||
Total Dominican Republic |
| |||||||||||
(Cost: $92,259,059) |
| 93,046,109 | ||||||||||
|
| |||||||||||
Ecuador — 1.4% | ||||||||||||
Ecuador Government International Bond |
| |||||||||||
7.88% (3) | 01/23/28 | 24,500,000 | 21,774,375 | |||||||||
7.95% (1) | 06/20/24 | 29,440,000 | 27,636,800 | |||||||||
|
| |||||||||||
Total Ecuador |
| |||||||||||
(Cost: $50,675,894) |
| 49,411,175 | ||||||||||
|
| |||||||||||
Egypt — 2.9% | ||||||||||||
Egypt Government International Bond |
| |||||||||||
5.58% (3) | 02/21/23 | 12,625,000 | 12,693,490 | |||||||||
6.13% (3) | 01/31/22 | 12,900,000 | 13,267,650 | |||||||||
6.59% (3) | 02/21/28 | 18,750,000 | 18,540,000 | |||||||||
7.50% (3) | 01/31/27 | 17,100,000 | 18,102,060 | |||||||||
7.90% (3) | 02/21/48 | 13,095,000 | 13,308,331 | |||||||||
8.50% (3) | 01/31/47 | 26,100,000 | 28,047,060 | |||||||||
|
| |||||||||||
Total Egypt |
| |||||||||||
(Cost: $101,246,845) |
| 103,958,591 | ||||||||||
|
| |||||||||||
El Salvador — 0.3% (Cost: $12,197,063) | ||||||||||||
AES El Salvador Trust III |
| |||||||||||
6.75% (1) | 03/28/23 | 12,800,000 | 12,419,840 | |||||||||
|
| |||||||||||
Ghana — 0.9% | ||||||||||||
Ghana Government International Bond |
| |||||||||||
7.88% (1) | 08/07/23 | 9,160,000 | 9,950,050 | |||||||||
8.13% (1) | 01/18/26 | 22,010,000 | 23,600,927 | |||||||||
|
| |||||||||||
Total Ghana |
| |||||||||||
(Cost: $32,956,314) |
| 33,550,977 | ||||||||||
|
| |||||||||||
Honduras — 0.3% (Cost: $11,443,528) | ||||||||||||
Honduras Government International Bond |
| |||||||||||
6.25% (1) | 01/19/27 | 10,925,000 | 11,337,965 | |||||||||
|
| |||||||||||
India — 1.2% | ||||||||||||
Azure Power Energy, Ltd. |
| |||||||||||
5.50% (3) | 11/03/22 | 10,690,000 | 10,482,614 | |||||||||
Neerg Energy, Ltd. | ||||||||||||
6.00% (3) | 02/13/22 | 11,107,000 | 10,936,097 | |||||||||
Vedanta Resources PLC |
| |||||||||||
6.13% (1) | 08/09/24 | 8,144,000 | 7,855,523 | |||||||||
6.38% (3) | 07/30/22 | 15,760,000 | 15,897,112 | |||||||||
|
| |||||||||||
Total India |
| |||||||||||
(Cost: $45,787,394) |
| 45,171,346 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Indonesia — 6.2% | ||||||||||||
Freeport-McMoRan, Inc. |
| |||||||||||
4.55% | 11/14/24 | $ | 13,571,000 | $ | 13,129,943 | |||||||
Indika Energy Capital III Pte, Ltd. |
| |||||||||||
5.88% (1) | 11/09/24 | 13,920,000 | 13,146,048 | |||||||||
Indonesia Government International Bond |
| |||||||||||
3.50% | 01/11/28 | 46,845,000 | 44,008,676 | |||||||||
Minejesa Capital BV | ||||||||||||
5.63% (3) | 08/10/37 | 41,935,000 | 40,572,112 | |||||||||
Perusahaan Penerbit SBSN Indonesia III |
| |||||||||||
4.15% (1) | 03/29/27 | 59,440,000 | 57,954,000 | |||||||||
Saka Energi Indonesia PT |
| |||||||||||
4.45% (3) | 05/05/24 | 38,880,000 | 37,701,819 | |||||||||
Star Energy Geothermal Wayang Windu, Ltd. |
| |||||||||||
6.75% (3) | 04/24/33 | 16,875,000 | 16,389,844 | |||||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $233,857,756) |
| 222,902,442 | ||||||||||
|
| |||||||||||
Iraq — 0.7% (Cost: $22,976,161) | ||||||||||||
Iraq International Bond |
| |||||||||||
5.80% (1) | 01/15/28 | 25,700,000 | 24,325,050 | |||||||||
|
| |||||||||||
Ivory Coast — 1.6% | ||||||||||||
Ivory Coast Government International Bond |
| |||||||||||
6.13% (3) | 06/15/33 | 40,040,000 | 37,979,942 | |||||||||
6.63% (3) | 03/22/48 | EUR | 17,045,000 | 20,866,625 | ||||||||
|
| |||||||||||
Total Ivory Coast |
| |||||||||||
(Cost: $60,275,000) |
| 58,846,567 | ||||||||||
|
| |||||||||||
Jamaica — 0.6% (Cost: $25,089,281) | ||||||||||||
Digicel Group, Ltd. |
| |||||||||||
8.25% (1) | 09/30/20 | $ | 26,063,000 | 23,326,385 | ||||||||
|
| |||||||||||
Kazakhstan — 3.5% | ||||||||||||
Kazakhstan Temir Zholy National Co. JSC |
| |||||||||||
4.85% (3) | 11/17/27 | 27,840,000 | 27,597,792 | |||||||||
KazMunayGas National Co. JSC |
| |||||||||||
4.75% (3) | 04/19/27 | 42,520,000 | 41,974,553 | |||||||||
5.38% (3) | 04/24/30 | 11,160,000 | 11,179,485 | |||||||||
5.75% (3) | 04/19/47 | 42,230,000 | 40,561,282 | |||||||||
6.38% (3) | 10/24/48 | 6,860,000 | 7,028,756 | |||||||||
|
| |||||||||||
Total Kazakhstan |
| |||||||||||
(Cost: $130,174,417) |
| 128,341,868 | ||||||||||
|
| |||||||||||
Lebanon — 2.5% | ||||||||||||
Lebanon Government International Bond |
| |||||||||||
5.45% (1) | 11/28/19 | 59,865,000 | 59,169,129 | |||||||||
5.80% (1) | 04/14/20 | 14,645,000 | 14,430,378 | |||||||||
6.00% (1) | 01/27/23 | 16,945,000 | 16,041,831 | |||||||||
|
| |||||||||||
Total Lebanon |
| |||||||||||
(Cost: $91,351,784) |
| 89,641,338 | ||||||||||
|
|
See accompanying notes to financial statements.
9
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Luxembourg — 0.4% (Cost: $14,000,000) | ||||||||||||
Gilex Holding SARL |
| |||||||||||
8.50% (3) | 05/02/23 | $ | 14,000,000 | $ | 14,122,500 | |||||||
|
| |||||||||||
Mexico — 6.8% | ||||||||||||
Axtel SAB de CV |
| |||||||||||
6.38% (3) | 11/14/24 | 14,825,000 | 14,787,938 | |||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
6.88% (U.S. 5 year Treasury Constant Maturity Rate + 5.035%) (2)(3)(4) | 12/31/99 | 22,400,000 | 22,597,120 | |||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
7.63% (U.S.10 year Treasury Constant Maturity Rate + 5.353%) (2)(3)(4) | 12/31/99 | 21,930,000 | 22,724,962 | |||||||||
Cometa Energia SA de CV |
| |||||||||||
6.38% (3) | 04/24/35 | 11,045,000 | 10,830,727 | |||||||||
Credito Real SAB de CV |
| |||||||||||
9.13% (U.S. 10 year Treasury Constant Maturity Rate +7.026%) (3)(4)(6) | 12/31/99 | 9,570,000 | 9,737,475 | |||||||||
Mexico Government International Bond |
| |||||||||||
3.75% | 01/11/28 | 34,329,000 | 32,437,472 | |||||||||
Nemak SAB de CV |
| |||||||||||
4.75% (3) | 01/23/25 | 7,976,000 | 7,836,420 | |||||||||
Petroleos Mexicanos |
| |||||||||||
3.50% | 07/23/20 | 21,500,000 | 21,396,800 | |||||||||
3.50% | 01/30/23 | 13,485,000 | 12,770,295 | |||||||||
4.63% | 09/21/23 | 27,190,000 | 26,903,689 | |||||||||
5.35% (3) | 02/12/28 | 14,545,000 | 13,910,838 | |||||||||
6.35% (1) | 02/12/48 | 20,165,000 | 18,592,130 | |||||||||
6.63% | 06/15/35 | 19,355,000 | 19,256,289 | |||||||||
Unifin Financiera S.A.B. de C.V. |
| |||||||||||
7.00% (3) | 01/15/25 | 11,270,000 | 11,002,338 | |||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $247,854,510) |
| 244,784,493 | ||||||||||
|
| |||||||||||
Mongolia — 0.6% (Cost: $22,083,529) | ||||||||||||
Mongolia Government International Bond |
| |||||||||||
5.13% (1) | 12/05/22 | 23,070,000 | 22,231,544 | |||||||||
|
| |||||||||||
Nigeria — 1.8% | ||||||||||||
Nigeria Government International Bond |
| |||||||||||
6.50% (3) | 11/28/27 | 22,325,000 | 22,557,180 | |||||||||
7.14% (3) | 02/23/30 | 12,725,000 | 13,060,940 | |||||||||
7.63% (3) | 11/28/47 | 15,770,000 | 15,937,556 | |||||||||
7.70% (3) | 02/23/38 | 14,820,000 | 15,284,089 | |||||||||
|
| |||||||||||
Total Nigeria |
| |||||||||||
(Cost: $66,354,284) |
| 66,839,765 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Oman — 2.1% | ||||||||||||
Oman Government International Bond |
| |||||||||||
5.63% (3) | 01/17/28 | $ | 44,000,000 | $ | 42,130,000 | |||||||
6.75% (3) | 01/17/48 | 36,190,000 | 34,199,550 | |||||||||
|
| |||||||||||
Total Oman |
| |||||||||||
(Cost: $78,650,249) | 76,329,550 | |||||||||||
|
| |||||||||||
Panama — 1.6% | ||||||||||||
AES Panama SRL | ||||||||||||
6.00% (3) | 06/25/22 | 27,230,000 | 28,217,087 | |||||||||
Banistmo S.A. | ||||||||||||
3.65% (3) | 09/19/22 | 9,140,000 | 8,760,690 | |||||||||
C&W Senior Financing Designated Activity Co. |
| |||||||||||
6.88% (3) | 09/15/27 | 18,900,000 | 18,790,380 | |||||||||
Panama Government International Bond |
| |||||||||||
4.50% | 04/16/50 | 2,964,000 | 2,883,083 | |||||||||
|
| |||||||||||
Total Panama | ||||||||||||
(Cost: $58,767,110) | 58,651,240 | |||||||||||
|
| |||||||||||
Paraguay — 0.4% (Cost: $13,282,716) | ||||||||||||
Banco Regional SAECA |
| |||||||||||
8.13% (3) | 01/24/19 | 13,350,000 | 13,866,979 | |||||||||
|
| |||||||||||
Peru — 2.6% | ||||||||||||
Inkia Energy, Ltd. | ||||||||||||
5.88% (3) | 11/09/27 | 15,580,000 | 14,937,325 | |||||||||
Orazul Energy Egenor S en C por A |
| |||||||||||
5.63% (3) | 04/28/27 | 24,000,000 | 22,620,000 | |||||||||
Peru LNG SRL | ||||||||||||
5.38% (3) | 03/22/30 | 20,275,000 | 20,249,656 | |||||||||
Petroleos del Peru S.A. |
| |||||||||||
5.63% (3) | 06/19/47 | 23,385,000 | 22,864,684 | |||||||||
VM Holding S.A. | ||||||||||||
5.38% (3) | 05/04/27 | 14,425,000 | 14,497,125 | |||||||||
|
| |||||||||||
Total Peru | ||||||||||||
(Cost: $97,902,053) | 95,168,790 | |||||||||||
|
| |||||||||||
Qatar — 1.5% | ||||||||||||
Qatar Government International Bond |
| |||||||||||
3.88% (3) | 04/23/23 | 13,950,000 | 13,915,124 | |||||||||
4.50% (3) | 04/23/28 | 19,300,000 | 19,287,938 | |||||||||
5.10% (3) | 04/23/48 | 19,950,000 | 19,802,370 | |||||||||
|
| |||||||||||
Total Qatar | ||||||||||||
(Cost: $53,141,580) | 53,005,432 | |||||||||||
|
| |||||||||||
Romania — 0.5% (Cost: $16,701,151) | ||||||||||||
Romania Government Bond |
| |||||||||||
5.80% | 07/26/27 | RON | 58,820,000 | 16,652,264 | ||||||||
|
| |||||||||||
Russia — 3.6% | ||||||||||||
Russian Federation Government Bond |
| |||||||||||
4.25% (1) | 06/23/27 | $ | 58,200,000 | 56,890,500 |
See accompanying notes to financial statements.
10
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Russia (Continued) | ||||||||||||
4.38% (3) | 03/21/29 | $ | 47,800,000 | $ | 46,509,400 | |||||||
5.25% (1) | 06/23/47 | 29,000,000 | 28,177,618 | |||||||||
|
| |||||||||||
Total Russia |
| |||||||||||
(Cost: $135,725,464) |
| 131,577,518 | ||||||||||
|
| |||||||||||
Saudi Arabia — 2.5% | ||||||||||||
Saudi Government International Bond |
| |||||||||||
3.63% (3) | 03/04/28 | 27,550,000 | 25,833,635 | |||||||||
4.00% (3) | 04/17/25 | 19,950,000 | 19,690,650 | |||||||||
4.50% (3) | 04/17/30 | 18,635,000 | 18,414,362 | |||||||||
4.50% (1) | 10/26/46 | 14,000,000 | 12,695,060 | |||||||||
5.00% (3) | 04/17/49 | 14,875,000 | 14,309,750 | |||||||||
|
| |||||||||||
Total Saudi Arabia |
| |||||||||||
(Cost: $93,237,319) |
| 90,943,457 | ||||||||||
|
| |||||||||||
Serbia — 0.8% (Cost: $28,081,627) | ||||||||||||
Serbia Treasury Bond |
| |||||||||||
5.88% | 02/08/28 | RSD | 2,577,950,000 | $ | 27,875,855 | |||||||
|
| |||||||||||
South Africa — 4.4% | ||||||||||||
South Africa Government Bond |
| |||||||||||
4.30% | 10/12/28 | $ | 61,140,000 | 56,273,256 | ||||||||
4.88% | 04/14/26 | 31,900,000 | 31,361,687 | |||||||||
7.00% | 02/28/31 | ZAR | 255,000,000 | 17,832,195 | ||||||||
8.00% | 01/31/30 | ZAR | 455,661,800 | 34,960,078 | ||||||||
8.75% | 01/31/44 | ZAR | 227,000,000 | 17,609,036 | ||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $162,237,202) |
| 158,036,252 | ||||||||||
|
| |||||||||||
Sri Lanka — 2.0% | ||||||||||||
Sri Lanka Government Bond |
| |||||||||||
5.75% (3) | 04/18/23 | $ | 13,950,000 | 13,903,965 | ||||||||
6.20% (3) | 05/11/27 | 30,332,000 | 29,340,811 | |||||||||
6.75% (3) | 04/18/28 | 10,950,000 | 10,923,829 | |||||||||
6.83% (3) | 07/18/26 | 17,000,000 | 17,277,066 | |||||||||
|
| |||||||||||
Total Sri Lanka |
| |||||||||||
(Cost: $72,798,593) |
| 71,445,671 | ||||||||||
|
| |||||||||||
Turkey — 5.4% | ||||||||||||
Akbank TAS | ||||||||||||
7.20% (USD 5 Year Swap rate + 5.026%) (2)(3) | 03/16/27 | 7,750,000 | 7,890,469 | |||||||||
Akbank Turk AS | ||||||||||||
6.80% (3)(6) | 04/27/28 | 11,425,000 | 11,279,674 | |||||||||
Petkim Petrokimya Holding AS |
| |||||||||||
5.88% (3) | 01/26/23 | 12,550,000 | 12,052,016 | |||||||||
Turkcell Iletisim Hizmetleri AS |
| |||||||||||
5.80% (3) | 04/11/28 | 13,775,000 | 13,445,226 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Turkey (Continued) | ||||||||||||
Turkey Government International Bond |
| |||||||||||
5.13% | 02/17/28 | $ | 47,935,000 | $ | 44,868,886 | |||||||
5.75% | 05/11/47 | 34,850,000 | 30,507,690 | |||||||||
6.00% | 03/25/27 | 27,840,000 | 27,994,929 | |||||||||
6.13% | 10/24/28 | 21,810,000 | 21,783,065 | |||||||||
Turkiye Vakiflar Bankasi TAO |
| |||||||||||
5.75% (3) | 01/30/23 | 11,450,000 | 11,106,500 | |||||||||
Yapi ve Kredi Bankasi AS |
| |||||||||||
6.10% (3) | 03/16/23 | 14,750,000 | 14,553,338 | |||||||||
|
| |||||||||||
Total Turkey | ||||||||||||
(Cost: $202,338,755) |
| 195,481,793 | ||||||||||
|
| |||||||||||
Ukraine — 3.9% | ||||||||||||
Ukraine Government International Bond |
| |||||||||||
7.38% (3) | 09/25/32 | 10,910,000 | 10,095,132 | |||||||||
7.75% (1) | 09/01/23 | 28,988,000 | 29,332,957 | |||||||||
7.75% (1) | 09/01/25 | 37,585,000 | 37,430,901 | |||||||||
7.75% (1) | 09/01/26 | 52,039,000 | 51,460,847 | |||||||||
7.75% (1) | 09/01/27 | 14,415,000 | 14,180,036 | |||||||||
|
| |||||||||||
Total Ukraine | ||||||||||||
(Cost: $116,799,251) | 142,499,873 | |||||||||||
|
| |||||||||||
Uruguay — 0.3% (Cost: $12,363,803) | ||||||||||||
Uruguay Government International Bond |
| |||||||||||
4.98% | 04/20/55 | 12,525,000 | 12,086,625 | |||||||||
|
| |||||||||||
Venezuela — 1.3% | ||||||||||||
Venezuela Government International Bond |
| |||||||||||
8.25% (1) | 10/13/24 | 58,079,200 | 16,842,968 | |||||||||
9.25% (5) | 09/15/27 | 45,685,000 | 14,431,892 | |||||||||
9.25% (1) | 05/07/28 | 49,048,000 | 14,101,300 | |||||||||
|
| |||||||||||
Total Venezuela | ||||||||||||
(Cost: $50,667,114) | 45,376,160 | |||||||||||
|
| |||||||||||
Zambia — 0.9% | ||||||||||||
First Quantum Minerals, Ltd. |
| |||||||||||
6.50% (3) | 03/01/24 | 5,975,000 | 5,746,456 | |||||||||
6.88% (3) | 03/01/26 | 6,000,000 | 5,715,000 | |||||||||
7.50% (3) | 04/01/25 | 16,905,000 | 16,737,640 | |||||||||
Zambia Government International Bond |
| |||||||||||
8.97% (1) | 07/30/27 | 5,625,000 | 5,681,813 | |||||||||
|
| |||||||||||
Total Zambia | ||||||||||||
(Cost: $35,422,719) |
| 33,880,909 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $3,323,747,354) |
| 3,273,693,262 | ||||||||||
|
|
See accompanying notes to financial statements.
11
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||||||
EQUITY SECURITIES — 0.0% |
| |||||||||||
Mexico — 0.0% | ||||||||||||
Corp. GEO S.A.B. de C.V. (7)(8) |
| 2,707,350 | $ | — | ||||||||
Hipotecaria Su Casita S.A. de C.V. (7)(8) |
| 240,079 | — | |||||||||
|
| |||||||||||
Total Mexico | ||||||||||||
(Cost: $—) | — | |||||||||||
|
| |||||||||||
Total Equity Securities |
| |||||||||||
(Cost: $—) | — | |||||||||||
|
| |||||||||||
PURCHASED OPTIONS (0.0%) |
| |||||||||||
(Cost: $2,119,715) (9) |
| 685,426 | ||||||||||
|
| |||||||||||
MONEY MARKET INVESTMENTS — 7.5% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class (10) |
| 269,282, 718 | 269,282,718 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $269,282,718) |
| 269,282,718 | ||||||||||
|
| |||||||||||
Maturity Date | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 1.9% |
| |||||||||||
FOREIGN GOVERNMENT BONDS — 1.9% | ||||||||||||
Egypt — 1.0% | ||||||||||||
Egypt Treasury Bills |
| |||||||||||
0.00% (11) | 05/01/18 | EGP | 147,200,000 | 8,345,263 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Egypt (Continued) | ||||||||||||
0.00% (11) | 06/19/18 | EGP | 348,200,000 | $ | 19,286,593 | |||||||
0.00% (11) | 07/10/18 | EGP | 87,225,000 | 4,783,869 | ||||||||
0.00% (11) | 07/24/18 | EGP | 84,775,000 | 4,624,746 | ||||||||
|
| |||||||||||
Total Egypt | ||||||||||||
(Cost: $36,439,119) |
| 37,040,471 | ||||||||||
|
| |||||||||||
Nigeria — 0.9% | ||||||||||||
Nigeria Treasury Bill |
| |||||||||||
0.00% (11) | 08/30/18 | NGN | 3,050,900,000 | 8,196,016 | ||||||||
0.00% (11) | 09/20/18 | NGN | 2,288,214,000 | 6,108,672 | ||||||||
0.00% (11) | 10/04/18 | NGN | 2,262,800,000 | 6,010,110 | ||||||||
0.00% (11) | 10/18/18 | NGN | 4,522,060,000 | 11,959,245 | ||||||||
|
| |||||||||||
Total Nigeria | ||||||||||||
(Cost: $29,391,764) |
| 32,274,043 | ||||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $65,830,883) |
| 69,314,514 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $65,830,883) |
| 69,314,514 | ||||||||||
|
| |||||||||||
Total Investments (99.8%) |
| |||||||||||
(Cost: $3,660,980,670) |
| 3,612,975,920 | ||||||||||
|
| |||||||||||
Excess Of Other Assets Over Liabilities (0.2%) |
| 8,154,487 | ||||||||||
|
| |||||||||||
Total Net Assets (100.0%) |
| $ | 3,621,130,407 | |||||||||
|
|
Purchased Options — OTC | ||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
EUR Put / TRY Call | Goldman Sachs & Co. | TRY | 5.00 | 7/18/18 | 15,803 | $ | 15,803 | $ | 330,503 | $ | 251,143 | $ | 79,360 | |||||||||||||||||||||
USD Call / MXN Put | Barclays Capital | MXN | 19.00 | 5/3/18 | 37,774 | 37,774 | 54,432 | 778,522 | (724,090 | ) | ||||||||||||||||||||||||
USD Put / TRY Call | Citibank, N.A. | TRY | 3.85 | 12/19/18 | 72,670 | 72,670 | 300,491 | 1,090,050 | (789,559 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 685,426 | $ | 2,119,715 | $ | (1,434,289 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
Written Options — OTC (12) | ||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
USD Call / MXN Put | Barclays Capital | MXN | 20.00 | 5/3/18 | 37,774 | $ | 37,774 | $ | — | $ | (289,349 | ) | $ | 289,349 | ||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
12
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2018 |
Forward Currency Exchange Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
BUY (13) | ||||||||||||||||||||||||
Bank of America | RUB | 1,078,464,750 | 05/14/18 | $ | 18,300,000 | $ | 17,102,588 | $ | (1,197,412 | ) | ||||||||||||||
BNP Paribas S.A. | ARS | 776,652,480 | 05/16/18 | 37,196,000 | 37,376,685 | 180,685 | ||||||||||||||||||
BNP Paribas S.A. | SAR | 75,688,000 | 06/28/18 | 20,000,000 | 20,184,236 | 184,236 | ||||||||||||||||||
Citibank N.A. | BRL | 77,668,080 | 07/09/18 | 22,496,185 | 22,126,346 | (369,839 | ) | |||||||||||||||||
Goldman Sachs & Co. | KZT | 8,163,307,211 | 07/16/18 | 24,452,021 | 24,571,563 | 119,542 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 122,444,206 | $ | 121,361,418 | $ | (1,082,788 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (14) | ||||||||||||||||||||||||
Bank of America | RUB | 1,078,464,750 | 05/14/18 | $ | 18,841,103 | $ | 17,102,588 | $ | 1,738,515 | |||||||||||||||
Bank of America | SAR | 10,559,508 | 05/20/19 | 2,782,479 | 2,812,721 | (30,242 | ) | |||||||||||||||||
BNP Paribas S.A. | ARS | 776,652,480 | 05/16/18 | 36,583,127 | 37,376,685 | (793,558 | ) | |||||||||||||||||
BNP Paribas S.A. | SAR | 75,688,000 | 06/28/18 | 20,132,465 | 20,184,236 | (51,771 | ) | |||||||||||||||||
Citibank N.A. | BRL | 77,668,080 | 07/09/18 | 23,240,000 | 22,126,346 | 1,113,654 | ||||||||||||||||||
Citibank N.A. | SAR | 65,340,492 | 05/20/19 | 17,217,521 | 17,404,652 | (187,131 | ) | |||||||||||||||||
Citibank N.A. | SAR | 69,663,299 | 04/06/20 | 18,470,000 | 18,494,686 | (24,686 | ) | |||||||||||||||||
Goldman Sachs & Co. | ZAR | 997,819,510 | 06/29/18 | 79,340,000 | 79,332,913 | 7,087 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 216,606,695 | $ | 214,834,827 | $ | 1,771,868 | |||||||||||||||||||
|
|
|
|
|
|
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||||||||
Notional Amount (15) | Implied Credit Spread (16) | Expiration Date | Counterparty | Reference Entity | Fixed Deal Receive Rate | Payment Frequency | Unrealized Appreciation/ (Depreciation) | Premium (Received) | Value (17) | |||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||||||||
$ 19,700,000 | 0.518% | 12/20/22 | Deutsche Bank AG | China Government Bond, 7.5%, due 10/28/27 | 1.0% | Quarterly | $ | (7,086 | ) | $ | (399,219 | ) | $ | (406,305 | ) | |||||||||||||||||
15,900,000 | 0.518% | 12/20/22 | Bank of America | China Government Bond, 7.5%, due 10/28/27 | 1.0% | Quarterly | (5,719 | ) | (322,212 | ) | (327,931 | ) | ||||||||||||||||||||
31,900,000 | 0.953% | 12/20/22 | Citibank N.A. | Colombia Government Bond, 10.375%, 01/28/33 | 1.0% | Quarterly | (500,864 | ) | 433,323 | (67,541 | ) | |||||||||||||||||||||
36,000,000 | 1.025% | 12/20/22 | Citibank N.A. | Mexico Government Bond, 4.15%, 03/28/27 | 1.0% | Quarterly | (220,357 | ) | 258,895 | 38,538 | ||||||||||||||||||||||
16,350,000 | 1.025% | 12/20/22 | Citibank N.A. | Mexico Government Bond, 5.95%, 03/19/19 | 1.0% | Quarterly | (102,008 | ) | 119,511 | 17,503 | ||||||||||||||||||||||
31,650,000 | 0.900% | 12/20/22 | Bank of America | Mexico Government Bond, 5.95%, 03/19/19 | 1.0% | Quarterly | (193,629 | ) | 227,510 | 33,881 | ||||||||||||||||||||||
17,370,000 | 0.403% | 12/20/22 | Barclays Capital | Republic of Korea, 7.125%, 04/16/19 | 1.0% | Quarterly | (194,823 | ) | (256,344 | ) | (451,167 | ) | ||||||||||||||||||||
112,410,000 | 0.403% | 12/20/22 | Citibank N.A. | Republic of Korea, 7.125%, 04/16/19 | 1.0% | Quarterly | (1,260,791 | ) | (1,658,935 | ) | (2,919,726 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (2,485,277 | ) | $ | (1,597,471 | ) | $ | (4,082,748 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
13
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
ARS - | Argentine Peso. |
BRL - | Brazilian Real. |
EGP - | Egyptian Pound. |
EUR - | Euro Currency. |
KZT - | Kazakhstani Tenge. |
MXN - | Mexican Peso. |
NGN - | Nigeria Naira. |
RON - | Romanian New Leu. |
RSD - | Serbian Dinar. |
RUB - | Russian Ruble. |
SAR - | Saudi Riyal. |
USD - | U.S. Dollar. |
ZAR - | South African Rand. |
OTC | Over the Counter. |
(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, 2018, the value of these securities amounted to $781,524,513 or 21.6% of net assets. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2018. |
(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, 2018, the value of these securities amounted to $1,554,572,947 or 42.9% 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 Fund’s Board of Directors. |
(4) | Perpetual Maturity. |
(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) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(7) | Non-income producing security. |
(8) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(9) | See options table for description of purchased options. |
(10) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
(11) | Security is not accruing interest. |
(12) | See note 2 in the Notes to Financial Statements for additional information regarding written options. |
(13) | Fund buys foreign currency, sells U.S. Dollar. |
(14) | Fund sells foreign currency, buys U.S. Dollar. |
(15) | 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. |
(16) | 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. |
(17) | 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 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.
14
Table of Contents
TCW Emerging Markets Income Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Airlines | 0.4 | % | ||
Auto Parts & Equipment | 0.2 | |||
Banks | 5.2 | |||
Building Materials | 0.4 | |||
Chemicals | 0.3 | |||
Commercial Services | 0.7 | |||
Currency Options | 0.0 | * | ||
Diversified Financial Services | 0.6 | |||
Electric | 4.7 | |||
Energy-Alternate Sources | 0.8 | |||
Engineering & Construction | 0.6 | |||
Food | 0.5 | |||
Foreign Government Bonds | 56.9 | |||
Holding Companies — Diversified | 0.4 | |||
Iron & Steel | 0.9 | |||
Media | 0.3 | |||
Mining | 2.2 | |||
Oil & Gas | 10.5 | |||
Oil & Gas Services | 0.6 | |||
Pipelines | 0.6 | |||
Real Estate | 0.5 | |||
Short Term Investments | 1.9 | |||
Telecommunications | 1.9 | |||
Transportation | 0.8 | |||
Water | 0.4 | |||
Money Market Investments | 7.5 | |||
|
| |||
Total | 99.8 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
15
Table of Contents
TCW Emerging Markets Income Fund
Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | — | $ | 13,592,772 | $ | — | $ | 13,592,772 | ||||||||
Auto Parts & Equipment | — | 7,836,420 | — | 7,836,420 | ||||||||||||
Banks | — | 192,112,105 | — | 192,112,105 | ||||||||||||
Building Materials | — | 13,710,216 | — | 13,710,216 | ||||||||||||
Chemicals | — | 12,052,016 | — | 12,052,016 | ||||||||||||
Commercial Services | — | 24,695,860 | — | 24,695,860 | ||||||||||||
Diversified Financial Services | — | 21,813,108 | — | 21,813,108 | ||||||||||||
Electric | — | 170,460,968 | — | 170,460,968 | ||||||||||||
Energy-Alternate Sources | — | 27,410,786 | — | 27,410,786 | ||||||||||||
Engineering & Construction | — | 21,482,678 | — | 21,482,678 | ||||||||||||
Food | — | 18,142,705 | — | 18,142,705 | ||||||||||||
Foreign Government Bonds | — | 2,055,986,551 | — | 2,055,986,551 | ||||||||||||
Holding Companies — Diversified | — | 14,122,500 | — | 14,122,500 | ||||||||||||
Iron & Steel | — | 32,449,022 | — | 32,449,022 | ||||||||||||
Media | — | 11,413,000 | — | 11,413,000 | ||||||||||||
Mining | — | 79,578,799 | — | 79,578,799 | ||||||||||||
Oil & Gas Services | — | 23,276,629 | — | 23,276,629 | ||||||||||||
Oil & Gas | — | 382,580,938 | — | 382,580,938 | ||||||||||||
Pipelines | — | 20,249,656 | — | 20,249,656 | ||||||||||||
Real Estate | — | 17,032,172 | — | 17,032,172 | ||||||||||||
Telecommunications | — | 70,349,929 | — | 70,349,929 | ||||||||||||
Transportation | — | 27,597,792 | — | 27,597,792 | ||||||||||||
Water | — | 15,746,640 | — | 15,746,640 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 3,273,693,262 | — | 3,273,693,262 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Securities | ||||||||||||||||
Miscellaneous Manufacturers | — | — | * | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity Securities | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 685,426 | — | 685,426 | ||||||||||||
Money Market Investments | 269,282,718 | — | — | 269,282,718 | ||||||||||||
Short-Term Investments | — | 69,314,514 | — | 69,314,514 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 269,282,718 | 3,343,693,202 | — | 3,612,975,920 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 3,343,719 | — | 3,343,719 | ||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | 89,922 | — | 89,922 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 269,282,718 | $ | 3,347,126,843 | $ | — | $ | 3,616,409,561 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (2,654,639 | ) | $ | — | $ | (2,654,639 | ) | ||||||
Written Options | ||||||||||||||||
Foreign Currency Risk | — | — | * | — | — | |||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | (4,172,670 | ) | — | (4,172,670 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (6,827,309 | ) | $ | — | $ | (6,827,309 | ) | ||||||
|
|
|
|
|
|
|
|
* | Amount Rounds to less $1. |
See accompanying notes to financial statements.
16
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited) | April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 90.4% of Net Assets |
| |||||||||||
Argentina — 1.5% | ||||||||||||
Banco Hipotecario S.A. |
| |||||||||||
25.23% (Argentina BADLAR Private Deposit Rate + 2.500%) (1)(2) | 01/12/20 | ARS | 11,780,000 | $ | 566,418 | |||||||
Bonos de la Nacion Argentina con Ajuste por CER |
| |||||||||||
4.00% | 03/06/20 | ARS | 41,400,000 | 2,063,441 | ||||||||
Letras Banco Cent Argentina ZC |
| |||||||||||
0.00% (3) | 06/21/18 | ARS | 38,000,000 | 1,778,023 | ||||||||
|
| |||||||||||
Total Argentinia | ||||||||||||
(Cost: $4,692,798) |
| 4,407,882 | ||||||||||
|
| |||||||||||
Brazil — 8.0% | ||||||||||||
Brazil Notas do Tesouro Nacional, Series B |
| |||||||||||
6.00% | 08/15/22 | BRL | 4,280,000 | 4,044,896 | ||||||||
6.00% | 05/15/45 | BRL | 1,150,000 | 1,121,351 | ||||||||
Brazil Notas do Tesouro Nacional, Series F |
| |||||||||||
10.00% | 01/01/21 | BRL | 55,580,000 | 16,724,466 | ||||||||
10.00% | 01/01/23 | BRL | 5,000,000 | 1,491,150 | ||||||||
|
| |||||||||||
Total Brazil |
| |||||||||||
(Cost: $22,970,057) |
| 23,381,863 | ||||||||||
|
| |||||||||||
Chile — 2.9% | ||||||||||||
Bonos de la Tesoreria de la Republica |
| |||||||||||
2.00% | 03/01/35 | CLP | 3,308,067,175 | 5,320,477 | ||||||||
4.50% | 03/01/26 | CLP | 1,645,000,000 | 2,705,769 | ||||||||
Bonos del Banco Central de Chile en UF |
| |||||||||||
3.00% | 03/01/23 | CLP | 270,046,300 | 479,750 | ||||||||
|
| |||||||||||
Total Chile |
| |||||||||||
(Cost: $8,510,113) |
| 8,505,996 | ||||||||||
|
| |||||||||||
Colombia — 8.7% | ||||||||||||
Colombian TES (Treasury) Bond, Series B |
| |||||||||||
7.00% | 05/04/22 | COP | 17,751,900,000 | 6,668,125 | ||||||||
7.50% | 08/26/26 | COP | 21,075,000,000 | 8,097,199 | ||||||||
10.00% | 07/24/24 | COP | 24,879,500,000 | 10,697,984 | ||||||||
|
| |||||||||||
Total Colombia | ||||||||||||
(Cost: $23,518,520) |
| 25,463,308 | ||||||||||
|
| |||||||||||
Egypt — 0.3% (Cost: $815,150) | ||||||||||||
Egypt Government Bond |
| |||||||||||
15.16% | 10/10/22 | EGP | 14,500,000 | 827,655 | ||||||||
|
| |||||||||||
Hungary — 2.7% (Cost: $8,331,853) | ||||||||||||
Hungary Government Bond |
| |||||||||||
3.00% | 10/27/27 | HUF | 2,009,000,000 | 8,052,200 | ||||||||
|
| |||||||||||
India — 2.7% (Cost: $8,108,502) | ||||||||||||
Rural Electrification Corp., Ltd. |
| |||||||||||
7.45% | 11/30/22 | INR | 540,000,000 | 7,835,478 | ||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Indonesia — 10.6% | ||||||||||||
Indonesia Treasury Bond |
| |||||||||||
6.13% | 05/15/28 | IDR | 34,618,000,000 | $ | 2,347,679 | |||||||
6.63% | 05/15/33 | IDR | 40,350,000,000 | 2,755,256 | ||||||||
7.00% | 05/15/22 | IDR | 68,295,000,000 | 5,002,164 | ||||||||
7.50% | 08/15/32 | IDR | 71,172,000,000 | 5,209,235 | ||||||||
8.25% | 07/15/21 | IDR | 45,900,000,000 | 3,470,749 | ||||||||
8.38% | 03/15/24 | IDR | 57,934,000,000 | 4,486,892 | ||||||||
8.38% | 09/15/26 | IDR | 52,806,000,000 | 4,114,408 | ||||||||
8.38% | 03/15/34 | IDR | 46,482,000,000 | 3,643,387 | ||||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $31,644,628) |
| 31,029,770 | ||||||||||
|
| |||||||||||
Malaysia — 6.4% | ||||||||||||
Malaysia Government Bond |
| |||||||||||
3.48% | 03/15/23 | MYR | 16,860,000 | 4,206,943 | ||||||||
3.80% | 08/17/23 | MYR | 5,605,000 | 1,416,286 | ||||||||
3.84% | 04/15/33 | MYR | 15,830,000 | 3,691,801 | ||||||||
3.95% | 04/14/22 | MYR | 20,100,000 | 5,138,346 | ||||||||
4.05% | 09/30/21 | MYR | 11,770,000 | 3,025,369 | ||||||||
4.18% | 07/15/24 | MYR | 5,000,000 | 1,281,381 | ||||||||
|
| |||||||||||
Total Malaysia |
| |||||||||||
(Cost: $17,891,017) |
| 18,760,126 | ||||||||||
|
| |||||||||||
Mexico — 11.0% | ||||||||||||
Mexico Government Bond (BONOS) |
| |||||||||||
5.75% | 03/05/26 | MXN | 147,150,000 | 7,059,806 | ||||||||
6.50% | 06/10/21 | MXN | 40,800,000 | 2,121,726 | ||||||||
8.00% | 06/11/20 | MXN | 107,600,000 | 5,811,740 | ||||||||
8.00% | 12/07/23 | MXN | 193,900,000 | 10,629,624 | ||||||||
10.00% | 12/05/24 | MXN | 86,495,000 | 5,244,046 | ||||||||
Petroleos Mexicanos |
| |||||||||||
7.19% (4) | 09/12/24 | MXN | 22,240,000 | 1,068,498 | ||||||||
7.65% (4) | 11/24/21 | MXN | 3,700,000 | 190,729 | ||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $31,981,149) |
| 32,126,169 | ||||||||||
|
| |||||||||||
Peru — 2.9% | ||||||||||||
Peruvian Government International Bond |
| |||||||||||
6.15% (4) | 08/12/32 | PEN | 8,950,000 | 2,886,705 | ||||||||
6.35% (2) | 08/12/28 | PEN | 3,850,000 | 1,291,026 | ||||||||
6.95% (4) | 08/12/31 | PEN | 12,071,000 | 4,210,119 | ||||||||
|
| |||||||||||
Total Peru |
| |||||||||||
(Cost: $7,801,701) |
| 8,387,850 | ||||||||||
|
| |||||||||||
Romania — 4.6% | ||||||||||||
Romania Government Bond |
| |||||||||||
4.75% | 02/24/25 | RON | 15,590,000 | 4,125,036 | ||||||||
5.80% | 07/26/27 | RON | 11,780,000 | 3,334,982 | ||||||||
5.85% | 04/26/23 | RON | 21,800,000 | 6,063,670 | ||||||||
|
| |||||||||||
Total Romania |
| |||||||||||
(Cost: $13,610,599) |
| 13,523,688 | ||||||||||
|
|
See accompanying notes to financial statements.
17
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Russia — 7.5% | ||||||||||||
Russian Federal Bond — OFZ |
| |||||||||||
7.00% | 01/25/23 | RUB | 205,000,000 | $ | 3,293,313 | |||||||
7.00% | 08/16/23 | RUB | 349,450,000 | 5,614,309 | ||||||||
7.05% | 01/19/28 | RUB | 261,000,000 | 4,117,976 | ||||||||
7.10% | 10/16/24 | RUB | 365,000,000 | 5,827,768 | ||||||||
7.40% | 12/07/22 | RUB | 201,500,000 | 3,273,241 | ||||||||
|
| |||||||||||
Total Russia | ||||||||||||
(Cost: $22,913,086) |
| 22,126,607 | ||||||||||
|
| |||||||||||
Serbia — 2.7% (Cost: $8,151,879) | ||||||||||||
Serbia Treasury Bond | ||||||||||||
5.88% | 02/08/28 | RSD | 741,410,000 | 8,017,005 | ||||||||
|
| |||||||||||
South Africa — 10.1% | ||||||||||||
South Africa Government Bond |
| |||||||||||
7.00% | 02/28/31 | ZAR | 111,300,000 | 7,783,229 | ||||||||
8.00% | 01/31/30 | ZAR | 138,004,200 | 10,588,198 | ||||||||
8.75% | 01/31/44 | ZAR | 51,700,000 | 4,010,516 | ||||||||
8.88% | 02/28/35 | ZAR | 90,200,000 | 7,219,440 | ||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $28,125,691) |
| 29,601,383 | ||||||||||
|
| |||||||||||
Turkey — 7.8% | ||||||||||||
Turkey Government Bond |
| |||||||||||
8.30% | 06/20/18 | TRY | 7,241,148 | 1,768,762 | ||||||||
9.20% | 09/22/21 | TRY | 13,760,000 | 3,000,612 | ||||||||
10.60% | 02/11/26 | TRY | 9,100,000 | 2,045,975 | ||||||||
10.70% | 02/17/21 | TRY | 14,700,000 | 3,369,221 | ||||||||
11.00% | 03/02/22 | TRY | 17,993,000 | 4,131,718 | ||||||||
11.00% | 02/24/27 | TRY | 36,800,000 | 8,441,301 | ||||||||
|
| |||||||||||
Total Turkey |
| |||||||||||
(Cost: $24,519,992) |
| 22,757,589 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $263,586,735) |
| 264,804,569 | ||||||||||
|
| |||||||||||
PURCHASED OPTIONS (0.0%) |
| |||||||||||
(Cost: $401,348) (5) |
| 99,334 | ||||||||||
|
| |||||||||||
Issues | Shares | Value | ||||||||||
MONEY MARKET INVESTMENTS — 9.7% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (6) |
| 28,490,717 | $ | 28,490,717 | ||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $28,490,717) |
| 28,490,717 | ||||||||||
|
| |||||||||||
Maturity | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 6.3% |
| |||||||||||
FOREIGN GOVERNMENT BONDS — 6.3% | ||||||||||||
Egypt — 3.2% | ||||||||||||
Egypt Treasury Bills |
| |||||||||||
0.00% (3) | 05/01/18 | EGP | 30,900,000 | 1,751,825 | ||||||||
0.00% (3) | 05/29/18 | EGP | 32,500,000 | 1,819,318 | ||||||||
0.00% (3) | 06/19/18 | EGP | 60,300,000 | 3,339,982 | ||||||||
0.00% (3) | 07/10/18 | EGP | 22,475,000 | 1,232,645 | ||||||||
0.00% (3) | 07/24/18 | EGP | 21,825,000 | 1,190,623 | ||||||||
|
| |||||||||||
Total Egypt |
| |||||||||||
(Cost: $9,319,337) |
| 9,334,393 | ||||||||||
|
| |||||||||||
Nigeria — 3.1% | ||||||||||||
Nigeria Treasury Bill |
| |||||||||||
0.00% (3) | 08/30/18 | NGN | 370,000,000 | 993,977 | ||||||||
0.00% (3) | 09/13/18 | NGN | 123,000,000 | 329,051 | ||||||||
0.00% (3) | 09/20/18 | NGN | 744,003,000 | 1,986,209 | ||||||||
0.00% (3) | 10/18/18 | NGN | 589,000,000 | 1,557,696 | ||||||||
0.00% (3) | 11/22/18 | NGN | 620,000,000 | 1,619,105 | ||||||||
0.00% (3) | 11/29/18 | NGN | 654,000,000 | 1,704,057 | ||||||||
0.00% (3) | 01/03/19 | NGN | 300,000,000 | 771,480 | ||||||||
|
| |||||||||||
Total Nigeria |
| |||||||||||
(Cost: $8,761,157) |
| 8,961,575 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $18,080,494) |
| 18,295,968 | ||||||||||
|
| |||||||||||
Total Investments (106.4%) |
| |||||||||||
(Cost: $310,559,294) |
| 311,690,588 | ||||||||||
Liabilities In Excess Of Other Assets (-6.4%) |
| (18,671,086 | ) | |||||||||
|
| |||||||||||
Total Net Assets (100.0%) |
| $ | 293,019,502 | |||||||||
|
|
See accompanying notes to financial statements.
18
Table of Contents
TCW Emerging Markets Local Currency Income Fund
April 30, 2018 |
Purchased Options — OTC | ||||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
EUR Put / TRY Call | Goldman Sachs & Co. | TRY | 5.00 | 7/18/18 | 2,848 | $ | 2,848 | $ | 59,563 | $ | 45,261 | $ | 14,302 | |||||||||||||||||||||||
USD Call / MXN Put | Barclays Capital | MXN | 19.00 | 5/3/18 | 6,600 | 6,600 | 9,511 | 136,026 | (126,515 | ) | ||||||||||||||||||||||||||
USD Put / TRY Call | Citibank, N.A. | TRY | 3.85 | 12/19/18 | 5,880 | 5,880 | 24,314 | 88,200 | (63,886 | ) | ||||||||||||||||||||||||||
USD Put / ZAR Call | Goldman Sachs & Co | ZAR | 11.65 | 6/26/18 | 6,520 | 6,520 | 5,946 | 131,861 | (125,915 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | 99,334 | $ | 401,348 | $ | (302,014 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
Written Options — OTC (7) | ||||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
USD Call / MXN Put | Barclays Capital | MXN | 20.00 | 5/3/18 | 6,600 | $ | 6,600 | $ | — | $ | (50,556 | ) | $ | 50,556 | ||||||||||||||||||||||
USD Put / ZAR Call | Goldman Sachs & Co. | ZAR | 11.00 | 6/26/18 | 6,520 | 6,520 | (130 | ) | (24,802 | ) | 24,672 | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | (130 | ) | $ | (75,358 | ) | $ | 75,228 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
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) | ||||||||||||||||||||||||
Bank of America | INR | 102,690,000 | 05/14/18 | $ | 1,575,000 | $ | 1,536,834 | $ | (38,166 | ) | ||||||||||||||
Bank of America | THB | 194,531,250 | 07/09/18 | 6,250,000 | 6,175,878 | (74,122 | ) | |||||||||||||||||
Barclays Capital | INR | 214,597,500 | 06/26/18 | 3,250,000 | 3,197,020 | (52,980 | ) | |||||||||||||||||
Barclays Capital | PLN | 15,380,145 | 05/30/18 | 4,500,000 | 4,390,814 | (109,186 | ) | |||||||||||||||||
BNP Paribas S.A. | ARS | 135,720,000 | 05/16/18 | 6,500,000 | 6,531,575 | 31,575 | ||||||||||||||||||
BNP Paribas S.A. | MYR | 1,184,910 | 05/14/18 | 300,000 | 301,883 | 1,883 | ||||||||||||||||||
BNP Paribas S.A. | PLN | 5,561,568 | 05/30/18 | 1,640,000 | 1,587,749 | (52,251 | ) | |||||||||||||||||
BNP Paribas S.A. | RUB | 18,785,000 | 06/06/18 | 325,000 | 297,089 | (27,911 | ) | |||||||||||||||||
Goldman Sachs & Co. | HUF | 1,704,120,600 | 06/22/18 | 6,785,000 | 6,588,260 | (196,740 | ) | |||||||||||||||||
Goldman Sachs & Co. | KZT | 1,771,991,002 | 07/16/18 | 5,307,746 | 5,333,695 | 25,949 | ||||||||||||||||||
Goldman Sachs & Co. | PLN | 87,510,348 | 05/30/18 | 25,865,000 | 24,982,970 | (882,030 | ) | |||||||||||||||||
Goldman Sachs & Co. | RUB | 243,476,188 | 06/06/18 | 4,225,000 | 3,850,637 | (374,363 | ) | |||||||||||||||||
Standard Chartered PLC | PHP | 82,832,100 | 05/14/18 | 1,585,000 | 1,599,828 | 14,828 | ||||||||||||||||||
Standard Chartered PLC | THB | 549,622,650 | 07/09/18 | 17,450,000 | 17,449,138 | (862 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 85,557,746 | $ | 83,823,370 | $ | (1,734,376 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (9) | ||||||||||||||||||||||||
Bank of America | RUB | 313,650,480 | 06/06/18 | $ | 5,434,000 | $ | 4,960,461 | $ | 473,539 | |||||||||||||||
Barclays Capital | PHP | 82,832,100 | 05/14/18 | 1,571,170 | 1,599,827 | (28,657 | ) | |||||||||||||||||
Barclays Capital | PLN | 14,252,500 | 05/30/18 | 4,065,000 | 4,068,888 | (3,888 | ) | |||||||||||||||||
BNP Paribas S.A. | ARS | 135,720,000 | 05/16/18 | 6,392,901 | 6,531,575 | (138,674 | ) | |||||||||||||||||
BNP Paribas S.A. | PLN | 10,861,950 | 05/30/18 | 3,190,000 | 3,100,934 | 89,066 | ||||||||||||||||||
Goldman Sachs & Co. | INR | 102,690,000 | 05/14/18 | 1,568,385 | 1,536,834 | 31,551 | ||||||||||||||||||
Goldman Sachs & Co. | INR | 214,597,500 | 06/26/18 | 3,237,741 | 3,197,020 | 40,721 | ||||||||||||||||||
Goldman Sachs & Co. | PLN | 28,974,266 | 05/30/18 | 8,515,000 | 8,271,745 | 243,255 | ||||||||||||||||||
Standard Chartered PLC | INR | 552,598,000 | 07/25/18 | 8,200,000 | 8,207,906 | (7,906 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 42,174,197 | $ | 41,475,190 | $ | 699,007 | |||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
19
Table of Contents
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. |
EGP - | Egyptian Pound. |
EUR - | Euro Currency. |
HUF - | Hungarian Forint. |
IDR - | Indonesian Rupiah. |
INR - | Indian Rupee. |
KZT - | Kazakhstani Tenge. |
MXN - | Mexican Peso. |
MYR - | Malaysian Ringgit. |
NGN - | Nigeria Naira. |
PEN - | Peruvian Nouveau Sol. |
PHP - | Philippines Peso. |
PLN - | Polish Zloty. |
RON - | Romanian New Leu. |
RSD - | Serbian Dinar. |
RUB - | Russian Ruble. |
THB - | Thai Baht. |
TRY - | Turkish New Lira. |
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, 2018. |
(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, 2018, the value of these securities amounted to $1,857,444 or 0.6% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Fund’s Board of Directors. |
(3) | Security is not accruing interest. |
(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, 2018, the value of these securities amounted to $8,356,051 or 2.9% of net assets. |
(5) | See options table for description of purchased options. |
(6) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
(7) | See note 2 in the Notes to Financial Statements for additional information regarding written options. |
(8) | Fund buys foreign currency, sells U.S. Dollar. |
(9) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
20
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Banks | 0.4 | % | ||
Currency Options | 0.0 | * | ||
Diversified Financial Services | 2.7 | |||
Foreign Government Bonds | 86.8 | |||
Oil & Gas | 0.5 | |||
Short Term Investments | 6.3 | |||
Money Market Investments | 9.7 | |||
|
| |||
Total | 106.4 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
21
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | ||||||||||||||||
Banks | $ | — | $ | 1,046,168 | $ | — | $ | 1,046,168 | ||||||||
Diversified Financial Services | — | 7,835,478 | — | 7,835,478 | ||||||||||||
Foreign Government Bonds | — | 254,663,696 | — | 254,663,696 | ||||||||||||
Oil & Gas | — | 1,259,227 | — | 1,259,227 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 264,804,569 | — | 264,804,569 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 99,334 | — | 99,334 | ||||||||||||
Money Market Investments | 28,490,717 | — | — | 28,490,717 | ||||||||||||
Short-Term Investments | — | 18,295,968 | — | 18,295,968 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 28,490,717 | 283,199,871 | — | 311,690,588 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 952,367 | — | 952,367 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 28,490,717 | $ | 284,152,238 | $ | — | $ | 312,642,955 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (1,987,736 | ) | $ | — | $ | (1,987,736 | ) | ||||||
Written Options | ||||||||||||||||
Foreign Currency Risk | — | (130 | ) | — | (130 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (1,987,866 | ) | $ | — | $ | (1,987,866 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
22
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) | April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 35.4% of Net Assets |
| |||||||||||
Angola — 0.2% (Cost: $222,472) | ||||||||||||
Angolan Government International Bond |
| |||||||||||
9.50% (1) | 11/12/25 | $ | 200,000 | $ | 225,250 | |||||||
|
| |||||||||||
Argentina — 2.9% | ||||||||||||
Argentine Republic Government International Bond |
| |||||||||||
4.63% | 01/11/23 | 350,000 | 334,866 | |||||||||
5.88% | 01/11/28 | 440,000 | 402,490 | |||||||||
6.63% | 07/06/28 | 950,000 | 919,125 | |||||||||
6.88% | 01/26/27 | 525,000 | 521,850 | |||||||||
6.88% | 01/11/48 | 125,000 | 111,250 | |||||||||
7.13% | 07/06/36 | 350,000 | 333,900 | |||||||||
Banco Hipotecario S.A. |
| |||||||||||
25.23% (Argentina BADLAR Private Deposit Rate + 2.500%) (2)(3) | 01/12/20 | ARS | 1,575,000 | 75,731 | ||||||||
Tecpetrol S.A. |
| |||||||||||
4.88% (3) | 12/12/22 | $ | 32,000 | 31,120 | ||||||||
YPF S.A. |
| |||||||||||
6.95% (3) | 07/21/27 | 230,000 | 226,837 | |||||||||
7.00% (3) | 12/15/47 | 115,000 | 103,121 | |||||||||
|
| |||||||||||
Total Argentina | ||||||||||||
(Cost: $3,205,662) |
| 3,060,290 | ||||||||||
|
| |||||||||||
Azerbaijan — 0.3% (Cost: $331,792) | ||||||||||||
Republic of Azerbaijan International Bond |
| |||||||||||
3.50% (1) | 09/01/32 | 375,000 | 309,068 | |||||||||
|
| |||||||||||
Bahrain — 0.7% | ||||||||||||
Bahrain Government International Bond |
| |||||||||||
7.00% (3) | 10/12/28 | 625,000 | 597,656 | |||||||||
Oil and Gas Holding Co. (The) |
| |||||||||||
7.50% (3) | 10/25/27 | 200,000 | 193,625 | |||||||||
|
| |||||||||||
Total Bahrain | ||||||||||||
(Cost: $816,733) |
| 791,281 | ||||||||||
|
| |||||||||||
Brazil — 2.4% | ||||||||||||
Banco do Brasil S.A. |
| |||||||||||
6.25% (U.S. 10-year Treasury Constant Maturity Rate + 4.398%) (1)(2)(4) | 10/29/49 | 400,000 | 355,880 | |||||||||
9.00% (U.S. 10-year Treasury Constant Maturity Rate + 6.362%) (1)(2)(4) | 06/29/49 | 200,000 | 212,180 | |||||||||
CIMPOR Financial Operations BV |
| |||||||||||
5.75% (1) | 07/17/24 | 200,000 | 189,250 | |||||||||
CSN Resources SA |
| |||||||||||
7.63% (3) | 02/13/23 | 200,000 | 190,760 | |||||||||
Light Servicos de Eletricidade SA/Light Energia SA |
| |||||||||||
7.25% (3) | 05/03/23 | 200,000 | 202,250 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Brazil (Continued) | ||||||||||||
MARB BondCo PLC |
| |||||||||||
6.88% (3) | 01/19/25 | $ | 400,000 | $ | 376,600 | |||||||
Petrobras Global Finance BV |
| |||||||||||
5.75% | 02/01/29 | 546,000 | 518,973 | |||||||||
Samarco Mineracao S.A. |
| |||||||||||
4.13% (1)(5) | 11/01/22 | 200,000 | 145,880 | |||||||||
Vale Overseas, Ltd. |
| |||||||||||
6.88% | 11/10/39 | 131,000 | 152,877 | |||||||||
Vrio Finco 1 LLC / Vrio Finco 2, Inc. |
| |||||||||||
6.25% (3) | 04/04/23 | 200,000 | 202,000 | |||||||||
|
| |||||||||||
Total Brazil | ||||||||||||
(Cost: $2,576,151) |
| 2,546,650 | ||||||||||
|
| |||||||||||
Chile — 0.2% (Cost: $209,904) | ||||||||||||
Latam Finance, Ltd. |
| |||||||||||
6.88% (3) | 04/11/24 | 200,000 | 206,530 | |||||||||
|
| |||||||||||
China — 0.2% (Cost: $200,668) | ||||||||||||
Kaisa Group Holdings, Ltd. |
| |||||||||||
8.50% (1) | 06/30/22 | 200,000 | 174,260 | |||||||||
|
| |||||||||||
Colombia — 1.5% | ||||||||||||
Colombia Government International Bond |
| |||||||||||
3.88% | 04/25/27 | 400,000 | 387,000 | |||||||||
4.00% | 02/26/24 | 400,000 | 399,840 | |||||||||
5.00% | 06/15/45 | 600,000 | 593,400 | |||||||||
5.63% | 02/26/44 | 200,000 | 214,800 | |||||||||
|
| |||||||||||
Total Colombia | ||||||||||||
(Cost: $1,613,105) |
| 1,595,040 | ||||||||||
|
| |||||||||||
Costa Rica — 0.4% (Cost: $401,741) | ||||||||||||
Autopistas del Sol S.A. |
| |||||||||||
7.38% (3) | 12/30/30 | 396,000 | 407,405 | |||||||||
|
| |||||||||||
Dominican Republic — 1.0% | ||||||||||||
AES Andres B.V. / Dominican Power Partners / Empresa Generadora de Electricidad Itabo, S.A. |
| |||||||||||
7.95% (3) | 05/11/26 | 200,000 | 215,060 | |||||||||
Dominican Republic International Bond |
| |||||||||||
5.95% (3) | 01/25/27 | 575,000 | 590,094 | |||||||||
Dominican Republic International Bond, |
| |||||||||||
6.85% (1) | 01/27/45 | 250,000 | 259,062 | |||||||||
|
| |||||||||||
Total Dominican Republic |
| |||||||||||
(Cost: $1,058,849) |
| 1,064,216 | ||||||||||
|
| |||||||||||
Ecuador — 0.3% | ||||||||||||
Ecuador Government International Bond |
| |||||||||||
7.88% (3) | 01/23/28 | 200,000 | 177,750 | |||||||||
7.95% (1) | 06/20/24 | 200,000 | 187,750 | |||||||||
|
| |||||||||||
Total Ecuador | ||||||||||||
(Cost: $375,854) |
| 365,500 | ||||||||||
|
|
See accompanying notes to financial statements.
23
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Egypt — 1.2% | ||||||||||||
Egypt Government International Bond |
| |||||||||||
5.58% (3) | 02/21/23 | $ | 200,000 | $ | 201,085 | |||||||
6.13% (3) | 01/31/22 | 275,000 | 282,837 | |||||||||
6.59% (3) | 02/21/28 | 400,000 | 395,520 | |||||||||
7.50% (3) | 01/31/27 | 370,000 | 391,682 | |||||||||
|
| |||||||||||
Total Egypt | ||||||||||||
(Cost: $1,274,091) |
| 1,271,124 | ||||||||||
|
| |||||||||||
El Salvador — 0.2% | ||||||||||||
AES El Salvador Trust III |
| |||||||||||
6.75% (1) | 03/28/23 | 200,000 | 194,060 | |||||||||
El Salvador Government International Bond |
| |||||||||||
6.38% (1) | 01/18/27 | 50,000 | 49,605 | |||||||||
|
| |||||||||||
Total El Salvador | ||||||||||||
(Cost: $231,330) |
| 243,665 | ||||||||||
|
| |||||||||||
Ghana — 0.4% | ||||||||||||
Ghana Government International Bond |
| |||||||||||
7.88% (1) | 08/07/23 | 200,000 | 217,250 | |||||||||
8.13% (1) | 01/18/26 | 200,000 | 214,456 | |||||||||
|
| |||||||||||
Total Ghana | ||||||||||||
(Cost: $434,705) |
| 431,706 | ||||||||||
|
| |||||||||||
Honduras — 0.2% (Cost: $156,836) | ||||||||||||
Honduras Government International Bond |
| |||||||||||
6.25% (1) | 01/19/27 | 150,000 | 155,670 | |||||||||
|
| |||||||||||
India — 0.7% | ||||||||||||
Azure Power Energy, Ltd. |
| |||||||||||
5.50% (3) | 11/03/22 | 200,000 | 196,120 | |||||||||
Delhi International Airport, Ltd. |
| |||||||||||
6.13% (1) | 10/31/26 | 200,000 | 200,250 | |||||||||
Vedanta Resources PLC | ||||||||||||
6.13% (1) | 08/09/24 | 200,000 | 192,916 | |||||||||
6.38% (3) | 07/30/22 | 200,000 | 201,740 | |||||||||
|
| |||||||||||
Total India | ||||||||||||
(Cost: $807,615) |
| 791,026 | ||||||||||
|
| |||||||||||
Indonesia — 2.3% | ||||||||||||
Freeport-McMoRan, Inc. |
| |||||||||||
4.55% | 11/14/24 | 131,000 | 126,742 | |||||||||
Indonesia Government International Bond |
| |||||||||||
3.50% | 01/11/28 | 600,000 | 563,672 | |||||||||
Minejesa Capital BV |
| |||||||||||
5.63% (3) | 08/10/37 | 400,000 | 387,000 | |||||||||
Perusahaan Penerbit SBSN Indonesia III |
| |||||||||||
4.15% (1) | 03/29/27 | 800,000 | 780,000 | |||||||||
Saka Energi Indonesia PT |
| |||||||||||
4.45% (3) | 05/05/24 | 400,000 | 387,879 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Indonesia (Continued) | ||||||||||||
Star Energy Geothermal Wayang Windu, Ltd. |
| |||||||||||
6.75% (3) | 04/24/33 | $ | 200,000 | $ | 194,250 | |||||||
|
| |||||||||||
Total Indonesia | ||||||||||||
(Cost: $2,537,177) |
| 2,439,543 | ||||||||||
|
| |||||||||||
Iraq — 0.4% (Cost: $465,785) | ||||||||||||
Iraq International Bond |
| |||||||||||
5.80% (1) | 01/15/28 | 500,000 | 473,250 | |||||||||
|
| |||||||||||
Ivory Coast — 0.5% | ||||||||||||
Ivory Coast Government International Bond |
| |||||||||||
6.13% (3) | 06/15/33 | 400,000 | 379,420 | |||||||||
6.63% (3) | 03/22/48 | EUR | 145,000 | 177,510 | ||||||||
|
| |||||||||||
Total Ivory Coast | ||||||||||||
(Cost: $569,397) |
| 556,930 | ||||||||||
|
| |||||||||||
Jamaica — 0.2% (Cost: $192,769) | ||||||||||||
Digicel Group, Ltd. |
| |||||||||||
8.25% (1) | 09/30/20 | $ | 200,000 | 179,000 | ||||||||
|
| |||||||||||
Kazakhstan — 1.7% | ||||||||||||
Kazakhstan Temir Zholy National Co. JSC |
| |||||||||||
4.85% (3) | 11/17/27 | 400,000 | 396,520 | |||||||||
KazMunayGas National Co. JSC |
| |||||||||||
4.75% (3) | 04/19/27 | 400,000 | 394,869 | |||||||||
5.38% (3) | 04/24/30 | 200,000 | 200,349 | |||||||||
5.75% (3) | 04/19/47 | 600,000 | 576,291 | |||||||||
6.38% (3) | 10/24/48 | 200,000 | 204,920 | |||||||||
|
| |||||||||||
Total Kazakhstan | ||||||||||||
(Cost: $1,797,840) |
| 1,772,949 | ||||||||||
|
| |||||||||||
Lebanon — 0.7% | ||||||||||||
Lebanon Government International Bond |
| |||||||||||
5.45% (1) | 11/28/19 | 150,000 | 148,256 | |||||||||
5.80% (1) | 04/14/20 | �� | 175,000 | 172,435 | ||||||||
6.00% (1) | 01/27/23 | 445,000 | 421,282 | |||||||||
|
| |||||||||||
Total Lebanon | ||||||||||||
(Cost: $719,942) |
| 741,973 | ||||||||||
|
| |||||||||||
Luxembourg — 0.1% (Cost: $150,000) | ||||||||||||
Gilex Holding SARL |
| |||||||||||
8.50% (3) | 05/02/23 | 150,000 | 151,313 | |||||||||
|
| |||||||||||
Mexico — 3.2% | ||||||||||||
Axtel SAB de CV |
| |||||||||||
6.38% (3) | 11/14/24 | 282,000 | 281,295 | |||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
6.88% (5 year Treasury Constant Maturity Rate + 5.035%) (2)(3)(4) | 12/31/99 | 400,000 | 403,520 |
See accompanying notes to financial statements.
24
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Mexico (Continued) | ||||||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
7.63% (U.S. 10-year Treasury Constant Maturity Rate + 5.353%) (2)(3)(4) | 12/31/99 | $ | 400,000 | $ | 414,500 | |||||||
Cometa Energia SA de CV |
| |||||||||||
6.38% (3) | 04/24/35 | 200,000 | 196,120 | |||||||||
Mexico Government International Bond |
| |||||||||||
3.75% | 01/11/28 | 400,000 | 377,960 | |||||||||
Nemak SAB de CV |
| |||||||||||
4.75% (3) | 01/23/25 | 200,000 | 196,500 | |||||||||
Petroleos Mexicanos |
| |||||||||||
3.50% | 07/23/20 | 200,000 | 199,040 | |||||||||
3.50% | 01/30/23 | 100,000 | 94,700 | |||||||||
4.63% | 09/21/23 | 335,000 | 331,472 | |||||||||
5.35% (3) | 02/12/28 | 140,000 | 133,896 | |||||||||
6.35% (1) | 02/12/48 | 325,000 | 299,650 | |||||||||
6.63% | 06/15/35 | 235,000 | 233,802 | |||||||||
Unifin Financiera S.A.B. de C.V. |
| |||||||||||
7.00% (3) | 01/15/25 | 200,000 | 195,250 | |||||||||
|
| |||||||||||
Total Mexico | ||||||||||||
(Cost: $3,445,276) |
| 3,357,705 | ||||||||||
|
| |||||||||||
Mongolia — 0.4% (Cost: $389,340) | ||||||||||||
Mongolia Government International Bond |
| |||||||||||
5.13% (1) | 12/05/22 | 400,000 | 385,462 | |||||||||
|
| |||||||||||
Nigeria — 0.8% | ||||||||||||
Nigeria Government International Bond |
| |||||||||||
6.50% (3) | 11/28/27 | 200,000 | 202,080 | |||||||||
7.14% (3) | 02/23/30 | 200,000 | 205,280 | |||||||||
7.63% (3) | 11/28/47 | 200,000 | 202,125 | |||||||||
7.70% (3) | 02/23/38 | 250,000 | 257,829 | |||||||||
|
| |||||||||||
Total Nigeria | ||||||||||||
(Cost: $866,025) |
| 867,314 | ||||||||||
|
| |||||||||||
Oman — 0.8% | ||||||||||||
Oman Government International Bond |
| |||||||||||
5.63% (3) | 01/17/28 | 600,000 | 574,500 | |||||||||
6.75% (3) | 01/17/48 | 300,000 | 283,500 | |||||||||
|
| |||||||||||
Total Oman | ||||||||||||
(Cost: $869,089) |
| 858,000 | ||||||||||
|
| |||||||||||
Panama — 0.6% | ||||||||||||
AES Panama SRL |
| |||||||||||
6.00% (3) | 06/25/22 | 200,000 | 207,250 | |||||||||
C&W Senior Financing Designated Activity Co. |
| |||||||||||
6.88% (3) | 09/15/27 | 200,000 | 198,840 | |||||||||
Panama Government International Bond |
| |||||||||||
4.50% | 04/16/50 | 200,000 | 194,540 | |||||||||
|
| |||||||||||
Total Panama | ||||||||||||
(Cost: $604,756) |
| 600,630 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Paraguay — 0.2% (Cost: $202,949) | ||||||||||||
Paraguay Government International Bond |
| |||||||||||
4.70% (1) | 03/27/27 | $ | 200,000 | $ | 197,880 | |||||||
|
| |||||||||||
Peru — 0.9% | ||||||||||||
Inkia Energy, Ltd. |
| |||||||||||
5.88% (3) | 11/09/27 | 200,000 | 191,750 | |||||||||
Orazul Energy Egenor S en C por A |
| |||||||||||
5.63% (3) | 04/28/27 | 200,000 | 188,500 | |||||||||
Peru LNG SRL |
| |||||||||||
5.38% (3) | 03/22/30 | 400,000 | 399,500 | |||||||||
Petroleos del Peru S.A. | ||||||||||||
5.63% (3) | 06/19/47 | 225,000 | 219,994 | |||||||||
|
| |||||||||||
Total Peru |
| |||||||||||
(Cost: $1,030,497) |
| 999,744 | ||||||||||
|
| |||||||||||
Qatar — 0.5% (Cost: $498,819) | ||||||||||||
Qatar Government International Bond |
| |||||||||||
4.50% (3) | 04/23/28 | 500,000 | 499,688 | |||||||||
|
| |||||||||||
Romania — 0.1% (Cost: $130,202) | ||||||||||||
Romania Government Bond |
| |||||||||||
5.80% | 07/26/27 | RON | 460,000 | 130,229 | ||||||||
|
| |||||||||||
Russia — 1.3% | ||||||||||||
Russian Federation Government Bond |
| |||||||||||
4.25% (1) | 06/23/27 | $ | 600,000 | 586,500 | ||||||||
4.38% (3) | 03/21/29 | 400,000 | 389,200 | |||||||||
5.25% (1) | 06/23/47 | 200,000 | 194,328 | |||||||||
Russian Foreign Bond — Eurobond |
| |||||||||||
4.75% (1) | 05/27/26 | 200,000 | 203,500 | |||||||||
|
| |||||||||||
Total Russia |
| |||||||||||
(Cost: $1,404,211) |
| 1,373,528 | ||||||||||
|
| |||||||||||
Saudi Arabia — 1.1% | ||||||||||||
Saudi Government International Bond |
| |||||||||||
4.00% (3) | 04/17/25 | 400,000 | 394,800 | |||||||||
4.50% (1) | 10/26/46 | 200,000 | 181,358 | |||||||||
4.50% (3) | 04/17/30 | 400,000 | 395,264 | |||||||||
5.00% (3) | 04/17/49 | 200,000 | 192,400 | |||||||||
|
| |||||||||||
Total Saudi Arabia |
| |||||||||||
(Cost: $1,180,910) |
| 1,163,822 | ||||||||||
|
| |||||||||||
South Africa — 1.5% | ||||||||||||
South Africa Government Bond |
| |||||||||||
4.30% | 10/12/28 | 400,000 | 368,160 | |||||||||
4.88% | 04/14/26 | 400,000 | 393,250 | |||||||||
7.00% | 02/28/31 | ZAR | 2,000,000 | 139,860 | ||||||||
8.00% | 01/31/30 | ZAR | 7,443,000 | 571,055 | ||||||||
8.75% | 01/31/44 | ZAR | 1,850,000 | 143,510 | ||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $1,660,055) |
| 1,615,835 | ||||||||||
|
|
See accompanying notes to financial statements.
25
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Sri Lanka — 0.8% | ||||||||||||
Sri Lanka Government Bond |
| |||||||||||
5.75% (3) | 04/18/23 | $ | 200,000 | $ | 199,340 | |||||||
6.20% (3) | 05/11/27 | 425,000 | 411,112 | |||||||||
6.75% (3) | 04/18/28 | 200,000 | 199,522 | |||||||||
|
| |||||||||||
Total Sri Lanka |
| |||||||||||
(Cost: $835,990) |
| 809,974 | ||||||||||
|
| |||||||||||
Turkey — 2.0% | ||||||||||||
Akbank Turk AS | ||||||||||||
6.80% (3)(6) | 04/27/28 | 275,000 | 271,502 | |||||||||
Petkim Petrokimya Holding AS |
| |||||||||||
5.88% (3) | 01/26/23 | 200,000 | 192,064 | |||||||||
Turkcell Iletisim Hizmetleri AS |
| |||||||||||
5.80% (3) | 04/11/28 | 200,000 | 195,212 | |||||||||
Turkey Government International Bond |
| |||||||||||
5.13% | 02/17/28 | 400,000 | 374,414 | |||||||||
6.00% | 03/25/27 | 200,000 | 201,113 | |||||||||
6.13% | 10/24/28 | 525,000 | 524,352 | |||||||||
Turkiye Vakiflar Bankasi TAO |
| |||||||||||
5.75% (3) | 01/30/23 | 200,000 | 194,000 | |||||||||
Yapi ve Kredi Bankasi AS |
| |||||||||||
6.10% (3) | 03/16/23 | 200,000 | 197,333 | |||||||||
|
| |||||||||||
Total Turkey |
| |||||||||||
(Cost: $2,193,164) |
| 2,149,990 | ||||||||||
|
| |||||||||||
Ukraine — 1.3% | ||||||||||||
Ukraine Government International Bond |
| |||||||||||
7.75% (1) | 09/01/23 | 325,000 | 328,867 | |||||||||
7.75% (1) | 09/01/25 | 225,000 | 224,078 | |||||||||
7.75% (1) | 09/01/26 | 585,000 | 578,501 | |||||||||
7.75% (1) | 09/01/27 | 200,000 | 196,740 | |||||||||
|
| |||||||||||
Total Ukraine |
| |||||||||||
(Cost: $1,227,787) |
| 1,328,186 | ||||||||||
|
| |||||||||||
Uruguay —0.1% (Cost: $123,391) | ||||||||||||
Uruguay Government International Bond |
| |||||||||||
4.98% | 04/20/55 | 125,000 | 120,625 | |||||||||
|
| |||||||||||
Venezuela — 0.5% | ||||||||||||
Venezuela Government International Bond |
| |||||||||||
8.25% (1)(5) | 10/13/24 | 557,300 | 161,617 | |||||||||
9.25% | 09/15/27 | 550,000 | 173,745 | |||||||||
9.25% (1) | 05/07/28 | 787,000 | 226,263 | |||||||||
|
| |||||||||||
Total Venezuela |
| |||||||||||
(Cost: $600,859) |
| 561,625 | ||||||||||
|
| |||||||||||
Zambia — 0.6% | ||||||||||||
First Quantum Minerals, Ltd. |
| |||||||||||
6.50% (3) | 03/01/24 | 200,000 | 192,350 | |||||||||
7.50% (3) | 04/01/25 | 200,000 | 198,020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Zambia (Continued) | ||||||||||||
Zambia Government International Bond |
| |||||||||||
8.97% (1) | 07/30/27 | $ | 200,000 | $ | 202,020 | |||||||
|
| |||||||||||
Total Zambia |
| |||||||||||
(Cost: $619,117) |
| 592,390 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $38,232,855) |
| 37,566,266 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
COMMON STOCK — 60.2% |
| |||||||||||
Brazil — 4.9% | ||||||||||||
Banco Santander Brasil S.A. |
| 79,500 | 868,694 | |||||||||
CVC Brasil Operadora e Agencia de Viagens S.A. |
| 42,600 | 708,310 | |||||||||
Estacio Participacoes S.A. |
| 103,200 | 943,912 | |||||||||
Gol Linhas Aereas Inteligentes S.A. (ADR) (7) |
| 51,650 | 565,568 | |||||||||
Petroleo Brasileiro S.A. (SP ADR) (7) |
| 95,000 | 1,338,550 | |||||||||
TIM Participacoes S.A. (ADR) |
| 34,900 | 793,975 | |||||||||
|
| |||||||||||
Total Brazil |
| |||||||||||
(Cost: $4,546,591) |
| 5,219,009 | ||||||||||
|
| |||||||||||
China — 24.3% | ||||||||||||
3SBio, Inc. (7) |
| 353,000 | 758,518 | |||||||||
58.Com, Inc. (ADR) (7) |
| 9,400 | 821,466 | |||||||||
Alibaba Group Holding, Ltd. (SP ADR) (7) |
| 8,662 | 1,546,513 | |||||||||
Anhui Conch Cement Co., Ltd. — Class H |
| 68,500 | 427,563 | |||||||||
China Molybdenum Co., Ltd. — Class H |
| 492,000 | 369,741 | |||||||||
China Oilfield Services, Ltd. — Class H |
| 956,000 | 953,846 | |||||||||
China Vanke Co., Ltd. — Class H |
| 128,700 | 531,925 | |||||||||
Galaxy Entertainment Group, Ltd. |
| 161,000 | 1,409,244 | |||||||||
Industrial & Commercial Bank of China, Ltd. — Class H |
| 2,039,000 | 1,790,091 | |||||||||
Kweichow Moutai Co., Ltd. |
| 17,504 | 1,823,309 | |||||||||
Melco Crown Entertainment, Ltd. |
| 50,600 | 1,579,226 | |||||||||
Microport Scientific Corp. |
| 953,000 | 1,109,833 | |||||||||
Ping An Insurance Group Co. of China, Ltd. — Class H |
| 152,650 | 1,491,680 | |||||||||
Sichuan Swellfun Co., Ltd. |
| 99,800 | 627,798 | |||||||||
Silergy Corp. |
| 45,500 | 951,498 | |||||||||
Sino Biopharmaceutical, Ltd. |
| 661,000 | 1,392,010 | |||||||||
Tencent Holdings, Ltd. |
| 97,812 | 4,808,965 | |||||||||
Weibo Corp. (SP ADR) (7) |
| 7,700 | 881,804 | |||||||||
Wuxi Biologics, Inc. (7) |
| 116,500 | 1,056,819 | |||||||||
Xiabuxiabu Catering Management China Holdings Co., Ltd. |
| 627,000 | 1,076,538 |
See accompanying notes to financial statements.
26
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2018 |
Issues | Shares | Value | ||||||||||
China (Continued) | ||||||||||||
ZTE Corp. — Class H (7)(8) |
| 146,200 | $ | 379,784 | ||||||||
|
| |||||||||||
Total China |
| |||||||||||
(Cost: $20,439,673) |
| 25,788,171 | ||||||||||
|
| |||||||||||
Egypt — 1.1% | ||||||||||||
Citadel Capital SAE (7) |
| 1,339,360 | 202,954 | |||||||||
Commercial International Bank Egypt SAE |
| 107,600 | 574,944 | |||||||||
Ezz Steel (7) |
| 125,395 | 211,142 | |||||||||
Six of October Development & Investment (7) |
| 129,430 | 195,484 | |||||||||
|
| |||||||||||
Total Egypt |
| |||||||||||
(Cost: $1,132,626) |
| 1,184,524 | ||||||||||
|
| |||||||||||
Germany — 1.3% (Cost: $1,251,866) | ||||||||||||
Siltronic AG (7) |
| 8,621 | 1,381,137 | |||||||||
|
| |||||||||||
Greece — 0.4% (Cost: $376,122) | ||||||||||||
Public Power Corp. S.A. (7) |
| 111,221 | 367,100 | |||||||||
|
| |||||||||||
Hungary — 0.4% (Cost: $306,441) | ||||||||||||
OTP Bank PLC |
| 10,800 | 471,481 | |||||||||
|
| |||||||||||
India — 4.0% | ||||||||||||
Dilip Buildcon, Ltd. |
| 110,933 | 1,918,334 | |||||||||
KNR Constructions, Ltd. |
| 77,523 | 375,013 | |||||||||
Maruti Suzuki India, Ltd. |
| 11,758 | 1,546,150 | |||||||||
Tata Steel, Ltd. |
| 45,050 | 398,977 | |||||||||
|
| |||||||||||
Total India | ||||||||||||
(Cost: $3,575,395) |
| 4,238,474 | ||||||||||
|
| |||||||||||
Indonesia — 0.6% (Cost: $561,660) | ||||||||||||
Bank Central Asia Tbk PT |
| 388,900 | 614,960 | |||||||||
|
| |||||||||||
Kazakhstan — 0.4% (Cost: $339,608) | ||||||||||||
KAZ Minerals PLC (7) |
| 31,784 | 401,780 | |||||||||
|
| |||||||||||
Kenya — 0.6% (Cost: $426,429) | ||||||||||||
Safari.com, Ltd. |
| 2,261,000 | 643,176 | |||||||||
|
| |||||||||||
Poland — 1.3% (Cost: $758,798) | ||||||||||||
Dino Polska S.A. (7) |
| 51,303 | 1,382,301 | |||||||||
|
| |||||||||||
Russia — 3.5% | ||||||||||||
Lukoil PJSC (SP ADR) |
| 20,438 | 1,346,660 | |||||||||
Sberbank of Russia |
| 665,705 | 2,372,049 | |||||||||
|
| |||||||||||
Total Russia |
| |||||||||||
(Cost: $3,352,340) |
| 3,718,709 | ||||||||||
|
| |||||||||||
South Africa — 2.4% | ||||||||||||
Capitec Bank Holdings, Ltd. |
| 5,015 | 356,502 | |||||||||
Clicks Group, Ltd. |
| 34,730 | 594,461 | |||||||||
Mr Price Group, Ltd. |
| 49,375 | 1,081,850 | |||||||||
Standard Bank Group, Ltd. |
| 28,473 | 487,595 | |||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $1,905,074) |
| 2,520,408 | ||||||||||
|
|
Issues | Shares | Value | ||||||||
South Korea — 4.4% | ||||||||||
KB Financial Group, Inc. (ADR) (7) | 5,100 | $ | 287,640 | |||||||
LG Household & Health Care, Ltd. | 881 | 1,124,930 | ||||||||
Samsung Biologics Co., Ltd. (7) | 1,356 | 615,883 | ||||||||
Samsung Electronics Co., Ltd. | 317 | 785,718 | ||||||||
Shinsegae Co., Ltd. | 2,928 | 1,136,454 | ||||||||
SK Energy Co., Ltd. | 1,899 | 347,985 | ||||||||
Ssangyong Cement Industrial Co., Ltd. | 14,300 | 399,658 | ||||||||
|
| |||||||||
Total South Korea | ||||||||||
(Cost: $3,669,911) | 4,698,268 | |||||||||
|
| |||||||||
Switzerland — 0.2% (Cost: $209,355) | ||||||||||
Wizz Air Holdings PLC (7) | 5,600 | 246,015 | ||||||||
|
| |||||||||
Taiwan — 4.3% | ||||||||||
Accton Technology Corp. | 407,000 | 930,208 | ||||||||
ASPEED Technology, Inc. | 18,000 | 513,973 | ||||||||
Cathay Financial Holding Co., Ltd. | 427,000 | 765,934 | ||||||||
Globalwafers Co., Ltd. | 33,000 | 532,374 | ||||||||
President Chain Store Corp. | 36,000 | 353,861 | ||||||||
Win Semiconductors Corp. | 36,000 | 269,938 | ||||||||
Wiwynn Corp. (7) | 37,224 | 323,835 | ||||||||
Yageo Corp. (7) | 39,000 | 817,478 | ||||||||
|
| |||||||||
Total Taiwan | ||||||||||
(Cost: $4,637,533) | 4,507,601 | |||||||||
|
| |||||||||
Thailand — 0.7% | ||||||||||
Esso Thailand PCL (NVDR) (7) | 648,700 | 367,343 | ||||||||
PTT Exploration & Production PCL — Class N (NVDR) | 99,200 | 420,383 | ||||||||
|
| |||||||||
Total Thailand | ||||||||||
(Cost: $741,976) | 787,726 | |||||||||
|
| |||||||||
Turkey — 1.2% | ||||||||||
Turk Hava Yollari (7) | 148,200 | 611,689 | ||||||||
Turkiye Garanti Bankasi A.S. | 273,306 | 618,403 | ||||||||
|
| |||||||||
Total Turkey | ||||||||||
(Cost: $1,465,428) | 1,230,092 | |||||||||
|
| |||||||||
United Arab Emirates — 1.7% (Cost: $979,084) | ||||||||||
NMC Health PLC | 37,130 | 1,815,142 | ||||||||
|
| |||||||||
United States — 2.5% | ||||||||||
Facebook, Inc. (7) | 6,900 | 1,186,800 | ||||||||
MSCI, Inc. | 9,900 | 1,483,317 | ||||||||
|
| |||||||||
Total United States | ||||||||||
(Cost: $2,347,390) | 2,670,117 | |||||||||
|
| |||||||||
Total Common Stock | ||||||||||
(Cost: $53,023,300) | 63,886,191 | |||||||||
|
| |||||||||
Purchased Options (9) (0.0%) | ||||||||||
(Cost: $16,983) | 5,906 | |||||||||
|
|
See accompanying notes to financial statements.
27
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||||||
MONEY MARKET INVESTMENTS — 2.7% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (10) |
| 2,849,098 | $ | 2,849,098 | ||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $2,849,098) |
| 2,849,098 | ||||||||||
|
| |||||||||||
Maturity Date | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 0.5% |
| |||||||||||
FOREIGN GOVERNMENT BONDS — 0.5% | ||||||||||||
Egypt — 0.3% | ||||||||||||
Egypt Treasury Bills | ||||||||||||
0.00% (11) | 05/01/18 | EGP | 1,050,000 | 59,528 | ||||||||
0.00% (11) | 06/19/18 | EGP | 2,400,000 | 132,935 | ||||||||
0.00% (11) | 07/10/18 | EGP | 650,000 | 35,649 | ||||||||
0.00% (11) | 07/24/18 | EGP | 650,000 | 35,459 | ||||||||
|
| |||||||||||
263,571 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Nigeria — 0.2% | ||||||||||||
Nigeria Treasury Bill |
| |||||||||||
0.00% (11) | 08/30/18 | NGN | 21,000,000 | $ | 56,415 | |||||||
0.00% (11) | 09/20/18 | NGN | 15,865,000 | 42,354 | ||||||||
0.00% (11) | 10/04/18 | NGN | 15,300,000 | 40,638 | ||||||||
0.00% (11) | 10/18/18 | NGN | 28,480,000 | 75,319 | ||||||||
|
| |||||||||||
214,726 | ||||||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $473,303) |
| 478,297 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $473,303) |
| 478,297 | ||||||||||
|
| |||||||||||
Total Investments (98.8%) |
| |||||||||||
(Cost: $94,595,539) |
| 104,785,758 | ||||||||||
Excess of Other Assets over Liabilities (1.2%) |
| 1,278,522 | ||||||||||
|
| |||||||||||
Total Net Assets (100.0%) |
| $ | 106,064,280 | |||||||||
|
|
Purchased Options — OTC | ||||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
EUR Put / TRY Call | Goldman Sachs & Co. | TRY | 5.00 | 7/18/18 | 151 | $ | 151 | $ | 3,158 | $ | 2,400 | $ | 758 | |||||||||||||||||||||||
USD Call / MXN Put | Goldman Sachs & Co. | MXN | 19.00 | 5/3/18 | 300 | 300 | 432 | 6,183 | (5,751 | ) | ||||||||||||||||||||||||||
USD Put / TRY Call | Citibank, N.A. | TRY | 3.85 | 12/19/18 | 560 | 560 | 2,316 | 8,400 | (6,084 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | 5,906 | $ | 16,983 | $ | (11,077 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
Written Options — OTC (12) | ||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
USD Call / MXN Put | Barclays Capital | MXN | 20.00 | 5/3/18 | 300 | $ | 300 | $ | — | $ | (2,298 | ) | $ | 2,298 | ||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
28
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2018 |
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 (13) | ||||||||||||||||||||||
Bank of America | RUB | 8,545,213 | 05/14/18 | $ | 145,000 | $ | 135,512 | $ | (9,488 | ) | ||||||||||||
BNP Paribas S.A. | ARS | 6,639,840 | 05/16/18 | 318,000 | 319,545 | 1,545 | ||||||||||||||||
BNP Paribas S.A. | SAR | 529,816 | 06/28/18 | 140,000 | 141,290 | 1,290 | ||||||||||||||||
Citibank N.A. | BRL | 501,300 | 07/09/18 | 145,199 | 142,812 | (2,387 | ) | |||||||||||||||
Goldman Sachs & Co. | KZT | 67,262,763 | 07/16/18 | 201,476 | 202,461 | 985 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 949,675 | $ | 941,620 | $ | (8,055 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
SELL (14) | ||||||||||||||||||||||
Bank of America | BRL | 501,300 | 07/09/18 | $ | 150,000 | $ | 142,812 | $ | 7,188 | |||||||||||||
Bank of America | RUB | 8,545,213 | 05/14/18 | 149,287 | 135,512 | 13,775 | ||||||||||||||||
Bank of America | SAR | 73,915 | 05/20/19 | 19,477 | 19,689 | (212 | ) | |||||||||||||||
BNP Paribas S.A. | ARS | 6,639,840 | 05/16/18 | 312,760 | 319,545 | (6,785 | ) | |||||||||||||||
BNP Paribas S.A. | SAR | 529,816 | 06/28/18 | 140,927 | 141,290 | (363 | ) | |||||||||||||||
Citibank N.A. | SAR | 457,385 | 05/20/19 | 120,523 | 121,833 | (1,310 | ) | |||||||||||||||
Citibank N.A. | SAR | 565,755 | 04/06/20 | 150,000 | 150,200 | (200 | ) | |||||||||||||||
Goldman Sachs & Co. | ZAR | 8,237,608 | 06/29/18 | 655,000 | 654,941 | 59 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 1,697,974 | $ | 1,685,822 | $ | 12,152 | |||||||||||||||||
|
|
|
|
|
|
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||||||||
Notional Amount (15) | Implied Credit Spread (16) | Expiration Date | Counterparty & Reference Entity | Fixed Deal Pay Rate | Payment Frequency | Unrealized Appreciation/ (Depreciation) | Premium Paid (Received) | Value (17) | ||||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||||||||
$ 100,000 | 0.518% | 12/20/22 | Bank of America | China Government Bond, 7.5%, due 10/28/27 | 1.0% | Quarterly | $ | (267 | ) | $ | (1,795 | ) | $ | (2,062 | ) | |||||||||||||||||
100,000 | 0.518% | 12/20/22 | Deutsche Bank AG | China Government Bond, 7.5%, due 10/28/27 | 1.0% | Quarterly | (267 | ) | (1,795 | ) | (2,062 | ) | ||||||||||||||||||||
200,000 | 0.950% | 12/20/22 | Citibank N.A. | Colombia Government Bond 10.375%, 01/28/33 | 1.0% | Quarterly | (2,830 | ) | 2,407 | (423 | ) | |||||||||||||||||||||
100,000 | 1.025% | 12/20/22 | Citibank N.A | Mexico Government Bond, 4.15%, 03/28/17 | 1.0% | Quarterly | (541 | ) | 648 | 107 | ||||||||||||||||||||||
260,000 | 1.025% | 12/20/22 | Bank of America | Mexico Government Bond, 4.15%, 03/28/27 | 1.0% | Quarterly | (1,400 | ) | 1,678 | 278 | ||||||||||||||||||||||
200,000 | 0.900% | 12/20/22 | Bank of America | Mexico Government Bond, 5.95%, 03/19/19 | 1.0% | Quarterly | (1,060 | ) | 1,273 | 213 | ||||||||||||||||||||||
110,000 | 0.403% | 12/20/22 | Barclays Capital | Republic of Korea, 7.125%, 04/16/19 | 1.0% | Quarterly | (1,438 | ) | (1,419 | ) | (2,857 | ) | ||||||||||||||||||||
680,000 | 0.403% | 12/20/22 | Citibank N.A. | Republic of Korea, 7.125%, 04/16/19 | 1.0% | Quarterly | (8,771 | ) | (8,891 | ) | (17,662 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (16,574 | ) | $ | (7,894 | ) | $ | (24,468 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
29
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
ARS - | Argentine Peso. |
BRL - | Brazilian Real. |
EGP - | Egyptian Pound. |
EUR - | Euro Currency. |
IDR - | Indonesian Rupiah. |
KZT - | Kazakhstani Tenge. |
NGN - | Nigeria Naira. |
RON - | Romanian New Leu. |
RUB - | Russian Ruble. |
SAR - | Saudi Riyal. |
TRY - | Turkish New Lira. |
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) | 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, 2018, the value of these securities amounted to $9,423,774 or 8.9% of net assets. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2018. |
(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, 2018, the value of these securities amounted to $17,989,880 or 17.0% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Fund’s Board of Directors. |
(4) | Perpetual Maturity. |
(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) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(7) | Non-income producing security. |
(8) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(9) | See options table for description of purchased options. |
(10) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
(11) | Security is not accruing interest. |
(12) | See note 2 in the Notes to Financial Statements for additional information regarding written options. |
(13) | Fund buys foreign currency, sells U.S. Dollar. |
(14) | Fund sells foreign currency, buys U.S. Dollar. |
(15) | 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. |
(16) | 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. |
(17) | 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 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.
30
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Industry (Unaudited) | April 30, 2018 |
Industry | Percentage of Net Assets | |||
Airlines | 1.5 | % | ||
Auto Manufacturers | 1.5 | |||
Auto Parts & Equipment | 0.2 | |||
Banks | 9.5 | |||
Beverages | 2.3 | |||
Biotechnology | 1.3 | |||
Building Materials | 1.0 | |||
Chemicals | 0.2 | |||
Currency Options | 0.0 | (1) | ||
Commercial Services | 1.3 | |||
Computers | 0.8 | |||
Cosmetics/Personal Care | 1.0 | |||
Diversified Financial Services | 1.0 | |||
Electric | 2.4 | |||
Electronics | 1.7 | |||
Energy-Alternate Sources | 0.2 | |||
Engineering & Construction | 2.3 | |||
Food | 1.7 | |||
Foreign Government Bonds | 22.1 | |||
Healthcare-Products | 1.0 | |||
Healthcare-Services | 1.7 | |||
Holding Companies — Diversified | 0.1 | |||
Insurance | 2.1 | |||
Internet | 8.7 | |||
Iron & Steel | 1.0 | |||
Leisure Time | 0.7 | |||
Lodging | 2.8 | |||
Media | 0.2 | |||
Mining | 1.6 | |||
Oil & Gas | 7.5 | |||
Oil & Gas Services | 1.1 | |||
Pharmaceuticals | 2.3 | |||
Pipelines | 0.3 | |||
Real Estate | 0.9 | |||
Retail | 4.0 | |||
Semiconductors | 2.8 | |||
Software | 1.4 | |||
Telecommunications | 3.5 | |||
Transportation | 0.4 | |||
Money Market Investments | 2.7 | |||
|
| |||
Total | 98.8 | % | ||
|
|
(1) | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
31
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Country (Unaudited)
Country | Percentage of Net Assets | |||
Angola | 0.2 | % | ||
Argentina | 2.9 | |||
Azerbaijan | 0.3 | |||
Bahrain | 0.7 | |||
Brazil | 7.3 | |||
Chile | 0.2 | |||
China | 24.5 | |||
Colombia | 1.5 | |||
Costa Rica | 0.4 | |||
Dominican Republic | 1.0 | |||
Ecuador | 0.3 | |||
Egypt | 2.6 | |||
El Salvador | 0.2 | |||
Germany | 1.3 | |||
Ghana | 0.4 | |||
Greece | 0.4 | |||
Honduras | 0.2 | |||
Hungary | 0.4 | |||
India | 4.7 | |||
Indonesia | 2.9 | |||
Iraq | 0.4 | |||
Ivory Coast | 0.5 | |||
Jamaica | 0.2 | |||
Kazakhstan | 2.1 | |||
Kenya | 0.6 | |||
Lebanon | 0.7 | |||
Luxembourg | 0.1 | |||
Mexico | 3.2 | |||
Mongolia | 0.4 | |||
Nigeria | 1.0 | |||
Oman | 0.8 | |||
Panama | 0.6 | |||
Paraguay | 0.2 | |||
Peru | 0.9 | |||
Poland | 1.3 | |||
Qatar | 0.5 | |||
Romania | 0.1 | |||
Russia | 4.8 | |||
Saudi Arabia | 1.1 | |||
South Africa | 3.9 | |||
South Korea | 4.4 | |||
Sri Lanka | 0.8 | |||
Switzerland | 0.2 | |||
Taiwan | 4.3 | |||
Thailand | 0.7 | |||
Turkey | 3.2 | |||
Ukraine | 1.3 | |||
United Arab Emirates | 1.7 | |||
United States | 5.2 | |||
Uruguay | 0.1 | |||
Venezuela | 0.5 | |||
Zambia | 0.6 | |||
|
| |||
Total | 98.8 | % | ||
|
|
See accompanying notes to financial statements.
32
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | — | $ | 206,530 | $ | — | $ | 206,530 | ||||||||
Auto Parts & Equipment | — | 196,500 | — | 196,500 | ||||||||||||
Banks | — | 2,124,646 | — | 2,124,646 | ||||||||||||
Building Materials | — | 189,250 | — | 189,250 | ||||||||||||
Chemicals | — | 192,064 | — | 192,064 | ||||||||||||
Commercial Services | — | 407,405 | — | 407,405 | ||||||||||||
Diversified Financial Services | — | 195,250 | — | 195,250 | ||||||||||||
Electric | — | 1,976,240 | — | 1,976,240 | ||||||||||||
Energy-Alternate Sources | — | 196,120 | — | 196,120 | ||||||||||||
Engineering & Construction | — | 200,250 | — | 200,250 | ||||||||||||
Food | — | 376,600 | — | 376,600 | ||||||||||||
Foreign Government Bonds | — | 23,375,648 | — | 23,375,648 | ||||||||||||
Holding Companies — Diversified | — | 151,313 | — | 151,313 | ||||||||||||
Iron & Steel | — | 489,517 | — | 489,517 | ||||||||||||
Media | — | 202,000 | — | 202,000 | ||||||||||||
Mining | — | 911,768 | — | 911,768 | ||||||||||||
Oil & Gas Services | — | 193,625 | — | 193,625 | ||||||||||||
Oil & Gas | — | 4,156,913 | — | 4,156,913 | ||||||||||||
Pipelines | — | 399,500 | — | 399,500 | ||||||||||||
Real Estate | — | 174,260 | — | 174,260 | ||||||||||||
Telecommunications | — | 854,347 | — | 854,347 | ||||||||||||
Transportation | — | 396,520 | — | 396,520 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 37,566,266 | — | 37,566,266 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stock | ||||||||||||||||
Airlines | 565,568 | 857,704 | — | 1,423,272 | ||||||||||||
Auto Manufacturers | — | 1,546,151 | — | 1,546,151 | ||||||||||||
Banks | 1,443,638 | 6,354,580 | — | 7,798,218 | ||||||||||||
Beverages | — | 2,451,107 | — | 2,451,107 | ||||||||||||
Biotechnology | — | 1,374,400 | — | 1,374,400 | ||||||||||||
Building Materials | 399,658 | 427,563 | — | 827,221 | ||||||||||||
Commercial Services | 943,911 | — | — | 943,911 | ||||||||||||
Computers | — | 837,808 | — | 837,808 | ||||||||||||
Cosmetics/Personal Care | — | 1,124,930 | — | 1,124,930 | ||||||||||||
Diversified Financial Services | 287,640 | 559,455 | — | 847,095 | ||||||||||||
Electric | — | 367,100 | — | 367,100 | ||||||||||||
Electronics | — | 1,768,976 | — | 1,768,976 | ||||||||||||
Engineering & Construction | — | 2,293,347 | — | 2,293,347 | ||||||||||||
Food | — | 1,382,301 | — | 1,382,301 | ||||||||||||
Healthcare-Products | — | 1,109,833 | — | 1,109,833 | ||||||||||||
Healthcare-Services | — | 1,815,142 | — | 1,815,142 | ||||||||||||
Insurance | — | 2,257,614 | — | 2,257,614 | ||||||||||||
Internet | 4,436,584 | 4,808,965 | — | 9,245,549 | ||||||||||||
Iron & Steel | — | 610,118 | — | 610,118 | ||||||||||||
Leisure Time | 708,310 | — | — | 708,310 |
See accompanying notes to financial statements.
33
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary (Unaudited) (Continued) | April 30, 2018 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Lodging | $ | 1,579,226 | $ | 1,409,244 | $ | — | $ | 2,988,470 | ||||||||
Mining | — | 771,521 | — | 771,521 | ||||||||||||
Oil & Gas Services | — | 953,846 | — | 953,846 | ||||||||||||
Oil & Gas | 2,685,210 | 1,135,711 | — | 3,820,921 | ||||||||||||
Pharmaceuticals | — | 2,448,829 | — | 2,448,829 | ||||||||||||
Real Estate | — | 727,409 | — | 727,409 | ||||||||||||
Retail | 594,461 | 3,648,703 | — | 4,243,164 | ||||||||||||
Semiconductors | — | 2,969,168 | — | 2,969,168 | ||||||||||||
Software | 1,483,317 | — | — | 1,483,317 | ||||||||||||
Telecommunications | 793,975 | 1,573,384 | 379,784 | 2,747,143 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 15,921,498 | 47,584,909 | 379,784 | 63,886,191 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 5,906 | — | 5,906 | ||||||||||||
Money Market Investments | 2,849,098 | — | — | 2,849,098 | ||||||||||||
Short-Term Investments | — | 478,297 | — | 478,297 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 18,770,596 | 85,635,378 | 379,784 | 104,785,758 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 24,842 | — | 24,842 | ||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | 598 | — | 598 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 18,770,596 | $ | 85,660,818 | $ | 379,784 | $ | 104,811,198 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (20,745 | ) | $ | — | $ | (20,745 | ) | ||||||
Written Options | ||||||||||||||||
Foreign Currency Risk | — | — | (1) | — | — | |||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | (25,066 | ) | — | (25,066 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (45,811 | ) | $ | — | $ | (45,811 | ) | ||||||
|
|
|
|
|
|
|
|
(1) | Amount Rounds to less $1. |
See accompanying notes to financial statements.
34
Table of Contents
TCW International Small Cap Fund
Schedule of Investments (Unaudited) April 30, 2018 |
Issues | Shares | Value | ||||||
COMMON STOCK — 95.6% of Net Assets |
| |||||||
Australia — 3.2% | ||||||||
Altium, Ltd. | 4,945 | $ | 75,296 | |||||
Evolution Mining, Ltd. | 29,441 | 70,564 | ||||||
NEXTDC, Ltd. (1) | 26,383 | 135,857 | ||||||
St Barbara, Ltd. (1) | 30,525 | 97,642 | ||||||
|
| |||||||
Total Australia |
| |||||||
(Cost: $315,327) |
| 379,359 | ||||||
|
| |||||||
Austria — 4.1% | ||||||||
EVN AG | 4,624 | 94,862 | ||||||
FACC AG (1) | 4,240 | 104,125 | ||||||
S IMMO AG | 2,853 | 56,531 | ||||||
Schoeller-Bleckmann Oilfield Equipment AG (1) | 1,404 | 173,657 | ||||||
UNIQA Insurance Group AG | 4,536 | 54,343 | ||||||
|
| |||||||
Total Austria |
| |||||||
(Cost: $334,766) |
| 483,518 | ||||||
|
| |||||||
Brazil — 3.0% | ||||||||
CVC Brasil Operadora e Agencia de Viagens S.A. | 7,000 | 116,389 | ||||||
Estacio Participacoes S.A. | 8,300 | 75,915 | ||||||
Gol Linhas Aereas Inteligentes S.A. (ADR) (1) | 14,400 | 157,680 | ||||||
|
| |||||||
Total Brazil |
| |||||||
(Cost: $311,863) |
| 349,984 | ||||||
|
| |||||||
Canada — 2.4% | ||||||||
BRP, Inc. | 1,600 | 64,826 | ||||||
Tamarack Valley Energy, Ltd. (1) | 39,000 | 108,304 | ||||||
TORC Oil & Gas, Ltd. | 9,500 | 53,949 | ||||||
Vermilion Energy, Inc. | 1,800 | 60,938 | ||||||
|
| |||||||
Total Canada |
| |||||||
(Cost: $243,642) |
| 288,017 | ||||||
|
| |||||||
China — 9.8% | ||||||||
3SBio, Inc. (1) | 53,000 | 113,885 | ||||||
Baozun, Inc. (SP ADR) (1) | 1,400 | 64,386 | ||||||
China Animal Healthcare, Ltd. (1)(2) | 338,522 | — | ||||||
CIFI Holdings Group Co., Ltd. | 113,499 | 89,379 | ||||||
HKBN, Ltd. | 47,500 | 66,575 | ||||||
KWG Property Holding, Ltd. | 52,500 | 70,723 | ||||||
Melco International Developement, Ltd. | 63,000 | 233,259 | ||||||
Microport Scientific Corp. | 94,000 | 109,470 | ||||||
Sichuan Swellfun Co., Ltd. | 17,500 | 110,085 | ||||||
West China Cement, Ltd. (1) | 292,000 | 59,228 | ||||||
Wuxi Biologics, Inc. (1) | 13,500 | 122,464 | ||||||
Xiabuxiabu Catering Management China Holdings Co., Ltd. | 66,000 | 113,320 | ||||||
|
| |||||||
Total China |
| |||||||
(Cost: $1,283,814) |
| 1,152,774 | ||||||
|
|
Issues | Shares | Value | ||||||
Denmark — 3.5% | ||||||||
Ambu A/S | 7,230 | $ | 167,755 | |||||
Royal Unibrew A/S | 1,320 | 87,441 | ||||||
Scandinavian Tobacco Group A/S | 2,955 | 49,452 | ||||||
Topdanmark A/S (1) | 2,210 | 103,987 | ||||||
|
| |||||||
Total Denmark |
| |||||||
(Cost: $350,580) |
| 408,635 | ||||||
|
| |||||||
Egypt — 2.1% | ||||||||
Citadel Capital SAE (1) | 213,650 | 32,374 | ||||||
Credit Agricole Egypt SAE | 10,625 | 27,408 | ||||||
Ezz Steel (1) | 37,682 | 63,449 | ||||||
Six of October Development & Investment (1) | 39,925 | 60,301 | ||||||
Telecom Egypt Co. | 70,000 | 64,330 | ||||||
|
| |||||||
Total Egypt |
| |||||||
(Cost: $241,414) |
| 247,862 | ||||||
|
| |||||||
France — 2.6% | ||||||||
Devoteam S.A. | 290 | 30,973 | ||||||
Eramet (1) | 626 | 109,014 | ||||||
Synergie SA | 465 | 28,470 | ||||||
Trigano S.A. | 400 | 75,416 | ||||||
Ubisoft Entertainment S.A. (1) | 637 | 60,894 | ||||||
|
| |||||||
Total France |
| |||||||
(Cost: $188,983) |
| 304,767 | ||||||
|
| |||||||
Germany — 3.1% | ||||||||
Nemetschek SE | 250 | 29,974 | ||||||
Siltronic AG (1) | 595 | 95,322 | ||||||
STRATEC Biomedical AG | 360 | 32,845 | ||||||
TAG Immobilien AG | 4,950 | 104,655 | ||||||
Wirecard AG | 730 | 98,819 | ||||||
|
| |||||||
Total Germany |
| |||||||
(Cost: $286,054) |
| 361,615 | ||||||
|
| |||||||
Greece — 0.9% (Cost: $89,304) | ||||||||
Public Power Corp. S.A. (1) | 33,678 | 111,159 | ||||||
|
| |||||||
India — 2.4% | ||||||||
Dilip Buildcon, Ltd. | 9,571 | 165,509 | ||||||
KNR Constructions, Ltd. | 12,438 | 60,168 | ||||||
Sadbhav Engineering, Ltd. | 10,155 | 58,183 | ||||||
|
| |||||||
Total India |
| |||||||
(Cost: $245,270) |
| 283,860 | ||||||
|
| |||||||
Indonesia — 0.5% (Cost: $61,804) | ||||||||
Ace Hardware Indonesia Tbk PT | 618,800 | 57,821 | ||||||
|
| |||||||
Ireland — 0.5% (Cost: $57,397) | ||||||||
Keywords Studios PLC | 2,526 | 63,252 | ||||||
|
| |||||||
Israel — 0.4% (Cost: $47,763) | ||||||||
Mazor Robotics, Ltd. (SP ADR) (1) | 1,000 | 53,110 | ||||||
|
|
See accompanying notes to financial statements.
35
Table of Contents
TCW International Small Cap Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
Italy — 3.4% | ||||||||
ERG SpA | 5,369 | $ | 128,694 | |||||
FinecoBank Banca Fineco SpA | 7,310 | 87,089 | ||||||
Interpump Group SpA | 1,715 | 54,507 | ||||||
Iren SpA | 25,520 | 77,573 | ||||||
Societa Cattolica di Assicurazioni SC | 4,915 | 52,356 | ||||||
|
| |||||||
Total Italy |
| |||||||
(Cost: $356,060) |
| 400,219 | ||||||
|
| |||||||
Japan — 17.4% | ||||||||
Anicom Holdings, Inc. (1) | 3,000 | 98,493 | ||||||
cocokara fine, Inc. | 1,300 | 93,932 | ||||||
Daifuku Co., Ltd. | 1,800 | 96,132 | ||||||
Fancl Corp. | 2,200 | 86,251 | ||||||
GMO Payment Gateway, Inc. | 500 | 49,433 | ||||||
Harmonic Drive Systems, Inc. | 1,300 | 61,845 | ||||||
Japan Lifeline Co., Ltd. | 2,600 | 76,095 | ||||||
Kobe Steel, Ltd. (1) | 11,900 | 122,293 | ||||||
Kyowa Exeo Corp. | 3,800 | 98,725 | ||||||
Link And Motivation, Inc. | 5,200 | 52,665 | ||||||
Mandom Corp. | 1,800 | 64,828 | ||||||
Mani, Inc. | 2,400 | 97,285 | ||||||
Mitsubishi Logisnext Co., Ltd. | 6,400 | 55,098 | ||||||
Nihon M&A Center, Inc. | 3,200 | 93,307 | ||||||
Okinawa Electric Power Co., Inc. (The) | 2,000 | 60,929 | ||||||
Open House Co., Ltd. | 1,900 | 105,675 | ||||||
Outsourcing, Inc. | 5,700 | 95,471 | ||||||
PALTAC Corp. | 2,600 | 130,012 | ||||||
PeptiDream, Inc. (1) | 1,300 | 52,472 | ||||||
Sankyu, Inc. | 1,200 | 58,266 | ||||||
Systena Corp. | 1,500 | 56,849 | ||||||
TechnoPro Holdings, Inc. | 2,000 | 116,253 | ||||||
Tocalo Co., Ltd. | 4,400 | 54,546 | ||||||
Tokai Carbon Co., Ltd. | 7,500 | 93,768 | ||||||
Toyo Tanso Co., Ltd. | 2,700 | 79,323 | ||||||
|
| |||||||
Total Japan |
| |||||||
(Cost: $1,765,659) |
| 2,049,946 | ||||||
|
| |||||||
Kazakhstan — 0.5% (Cost: $49,816) | ||||||||
KAZ Minerals PLC (1) | 4,755 | 60,108 | ||||||
|
| |||||||
Luxembourg — 0.5% (Cost: $59,733) | ||||||||
Stabilus SA | 615 | 55,313 | ||||||
|
| |||||||
Malaysia — 0.8% (Cost: $83,212) | ||||||||
George Kent Malaysia BHD | 90,700 | 90,509 | ||||||
|
| |||||||
Netherlands — 2.9% | ||||||||
ASR Nederland NV | 1,270 | 59,928 | ||||||
IMCD Group NV | 1,605 | 98,810 | ||||||
InterXion Holding NV (1) | 1,900 | 123,538 | ||||||
Wessanen | 2,950 | 59,548 | ||||||
|
| |||||||
Total Netherlands |
| |||||||
(Cost: $319,198) |
| 341,824 | ||||||
|
|
Issues | Shares | Value | ||||||
New Zealand — 0.5% (Cost: $59,900) | ||||||||
a2 Milk Co., Ltd. (1) | 6,530 | $ | 55,210 | |||||
|
| |||||||
Norway — 1.7% | ||||||||
Arcus ASA | 5,135 | 27,435 | ||||||
BW Offshore, Ltd. (1) | 12,134 | 66,190 | ||||||
Odfjell Drilling, Ltd. (1) | 12,630 | 56,185 | ||||||
Storebrand ASA | 5,500 | 47,070 | ||||||
|
| |||||||
Total Norway |
| |||||||
(Cost: $201,253) |
| 196,880 | ||||||
|
| |||||||
Poland — 1.1% (Cost: $87,770) | ||||||||
Dino Polska S.A. (1) | 4,600 | 123,942 | ||||||
|
| |||||||
Portugal — 1.8% | ||||||||
Altri SGPS SA | 8,160 | 59,025 | ||||||
Banco Comercial Portugues S.A. — Class R (1) | 462,845 | 155,016 | ||||||
|
| |||||||
Total Portugal |
| |||||||
(Cost: $198,914) |
| 214,041 | ||||||
|
| |||||||
Russia — 0.4% (Cost: $59,282) | ||||||||
Detsky Mir PJSC | 35,850 | 53,170 | ||||||
|
| |||||||
South Korea — 1.9% | ||||||||
Hana Tour Service, Inc. | 550 | 60,773 | ||||||
Kginicis Co., Ltd. | 1,370 | 29,786 | ||||||
Korea United Pharm, Inc. | 2,242 | 59,168 | ||||||
Ssangyong Cement Industrial Co., Ltd. | 2,530 | 70,709 | ||||||
|
| |||||||
Total South Korea |
| |||||||
(Cost: $217,073) |
| 220,436 | ||||||
|
| |||||||
Switzerland — 5.7% | ||||||||
GAM Holding AG (1) | 3,075 | 49,138 | ||||||
Inficon Holding AG (1) | 189 | 113,287 | ||||||
OC Oerlikon Corp. AG (1) | 3,338 | 53,949 | ||||||
Siegfried Holding AG (1) | 265 | 92,185 | ||||||
Temenos Group AG (1) | 1,929 | 242,992 | ||||||
VAT Group AG (1) | 430 | 63,487 | ||||||
Wizz Air Holdings PLC (1) | 1,300 | 57,111 | ||||||
|
| |||||||
Total Switzerland |
| |||||||
(Cost: $485,019) |
| 672,149 | ||||||
|
| |||||||
Taiwan — 4.7% | ||||||||
Accton Technology Corp. | 59,000 | 134,846 | ||||||
Globalwafers Co., Ltd. | 9,000 | 145,193 | ||||||
Holy Stone Enterprise Co., Ltd. | 13,000 | 63,208 | ||||||
TaiMed Biologics, Inc. (1) | 7,000 | 72,759 | ||||||
TCI Co., Ltd. | 4,000 | 58,686 | ||||||
Yageo Corp. | 4,000 | 83,844 | ||||||
|
| |||||||
Total Taiwan |
| |||||||
(Cost: $582,868) |
| 558,536 | ||||||
|
| |||||||
Thailand — 1.0% | ||||||||
Bangkok Chain Hospital PCL | 108,000 | 59,423 |
See accompanying notes to financial statements.
36
Table of Contents
TCW International Small Cap Fund
April 30, 2018 |
Issues | Shares | Value | ||||||
Thailand (Continued) | ||||||||
Esso Thailand PCL (NVDR) (1) | 102,800 | $ | 58,213 | |||||
|
| |||||||
Total Thailand |
| |||||||
(Cost: $121,497) |
| 117,636 | ||||||
|
| |||||||
Turkey — 0.8% (Cost: $75,733) | ||||||||
Turk Hava Yollari (1) | 23,430 | 96,706 | ||||||
|
| |||||||
United Arab Emirates — 1.3% (Cost: $46,456) | ||||||||
NMC Health PLC | 3,154 | 154,187 | ||||||
|
| |||||||
United Kingdom — 9.1% | ||||||||
Abcam PLC | 3,810 | 63,903 | ||||||
Acal PLC | 11,930 | 69,507 | ||||||
Bellway PLC | 1,215 | 55,389 | ||||||
Dechra Pharmaceuticals PLC | 1,555 | 58,434 | ||||||
Fenner PLC | 14,222 | 119,099 | ||||||
Fevertree Drinks PLC | 2,305 | 89,633 | ||||||
Man Group PLC | 48,800 | 121,259 | ||||||
Morgan Advanced Materials PLC | 12,272 | 57,977 | ||||||
Premier Oil PLC (1) | 128,849 | 167,087 | ||||||
Redrow PLC | 10,425 | 89,876 | ||||||
Softcat PLC | 3,080 | 28,945 | ||||||
SSP Group Plc | 11,040 | 98,839 | ||||||
Thomas Cook Group PLC | 29,803 | 50,641 | ||||||
|
| |||||||
Total United Kingdom |
| |||||||
(Cost: $875,270) |
| 1,070,589 | ||||||
|
| |||||||
United States — 1.6% (Cost: $133,006) | ||||||||
Burford Capital, Ltd. | 9,342 | 184,511 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $9,835,700) |
| 11,261,645 | ||||||
|
|
Issues | Shares | Value | ||||||
PREFERRED STOCK — 0.3% |
| |||||||
Germany — 0.3% | ||||||||
Sartorius AG, 0.57% | 210 | $ | 32,272 | |||||
|
| |||||||
Total Preferred Stock |
| |||||||
(Cost: $30,843) |
| 32,272 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 3.6% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 1.63% (3) | 419,882 | 419,882 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $419,882) |
| 419,882 | ||||||
|
| |||||||
Total Investments (99.5%) |
| |||||||
(Cost: $10,286,425) |
| 11,713,799 | ||||||
|
| |||||||
Excess of Other Assets over Liabilities (0.5%) |
| 58,125 | ||||||
|
| |||||||
Total Net Assets (100.0%) |
| $ | 11,771,924 | |||||
|
|
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. |
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) | For Fair Value measurement disclosure purposes, security is categorized as Level 3. |
(3) | Rate disclosed is the 7-day net yield as of April 30, 2018. |
See accompanying notes to financial statements.
37
Table of Contents
TCW International Small Cap Fund
Investments by Industry (Unaudited)
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 0.9 | % | ||
Airlines | 2.6 | |||
Banks | 2.2 | |||
Beverages | 2.7 | |||
Biotechnology | 2.5 | |||
Capital Markets | 3.3 | |||
Chemicals | 0.8 | |||
Communications Equipment | 1.2 | |||
Construction & Engineering | 3.2 | |||
Construction Materials | 1.1 | |||
Distributors | 1.1 | |||
Diversified Consumer Services | 0.7 | |||
Diversified Telecommunication Services | 1.2 | |||
Electric Utilities | 2.2 | |||
Electrical Equipment | 0.7 | |||
Electronic Equipment, Instruments & Components | 2.8 | |||
Energy Equipment & Services | 2.6 | |||
Food & Staples Retailing | 1.9 | |||
Food Products | 1.0 | |||
Health Care Equipment & Supplies | 4.1 | |||
Health Care Providers & Services | 2.5 | |||
Hotels, Restaurants & Leisure | 5.7 | |||
Household Durables | 1.3 | |||
Independent Power and Renewable Electricity Producers | 1.1 | |||
Insurance | 3.4 | |||
Internet Software & Services | 2.2 | |||
IT Services | 3.7 | |||
Leisure Products | 1.1 | |||
Life Sciences Tools & Services | 1.8 | |||
Machinery | 6.5 | |||
Metals & Mining | 4.3 | |||
Multi-Utilities | 0.7 | |||
Oil, Gas & Consumable Fuels | 3.8 | |||
Paper & Forest Products | 0.5 | |||
Personal Products | 1.8 | |||
Pharmaceuticals | 1.0 | |||
Professional Services | 3.4 | |||
Real Estate | 1.4 | |||
Real Estate Management & Development | 2.3 | |||
Road & Rail | 0.5 | |||
Semiconductors & Semiconductor Equipment | 2.0 | |||
Software | 4.0 | |||
Specialty Retail | 0.9 | |||
Tobacco | 0.4 | |||
Trading Companies & Distributors | 0.8 | |||
Money Market Investments | 3.6 | |||
|
| |||
Total | 99.5 | % | ||
|
|
See accompanying notes to financial statements.
38
Table of Contents
TCW International Small Cap Fund
Fair Valuation Summary (Unaudited) | April 30, 2018 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2018 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 | $ | — | $ | 104,125 | $ | — | $ | 104,125 | ||||||||
Airlines | 157,680 | 153,817 | — | 311,497 | ||||||||||||
Banks | 27,408 | 242,105 | — | 269,513 | ||||||||||||
Beverages | — | 314,594 | — | 314,594 | ||||||||||||
Biotechnology | — | 303,019 | — | 303,019 | ||||||||||||
Capital Markets | — | 387,283 | — | 387,283 | ||||||||||||
Chemicals | — | 93,768 | — | 93,768 | ||||||||||||
Communications Equipment | — | 134,846 | — | 134,846 | ||||||||||||
Construction & Engineering | — | 382,584 | — | 382,584 | ||||||||||||
Construction Materials | 70,709 | 59,228 | — | 129,937 | ||||||||||||
Distributors | — | 130,012 | — | 130,012 | ||||||||||||
Diversified Consumer Services | 75,915 | — | — | 75,915 | ||||||||||||
Diversified Telecommunication Services | 130,905 | — | — | 130,905 | ||||||||||||
Electric Utilities | 94,862 | 172,089 | — | 266,951 | ||||||||||||
Electrical Equipment | — | 79,323 | — | 79,323 | ||||||||||||
Electronic Equipment, Instruments & Components | 69,507 | 260,339 | — | 329,846 | ||||||||||||
Energy Equipment & Services | — | 296,033 | — | 296,033 | ||||||||||||
Food & Staples Retailing | — | 217,874 | — | 217,874 | ||||||||||||
Food Products | — | 114,758 | — | 114,758 | ||||||||||||
Health Care Equipment & Supplies | 53,110 | 407,354 | — | 460,464 | ||||||||||||
Health Care Providers & Services | — | 289,705 | — | 289,705 | ||||||||||||
Hotels, Restaurants & Leisure | 116,389 | 556,831 | — | 673,220 | ||||||||||||
Household Durables | — | 145,265 | — | 145,265 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 128,694 | — | 128,694 | ||||||||||||
Insurance | — | 416,176 | — | 416,176 | ||||||||||||
Internet Software & Services | 120,916 | 135,857 | — | 256,773 | ||||||||||||
IT Services | 217,763 | 206,983 | — | 424,746 | ||||||||||||
Leisure Products | 64,826 | 75,416 | — | 140,242 | ||||||||||||
Life Sciences Tools & Services | — | 214,649 | — | 214,649 | ||||||||||||
Machinery | 177,076 | 585,387 | — | 762,463 | ||||||||||||
Metals & Mining | — | 523,069 | — | 523,069 | ||||||||||||
Multi-Utilities | — | 77,573 | — | 77,573 | ||||||||||||
Oil, Gas & Consumable Fuels | 223,191 | 225,301 | — | 448,492 | ||||||||||||
Paper & Forest Products | — | 59,025 | — | 59,025 | ||||||||||||
Personal Products | — | 209,765 | — | 209,765 | ||||||||||||
Pharmaceuticals | — | 117,601 | — | 117,601 | ||||||||||||
Professional Services | — | 386,167 | — | 386,167 | ||||||||||||
Real Estate Management & Development | — | 265,777 | — | 265,777 | ||||||||||||
Real Estate | — | 164,956 | — | 164,956 | ||||||||||||
Road & Rail | — | 58,266 | — | 58,266 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 240,516 | — | 240,516 | ||||||||||||
Software | — | 466,005 | — | 466,005 | ||||||||||||
Specialty Retail | 110,991 | — | — | 110,991 | ||||||||||||
Tobacco | 49,452 | — | — | 49,452 | ||||||||||||
Trading Companies & Distributors | — | 98,810 | — | 98,810 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 1,760,700 | 9,500,945 | — | 11,261,645 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Health Care Equipment & Supplies | $ | — | $ | 32,272 | $ | — | $ | 32,272 | ||||||||
Money Market Investments | 419,882 | — | — | 419,882 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,180,582 | $ | 9,533,217 | $ | — | $ | 11,713,799 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
39
Table of Contents
TCW Funds, Inc.
April 30, 2018 |
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 Small Cap Fund | ||||||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||||||
ASSETS |
| |||||||||||||||||||
Investments, at Value (1) | $ | 6,285 | $ | 3,612,976 | $ | 311,690 | $ | 104,786 | $ | 11,713 | ||||||||||
Foreign Currency, at Value (2) | 1 | 1,570 | 386 | 25 | 4 | |||||||||||||||
Cash | — | — | 662 | — | — | |||||||||||||||
Receivable for Securities Sold | 278 | 69,417 | 6,296 | 3,179 | 354 | |||||||||||||||
Receivable for Fund Shares Sold | — | 6,530 | 679 | 194 | 4 | |||||||||||||||
Interest and Dividends Receivable | 4 | 45,947 | 5,324 | 580 | 25 | |||||||||||||||
Foreign Tax Reclaims Receivable | — | (3) | — | — | 3 | 5 | ||||||||||||||
Receivable from Investment Advisor | 19 | 27 | 11 | 30 | 23 | |||||||||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | 3,344 | 952 | 25 | — | |||||||||||||||
Cash Collateral Held for Brokers | — | 9,240 | 1,210 | — | — | |||||||||||||||
Open Swap Agreements, at Value | — | 90 | — | 1 | — | |||||||||||||||
Prepaid Expenses | 8 | 75 | 48 | 15 | 25 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 6,595 | 3,749,216 | 327,258 | 108,838 | 12,153 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES |
| |||||||||||||||||||
Distributions Payable | — | 2,167 | 169 | — | — | |||||||||||||||
Payable for Securities Purchased | 103 | 97,945 | — | 2,452 | 350 | |||||||||||||||
Payable for Fund Shares Redeemed | — | 4,486 | 31,444 | 15 | — | |||||||||||||||
Accrued Capital Gain Withholding Taxes | — | — | 52 | 91 | 1 | |||||||||||||||
Disbursements in Excess of Available Cash | — | 8,469 | �� | — | — | |||||||||||||||
Accrued Directors’ Fees and Expenses | 12 | 12 | 12 | 12 | 12 | |||||||||||||||
Accrued Management Fees | 5 | 2,404 | 216 | 88 | 8 | |||||||||||||||
Accrued Distribution Fees | — | (3) | 97 | 11 | 13 | 1 | ||||||||||||||
Interest Payable on Swap Agreements | — | 328 | — | 2 | — | |||||||||||||||
Options Written, at Value | — | — | (4) | — | (3)(4) | — | (4) | — | ||||||||||||
Open Swap Agreements, at Value | — | 4,173 | — | 25 | — | |||||||||||||||
Collateral Pledged by Brokers | — | 4,640 | 280 | — | — | |||||||||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | 2,655 | 1,987 | 21 | — | |||||||||||||||
Other Accrued Expenses | 32 | 710 | 67 | 55 | 9 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 152 | 128,086 | 34,238 | 2,774 | 381 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 6,443 | $ | 3,621,130 | $ | 293,020 | $ | 106,064 | $ | 11,772 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
40
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) (Continued) | April 30, 2018 |
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 Small Cap Fund | ||||||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||||||
Paid-in Capital | $ | 5,554 | $ | 4,326,505 | $ | 315,697 | $ | 98,656 | $ | 11,740 | ||||||||||
Accumulated Net Realized Loss on Investments, Options Written, Swap Contracts and Foreign Currency | (358 | ) | (673,529 | ) | (21,472 | ) | (3,184 | ) | (1,381 | ) | ||||||||||
Unrealized Appreciation (Depreciation) of Investments, Options Written, Swap Contracts and Foreign Currency | 1,254 | (49,580 | ) | 52 | 10,079 | 1,425 | ||||||||||||||
Undistributed Net Investment Income (Loss) | (7 | ) | 17,734 | (1,257 | ) | 513 | (12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 6,443 | $ | 3,621,130 | $ | 293,020 | $ | 106,064 | $ | 11,772 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||||||||||
I Class Share | $ | 4,627 | $ | 3,185,477 | $ | 242,643 | $ | 46,096 | $ | 7,995 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 1,816 | $ | 435,653 | $ | 50,377 | $ | 59,968 | $ | 3,777 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
CAPITAL SHARES OUTSTANDING: (5) |
| |||||||||||||||||||
I Class Share | 399,274 | 389,248,019 | 26,095,284 | 3,923,932 | 714,091 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | 156,771 | 41,348,176 | 5,424,287 | 5,125,106 | 336,981 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSET VALUE PER SHARE: (6) |
| |||||||||||||||||||
I Class Share | $ | 11.59 | $ | 8.18 | $ | 9.30 | $ | 11.75 | $ | 11.20 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 11.58 | $ | 10.54 | $ | 9.29 | $ | 11.70 | $ | 11.21 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Small Cap Fund at April 30, 2018 was $5,030, $3,660,981, $310,559, $94,596 and $10,286, respectively. |
(2) | The identified cost for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Small Cap Fund at April 30, 2018 was $1, $1,565, $386, $25 and $4, respectively. |
(3) | Amount rounds to less than $1. |
(4) | Premium received $289, $75, and $2 for TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, and the TCW Emerging Markets Multi-Asset Opportunities 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.
41
Table of Contents
TCW Funds, Inc.
Six Months Ended April 30, 2018 |
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 Small Cap Fund | ||||||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||
Income: | ||||||||||||||||||||
Dividends | $ | 35 | (1) | $ | — | $ | — | $ | 346 | (1) | $ | 77 | (1) | |||||||
Interest | — | 113,342 | (2) | 10,671 | (2) | 949 | (2) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 35 | 113,342 | 10,671 | 1,295 | 77 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: | ||||||||||||||||||||
Management Fees | 26 | 13,581 | 1,103 | 460 | 42 | |||||||||||||||
Accounting Services Fees | 1 | 161 | 4 | 1 | 1 | |||||||||||||||
Administration Fees | — | (3) | 101 | 3 | 1 | — | (3) | |||||||||||||
Transfer Agent Fees: | ||||||||||||||||||||
I Class | 3 | 1,034 | 46 | 6 | 4 | |||||||||||||||
N Class | 3 | 248 | 21 | 24 | 3 | |||||||||||||||
Custodian Fees | 36 | 216 | 104 | 107 | 33 | |||||||||||||||
Professional Fees | 10 | 51 | 20 | 19 | 22 | |||||||||||||||
Directors’ Fees and Expenses | 24 | 24 | 24 | 24 | 24 | |||||||||||||||
Registration Fees: | ||||||||||||||||||||
I Class | 11 | 36 | 10 | 9 | 8 | |||||||||||||||
N Class | 11 | 22 | 12 | 11 | 8 | |||||||||||||||
Distribution Fees: | ||||||||||||||||||||
N Class | 2 | 578 | 52 | 65 | 5 | |||||||||||||||
Shareholder Reporting Expense | 1 | 7 | 2 | 1 | 1 | |||||||||||||||
Other | 5 | 265 | 11 | 7 | 5 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 133 | 16,324 | 1,412 | 735 | 156 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||||||
I Class | 59 | — | — | 26 | 43 | |||||||||||||||
N Class | 34 | 131 | 59 | 113 | 32 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 40 | 16,193 | 1,353 | 596 | 81 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | (5 | ) | 97,149 | 9,318 | 699 | (4 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Investments | 425 | (22,170 | ) | 971 | (4) | 1,344 | (4) | 599 | ||||||||||||
Foreign Currency | (7 | ) | (1,486 | ) | (499 | ) | (73 | ) | (10 | ) | ||||||||||
Foreign Currency Forward Contracts | — | (84 | ) | 3,282 | 9 | 1 | ||||||||||||||
Options Written | — | 1,267 | 79 | 10 | — | |||||||||||||||
Swap Agreements | — | (1,414 | ) | — | (8 | ) | — | |||||||||||||
Change in Unrealized (Depreciation) on: | ||||||||||||||||||||
Investments | (155 | ) | (132,609 | ) | (249 | ) (5) | (288 | ) (5) | 59 | (5) | ||||||||||
Foreign Currency | (1 | ) | 150 | 8 | (7 | ) | — | (3) | ||||||||||||
Foreign Currency Forward Contracts | — | 2,380 | (941 | ) | 10 | — | ||||||||||||||
Options Written | — | 278 | 76 | 2 | — | |||||||||||||||
Swap Agreements | — | (1,950 | ) | — | (13 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | 262 | (155,638 | ) | 2,727 | 986 | 649 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 257 | $ | (58,489 | ) | $ | 12,045 | $ | 1,685 | $ | 645 | |||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $5, $48 and $11 for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Small Cap Fund, respectively. |
(2) | Net of foreign taxes withheld of $819, $563 and $7 for the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund. |
(3) | Amount rounds to less than $1. |
(4) | Net of capital gain withholding taxes of $116 and $0 for the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
(5) | Net of capital gain withholding tax of $52, $91 and $1 for the TCW Emerging Markets Local Currency Income Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Small Cap Fund, respectively. |
See accompanying notes to financial statements.
42
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TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | |||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income (Loss) | $ | (5 | ) | $ | 40 | $ | 97,149 | $ | 219,406 | |||||||
Net Realized Gain (Loss) on Investments, Options Written, Swap Contracts and Foreign Currency Transactions | 418 | 286 | (23,887 | ) | 28,426 | |||||||||||
Change in Unrealized Appreciation on Investments, Options Written and Foreign Currency Transactions | (156 | ) | 861 | (131,751 | ) | 11,213 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 257 | 1,187 | (58,489 | ) | 259,045 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (23 | ) | (34 | ) | (88,168 | ) | (149,103 | ) | ||||||||
N Class | (9 | ) | (13 | ) | (12,271 | ) | (27,875 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (32 | ) | (47 | ) | (100,439 | ) | (176,978 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 28 | 34 | 285,210 | 395,462 | ||||||||||||
N Class | 35 | 40 | (55,700 | ) | (35,930 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Net Capital Shares Transactions | 63 | 74 | 229,510 | 359,532 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets | 288 | 1,214 | 70,582 | 441,599 | ||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Period | 6,155 | 4,941 | 3,550,548 | 3,108,949 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 6,443 | $ | 6,155 | $ | 3,621,130 | $ | 3,550,548 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | (7 | ) | $ | 30 | $ | 17,734 | $ | 21,024 |
See accompanying notes to financial statements.
43
Table of Contents
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, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 9,318 | $ | 9,446 | $ | 699 | $ | 1,617 | ||||||||
Net Realized Gain on Investments, Options Written, Swap Contracts and Foreign Currency Transactions | 3,833 | 3,996 | 1,282 | 848 | ||||||||||||
Change in Unrealized Appreciation on Investments, Options Written and Foreign Currency Transactions | (1,106 | ) | (5,753 | ) | (296 | ) | 6,925 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 12,045 | 7,689 | 1,685 | 9,390 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (11,945 | ) | (5,678 | ) | (955 | ) | (1,353 | ) | ||||||||
N Class | (1,916 | ) | (1,177 | ) | (1,061 | ) | (56 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (13,861 | ) | (6,855 | ) | (2,016 | ) | (1,409 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 105,831 | 39,045 | 4,021 | 73 | ||||||||||||
N Class | 16,130 | 20,021 | 20,269 | 31,790 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Net Capital Shares Transactions | 121,961 | 59,066 | 24,290 | 31,863 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets | 120,145 | 59,900 | 23,959 | 39,844 | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Period | 172,875 | 112,975 | 82,105 | 42,261 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Period | $ | 293,020 | $ | 172,875 | $ | 106,064 | $ | 82,105 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | (1,257 | ) | $ | 3,286 | $ | 513 | $ | 1,830 |
See accompanying notes to financial statements.
44
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW International Small Cap Fund | ||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||
OPERATIONS |
| |||||||
Net Investment Income (Loss) | $ | (4 | ) | $ | 36 | |||
Net Realized Gain on Investments and Foreign Currency Transactions | 590 | 1,520 | ||||||
Change in Unrealized Appreciation on Investments | 59 | 724 | ||||||
|
|
|
| |||||
Increase in Net Assets Resulting from Operations | 645 | 2,280 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||
Distributions from Net Investment Income: | ||||||||
I Class | — | (18 | ) | |||||
N Class | — | (11 | ) | |||||
|
|
|
| |||||
Total Distributions to Shareholders | — | (29 | ) | |||||
|
|
|
| |||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||
I Class | 1,230 | (793 | ) | |||||
N Class | (42 | ) | (346 | ) | ||||
|
|
|
| |||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 1,188 | (1,139 | ) | |||||
|
|
|
| |||||
Increase in Net Assets | 1,833 | 1,112 | ||||||
NET ASSETS |
| |||||||
Beginning of Period | 9,939 | 8,827 | ||||||
|
|
|
| |||||
End of Period | $ | 11,772 | $ | 9,939 | ||||
|
|
|
| |||||
Undistributed Net Investment Loss | $ | (12 | ) | $ | (8 | ) |
See accompanying notes to financial statements.
45
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited)
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), that currently offers 20 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 5 International Funds that are covered in this report:
TCW Fund | Investment Objective | |
Diversified Fixed Income Fund | ||
TCW Emerging Markets Income Fund | Seeks high total return from current income and capital appreciation by investing at least 80% of the value of its net assets in debt securities issued or guaranteed by companies, financial institutions and government entities in emerging market countries. | |
Non-Diversified Fixed Income Fund | ||
TCW Emerging Markets Local Currency Income Fund | Seeks to provide high total return from current income and capital appreciation by investing at least 80% of the value of its net assets in debt securities issued or guaranteed by companies and government entities in emerging market countries denominated in the local currencies of the issuer and in derivative instruments that provide investment exposure to such securities. | |
Diversified International Equity Fund | ||
TCW International Small Cap Fund | Seeks long-term capital appreciation by investing at least 80% of its net assets in equity securities of small capitalization companies that are generally outside the United States or whose primary business operations are outside the United States. | |
Non-Diversified International Equity Fund | ||
TCW 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. | |
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).
46
Table of Contents
TCW Funds, Inc.
April 30, 2018 |
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 zones differences. 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 in circumstances under which it is determined by the Advisor that prices received are not reflective of their market values, are valued by the Advisor’s Pricing Committee in accordance with the guidelines established by the Valuation Committee of the Company’s Board of Directors (“Board”) and under the general oversight 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 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 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.
47
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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.
Fair Value Measurements: Descriptions of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis are 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.
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.
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 categorized in Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair
48
Table of Contents
TCW Funds, Inc.
April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Certain foreign securities that are fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets are categorized in Level 2 of the fair value hierarchy.
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 categorized 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, 2018 is listed after the Schedule 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 | $ | 185,901 | $ | 43,618 | ||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 1,519,751 | 388,924 | ||||||
TCW International Small Cap Fund | 558,808 | 0 |
* | The Funds recognized transfers between the Levels as of the beginning of the period. |
The transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended April 30, 2018 were due to changes in valuation to/from the exchange closing price from/to the fair value price.
49
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
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 Developing Markets Equity Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||
Balance as of October 31, 2017 | $ | — | $ | — | ||||
Accrued Discounts (Premiums) | — | — | ||||||
Realized Gain (Loss) | — | — | ||||||
Change in Unrealized Appreciation | (8,414 | ) | (144,543 | ) | ||||
Purchases | — | 187,331 | ||||||
Sales | — | — | ||||||
Transfers in to Level 3 (1) | 33,352 | (2) | 336,996 | (2) | ||||
Transfers out of Level 3 (1) | — | — | ||||||
|
|
|
| |||||
Balance as of April 30, 2018 | $ | 24,938 | $ | 379,784 | ||||
|
|
|
| |||||
Change in Unrealized Appreciation from Investments Still Held at April 30, 2018 | $ | (8,414 | ) | $ | (144,543 | ) | ||
|
|
|
|
(1) | The Funds recognized transfers in and out at the beginning of the period. |
(2) | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
Significant unobservable valuations inputs for Level 3 investments as of April 30, 2018 are as follows:
Description | Fair Value at 4/30/2018 | Valuation Techniques | Unobservable Input | Discount | Price | |||||||||
TCW Developing Markets Equity Fund | ||||||||||||||
Common Stock | $ | 24,938 | Internal Model | Discount Applied | 20% | HKD 20.39 | ||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||
Common Stock | $ | 379,784 | Internal Model | Discount Applied | 20% | HKD 20.39 | ||||||||
TCW International Small Cap Fund | ||||||||||||||
Common Stock | $ | 0 | Internal Model | Discount Applied | 100% | $0 |
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
50
Table of Contents
TCW Funds, Inc.
April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Funds may not be able to close out a derivative transaction at a favorable time or price.
For period ended April 30, 2018, the following Funds had derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Notional Amounts or Number of Contracts):
TCW Emerging Markets Income Fund
Credit Risk | Foreign Currency Risk | Total | ||||||||||
Statement of Asset and Liabilities: | ||||||||||||
Asset Derivatives |
| |||||||||||
Investments (1) | $ | — | $ | 685 | $ | 685 | ||||||
Swaps Contracts | 90 | — | 90 | |||||||||
Forward Contracts | — | 3,344 | 3,344 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 90 | $ | 4,029 | $ | 4,119 | ||||||
|
|
|
|
|
| |||||||
Liability Derivatives |
| |||||||||||
Forward Contracts | $ | — | $ | (2,655 | ) | $ | (2,655 | ) | ||||
Written Options | — | — | (4) | — | (4) | |||||||
Swaps Contracts | (4,173 | ) | — | (4,173 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (4,173 | ) | $ | (2,655 | ) | $ | (6,828 | ) | |||
|
|
|
|
|
| |||||||
Statement of Operations: |
| |||||||||||
Realized Gain (Loss) |
| |||||||||||
Forward Contracts | $ | — | $ | (84 | ) | $ | (84 | ) | ||||
Investments (2) | — | (1,359 | ) | (1,359 | ) | |||||||
Options Written | — | 1,267 | 1,267 | |||||||||
Swaps Contracts | (1,414 | ) | — | (1,414 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (1,414 | ) | $ | (176 | ) | $ | (1,590 | ) | |||
|
|
|
|
|
| |||||||
Change in Appreciation (Depreciation) |
| |||||||||||
Forward Contracts | $ | — | $ | 2,380 | $ | 2,380 | ||||||
Investments (3) | — | (1,536 | ) | (1,536 | ) | |||||||
Options Written | — | 278 | 278 | |||||||||
Swaps Contracts | (1,950 | ) | — | (1,950 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | (1,950 | ) | $ | 1,122 | $ | (828 | ) | ||||
|
|
|
|
|
| |||||||
Notional Amounts (5) |
| |||||||||||
Forward Currency Contracts | $ | — | $ | 264,129,361 | $ | 264,129,361 | ||||||
Options Purchased | $ | — | $ | 131,987,519 | $ | 131,987,519 | ||||||
Options Written | $ | — | $ | 62,603,185 | $ | 62,603,185 | ||||||
Swaps Contracts | $ | 281,280,000 | $ | — | $ | 281,280,000 |
51
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Local Currency Income Fund
Foreign Currency Risk | Total | |||||||
Statement of Asset and Liabilities: | ||||||||
Asset Derivatives |
| |||||||
Investments (1) | $ | 99 | $ | 99 | ||||
Forward Contracts | 952 | 952 | ||||||
|
|
|
| |||||
Total Value | $ | 1,051 | $ | 1,051 | ||||
|
|
|
| |||||
Liability Derivatives |
| |||||||
Forward Contracts | $ | (1,987 | ) | $ | (1,987 | ) | ||
Written Options | — | (4) | — | |||||
|
|
|
| |||||
Total Value | $ | (1,987 | ) | $ | (1,987 | ) | ||
|
|
|
| |||||
Statement of Operations: |
| |||||||
Realized Gain (Loss) |
| |||||||
Forward Contracts | $ | 3,282 | $ | 3,282 | ||||
Investments (2) | (303 | ) | (303 | ) | ||||
Options Written | 79 | 79 | ||||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | 3,058 | $ | 3,058 | ||||
|
|
|
| |||||
Change in Appreciation (Depreciation) |
| |||||||
Forward Contracts | $ | (941 | ) | $ | (941 | ) | ||
Investments (3) | (315 | ) | (315 | ) | ||||
Options Written | 76 | 76 | ||||||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | (1,180 | ) | $ | (1,180 | ) | ||
|
|
|
| |||||
Notional Amounts (5) |
| |||||||
Forward Currency Contracts | $ | 123,182,920 | $ | 123,182,920 | ||||
Options Purchased | $ | 16,525,000 | $ | 16,525,000 | ||||
Options Written | $ | 10,055,333 | $ | 10,055,333 |
TCW Emerging Markets Multi-Asset Opportunities Fund
Credit Risk | Foreign Currency Risk | Total | ||||||||||
Statement of Asset and Liabilities: | ||||||||||||
Asset Derivatives |
| |||||||||||
Investments (1) | $ | — | $ | 6 | $ | 6 | ||||||
Swaps Contracts | 1 | — | 1 | |||||||||
Forward Contracts | — | 25 | 25 | |||||||||
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|
|
|
| |||||||
Total Value | $ | 1 | $ | 31 | $ | 32 | ||||||
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|
|
|
| |||||||
Liability Derivatives |
| |||||||||||
Forward Contracts | $ | — | $ | (21 | ) | $ | (21 | ) | ||||
Written Options | — | — | (4) | — | ||||||||
Swaps Contracts | (25 | ) | — | (25 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (25 | ) | $ | (21 | ) | $ | (46 | ) | |||
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|
| |||||||
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Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Multi-Asset Opportunities Fund (Continued)
Credit Risk | Foreign Currency Risk | Total | ||||||||||
Statement of Operations: |
| |||||||||||
Realized Gain (Loss) |
| |||||||||||
Forward Contracts | $ | — | $ | 9 | $ | 9 | ||||||
Investments (2) | — | (10 | ) | (10 | ) | |||||||
Options Written | — | 10 | 10 | |||||||||
Swaps Contracts | (8 | ) | — | (8 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (8 | ) | $ | 9 | $ | 1 | |||||
|
|
|
|
|
| |||||||
Change in Appreciation (Depreciation) |
| |||||||||||
Forward Contracts | $ | — | $ | 10 | $ | 10 | ||||||
Investments (3) | — | (12 | ) | (12 | ) | |||||||
Options Written | — | 2 | 2 | |||||||||
Swaps Contracts | (13 | ) | — | (13 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | (13 | ) | $ | — | $ | (13 | ) | ||||
|
|
|
|
|
| |||||||
Notional Amounts (5) |
| |||||||||||
Forward Currency Contracts | $ | — | $ | 1,946,112 | $ | 1,946,112 | ||||||
Options Purchased | $ | — | $ | 1,025,167 | $ | 1,025,167 | ||||||
Options Written | $ | — | $ | 480,833 | $ | 480,833 | ||||||
Swaps Contracts | $ | 1,750,000 | $ | — | $ | 1,750,000 |
(1) | Represents purchased options, at value. |
(2) | Represents realized gain (loss) for purchased options. |
(3) | Represents change in unrealized appreciation (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, 2018. |
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 Agreement”) or similar agreement with their derivative contract
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Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or fail to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral pledged or received by a Fund.
Cash collateral that has been pledged to cover obligations of a Fund is reported separately on the Statement of Assets and Liabilities. Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold, typically $250,000 or $500,000, before a transfer is required, which is determined at the close of each business day and the collateral is transferred on the next business day. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that Advisor believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to FASB ASU No. 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, 2018 (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) | $ | 1,773 | $ | (1,556 | ) | $ | 217 | $ | (217 | ) (2) | $ | — | ||||||||
Barclays (Derivatives) | 54 | (451 | ) | (397 | ) | 300 | (97 | ) | ||||||||||||
BNP Paribas S.A. (Derivatives) | 365 | (845 | ) | (480 | ) | 480 | (2) | — | ||||||||||||
Citibank N.A. (Derivatives) | 1,470 | (3,569 | ) | (2,099 | ) | 2,099 | (2) | — | ||||||||||||
Deutsche Bank AG (Derivatives) | — | (407 | ) | (407 | ) | 407 | (2) | — | ||||||||||||
Goldman Sachs & Co. (Derivatives) | 457 | — | 457 | (457 | ) (2) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 4,119 | $ | (6,828 | ) | $ | (2,709 | ) | $ | 2,612 | $ | (97 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(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 Funds, Inc.
April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
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) | $ | 474 | $ | (112 | ) | $ | 362 | $ | (280 | ) | $ | 82 | ||||||||
Barclays Capital (Derivatives) | 9 | (195 | ) | (186 | ) | — | (186 | ) | ||||||||||||
BNP Paribas S.A. (Derivatives) | 122 | (219 | ) | (97 | ) | — | (97 | ) | ||||||||||||
Citibank (Derivatives) | 24 | — | 24 | — | 24 | |||||||||||||||
Goldman Sachs & Co. (Derivatives) | 407 | (1,453 | ) | (1,046 | ) | 930 | (116 | ) | ||||||||||||
Standard Chartered PLC (Derivatives) | 15 | (9 | ) | 6 | — | 6 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,051 | $ | (1,988 | ) | $ | (937 | ) | $ | 650 | $ | (287 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(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) | $ | 21 | $ | (12 | ) | $ | 9 | $ | — | $ | 9 | |||||||||
Barclays Capital (Derivatives) | — | (3 | ) | (3 | ) | — | (3 | ) | ||||||||||||
BNP Paribas S.A. (Derivatives) | 3 | (7 | ) | (4 | ) | — | (4 | ) | ||||||||||||
Citibank N.A. (Derivatives) | 3 | (22 | ) | (19 | ) | — | (19 | ) | ||||||||||||
Deutsche Bank AG (Derivatives) | — | (2 | ) | (2 | ) | — | (2 | ) | ||||||||||||
Goldman Sachs & Co. (Derivatives) | 5 | — | 5 | — | 5 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 32 | $ | (46 | ) | $ | (14 | ) | $ | — | $ | (14 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
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, 2018 are disclosed in the Schedule 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
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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. There are no futures contracts outstanding at April 30, 2018 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.
Purchasing foreign currency options gives a Fund the right, but not the obligation to buy or sell specified amounts of currency at a rate of exchange that may be exercised by a certain date. These currency options may be used as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies.
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. Premiums paid for purchasing options that expired 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 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, 2018, the TCW Emerging Markets Income Fund, TCW Emerging Markets Local Currency Income Fund, and TCW Emerging Markets Multi-Asset Opportunities Fund had options to hedge the currency exposure of the Funds.
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Table of Contents
TCW Funds, Inc.
April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
Swap Agreements. The Funds may enter into swap agreements. Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
A Fund may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).
A Fund may enter into enter into an interest rate swap agreement. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Fund’s maximum risk of loss due to counterparty default is the discounted 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
57
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
the swap is written. When a Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on each 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. At April 30, 2018, the TCW Emerging Markets Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund held credit default swaps listed on the Schedules of Investments to limit certain credit exposure within each Fund.
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 condition. 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 set aside liquid assets to cover the commitment. 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,
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Table of Contents
TCW Funds, Inc.
April 30, 2018 |
Note 2 — Significant Accounting Policies (Continued)
each Fund receives securities as collateral with a market value in excess of the repurchase price. 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, 2018.
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 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. None of the Funds held participation notes as of April 30, 2018.
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, 2018.
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 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 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. 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, derivatives, 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 fiscal year.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Note 3 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of 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 achieve their objective through the use of the derivatives.
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.
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TCW Funds, Inc.
April 30, 2018 |
Note 4 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At April 30, 2018, 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 | $ | 1,377 | $ | (133 | ) | $ | 1,244 | $ | 5,041 | |||||||
TCW Emerging Markets Income Fund | 52,799 | (95,077 | ) | (42,278 | ) | 3,558,072 | ||||||||||
TCW Emerging Markets Income Local Currency Income Fund | 3,076 | (7,813 | ) | (4,737 | ) | 358,776 | ||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 12,344 | (2,239 | ) | 10,105 | 93,937 | |||||||||||
TCW International Small Cap Fund | 1,903 | (483 | ) | 1,420 | 10,294 |
At October 31, 2017 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 | $ | 32 | $ | — | $ | 32 | ||||||
TCW Emerging Markets Income Fund | 36,407 | — | 36,407 | |||||||||
TCW Emerging Markets Local Currency Income Fund | 6,568 | — | 6,568 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 1,841 | — | 1,841 |
During the year ended October 31, 2017, 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 | $ | 47 | $ | — | $ | 47 | ||||||
TCW Emerging Markets Income Fund | 176,978 | — | 176,978 | |||||||||
TCW Emerging Markets Local Currency Income Fund | 6,855 | — | 6,855 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 1,409 | — | 1,409 | |||||||||
TCW International Small Cap Fund | 29 | — | 29 |
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 | $ | 772 | $ | — | $ | 772 | ||||||
TCW Emerging Markets Income Fund | 360,475 | 292,676 | 653,151 | |||||||||
TCW Emerging Markets Income Local Currency Income Fund | 12,501 | 9,448 | 21,949 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 4,366 | — | 4,366 | |||||||||
TCW International Small Cap Fund | 1,969 | — | 1,969 |
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 4 — Federal Income Taxes (Continued)
The Funds did not have any unrecognized tax benefits at April 30, 2018, nor were there any increases or decreases in unrecognized tax benefits for the six months ended April 30, 2018. The Funds are subject to examination by the U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
Note 5 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net assets:
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 Small Cap Fund | 0.75 | % |
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 Developing Markets Equity Fund | ||||
I Class | 1.25 | % (1) | ||
N Class | 1.25 | % (1) | ||
TCW Emerging Markets Income Fund | ||||
I Class | 1.09 | % (2) | ||
N Class | 1.09 | % (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 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, 2018. 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 is 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 LLC (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
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TCW Funds, Inc.
April 30, 2018 |
Note 7 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the period ended April 30, 2018 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 | $ | 3,992 | $ | 4,371 | $ | — | $ | — | ||||||||
TCW Emerging Markets Income Fund | 3,033,816 | 2,886,642 | — | — | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | 372,104 | 276,324 | — | — | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 88,034 | 68,428 | — | — | ||||||||||||
TCW International Small Cap Fund | 10,220 | 9,137 | — | — |
Note 8 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Developing Markets Equity Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 396 | $ | 5 | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,988 | 23 | 3,894 | 34 | ||||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,384 | $ | 28 | 3,894 | $ | 34 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 30,914 | $ | 371 | 2,879 | $ | 27 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 772 | 9 | 1,486 | 13 | ||||||||||||
Shares Redeemed | (29,075 | ) | (345 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,611 | $ | 35 | 4,365 | $ | 40 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Income Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 74,483,806 | $ | 630,423 | 132,574,376 | $ | 1,110,081 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 10,058,230 | 85,021 | 14,432,022 | 120,623 | ||||||||||||
Shares Redeemed | (51,080,844 | ) | (430,234 | ) | (99,861,578 | ) | (835,242 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 33,461,192 | $ | 285,210 | 47,144,820 | $ | 395,462 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 4,814,878 | $ | 52,500 | 17,285,880 | $ | 186,830 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,301,894 | 14,174 | 2,532,993 | 27,257 | ||||||||||||
Shares Redeemed | (11,214,669 | ) | (122,374 | ) | (23,070,902 | ) | (250,017 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (5,097,897 | ) | $ | (55,700 | ) | (3,252,029 | ) | $ | (35,930 | ) | ||||||
|
|
|
|
|
|
|
|
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 8 — Capital Share Transactions (Continued)
TCW Emerging Markets Local Currency Income Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 14,955,598 | $ | 140,594 | 6,308,760 | $ | 58,940 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,249,017 | 11,867 | 434,870 | 4,159 | ||||||||||||
Shares Redeemed | (4,956,518 | ) | (46,630 | ) | (2,597,777 | ) | (24,054 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 11,248,097 | $ | 105,831 | 4,145,853 | $ | 39,045 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,255,657 | $ | 21,665 | 3,259,146 | $ | 30,879 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 229,003 | 2,170 | 93,844 | 899 | ||||||||||||
Shares Redeemed | (806,320 | ) | (7,705 | ) | (1,287,565 | ) | (11,757 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,678,340 | $ | 16,130 | 2,065,425 | $ | 20,021 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 315,225 | $ | 3,829 | 194,195 | $ | 2,080 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 80,386 | 954 | 133,708 | 1,281 | ||||||||||||
Shares Redeemed | (63,736 | ) | (762 | ) | (314,370 | ) | (3,288 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 331,875 | $ | 4,021 | 13,533 | $ | 73 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,854,973 | $ | 22,297 | 3,761,005 | $ | 40,095 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 89,753 | 1,061 | 5,841 | 56 | ||||||||||||
Shares Redeemed | (256,096 | ) | (3,089 | ) | (822,023 | ) | (8,361 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,688,630 | $ | 20,269 | 2,944,823 | $ | 31,790 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW International Small Cap Fund | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 124,375 | $ | 1,387 | 21,677 | $ | 187 | ||||||||||
Shares Issued upon Reinvestment of Dividends | — | — | 2,311 | 18 | ||||||||||||
Shares Redeemed | (14,064 | ) | (157 | ) | (116,317 | ) | (998 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 110,311 | $ | 1,230 | (92,329 | ) | $ | (793 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 13,737 | $ | 157 | 215,808 | $ | 1,964 | ||||||||||
Shares Issued upon Reinvestment of Dividends | — | — | 1,363 | 11 | ||||||||||||
Shares Redeemed | (17,630 | ) | (199 | ) | (260,862 | ) | (2,321 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (3,893 | ) | $ | (42 | ) | (43,691 | ) | $ | (346 | ) | ||||||
|
|
|
|
|
|
|
|
Note 9 — Affiliate Ownership
As of April 30, 2018, affiliates of the Funds and Advisor owned 99.08% and 73.50% of the net assets of TCW Developing Markets Equity 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
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TCW Funds, Inc.
April 30, 2018 |
Note 10 — Restricted Securities (Continued)
(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. There were no restricted securities outstanding at April 30, 2018.
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, 2018. 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, 2018. 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 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.
65
Table of Contents
TCW Developing Markets Equity Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | June 30, 2015 (Commencement of Operations) through October 31, 2015 | ||||||||||||||
2017 | 2016 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.17 | $ | 9.10 | $ | 8.62 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||
Net Investment Income (Loss) (1) | (0.01 | ) | 0.07 | 0.10 | 0.01 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.49 | 2.09 | 0.38 | (1.39 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 0.48 | 2.16 | 0.48 | (1.38 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: |
| |||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.09 | ) | (0.00 | ) (2) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 11.59 | $ | 11.17 | $ | 9.10 | $ | 8.62 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 4.28 | % (4) | 23.96 | % | 5.63 | % | (13.80 | )% (3) | ||||||||
Ratios/Supplemental Data: |
| |||||||||||||||
Net Assets, End of Period (in thousands) | $ | 4,627 | $ | 4,433 | $ | 3,577 | $ | 3,392 | ||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||
Before Expense Reimbursement | 3.76 | % (5) | 3.94 | % | 3.56 | % | 7.09 | % (5) | ||||||||
After Expense Reimbursement | 1.25 | % (5) | 1.25 | % | 1.25 | % | 1.25 | % (5) | ||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.18 | )% (5) | 0.77 | % | 1.15 | % | 0.30 | % (5) | ||||||||
Portfolio Turnover Rate | 62.36 | % (4) | 194.58 | % | 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 period June 30, 2015 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(4) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
TCW Developing Markets Equity Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | June 30, 2015 (Commencement of Operations) through October 31, 2015 | ||||||||||||||
2017 | 2016 | |||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.17 | $ | 9.10 | $ | 8.62 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||
Net Investment Income (Loss) (1) | (0.01 | ) | 0.07 | 0.10 | 0.01 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.48 | 2.09 | 0.38 | (1.39 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 0.47 | 2.16 | 0.48 | (1.38 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: |
| |||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.09 | ) | (0.00 | ) (2) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Period | $ | 11.58 | $ | 11.17 | $ | 9.10 | $ | 8.62 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 4.19 | % (4) | 23.96 | % | 5.63 | % | (13.80 | )% (3) | ||||||||
Ratios/Supplemental Data: |
| |||||||||||||||
Net Assets, End of Period (in thousands) | $ | 1,816 | $ | 1,722 | $ | 1,364 | $ | 1,297 | ||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||
Before Expense Reimbursement | 4.93 | % (5) | 5.08 | % | 4.80 | % | 8.39 | % (5) | ||||||||
After Expense Reimbursement | 1.25 | % (5) | 1.25 | % | 1.25 | % | 1.25 | % (5) | ||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.18 | )% (5) | 0.77 | % | 1.15 | % | 0.29 | % (5) | ||||||||
Portfolio Turnover Rate | 62.36 | % (4) | 194.58 | % | 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 period June 30, 2015 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(4) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying notes to financial statements.
67
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 8.54 | $ | 8.34 | $ | 7.67 | $ | 8.57 | $ | 8.53 | $ | 9.30 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.23 | 0.55 | 0.55 | 0.38 | 0.47 | 0.55 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.36 | ) | 0.09 | 0.52 | (0.87 | ) | (0.01 | ) | (0.59 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.13 | ) | 0.64 | 1.07 | (0.49 | ) | 0.46 | (0.04 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.23 | ) | (0.44 | ) | (0.40 | ) | (0.39 | ) | (0.42 | ) | (0.44 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | — | — | — | (0.22 | ) | |||||||||||||||||
Distributions from Return of Capital | — | — | — | (0.02 | ) | — | (0.07 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.23 | ) | (0.44 | ) | (0.40 | ) | (0.41 | ) | (0.42 | ) | (0.73 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 8.18 | $ | 8.54 | $ | 8.34 | $ | 7.67 | $ | 8.57 | $ | 8.53 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (1.41 | )% (2) | 7.95 | % | 14.29 | % | (5.75 | )% | 5.52 | % | (0.68 | )% | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 3,185,477 | $ | 3,039,671 | $ | 2,574,798 | $ | 2,733,679 | $ | 4,602,207 | $ | 4,260,067 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.86 | % (3) | 0.87 | % | 0.87 | % | 0.88 | % | 0.85 | % | 0.83 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.40 | % (3) | 6.56 | % | 6.95 | % | 4.79 | % | 5.44 | % | 6.09 | % | ||||||||||||
Portfolio Turnover Rate | 86.72 | % (2) | 212.16 | % | 214.73 | % | 172.93 | % | 165.55 | % | 150.21 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
68
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.00 | $ | 10.75 | $ | 9.89 | $ | 11.05 | $ | 11.01 | $ | 11.93 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.28 | 0.68 | 0.68 | 0.46 | 0.57 | 0.68 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.45 | ) | 0.12 | 0.67 | (1.11 | ) | (0.02 | ) | (0.76 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.17 | ) | 0.80 | 1.35 | (0.65 | ) | 0.55 | (0.08 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.29 | ) | (0.55 | ) | (0.49 | ) | (0.48 | ) | (0.51 | ) | (0.53 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | — | — | — | (0.22 | ) | |||||||||||||||||
Distributions from Return of Capital | — | — | — | (0.03 | ) | — | (0.09 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.29 | ) | (0.55 | ) | (0.49 | ) | (0.51 | ) | (0.51 | ) | (0.84 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 10.54 | $ | 11.00 | $ | 10.75 | $ | 9.89 | $ | 11.05 | $ | 11.01 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (1.62 | )% (2) | 7.67 | % | 13.98 | % | (5.96 | )% | 5.11 | % | (0.86 | )% | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 435,653 | $ | 510,877 | $ | 534,151 | $ | 521,413 | $ | 782,384 | $ | 1,419,298 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.16 | % (3) | 1.15 | % | 1.15 | % | 1.16 | % | 1.13 | % | 1.10 | % | ||||||||||||
After Expense Reimbursement | 1.11 | % (3) | 1.13 | % | N/A | % | N/A | % | N/A | % | N/A | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.11 | % (3) | 6.30 | % | 6.71 | % | 4.50 | % | 5.21 | % | 5.83 | % | ||||||||||||
Portfolio Turnover Rate | 86.72 | % (2) | 212.16 | % | 214.73 | % | 172.93 | % | 165.55 | % | 150.21 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
69
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.30 | $ | 9.13 | $ | 8.18 | $ | 9.69 | $ | 10.14 | $ | 10.52 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.30 | 0.64 | 0.52 | 0.46 | 0.55 | 0.54 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.14 | (0.06 | ) | 0.43 | (1.94 | ) | (0.88 | ) | (0.62 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.44 | 0.58 | 0.95 | (1.48 | ) | (0.33 | ) | (0.08 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.44 | ) | (0.41 | ) | — | — | — | (0.06 | ) | |||||||||||||||
Distributions from Return of Capital | — | — | — | (0.03 | ) | (0.12 | ) | (0.24 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.44 | ) | (0.41 | ) | — | (0.03 | ) | (0.12 | ) | (0.30 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 9.30 | $ | 9.30 | $ | 9.13 | $ | 8.18 | $ | 9.69 | $ | 10.14 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.68 | % (2) | 6.33 | % | 11.61 | % | (15.35 | )% | (3.29 | )% | (0.89 | )% | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 242,643 | $ | 138,068 | $ | 97,650 | $ | 102,034 | $ | 178,828 | $ | 237,695 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.91 | % (3) | 1.03 | % | 1.00 | % | 1.00 | % | 0.95 | % | 0.90 | % | ||||||||||||
After Expense Reimbursement | N/A | 0.99 | % | 0.99 | % | 0.99 | % | N/A | N/A | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 6.37 | % (3) | 6.83 | % | 6.12 | % | 5.20 | % | 5.61 | % | 5.19 | % | ||||||||||||
Portfolio Turnover Rate | 106.12 | % (2) | 137.44 | % | 209.07 | % | 250.10 | % | 223.55 | % | 290.24 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
70
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 9.29 | $ | 9.12 | $ | 8.17 | $ | 9.69 | $ | 10.13 | $ | 10.52 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.29 | 0.64 | 0.48 | 0.46 | 0.58 | 0.54 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.15 | (0.06 | ) | 0.47 | (1.95 | ) | (0.91 | ) | (0.64 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.44 | 0.58 | 0.95 | (1.49 | ) | (0.33 | ) | (0.10 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.44 | ) | (0.41 | ) | — | — | — | (0.05 | ) | |||||||||||||||
Distributions from Return of Capital | — | — | — | (0.03 | ) | (0.11 | ) | (0.24 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.44 | ) | (0.41 | ) | — | (0.03 | ) | (0.11 | ) | (0.29 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 9.29 | $ | 9.29 | $ | 9.12 | $ | 8.17 | $ | 9.69 | $ | 10.13 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.69 | % (2) | 6.33 | % | 11.63 | % | (15.37 | )% | (3.37 | )% | (0.91 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 50,377 | $ | 34,807 | $ | 15,325 | $ | 153,270 | $ | 55,028 | $ | 113,380 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.27 | % (3) | 1.35 | % | 1.31 | % | 1.25 | % | 1.24 | % | 1.15 | % | ||||||||||||
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 | 6.14 | % (3) | 6.88 | % | 6.05 | % | 5.29 | % | 5.87 | % | 5.15 | % | ||||||||||||
Portfolio Turnover Rate | 106.12 | % (2) | 137.44 | % | 209.07 | % | 250.10 | % | 223.55 | % | 290.24 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2018 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
71
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | November 16, 2012 (Commencement of Operations) through October 31, 2013 | ||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.70 | $ | 10.39 | $ | 9.63 | $ | 10.97 | $ | 10.68 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.08 | 0.31 | 0.35 | 0.24 | 0.22 | 0.07 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.23 | 1.38 | 0.65 | (1.38 | ) | 0.14 | 0.61 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.31 | 1.69 | 1.00 | (1.14 | ) | 0.36 | 0.68 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.26 | ) | (0.38 | ) | (0.24 | ) | (0.20 | ) | (0.07 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.75 | $ | 11.70 | $ | 10.39 | $ | 9.63 | $ | 10.97 | $ | 10.68 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 2.65 | % (2) | 17.05 | % | 10.75 | % | (10.53 | )% | 3.43 | % | 6.80 | % (3) | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 46,096 | $ | 42,041 | $ | 37,173 | $ | 39,739 | $ | 53,652 | $ | 40,903 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.35 | % (4) | 1.54 | % | 1.57 | % | 1.47 | % | 1.43 | % | 1.72 | % (4) | ||||||||||||
After Expense Reimbursement | 1.23 | % (4) | 1.23 | % | 1.23 | % | 1.23 | % | 1.21 | % | 1.26 | % (4) | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.41 | % (4) | 2.95 | % | 3.74 | % | 2.31 | % | 2.04 | % | 2.06 | % (4) | ||||||||||||
Portfolio Turnover Rate | 72.27 | % (2) | 197.48 | % | 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, 2018 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.
72
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | November 16, 2012 (Commencement of Operations) through October 31, 2013 | ||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | |||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 11.66 | $ | 10.35 | $ | 9.59 | $ | 10.92 | $ | 10.62 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.09 | 0.32 | 0.36 | 0.24 | 0.22 | 0.06 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.21 | 1.37 | 0.64 | (1.37 | ) | 0.15 | 0.56 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.30 | 1.69 | 1.00 | (1.13 | ) | 0.37 | 0.62 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.26 | ) | (0.38 | ) | (0.24 | ) | (0.20 | ) | (0.07 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.70 | $ | 11.66 | $ | 10.35 | $ | 9.59 | $ | 10.92 | $ | 10.62 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 2.57 | % (2) | 17.10 | % | 10.78 | % | (10.50 | )% | 3.54 | % | 6.20 | % (3) | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 59,968 | $ | 40,064 | $ | 5,088 | $ | 4,107 | $ | 89 | $ | 31 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.67 | % (4) | 1.96 | % | 2.15 | % | 2.15 | % | 48.38 | % | 480.73 | % (4) | ||||||||||||
After Expense Reimbursement | 1.23 | % (4) | 1.23 | % | 1.23 | % | 1.23 | % | 1.21 | % | 1.26 | % (4) | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.47 | % (4) | 2.95 | % | 3.79 | % | 2.38 | % | 2.01 | % | 1.72 | % (4) | ||||||||||||
Portfolio Turnover Rate | 72.27 | % (2) | 197.48 | % | 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, 2018 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.
73
Table of Contents
TCW International Small Cap Fund
Financial Highlights — I Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | �� | $ | 10.52 | $ | 8.17 | $ | 8.57 | $ | 8.72 | $ | 8.92 | $ | 7.83 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.00 | ) (2) | 0.04 | 0.02 | 0.01 | 0.01 | (0.01 | ) | ||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.68 | 2.34 | (0.05 | ) | (0.11 | ) | (0.13 | ) | 1.55 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.68 | 2.38 | (0.03 | ) | (0.10 | ) | (0.12 | ) | 1.54 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | — | (0.03 | ) | (0.37 | ) | (0.05 | ) | (0.08 | ) | (0.45 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.20 | $ | 10.52 | $ | 8.17 | $ | 8.57 | $ | 8.72 | $ | 8.92 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 6.46 | % (3) | 29.21 | % | (0.49 | )% | (1.07 | )% | (1.39 | )% | 20.77 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 7,995 | $ | 6,350 | $ | 5,684 | $ | 7,274 | $ | 19,786 | $ | 24,266 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 2.58 | % (4) | 2.89 | % | 2.40 | % | 1.67 | % | 1.37 | % | 1.36 | % | ||||||||||||
After Expense Reimbursement | 1.43 | % (4) | 1.43 | % | 1.44 | % | 1.44 | % | N/A | N/A | ||||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.04 | )% (4) | 0.41 | % | 0.29 | % | 0.17 | % | 0.12 | % | (0.17 | )% | ||||||||||||
Portfolio Turnover Rate | 84.08 | % (3) | 232.19 | % | 128.62 | % | 243.88 | % | 259.88 | % | 301.86 | % |
(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, 2018 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
74
Table of Contents
TCW International Small Cap Fund
Financial Highlights — N Class
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of Period | $ | 10.53 | $ | 8.17 | $ | 8.58 | $ | 8.72 | $ | 8.92 | $ | 7.82 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.00 | ) (2) | 0.04 | 0.03 | 0.03 | 0.00 | (2) | (0.02 | ) | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.68 | 2.35 | (0.07 | ) | (0.12 | ) | (0.13 | ) | 1.56 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.68 | 2.39 | (0.04 | ) | (0.09 | ) | (0.13 | ) | 1.54 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | — | (0.03 | ) | (0.37 | ) | (0.05 | ) | (0.07 | ) | (0.44 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of Period | $ | 11.21 | $ | 10.53 | $ | 8.17 | $ | 8.58 | $ | 8.72 | $ | 8.92 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 6.46 | % (3) | 29.34 | % | (0.60 | )% | (1.03 | )% | (1.52 | )% | 20.77 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of Period (in thousands) | $ | 3,777 | $ | 3,589 | $ | 3,143 | $ | 3,440 | $ | 9,437 | $ | 11,847 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 3.10 | % (4) | 3.48 | % | 2.88 | % | 2.09 | % | 1.75 | % | 1.67 | % | ||||||||||||
After Expense Reimbursement | 1.43 | % (4) | 1.43 | % | 1.44 | % | 1.44 | % | 1.44 | % | 1.44 | % | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.09 | )% (4) | 0.41 | % | 0.33 | % | 0.40 | % | 0.04 | % | (0.23 | )% | ||||||||||||
Portfolio Turnover Rate | 84.08 | % (3) | 232.19 | % | 128.62 | % | 243.88 | % | 259.88 | % | 301.86 | % |
(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, 2018 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
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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, 2017 to April 30, 2018 (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, 2017 | Ending Account Value April 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2017 to April 30, 2018) | ||||||||||||
TCW Developing Markets Equity Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,042.80 | 1.25 | % | $ | 6.33 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.60 | 1.25 | % | 6.26 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.90 | 1.25 | % | $ | 6.33 | ||||||||
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 | $ | 985.90 | 0.86 | % | $ | 4.23 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.53 | 0.86 | % | 4.31 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 983.80 | 1.11 | % | $ | 5.46 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.29 | 1.11 | % | 5.56 | |||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,046.80 | 0.91 | % | $ | 4.62 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.28 | 0.91 | % | 4.56 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,046.90 | 0.99 | % | $ | 5.02 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.89 | 0.99 | % | 4.96 |
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TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value November 1, 2017 | Ending Account Value April 30, 2018 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2017 to April 30, 2018) | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,026.50 | 1.23 | % | $ | 6.18 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.70 | 1.23 | % | 6.16 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,025.70 | 1.23 | % | $ | 6.18 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.70 | 1.23 | % | 6.16 | |||||||||||
TCW International Small Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,064.60 | 1.43 | % | $ | 7.32 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.70 | 1.43 | % | 7.15 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,064.60 | 1.43 | % | $ | 7.32 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.70 | 1.43 | % | 7.15 |
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TCW Funds, Inc.
Supplemental Information
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board 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). |
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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
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 Principal Financial and Accounting Officer
Jeffrey A. Engelsman
Chief Compliance Officer and Anti-Money Laundering Officer
Patrick W. Dennis
Vice President and Assistant Secretary
Lisa Eisen
Tax Officer
George N. Winn
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Artificial Intelligence Equity Fund
TCW Focused Equities Fund (1)
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 Small Cap Fund
(1) Fund terminated May 31, 2018.
FUNDsarINT0418
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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 Principal Financial and Accounting 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 |
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the Registrant is made known to them by the appropriate persons as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 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 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. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13. | 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. |
(a)(4) | 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. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | TCW Funds, Inc. | |
By (Signature and Title) | ||
/s/ David S. DeVito | ||
David S. DeVito | ||
President and Chief Executive Officer | ||
Date | June 21, 2018 |
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 | ||
President and Chief Executive Officer | ||
Date | June 21, 2018 | |
By (Signature and Title) | ||
/s/ Richard M. Villa | ||
Richard M. Villa | ||
Treasurer and Principal Financial and Accounting Officer | ||
Date | June 21, 2018 |