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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, 2021
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Item 1. | Reports to Shareholders. |
(a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”): |
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EQUITY FUNDS
TCW Artificial Intelligence Equity 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
Paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (www.tcw.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future reports in paper free of charge. You can call 1-800-FUND-TCW (1-800-386-3829), if you invest directly with the Fund, or contact your financial intermediary, if you invest though a financial intermediary, to inform the Fund or the financial intermediary that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held directly with TCW or through your financial intermediary.
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TCW Funds, Inc.
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 80 |
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David Lippman 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, 2021. 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, 2021, the TCW Funds held total assets of approximately $18.6 billion.
This report contains information outlining the performance and a list of portfolio holdings as of April 30, 2021 for the TCW Funds’ Equity Funds and the TCW Conservative Allocation Fund.
The U.S. Stock Market
U.S. stocks surged 28.9% (S&P 500 Total Return Index) during the period under review, as optimism surrounding the economic reopening process continued to build, and broad-based macroeconomic data validated the economic recovery narrative. The FDA’s emergency approval of two COVID-19 vaccines in December ultimately helped the U.S. to emerge from the pandemic following its peak in early January. Shortly thereafter, the newly installed Biden Administration secured passage of the $1.9 trillion American Rescue Plan Act of 2021, which placed stimulus checks into the hands of consumers and provided for expanded unemployment benefits through early September of this year. Retail sales surged, unemployment fell to a new post-pandemic low, and both the manufacturing and services sectors of the economy experienced sharp rebounds. Against this macro backdrop, and with the Federal Reserve reiterating its zero interest rate policy and continued monthly asset purchases, it was little surprise that the U.S. economy posted real GDP growth of 6.4% quarter-over-quarter in the first quarter. Even the announcement of President Biden’s plan to hike the corporate and capital gains tax rates did little to dampen investor enthusiasm, as narrow Democratic control of Congress proved a reminder that implementation would likely be challenging. Equity prices
were also fueled higher by first quarter corporate earnings results, which showed stellar year-over-year revenue and earnings per share rebounds of 11% and 50%, respectively (Credit Suisse, 5/21/21).
Looking forward, despite the continued tragic trajectory of the pandemic in places such as India and Brazil, the U.S. remains on a pretty deliberate course towards a broad reopening of the economy, with COVID-19 restrictions being lifted by many jurisdictions. With such a robust macro backdrop, earnings estimates are being revised upwards, thereby holding in check the equity market’s already elevated forward price/earnings multiple, which presently stands at about 21 (Bloomberg consensus estimates, 05/21/21). While traditional inflation measures such as the core CPI and PCE deflator continue to reflect an inflation rate which is at present beneath the Fed’s targeted 2% rate, the reality is that with increased frequency, corporate management teams are highlighting supply chain constraints, input cost pressures, and price increases. In his public comments, Fed Chair Powell is consistently making the case that it’s too early to curtail asset purchases as part of a “tapering” process, but we expect that his language will change as we move into the fall of this year. Indeed, we think that just as risk asset price levels have been the direct beneficiaries of the Fed’s largesse over so many years, the withdrawal of that support may prove particularly challenging for risk assets in general, including stocks. So although we remain constructive about the economic reopening process and its very positive implications for corporate earnings growth, we are mindful of the building headwinds for stocks, including: equity valuation levels which remain elevated relative to their history; a possible spike in inflation and thus interest rates, prompting an eventual “tapering” by the Fed; and likely hikes in corporate and personal income tax rates.
1
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Letter to Shareholders (Continued) |
Fund Performance
All of our equity funds posted absolute returns in the double-digits, boosted by the strong earnings growth trends noted above. The TCW Relative Value suite of funds and the TCW Conservative Allocation Fund outperformed their respective benchmarks, as the reopening of the economy prompted a shift in equity market leadership from growth to value, with cyclical sectors such as energy, financials and materials rising to the fore. By the same token, the weaker relative performance of less economically-sensitive sectors such as information technology and communications services resulted in our more growth-oriented funds lagging their respective benchmarks following strong outperformance in the prior period. We believe that as the U.S. economy emerges more fully from the COVID-19 pandemic, there is likely to be greater balance between the performance of the growth and value sectors of the economies. We continue to believe that our emphasis on rigorous bottom-up stock research will serve our fund participants well over the
longer term especially if, as we expect, the Fed’s eventual withdrawal of its massive support for risk assets leads to greater dispersion among stock returns.
We truly value our relationship with you and thank you for making the TCW Funds part of your long-term investment plan. 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 Lippman
President, Chief Executive Officer and Director
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TCW Funds, Inc.
Performance Summary (Unaudited)
Total Return Annualized as of April 30, 2021(1) | ||||||||||||||||||||||||||||
NAV | Six Months Return as of April 30, 2021 | 1-Year | 5-Year | 10-Year | Since Inception | Inception Date | ||||||||||||||||||||||
TCW Artificial Intelligence Equity Fund | ||||||||||||||||||||||||||||
I Class | $ | 22.42 | 22.45 | % | 62.35 | % | N/A | N/A | 24.67 | % | 08/31/17 | |||||||||||||||||
N Class | $ | 22.36 | 22.39 | % | 62.15 | % | N/A | N/A | 24.57 | % | 08/31/17 | |||||||||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||||||||||||||
I Class | $ | 13.48 | 11.93 | % | 22.02 | % | 7.86 | % | 6.22 | % | 6.06 | % | 11/16/06 | |||||||||||||||
N Class | $ | 13.50 | 11.75 | % | 21.71 | % | 7.47 | % | 5.81 | % | 5.77 | % | 11/16/06 | |||||||||||||||
TCW Global Real Estate Fund | ||||||||||||||||||||||||||||
I Class | $ | 14.47 | 31.58 | % | 50.03 | % | 11.09 | % | N/A | 8.55 | % | 11/28/14 | ||||||||||||||||
N Class | $ | 14.45 | 31.52 | % | 49.72 | % | 10.99 | % | N/A | 8.47 | % | 11/28/14 | ||||||||||||||||
TCW New America Premier Equities Fund | ||||||||||||||||||||||||||||
I Class | $ | 28.97 | 27.96 | % | 49.34 | % | 24.48 | % | N/A | 24.31 | % | 01/29/16 | ||||||||||||||||
N Class | $ | 28.87 | 27.80 | % | 48.90 | % | 24.35 | % | N/A | 24.19 | % | 01/29/16 | ||||||||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||||||||||||||
I Class | $ | 21.11 | 43.09 | % | 58.20 | % | 11.33 | % | 10.26 | % | 8.03 | % | 10/29/04 | |||||||||||||||
N Class | $ | 21.53 | 43.01 | % | 58.00 | % | 11.11 | % | 9.99 | % | 9.33 | % (2) | 09/19/86 | (3) | ||||||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||||||||||||||
I Class | $ | 14.41 | 44.52 | % | 63.36 | % | 11.88 | % | 10.20 | % | 8.32 | % | 12/31/03 | |||||||||||||||
N Class | $ | 14.36 | 44.43 | % | 63.01 | % | 11.66 | % | 9.95 | % | 7.07 | % (2) | 12/31/97 | (3) | ||||||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||||||||||||||
I Class | $ | 28.90 | 54.06 | % | 82.10 | % | 13.80 | % | 10.00 | % | 10.64 | % (4) | 11/01/96 | (3) | ||||||||||||||
N Class | $ | 28.06 | 54.00 | % | 81.86 | % | 13.66 | % | 9.78 | % | 8.55 | % | 10/31/00 | |||||||||||||||
TCW Select Equities Fund | ||||||||||||||||||||||||||||
I Class | $ | 38.64 | 21.30 | % | 49.08 | % | 22.91 | % | 16.03 | % | 11.69 | % (4) | 07/01/91 | (3) | ||||||||||||||
N Class | $ | 33.54 | 21.20 | % | 48.83 | % | 22.63 | % | 15.74 | % | 8.80 | % | 02/26/99 |
(1) | Past performance is not indicative of future performance. |
(2) | 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. |
(3) | Inception date of the predecessor entity. |
(4) | 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 — 94.8% of Net Assets |
| |||||||
Agricultural & Farm Machinery — 1.8% | ||||||||
Deere & Co. | 832 | $ | 308,547 | |||||
|
| |||||||
Application Software — 9.0% | ||||||||
Adobe, Inc. (1) | 864 | 439,206 | ||||||
Autodesk, Inc. (1) | 1,431 | 417,723 | ||||||
Bill.Com Holdings, Inc. (1) | 919 | 142,105 | ||||||
Salesforce.com, Inc. (1) | 865 | 199,227 | ||||||
Trade Desk, Inc. (The) (1) | 448 | 326,731 | ||||||
|
| |||||||
1,524,992 | ||||||||
|
| |||||||
Automobile Manufacturers — 1.5% | ||||||||
Tesla Inc. (1) | 369 | 261,783 | ||||||
|
| |||||||
Biotechnology — 0.8% | ||||||||
Relay Therapeutics, Inc. (1) | 1,194 | 37,862 | ||||||
SpringWorks Therapeutics, Inc. (1) | 1,300 | 93,418 | ||||||
|
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131,280 | ||||||||
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Communications Equipment — 5.6% | ||||||||
Cisco Systems, Inc. | 8,048 | 409,724 | ||||||
Motorola Solutions, Inc. | 2,188 | 412,000 | ||||||
Palo Alto Networks, Inc. (1) | 361 | 127,574 | ||||||
|
| |||||||
949,298 | ||||||||
|
| |||||||
Data Processing & Outsourced Services — 10.5% | ||||||||
Fiserv, Inc. (1) | 3,879 | 465,945 | ||||||
Mastercard, Inc. | 1,211 | 462,675 | ||||||
PayPal Holdings, Inc. (1) | 1,630 | 427,533 | ||||||
Square, Inc. (1) | 1,777 | 435,045 | ||||||
|
| |||||||
1,791,198 | ||||||||
|
| |||||||
Electronic Equipment & Instruments — 2.3% | ||||||||
Trimble, Inc. (1) | 4,851 | 397,782 | ||||||
|
| |||||||
Health Care Equipment — 1.1% | ||||||||
STAAR Surgical Co. (1) | 1,397 | 191,403 | ||||||
|
| |||||||
Health Care Services — 0.7% | ||||||||
Guardant Health, Inc. (1) | 709 | 112,717 | ||||||
|
| |||||||
Home Entertainment Software — 1.7% | ||||||||
Roku, Inc. (1) | 854 | 292,896 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines — 0.8% | ||||||||
Airbnb, Inc. (1) | 789 | 136,268 | ||||||
|
| |||||||
Interactive Home Entertainment — 2.7% | ||||||||
Sea, Ltd. (SP ADR) (Singapore) (1) | 1,833 | 462,906 | ||||||
|
| |||||||
Interactive Media & Services — 4.6% | ||||||||
IAC/InterActiveCorp. (1) | 1,313 | 332,806 | ||||||
Pinterest, Inc. (1) | 3,086 | 204,818 | ||||||
Snap, Inc. (1) | 3,888 | 240,356 | ||||||
|
| |||||||
777,980 | ||||||||
|
|
Issues | Shares | Value | ||||||
Internet & Direct Marketing Retail — 4.8% | ||||||||
Amazon.com, Inc. (1) | 172 | $ | 596,396 | |||||
Etsy, Inc. (1) | 1,057 | 210,121 | ||||||
|
| |||||||
806,517 | ||||||||
|
| |||||||
Internet Services & Infrastructure — 16.9% | ||||||||
Alibaba Group Holding, Ltd. (SP ADR) (China) (1) | 1,620 | 374,139 | ||||||
Alphabet, Inc. (1) | 329 | 774,302 | ||||||
Baidu, Inc. (SP ADR) (China) (1) | 1,195 | 251,344 | ||||||
Facebook, Inc. (1) | 1,551 | 504,199 | ||||||
Okta, Inc. (1) | 490 | 132,153 | ||||||
Snowflake, Inc. (1) | 563 | 130,385 | ||||||
Tencent Holdings, Ltd. (SP ADR) (China) | 4,596 | 366,117 | ||||||
Twilio, Inc. (1) | 583 | 214,428 | ||||||
ZoomInfo Technologies, Inc. (1) | 2,523 | 130,843 | ||||||
|
| |||||||
2,877,910 | ||||||||
|
| |||||||
IT Consulting & Other Services — 2.1% | ||||||||
EPAM Systems, Inc. (1) | 775 | 354,756 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.6% | ||||||||
NeoGenomics, Inc. (1) | 2,130 | 104,349 | ||||||
|
| |||||||
Semiconductor Equipment — 6.2% | ||||||||
ASML Holding NV (Netherlands) | 849 | 550,237 | ||||||
Lam Research Corp. | 804 | 498,842 | ||||||
|
| |||||||
1,049,079 | ||||||||
|
| |||||||
Semiconductors — 8.3% | ||||||||
Intel Corp. | 7,186 | 413,411 | ||||||
Micron Technology, Inc. (1) | 2,662 | 229,118 | ||||||
NVIDIA Corp. | 837 | 502,518 | ||||||
QUALCOMM, Inc. | 1,873 | 259,972 | ||||||
|
| |||||||
1,405,019 | ||||||||
|
| |||||||
Specialized REITs — 0.9% | ||||||||
Equinix, Inc. | 202 | 145,594 | ||||||
|
| |||||||
Systems Software — 7.7% | ||||||||
Crowdstrike Holdings, Inc. (1) | 1,244 | 259,387 | ||||||
Microsoft Corp. | 1,919 | 483,933 | ||||||
ServiceNow, Inc. (1) | 847 | 428,895 | ||||||
Zscaler, Inc. (1) | 725 | 136,039 | ||||||
|
| |||||||
1,308,254 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.8% | ||||||||
Apple, Inc. | 2,367 | 311,166 | ||||||
|
| |||||||
Trucking — 2.4% | ||||||||
Uber Technologies, Inc. (1) | 7,560 | 414,061 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $11,881,805) |
| 16,115,755 | ||||||
|
|
See accompanying Notes to Financial Statements.
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TCW Artificial Intelligence Equity Fund
Schedule of Investments (Unaudited) (Continued) | April 30, 2021 |
Issues | Shares | Value | ||||||
MONEY MARKET INVESTMENTS — 5.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | 878,712 | $ | 878,712 | |||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $878,712) |
| 878,712 | ||||||
|
| |||||||
Total Investments (100.0%) |
| |||||||
(Cost: $12,760,517) |
| 16,994,467 | ||||||
Excess Of Other Assets Over Liabilities (0.0%) |
| 8,176 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 17,002,643 | |||||
|
|
Notes to the Schedule of Investments:
REIT | Real Estate Investment Trust. |
SP ADR | Sponsored American Depositary Receipt. ADRs are receipts, typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. Sponsored ADRs are ADRs issued with the cooperation of the foreign corporation. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
See accompanying Notes to Financial Statements.
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TCW Artificial Intelligence Equity Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Agricultural & Farm Machinery | 1.8 | % | ||
Application Software | 9.0 | |||
Automobile Manufacturers | 1.5 | |||
Biotechnology | 0.8 | |||
Communications Equipment | 5.6 | |||
Data Processing & Outsourced Services | 10.5 | |||
Electronic Equipment & Instruments | 2.3 | |||
Health Care Equipment | 1.1 | |||
Health Care Services | 0.7 | |||
Home Entertainment Software | 1.7 | |||
Hotels, Resorts & Cruise Lines | 0.8 | |||
IT Consulting & Other Services | 2.1 | |||
Interactive Home Entertainment | 2.7 | |||
Interactive Media & Services | 4.6 | |||
Internet & Direct Marketing Retail | 4.8 | |||
Internet Services & Infrastructure | 16.9 | |||
Life Sciences Tools & Services | 0.6 | |||
Semiconductor Equipment | 6.2 | |||
Semiconductors | 8.3 | |||
Specialized REITs | 0.9 | |||
Systems Software | 7.7 | |||
Technology Hardware, Storage & Peripherals | 1.8 | |||
Trucking | 2.4 | |||
Money Market Investments | 5.2 | |||
|
| |||
Total | 100.0 | % | ||
|
|
See accompanying Notes to Financial Statements.
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TCW Artificial Intelligence Equity Fund
Fair Valuation Summary (Unaudited) | April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | ||||||||||||||||
Agricultural & Farm Machinery | $ | 308,547 | $ | — | $ | — | $ | 308,547 | ||||||||
Application Software | 1,524,992 | — | — | 1,524,992 | ||||||||||||
Automobile Manufacturers | 261,783 | — | — | 261,783 | ||||||||||||
Biotechnology | 131,280 | — | — | 131,280 | ||||||||||||
Communications Equipment | 949,298 | — | — | 949,298 | ||||||||||||
Data Processing & Outsourced Services | 1,791,198 | — | — | 1,791,198 | ||||||||||||
Electronic Equipment & Instruments | 397,782 | — | — | 397,782 | ||||||||||||
Health Care Equipment | 191,403 | — | — | 191,403 | ||||||||||||
Health Care Services | 112,717 | — | — | 112,717 | ||||||||||||
Home Entertainment Software | 292,896 | — | — | 292,896 | ||||||||||||
Hotels, Resorts & Cruise Lines | 136,268 | — | — | 136,268 | ||||||||||||
Interactive Home Entertainment | 462,906 | — | — | 462,906 | ||||||||||||
Interactive Media & Services | 777,980 | — | — | 777,980 | ||||||||||||
Internet & Direct Marketing Retail | 806,517 | — | — | 806,517 | ||||||||||||
Internet Services & Infrastructure | 2,877,910 | — | — | 2,877,910 | ||||||||||||
IT Consulting & Other Services | 354,756 | — | — | 354,756 | ||||||||||||
Life Sciences Tools & Services | 104,349 | — | — | 104,349 | ||||||||||||
Semiconductor Equipment | 1,049,079 | — | — | 1,049,079 | ||||||||||||
Semiconductors | 1,405,019 | — | — | 1,405,019 | ||||||||||||
Specialized REITs | 145,594 | — | — | 145,594 | ||||||||||||
Systems Software | 1,308,254 | — | — | 1,308,254 | ||||||||||||
Technology Hardware, Storage & Peripherals | 311,166 | — | — | 311,166 | ||||||||||||
Trucking | 414,061 | — | — | 414,061 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 16,115,755 | — | — | 16,115,755 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 878,712 | — | — | 878,712 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 16,994,467 | $ | — | $ | — | $ | 16,994,467 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
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TCW Conservative Allocation Fund
Schedule of Investments (Unaudited)
Issues | Shares | Value | ||||||
EXCHANGE-TRADED FUNDS — 3.1% of Net Assets |
| |||||||
iShares Gold Trust (1) | 19,450 | $ | 327,733 | |||||
iShares MSCI EAFE Index Fund | 10,410 | 813,125 | ||||||
|
| |||||||
Total Exchange-traded Funds |
| |||||||
(Cost: $1,028,642) | 1,140,858 | |||||||
|
| |||||||
INVESTMENT COMPANIES — 97.6% |
| |||||||
Diversified Equity Funds — 40.7% | ||||||||
TCW Artificial Intelligence Equity Fund — I Class (2) | 18,135 | 406,597 | ||||||
TCW Global Real Estate Fund — I Class (2) | 127,801 | 1,850,560 | ||||||
TCW New America Premier Equities Fund — I Class (2) | 122,819 | 3,558,079 | ||||||
TCW Relative Value Large Cap Fund — I Class (2) | 311,620 | 4,490,440 | ||||||
TCW Relative Value Mid Cap Fund — I Class (2) | 36,119 | 1,043,845 | ||||||
TCW Select Equities Fund — I Class (2) | 91,300 | 3,527,830 | ||||||
|
| |||||||
14,877,351 | ||||||||
|
| |||||||
Diversified Fixed Income Funds — 56.9% | ||||||||
Metropolitan West High Yield Bond Fund — I Class (2) | 35,523 | 377,963 | ||||||
Metropolitan West Low Duration Bond Fund — I Class (2) | 385,746 | 3,433,142 | ||||||
Metropolitan West Total Return Bond Fund — I Class (2) | 423,204 | 4,612,927 | ||||||
Metropolitan West Unconstrained Bond Fund — I Class (2) | 572,950 | 6,875,397 |
Issues | Shares | Value | ||||||
Diversified Fixed Income Funds (Continued) | ||||||||
TCW Emerging Markets Income Fund — I Class (2) | 43,072 | $ | 351,037 | |||||
TCW Global Bond Fund — I Class (2) | 80,335 | 837,087 | ||||||
TCW Total Return Bond Fund — I Class (2) | 422,498 | 4,279,904 | ||||||
|
| |||||||
20,767,457 | ||||||||
|
| |||||||
Total Investment Companies | ||||||||
(Cost: $29,715,384) | 35,644,808 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (3) | 85,795 | 85,795 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $85,795) | 85,795 | |||||||
|
| |||||||
Total Investments (101.0%) |
| |||||||
(Cost: $30,829,821) | 36,871,461 | |||||||
Liabilities In Excess of Other Assets (-1.0%) |
| (349,351 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 36,522,110 | |||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Affiliated issuer. |
(3) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
See accompanying Notes to Financial Statements.
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TCW Conservative Allocation Fund
Schedule of Investments (Unaudited) (Continued) | April 30, 2021 |
The summary of the TCW Conservative Allocation Fund transactions in the affiliated funds for the period ended April 30, 2021 is as follows:
Name of Affiliated Fund | Value at October 31, 2020 | Purchases at Cost | Proceeds from Sales | Number of Shares Held April 30, 2021 | Value at April 30, 2021 | Dividends and Interest Income Received | Distributions Received from Net Realized Gain | Net Realized Gain (Loss) on Investments | Net change in Unrealized Gain (Loss) on Investments | |||||||||||||||||||||||||||
Metropolitan West High Yield Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
$ | 401,061 | $ | 14,819 | $ | 52,551 | 35,523 | $ | 377,963 | $ | 7,209 | $ | — | $ | 745 | $ | 13,889 | ||||||||||||||||||||
Metropolitan West Low Duration Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
1,904,908 | 1,988,415 | 465,499 | 385,746 | 3,433,142 | 20,381 | — | (596 | ) | 5,914 | |||||||||||||||||||||||||||
Metropolitan West Total Return Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
5,568,955 | 369,170 | 1,020,205 | 423,204 | 4,612,927 | 33,072 | 239,978 | (38,886 | ) | (266,107 | ) | ||||||||||||||||||||||||||
Metropolitan West Unconstrained Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
7,094,712 | 678,373 | 956,131 | 572,950 | 6,875,397 | 96,219 | 53,184 | 1,032 | 57,411 | ||||||||||||||||||||||||||||
TCW Artificial Intelligence Fund—I Class |
| |||||||||||||||||||||||||||||||||||
— | 378,537 | 55,258 | 18,135 | 406,597 | — | 8,600 | 74,718 | |||||||||||||||||||||||||||||
TCW Emerging Markets Income Fund—I Class |
| |||||||||||||||||||||||||||||||||||
371,977 | 18,018 | 49,129 | 43,072 | 351,037 | 9,303 | — | (575 | ) | 10,746 | |||||||||||||||||||||||||||
TCW Global Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
924,670 | 51,829 | 117,763 | 80,335 | 837,087 | 13,883 | 18,931 | (2,974 | ) | (18,675 | ) | ||||||||||||||||||||||||||
TCW Global Real Estate Fund—I Class |
| |||||||||||||||||||||||||||||||||||
1,574,569 | 42,681 | 245,829 | 127,801 | 1,850,560 | 10,818 | — | 39,568 | 439,571 | ||||||||||||||||||||||||||||
TCW New America Premier Equities Fund—I Class |
| |||||||||||||||||||||||||||||||||||
6,060,688 | 107,270 | 3,907,742 | 122,819 | 3,558,079 | 212 | — | 1,138,116 | 159,747 | ||||||||||||||||||||||||||||
TCW Relative Value Large Cap Fund—I Class |
| |||||||||||||||||||||||||||||||||||
2,010,196 | 2,148,870 | 581,648 | 311,620 | 4,490,440 | 40,093 | 151,857 | (6,502 | ) | 919,524 | |||||||||||||||||||||||||||
TCW Relative Value Mid Cap Fund—I Class |
| |||||||||||||||||||||||||||||||||||
321,524 | 594,105 | 131,585 | 36,119 | 1,043,845 | 2,910 | — | 7,722 | 252,079 | ||||||||||||||||||||||||||||
TCW Select Equities Fund—I Class |
| |||||||||||||||||||||||||||||||||||
4,793,572 | 383,263 | 2,188,522 | 91,300 | 3,527,830 | — | 298,265 | 268,509 | 271,008 | ||||||||||||||||||||||||||||
TCW Total Return Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||
4,835,096 | 567,341 | 968,054 | 422,498 | 4,279,904 | 47,422 | 31,537 | (21,468 | ) | (133,011 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 35,644,808 | $ | 281,522 | $ | 793,752 | $ | 1,393,291 | $ | 1,786,814 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
9
Table of Contents
TCW Conservative Allocation Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Diversified Fixed Income Funds | 56.9 | % | ||
Diversified Equity Funds | 40.7 | |||
Exchange-Traded Funds | 3.1 | |||
Money Market Investments | 0.3 | |||
|
| |||
Total | 101.0 | % | ||
|
|
See accompanying Notes to Financial Statements.
10
Table of Contents
TCW Conservative Allocation Fund
Fair Valuation Summary (Unaudited) | April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | $ | 1,140,858 | $ | — | $ | — | $ | 1,140,858 | ||||||||
Investment Companies | 35,644,808 | — | — | 35,644,808 | ||||||||||||
Money Market Investments | 85,795 | — | — | 85,795 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 36,871,461 | $ | — | $ | — | $ | 36,871,461 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
11
Table of Contents
Schedule of Investments (Unaudited)
Issues | Shares | Value | ||||||
COMMON STOCK — 78.9% of Net Assets |
| |||||||
Australia — 2.2% (Cost: $533,372) | ||||||||
Mirvac Group | 306,185 | $ | 636,149 | |||||
|
| |||||||
Canada — 5.9% | ||||||||
H&R Real Estate Investment Trust | 48,989 | 606,489 | ||||||
Summit Industrial Income REIT | 87,500 | 1,110,287 | ||||||
|
| |||||||
Total Canada |
| |||||||
(Cost: $1,435,801) |
| 1,716,776 | ||||||
|
| |||||||
China — 3.7% | ||||||||
China Resources Land, Ltd. | 120,000 | 561,914 | ||||||
Longfor Group Holdings, Ltd. | 81,500 | 506,293 | ||||||
|
| |||||||
Total China |
| |||||||
(Cost: $939,746) |
| 1,068,207 | ||||||
|
| |||||||
Germany — 6.1% | ||||||||
LEG Immobilien SE (1) | 4,815 | 670,800 | ||||||
Vonovia SE | 16,637 | 1,094,538 | ||||||
|
| |||||||
Total Germany |
| |||||||
(Cost: $1,740,341) |
| 1,765,338 | ||||||
|
| |||||||
Japan — 3.4% | ||||||||
Mitsubishi Estate Co., Ltd. | 41,400 | 681,304 | ||||||
Nippon Prologis REIT, Inc. | 99 | 317,200 | ||||||
|
| |||||||
Total Japan |
| |||||||
(Cost: $949,176) |
| 998,504 | ||||||
|
| |||||||
United Kingdom — 3.5% (Cost: $870,166) | ||||||||
Segro PLC | 73,171 | 1,019,111 | ||||||
|
| |||||||
United States — 54.1% | ||||||||
Alexandria Real Estate Equities, Inc. | 6,270 | 1,135,497 | ||||||
American Tower Corp. | 3,383 | 861,887 | ||||||
CBRE Group, Inc. (1) | 2,896 | 246,739 | ||||||
Chatham Lodging Trust (1) | 66,272 | 919,193 | ||||||
CoreSite Realty Corp. | 8,486 | 1,030,964 | ||||||
CoStar Group, Inc. (1) | 196 | 167,468 |
Issues | Shares | Value | ||||||
United States (Continued) | ||||||||
Cousins Properties, Inc. | 9,128 | $ | 334,724 | |||||
Equinix, Inc. | 631 | 454,800 | ||||||
Gaming and Leisure Properties, Inc. | 34,605 | 1,608,786 | ||||||
Invitation Homes, Inc. | 7,293 | 255,693 | ||||||
Iron Mountain, Inc. | 27,984 | 1,122,718 | ||||||
Jones Lang LaSalle, Inc. (1) | 6,241 | 1,172,746 | ||||||
M/I Homes, Inc. (1) | 14,868 | 1,036,597 | ||||||
Mid-America Apartment Communities, Inc. | 3,816 | 600,371 | ||||||
New Home Co., Inc. (The) (1) | 72,062 | 441,740 | ||||||
New Residential Investment Corp. | 153,555 | 1,646,110 | ||||||
Ocwen Financial Corp. (1) | 11,100 | 322,122 | ||||||
Retail Properties of America, Inc. | 38,214 | 448,250 | ||||||
TPG RE Finance Trust, Inc. | 130,170 | 1,621,918 | ||||||
Weyerhaeuser Co. | 6,911 | 267,940 | ||||||
|
| |||||||
Total United States |
| |||||||
(Cost: $13,156,676) |
| 15,696,263 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $19,625,278) |
| 22,900,348 | ||||||
|
| |||||||
Total Purchased Options (2) (0.1%) |
| |||||||
(Cost: $26,983) |
| 38,250 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 1.5% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (3) | 430,882 | 430,882 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $430,882) |
| 430,882 | ||||||
|
| |||||||
Total Investments (80.5%) |
| |||||||
(Cost: $20,083,143) |
| 23,369,480 | ||||||
Excess Of Other Assets Over Liabilities (19.5%) |
| 5,652,690 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 29,022,170 | |||||
|
|
See accompanying Notes to Financial Statements.
12
Table of Contents
TCW Global Real Estate Fund
April 30, 2021
Purchased Options — Exchange Traded | ||||||||||||||||||||||||||||
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||
Coresite Realty Corp. | $ | 110 | 7/16/21 | 30 | $ | 364,470 | $ | 38,250 | $ | 26,983 | $ | 11,267 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Written Options — Exchange Traded | ||||||||||||||||||||||||||||
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||
Coresite Realty Corp. | $ | 130 | 7/16/21 | (30 | ) | $ | (364,470 | ) | $ | (4,650 | ) | $ | (4,763 | ) | $ | 113 | ||||||||||||
Iron Mountain, Inc. | 35 | 5/21/21 | (90 | ) | (361,080 | ) | (46,800 | ) | (17,322 | ) | (29,478 | ) | ||||||||||||||||
Mid-America Apartment Communities Inc. | 140 | 5/21/21 | (38 | ) | (597,854 | ) | (67,640 | ) | (26,465 | ) | (41,175 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (119,090 | ) | $ | (48,550 | ) | $ | (70,540 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
REIT | Real Estate Investment Trust. |
(1) | Non-income producing security. |
(2) | See options table for description of purchased options. |
(3) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
See accompanying Notes to Financial Statements.
13
Table of Contents
TCW Global Real Estate Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Diversified REITs | 4.3 | % | ||
Diversified Real Estate Activities | 2.3 | |||
Homebuilding | 5.1 | |||
Hotel & Resort REITs | 3.2 | |||
Industrial REITs | 8.4 | |||
Mortgage REITs | 11.3 | |||
Office REITs | 5.1 | |||
Purchased Options | 0.1 | |||
Real Estate Development | 3.7 | |||
Real Estate Operating Companies | 6.1 | |||
Real Estate Services | 4.8 | |||
Research & Consulting Services | 0.6 | |||
Residential REITs | 3.0 | |||
Retail REITs | 1.5 | |||
Specialized REITs | 18.4 | |||
Thrifts & Mortgage Finance | 1.1 | |||
Money Market Investments | 1.5 | |||
|
| |||
Total | 80.5 | % | ||
|
|
See accompanying Notes to Financial Statements.
14
Table of Contents
TCW Global Real Estate Fund
Fair Valuation Summary (Unaudited)
April 30, 2021
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | $ | 606,489 | $ | 636,149 | $ | — | $ | 1,242,638 | ||||||||
Diversified Real Estate Activities | — | 681,304 | — | 681,304 | ||||||||||||
Homebuilding | 1,478,337 | — | — | 1,478,337 | ||||||||||||
Hotel & Resort REITs | 919,193 | — | — | 919,193 | ||||||||||||
Industrial REITs | 1,110,287 | 1,336,311 | — | 2,446,598 | ||||||||||||
Mortgage REITs | 3,268,028 | — | — | 3,268,028 | ||||||||||||
Office REITs | 1,470,221 | — | — | 1,470,221 | ||||||||||||
Real Estate Development | — | 1,068,207 | — | 1,068,207 | ||||||||||||
Real Estate Operating Companies | — | 1,765,338 | — | 1,765,338 | ||||||||||||
Real Estate Services | 1,419,485 | — | — | 1,419,485 | ||||||||||||
Research & Consulting Services | 167,468 | — | — | 167,468 | ||||||||||||
Residential REITs | 856,064 | — | — | 856,064 | ||||||||||||
Retail REITs | 448,250 | — | — | 448,250 | ||||||||||||
Specialized REITs | 5,347,095 | — | — | 5,347,095 | ||||||||||||
Thrifts & Mortgage Finance | 322,122 | — | — | 322,122 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 17,413,039 | 5,487,309 | — | 22,900,348 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | 38,250 | — | — | 38,250 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 430,882 | — | �� | — | 430,882 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 17,882,171 | $ | 5,487,309 | $ | — | $ | 23,369,480 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Written Options | ||||||||||||||||
Equity Risk | $ | (119,090 | ) | $ | — | $ | — | $ | (119,090 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (119,090 | ) | $ | — | $ | — | $ | (119,090 | ) | ||||||
|
|
|
|
|
|
|
|
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 — 100.0% of Net Assets |
| |||||||
Aerospace & Defense — 4.9% | ||||||||
HEICO Corp. | 74,777 | $ | 10,528,602 | |||||
|
| |||||||
Application Software — 17.3% | ||||||||
Autodesk, Inc. (1) | 18,119 | 5,289,117 | ||||||
Constellation Software, Inc. | 14,934 | 21,898,789 | ||||||
Topicus.com, Inc. (1) | 61,166 | 4,574,274 | ||||||
Trade Desk, Inc. (The) (1) | 7,557 | 5,511,396 | ||||||
|
| |||||||
37,273,576 | ||||||||
|
| |||||||
Data Processing & Outsourced Services — 9.4% | ||||||||
Fiserv, Inc. (1) | 83,434 | 10,022,092 | ||||||
Visa, Inc. | 43,086 | 10,063,166 | ||||||
|
| |||||||
20,085,258 | ||||||||
|
| |||||||
Environmental & Facilities Services — 4.1% | ||||||||
Waste Connections, Inc. (Canada) | 74,704 | 8,897,993 | ||||||
|
| |||||||
Financial Exchanges & Data — 10.2% | ||||||||
Morningstar, Inc. | 42,920 | 11,374,229 | ||||||
MSCI, Inc. | 21,689 | 10,535,866 | ||||||
|
| |||||||
21,910,095 | ||||||||
|
| |||||||
Health Care Equipment — 2.7% | ||||||||
Danaher Corp. | 23,239 | 5,901,312 | ||||||
|
| |||||||
Internet Services & Infrastructure — 11.5% | ||||||||
Dye & Durham, Ltd. | 431,933 | 14,988,798 | ||||||
Facebook, Inc. (1) | 30,083 | 9,779,382 | ||||||
|
| |||||||
24,768,180 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 5.8% | ||||||||
Agilent Technologies, Inc. | 39,895 | 5,331,568 | ||||||
Mettler-Toledo International, Inc. (1) | 5,452 | 7,160,220 | ||||||
|
| |||||||
12,491,788 | ||||||||
|
| |||||||
Research & Consulting Services — 9.5% | ||||||||
CoStar Group, Inc. (1) | 10,783 | 9,213,319 | ||||||
IHS Markit, Ltd. | 103,076 | 11,088,916 | ||||||
|
| |||||||
20,302,235 | ||||||||
|
|
Issues | Shares | Value | ||||||
Systems Software — 6.8% | ||||||||
Magnet Forensics, Inc. (1) | 4,449 | $ | 81,949 | |||||
Microsoft Corp. | 57,566 | 14,516,994 | ||||||
|
| |||||||
14,598,943 | ||||||||
|
| |||||||
Semiconductors — 2.0% | ||||||||
Broadcom, Inc. | 9,538 | 4,351,236 | ||||||
|
| |||||||
Building Products — 7.1% | ||||||||
Carrier Global Corp. | 101,761 | 4,434,744 | ||||||
Trane Technologies PLC | 61,891 | 10,758,513 | ||||||
|
| |||||||
15,193,257 | ||||||||
|
| |||||||
Electrical Equipment — 4.2% | ||||||||
AMETEK, Inc. | 66,202 | 8,932,636 | ||||||
|
| |||||||
Professional Services — 0.8% | ||||||||
Equifax, Inc. | 7,667 | 1,757,506 | ||||||
|
| |||||||
Machinery — 3.7% | ||||||||
Otis Worldwide Corp. | 102,419 | 7,975,368 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $148,260,262) |
| 214,967,985 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class 0.03% (2) | 574,179 | 574,179 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $574,179) |
| 574,179 | ||||||
|
| |||||||
Total Investments (100.3%) | ||||||||
(Cost: $148,834,441) |
| 215,542,164 | ||||||
Liabilities In Excess Of Other Assets (-0.3%) |
| (637,458 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 214,904,706 | |||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
See accompanying Notes to Financial Statements.
16
Table of Contents
TCW New America Premier Equities Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Aerospace & Defense | 4.9 | % | ||
Application Software | 17.3 | |||
Building Products | 7.1 | |||
Data Processing & Outsourced Services | 9.4 | |||
Electrical Equipment | 4.2 | |||
Environmental & Facilities Services | 4.1 | |||
Financial Exchanges & Data | 10.2 | |||
Health Care Equipment | 2.7 | |||
Internet Services & Infrastructure | 11.5 | |||
Life Sciences Tools & Services | 5.8 | |||
Machinery | 3.7 | |||
Professional Services | 0.8 | |||
Research & Consulting Services | 9.5 | |||
Semiconductors | 2.0 | |||
Systems Software | 6.8 | |||
Money Market Investments | 0.3 | |||
|
| |||
Total | 100.3 | % | ||
|
|
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, 2021 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 | $ | 10,528,602 | $ | — | $ | — | $ | 10,528,602 | ||||||||
Application Software | 37,273,576 | — | — | 37,273,576 | ||||||||||||
Building Products | 15,193,257 | — | — | 15,193,257 | ||||||||||||
Data Processing & Outsourced Services | 20,085,258 | — | — | 20,085,258 | ||||||||||||
Electrical Equipment | 8,932,636 | — | — | 8,932,636 | ||||||||||||
Environmental & Facilities Services | 8,897,993 | — | — | 8,897,993 | ||||||||||||
Financial Exchanges & Data | 21,910,095 | — | — | 21,910,095 | ||||||||||||
Health Care Equipment | 5,901,312 | — | — | 5,901,312 | ||||||||||||
Internet Services & Infrastructure | 24,768,180 | — | — | 24,768,180 | ||||||||||||
Life Sciences Tools & Services | 12,491,788 | — | — | 12,491,788 | ||||||||||||
Machinery | 7,975,368 | — | — | 7,975,368 | ||||||||||||
Professional Services | 1,757,506 | — | — | 1,757,506 | ||||||||||||
Research & Consulting Services | 20,302,235 | — | — | 20,302,235 | ||||||||||||
Semiconductors | 4,351,236 | — | — | 4,351,236 | ||||||||||||
Systems Software | 14,598,943 | — | — | 14,598,943 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 214,967,985 | — | — | 214,967,985 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 574,179 | — | — | 574,179 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 215,542,164 | $ | — | $ | — | $ | 215,542,164 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
18
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited) | April 30, 2021 |
Issues | Shares | Value | ||||||
COMMON STOCK — 99.1% of Net Assets |
| |||||||
Aerospace & Defense — 1.3% | ||||||||
Textron, Inc. | 57,699 | $ | 3,706,584 | |||||
|
| |||||||
Air Freight & Logistics — 3.8% | ||||||||
United Parcel Service, Inc. — Class B | 52,083 | 10,617,640 | ||||||
|
| |||||||
Auto Components — 0.9% | ||||||||
BorgWarner, Inc. | 51,966 | 2,524,508 | ||||||
|
| |||||||
Banks — 8.5% | ||||||||
Citigroup, Inc. | 67,109 | 4,780,845 | ||||||
JPMorgan Chase & Co. | 70,831 | 10,894,516 | ||||||
Wells Fargo & Co. | 92,500 | 4,167,125 | ||||||
Zions Bancorp | 69,870 | 3,898,746 | ||||||
|
| |||||||
23,741,232 | ||||||||
|
| |||||||
Beverages — 2.3% | ||||||||
PepsiCo, Inc. | 45,211 | 6,517,618 | ||||||
|
| |||||||
Biotechnology — 4.5% | ||||||||
AbbVie, Inc. | 50,147 | 5,591,390 | ||||||
Gilead Sciences, Inc. | 108,565 | 6,890,621 | ||||||
|
| |||||||
12,482,011 | ||||||||
|
| |||||||
Building Products — 4.4% | ||||||||
Johnson Controls International PLC (Ireland) | 194,389 | 12,118,210 | ||||||
|
| |||||||
Capital Markets — 7.8% | ||||||||
Ameriprise Financial, Inc. | 26,651 | 6,886,619 | ||||||
Blackstone Group, Inc. (The) | 34,700 | 3,070,603 | ||||||
Intercontinental Exchange, Inc. | 66,009 | 7,769,919 | ||||||
Morgan Stanley | 48,100 | 3,970,655 | ||||||
|
| |||||||
21,697,796 | ||||||||
|
| |||||||
Chemicals — 3.8% | ||||||||
Corteva, Inc. | 74,444 | 3,629,890 | ||||||
DuPont de Nemours, Inc. | 56,348 | 4,344,994 | ||||||
International Flavors & Fragrances, Inc. | 17,840 | 2,536,313 | ||||||
|
| |||||||
10,511,197 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 2.7% | ||||||||
AT&T, Inc. | 237,932 | 7,473,444 | ||||||
|
| |||||||
Electrical Equipment — 2.0% | ||||||||
nVent Electric PLC (Ireland) | 180,912 | 5,508,770 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.9% | ||||||||
Corning, Inc. | 119,562 | 5,285,836 | ||||||
|
| |||||||
Energy Equipment & Services — 2.1% | ||||||||
Baker Hughes Co. | 287,485 | 5,772,699 | ||||||
|
| |||||||
Equity Real Estate — 1.8% | ||||||||
Cousins Properties, Inc. | 69,155 | 2,535,914 | ||||||
Simon Property Group, Inc. | 20,934 | 2,548,505 | ||||||
|
| |||||||
5,084,419 | ||||||||
|
|
Issues | Shares | Value | ||||||
Food Products — 1.1% | ||||||||
Conagra Brands, Inc. | 79,800 | $ | 2,959,782 | |||||
|
| |||||||
Health Care Equipment & Supplies — 2.1% | ||||||||
Medtronic PLC (Ireland) | 44,328 | 5,803,422 | ||||||
|
| |||||||
Health Care Providers & Services — 4.4% | ||||||||
Anthem, Inc. | 12,463 | 4,728,338 | ||||||
McKesson Corp. | 39,415 | 7,392,677 | ||||||
|
| |||||||
12,121,015 | ||||||||
|
| |||||||
Household Durables — 4.0% | ||||||||
Lennar Corp. | 89,581 | 9,280,592 | ||||||
Whirlpool Corp. | 7,204 | 1,703,386 | ||||||
|
| |||||||
10,983,978 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 3.6% | ||||||||
AES Corp. (The) | 357,365 | 9,941,894 | ||||||
|
| |||||||
Industrial Conglomerates — 4.5% | ||||||||
Carlisle Cos., Inc. | 17,780 | 3,407,537 | ||||||
General Electric Co. | 702,979 | 9,223,085 | ||||||
|
| |||||||
12,630,622 | ||||||||
|
| |||||||
Insurance — 3.9% | ||||||||
MetLife, Inc. | 168,355 | 10,712,429 | ||||||
|
| |||||||
IT Services — 3.0% | ||||||||
International Business Machines Corp. | 58,347 | 8,278,272 | ||||||
|
| |||||||
Media — 4.8% | ||||||||
Comcast Corp. | 137,634 | 7,728,149 | ||||||
Fox Corp. | 149,524 | 5,595,188 | ||||||
|
| |||||||
13,323,337 | ||||||||
|
| |||||||
Metals & Mining — 1.4% | ||||||||
Freeport-McMoRan, Inc. | 103,127 | 3,888,919 | ||||||
|
| |||||||
Multi-Utilities — 1.2% | ||||||||
Sempra Energy | 24,523 | 3,373,629 | ||||||
|
| |||||||
Multiline Retail — 2.2% | ||||||||
Target Corp. | 29,400 | 6,093,444 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.8% | ||||||||
Chevron Corp. | 80,840 | 8,332,179 | ||||||
Exxon Mobil Corp. | 39,684 | 2,271,512 | ||||||
|
| |||||||
10,603,691 | ||||||||
|
| |||||||
Pharmaceuticals — 3.1% | ||||||||
Johnson & Johnson | 15,322 | 2,493,349 | ||||||
Novartis AG (SP ADR) (Switzerland) | 73,100 | 6,231,044 | ||||||
|
| |||||||
8,724,393 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.0% | ||||||||
Broadcom, Inc. | 18,482 | 8,431,488 | ||||||
|
|
See accompanying Notes to Financial Statements.
19
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
Specialty Retail — 1.0% | ||||||||
Dick’s Sporting Goods, Inc. | 34,500 | $ | 2,849,010 | |||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.2% | ||||||||
HP, Inc. | 120,813 | 4,120,932 | ||||||
Seagate Technology PLC (Ireland) | 80,999 | 7,519,947 | ||||||
|
| |||||||
11,640,879 | ||||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $178,370,243) |
| 275,402,168 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.5% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (1) | 1,423,741 | 1,423,741 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $1,423,741) |
| 1,423,741 | ||||||
|
| |||||||
Total Investments (99.6%) | ||||||||
(Cost: $179,793,984) |
| 276,825,909 | ||||||
Excess Of Other Assets Over Liabilities (0.4%) |
| 981,677 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 277,807,586 | |||||
|
|
Notes to the Schedule of Investments:
SP ADR | Sponsored American Depositary Receipt. ADRs are receipts, typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. Sponsored ADRs are ADRs issued with the cooperation of the foreign corporation. |
(1) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
See accompanying Notes to Financial Statements.
20
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Aerospace & Defense | 1.3 | % | ||
Air Freight & Logistics | 3.8 | |||
Auto Components | 0.9 | |||
Banks | 8.5 | |||
Beverages | 2.3 | |||
Biotechnology | 4.5 | |||
Building Products | 4.4 | |||
Capital Markets | 7.8 | |||
Chemicals | 3.8 | |||
Diversified Telecommunication Services | 2.7 | |||
Electrical Equipment | 2.0 | |||
Electronic Equipment, Instruments & Components | 1.9 | |||
Energy Equipment & Services | 2.1 | |||
Equity Real Estate | 1.8 | |||
Food Products | 1.1 | |||
Health Care Equipment & Supplies | 2.1 | |||
Health Care Providers & Services | 4.4 | |||
Household Durables | 4.0 | |||
Independent Power and Renewable Electricity Producers | 3.6 | |||
Industrial Conglomerates | 4.5 | |||
Insurance | 3.9 | |||
IT Services | 3.0 | |||
Media | 4.8 | |||
Metals & Mining | 1.4 | |||
Multi-Utilities | 1.2 | |||
Multiline Retail | 2.2 | |||
Oil, Gas & Consumable Fuels | 3.8 | |||
Pharmaceuticals | 3.1 | |||
Semiconductors & Semiconductor Equipment | 3.0 | |||
Specialty Retail | 1.0 | |||
Technology Hardware, Storage & Peripherals | 4.2 | |||
Money Market Investments | 0.5 | |||
|
| |||
Total | 99.6 | % | ||
|
|
See accompanying Notes to Financial Statements.
21
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Fair Valuation Summary (Unaudited)
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | $ | 3,706,584 | $ | — | $ | — | $ | 3,706,584 | ||||||||
Air Freight & Logistics | 10,617,640 | — | — | 10,617,640 | ||||||||||||
Auto Components | 2,524,508 | — | — | 2,524,508 | ||||||||||||
Banks | 23,741,232 | — | — | 23,741,232 | ||||||||||||
Beverages | 6,517,618 | — | — | 6,517,618 | ||||||||||||
Biotechnology | 12,482,011 | — | — | 12,482,011 | ||||||||||||
Building Products | 12,118,210 | — | — | 12,118,210 | ||||||||||||
Capital Markets | 21,697,796 | — | — | 21,697,796 | ||||||||||||
Chemicals | 10,511,197 | — | — | 10,511,197 | ||||||||||||
Diversified Telecommunication Services | 7,473,444 | — | — | 7,473,444 | ||||||||||||
Electrical Equipment | 5,508,770 | — | — | 5,508,770 | ||||||||||||
Electronic Equipment, Instruments & Components | 5,285,836 | — | — | 5,285,836 | ||||||||||||
Energy Equipment & Services | 5,772,699 | — | — | 5,772,699 | ||||||||||||
Equity Real Estate | 5,084,419 | — | — | 5,084,419 | ||||||||||||
Food Products | 2,959,782 | — | — | 2,959,782 | ||||||||||||
Health Care Equipment & Supplies | 5,803,422 | — | — | 5,803,422 | ||||||||||||
Health Care Providers & Services | 12,121,015 | — | — | 12,121,015 | ||||||||||||
Household Durables | 10,983,978 | — | — | 10,983,978 | ||||||||||||
Independent Power and Renewable Electricity Producers | 9,941,894 | — | — | 9,941,894 | ||||||||||||
Industrial Conglomerates | 12,630,622 | — | — | 12,630,622 | ||||||||||||
Insurance | 10,712,429 | — | — | 10,712,429 | ||||||||||||
IT Services | 8,278,272 | — | — | 8,278,272 | ||||||||||||
Media | 13,323,337 | — | — | 13,323,337 | ||||||||||||
Metals & Mining | 3,888,919 | — | — | 3,888,919 | ||||||||||||
Multi-Utilities | 3,373,629 | — | — | 3,373,629 | ||||||||||||
Multiline Retail | 6,093,444 | — | — | 6,093,444 | ||||||||||||
Oil, Gas & Consumable Fuels | 10,603,691 | — | — | 10,603,691 | ||||||||||||
Pharmaceuticals | 8,724,393 | — | — | 8,724,393 | ||||||||||||
Semiconductors & Semiconductor Equipment | 8,431,488 | — | — | 8,431,488 | ||||||||||||
Specialty Retail | 2,849,010 | — | — | 2,849,010 | ||||||||||||
Technology Hardware, Storage & Peripherals | 11,640,879 | — | — | 11,640,879 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 275,402,168 | — | — | 275,402,168 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 1,423,741 | — | — | 1,423,741 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 276,825,909 | $ | — | $ | — | $ | 276,825,909 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
22
Table of Contents
TCW Relative Value Large Cap Fund
Schedule of Investments (Unaudited) | April 30, 2021 |
Issues | Shares | Value | ||||||
COMMON STOCK — 96.8% of Net Assets |
| |||||||
Aerospace & Defense — 3.3% | ||||||||
L3Harris Technologies, Inc. | 5,829 | $ | 1,219,602 | |||||
Textron, Inc. | 51,109 | 3,283,242 | ||||||
|
| |||||||
4,502,844 | ||||||||
|
| |||||||
Air Freight & Logistics — 2.8% | ||||||||
United Parcel Service, Inc. — Class B | 18,465 | 3,764,275 | ||||||
|
| |||||||
Banks — 8.7% | ||||||||
Citigroup, Inc. | 50,567 | 3,602,393 | ||||||
JPMorgan Chase & Co. | 31,071 | 4,779,030 | ||||||
Signature Bank | 6,025 | 1,515,348 | ||||||
Zions Bancorp | 31,800 | 1,774,440 | ||||||
|
| |||||||
11,671,211 | ||||||||
|
| |||||||
Beverages — 1.6% | ||||||||
PepsiCo, Inc. | 14,615 | 2,106,898 | ||||||
|
| |||||||
Biotechnology — 2.9% | ||||||||
AbbVie, Inc. | 19,309 | 2,152,953 | ||||||
Gilead Sciences, Inc. | 27,729 | 1,759,960 | ||||||
|
| |||||||
3,912,913 | ||||||||
|
| |||||||
Building Products — 3.4% | ||||||||
Johnson Controls International PLC (Ireland) | 74,060 | 4,616,900 | ||||||
|
| |||||||
Capital Markets — 7.8% | ||||||||
Ameriprise Financial, Inc. | 10,918 | 2,821,211 | ||||||
Blackstone Group, Inc. (The) | 20,900 | 1,849,441 | ||||||
Intercontinental Exchange, Inc. | 34,903 | 4,108,432 | ||||||
Morgan Stanley | 21,000 | 1,733,550 | ||||||
|
| |||||||
10,512,634 | ||||||||
|
| |||||||
Chemicals — 1.9% | ||||||||
DuPont de Nemours, Inc. | 20,454 | 1,577,208 | ||||||
International Flavors & Fragrances, Inc. | 6,899 | 980,831 | ||||||
|
| |||||||
2,558,039 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 2.2% | ||||||||
AT&T, Inc. | 92,897 | 2,917,895 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.5% | ||||||||
Corning, Inc. | 56,399 | 2,493,400 | ||||||
Flex Ltd. (1) | 129,371 | 2,251,055 | ||||||
|
| |||||||
4,744,455 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.5% | ||||||||
Baker Hughes Co. | 102,740 | 2,063,019 | ||||||
|
| |||||||
Equity Real Estate — 1.1% | ||||||||
Weyerhaeuser Co. | 36,548 | 1,416,966 | ||||||
|
| |||||||
Food Products — 1.5% | ||||||||
Conagra Brands, Inc. | 55,658 | 2,064,355 | ||||||
|
|
Issues | Shares | Value | ||||||
Health Care Equipment & Supplies — 2.9% | ||||||||
Medtronic PLC (Ireland) | 17,900 | $ | 2,343,468 | |||||
Zimmer Biomet Holdings, Inc. | 8,844 | 1,566,803 | ||||||
|
| |||||||
3,910,271 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.9% | ||||||||
Centene Corp. (1) | 47,280 | 2,919,067 | ||||||
McKesson Corp. | 14,010 | 2,627,716 | ||||||
Molina Healthcare, Inc. (1) | 14,438 | 3,683,134 | ||||||
|
| |||||||
9,229,917 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.7% | ||||||||
Darden Restaurants, Inc. | 15,680 | 2,300,570 | ||||||
|
| |||||||
Household Durables — 3.7% | ||||||||
Lennar Corp. | 48,079 | 4,980,984 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 2.8% | ||||||||
AES Corp. (The) | 136,800 | 3,805,776 | ||||||
|
| |||||||
Industrial Conglomerates — 2.7% | ||||||||
General Electric Co. | 274,136 | 3,596,664 | ||||||
|
| |||||||
Insurance — 2.5% | ||||||||
MetLife, Inc. | 53,113 | 3,379,580 | ||||||
|
| |||||||
IT Services — 4.2% | ||||||||
Fiserv, Inc. (1) | 22,544 | 2,707,986 | ||||||
International Business Machines Corp. | 20,557 | 2,916,627 | ||||||
|
| |||||||
5,624,613 | ||||||||
|
| |||||||
Media — 8.9% | ||||||||
Comcast Corp. | 82,148 | 4,612,610 | ||||||
Discovery, Inc. (1) | 72,354 | 2,724,852 | ||||||
Fox Corp. | 53,252 | 1,992,690 | ||||||
ViacomCBS, Inc. — Class B | 65,575 | 2,689,886 | ||||||
|
| |||||||
12,020,038 | ||||||||
|
| |||||||
Metals & Mining — 2.9% | ||||||||
Freeport-McMoRan, Inc. | 104,636 | 3,945,824 | ||||||
|
| |||||||
Multi-Utilities — 1.1% | ||||||||
Sempra Energy | 10,308 | 1,418,072 | ||||||
|
| |||||||
Multiline Retail — 2.1% | ||||||||
Target Corp. | 13,854 | 2,871,380 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.7% | ||||||||
Chevron Corp. | 23,900 | 2,463,373 | ||||||
Exxon Mobil Corp. | 19,608 | 1,122,362 | ||||||
|
| |||||||
3,585,735 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.2% | ||||||||
Jones Lang LaSalle, Inc. (1) | 8,297 | 1,559,089 | ||||||
|
|
See accompanying Notes to Financial Statements.
23
Table of Contents
TCW Relative Value Large Cap Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment — 5.6% | ||||||||
Broadcom, Inc. | 7,094 | $ | 3,236,283 | |||||
Micron Technology, Inc. (1) | 15,700 | 1,351,299 | ||||||
ON Semiconductor Corp. (1) | 77,110 | 3,007,290 | ||||||
|
| |||||||
7,594,872 | ||||||||
|
| |||||||
Specialty Retail — 1.0% | ||||||||
Dick’s Sporting Goods, Inc. | 16,800 | 1,387,344 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.7% | ||||||||
HP, Inc. | 67,500 | 2,302,425 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $73,013,049) |
| 130,365,558 | ||||||
|
| |||||||
Money Market Investments — 3.4% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | 4,552,877 | 4,552,877 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $4,552,877) |
| 4,552,877 | ||||||
|
| |||||||
Total Investments (100.2%) | ||||||||
(Cost: $77,565,926) |
| 134,918,435 | ||||||
Liabilities In Excess Of Other Assets (-0.2%) |
| (258,359 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 134,660,076 | |||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
See accompanying Notes to Financial Statements.
24
Table of Contents
TCW Relative Value Large Cap Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Aerospace & Defense | 3.3 | % | ||
Air Freight & Logistics | 2.8 | |||
Banks | 8.7 | |||
Beverages | 1.6 | |||
Biotechnology | 2.9 | |||
Building Products | 3.4 | |||
Capital Markets | 7.8 | |||
Chemicals | 1.9 | |||
Diversified Telecommunication Services | 2.2 | |||
Electronic Equipment, Instruments & Components | 3.5 | |||
Energy Equipment & Services | 1.5 | |||
Equity Real Estate | 1.1 | |||
Food Products | 1.5 | |||
Health Care Equipment & Supplies | 2.9 | |||
Health Care Providers & Services | 6.9 | |||
Hotels, Restaurants & Leisure | 1.7 | |||
Household Durables | 3.7 | |||
Independent Power and Renewable Electricity Producers | 2.8 | |||
Industrial Conglomerates | 2.7 | |||
Insurance | 2.5 | |||
IT Services | 4.2 | |||
Media | 8.9 | |||
Metals & Mining | 2.9 | |||
Multi-Utilities | 1.1 | |||
Multiline Retail | 2.1 | |||
Oil, Gas & Consumable Fuels | 2.7 | |||
Real Estate Management & Development | 1.2 | |||
Semiconductors & Semiconductor Equipment | 5.6 | |||
Specialty Retail | 1.0 | |||
Technology Hardware, Storage & Peripherals | 1.7 | |||
Money Market Investments | 3.4 | |||
|
| |||
Total | 100.2 | % | ||
|
|
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, 2021 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 | $ | 4,502,844 | $ | — | $ | — | $ | 4,502,844 | ||||||||
Air Freight & Logistics | 3,764,275 | — | — | 3,764,275 | ||||||||||||
Banks | 11,671,211 | — | — | 11,671,211 | ||||||||||||
Beverages | 2,106,898 | — | — | 2,106,898 | ||||||||||||
Biotechnology | 3,912,913 | — | — | 3,912,913 | ||||||||||||
Building Products | 4,616,900 | — | — | 4,616,900 | ||||||||||||
Capital Markets | 10,512,634 | — | — | 10,512,634 | ||||||||||||
Chemicals | 2,558,039 | — | — | 2,558,039 | ||||||||||||
Diversified Telecommunication Services | 2,917,895 | — | — | 2,917,895 | ||||||||||||
Electronic Equipment, Instruments & Components | 4,744,455 | — | — | 4,744,455 | ||||||||||||
Energy Equipment & Services | 2,063,019 | — | — | 2,063,019 | ||||||||||||
Equity Real Estate | 1,416,966 | — | — | 1,416,966 | ||||||||||||
Food Products | 2,064,355 | — | — | 2,064,355 | ||||||||||||
Health Care Equipment & Supplies | 3,910,271 | — | — | 3,910,271 | ||||||||||||
Health Care Providers & Services | 9,229,917 | — | — | 9,229,917 | ||||||||||||
Hotels, Restaurants & Leisure | 2,300,570 | — | — | 2,300,570 | ||||||||||||
Household Durables | 4,980,984 | — | — | 4,980,984 | ||||||||||||
Independent Power and Renewable Electricity Producers | 3,805,776 | — | — | 3,805,776 | ||||||||||||
Industrial Conglomerates | 3,596,664 | — | — | 3,596,664 | ||||||||||||
Insurance | 3,379,580 | — | — | 3,379,580 | ||||||||||||
IT Services | 5,624,613 | — | — | 5,624,613 | ||||||||||||
Media | 12,020,038 | — | — | 12,020,038 | ||||||||||||
Metals & Mining | 3,945,824 | — | — | 3,945,824 | ||||||||||||
Multi-Utilities | 1,418,072 | — | — | 1,418,072 | ||||||||||||
Multiline Retail | 2,871,380 | — | — | 2,871,380 | ||||||||||||
Oil, Gas & Consumable Fuels | 3,585,735 | — | — | 3,585,735 | ||||||||||||
Real Estate Management & Development | 1,559,089 | — | — | 1,559,089 | ||||||||||||
Semiconductors & Semiconductor Equipment | 7,594,872 | — | — | 7,594,872 | ||||||||||||
Specialty Retail | 1,387,344 | — | — | 1,387,344 | ||||||||||||
Technology Hardware, Storage & Peripherals | 2,302,425 | — | — | 2,302,425 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 130,365,558 | — | — | 130,365,558 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 4,552,877 | — | — | 4,552,877 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 134,918,435 | $ | — | $ | — | $ | 134,918,435 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
26
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments (Unaudited) | April 30, 2021 |
Issues | Shares | Value | ||||||
COMMON STOCK — 100.0% of Net Assets |
| |||||||
Aerospace & Defense — 2.8% | ||||||||
Textron, Inc. | 34,988 | $ | 2,247,629 | |||||
|
| |||||||
Airlines — 1.2% | ||||||||
United Airlines Holdings, Inc. (1) | 17,647 | 959,997 | ||||||
|
| |||||||
Banks — 11.2% | ||||||||
First Citizens BancShares, Inc. | 1,088 | 943,796 | ||||||
KeyCorp | 132,442 | 2,881,938 | ||||||
Popular, Inc. | 43,565 | 3,222,067 | ||||||
Signature Bank | 3,656 | 919,521 | ||||||
Zions Bancorp | 16,445 | 917,631 | ||||||
|
| |||||||
8,884,953 | ||||||||
|
| |||||||
Capital Markets — 3.1% | ||||||||
Apollo Global Management, Inc. | 14,000 | 775,180 | ||||||
Evercore Partners, Inc. | 11,880 | 1,664,744 | ||||||
|
| |||||||
2,439,924 | ||||||||
|
| |||||||
Chemicals — 3.7% | ||||||||
Corteva, Inc. | 31,498 | 1,535,843 | ||||||
International Flavors & Fragrances, Inc. | 9,942 | 1,413,454 | ||||||
|
| |||||||
2,949,297 | ||||||||
|
| |||||||
Communications Equipment — 1.5% | ||||||||
CommScope Holding Co., Inc. (1) | 73,845 | 1,214,750 | ||||||
|
| |||||||
Construction & Engineering — 1.7% | ||||||||
Arcosa, Inc. | 22,871 | 1,378,893 | ||||||
|
| |||||||
Consumer Finance — 1.5% | ||||||||
OneMain Holdings, Inc. | 20,955 | 1,191,711 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 5.2% | ||||||||
Avnet, Inc. | 26,773 | 1,175,870 | ||||||
Flex Ltd. (1) | 98,650 | 1,716,510 | ||||||
TTM Technologies, Inc. (1) | 84,255 | 1,263,825 | ||||||
|
| |||||||
4,156,205 | ||||||||
|
| |||||||
Energy Equipment & Services — 2.2% | ||||||||
Baker Hughes Co. | 47,500 | 953,800 | ||||||
NOV, Inc. | 53,100 | 793,845 | ||||||
|
| |||||||
1,747,645 | ||||||||
|
| |||||||
Equity Real Estate — 2.2% | ||||||||
Cousins Properties, Inc. | 20,987 | 769,593 | ||||||
Innovative Industrial Properties, Inc. | 3,294 | 603,230 | ||||||
Mid-America Apartment Communities, Inc. | 2,583 | 406,384 | ||||||
|
| |||||||
1,779,207 | ||||||||
|
| |||||||
Food Products — 1.9% | ||||||||
Conagra Brands, Inc. | 22,943 | 850,956 | ||||||
Hain Celestial Group, Inc. (The) (1) | 7,067 | 289,818 |
Issues | Shares | Value | ||||||
Food Products (Continued) | ||||||||
TreeHouse Foods, Inc. (1) | 7,586 | $ | 361,093 | |||||
|
| |||||||
1,501,867 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% | ||||||||
Envista Holdings Corp. (1) | 8,190 | 354,463 | ||||||
Zimmer Biomet Holdings, Inc. | 6,196 | 1,097,684 | ||||||
|
| |||||||
1,452,147 | ||||||||
|
| |||||||
Health Care Providers & Services — 8.6% | ||||||||
Acadia Healthcare Co., Inc. (1) | 31,100 | 1,894,612 | ||||||
Centene Corp. (1) | 26,917 | 1,661,856 | ||||||
Henry Schein, Inc. (1) | 11,795 | 855,137 | ||||||
Molina Healthcare, Inc. (1) | 9,398 | 2,397,430 | ||||||
|
| |||||||
6,809,035 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.7% | ||||||||
Darden Restaurants, Inc. | 9,001 | 1,320,627 | ||||||
|
| |||||||
Household Durables — 9.4% | ||||||||
DR Horton, Inc. | 14,704 | 1,445,256 | ||||||
KB Home | 31,060 | 1,498,024 | ||||||
Lennar Corp. | 21,777 | 2,256,097 | ||||||
Toll Brothers, Inc. | 29,568 | 1,853,914 | ||||||
Whirlpool Corp. | 1,925 | 455,166 | ||||||
|
| |||||||
7,508,457 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 3.3% | ||||||||
AES Corp. (The) | 94,200 | 2,620,644 | ||||||
|
| |||||||
Industrial Conglomerates — 1.2% | ||||||||
Carlisle Cos., Inc. | 5,154 | 987,764 | ||||||
|
| |||||||
Insurance — 3.9% | ||||||||
Arch Capital Group, Ltd. (1) | 32,150 | 1,276,676 | ||||||
Assured Guaranty, Ltd. | 14,125 | 718,256 | ||||||
Axis Capital Holdings, Ltd. | 20,437 | 1,140,385 | ||||||
|
| |||||||
3,135,317 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.1% | ||||||||
eBay, Inc. | 15,896 | 886,838 | ||||||
|
| |||||||
IT Services — 0.9% | ||||||||
DXC Technology Co. | 21,000 | 691,110 | ||||||
|
| |||||||
Machinery — 8.5% | ||||||||
Dover Corp. | 10,420 | 1,554,560 | ||||||
Manitowoc Co., Inc. (The) (1) | 85,167 | 1,948,621 | ||||||
SPX FLOW, Inc. (1) | 19,305 | 1,285,520 | ||||||
Terex Corp. | 16,508 | 775,711 | ||||||
Westinghouse Air Brake Technologies Corp. | 14,716 | 1,207,742 | ||||||
|
| |||||||
6,772,154 | ||||||||
|
| |||||||
Marine — 2.1% | ||||||||
Kirby Corp. (1) | 26,720 | 1,702,064 | ||||||
|
|
See accompanying Notes to Financial Statements.
27
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
Media — 2.9% | ||||||||
Discovery, Inc. (1) | 30,835 | $ | 1,161,246 | |||||
ViacomCBS, Inc. — Class B | 28,319 | 1,161,645 | ||||||
|
| |||||||
2,322,891 | ||||||||
|
| |||||||
Metals & Mining — 2.8% | ||||||||
Freeport-McMoRan, Inc. (1) | 58,553 | 2,208,034 | ||||||
|
| |||||||
Multi-Utilities — 1.1% | ||||||||
Sempra Energy | 6,141 | 844,817 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.2% | ||||||||
Marathon Petroleum Corp. | 16,648 | 926,461 | ||||||
|
| |||||||
Pharmaceuticals — 1.5% | ||||||||
Elanco Animal Health, Inc. (1) | 24,850 | 787,994 | ||||||
Perrigo Co. PLC | 10,600 | 441,278 | ||||||
|
| |||||||
1,229,272 | ||||||||
|
| |||||||
Professional Services — 2.3% | ||||||||
Jacobs Engineering Group, Inc. | 13,710 | 1,831,793 | ||||||
|
| |||||||
Real Estate Management & Development — 1.3% | ||||||||
Jones Lang LaSalle, Inc. (1) | 5,433 | 1,020,915 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.4% | ||||||||
Maxim Integrated Products, Inc. | 11,617 | 1,091,998 | ||||||
|
| |||||||
Specialty Retail — 4.8% | ||||||||
Bed Bath & Beyond, Inc. | 36,029 | 912,254 | ||||||
Dick’s Sporting Goods, Inc. | 9,900 | 817,542 | ||||||
Guess?, Inc. | 42,360 | 1,145,414 | ||||||
Williams-Sonoma, Inc. | 5,601 | 956,371 | ||||||
|
| |||||||
3,831,581 | ||||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $44,194,680) |
| 79,645,997 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.3% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | 214,127 | 214,127 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $214,127) |
| 214,127 | ||||||
|
| |||||||
Total Investments (100.3%) | ||||||||
(Cost: $44,408,807) |
| 79,860,124 | ||||||
Liabilities In Excess Of Other Assets (-0.3%) |
| (234,267 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 79,625,857 | |||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
See accompanying Notes to Financial Statements.
28
Table of Contents
TCW Relative Value Mid Cap Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Aerospace & Defense | 2.8 | % | ||
Airlines | 1.2 | |||
Banks | 11.2 | |||
Capital Markets | 3.1 | |||
Chemicals | 3.7 | |||
Communications Equipment | 1.5 | |||
Construction & Engineering | 1.7 | |||
Consumer Finance | 1.5 | |||
Electronic Equipment, Instruments & Components | 5.2 | |||
Energy Equipment & Services | 2.2 | |||
Equity Real Estate | 2.2 | |||
Food Products | 1.9 | |||
Health Care Equipment & Supplies | 1.8 | |||
Health Care Providers & Services | 8.6 | |||
Hotels, Restaurants & Leisure | 1.7 | |||
Household Durables | 9.4 | |||
Independent Power and Renewable Electricity Producers | 3.3 | |||
Industrial Conglomerates | 1.2 | |||
Insurance | 3.9 | |||
Internet & Direct Marketing Retail | 1.1 | |||
IT Services | 0.9 | |||
Machinery | 8.5 | |||
Marine | 2.1 | |||
Media | 2.9 | |||
Metals & Mining | 2.8 | |||
Multi-Utilities | 1.1 | |||
Oil, Gas & Consumable Fuels | 1.2 | |||
Pharmaceuticals | 1.5 | |||
Professional Services | 2.3 | |||
Real Estate Management & Development | 1.3 | |||
Semiconductors & Semiconductor Equipment | 1.4 | |||
Specialty Retail | 4.8 | |||
Money Market Investments | 0.3 | |||
|
| |||
Total | 100.3 | % | ||
|
|
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, 2021 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 2,247,629 | $ | — | $ | — | $ | 2,247,629 | ||||||||
Airlines | 959,997 | — | — | 959,997 | ||||||||||||
Banks | 8,884,953 | — | — | 8,884,953 | ||||||||||||
Capital Markets | 2,439,924 | — | — | 2,439,924 | ||||||||||||
Chemicals | 2,949,297 | — | — | 2,949,297 | ||||||||||||
Communications Equipment | 1,214,750 | — | — | 1,214,750 | ||||||||||||
Construction & Engineering | 1,378,893 | — | — | 1,378,893 | ||||||||||||
Consumer Finance | 1,191,711 | — | — | 1,191,711 | ||||||||||||
Electronic Equipment, Instruments & Components | 4,156,205 | — | — | 4,156,205 | ||||||||||||
Energy Equipment & Services | 1,747,645 | — | — | 1,747,645 | ||||||||||||
Equity Real Estate | 1,779,207 | — | — | 1,779,207 | ||||||||||||
Food Products | 1,501,867 | — | — | 1,501,867 | ||||||||||||
Health Care Equipment & Supplies | 1,452,147 | — | — | 1,452,147 | ||||||||||||
Health Care Providers & Services | 6,809,035 | — | — | 6,809,035 | ||||||||||||
Hotels, Restaurants & Leisure | 1,320,627 | — | — | 1,320,627 | ||||||||||||
Household Durables | 7,508,457 | — | — | 7,508,457 | ||||||||||||
Independent Power and Renewable Electricity Producers | 2,620,644 | — | — | 2,620,644 | ||||||||||||
Industrial Conglomerates | 987,764 | — | — | 987,764 | ||||||||||||
Insurance | 3,135,317 | — | — | 3,135,317 | ||||||||||||
Internet & Direct Marketing Retail | 886,838 | — | — | 886,838 | ||||||||||||
IT Services | 691,110 | — | — | 691,110 | ||||||||||||
Machinery | 6,772,154 | — | — | 6,772,154 | ||||||||||||
Marine | 1,702,064 | — | — | 1,702,064 | ||||||||||||
Media | 2,322,891 | — | — | 2,322,891 | ||||||||||||
Metals & Mining | 2,208,034 | — | — | 2,208,034 | ||||||||||||
Multi-Utilities | 844,817 | — | — | 844,817 | ||||||||||||
Oil, Gas & Consumable Fuels | 926,461 | — | — | 926,461 | ||||||||||||
Pharmaceuticals | 1,229,272 | — | — | 1,229,272 | ||||||||||||
Professional Services | 1,831,793 | — | — | 1,831,793 | ||||||||||||
Real Estate Management & Development | 1,020,915 | — | — | 1,020,915 | ||||||||||||
Semiconductors & Semiconductor Equipment | 1,091,998 | — | — | 1,091,998 | ||||||||||||
Specialty Retail | 3,831,581 | — | — | 3,831,581 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 79,645,997 | — | — | 79,645,997 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 214,127 | — | — | 214,127 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 79,860,124 | $ | — | $ | — | $ | 79,860,124 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
30
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2021 |
Issues | Shares | Value | ||||||
COMMON STOCK — 99.6% of Net Assets |
| |||||||
Capital Markets — 4.0% | ||||||||
Charles Schwab Corp. (The) | 260,668 | $ | 18,351,027 | |||||
S&P Global, Inc. | 43,595 | 17,019,052 | ||||||
|
| |||||||
35,370,079 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.7% | ||||||||
Waste Connections, Inc. (Canada) | 124,732 | 14,856,829 | ||||||
|
| |||||||
Entertainment — 2.1% | ||||||||
Netflix, Inc. (1) | 36,637 | 18,812,000 | ||||||
|
| |||||||
Equity Real Estate — 6.3% | ||||||||
American Tower Corp. | 137,707 | 35,083,612 | ||||||
Equinix, Inc. | 28,490 | 20,534,453 | ||||||
|
| |||||||
55,618,065 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.1% | ||||||||
Costco Wholesale Corp. | 49,737 | 18,506,640 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 7.0% | ||||||||
Align Technology, Inc. (1) | 49,173 | 29,283,997 | ||||||
Boston Scientific Corp. (1) | 388,979 | 16,959,484 | ||||||
DexCom, Inc. (1) | 40,557 | 15,659,058 | ||||||
|
| |||||||
61,902,539 | ||||||||
|
| |||||||
Interactive Media & Services — 11.9% | ||||||||
Alphabet, Inc. — Class C (1) | 24,774 | 59,708,313 | ||||||
Facebook, Inc. (1) | 141,274 | 45,925,352 | ||||||
|
| |||||||
105,633,665 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 7.2% | ||||||||
Amazon.com, Inc. (1) | 18,565 | 64,372,652 | ||||||
|
| |||||||
IT Services — 15.4% | ||||||||
Mastercard, Inc. | 73,555 | 28,102,423 | ||||||
PayPal Holdings, Inc. (1) | 187,194 | 49,099,114 | ||||||
Snowflake, Inc. (1) | 36,294 | 8,405,328 | ||||||
Twilio, Inc. (1) | 26,280 | 9,665,784 | ||||||
Visa, Inc. | 177,569 | 41,473,016 | ||||||
|
| |||||||
136,745,665 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 3.3% | ||||||||
Illumina, Inc. (1) | 19,943 | 7,834,408 | ||||||
IQVIA Holdings, Inc. (1) | 91,251 | 21,415,697 | ||||||
|
| |||||||
29,250,105 | ||||||||
|
| |||||||
Pharmaceuticals — 2.8% | ||||||||
Zoetis, Inc. | 142,039 | 24,577,008 | ||||||
|
| |||||||
Professional Services — 4.8% | ||||||||
IHS Markit, Ltd. | 201,179 | 21,642,837 | ||||||
TransUnion | 205,180 | 21,459,776 | ||||||
|
| |||||||
43,102,613 | ||||||||
|
|
Issues | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment — 7.0% | ||||||||
ASML Holding NV (Netherlands) | 39,023 | $ | 25,290,806 | |||||
NVIDIA Corp. | 61,033 | 36,642,993 | ||||||
|
| |||||||
61,933,799 | ||||||||
|
| |||||||
Software — 19.9% | ||||||||
Adobe, Inc. (1) | 101,400 | 51,545,676 | ||||||
Salesforce.com, Inc. (1) | 153,753 | 35,412,391 | ||||||
ServiceNow, Inc. (1) | 96,551 | 48,890,530 | ||||||
Splunk, Inc. (1) | 89,409 | 11,303,086 | ||||||
Trade Desk, Inc. (The) (1) | 40,677 | 29,666,143 | ||||||
|
| |||||||
176,817,826 | ||||||||
|
| |||||||
Specialty Retail — 4.1% | ||||||||
Home Depot, Inc. (The) | 68,019 | 22,015,709 | ||||||
Ulta Beauty, Inc. (1) | 43,245 | 14,242,741 | ||||||
|
| |||||||
36,258,450 | ||||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $245,192,085) |
| 883,757,935 | ||||||
|
| |||||||
Total Investments (99.6%) | ||||||||
(Cost: $245,192,085) |
| 883,757,935 | ||||||
Excess Of Other Assets Over Liabilities (0.4%) |
| 3,421,892 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 887,179,827 | |||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
See accompanying Notes to Financial Statements.
31
Table of Contents
TCW Select Equities Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Capital Markets | 4.0 | % | ||
Commercial Services & Supplies | 1.7 | |||
Entertainment | 2.1 | |||
Equity Real Estate | 6.3 | |||
Food & Staples Retailing | 2.1 | |||
Health Care Equipment & Supplies | 7.0 | |||
Interactive Media & Services | 11.9 | |||
Internet & Direct Marketing Retail | 7.2 | |||
IT Services | 15.4 | |||
Life Sciences Tools & Services | 3.3 | |||
Pharmaceuticals | 2.8 | |||
Professional Services | 4.8 | |||
Semiconductors & Semiconductor Equipment | 7.0 | |||
Software | 19.9 | |||
Specialty Retail | 4.1 | |||
|
| |||
Total | 99.6 | % | ||
|
|
See accompanying Notes to Financial Statements.
32
Table of Contents
TCW Select Equities Fund
Fair Valuation Summary (Unaudited) | April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | ||||||||||||||||
Capital Markets | $ | 35,370,079 | $ | — | $ | — | $ | 35,370,079 | ||||||||
Commercial Services & Supplies | 14,856,829 | — | — | 14,856,829 | ||||||||||||
Entertainment | 18,812,000 | — | — | 18,812,000 | ||||||||||||
Equity Real Estate | 55,618,065 | — | — | 55,618,065 | ||||||||||||
Food & Staples Retailing | 18,506,640 | — | — | 18,506,640 | ||||||||||||
Health Care Equipment & Supplies | 61,902,539 | — | — | 61,902,539 | ||||||||||||
Interactive Media & Services | 105,633,665 | — | — | 105,633,665 | ||||||||||||
Internet & Direct Marketing Retail | 64,372,652 | — | — | 64,372,652 | ||||||||||||
IT Services | 136,745,665 | — | — | 136,745,665 | ||||||||||||
Life Sciences Tools & Services | 29,250,105 | — | — | 29,250,105 | ||||||||||||
Pharmaceuticals | 24,577,008 | — | — | 24,577,008 | ||||||||||||
Professional Services | 43,102,613 | — | — | 43,102,613 | ||||||||||||
Semiconductors & Semiconductor Equipment | 61,933,799 | — | — | 61,933,799 | ||||||||||||
Software | 176,817,826 | — | — | 176,817,826 | ||||||||||||
Specialty Retail | 36,258,450 | — | — | 36,258,450 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 883,757,935 | — | — | 883,757,935 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 883,757,935 | $ | — | $ | — | $ | 883,757,935 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
33
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2021 |
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | TCW Global Real Estate Fund | TCW New America Premier Equities Fund | |||||||||||||
ASSETS |
| |||||||||||||||
Investments, at Value (1) | $ | 16,994,467 | $ | 1,226,653 | $ | 23,369,480 | $ | 215,542,164 | ||||||||
Investment in Affiliated Issuers, at Value | — | 35,644,808 | (2) | — | — | |||||||||||
Receivable for Fund Shares Sold | 19,673 | — | 6,191,022 | 176,812 | ||||||||||||
Dividends Receivable | 1,336 | 35,053 | 37,958 | 32,858 | ||||||||||||
Foreign Tax Reclaims Receivable | — | — | 1,010 | — | ||||||||||||
Receivable from Investment Advisor | 10,463 | 1,923 | 12,864 | 2,796 | ||||||||||||
Prepaid Expenses | 19,517 | 25,465 | 22,144 | 29,308 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 17,045,456 | 36,933,902 | 29,634,478 | 215,783,938 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES |
| |||||||||||||||
Payable for Securities Purchased | — | 34,944 | 447,483 | 61,608 | ||||||||||||
Payable for Fund Shares Redeemed | 659 | 349,755 | — | 614,192 | ||||||||||||
Accrued Directors’ Fees and Expenses | 731 | 731 | 731 | 731 | ||||||||||||
Deferred Accrued Directors’ Fees and Expenses | 1,717 | 1,717 | 1,717 | 1,717 | ||||||||||||
Accrued Management Fees | 9,944 | — | 12,072 | 112,518 | ||||||||||||
Accrued Distribution Fees | 1,121 | 168 | 1,334 | 5,833 | ||||||||||||
Options Written, at Value (3) | — | — | 119,090 | — | ||||||||||||
Transfer Agent Fees Payable | 4,174 | 3,814 | 3,939 | 33,556 | ||||||||||||
Administration Fee Payable | 7,200 | 8,424 | 7,174 | 15,876 | ||||||||||||
Audit Fees Payable | 9,466 | 6,779 | 9,810 | 11,264 | ||||||||||||
Accounting Fees Payable | 1,147 | 1,837 | 1,206 | 6,815 | ||||||||||||
Custodian Fees Payable | 5,929 | 2,831 | 7,628 | 5,781 | ||||||||||||
Legal Fees Payable | 526 | 105 | 57 | 453 | ||||||||||||
Other Accrued Expenses | 199 | 687 | 67 | 8,888 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 42,813 | 411,792 | 612,308 | 879,232 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 17,002,643 | $ | 36,522,110 | $ | 29,022,170 | $ | 214,904,706 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in Capital | $ | 12,072,009 | $ | 28,688,963 | $ | 24,905,234 | $ | 129,131,439 | ||||||||
Accumulated Earnings (Loss) | 4,930,634 | 7,833,147 | 4,116,936 | 85,773,267 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 17,002,643 | $ | 36,522,110 | $ | 29,022,170 | $ | 214,904,706 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||||||
I Class Share | $ | 11,876,097 | $ | 35,695,407 | $ | 21,689,706 | $ | 185,989,178 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 5,126,546 | $ | 826,703 | $ | 7,332,464 | $ | 28,915,528 | ||||||||
|
|
|
|
|
| �� |
|
| ||||||||
CAPITAL SHARES OUTSTANDING: (4) |
| |||||||||||||||
I Class Share | 529,661 | 2,648,096 | 1,499,023 | 6,419,347 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 229,222 | 61,245 | 507,364 | 1,001,743 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (5) |
| |||||||||||||||
I Class Share | $ | 22.42 | $ | 13.48 | $ | 14.47 | $ | 28.97 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 22.36 | $ | 13.50 | $ | 14.45 | $ | 28.87 | ||||||||
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Artificial Intelligence Equity Fund, the TCW Conservative Allocation Fund, the TCW Global Real Estate Fund and the TCW New America Premier Equities Fund at April 30, 2021 was $12,760,517, $1,114,437, $20,083,143 and $148,834,441, respectively. |
(2) | The identified cost for investments in affiliated issuers of the TCW Conservative Allocation Fund was $29,715,384 . |
(3) | Premium received $48,550. |
(4) | The number of authorized shares, with a par value of $0.001 per share, is 4,000,000,000 for each of the I Class and N Class shares. |
(5) | Represents offering price and redemption price per share. |
See accompanying Notes to Financial Statements.
34
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2021 |
TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | TCW Select Equities Fund | |||||||||||||
ASSETS |
| |||||||||||||||
Investments, at Value (1) | $ | 276,825,909 | $ | 134,918,435 | $ | 79,860,124 | $ | 883,757,935 | ||||||||
Receivable for Securities Sold | 770,378 | — | 77,506 | 5,067,005 | ||||||||||||
Receivable for Fund Shares Sold | 3,461 | 72,287 | 85 | 285,066 | ||||||||||||
Dividends Receivable | 400,471 | 191,798 | 44,371 | 148,153 | ||||||||||||
Foreign Tax Reclaims Receivable | 177,140 | — | — | — | ||||||||||||
Receivable from Investment Advisor | 19,172 | 8,315 | 9,167 | 10,815 | ||||||||||||
Prepaid Expenses | 22,539 | 23,850 | 19,964 | 32,594 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 278,219,070 | 135,214,685 | 80,011,217 | 889,301,568 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES |
| |||||||||||||||
Payable for Securities Purchased | — | 252,947 | 281,065 | 835,949 | ||||||||||||
Payable for Fund Shares Redeemed | 138,151 | 160,516 | 7,799 | 404,612 | ||||||||||||
Disbursements in Excess of Available Cash | — | — | — | 163,565 | ||||||||||||
Accrued Directors’ Fees and Expenses | 731 | 731 | 731 | 731 | ||||||||||||
Deferred Accrued Directors’ Fees and Expenses | 1,717 | 1,717 | 1,717 | 1,717 | ||||||||||||
Accrued Management Fees | 135,123 | 65,801 | 45,181 | 465,856 | ||||||||||||
Accrued Distribution Fees | 40,795 | 2,587 | 3,243 | 33,809 | ||||||||||||
Transfer Agent Fees Payable | 31,023 | 18,835 | 9,050 | 84,684 | ||||||||||||
Administration Fee Payable | 17,532 | 11,857 | 9,851 | 43,616 | ||||||||||||
Audit Fees Payable | 12,813 | 12,819 | 12,176 | 12,947 | ||||||||||||
Accounting Fees Payable | 9,027 | 5,686 | 3,073 | 26,142 | ||||||||||||
Custodian Fees Payable | 5,188 | 5,644 | 5,277 | 3,673 | ||||||||||||
Legal Fees Payable | 1,494 | 890 | 260 | 4,118 | ||||||||||||
Other Accrued Expenses | 17,890 | 14,579 | 5,937 | 40,322 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 411,484 | 554,609 | 385,360 | 2,121,741 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 277,807,586 | $ | 134,660,076 | $ | 79,625,857 | $ | 887,179,827 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in Capital | $ | 168,995,795 | $ | 73,105,255 | $ | 37,761,326 | $ | 175,194,583 | ||||||||
Accumulated Earnings (Loss) | 108,811,791 | 61,554,821 | 41,864,531 | 711,985,244 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 277,807,586 | $ | 134,660,076 | $ | 79,625,857 | $ | 887,179,827 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||||||
I Class Share | $ | 76,736,445 | $ | 122,163,825 | $ | 63,499,082 | $ | 719,199,900 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 201,071,141 | $ | 12,496,251 | $ | 16,126,775 | $ | 167,979,927 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (2) |
| |||||||||||||||
I Class Share | 3,634,370 | 8,479,806 | 2,197,321 | 18,613,367 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 9,341,244 | 870,503 | 574,694 | 5,009,046 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (3) |
| |||||||||||||||
I Class Share | $ | 21.11 | $ | 14.41 | $ | 28.90 | $ | 38.64 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 21.53 | $ | 14.36 | $ | 28.06 | $ | 33.54 | ||||||||
|
|
|
|
|
|
|
|
(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, 2021 was $179,793,984, $77,565,926, $44,408,807 and $245,192,085, 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.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2021 |
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | TCW Global Real Estate Fund | TCW New America Premier Equities Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Income: |
| |||||||||||||||
Dividends | $ | 22,490 | (1) | $ | 7,770 | $ | 252,079 | (1) | $ | 460,675 | (1) | |||||
Dividends from Investment in Affiliated Issuers | — | 281,522 | — | — | ||||||||||||
Non-Cash Dividend Income | — | — | 7,190 | 1,541,013 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 22,490 | 289,292 | 259,269 | 2,001,688 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: |
| |||||||||||||||
Management Fees | 52,561 | — | 63,046 | 660,409 | ||||||||||||
Accounting Services Fees | 1,111 | 1,895 | 1,031 | 6,647 | ||||||||||||
Administration Fees | 7,170 | 8,369 | 7,119 | 15,505 | ||||||||||||
Transfer Agent Fees: |
| |||||||||||||||
I Class | 3,984 | 5,919 | 3,131 | 39,955 | ||||||||||||
N Class | 3,636 | 3,180 | 3,048 | 21,456 | ||||||||||||
Custodian Fees | 5,920 | 3,290 | 8,241 | 6,431 | ||||||||||||
Professional Fees | 12,327 | 9,828 | 12,841 | 15,900 | ||||||||||||
Directors’ Fees and Expenses | 19,810 | 19,810 | 19,810 | 19,810 | ||||||||||||
Registration Fees: |
| |||||||||||||||
I Class | 6,436 | 13,458 | 7,414 | 12,451 | ||||||||||||
N Class | 7,442 | 8,182 | 7,414 | 9,928 | ||||||||||||
Distribution Fees: |
| |||||||||||||||
N Class | 6,029 | 942 | 6,681 | 37,119 | ||||||||||||
Other | 2,674 | 3,353 | 3,945 | 14,897 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 129,100 | 78,226 | 143,721 | 860,508 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
I Class | 33,523 | — | 37,142 | — | ||||||||||||
N Class | 25,592 | 10,648 | 27,118 | 16,215 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 69,985 | 67,578 | 79,461 | 844,293 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | (47,495 | ) | 221,714 | 179,808 | 1,157,395 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS |
| |||||||||||||||
Net Realized Gain (Loss) on: |
| |||||||||||||||
Investments | 920,091 | 8,914 | 1,409,796 | 23,234,565 | ||||||||||||
Investments in Affiliated Issuers | — | 1,393,291 | — | — | ||||||||||||
Realized Gain Received as Distribution from Affiliated Issuers | — | 793,752 | — | — | ||||||||||||
Foreign Currency | — | — | (4,227 | ) | (44,455 | ) | ||||||||||
Options Written | — | — | 9,844 | — | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
| |||||||||||||||
Investments | 1,678,568 | 152,549 | 2,756,666 | 25,235,016 | ||||||||||||
Foreign Currency | — | — | 81 | (478 | ) | |||||||||||
Investments in Affiliated Issuers | — | 1,786,814 | — | — | ||||||||||||
Options Written | — | — | (61,917 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2,598,659 | 4,135,320 | 4,110,243 | 48,424,648 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,551,164 | $ | 4,357,034 | $ | 4,290,051 | $ | 49,582,043 | ||||||||
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $168, $6,883 and $15,430 for the TCW Artificial Intelligence Equity Fund, the TCW Global Real Estate Fund and the TCW New America Premier Equities Fund, respectively. |
See accompanying Notes to Financial Statements.
36
Table of Contents
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2021 |
TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | TCW Select Equities Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Income: |
| |||||||||||||||
Dividends | $ | 3,398,908 | (1) | $ | 1,174,302 | $ | 532,441 | (1) | $ | 2,151,511 | (1) | |||||
|
|
|
|
|
|
|
| |||||||||
Total | 3,398,908 | 1,174,302 | 532,441 | 2,151,511 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: |
| |||||||||||||||
Management Fees | 751,195 | 350,431 | 256,765 | 2,741,028 | ||||||||||||
Accounting Services Fees | 6,966 | 3,222 | 2,651 | 23,888 | ||||||||||||
Administration Fees | 16,818 | 11,336 | 9,610 | 43,787 | ||||||||||||
Transfer Agent Fees: |
| |||||||||||||||
I Class | 16,678 | 28,228 | 13,482 | 231,526 | ||||||||||||
N Class | 80,287 | 7,150 | 7,404 | 72,153 | ||||||||||||
Custodian Fees | 4,451 | 5,471 | 5,354 | 3,136 | ||||||||||||
Professional Fees | 16,116 | 14,957 | 15,238 | 20,867 | ||||||||||||
Directors’ Fees and Expenses | 19,810 | 19,810 | 19,810 | 19,810 | ||||||||||||
Registration Fees: |
| |||||||||||||||
I Class | 8,095 | 8,842 | 8,099 | 13,330 | ||||||||||||
N Class | 7,751 | 7,691 | 8,192 | 9,124 | ||||||||||||
Distribution Fees: |
| |||||||||||||||
N Class | 227,679 | 14,540 | 17,416 | 202,905 | ||||||||||||
Other | 20,201 | 9,621 | 8,295 | 47,373 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 1,176,047 | 481,299 | 372,316 | 3,428,927 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
I Class | 12,352 | 42,146 | 26,030 | — | ||||||||||||
N Class | 105,159 | 18,684 | 27,534 | 63,748 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 1,058,536 | 420,469 | 318,752 | 3,365,179 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 2,340,372 | 753,833 | 213,689 | (1,213,668 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Net Realized Gain (Loss) on: |
| |||||||||||||||
Investments | 20,185,676 | 5,668,798 | 9,324,717 | 76,565,316 | ||||||||||||
Foreign Currency | — | — | — | (105 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
| |||||||||||||||
Investments | 64,459,586 | 34,051,429 | 21,175,945 | 87,870,968 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 84,645,262 | 39,720,227 | 30,500,662 | 164,436,179 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 86,985,634 | $ | 40,474,060 | $ | 30,714,351 | $ | 163,222,511 | ||||||||
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $37,285, $3,813 and $17,524 for the TCW Relative Value Dividend Appreciation Fund, the TCW Relative Value Mid Cap Fund and the TCW Select Equities Fund, respectively. |
See accompanying Notes to Financial Statements.
37
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets (Unaudited)
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | |||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income (Loss) | $ | (47,495 | ) | $ | (27,567 | ) | $ | 221,714 | $ | 474,038 | ||||||
Net Realized Gain on Investments | 920,091 | 5,394 | 2,195,957 | 777,604 | ||||||||||||
Change in Unrealized Appreciation on Investments | 1,678,568 | 2,054,506 | 1,939,363 | 982,958 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 2,551,164 | 2,032,333 | 4,357,034 | 2,234,600 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | — | — | (575,017 | ) | (1,914,869 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 3,353,659 | 2,368,542 | (4,735,385 | ) | 6,821,453 | |||||||||||
N Class | 733,283 | 2,034,367 | 308,830 | 110,453 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 4,086,942 | 4,402,909 | (4,426,555 | ) | 6,931,906 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 6,638,106 | 6,435,242 | (644,538 | ) | 7,251,637 | |||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of period | 10,364,537 | 3,929,295 | 37,166,648 | 29,915,011 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 17,002,643 | $ | 10,364,537 | $ | 36,522,110 | $ | 37,166,648 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
38
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets (Unaudited)
TCW Global Real Estate Fund | TCW New America Premier Equities Fund | |||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income | $ | 179,808 | $ | 100,822 | $ | 1,157,395 | $ | 9,701 | ||||||||
Net Realized Gain (Loss) on Investments, Options Written and Foreign Currency Transactions | 1,415,413 | 230,373 | 23,190,110 | (4,331,020 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Options Written and Foreign Currency Transactions | 2,694,830 | (717,082 | ) | 25,234,538 | 22,429,848 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 4,290,051 | (385,887 | ) | 49,582,043 | 18,108,529 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (90,794 | ) | (97,923 | ) | (7,812 | ) | (1,541,399 | ) | ||||||||
Return of Capital | — | (37,297 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (90,794 | ) | (135,220 | ) | (7,812 | ) | (1,541,399 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 9,724,791 | 3,064,682 | (9,782,409 | ) | 36,474,946 | |||||||||||
N Class | 1,553,128 | 3,825,874 | (8,403,802 | ) | (25,097,539 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 11,277,919 | 6,890,556 | (18,186,211 | ) | 11,377,407 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets | 15,477,176 | 6,369,449 | 31,388,020 | 27,944,537 | ||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of period | 13,544,994 | 7,175,545 | 183,516,686 | 155,572,149 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 29,022,170 | $ | 13,544,994 | $ | 214,904,706 | $ | 183,516,686 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
39
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets (Unaudited)
TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | |||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income | $ | 2,340,372 | $ | 5,897,496 | $ | 753,833 | $ | 2,111,918 | ||||||||
Net Realized Gain (Loss) on Investments | 20,185,676 | (1,561,309 | ) | 5,668,798 | 10,057,184 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 64,459,586 | (32,819,637 | ) | 34,051,429 | (20,110,484 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 86,985,634 | (28,483,450 | ) | 40,474,060 | (7,941,382 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (2,494,073 | ) | (25,577,883 | ) | (8,614,565 | ) | (60,477,632 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | (1,467,921 | ) | (17,011,449 | ) | 9,752,442 | 9,084,745 | ||||||||||
N Class | (13,475,522 | ) | (32,303,970 | ) | 6,066 | 3,924,831 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (14,943,443 | ) | (49,315,419 | ) | 9,758,508 | 13,009,576 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 69,548,118 | (103,376,752 | ) | 41,618,003 | (55,409,438 | ) | ||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of period | 208,259,468 | 311,636,220 | 93,042,073 | 148,451,511 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 277,807,586 | $ | 208,259,468 | $ | 134,660,076 | $ | 93,042,073 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
40
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets (Unaudited)
TCW Relative Value Mid Cap Fund | TCW Select Equities Fund | |||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | |||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income (Loss) | $ | 213,689 | $ | 599,770 | $ | (1,213,668 | ) | $ | (2,691,047 | ) | ||||||
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | 9,324,717 | (1,737,138 | ) | 76,565,211 | 174,442,240 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 21,175,945 | (5,134,498 | ) | 87,870,968 | 20,731,898 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 30,714,351 | (6,271,866 | ) | 163,222,511 | 192,483,091 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (522,819 | ) | (2,022,186 | ) | (59,131,560 | ) | (81,574,839 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | (12,066,328 | ) | (6,218,927 | ) | 471,886 | (217,705,461 | ) | |||||||||
N Class | (422,382 | ) | (1,968,584 | ) | (12,690,849 | ) | (305,765 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (12,488,710 | ) | (8,187,511 | ) | (12,218,963 | ) | (218,011,226 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 17,702,822 | (16,481,563 | ) | 91,871,988 | (107,102,974 | ) | ||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of period | 61,923,035 | 78,404,598 | 795,307,839 | 902,410,813 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 79,625,857 | $ | 61,923,035 | $ | 887,179,827 | $ | 795,307,839 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
41
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 18 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 its own investment objective and strategies. The following is a brief description of the investment objectives and principal investment strategies for the Funds that are covered in this report:
TCW Fund | Investment Objectives and Principal Investment Strategies | |
Diversified U.S. Equity Fund | ||
TCW Artificial Intelligence Equity Fund | Seeks long-term capital appreciation by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in publicly traded equity securities of businesses that the portfolio managers believe are benefitting from or have the potential to benefit from advances in the use of artificial intelligence. | |
TCW Global Real Estate Fund | Seeks to maximize total return from current income and long-term capital growth by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in equity securities of real estate investment trusts (“REITs”) and real estate companies. Under normal market conditions, the Fund invests in securities of issuers located in at least three different countries (one of which may be the United States) and invests at least 30% of its net assets, plus any borrowings for investment purposes, in securities of issuers domiciled outside the United States or whose primary business operations are outside the United States, including pooled investment vehicles domiciled in the United States that invest principally in non-U.S. securities. | |
TCW New America Premier Equities Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in equity securities of U.S. companies; intends to achieve its objective by investing in a portfolio of companies the portfolio manager believes are enduring, cash generating businesses whose leaders prudently manage their environmental, social, and financial resources and whose shares are attractively valued relative to free cash flow generated by the businesses. | |
TCW Relative Value Dividend Appreciation Fund | Seeks to realize a high level of dividend income consistent with prudent investment management, with a secondary objective of capital appreciation, by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in equity securities of companies that have a record of paying dividends. |
42
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 1 — Organization (Continued)
TCW Fund | Investment Objectives and Principal Investment Strategies | |
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, plus any borrowings for investment purposes, in equity securities of large-capitalization companies (i.e., companies with a market capitalization of greater than $1 billion at the time of purchase). | |
TCW Relative Value Mid Cap Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in equity securities of mid-capitalization companies (i.e., companies with market capitalizations, at the time of acquisition, within the capitalization range of the companies comprising the Russell MidCap® Index). | |
TCW Select Equities Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in equity securities. The Fund invests primarily in equity securities of mid- and large-capitalization 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. |
All Funds offer two classes of shares: I Class and N Class. The two classes of a Fund are substantially the same except that the N Class shares are subject to a distribution fee (see Note 7).
The TCW Conservative Allocation Fund is a “fund of funds” that invests in affiliated and unaffiliated 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. Subsequent events, if any, have been evaluated through the date of issuance in the preparation of the financial statements.
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, which may not be the last sale price. Options
43
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 including money market funds are valued based on the NAV per share as reported by the investment companies. All other securities for which over-the-counter (“OTC”) market quotations are readily available, including short-term securities, are valued with prices furnished by independent pricing services or by broker dealers.
The Company has adopted, after the approval by the Company’s Board of Directors (the “Board,” and each member thereof, a “Director”), a fair valuation methodology for foreign equity securities (exclusive of certain Latin American and Canadian equity securities). This methodology is designed to address the effect of movements in the U.S. market on the securities traded on foreign exchanges that have been closed for a 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 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 inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 — | quoted prices in active markets for identical investments. | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.). | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or 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
44
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 2 — Significant Accounting Policies (Continued)
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:
Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are generally categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are generally categorized in Level 2 of the fair value hierarchy; if a discount is applied and significant, they are categorized in Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore the inputs are unobservable. Certain foreign securities that 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.
Mutual funds. Open-end mutual funds including money market funds are valued using the NAV as reported by the fund companies. As such, they are categorized in Level 1.
Options contracts. Option contracts traded on securities exchanges are fair 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, 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.
Warrants. Warrants 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.
The summary of the inputs used as of April 30, 2021 in valuing the Funds’ investments is listed after the Schedule of Investments for each Fund.
45
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
The Funds held no investments or other financial instruments at April 30, 2021 for which fair value was calculated using Level 3 inputs.
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
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.
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, derivative 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. 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.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) 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.
46
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
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. 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, 2021, the TCW Global Real Estate Fund had the following derivatives and transactions in derivatives, grouped in the following risk categories:
Equity Risk | ||||
Statement of Assets and Liabilities: | ||||
Asset Derivatives |
| |||
Investments (1) | $ | 38,250 | ||
|
| |||
Total Value | $ | 38,250 | ||
|
| |||
Liability Derivatives |
| |||
Written Options | $ | (119,090 | ) | |
|
| |||
Total Value | $ | (119,090 | ) | |
|
| |||
Statement of Operations: | ||||
Net Realized Gain (Loss) |
| |||
Investments (2) | $ | (139,192 | ) | |
Options Written | 9,844 | |||
|
| |||
Net Realized Gain (Loss) | $ | (129,348 | ) | |
|
| |||
Net Change in Appreciation (Depreciation) |
| |||
Investments (3) | $ | (7,724 | ) | |
Options Written | (61,917 | ) | ||
|
| |||
Net Change in Appreciation (Depreciation) | $ | (69,641 | ) | |
|
| |||
Number of Contracts (4) |
| |||
Options Purchased | 448 | |||
Options Written | 129 |
(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 year. |
(4) | Amount disclosed represents average notional amounts which are representative of the volume traded for the period ended April 30, 2021. |
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
47
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Funds do not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing
broker’s customers, potentially resulting in losses to the Funds.
For OTC derivatives, the Funds mitigate their counterparty risk by entering into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with each counterparty. 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 liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to FASB Accounting Standards Update (“ASU”) No. 2011-11, 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.
48
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 2 — Significant Accounting Policies (Continued)
Master Agreements and Netting Arrangements. Certain Funds are parties to various agreements, including but not limited to International Swaps and Derivatives Association Agreements and related Credit Support Annex, Master Repurchase Agreements, and Master Securities Forward Transactions Agreements (collectively “Master Agreements”), which govern the terms of certain transactions with select counterparties. These Master Agreements generally include provisions for general obligations, representations, agreements, collateral, and certain events of default or termination. These Master Agreements also include provisions for netting arrangements that help reduce credit and counterparty risk associated with relevant transactions (“netting arrangements”). The netting arrangements are generally tied to credit-related events that, if triggered, would cause an event of default or termination giving a Fund or counterparty the right to terminate early and cause settlement, on a net basis, of all transactions under the applicable Master Agreement. In the event of an early termination as a result of an event of default under the Master Agreement, the total value exposure of all transactions will be offset against collateral exchanged to date, which would result in a net receivable or payable that would be due from or to the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in the event of a bankruptcy or insolvency of the counterparty. Credit related events include, but are not limited to, bankruptcy, failure to make timely payments, restructuring, obligation acceleration, obligation default, a material decline in net assets, decline in credit rating or repudiation/moratorium. Any election made by a counterparty to early terminate the transactions under a Master Agreement could have a material adverse impact on a Fund’s financial statements. A Fund’s overall exposure to credit risk, subject to netting arrangements, can change substantially within a short period, as it is affected by each transaction subject to the arrangement.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions under the relevant Master Agreement with a counterparty in a given Fund exceeds a specified threshold, net of collateral already in place, typically $250,000 or $500,000 depending on the counterparty and the type of Master Agreement. Collateral under the Master Agreements is usually in the form of cash or U.S. Treasury Bills but could include other types of securities. If permitted under the Master Agreement, certain funds may rehypothecate cash collateral received from a counterparty. The value of all derivative transactions outstanding under a Master Agreement is calculated daily to determine the amount of collateral to be received or pledged by the counterparty. Posting of collateral for OTC derivative transactions are covered under tri-party collateral agreements between the Fund, the Fund’s custodian, and each counterparty. Collateral for centrally cleared derivatives transactions are posted with the applicable derivatives clearing organization.
The Funds had no OTC derivatives for offset under an ISDA Master Agreement as of April 30, 2021.
Note 3 — Portfolio Investments
When-Issued, Delayed-Delivery and Forward Commitment Transactions: The Funds, with the exception of the TCW Conservative Allocation Fund, may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of each Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk
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Notes to Financial Statements (Continued)
Note 3 — Portfolio Investments (Continued)
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 the Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate with market conditions. In addition, because the Fund is not required to pay for when-issued, delayed-delivery or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not 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. There were no when-issued, delayed-delivery or forward commitment transactions in the Funds during the period ended April 30, 2021.
Repurchase Agreements: The Funds may enter into Repurchase Agreements, under the terms of a Master Repurchase Agreement (“MRA”). In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. 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 an 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, 2021.
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, 2021.
Derivatives:
Forward Foreign Currency Contracts: The Funds, with the exception of the TCW Conservative Allocation Fund, may enter into forward foreign currency contracts as a hedge against fluctuations in foreign exchange rates. Forward foreign currency contracts are marked-to-market daily and the change in market value is recorded by the Funds as 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 Funds did not have forward any foreign currency contracts during the period ended April 30, 2021.
Options: The Funds may purchase and sell put and call options on a security or an index of securities to enhance investment performance and/or to protect against changes in market prices. The Funds may also enter into currency options to hedge against or to take advantage of currency fluctuations.
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April 30, 2021 |
Note 3 — Portfolio Investments (Continued)
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.
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 expire are treated as realized losses.
Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace the expiring series, and opening transactions in existing series may be prohibited.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be 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, 2021, TCW Global Real Estate Fund entered into option contracts to hedge the Fund’s investments from market volatility in the real estate sector.
Note 4 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
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Notes to Financial Statements (Continued)
Note 4 — Risk Considerations (Continued)
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Counterparty Risk: The Funds may be exposed to counterparty risk, the risk that an entity with which the Funds have unsettled or open transactions may not fulfill its obligations.
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 or the right to acquire an ownership interest in an issuer. Equity risk is the risk that stocks and other equity securities generally fluctuate in value more than bonds and can decline in value over short or extended periods. The value of stocks and other equity securities will be affected by changes in a company’s financial condition and in overall market, economic and political conditions.
LIBOR Risk: LIBOR is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt securities in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund’s derivative investments may also reference LIBOR. In addition, issuers of instruments in which a Fund invests may obtain financing at floating rates based on LIBOR, and a Fund may use leverage or borrowings based on LIBOR. The head of the United Kingdom Financial Conduct Authority has announced the intention to begin phasing out the use of LIBOR by the end of 2021. Although the transition process away from LIBOR has become increasingly well-defined in advance of the anticipated discontinuation date, there remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. The ultimate abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. Any potential effects of the transition away from LIBOR on a Fund or on certain instruments in which a Fund invests can be difficult to ascertain, and they may vary depending on factors that include, but are not limited to: (i) existing fallback or termination provisions in individual contracts and (ii) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new products and instruments. For example, certain of a Fund’s investments may involve individual contracts that have (i) no existing fallback provision or language that contemplates the discontinuation of LIBOR or (ii) inadequate fallback provisions or language that does not contemplate a permanent discontinuation of LIBOR, and those investments could experience increased volatility or reduced liquidity as a result of the transition process. In addition, interest rate provisions included in such contracts may need to be renegotiated in contemplation of the transition away from LIBOR. The transition may also result in a reduction in the value of certain instruments held by the Funds or a reduction in the effectiveness of related Fund transactions such as hedges. In addition, an instrument’s transition to a replacement rate could result in variations in the reported yields of the Fund that holds such instrument. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to a Fund.
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April 30, 2021 |
Note 4 — Risk Considerations (Continued)
Public Health Emergencies Risk and Impact of the Coronavirus (COVID-19): Pandemics and other local, national, and international public health emergencies, including outbreaks of infectious diseases such as SARS, H1N1/09 Flu, the Avian Flu, Ebola and the current coronavirus pandemic (“COVID-19”), can result, and in the case of COVID-19 is resulting, in market volatility and disruption, and any similar future emergencies may materially and adversely impact economic production and activity in ways that cannot be predicted, all of which could result in substantial investment losses.
This outbreak has caused a worldwide public health emergency, straining healthcare resources and resulting in extensive and growing numbers of infections, hospitalizations and deaths. In an effort to contain COVID-19, local, regional, and national governments, as well as private businesses and other organizations, have imposed and continue to impose severely restrictive measures, including instituting local and regional quarantines, restricting travel (including closing certain international borders), prohibiting public activity (including “stay-at-home,” “shelter-in-place,” and similar orders), and ordering the closure of a wide range of offices, businesses, schools, and other public venues. Consequently, COVID-19 has significantly diminished and disrupted global economic production and activity of all kinds and has contributed to both volatility and a severe decline in financial markets. Among other things, these unprecedented developments have resulted in: (i) material reductions in demand across most categories of consumers and businesses; (ii) dislocation (or, in some cases, a complete halt) in the credit and capital markets; (iii) labor force and operational disruptions; (iv) slowing or complete idling of certain supply chains and manufacturing activity; and (v) strain and uncertainty for businesses and households, with a particularly acute impact on industries dependent on travel and public accessibility, such as transportation, hospitality, tourism, retail, sports, and entertainment.
The ultimate impact of COVID-19 (and of the resulting precipitous decline and disruption in economic and commercial activity across many of the world’s economies) on global economic conditions, and on the operations, financial condition, and performance of any particular market, industry or business, is impossible to predict. However, ongoing and potential additional materially adverse effects, including further global, regional and local economic downturns (including recessions) of indeterminate duration and severity, are possible. The extent of COVID-19’s impact will depend on many factors, including the ultimate duration and scope of the public health emergency and the restrictive countermeasures being undertaken, as well as the effectiveness of other governmental, legislative, and financial and monetary policy interventions designed to mitigate the crisis and address its negative externalities, all of which are evolving rapidly and may have unpredictable results. The ongoing COVID-19 crisis and any other public health emergency could have a significant adverse impact on our investments and result in significant investment losses.
For more information on risks related to investing in the Funds, 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 customer service at 800-FUND-TCW (800-386-3829).
Note 5 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
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Notes to Financial Statements (Continued)
Note 5 — Federal Income Taxes (Continued)
At April 30, 2021, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows:
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Artificial Intelligence Equity Fund | $ | 4,346,195 | $ | (181,911 | ) | $ | 4,164,284 | $ | 12,830,183 | |||||||
TCW Conservative Allocation Fund | 5,848,720 | (27,867 | ) | 5,820,853 | 31,050,608 | |||||||||||
TCW Global Real Estate Fund | 3,141,487 | (39,014 | ) | 3,102,473 | 20,228,757 | |||||||||||
TCW New America Premier Equities Fund | 66,169,791 | (10,640 | ) | 66,159,151 | 149,383,013 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | 97,003,780 | (5,091,929 | ) | 91,911,851 | 184,914,058 | |||||||||||
TCW Relative Value Large Cap Fund | 55,650,391 | (274,322 | ) | 55,376,069 | 79,542,366 | |||||||||||
TCW Relative Value Mid Cap Fund | 34,971,886 | (58,773 | ) | 34,913,113 | 44,947,011 | |||||||||||
TCW Select Equities Fund | 638,411,949 | (1,125,520 | ) | 637,286,429 | 246,471,506 |
At October 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Conservative Allocation Fund | $ | — | $ | 207,946 | $ | 207,946 | ||||||
TCW Relative Value Dividend Appreciation Fund | 501,037 | — | 501,037 | |||||||||
TCW Relative Value Large Cap Fund | 1,552,259 | 6,832,662 | 8,384,921 | |||||||||
TCW Relative Value Mid Cap Fund | 83,267 | — | 83,267 | |||||||||
TCW Select Equities Fund | — | 59,130,584 | 59,130,584 |
For the fiscal year ended October 31, 2020, the tax character of distributions paid was as follows:
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Conservative Allocation Fund | $ | 952,066 | $ | 962,803 | $ | — | $ | 1,914,869 | ||||||||
TCW Global Real Estate Fund | 97,923 | — | 37,297 | 135,220 | ||||||||||||
TCW New America Premier Equities Fund | 966,007 | 575,392 | — | 1,541,399 | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 6,004,680 | 19,573,203 | — | 25,577,883 | ||||||||||||
TCW Relative Value Large Cap Fund | 3,918,408 | 56,559,224 | — | 60,477,632 | ||||||||||||
TCW Relative Value Mid Cap Fund | 647,695 | 1,374,491 | — | 2,022,186 | ||||||||||||
TCW Select Equities Fund | — | 81,574,839 | — | 81,574,839 |
At October 31, 2020, the following Funds had net realized loss carryforwards for federal income tax purposes:
Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Artificial Intelligence Equity Fund | $ | 104,258 | $ | — | $ | 104,258 | ||||||
TCW Global Real Estate Fund | 423,497 | — | 423,497 | |||||||||
TCW New America Premier Equities Fund | 4,031,313 | — | 4,031,313 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 3,193,061 | — | 3,193,061 | |||||||||
TCW Relative Value Mid Cap Fund | 1,978,376 | — | 1,978,376 |
The Funds did not have any unrecognized tax benefits at April 30, 2021, nor were there any increases or decreases in unrecognized tax benefits for the period ended April 30, 2021. 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.
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April 30, 2021 |
Note 6 — 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 | 0.70 | % | ||
TCW Global Real Estate Fund | 0.80 | % | ||
TCW New America Premier Equities Fund | 0.65 | % | ||
TCW Relative Value Dividend Appreciation Fund | 0.60 | % | ||
TCW Relative Value Large Cap Fund | 0.60 | % | ||
TCW Relative Value Mid Cap Fund | 0.70 | % | ||
TCW Select Equities Fund | 0.65 | % |
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 underlying affiliated funds.
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative
to the Funds’ average daily net assets:
TCW Artificial Intelligence Equity Fund | ||||
I Class | 0.90 | % (1) | ||
N Class | 1.00 | % (1) | ||
TCW Conservative Allocation Fund | ||||
I Class | 0.85 | % (1) | ||
N Class | 0.85 | % (1) | ||
TCW Global Real Estate Fund | ||||
I Class | 0.90 | % (1)(2) | ||
N Class | 1.00 | % (1)(2) | ||
TCW New America Premier Equities Fund | ||||
I Class | 1.09 | % (3) | ||
N Class | 1.09 | % (3) | ||
TCW Relative Value Dividend Appreciation Fund | ||||
I Class | 0.70 | % (1) | ||
N Class | 0.90 | % (1) | ||
TCW Relative Value Large Cap Fund | ||||
I Class | 0.70 | % (1) | ||
N Class | 0.90 | % (1) | ||
TCW Relative Value Mid Cap Fund | ||||
I Class | 0.85 | % (1) | ||
N Class | 0.95 | % (1) | ||
TCW Select Equities Fund | ||||
I Class | 0.80 | % (1) | ||
N Class | 1.00 | % (1) |
(1) | These limitations are based on an agreement between the Advisor and the Company. |
(2) | This limitation was in effect March 1, 2021. From November 1, 2020 through February 28, 2021, the expense limitation was 1.00% for Class I Shares and 1.15 % for Class N Shares. |
(3) | 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, 2021. 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 only recapture expenses within a given fiscal year for that year’s operating expenses.
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Notes to Financial Statements (Continued)
Note 6 — Fund Management Fees and Other Expenses (Continued)
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which are shown on the Statement of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Deferred compensation is included within directors’ fees and expenses in the Statements of Assets and Liabilities.
Note 7 — 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 8 — Transactions with Affiliates
The ownership percentage of the TCW Conservative Allocation Fund in each of the affiliated underlying funds at April 30, 2021 is as follows:
Name of Affiliated Fund | Ownership Percentage (1) | |||
Metropolitan West High Yield Bond Fund | 0.05 | % | ||
Metropolitan West Low Duration Bond Fund | 0.14 | % | ||
Metropolitan West Total Return Bond Fund | 0.01 | % | ||
Metropolitan West Unconstrained Bond Fund | 0.19 | % | ||
TCW Artificial Intelligence Equity Fund | 2.39 | % | ||
TCW Emerging Markets Income Fund | 0.00 | % (2) | ||
TCW Global Bond Fund | 2.29 | % | ||
TCW Global Real Estate Fund | 6.38 | % | ||
TCW New America Premier Equities Fund | 1.66 | % | ||
TCW Relative Value Large Cap Fund | 3.33 | % | ||
TCW Relative Value Mid Cap Fund | 1.31 | % | ||
TCW Select Equities Fund | 0.40 | % | ||
TCW Total Return Bond Fund | 0.06 | % |
(1) | Percentage ownership based on total net assets of the underlying fund. |
(2) | Amount rounds to less than 0.01%. |
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.
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April 30, 2021 |
Note 9 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the period ended April 30, 2021 were as follows:
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 | $ | 11,809,891 | $ | 8,385,231 | $ | — | $ | — | ||||||||
TCW Conservative Allocation Fund | 7,734,245 | 10,837,188 | — | — | ||||||||||||
TCW Global Real Estate Fund | 13,465,781 | 7,536,699 | — | — | ||||||||||||
TCW New America Premier Equities Fund | 173,889,077 | 191,694,148 | — | — | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 25,063,294 | 42,113,509 | — | — | ||||||||||||
TCW Relative Value Large Cap Fund | 11,875,069 | 14,348,143 | — | — | ||||||||||||
TCW Relative Value Mid Cap Fund | 11,538,549 | 24,061,715 | — | — | ||||||||||||
TCW Select Equities Fund | 47,363,046 | 122,159,109 | — | — |
Note 10 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Artificial Intelligence Equity Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 250,964 | $ | 5,402,436 | 380,921 | $ | 6,163,899 | ||||||||||
Shares Issued upon Reinvestment of Dividends | — | — | — | — | ||||||||||||
Shares Redeemed | (94,056 | ) | (2,048,777 | ) | (239,602 | ) | (3,795,357 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 156,908 | $ | 3,353,659 | 141,319 | $ | 2,368,542 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 78,554 | $ | 1,693,332 | 163,420 | $ | 2,761,039 | ||||||||||
Shares Issued upon Reinvestment of Dividends | — | — | — | — | ||||||||||||
Shares Redeemed | (42,980 | ) | (960,049 | ) | (47,702 | ) | (726,672 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 35,574 | $ | 733,283 | 115,718 | $ | 2,034,367 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Conservative Allocation Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 122,453 | $ | 1,593,442 | 776,254 | $ | 9,358,826 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 41,608 | 539,660 | 161,527 | 1,860,793 | ||||||||||||
Shares Redeemed | (521,118 | ) | (6,868,487 | ) | (377,533 | ) | (4,398,166 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (357,057 | ) | $ | (4,735,385 | ) | 560,248 | $ | 6,821,453 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 26,131 | $ | 333,699 | 24,005 | $ | 283,173 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 647 | 8,418 | 1,926 | 22,240 | ||||||||||||
Shares Redeemed | (2,559 | ) | (33,287 | ) | (17,894 | ) | (194,960 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 24,219 | $ | 308,830 | 8,037 | $ | 110,453 | ||||||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements (Continued)
Note 10 — Capital Share Transactions (Continued)
TCW Global Real Estate Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 727,702 | $ | 10,453,816 | 395,732 | $ | 4,486,776 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 4,622 | 60,671 | 10,694 | 117,234 | ||||||||||||
Shares Redeemed | (62,025 | ) | (789,696 | ) | (161,678 | ) | (1,539,328 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 670,299 | $ | 9,724,791 | 244,748 | $ | 3,064,682 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 131,425 | $ | 1,802,567 | 336,584 | $ | 3,831,300 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,188 | 28,762 | 1,410 | 15,470 | ||||||||||||
Shares Redeemed | (21,255 | ) | (278,201 | ) | (1,925 | ) | (20,896 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 112,358 | $ | 1,553,128 | 336,069 | $ | 3,825,874 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW New America Premier Equities Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 921,825 | $ | 24,419,841 | 4,458,919 | $ | 92,791,854 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 227 | 6,065 | 47,686 | 1,009,510 | ||||||||||||
Shares Redeemed | (1,290,561 | ) | (34,208,315 | ) | (2,804,515 | ) | (57,326,418 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (368,509 | ) | $ | (9,782,409 | ) | 1,702,090 | $ | 36,474,946 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 64,674 | $ | 1,718,902 | 1,485,275 | $ | 31,087,553 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 44 | 1,183 | 21,947 | 464,614 | ||||||||||||
Shares Redeemed | (385,470 | ) | (10,123,887 | ) | (2,752,069 | ) | (56,649,706 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (320,752 | ) | $ | (8,403,802 | ) | (1,244,847 | ) | $ | (25,097,539 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Dividend Appreciation Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 179,677 | $ | 3,251,561 | 209,380 | $ | 3,207,634 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 34,434 | 646,990 | 415,359 | 7,006,552 | ||||||||||||
Shares Redeemed | (291,328 | ) | (5,366,472 | ) | (1,841,949 | ) | (27,225,635 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (77,217 | ) | $ | (1,467,921 | ) | (1,217,210 | ) | $ | (17,011,449 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 61,474 | $ | 1,174,759 | 174,861 | $ | 2,734,400 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 91,017 | 1,742,424 | 1,050,840 | 18,014,759 | ||||||||||||
Shares Redeemed | (875,607 | ) | (16,392,705 | ) | (3,403,875 | ) | (53,053,129 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (723,116 | ) | $ | (13,475,522 | ) | (2,178,174 | ) | $ | (32,303,970 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Large Cap Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 1,409,576 | $ | 19,050,676 | 3,028,924 | $ | 37,868,811 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 623,997 | 7,469,240 | 4,126,933 | 51,339,036 | ||||||||||||
Shares Redeemed | (1,279,260 | ) | (16,767,474 | ) | (6,756,746 | ) | (80,123,102 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 754,313 | $ | 9,752,442 | 399,111 | $ | 9,084,745 | ||||||||||
|
|
|
|
|
|
|
|
58
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 10 — Capital Share Transactions (Continued)
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 159,304 | $ | 2,130,454 | 310,191 | $ | 4,490,483 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 71,171 | 849,069 | 425,019 | 5,265,990 | ||||||||||||
Shares Redeemed | (219,401 | ) | (2,973,457 | ) | (495,293 | ) | (5,831,642 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 11,074 | $ | 6,066 | 239,917 | $ | 3,924,831 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Mid Cap Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 151,504 | $ | 3,872,312 | 241,604 | $ | 4,126,223 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 18,931 | 432,563 | 72,767 | 1,634,356 | ||||||||||||
Shares Redeemed | (672,706 | ) | (16,371,203 | ) | (651,699 | ) | (11,979,506 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (502,271 | ) | $ | (12,066,328 | ) | (337,328 | ) | $ | (6,218,927 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 19,240 | $ | 503,987 | 21,051 | $ | 408,055 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,625 | 80,472 | 15,774 | 344,185 | ||||||||||||
Shares Redeemed | (42,568 | ) | (1,006,841 | ) | (148,958 | ) | (2,720,824 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (19,703 | ) | $ | (422,382 | ) | (112,133 | ) | $ | (1,968,584 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Select Equities Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 1,259,042 | $ | 45,113,152 | 3,966,217 | $ | 111,371,496 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 865,922 | 30,506,419 | 1,905,156 | 52,239,394 | ||||||||||||
Shares Redeemed | (2,078,214 | ) | (75,147,685 | ) | (15,162,850 | ) | (381,316,351 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 46,750 | $ | 471,886 | (9,291,477 | ) | $ | (217,705,461 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 154,746 | $ | 4,930,224 | 795,528 | $ | 20,070,967 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 398,820 | 12,199,905 | 524,250 | 12,639,676 | ||||||||||||
Shares Redeemed | (940,801 | ) | (29,820,978 | ) | (1,305,237 | ) | (33,016,408 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (387,235 | ) | $ | (12,690,849 | ) | 14,541 | $ | (305,765 | ) | |||||||
|
|
|
|
|
|
|
|
Note 11 — Ownership
As of April 30, 2021, affiliates of the Funds and Advisor owned 5.31%, 9.05%, 11.61% and 33.63% of the net assets of the TCW Artificial Intelligence Equity Fund, the TCW Global Real Estate Fund, the TCW Relative Value Large Cap Fund, and the TCW Relative Value Mid Cap Fund, respectively.
Note 12 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities held by the Funds at April 30, 2021.
59
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 13 — 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, renewable annually. The interest rate on borrowing is the higher of the Federal Funds rate plus 0.10% plus 1.25% or the Overnight Bank Funding rate plus 0.10% plus 1.25%. There were no borrowings from the line of credit as of or during the period ended April 30, 2021. 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 14 — Liquidity Risk Management Program
Rule 22e-4 under the 1940 Act (the “Liquidity Rule”) requires that all registered open-end management investment companies, including the Funds, establish a written liquidity risk management program (a “Liquidity Program”). Under a fund’s Liquidity Program, a fund must assess, manage and periodically review the fund’s liquidity risk, classify the liquidity of each of the fund’s portfolio investments, determine whether to specify highly liquid investment minimum (and, if so, at what level), limit illiquid investments to 15% of fund investments, and establish policies and procedures regarding how and when a fund will engage in redemptions in-kind. Consistent with the Liquidity Rule, the Board has approved the written Liquidity Program for the Funds and has designated a committee of professionals associated with the Advisor to administer the Funds’ Liquidity Program (the “Program Administrator”).
On March 8, 2021, the Board reviewed the Program Administrator’s written annual report (the “Report”) concerning the operation of the Funds’ Liquidity Program for the calendar year ended December 31, 2020 (the “Reporting Period”). The Report addressed the operation of the Liquidity Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s Highly Liquid Investment Minimum (“HLIM”). The Report discussed, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule) and the operation and monitoring of the HLIM assigned to a Fund, as applicable; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions. The Report concluded that the Liquidity Program was reasonably designed to assess and manage each Fund’s liquidity risk and was adequately and effectively implemented with respect to each Fund during the Reporting Period.
There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Note 15 — 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 such
60
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 15 — Indemnifications (Continued)
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 16 — New Accounting Pronouncement
In March 2020, FASB issued Accounting Standards Update (ASU) No. 2020-04 — Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in the ASU provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank offered reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on the financial statements.
61
Table of Contents
TCW Artificial Intelligence Equity Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | August 31, 2017 (Commencement of Operations) through October 31, 2017 | ||||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 18.31 | $ | 12.70 | $ | 11.18 | $ | 10.64 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Loss | (0.06 | ) | (0.06 | ) | (0.02 | ) | (0.04 | ) | (0.00 | ) (1) | ||||||||||
Net Realized and Unrealized Gain on Investments (2) | 4.17 | 5.67 | 1.54 | 0.58 | 0.64 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 4.11 | 5.61 | 1.52 | 0.54 | 0.64 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | — | — | — | (0.00 | ) (1) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of period | $ | 22.42 | $ | 18.31 | $ | 12.70 | $ | 11.18 | $ | 10.64 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 22.45 | % (4) | 44.17 | % | 13.60 | % | 5.09 | % | 6.40 | % (3) | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 11,876 | $ | 6,826 | $ | 2,940 | $ | 1,364 | $ | 695 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.56 | % (5) | 2.81 | % | 6.36 | % | 8.32 | % | 23.66 | % (5) | ||||||||||
After Expense Reimbursement | 0.90 | % (5) | 0.90 | % | 0.92 | % | 1.05 | % | 1.05 | % (5) | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.60 | )% (5) | (0.41 | )% | (0.17 | )% | (0.34 | )% | 0.23 | % (5) | ||||||||||
Portfolio Turnover Rate | 60.02 | % (4) | 24.16 | % | 61.09 | % | 74.22 | % | 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, 2021 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying Notes to Financial Statements.
62
Table of Contents
TCW Artificial Intelligence Equity Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | August 31, 2017 (Commencement of Operations) through October 31, 2017 | ||||||||||||||||||
2020 | 2019 | 2018 | ||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 18.27 | $ | 12.69 | $ | 11.17 | $ | 10.64 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Loss | (0.08 | ) | (0.08 | ) | (0.03 | ) | (0.04 | ) | (0.00 | ) (1) | ||||||||||
Net Realized and Unrealized Gain on Investments (2) | 4.17 | 5.66 | 1.55 | 0.57 | 0.64 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 4.09 | 5.58 | 1.52 | 0.53 | 0.64 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | — | — | — | (0.00 | ) (1) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of period | $ | 22.36 | $ | 18.27 | $ | 12.69 | $ | 11.17 | $ | 10.64 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 22.39 | % (4) | 43.97 | % | 13.61 | % | 5.00 | % | 6.40 | % (3) | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 5,127 | $ | 3,539 | $ | 989 | $ | 693 | $ | 532 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 2.06 | % (5) | 3.83 | % | 7.99 | % | 9.60 | % | 26.07 | % (5) | ||||||||||
After Expense Reimbursement | 1.00 | % (5) | 1.00 | % | 1.01 | % | 1.05 | % | 1.05 | % (5) | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.70 | )% (5) | (0.53 | )% | (0.25 | )% | (0.33 | )% | 0.25 | % (5) | ||||||||||
Portfolio Turnover Rate | 60.02 | % (4) | 24.16 | % | 61.09 | % | 74.22 | % | 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, 2021 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying Notes to Financial Statements.
63
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 12.22 | $ | 12.09 | $ | 11.68 | $ | 12.17 | $ | 12.13 | $ | 12.50 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.07 | 0.18 | 0.24 | 0.20 | 0.15 | 0.17 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.38 | 0.76 | 0.89 | (0.19 | ) | 0.67 | (0.07 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.45 | 0.94 | 1.13 | 0.01 | 0.82 | 0.10 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.12 | ) | (0.71 | ) | (0.21 | ) | (0.20 | ) | (0.29 | ) | (0.19 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.07 | ) | (0.10 | ) | (0.51 | ) | (0.30 | ) | (0.49 | ) | (0.28 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.19 | ) | (0.81 | ) | (0.72 | ) | (0.50 | ) | (0.78 | ) | (0.47 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 13.48 | $ | 12.22 | $ | 12.09 | $ | 11.68 | $ | 12.17 | $ | 12.13 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 11.93 | % (2) | 8.19 | % | 10.46 | % | 0.04 | % | 7.28 | % | 0.78 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 35,695 | $ | 36,714 | $ | 29,565 | $ | 27,925 | $ | 30,144 | $ | 28,982 | ||||||||||||
Ratio of Expenses to Average Net Assets (3) | 0.34 | % (4) | 0.39 | % | 0.44 | % | 0.37 | % | 0.36 | % | 0.30 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.14 | % (4) | 1.56 | % | 2.03 | % | 1.68 | % | 1.26 | % | 1.41 | % | ||||||||||||
Portfolio Turnover Rate | 20.10 | % (2) | 26.22 | % | 21.66 | % | 19.79 | % | 55.53 | % | 37.62 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 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.
64
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 12.22 | $ | 12.09 | $ | 11.67 | $ | 12.15 | $ | 12.07 | $ | 12.44 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.05 | 0.15 | 0.20 | 0.15 | 0.11 | 0.11 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.38 | 0.75 | 0.90 | (0.18 | ) | 0.66 | (0.08 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.43 | 0.90 | 1.10 | (0.03 | ) | 0.77 | 0.03 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.67 | ) | (0.17 | ) | (0.15 | ) | (0.20 | ) | (0.12 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.07 | ) | (0.10 | ) | (0.51 | ) | (0.30 | ) | (0.49 | ) | (0.28 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.15 | ) | (0.77 | ) | (0.68 | ) | (0.45 | ) | (0.69 | ) | (0.40 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 13.50 | $ | 12.22 | $ | 12.09 | $ | 11.67 | $ | 12.15 | $ | 12.07 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 11.75 | % (2) | 7.85 | % | 10.16 | % | (0.35 | )% | 6.74 | % | 0.31 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 827 | $ | 452 | $ | 350 | $ | 518 | $ | 532 | $ | 1,597 | ||||||||||||
Ratio of Expenses to Average Net Assets: (3) | ||||||||||||||||||||||||
Before Expense Reimbursement | 3.51 | % (4) | 6.06 | % | 6.89 | % | 5.14 | % | 3.30 | % | 1.54 | % | ||||||||||||
After Expense Reimbursement | 0.69 | % (4) | 0.70 | % | 0.74 | % | 0.76 | % | 0.81 | % | 0.82 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.80 | % (4) | 1.23 | % | 1.75 | % | 1.28 | % | 0.89 | % | 0.89 | % | ||||||||||||
Portfolio Turnover Rate | 20.10 | % (2) | 26.22 | % | 21.66 | % | 19.79 | % | 55.53 | % | 37.62 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 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.
65
Table of Contents
TCW Global Real Estate Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 11.07 | $ | 11.16 | $ | 9.30 | $ | 10.10 | $ | 9.42 | $ | 9.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.15 | 0.17 | 0.33 | 0.25 | 0.25 | 0.30 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 3.33 | (0.05 | ) | 1.78 | (0.85 | ) | 0.70 | (0.26 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 3.48 | 0.12 | 2.11 | (0.60 | ) | 0.95 | 0.04 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.16 | ) | (0.25 | ) | (0.20 | ) | (0.27 | ) | (0.29 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | — | — | — | (0.01 | ) | |||||||||||||||||
Distributions from Return of Capital | — | (0.05 | ) | — | — | — | (0.03 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.08 | ) | (0.21 | ) | (0.25 | ) | (0.20 | ) | (0.27 | ) | (0.33 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 14.47 | $ | 11.07 | $ | 11.16 | $ | 9.30 | $ | 10.10 | $ | 9.42 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 31.58 | % (2) | 1.15 | % | 23.17 | % | (6.06 | )% | 10.28 | % | 0.31 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 21,690 | $ | 9,175 | $ | 6,518 | $ | 2,886 | $ | 2,818 | $ | 3,499 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.68 | % (3) | 2.80 | % | 3.15 | % | 3.78 | % | 4.38 | % | 3.29 | % | ||||||||||||
After Expense Reimbursement | 0.96 | % (3) | 1.00 | % | 1.00 | % | 1.12 | % | 1.37 | % | 1.40 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.32 | % (3) | 1.59 | % | 3.25 | % | 2.55 | % | 2.57 | % | 3.14 | % | ||||||||||||
Portfolio Turnover Rate | 49.15 | % (2) | 136.71 | % | 85.18 | % | 121.67 | % | 74.51 | % | 68.69 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
66
Table of Contents
TCW Global Real Estate Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 11.06 | $ | 11.16 | $ | 9.30 | $ | 10.10 | $ | 9.42 | $ | 9.70 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.14 | 0.13 | 0.39 | 0.24 | 0.25 | 0.32 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 3.32 | (0.03 | ) | 1.71 | (0.85 | ) | 0.70 | (0.27 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 3.46 | 0.10 | 2.10 | (0.61 | ) | 0.95 | 0.05 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.07 | ) | (0.15 | ) | (0.24 | ) | (0.19 | ) | (0.27 | ) | (0.29 | ) | ||||||||||||
Distributions from Net Realized Gain | — | — | — | — | — | (0.01 | ) | |||||||||||||||||
Distributions from Return of Capital | — | (0.05 | ) | — | — | — | (0.03 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.07 | ) | (0.20 | ) | (0.24 | ) | (0.19 | ) | (0.27 | ) | (0.33 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 14.45 | $ | 11.06 | $ | 11.16 | $ | 9.30 | $ | 10.10 | $ | 9.42 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 31.52 | % (2) | 0.94 | % | 22.99 | % | (6.14 | )% | 10.28 | % | 0.41 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 7,332 | $ | 4,370 | $ | 658 | $ | 536 | $ | 581 | $ | 517 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 2.11 | % (3) | 5.14 | % | 7.17 | % | 7.65 | % | 7.92 | % | 6.66 | % | ||||||||||||
After Expense Reimbursement | 1.09 | % (3) | 1.15 | % | 1.15 | % | 1.22 | % | 1.37 | % | 1.40 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.21 | % (3) | 1.21 | % | 3.88 | % | 2.46 | % | 2.51 | % | 3.34 | % | ||||||||||||
Portfolio Turnover Rate | 49.15 | % (2) | 136.71 | % | 85.18 | % | 121.67 | % | 74.51 | % | 68.69 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
67
Table of Contents
TCW New America Premier Equities Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | January 29, 2016 (Commencement of Operations) through October 31, 2016 | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 22.64 | $ | 20.34 | $ | 16.27 | $ | 15.24 | $ | 11.23 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) (1) | 0.16 | 0.01 | 0.11 | (0.02 | ) | 0.01 | 0.08 | |||||||||||||||||
Net Realized and Unrealized Gain on Investments | 6.17 | 2.48 | 4.18 | 1.59 | 4.22 | 1.15 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 6.33 | 2.49 | 4.29 | 1.57 | 4.23 | 1.23 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.00 | ) (2) | (0.10 | ) | (0.01 | ) | — | (0.05 | ) | — | ||||||||||||||
Distributions from Net Realized Gain | — | (0.09 | ) | (0.21 | ) | (0.54 | ) | (0.17 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.00 | ) (2) | (0.19 | ) | (0.22 | ) | (0.54 | ) | (0.22 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 28.97 | $ | 22.64 | $ | 20.34 | $ | 16.27 | $ | 15.24 | $ | 11.23 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 27.96 | % (4) | 12.31 | % | 26.79 | % | 10.60 | % | 38.41 | % | 12.30 | % (3) | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 185,989 | $ | 153,647 | $ | 103,442 | $ | 28,486 | $ | 16,527 | $ | 3,143 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.79 | % (5) | 0.83 | % | 0.93 | % | 1.28 | % | 1.79 | % | 4.72 | % (5) | ||||||||||||
After Expense Reimbursement | N/A | N/A | 0.82 | % | 1.04 | % | 1.04 | % | 1.05 | % (5) | ||||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 1.19 | % (5) | 0.03 | % | 0.56 | % | (0.13 | )% | 0.11 | % | 1.03 | % (5) | ||||||||||||
Portfolio Turnover Rate | 87.15 | % (4) | 88.08 | % | 105.28 | % | 49.68 | % | 114.48 | % | 73.83 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the period January 29, 2016 (Commencement of Operations) through October 31, 2016. |
(4) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying Notes to Financial Statements.
68
Table of Contents
TCW New America Premier Equities Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | January 29, 2016 (Commencement of Operations) through October 31, 2016 | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 22.59 | $ | 20.31 | $ | 16.27 | $ | 15.24 | $ | 11.23 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) (1) | 0.11 | (0.01 | ) | 0.06 | (0.02 | ) | 0.01 | 0.08 | ||||||||||||||||
Net Realized and Unrealized Gain on Investments | 6.17 | 2.44 | 4.20 | 1.59 | 4.22 | 1.15 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 6.28 | 2.43 | 4.26 | 1.57 | 4.23 | 1.23 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.00 | ) (2) | (0.06 | ) | (0.01 | ) | — | (0.05 | ) | — | ||||||||||||||
Distributions from Net Realized Gain | — | (0.09 | ) | (0.21 | ) | (0.54 | ) | (0.17 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.00 | ) (2) | (0.15 | ) | (0.22 | ) | (0.54 | ) | (0.22 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 28.87 | $ | 22.59 | $ | 20.31 | $ | 16.27 | $ | 15.24 | $ | 11.23 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 27.80 | % (4) | 12.02 | % | 26.60 | % | 10.60 | % | 38.41 | % | 12.30 | % (3) | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 28,916 | $ | 29,870 | $ | 52,130 | $ | 4,879 | $ | 2,313 | $ | 1,128 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.21 | % (5) | 1.17 | % | 1.28 | % | 2.14 | % | 3.64 | % | 6.08 | % (5) | ||||||||||||
After Expense Reimbursement | 1.10 | % (5) | 1.05 | % | 1.00 | % | 1.04 | % | 1.04 | % | 1.05 | % (5) | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.85 | % (5) | (0.05 | )% | 0.32 | % | (0.13 | )% | 0.11 | % | 0.98 | % (5) | ||||||||||||
Portfolio Turnover Rate | 87.15 | % (4) | 88.08 | % | 105.28 | % | 49.68 | % | 114.48 | % | 73.83 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the period January 29, 2016 (Commencement of Operations) through October 31, 2016. |
(4) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(5) | Annualized. |
See accompanying Notes to Financial Statements.
69
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 14.91 | $ | 17.92 | $ | 17.47 | $ | 19.14 | $ | 16.95 | $ | 16.49 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.19 | 0.40 | 0.39 | 0.35 | 0.48 | 0.35 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 6.21 | (1.81 | ) | 1.37 | (0.90 | ) | 2.17 | 0.41 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 6.40 | (1.41 | ) | 1.76 | (0.55 | ) | 2.65 | 0.76 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.20 | ) | (0.41 | ) | (0.39 | ) | (0.40 | ) | (0.46 | ) | (0.30 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (1.19 | ) | (0.92 | ) | (0.72 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.20 | ) | (1.60 | ) | (1.31 | ) | (1.12 | ) | (0.46 | ) | (0.30 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 21.11 | $ | 14.91 | $ | 17.92 | $ | 17.47 | $ | 19.14 | $ | 16.95 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 43.09 | % (2) | (8.71 | )% | 11.27 | % | (3.28 | )% | 15.69 | % | 4.66 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 76,736 | $ | 55,326 | $ | 88,314 | $ | 95,108 | $ | 128,498 | $ | 165,331 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.74 | % (3) | 0.75 | % | 0.75 | % | 0.78 | % | 0.78 | % | 0.87 | % | ||||||||||||
After Expense Reimbursement | 0.70 | % (3) | 0.71 | % | 0.74 | % | N/A | N/A | N/A | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.01 | % (3) | 2.53 | % | 2.28 | % | 1.84 | % | 2.60 | % | 2.11 | % | ||||||||||||
Portfolio Turnover Rate | 10.18 | % (2) | 19.68 | % | 17.71 | % | 18.48 | % | 23.45 | % | 19.13 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 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 Dividend Appreciation Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 15.20 | $ | 18.24 | $ | 17.77 | $ | 19.46 | $ | 17.23 | $ | 16.76 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.37 | 0.37 | 0.32 | 0.43 | 0.31 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 6.34 | (1.84 | ) | 1.38 | (0.93 | ) | 2.23 | 0.43 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 6.51 | (1.47 | ) | 1.75 | (0.61 | ) | 2.66 | 0.74 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.18 | ) | (0.38 | ) | (0.36 | ) | (0.36 | ) | (0.43 | ) | (0.27 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (1.19 | ) | (0.92 | ) | (0.72 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.18 | ) | (1.57 | ) | (1.28 | ) | (1.08 | ) | (0.43 | ) | (0.27 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 21.53 | $ | 15.20 | $ | 18.24 | $ | 17.77 | $ | 19.46 | $ | 17.23 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 43.01 | % (2) | (8.88 | )% | 11.02 | % | (3.52 | )% | 15.46 | % | 4.43 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 201,071 | $ | 152,934 | $ | 223,322 | $ | 411,123 | $ | 493,766 | $ | 876,421 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.02 | % (3) | 1.02 | % | 1.04 | % | 1.05 | % | 1.05 | % | 1.15 | % | ||||||||||||
After Expense Reimbursement | 0.90 | % (3) | 0.92 | % | 0.96 | % | 1.00 | % | 1.00 | % | 1.11 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.82 | % (3) | 2.32 | % | 2.10 | % | 1.62 | % | 2.24 | % | 1.86 | % | ||||||||||||
Portfolio Turnover Rate | 10.18 | % (2) | 19.68 | % | 17.71 | % | 18.48 | % | 23.45 | % | 19.13 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 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 Large Cap Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 10.84 | $ | 18.69 | $ | 19.82 | $ | 24.30 | $ | 21.38 | $ | 21.99 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.09 | 0.22 | 0.33 | 0.28 | 0.49 | 0.32 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 4.53 | (0.57 | ) | 0.84 | (1.18 | ) | 3.96 | 0.19 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 4.62 | (0.35 | ) | 1.17 | (0.90 | ) | 4.45 | 0.51 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.22 | ) | (0.49 | ) | (0.31 | ) | (0.47 | ) | (0.41 | ) | (0.25 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.83 | ) | (7.01 | ) | (1.99 | ) | (3.11 | ) | (1.12 | ) | (0.87 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.05 | ) | (7.50 | ) | (2.30 | ) | (3.58 | ) | (1.53 | ) | (1.12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 14.41 | $ | 10.84 | $ | 18.69 | $ | 19.82 | $ | 24.30 | $ | 21.38 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 44.52 | % (2) | (7.02 | )% | 8.13 | % | (5.11 | )% | 21.55 | % | 2.61 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 122,164 | $ | 83,765 | $ | 136,917 | $ | 402,035 | $ | 472,078 | $ | 480,174 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.78 | % (3) | 0.80 | % | 0.78 | % | 0.77 | % | 0.77 | % | 0.88 | % | ||||||||||||
After Expense Reimbursement | 0.70 | % (3) | 0.71 | % | 0.74 | % | N/A | N/A | N/A | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.31 | % (3) | 1.88 | % | 1.79 | % | 1.28 | % | 2.11 | % | 1.57 | % | ||||||||||||
Portfolio Turnover Rate | 10.55 | % (2) | 31.17 | % | 19.47 | % | 20.47 | % | 24.44 | % | 14.71 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 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 Large Cap Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 10.79 | $ | 18.62 | $ | 19.74 | $ | 24.21 | $ | 21.31 | $ | 21.91 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.07 | 0.19 | 0.28 | 0.23 | 0.44 | 0.28 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 4.52 | (0.56 | ) | 0.86 | (1.18 | ) | 3.94 | 0.19 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 4.59 | (0.37 | ) | 1.14 | (0.95 | ) | 4.38 | 0.47 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.19 | ) | (0.45 | ) | (0.27 | ) | (0.41 | ) | (0.36 | ) | (0.20 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.83 | ) | (7.01 | ) | (1.99 | ) | (3.11 | ) | (1.12 | ) | (0.87 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.02 | ) | (7.46 | ) | (2.26 | ) | (3.52 | ) | (1.48 | ) | (1.07 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 14.36 | $ | 10.79 | $ | 18.62 | $ | 19.74 | $ | 24.21 | $ | 21.31 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 44.43 | % (2) | (7.17 | )% | 7.92 | % | (5.35 | )% | 21.27 | % | 2.42 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 12,496 | $ | 9,277 | $ | 11,535 | $ | 13,003 | $ | 16,373 | $ | 19,530 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.22 | % (3) | 1.32 | % | 1.24 | % | 1.21 | % | 1.16 | % | 1.23 | % | ||||||||||||
After Expense Reimbursement | 0.90 | % (3) | 0.91 | % | 0.95 | % | 0.99 | % | 1.00 | % | 1.10 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.11 | % (3) | 1.67 | % | 1.52 | % | 1.05 | % | 1.93 | % | 1.35 | % | ||||||||||||
Portfolio Turnover Rate | 10.55 | % (2) | 31.17 | % | 19.47 | % | 20.47 | % | 24.44 | % | 14.71 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
73
Table of Contents
TCW Relative Value Mid Cap Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 18.90 | $ | 21.06 | $ | 22.44 | $ | 25.96 | $ | 20.02 | $ | 22.43 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.07 | 0.17 | 0.18 | 0.12 | 0.11 | 0.18 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 10.10 | (1.78 | ) | 0.21 | (1.56 | ) | 5.96 | 0.34 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 10.17 | (1.61 | ) | 0.39 | (1.44 | ) | 6.07 | 0.52 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.17 | ) | (0.18 | ) | (0.15 | ) | (0.13 | ) | (0.13 | ) | (0.16 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.37 | ) | (1.62 | ) | (1.95 | ) | — | (2.77 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.17 | ) | (0.55 | ) | (1.77 | ) | (2.08 | ) | (0.13 | ) | (2.93 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 28.90 | $ | 18.90 | $ | 21.06 | $ | 22.44 | $ | 25.96 | $ | 20.02 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 54.06 | % (2) | (8.07 | )% | 3.18 | % | (6.48 | )% | 30.40 | % | 3.53 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 63,499 | $ | 51,021 | $ | 63,957 | $ | 72,527 | $ | 84,136 | $ | 74,840 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 0.94 | % (3) | 0.97 | % | 0.95 | % | 0.92 | % | 0.99 | % | 0.98 | % | ||||||||||||
After Expense Reimbursement | 0.85 | % (3) | 0.87 | % | 0.90 | % | N/A | N/A | N/A | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.60 | % (3) | 0.90 | % | 0.86 | % | 0.48 | % | 0.45 | % | 0.96 | % | ||||||||||||
Portfolio Turnover Rate | 16.24 | % (2) | 42.07 | % | 25.89 | % | 22.60 | % | 31.93 | % | 17.81 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
74
Table of Contents
TCW Relative Value Mid Cap Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 18.34 | $ | 20.45 | $ | 21.82 | $ | 25.28 | $ | 19.50 | $ | 21.90 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.15 | 0.15 | 0.09 | 0.07 | 0.14 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 9.81 | (1.74 | ) | 0.21 | (1.52 | ) | 5.80 | 0.32 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 9.87 | (1.59 | ) | 0.36 | (1.43 | ) | 5.87 | 0.46 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.15 | ) | (0.11 | ) | (0.08 | ) | (0.09 | ) | (0.09 | ) | ||||||||||||
Distributions from Net Realized Gain | — | (0.37 | ) | (1.62 | ) | (1.95 | ) | — | (2.77 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.15 | ) | (0.52 | ) | (1.73 | ) | (2.03 | ) | (0.09 | ) | (2.86 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 28.06 | $ | 18.34 | $ | 20.45 | $ | 21.82 | $ | 25.28 | $ | 19.50 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 54.00 | % (2) | (8.18 | )% | 3.12 | % | (6.61 | )% | 30.15 | % | 3.30 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 16,127 | $ | 10,902 | $ | 14,448 | $ | 18,040 | $ | 19,095 | $ | 16,839 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.35 | % (3) | 1.42 | % | 1.37 | % | 1.31 | % | 1.37 | % | 1.35 | % | ||||||||||||
After Expense Reimbursement | 0.95 | % (3) | 0.97 | % | 1.00 | % | 1.04 | % | 1.16 | % | 1.20 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.52 | % (3) | 0.81 | % | 0.76 | % | 0.36 | % | 0.29 | % | 0.74 | % | ||||||||||||
Portfolio Turnover Rate | 16.24 | % (2) | 42.07 | % | 25.89 | % | 22.60 | % | 31.93 | % | 17.81 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
75
Table of Contents
TCW Select Equities Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 34.13 | $ | 27.64 | $ | 27.13 | $ | 30.42 | $ | 26.06 | $ | 29.65 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.05 | ) | (0.08 | ) | (0.06 | ) | (0.08 | ) | (0.05 | ) | (0.10 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 7.08 | 9.04 | 4.21 | 3.37 | 5.99 | (1.42 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 7.03 | 8.96 | 4.15 | 3.29 | 5.94 | (1.52 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Realized Gain | (2.52 | ) | (2.47 | ) | (3.64 | ) | (6.58 | ) | (1.58 | ) | (2.07 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 38.64 | $ | 34.13 | $ | 27.64 | $ | 27.13 | $ | 30.42 | $ | 26.06 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 21.30 | % (2) | 34.59 | % | 18.98 | % | 12.59 | % | 24.47 | % | (5.56 | %) | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 719,200 | $ | 633,683 | $ | 770,079 | $ | 740,485 | $ | 768,535 | $ | 1,264,622 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.76 | % (3) | 0.76 | % | 0.80 | % | 0.87 | % | 0.88 | % | 0.89 | % | ||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.25 | )% (3) | (0.28 | )% | (0.25 | )% | (0.29 | )% | (0.18 | )% | (0.38 | )% | ||||||||||||
Portfolio Turnover Rate | 5.66 | % (2) | 4.09 | % | 6.41 | % | 15.43 | % | 17.95 | % | 14.05 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
76
Table of Contents
TCW Select Equities Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 29.95 | $ | 24.59 | $ | 24.61 | $ | 28.23 | $ | 24.35 | $ | 27.91 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net Investment Loss (1) | (0.07 | ) | (0.13 | ) | (0.11 | ) | (0.13 | ) | (0.10 | ) | (0.16 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 6.18 | 7.96 | 3.73 | 3.09 | 5.56 | (1.33 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 6.11 | 7.83 | 3.62 | 2.96 | 5.46 | (1.49 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Distributions from Net Realized Gain | (2.52 | ) | (2.47 | ) | (3.64 | ) | (6.58 | ) | (1.58 | ) | (2.07 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 33.54 | $ | 29.95 | $ | 24.59 | $ | 24.61 | $ | 28.23 | $ | 24.35 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 21.20 | % (2) | 34.26 | % | 18.74 | % | 12.36 | % | 24.20 | % | (5.81 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 167,980 | $ | 161,625 | $ | 132,332 | $ | 133,252 | $ | 138,807 | $ | 151,174 | ||||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||||||
Before Expense Reimbursement | 1.04 | % (3) | 1.06 | % | 1.08 | % | 1.15 | % | 1.16 | % | 1.16 | % | ||||||||||||
After Expense Reimbursement | 0.96 | % (3) | 0.99 | % | 1.01 | % | 1.08 | % | 1.11 | % | 1.14 | % | ||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.44 | )% (3) | (0.51 | )% | (0.45 | )% | (0.50 | )% | (0.39 | )% | (0.64 | )% | ||||||||||||
Portfolio Turnover Rate | 5.66 | % (2) | 4.09 | % | 6.41 | % | 15.43 | % | 17.95 | % | 14.05 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
77
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, 2020 to April 30, 2021 (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, 2020 | Ending Account Value April 30, 2021 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2020 to April 30, 2021) | ||||||||||||
TCW Artificial Intelligence Equity Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,224.50 | 0.90 | % | $ | 4.96 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.33 | 0.90 | % | 4.51 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,223.90 | 1.00 | % | $ | 5.51 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.84 | 1.00 | % | 5.01 | |||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,119.30 | 0.34 | % (1) | $ | 1.79 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.11 | 0.34 | % (1) | 1.71 | (1) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,117.50 | 0.69 | % (1) | $ | 3.62 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.37 | 0.69 | % (1) | 3.46 | (1) | ||||||||||
TCW Global Real Estate Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,315.80 | 0.96 | % | $ | 5.51 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.03 | 0.96 | % | 4.81 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,315.20 | 1.09 | % | $ | 6.26 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.39 | 1.09 | % | 5.46 |
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TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value November 1, 2020 | Ending Account Value April 30, 2021 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2020 to April 30, 2021) | ||||||||||||
TCW New America Premier Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,279.60 | 0.79 | % | $ | 4.47 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.88 | 0.79 | % | 3.96 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,278.00 | 1.10 | % | $ | 6.21 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.34 | 1.10 | % | 5.51 | |||||||||||
TCW Relative Value Dividend Appreciation Fund |
| |||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,430.90 | 0.70 | % | $ | 4.22 | ||||||||
Hypothetical (5% return before expenses | 1,000.00 | 1,021.32 | 0.70 | % | 3.51 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,430.10 | 0.90 | % | $ | 5.42 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.33 | 0.90 | % | 4.51 | |||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,445.20 | 0.70 | % | $ | 4.24 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.32 | 0.70 | % | 3.51 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,444.30 | 0.90 | % | $ | 5.45 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.33 | 0.90 | % | 4.51 | |||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,540.60 | 0.85 | % | $ | 5.35 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.58 | 0.85 | % | 4.26 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,540.00 | 0.95 | % | $ | 5.98 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.08 | 0.95 | % | 4.76 | |||||||||||
TCW Select Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,213.00 | 0.76 | % | $ | 4.17 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.03 | 0.76 | % | 3.81 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,212.00 | 0.96 | % | $ | 5.27 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.03 | 0.96 | % | 4.81 |
(1) | Does not include expenses of the underlying affiliated investments. |
79
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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 NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.
80
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TCW Funds, Inc.
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street, Suite 1800
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, Suite 1800
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
Peter McMillan
Director
Victoria B. Rogers
Director
Marc I. Stern
Director
Andrew Tarica
Director
OFFICERS
David Lippman
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
Gladys Xiques
Chief Compliance Officer and Anti-Money Laundering Officer
Patrick W. Dennis
Vice President and Assistant Secretary
Lisa Eisen
Tax Officer
Eric W. Chan
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Artificial Intelligence Equity 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
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
FUNDsarEQ0421
Table of Contents
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
Paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (www.tcw.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future reports in paper free of charge. You can call 1-800-FUND-TCW (1-800-386-3829), if you invest directly with the Fund, or contact your financial intermediary, if you invest though a financial intermediary, to inform the Fund or the financial intermediary that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held directly with TCW or through your financial intermediary.
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TCW Funds, Inc.
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 130 |
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|
David Lippman 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, 2021. 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, 2021, the TCW Funds held total assets of approximately $18.6 billion.
This report contains information outlining the performance and a list of portfolio holdings as of April 30, 2021 for the TCW Funds’ Fixed Income Funds.
Economic Review and Market Environment
After a sharp market downturn in early 2020 catalyzed by the global pandemic and subsequent economic shutdowns, a cascade of Federal Reserve liquidity and Congressional commitments sent markets soaring, notwithstanding a backdrop of ongoing uncertainty. This trend continued into the end of 2020, and through the early part of 2021, albeit with fits and starts, and higher prices nearly everywhere betrayed few worries, reflected in a nearly 29% gain for the S&P 500 Index during the six-month period. On the fiscal side, the new Biden administration was quick to provide support in the form of massive back-to-back relief bills in both December 2020 (COVID Relief Bill) and March 2021 (American Rescue Plan) which flooded the market with over $2 trillion of liquidity, while signaling more to come. Cut to 2021 and, at least in the U.S. Treasury market (and those priced therefrom), an apparent fear of overstimulation materialized, leading to a sustained rise in rates. Largely as a result of first quarter moves, the yield curve meaningfully steepened over the six-month period, as the front-end was anchored by the Fed’s zero interest rate policy while 10- and 30-Year yields were approximately 75 and 64 bps higher, respectively. Among the drivers were a recasting of inflationary expectations and a steady emergence from lockdowns, the latter precipitated by an ever-expanding rollout and administration of COVID-19 vaccines. The
former, unsurprisingly, gained momentum on Fed representations to maintain a “lower for longer” accommodation on the funds rate, while signaling no premature curb to its asset purchases — the “mistake” that spurred 2013’s Taper Tantrum that punished equities and bonds alike. In the here and now, however, worries over rising prices are still just that, worries, as economic data remains mixed. In particular, labor markets are challenged, despite the dip in aggregate unemployment to 6.3%. The economy is still over eight million jobs below its pre-pandemic level, the labor force participation rate remains historically low and, intuitively, it’s not especially hard to envision things not coming back as they were in some places. Simultaneously, it’s difficult to imagine an overall pace of growth that doesn’t exceed last year and the first estimate of economic GDP growth corroborated that in April with an impressive 6.4% annualized pace.
Fixed income total returns were broadly negative given the rise in rates during the period, reflected in a 1.5% loss for the Bloomberg Barclays U.S. Aggregate Index, though excess returns over duration-matched Treasuries for the Index came to 142 bps. The relative performance was driven by investment grade credit, which was buoyed by persistent investor demand notwithstanding massive issuance levels, leading to nearly 40 bps of spread compression for the sector. Within the corporate space, returns were driven by pro-cyclical, COVID-impacted industries such as energy and transportation as vaccine deployment picked up and economic restrictions eased. Similarly, higher beta, lower quality credits tended to outperform, and high yield corporates were an outlier in delivering an impressive positive total return profile of nearly 8% during the six-month period. Notably, lower-rated CCC credits handily outpaced BB- and B-rated issues on both a total and excess return basis during the period, with fewer and fewer instances of bonds trading below par as risk appetite supported even marginal issuers. Meanwhile, securitized products generally lagged
1
Table of Contents
Letter to Shareholders (Continued) |
corporate credit, though still posted positive excess returns over Treasuries. Agency mortgage-backed securities (MBS) were weighed down by rate volatility in 1Q21, though benefitted from a strong technical backdrop of ongoing Fed purchases and solid bank demand to outpace duration-matched Treasuries by nearly 50 bps. Within commercial MBS (CMBS), non-agency backed issues outperformed, with roughly 265 bps of positive excess return, while agency-backed CMBS generated a more muted 161 bps.
The Economy and Market Ahead
The accelerating pace of COVID-19 vaccinations is stoking optimism with respect to the economic reopening process and permitting a relaxation of most U.S. jurisdictions’ restrictions, leading to upward revisions to GDP expectations for 2021. That rosier outlook aside, the pandemic has fundamentally challenged the economy, markets, policy, and our day-to-day lives. Unprecedented levels of policy stimulus and monetary accommodation have overwhelmed the economy and markets with liquidity, allowing households and businesses to stay afloat through deep uncertainty. While the path to a post pandemic “new normal” is not entirely clear, it seems unavoidable that there will be permanent impairment in certain industries. Furthermore, the fact that current valuations are dependent on policy support is indisputable, making the market susceptible to potential headwinds such as an eventual pullback by the Fed. Investors should not overlook the fundamental challenges that remain, particularly for an economy increasingly dependent on an environment of low interest rates, given the amount of debt servicing costs from the uptick in leverage.
Given historically rich pricing, limited yield compensation and abundant risks, the Funds have returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in
management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the preference remains in current coupon agency MBS TBAs which remain attractive given relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remain attractive from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the team will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of-the-capital structure exposures in single asset, single borrower (SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to collateralized loan obligations (CLOs), with possible additions on well-collateralized AA-rated issues offering good yields.
We truly value our relationship with you and thank you for making the TCW Funds part of your long-term investment plan. 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 Lippman
President, Chief Executive Officer and Director
2
Table of Contents
TCW Funds, Inc.
Performance Summary (Unaudited)
NAV | Six Months Return as of April 30, 2021 | Total Return Annualized as of April 30, 2021(1) | ||||||||||||||||||||||||||
1-Year | 5-Year | 10-Year | Since Inception | Inception Date | ||||||||||||||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||||||||||||||
I Class | $ | 11.54 | (0.76 | )% | 1.31 | % | 3.52 | % | 3.58 | % | 5.88 | % (2) | 01/01/90 | (3) | ||||||||||||||
N Class | $ | 11.52 | (0.77 | )% | 1.19 | % | 3.31 | % | 3.31 | % | 4.98 | % | 02/26/99 | |||||||||||||||
Plan Class | $ | 11.60 | (0.89 | )% | 1.70 | % | N/A | N/A | 2.60 | % | 02/28/20 | |||||||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||||||||||||||
I Class | $ | 5.49 | 27.66 | % | 53.98 | % | 4.08 | % | (4.00 | )% | (3.58 | )% | 03/31/11 | |||||||||||||||
N Class | $ | 5.49 | 27.92 | % | 54.27 | % | 4.02 | % | (4.02 | )% | (3.60 | )% | 03/31/11 | |||||||||||||||
TCW Global Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 10.42 | 1.24 | % | 8.27 | % | 3.51 | % | N/A | 3.24 | % | 11/30/11 | ||||||||||||||||
N Class | $ | 10.42 | 1.19 | % | 8.17 | % | 3.46 | % | N/A | 3.22 | % | 11/30/11 | ||||||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 6.87 | 5.03 | % | 12.97 | % | 6.88 | % | 5.47 | % | 7.20 | % (2) | 02/01/89 | (3) | ||||||||||||||
N Class | $ | 6.91 | 4.89 | % | 12.64 | % | 6.61 | % | 5.25 | % | 5.52 | % | 02/26/99 | |||||||||||||||
TCW Short Term Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 8.65 | 1.07 | % | 2.20 | % | 1.81 | % | 1.37 | % | 3.77 | % (2) | 02/01/90 | (3) | ||||||||||||||
TCW Total Return Bond Fund | ||||||||||||||||||||||||||||
I Class | $ | 10.13 | (1.52 | )% | 0.20 | % | 3.30 | % | 4.20 | % | 6.17 | % | 06/17/93 | |||||||||||||||
N Class | $ | 10.44 | (1.66 | )% | (0.11 | )% | 3.01 | % | 3.90 | % | 5.61 | % | 02/26/99 | |||||||||||||||
Plan Class | $ | 10.18 | (1.39 | )% | 0.55 | % | N/A | N/A | 1.52 | % | 02/28/20 |
(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 subject to certain investment restrictions that are imposed by the 1940 Act. If the limited partnership had been registered under the 1940 Act, the limited partnership’s performance may have been lower. |
(3) | Inception date of the predecessor entity. |
3
Table of Contents
Schedule of Investments (Unaudited)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 106.9% of Net Assets |
| |||||||||||
CORPORATE BONDS — 21.4% |
| |||||||||||
Agriculture — 0.6% | ||||||||||||
BAT Capital Corp. |
| |||||||||||
2.73% | 03/25/31 | $ | 695,000 | $ | 668,034 | |||||||
4.39% | 08/15/37 | 470,000 | 484,262 | |||||||||
4.54% | 08/15/47 | 1,270,000 | 1,252,861 | |||||||||
5.28% | 04/02/50 | 1,285,000 | 1,399,307 | |||||||||
Imperial Brands Finance PLC |
| |||||||||||
3.13% (1) | 07/26/24 | 2,300,000 | 2,427,489 | |||||||||
Reynolds American, Inc. |
| |||||||||||
5.70% | 08/15/35 | 260,000 | 304,888 | |||||||||
5.85% | 08/15/45 | 2,770,000 | 3,193,117 | |||||||||
|
| |||||||||||
9,729,958 | ||||||||||||
|
| |||||||||||
Airlines — 0.3% | ||||||||||||
America West Airlines, Inc. Pass-Through Certificates (01-1) (EETC) |
| |||||||||||
5.98% | 10/19/23 | 428,867 | 441,211 | |||||||||
Delta Air Lines Pass-Through Trust (19-1-AA) |
| |||||||||||
3.20% | 10/25/25 | 1,500,000 | 1,567,695 | |||||||||
Northwest Airlines LLC Pass-Through Certificates (01-1-A1) (EETC) |
| |||||||||||
7.04% | 10/01/23 | 348,133 | 358,300 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (10-1A) (EETC) |
| |||||||||||
6.25% | 10/22/24 | 244,542 | 249,753 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (12-1-A) (EETC) |
| |||||||||||
5.90% | 04/01/26 | 1,140,963 | 1,192,306 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (12-2-A) (EETC) |
| |||||||||||
4.63% | 12/03/26 | 484,141 | 478,598 | |||||||||
|
| |||||||||||
4,287,863 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 0.5% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
1.07% (3 mo. USD LIBOR + 0.880%) (2) | 10/12/21 | 2,265,000 | 2,259,515 | |||||||||
1.26% (3 mo. USD LIBOR + 1.080%) (2) | 08/03/22 | 1,000,000 | 992,500 | |||||||||
1.46% (3 mo. USD LIBOR + 1.270%) (2) | 03/28/22 | 445,000 | 444,343 | |||||||||
3.22% | 01/09/22 | 990,000 | 1,001,929 | |||||||||
3.81% | 10/12/21 | 636,000 | 643,254 | |||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.15% | 06/30/22 | 1,540,000 | 1,581,917 | |||||||||
3.20% | 07/06/21 | 510,000 | 511,261 | |||||||||
3.45% | 04/10/22 | 310,000 | 317,065 | |||||||||
4.20% | 11/06/21 | 375,000 | 382,147 | |||||||||
4.38% | 09/25/21 | 600,000 | 609,300 | |||||||||
|
| |||||||||||
8,743,231 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Banks — 4.0% | ||||||||||||
Bank of America Corp. |
| |||||||||||
1.66% (SOFR + 0.910%) (2) | 03/11/27 | $ | 3,430,000 | $ | 3,456,758 | |||||||
1.73% (SOFR + 0.960%) (2) | 07/22/27 | 3,440,000 | 3,472,818 | |||||||||
2.88% (3 mo. USD LIBOR + 1.190%) (2) | 10/22/30 | 750,000 | 778,490 | |||||||||
4.08% (3 mo. USD LIBOR + 3.150%) (2) | 03/20/51 | 1,605,000 | 1,796,653 | |||||||||
Citigroup, Inc. |
| |||||||||||
1.12% (SOFR + 0.765%) (2) | 01/28/27 | 1,225,000 | 1,205,601 | |||||||||
4.41% (SOFR + 3.914%) (2) | 03/31/31 | 1,225,000 | 1,402,819 | |||||||||
Credit Suisse Group AG |
| |||||||||||
1.31% (SOFR + 0.980%) (1)(2) | 02/02/27 | 1,370,000 | 1,336,901 | |||||||||
2.19% (SOFR + 2.044%) (1)(2) | 06/05/26 | 780,000 | 797,022 | |||||||||
2.59% (SOFR + 1.560%) (1)(2) | 09/11/25 | 1,550,000 | 1,613,085 | |||||||||
4.28% (1) | 01/09/28 | 1,360,000 | 1,510,797 | |||||||||
4.55% | 04/17/26 | 165,000 | 185,933 | |||||||||
Fifth Third Bancorp |
| |||||||||||
2.55% | 05/05/27 | 1,755,000 | 1,844,236 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
0.48% | 01/27/23 | 3,000,000 | 3,001,980 | |||||||||
1.43% (SOFR + 0.798%) (2) | 03/09/27 | 4,110,000 | 4,096,026 | |||||||||
3.69% (3 mo. USD LIBOR + 1.510%) (2) | 06/05/28 | 590,000 | 650,840 | |||||||||
HSBC Holdings PLC |
| |||||||||||
1.59% (SOFR + 1.290%) (2) | 05/24/27 | 2,610,000 | 2,593,678 | |||||||||
2.01% (SOFR + 1.732%) (2) | 09/22/28 | 2,365,000 | 2,347,097 | |||||||||
HSBC Holdings PLC (United Kingdom) |
| |||||||||||
2.63% (SOFR + 1.402%) (2) | 11/07/25 | 535,000 | 561,081 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
1.58% (SOFR + 0.885%) (2) | 04/22/27 | 2,465,000 | 2,476,462 | |||||||||
2.08% (SOFR + 1.850%) (2) | 04/22/26 | 790,000 | 816,501 | |||||||||
4.02% (3 mo. USD LIBOR +1.000%) (2) | 12/05/24 | 965,000 | 1,045,295 | |||||||||
Lloyds Banking Group PLC (United Kingdom) |
| |||||||||||
1.63% (1 year Treasury Constant Maturity Rate + 0.850%) (2) | 05/11/27 | 1,500,000 | 1,500,300 | |||||||||
2.91% (3 mo. USD LIBOR + 0.810%) (2) | 11/07/23 | 1,935,000 | 2,004,166 |
See accompanying Notes to Financial Statements.
4
Table of Contents
TCW Core Fixed Income Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Banks (Continued) | ||||||||||||
3.87% (1-year Treasury Constant Maturity Rate + 3.500%) (2) | 07/09/25 | $ | 1,600,000 | $ | 1,741,050 | |||||||
Macquarie Group, Ltd. |
| |||||||||||
1.34% (SOFR + 1.069%) (1)(2) | 01/12/27 | 2,510,000 | 2,477,644 | |||||||||
Morgan Stanley |
| |||||||||||
1.59% (SOFR + 0.879%) (2) | 05/04/27 | 2,470,000 | 2,481,658 | |||||||||
Santander UK Group Holdings PLC (United Kingdom) |
| |||||||||||
1.09% (SOFR + 0.787%) (2) | 03/15/25 | 3,265,000 | 3,273,783 | |||||||||
3.37% (3 mo. USD LIBOR + 1.080%) (2) | 01/05/24 | 2,460,000 | 2,571,709 | |||||||||
4.80% (3 mo. USD LIBOR +1.570%) (2) | 11/15/24 | 960,000 | 1,055,552 | |||||||||
Santander UK PLC (United Kingdom) |
| |||||||||||
5.00% (1) | 11/07/23 | 1,050,000 | 1,151,428 | |||||||||
Wells Fargo & Co. |
| |||||||||||
2.16% (3 mo. USD LIBOR + 0.750%) (2) | 02/11/26 | 3,610,000 | 3,740,692 | |||||||||
2.39% (SOFR + 2.100%) (2) | 06/02/28 | 265,000 | 273,051 | |||||||||
2.88% (SOFR + 1.432%) (2) | 10/30/30 | 3,930,000 | 4,080,165 | |||||||||
3.58% (3 mo. USD LIBOR + 1.310%) (2) | 05/22/28 | 1,015,000 | 1,114,017 | |||||||||
5.01% (SOFR + 4.502%) (2) | 04/04/51 | 1,765,000 | 2,295,604 | |||||||||
|
| |||||||||||
66,750,892 | ||||||||||||
|
| |||||||||||
Beverages — 0.3% | ||||||||||||
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.90% | 02/01/46 | 2,325,000 | 2,782,041 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.50% | 06/01/50 | 917,000 | 1,055,183 | |||||||||
Bacardi, Ltd. |
| |||||||||||
2.75% (1) | 07/15/26 | 750,000 | 785,857 | |||||||||
|
| |||||||||||
4,623,081 | ||||||||||||
|
| |||||||||||
Biotechnology — 0.3% | ||||||||||||
Gilead Sciences, Inc. |
| |||||||||||
0.71% (3 mo. USD LIBOR + 0.520%) (2) | 09/29/23 | 4,720,000 | 4,725,178 | |||||||||
|
| |||||||||||
Chemicals — 0.1% | ||||||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
5.00% | 09/26/48 | 1,975,000 | 2,479,827 | |||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Commercial Services — 0.3% | ||||||||||||
IHS Markit, Ltd. |
| |||||||||||
3.63% | 05/01/24 | $ | 1,000,000 | $ | 1,077,765 | |||||||
4.00% (1) | 03/01/26 | 1,015,000 | 1,125,457 | |||||||||
4.75% (1) | 02/15/25 | 750,000 | 843,113 | |||||||||
4.75% | 08/01/28 | 1,750,000 | 2,028,784 | |||||||||
|
| |||||||||||
5,075,119 | ||||||||||||
|
| |||||||||||
Computers — 0.1% | ||||||||||||
Apple, Inc. |
| |||||||||||
2.65% | 02/08/51 | 1,000,000 | 930,270 | |||||||||
3.85% | 05/04/43 | 275,000 | 315,748 | |||||||||
|
| |||||||||||
1,246,018 | ||||||||||||
|
| |||||||||||
Diversified Financial Services — 1.1% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.65% | 07/21/27 | 640,000 | 680,583 | |||||||||
3.88% | 01/23/28 | 430,000 | 455,505 | |||||||||
3.95% | 02/01/22 | 685,000 | 699,643 | |||||||||
Air Lease Corp. |
| |||||||||||
3.25% | 03/01/25 | 1,300,000 | 1,379,375 | |||||||||
Avolon Holdings Funding, Ltd. |
| |||||||||||
2.88% (1) | 02/15/25 | 1,550,000 | 1,582,147 | |||||||||
3.95% (1) | 07/01/24 | 405,000 | 430,049 | |||||||||
5.13% (1) | 10/01/23 | 90,000 | 96,830 | |||||||||
5.25% (1) | 05/15/24 | 115,000 | 125,587 | |||||||||
GE Capital Funding LLC |
| |||||||||||
4.40% (1) | 05/15/30 | 1,405,000 | 1,599,386 | |||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland) |
| |||||||||||
4.42% | 11/15/35 | 4,110,000 | 4,735,881 | |||||||||
LSEGA Financing PLC (United Kingdom) |
| |||||||||||
2.00% (1) | 04/06/28 | 2,470,000 | 2,466,337 | |||||||||
Park Aerospace Holdings, Ltd. |
| |||||||||||
4.50% (1) | 03/15/23 | 2,715,000 | 2,850,456 | |||||||||
5.25% (1) | 08/15/22 | 425,000 | 444,333 | |||||||||
5.50% (1) | 02/15/24 | 385,000 | 422,519 | |||||||||
Raymond James Financial, Inc. |
| |||||||||||
4.95% | 07/15/46 | 460,000 | 582,204 | |||||||||
|
| |||||||||||
18,550,835 | ||||||||||||
|
| |||||||||||
Electric — 1.4% | ||||||||||||
Appalachian Power Co. |
| |||||||||||
4.45% | 06/01/45 | 690,000 | 800,799 | |||||||||
Duke Energy Progress LLC |
| |||||||||||
3.70% | 10/15/46 | 1,325,000 | 1,443,879 | |||||||||
El Paso Electric Co. |
| |||||||||||
3.30% | 12/15/22 | 2,065,000 | 2,102,598 | |||||||||
Indiana Michigan Power Co. |
| |||||||||||
4.55% | 03/15/46 | 920,000 | 1,098,095 |
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 (Continued) | ||||||||||||
ITC Holdings Corp. |
| |||||||||||
2.95% (1) | 05/14/30 | $ | 2,000,000 | $ | 2,073,422 | |||||||
KCP&L Greater Missouri Operations Co. |
| |||||||||||
8.27% | 11/15/21 | 1,100,000 | 1,142,291 | |||||||||
Metropolitan Edison Co. |
| |||||||||||
3.50% (1) | 03/15/23 | 3,030,000 | 3,145,957 | |||||||||
MidAmerican Energy Co. |
| |||||||||||
5.80% | 10/15/36 | 1,655,000 | 2,241,931 | |||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
0.45% (3 mo. USD LIBOR + 0.270%) (2) | 02/22/23 | 3,000,000 | 3,000,600 | |||||||||
Niagara Mohawk Power Corp. |
| |||||||||||
2.72% (1) | 11/28/22 | 920,000 | 949,913 | |||||||||
Puget Energy, Inc. |
| |||||||||||
6.00% | 09/01/21 | 1,820,000 | 1,852,388 | |||||||||
Tucson Electric Power Co. |
| |||||||||||
4.00% | 06/15/50 | 1,500,000 | 1,680,870 | |||||||||
5.15% | 11/15/21 | 1,000,000 | 1,013,171 | |||||||||
|
| |||||||||||
22,545,914 | ||||||||||||
|
| |||||||||||
Food — 0.4% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.88% | 10/01/49 | 537,000 | 617,072 | |||||||||
5.00% | 07/15/35 | 720,000 | 844,200 | |||||||||
5.00% | 06/04/42 | 2,133,000 | 2,467,211 | |||||||||
5.20% | 07/15/45 | 775,000 | 918,768 | |||||||||
Kroger Co. (The) |
| |||||||||||
5.40% | 01/15/49 | 1,320,000 | 1,748,125 | |||||||||
|
| |||||||||||
6,595,376 | ||||||||||||
|
| |||||||||||
Gas — 0.2% | ||||||||||||
CenterPoint Energy Resources Corp. |
| |||||||||||
6.25% | 02/01/37 | 1,610,000 | 2,042,148 | |||||||||
KeySpan Gas East Corp. |
| |||||||||||
5.82% (1) | 04/01/41 | 1,551,000 | 2,069,794 | |||||||||
|
| |||||||||||
4,111,942 | ||||||||||||
|
| |||||||||||
Health Care-Services — 1.2% | ||||||||||||
Anthem, Inc. |
| |||||||||||
3.65% | 12/01/27 | 2,405,000 | 2,673,480 | |||||||||
Centene Corp. |
| |||||||||||
3.00% | 10/15/30 | 3,888,000 | 3,863,700 | |||||||||
CommonSpirit Health |
| |||||||||||
2.78% | 10/01/30 | 790,000 | 807,182 | |||||||||
4.35% | 11/01/42 | 600,000 | 671,328 | |||||||||
HCA, Inc. |
| |||||||||||
4.13% | 06/15/29 | 2,646,000 | 2,944,654 | |||||||||
4.50% | 02/15/27 | 455,000 | 514,115 | |||||||||
5.00% | 03/15/24 | 620,000 | 691,195 | |||||||||
5.13% | 06/15/39 | 665,000 | 808,013 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Health Care-Services (Continued) | ||||||||||||
5.25% | 04/15/25 | $ | 1,770,000 | $ | 2,036,077 | |||||||
5.25% | 06/15/49 | 600,000 | 739,300 | |||||||||
Saint Barnabas Health Care System |
| |||||||||||
4.00% | 07/01/28 | 3,290,000 | 3,691,059 | |||||||||
|
| |||||||||||
19,440,103 | ||||||||||||
|
| |||||||||||
Insurance — 1.1% | ||||||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
4.25% | 01/15/49 | 515,000 | 615,276 | |||||||||
Farmers Exchange Capital |
| |||||||||||
7.20% (1) | 07/15/48 | 1,495,000 | 2,039,651 | |||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% (3 mo. USD LIBOR + 3.744%) (1)(2) | 11/01/53 | 2,065,000 | 2,634,152 | |||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
2.47% (3 mo. USD LIBOR + 2.290%) (1)(2) | 12/15/24 | 4,000,000 | 3,998,190 | |||||||||
New York Life Insurance Co. |
| |||||||||||
3.75% (1) | 05/15/50 | 2,430,000 | 2,614,521 | |||||||||
Protective Life Global Funding |
| |||||||||||
1.62% (1) | 04/15/26 | 2,955,000 | 2,968,563 | |||||||||
Teachers Insurance & Annuity Association of America |
| |||||||||||
3.30% (1) | 05/15/50 | 2,980,000 | 2,952,816 | |||||||||
4.27% (1) | 05/15/47 | 130,000 | 150,359 | |||||||||
|
| |||||||||||
17,973,528 | ||||||||||||
|
| |||||||||||
Internet — 0.1% | ||||||||||||
Tencent Holdings, Ltd. |
| |||||||||||
3.68% (1) | 04/22/41 | 825,000 | 839,211 | |||||||||
3.84% (1) | 04/22/51 | 825,000 | 834,958 | |||||||||
3.98% (1) | 04/11/29 | 740,000 | 809,340 | |||||||||
|
| |||||||||||
2,483,509 | ||||||||||||
|
| |||||||||||
Media — 0.7% | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
4.91% | 07/23/25 | 1,250,000 | 1,425,962 | |||||||||
5.38% | 04/01/38 | 1,475,000 | 1,759,675 | |||||||||
5.38% | 05/01/47 | 1,205,000 | 1,414,562 | |||||||||
Time Warner Cable LLC |
| |||||||||||
5.88% | 11/15/40 | 1,200,000 | 1,502,784 | |||||||||
ViacomCBS, Inc. |
| |||||||||||
4.20% | 05/19/32 | 1,900,000 | 2,121,445 | |||||||||
Walt Disney Co. (The) |
| |||||||||||
2.65% | 01/13/31 | 1,400,000 | 1,440,838 | |||||||||
3.60% | 01/13/51 | 1,080,000 | 1,164,870 | |||||||||
|
| |||||||||||
10,830,136 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
6
Table of Contents
TCW Core Fixed Income Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Miscellaneous Manufacturers — 0.3% | ||||||||||||
General Electric Co. |
| |||||||||||
0.67% (3 mo. USD LIBOR + 0.480%) (2) | 08/15/36 | $ | 3,045,000 | $ | 2,458,244 | |||||||
4.25% | 05/01/40 | 1,250,000 | 1,398,737 | |||||||||
6.75% | 03/15/32 | 1,000,000 | 1,352,548 | |||||||||
|
| |||||||||||
5,209,529 | ||||||||||||
|
| |||||||||||
Oil & Gas — 0.5% | ||||||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 265,000 | 276,618 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
4.33% | 03/19/50 | 2,280,000 | 2,666,156 | |||||||||
Petroleos Mexicanos |
| |||||||||||
5.95% | 01/28/31 | 995,000 | 965,548 | |||||||||
6.63% | 06/15/35 | 1,105,000 | 1,067,319 | |||||||||
6.75% | 09/21/47 | 2,625,000 | 2,324,332 | |||||||||
6.95% | 01/28/60 | 510,000 | 451,299 | |||||||||
7.69% | 01/23/50 | 850,000 | 819,613 | |||||||||
|
| |||||||||||
8,570,885 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 0.3% | ||||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
3.63% | 04/28/26 | 1,380,000 | 1,513,943 | |||||||||
Berry Global, Inc. |
| |||||||||||
1.57% (1) | 01/15/26 | 3,645,000 | 3,623,749 | |||||||||
|
| |||||||||||
5,137,692 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 1.7% | ||||||||||||
AbbVie, Inc. |
| |||||||||||
3.80% | 03/15/25 | 653,000 | 715,295 | |||||||||
4.05% | 11/21/39 | 555,000 | 621,373 | |||||||||
4.25% | 11/21/49 | 165,000 | 187,757 | |||||||||
4.40% | 11/06/42 | 1,840,000 | 2,134,271 | |||||||||
4.45% | 05/14/46 | 1,035,000 | 1,202,515 | |||||||||
Bayer US Finance II LLC |
| |||||||||||
4.25% (1) | 12/15/25 | 845,000 | 943,897 | |||||||||
4.38% (1) | 12/15/28 | 4,540,000 | 5,140,736 | |||||||||
4.63% (1) | 06/25/38 | 500,000 | 577,290 | |||||||||
4.88% (1) | 06/25/48 | 2,430,000 | 2,917,848 | |||||||||
Becton Dickinson and Co. |
| |||||||||||
2.82% | 05/20/30 | 1,000,000 | 1,033,760 | |||||||||
Cigna Corp. |
| |||||||||||
3.40% | 03/15/51 | 500,000 | 497,690 | |||||||||
4.13% | 11/15/25 | 4,545,000 | 5,112,091 | |||||||||
CVS Health Corp. |
| |||||||||||
3.88% | 07/20/25 | 1,477,000 | 1,642,406 | |||||||||
5.05% | 03/25/48 | 4,180,000 | 5,149,760 | |||||||||
|
| |||||||||||
27,876,689 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Pipelines — 1.3% | ||||||||||||
Enbridge Energy Partners LP |
| |||||||||||
5.88% | 10/15/25 | $ | 333,000 | $ | 395,261 | |||||||
Energy Transfer LP |
| |||||||||||
4.95% | 06/15/28 | 200,000 | 225,163 | |||||||||
5.00% | 05/15/50 | 1,000,000 | 1,057,320 | |||||||||
5.15% | 03/15/45 | 2,870,000 | 3,047,000 | |||||||||
5.40% | 10/01/47 | 1,763,000 | 1,918,514 | |||||||||
5.95% | 10/01/43 | 630,000 | 714,970 | |||||||||
6.50% | 02/01/42 | 1,400,000 | 1,702,295 | |||||||||
Plains All American Pipeline LP / PAA Finance Corp. |
| |||||||||||
4.50% | 12/15/26 | 2,115,000 | 2,342,934 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.95% (1) | 07/15/29 | 2,000,000 | 2,047,520 | |||||||||
6.88% (1) | 04/15/40 | 350,000 | 378,000 | |||||||||
Ruby Pipeline LLC |
| |||||||||||
8.00% (1)(3) | 04/01/22 | 1,353,030 | 1,165,297 | |||||||||
Southern Natural Gas Co. LLC |
| |||||||||||
7.35% | 02/15/31 | 2,380,000 | 3,139,865 | |||||||||
TC PipeLines LP |
| |||||||||||
4.38% | 03/13/25 | 710,000 | 784,790 | |||||||||
Texas Eastern Transmission LP |
| |||||||||||
2.80% (1) | 10/15/22 | 920,000 | 944,684 | |||||||||
TransCanada PipeLines, Ltd. (Canada) |
| |||||||||||
6.10% | 06/01/40 | 375,000 | 497,816 | |||||||||
Williams Partners LP |
| |||||||||||
6.30% | 04/15/40 | 650,000 | 848,687 | |||||||||
|
| |||||||||||
21,210,116 | ||||||||||||
|
| |||||||||||
REIT — 1.1% | ||||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.30% | 07/15/26 | 1,000,000 | 1,080,024 | |||||||||
4.13% | 07/01/24 | 1,425,000 | 1,557,174 | |||||||||
Boston Properties LP |
| |||||||||||
3.25% | 01/30/31 | 1,395,000 | 1,461,528 | |||||||||
CyrusOne LP / CyrusOne Finance Corp. |
| |||||||||||
2.15% | 11/01/30 | 1,570,000 | 1,473,209 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
4.00% | 01/15/30 | 560,000 | 594,227 | |||||||||
5.30% | 01/15/29 | 1,280,000 | 1,460,493 | |||||||||
5.38% | 11/01/23 | 1,000,000 | 1,098,750 | |||||||||
5.38% | 04/15/26 | 1,528,000 | 1,731,533 | |||||||||
5.75% | 06/01/28 | 1,600,000 | 1,867,390 | |||||||||
Healthcare Trust of America Holdings LP |
| |||||||||||
2.00% | 03/15/31 | 2,350,000 | 2,221,522 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 2,380,000 | 2,462,110 | |||||||||
Ventas Realty LP |
| |||||||||||
3.85% | 04/01/27 | 690,000 | 767,636 | |||||||||
|
| |||||||||||
17,775,596 | ||||||||||||
|
|
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 | |||||||||
Retail — 0.1% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
3.55% (1) | 07/26/27 | $ | 1,710,000 | $ | 1,872,024 | |||||||
|
| |||||||||||
Savings & Loans — 0.2% | ||||||||||||
Nationwide Building Society (United Kingdom) |
| |||||||||||
3.62% (3 mo. USD LIBOR + 1.181%) (1)(2) | 04/26/23 | 800,000 | 824,440 | |||||||||
3.77% (3 mo. USD LIBOR + 1.064%) (1)(2) | 03/08/24 | 2,670,000 | 2,820,520 | |||||||||
4.36% (3 mo. USD LIBOR + 1.392%) (1)(2) | 08/01/24 | 400,000 | 431,180 | |||||||||
|
| |||||||||||
4,076,140 | ||||||||||||
|
| |||||||||||
Semiconductors — 0.1% | ||||||||||||
Intel Corp. |
| |||||||||||
4.10% | 05/19/46 | 1,000,000 | 1,152,330 | |||||||||
4.75% | 03/25/50 | 755,000 | 958,504 | |||||||||
|
| |||||||||||
2,110,834 | ||||||||||||
|
| |||||||||||
Software — 0.3% | ||||||||||||
Oracle Corp. |
| |||||||||||
3.60% | 04/01/50 | 2,000,000 | 1,975,854 | |||||||||
3.95% | 03/25/51 | 2,425,000 | 2,528,208 | |||||||||
|
| |||||||||||
4,504,062 | ||||||||||||
|
| |||||||||||
Telecommunications — 2.7% | ||||||||||||
AT&T, Inc. |
| |||||||||||
2.55% (1) | 12/01/33 | 1,175,000 | 1,122,288 | |||||||||
3.55% (1) | 09/15/55 | 1,900,000 | 1,746,996 | |||||||||
3.80% (1) | 12/01/57 | 5,286,000 | 5,039,727 | |||||||||
4.75% | 05/15/46 | 1,130,000 | 1,299,677 | |||||||||
4.85% | 03/01/39 | 1,554,000 | 1,815,709 | |||||||||
5.25% | 03/01/37 | 2,155,000 | 2,628,820 | |||||||||
Level 3 Financing, Inc. |
| |||||||||||
3.88% (1) | 11/15/29 | 2,255,000 | 2,401,158 | |||||||||
Qwest Corp. |
| |||||||||||
7.25% | 09/15/25 | 920,000 | 1,089,510 | |||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% (1) | 03/20/23 | 342,500 | 343,784 | |||||||||
4.74% (1) | 09/20/29 | 6,330,000 | 6,796,837 | |||||||||
5.15% (1) | 09/20/29 | 2,505,000 | 2,866,196 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
2.55% (1) | 02/15/31 | 977,000 | 962,365 | |||||||||
3.75% (1) | 04/15/27 | 1,675,000 | 1,845,532 | |||||||||
3.88% (1) | 04/15/30 | 3,735,000 | 4,073,204 | |||||||||
4.38% (1) | 04/15/40 | 1,990,000 | 2,211,388 | |||||||||
Verizon Communications, Inc. |
| |||||||||||
2.10% | 03/22/28 | 815,000 | 822,637 | |||||||||
2.55% | 03/21/31 | 3,320,000 | 3,332,516 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Telecommunications (Continued) | ||||||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
4.88% | 06/19/49 | $ | 1,897,000 | $ | 2,305,742 | |||||||
5.25% | 05/30/48 | 1,390,000 | 1,758,561 | |||||||||
|
| |||||||||||
44,462,647 | ||||||||||||
|
| |||||||||||
Water — 0.1% | ||||||||||||
American Water Capital Corp. |
| |||||||||||
3.45% | 05/01/50 | 2,385,000 | 2,488,437 | |||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $337,104,364) |
| 355,487,161 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.7% | ||||||||||||
City of New York NY, General Obligation Unlimited |
| |||||||||||
1.82% | 08/01/30 | 1,325,000 | 1,285,391 | |||||||||
3.00% | 08/01/34 | 380,000 | 400,379 | |||||||||
Los Angeles Unified School District/CA, General Obligation |
| |||||||||||
5.76% | 07/01/29 | 2,500,000 | 3,122,220 | |||||||||
Metropolitan Transportation Authority, Revenue Bond |
| |||||||||||
5.18% | 11/15/49 | 335,000 | 422,735 | |||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bond |
| |||||||||||
2.00% | 08/01/35 | 1,000,000 | 928,612 | |||||||||
2.40% | 11/01/32 | 585,000 | 589,071 | |||||||||
New York City Water and Sewer System, Revenue Bond |
| |||||||||||
4.00% | 06/15/50 | 690,000 | 810,474 | |||||||||
Regents of the University of California Medical Center Pooled, Revenue Bond |
| |||||||||||
3.26% | 05/15/60 | 3,115,000 | 3,155,215 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost: $10,433,132) |
| 10,714,097 | ||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 4.5% | ||||||||||||
321 Henderson Receivables I LLC (13-3A-A) |
| |||||||||||
4.08% (1) | 01/17/73 | 1,289,976 | 1,441,615 | |||||||||
321 Henderson Receivables I LLC (14-2A-A) |
| |||||||||||
3.61% (1) | 01/17/73 | 1,546,525 | 1,698,596 | |||||||||
AMMC CLO XIII, Ltd. (13-13A-A1R2) |
| |||||||||||
1.23% (3 mo. USD LIBOR + 1.050%) (1)(2) | 07/24/29 | 4,500,000 | 4,502,790 | |||||||||
Babson CLO, Ltd. (16-2A-AR) |
| |||||||||||
1.27% (3 mo. USD LIBOR + 1.080%) (1)(2) | 07/20/28 | 2,406,803 | 2,407,886 | |||||||||
BDS, Ltd. (19-FL4-A) |
| |||||||||||
1.22% (1 mo. USD LIBOR + 1.100%) (1)(2) | 08/15/36 | 5,645,000 | 5,658,978 | |||||||||
Brazos Education Loan Authority, Inc. (12-1-A1) |
| |||||||||||
0.81% (1 mo. USD LIBOR + 0.700%) (2) | 12/26/35 | 625,690 | 621,853 |
See accompanying Notes to Financial Statements.
8
Table of Contents
TCW Core Fixed Income Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
Brazos Higher Education Authority, Inc. (10-1-A2) |
| |||||||||||
1.39% (3 mo. USD LIBOR + 1.200%) (2) | 02/25/35 | $ | 675,000 | $ | 686,314 | |||||||
Brazos Higher Education Authority, Inc. (11-1-A3) |
| |||||||||||
1.24% (3 mo. USD LIBOR + 1.050%) (2) | 11/25/33 | 1,695,000 | 1,728,940 | |||||||||
Dryden XXVI Senior Loan Fund (13-26A-AR) |
| |||||||||||
1.08% (3 mo. USD LIBOR + | 04/15/29 | 2,200,000 | 2,199,758 | |||||||||
Educational Funding of the South, Inc. (11-1-A2) |
| |||||||||||
0.83% (3 mo. USD LIBOR + 0.650%) (2) | 04/25/35 | 821,552 | 817,155 | |||||||||
Educational Services of America, Inc. (12-2-A) |
| |||||||||||
0.84% (1 mo. USD LIBOR + | 04/25/39 | 404,149 | 402,713 | |||||||||
Global SC Finance SRL (14-1A-A2) |
| |||||||||||
3.09% (1) | 07/17/29 | 1,002,625 | 1,012,438 | |||||||||
GoldenTree Loan Opportunities IX, Ltd. (14-9A-AR2) |
| |||||||||||
1.29% (3 mo. USD LIBOR + | 10/29/29 | 3,100,000 | 3,105,261 | |||||||||
Higher Education Funding I (14-1-A) |
| |||||||||||
1.24% (3 mo. USD LIBOR + | 05/25/34 | 1,839,351 | 1,849,796 | |||||||||
Navient Student Loan Trust (14-3-A) |
| |||||||||||
0.73% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 3,179,674 | 3,165,071 | |||||||||
Navient Student Loan Trust (14-4-A) |
| |||||||||||
0.73% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 1,612,671 | 1,604,702 | |||||||||
Nelnet Student Loan Trust (14-4A-A2) |
| |||||||||||
1.06% (1 mo. USD LIBOR + 0.950%) (1)(2) | 11/25/48 | 2,965,000 | 3,044,463 | |||||||||
OCP CLO, Ltd. (20-19A-A1) |
| |||||||||||
1.94% (3 mo. USD LIBOR + 1.750%) (1)(2) | 07/20/31 | 3,600,000 | 3,607,124 | |||||||||
Octagon Investment Partners XIV, Ltd. (12-1A-AARR) |
| |||||||||||
1.13% (3 mo. USD LIBOR + 0.950%) (1)(2) | 07/15/29 | 4,100,000 | 4,098,627 | |||||||||
PHEAA Student Loan Trust (15-1A-A) |
| |||||||||||
0.71% (1 mo. USD LIBOR + 0.600%) (1)(2) | 10/25/41 | 1,352,280 | 1,344,208 | |||||||||
Skyline Trust (2020-1 A) |
| |||||||||||
3.23% (3) | 07/03/38 | 4,954,800 | 4,939,704 | |||||||||
SLM Student Loan Trust (03-7A-A5A) |
| |||||||||||
1.38% (3 mo. USD LIBOR + | 12/15/33 | 2,336,463 | 2,341,781 | |||||||||
SLM Student Loan Trust (08-2-B) |
| |||||||||||
1.38% (3 mo. USD LIBOR + | 01/25/83 | 710,000 | 672,927 | |||||||||
SLM Student Loan Trust (08-3-B) |
| |||||||||||
1.38% (3 mo. USD LIBOR + | 04/26/83 | 710,000 | 663,616 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
SLM Student Loan Trust (08-4-A4) |
| |||||||||||
1.83% (3 mo. USD LIBOR + 1.650%) (2) | 07/25/22 | $ | 3,945,421 | $ | 4,016,866 | |||||||
SLM Student Loan Trust (08-4-B) |
| |||||||||||
2.03% (3 mo. USD LIBOR + 1.850%) (2) | 04/25/73 | 710,000 | 707,080 | |||||||||
SLM Student Loan Trust (08-5-B) |
| |||||||||||
2.03% (3 mo. USD LIBOR + 1.850%) (2) | 07/25/73 | 710,000 | 702,935 | |||||||||
SLM Student Loan Trust (08-6-A4) |
| |||||||||||
1.28% (3 mo. USD LIBOR + 1.100%) (2) | 07/25/23 | 3,271,885 | 3,273,170 | |||||||||
SLM Student Loan Trust (08-6-B) |
| |||||||||||
2.03% (3 mo. USD LIBOR + 1.850%) (2) | 07/26/83 | 710,000 | 699,606 | |||||||||
SLM Student Loan Trust (08-7-B) |
| |||||||||||
2.03% (3 mo. USD LIBOR + 1.850%) (2) | 07/26/83 | 710,000 | 708,977 | |||||||||
SLM Student Loan Trust (08-8-B) |
| |||||||||||
2.43% (3 mo. USD LIBOR + 2.250%) (2) | 10/25/75 | 710,000 | 714,381 | |||||||||
SLM Student Loan Trust (08-9-A) |
| |||||||||||
1.68% (3 mo. USD LIBOR + 1.500%) (2) | 04/25/23 | 1,183,882 | 1,191,732 | |||||||||
SLM Student Loan Trust (08-9-B) |
| |||||||||||
2.43% (3 mo. USD LIBOR + 2.250%) (2) | 10/25/83 | 710,000 | 715,869 | |||||||||
SLM Student Loan Trust (11-2-A2) |
| |||||||||||
1.31% (1 mo. USD LIBOR + 1.200%) (2) | 10/25/34 | 2,000,000 | 2,034,659 | |||||||||
SLM Student Loan Trust (12-7-A3) |
| |||||||||||
0.76% (1 mo. USD LIBOR + 0.650%) (2) | 05/26/26 | 1,763,748 | 1,726,757 | |||||||||
Tricon American Homes Trust (17-SFR1-A) |
| |||||||||||
2.72% (1) | 09/17/34 | 4,841,688 | 4,868,639 | |||||||||
|
| |||||||||||
Total Asset-backed Securities |
| |||||||||||
(Cost: $74,249,731) |
| 74,976,987 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 0.5% | ||||||||||||
Fannie Mae, Pool #AN0245 |
| |||||||||||
3.42% | 11/01/35 | 2,003,901 | 2,249,506 | |||||||||
Fannie Mae, Pool #BL6060 |
| |||||||||||
2.46% | 04/01/40 | 1,840,000 | 1,875,979 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K155-A3) |
| |||||||||||
3.75% | 04/25/33 | 4,045,000 | 4,748,188 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $8,010,575) |
| 8,873,673 | ||||||||||
|
|
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 | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 1.7% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust (18-PARK-A) |
| |||||||||||
4.23% (1)(4) | 08/10/38 | $ | 1,930,000 | $ | 2,205,017 | |||||||
BX Trust (19-OC11-A) |
| |||||||||||
3.20% (1) | 12/09/41 | 585,000 | 620,839 | |||||||||
CALI Mortgage Trust (19-101C-A) |
| |||||||||||
3.96% (1) | 03/10/39 | 1,285,000 | 1,449,614 | |||||||||
Citigroup Commercial Mortgage Trust (20-WSS-A) |
| |||||||||||
2.06% (1 mo. USD LIBOR + | 02/15/39 | 3,905,573 | 3,969,435 | |||||||||
COMM 2015-CCRE27 Mortgage Trust (15-CR27-A3) |
| |||||||||||
3.35% | 10/10/48 | 4,795,909 | 5,171,291 | |||||||||
CPT Mortgage Trust (19-CPT-A) |
| |||||||||||
2.87% (1) | 11/13/39 | 1,105,000 | 1,162,043 | |||||||||
DC Office Trust (19-MTC-A) |
| |||||||||||
2.97% (1) | 09/15/45 | 1,180,000 | 1,248,201 | |||||||||
Hudson Yards Mortgage Trust (19-30HY-A) |
| |||||||||||
3.23% (1) | 07/10/39 | 2,185,000 | 2,359,413 | |||||||||
Hudson Yards Mortgage Trust (19-55HY-A) |
| |||||||||||
3.04% (1)(4) | 12/10/41 | 1,180,000 | 1,253,071 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (19-OSB-A) |
| |||||||||||
3.40% (1) | 06/05/39 | 1,160,000 | 1,268,349 | |||||||||
Manhattan West Mortgage Trust (20-1MW-A) |
| |||||||||||
2.13% (1) | 09/10/39 | 1,720,000 | 1,744,910 | |||||||||
MKT Mortgage Trust (20-525M-A) |
| |||||||||||
2.69% (1) | 02/12/40 | 1,540,000 | 1,597,223 | |||||||||
Natixis Commercial Mortgage Securities Trust (20-2PAC-A) |
| |||||||||||
2.97% (1) | 12/15/38 | 1,215,000 | 1,270,938 | |||||||||
One Bryant Park Trust (19-OBP-A) |
| |||||||||||
2.52% (1) | 09/15/54 | 1,495,000 | 1,533,286 | |||||||||
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A1) |
| |||||||||||
3.87% (1)(4) | 01/05/43 | 1,710,000 | 1,728,770 | |||||||||
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A2B) |
| |||||||||||
4.14% (1)(4) | 01/05/43 | 70,000 | 69,341 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $27,860,775) |
| 28,651,741 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 32.3% | ||||||||||||
Fannie Mae, Pool #FM2318 |
| |||||||||||
3.50% | 09/01/49 | 481,405 | 521,275 | |||||||||
Fannie Mae, Pool #MA4152 |
| |||||||||||
2.00% | 10/01/40 | 7,008,610 | 7,162,461 | |||||||||
Fannie Mae (19-79-FA) |
| |||||||||||
0.61% (1 mo. USD LIBOR + 0.500%) (2) | 01/25/50 | 2,634,183 | 2,668,136 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (01-14-SH) (I/F) |
| |||||||||||
27.45% (-1 mo. USD LIBOR + 27.825%) (2) | 03/25/30 | $ | 86,300 | $ | 136,536 | |||||||
Fannie Mae (01-34-FV) |
| |||||||||||
0.61% (1 mo. USD LIBOR + 0.500%) (2) | 08/25/31 | 111,014 | 111,640 | |||||||||
Fannie Mae (04-W10-A6) (PAC) |
| |||||||||||
5.75% | 08/25/34 | 1,113,554 | 1,232,099 | |||||||||
Fannie Mae (07-89-GF) |
| |||||||||||
0.63% (1 mo. USD LIBOR + 0.520%) (2) | 09/25/37 | 447,766 | 453,131 | |||||||||
Fannie Mae (08-30-SA) (I/O) (I/F) |
| |||||||||||
6.74% (-1 mo. USD LIBOR + 6.850%) (2) | 04/25/38 | 79,490 | 18,532 | |||||||||
Fannie Mae (08-62-SN) (I/O) (I/F) |
| |||||||||||
6.09% (-1 mo. USD LIBOR + 6.200%) (2) | 07/25/38 | 64,641 | 10,694 | |||||||||
Fannie Mae (09-64-TB) |
| |||||||||||
4.00% | 08/25/29 | 977,712 | 1,057,977 | |||||||||
Fannie Mae (09-68-SA) (I/O) (I/F) |
| |||||||||||
6.64% (-1 mo. USD LIBOR + 6.750%) (2) | 09/25/39 | 59,739 | 13,076 | |||||||||
Fannie Mae (10-26-AS) (I/O) (I/F) |
| |||||||||||
6.22% (-1 mo. USD LIBOR + 6.330%) (2) | 03/25/40 | 827,599 | 131,320 | |||||||||
Fannie Mae (11-111-DB) |
| |||||||||||
4.00% | 11/25/41 | 2,196,363 | 2,409,221 | |||||||||
Fannie Mae (18-38-LA) |
| |||||||||||
3.00% | 06/25/48 | 1,866,030 | 1,947,234 | |||||||||
Fannie Mae (18-43-CT) |
| |||||||||||
3.00% | 06/25/48 | 1,414,485 | 1,484,326 | |||||||||
Fannie Mae, Pool #254634 |
| |||||||||||
5.50% | 02/01/23 | 2,741 | 3,067 | |||||||||
Fannie Mae, Pool #596686 |
| |||||||||||
6.50% | 11/01/31 | 10,089 | 11,460 | |||||||||
Fannie Mae, Pool #727575 |
| |||||||||||
5.00% | 06/01/33 | 27,480 | 29,890 | |||||||||
Fannie Mae, Pool #748751 |
| |||||||||||
5.50% | 10/01/33 | 37,816 | 39,771 | |||||||||
Fannie Mae, Pool #AB2127 |
| |||||||||||
3.50% | 01/01/26 | 433,002 | 463,610 | |||||||||
Fannie Mae, Pool #AL0209 |
| |||||||||||
4.50% | 05/01/41 | 460,265 | 521,181 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 440,719 | 513,873 | |||||||||
Fannie Mae, Pool #AS9830 |
| |||||||||||
4.00% | 06/01/47 | 1,179,332 | 1,271,095 | |||||||||
Fannie Mae, Pool #CA1710 |
| |||||||||||
4.50% | 05/01/48 | 2,749,621 | 3,001,628 |
See accompanying Notes to Financial Statements.
10
Table of Contents
TCW Core Fixed Income Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #CA1711 |
| |||||||||||
4.50% | 05/01/48 | $ | 2,021,101 | $ | 2,209,012 | |||||||
Fannie Mae, Pool #CA2208 |
| |||||||||||
4.50% | 08/01/48 | 1,783,010 | 1,947,640 | |||||||||
Fannie Mae, Pool #CA2327 |
| |||||||||||
4.00% | 09/01/48 | 734,550 | 805,772 | |||||||||
Fannie Mae, Pool #FM2870 |
| |||||||||||
3.00% | 03/01/50 | 2,782,905 | 2,952,652 | |||||||||
Fannie Mae, Pool #MA1146 |
| |||||||||||
4.00% | 08/01/42 | 1,097,762 | 1,216,443 | |||||||||
Fannie Mae, Pool #MA1561 |
| |||||||||||
3.00% | 09/01/33 | 1,921,083 | 2,042,159 | |||||||||
Fannie Mae, Pool #MA1584 |
| |||||||||||
3.50% | 09/01/33 | 2,895,394 | 3,153,918 | |||||||||
Fannie Mae, Pool #MA3182 |
| |||||||||||
3.50% | 11/01/47 | 604,211 | 646,304 | |||||||||
Fannie Mae, Pool #MA4093 |
| |||||||||||
2.00% | 08/01/40 | 5,944,766 | 6,075,260 | |||||||||
Freddie Mac, Pool #ZM1779 |
| |||||||||||
3.00% | 09/01/46 | 1,950,851 | 2,057,097 | |||||||||
Freddie Mac (2439-KZ) |
| |||||||||||
6.50% | 04/15/32 | 92,642 | 108,260 | |||||||||
Freddie Mac (2575-FD) (PAC) |
| |||||||||||
0.56% (1 mo. USD LIBOR + 0.450%) (2) | 02/15/33 | 231,157 | 233,570 | |||||||||
Freddie Mac (2662-MT) (TAC) |
| |||||||||||
4.50% | 08/15/33 | 113,448 | 123,354 | |||||||||
Freddie Mac (3315-S) (I/O) (I/F) |
| |||||||||||
6.30% (-1 mo. USD LIBOR + 6.410%) (2) | 05/15/37 | 14,368 | 2,090 | |||||||||
Freddie Mac (3339-JS) (I/F) |
| |||||||||||
42.09% (-1 mo. USD LIBOR + 42.835%) (2) | 07/15/37 | 332,209 | 698,739 | |||||||||
Freddie Mac (3351-ZC) |
| |||||||||||
5.50% | 07/15/37 | 226,632 | 263,819 | |||||||||
Freddie Mac (3380-SM) (I/O) (I/F) |
| |||||||||||
6.30% (-1 mo. USD LIBOR + 6.410%) (2) | 10/15/37 | 338,803 | 70,582 | |||||||||
Freddie Mac (3382-FL) |
| |||||||||||
0.81% (1 mo. USD LIBOR + 0.700%) (2) | 11/15/37 | 93,412 | 92,922 | |||||||||
Freddie Mac (3439-SC) (I/O) (I/F) |
| |||||||||||
5.79% (-1 mo. USD LIBOR + 5.900%) (2) | 04/15/38 | 1,336,758 | 209,384 | |||||||||
Freddie Mac (3578-DI) (I/O) (I/F) |
| |||||||||||
6.54% (-1 mo. USD LIBOR + 6.650%) (2) | 04/15/36 | 524,281 | 94,308 | |||||||||
Freddie Mac (4818-CA) |
| |||||||||||
3.00% | 04/15/48 | 968,009 | 1,011,346 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #A97179 |
| |||||||||||
4.50% | 03/01/41 | $ | 1,423,869 | $ | 1,612,945 | |||||||
Freddie Mac, Pool #C90526 |
| |||||||||||
5.50% | 02/01/22 | 653 | 658 | |||||||||
Freddie Mac, Pool #G06360 |
| |||||||||||
4.00% | 03/01/41 | 1,733,385 | 1,933,940 | |||||||||
Freddie Mac, Pool #G06498 |
| |||||||||||
4.00% | 04/01/41 | 1,224,902 | 1,360,679 | |||||||||
Freddie Mac, Pool #G06499 |
| |||||||||||
4.00% | 03/01/41 | 817,591 | 901,977 | |||||||||
Freddie Mac, Pool #G07849 |
| |||||||||||
3.50% | 05/01/44 | 988,762 | 1,079,408 | |||||||||
Freddie Mac, Pool #G07924 |
| |||||||||||
3.50% | 01/01/45 | 1,612,415 | 1,756,307 | |||||||||
Freddie Mac, Pool #G08710 |
| |||||||||||
3.00% | 06/01/46 | 2,097,941 | 2,213,219 | |||||||||
Freddie Mac, Pool #G08711 |
| |||||||||||
3.50% | 06/01/46 | 3,730,540 | 4,027,951 | |||||||||
Freddie Mac, Pool #G08715 |
| |||||||||||
3.00% | 08/01/46 | 3,997,170 | 4,216,808 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 2,558,556 | 2,761,733 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 3,246,837 | 3,425,245 | |||||||||
Freddie Mac, Pool #G08722 |
| |||||||||||
3.50% | 09/01/46 | 1,008,301 | 1,088,372 | |||||||||
Freddie Mac, Pool #G08726 |
| |||||||||||
3.00% | 10/01/46 | 3,097,990 | 3,268,219 | |||||||||
Freddie Mac, Pool #G08732 |
| |||||||||||
3.00% | 11/01/46 | 3,085,918 | 3,255,484 | |||||||||
Freddie Mac, Pool #G08792 |
| |||||||||||
3.50% | 12/01/47 | 2,793,929 | 2,988,527 | |||||||||
Freddie Mac, Pool #G08816 |
| |||||||||||
3.50% | 06/01/48 | 565,138 | 601,237 | |||||||||
Freddie Mac, Pool #G08826 |
| |||||||||||
5.00% | 06/01/48 | 645,222 | 713,503 | |||||||||
Freddie Mac, Pool #G08843 |
| |||||||||||
4.50% | 10/01/48 | 2,334,844 | 2,545,508 | |||||||||
Freddie Mac, Pool #G16584 |
| |||||||||||
3.50% | 08/01/33 | 2,299,799 | 2,463,822 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 1,098,709 | 1,162,724 | |||||||||
Freddie Mac, Pool #G18670 |
| |||||||||||
3.00% | 12/01/32 | 737,268 | 779,258 | |||||||||
Freddie Mac, Pool #G18713 |
| |||||||||||
3.50% | 11/01/33 | 1,551,491 | 1,662,144 | |||||||||
Freddie Mac, Pool #G60038 |
| |||||||||||
3.50% | 01/01/44 | 1,474,223 | 1,607,475 |
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) | ||||||||||||
Freddie Mac, Pool #G60344 |
| |||||||||||
4.00% | 12/01/45 | $ | 784,778 | $ | 863,688 | |||||||
Freddie Mac, Pool #G67700 |
| |||||||||||
3.50% | 08/01/46 | 1,217,648 | 1,327,756 | |||||||||
Freddie Mac, Pool #G67703 |
| |||||||||||
3.50% | 04/01/47 | 7,322,517 | 7,980,091 | |||||||||
Freddie Mac, Pool #G67706 |
| |||||||||||
3.50% | 12/01/47 | 4,804,894 | 5,223,555 | |||||||||
Freddie Mac, Pool #G67707 |
| |||||||||||
3.50% | 01/01/48 | 9,276,464 | 10,148,505 | |||||||||
Freddie Mac, Pool #G67708 |
| |||||||||||
3.50% | 03/01/48 | 8,773,175 | 9,525,604 | |||||||||
Freddie Mac, Pool #G67710 |
| |||||||||||
3.50% | 03/01/48 | 7,140,959 | 7,706,985 | |||||||||
Freddie Mac, Pool #G67711 |
| |||||||||||
4.00% | 03/01/48 | 2,610,410 | 2,868,566 | |||||||||
Freddie Mac, Pool #G67718 |
| |||||||||||
4.00% | 01/01/49 | 2,711,805 | 2,963,189 | |||||||||
Freddie Mac, Pool #Q05261 |
| |||||||||||
3.50% | 12/01/41 | 1,510,957 | 1,658,760 | |||||||||
Freddie Mac, Pool #Q20178 |
| |||||||||||
3.50% | 07/01/43 | 2,773,725 | 3,061,534 | |||||||||
Freddie Mac, Pool #SD7513 |
| |||||||||||
3.50% | 04/01/50 | 854,173 | 928,652 | |||||||||
Freddie Mac, Pool #ZT1703 |
| |||||||||||
4.00% | 01/01/49 | 1,846,335 | 2,017,559 | |||||||||
Ginnie Mae (08-27-SI) (I/O) (I/F) |
| |||||||||||
6.35% (-1 mo. USD LIBOR + 6.470%) (2) | 03/20/38 | 220,024 | 48,033 | |||||||||
Ginnie Mae (08-81-S) (I/O) (I/F) |
| |||||||||||
6.08% (-1 mo. USD LIBOR + 6.200%) (2) | 09/20/38 | 853,194 | 178,958 | |||||||||
Ginnie Mae (10-1-S) (I/O) (I/F) |
| |||||||||||
5.63% (-1 mo. USD LIBOR + 5.750%) (2) | 01/20/40 | 1,308,808 | 133,477 | |||||||||
Ginnie Mae (18-124-NW) |
| |||||||||||
3.50% | 09/20/48 | 1,444,690 | 1,548,351 | |||||||||
Ginnie Mae, Pool #608259 |
| |||||||||||
4.50% | 08/15/33 | 30,145 | 33,867 | |||||||||
Ginnie Mae, Pool #782114 |
| |||||||||||
5.00% | 09/15/36 | 88,981 | 103,340 | |||||||||
Ginnie Mae, Pool #MA3662 |
| |||||||||||
3.00% | 05/20/46 | 730,714 | 773,217 | |||||||||
Ginnie Mae, Pool #MA4127 |
| |||||||||||
3.50% | 12/20/46 | 2,275,205 | 2,447,070 | |||||||||
Ginnie Mae II, Pool #MA6030 |
| |||||||||||
3.50% | 07/20/49 | 295,807 | 307,862 | |||||||||
Ginnie Mae II, Pool #MA3521 |
| |||||||||||
3.50% | 03/20/46 | 1,698,500 | 1,834,334 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA3597 |
| |||||||||||
3.50% | 04/20/46 | $ | 1,650,291 | $ | 1,782,270 | |||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 1,658,676 | 1,791,324 | |||||||||
Ginnie Mae II, Pool #MA4126 |
| |||||||||||
3.00% | 12/20/46 | 4,282,506 | 4,531,601 | |||||||||
Ginnie Mae II, Pool #MA4196 |
| |||||||||||
3.50% | 01/20/47 | 1,388,392 | 1,493,785 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 572,100 | 637,891 | |||||||||
Ginnie Mae II, Pool #MA4510 |
| |||||||||||
3.50% | 06/20/47 | 711,923 | 760,848 | |||||||||
Ginnie Mae II, Pool #MA4589 |
| |||||||||||
5.00% | 07/20/47 | 1,465,949 | 1,629,684 | |||||||||
Ginnie Mae II, Pool #MA4722 |
| |||||||||||
5.00% | 09/20/47 | 496,295 | 550,021 | |||||||||
Ginnie Mae II, Pool #MA4777 |
| |||||||||||
3.00% | 10/20/47 | 549,707 | 580,452 | |||||||||
Ginnie Mae II, Pool #MA4836 |
| |||||||||||
3.00% | 11/20/47 | 2,147,769 | 2,271,022 | |||||||||
Ginnie Mae II, Pool #MA4837 |
| |||||||||||
3.50% | 11/20/47 | 4,726,869 | 5,052,807 | |||||||||
Ginnie Mae II, Pool #MA4838 |
| |||||||||||
4.00% | 11/20/47 | 1,408,707 | 1,523,318 | |||||||||
Ginnie Mae II, Pool #MA4901 |
| |||||||||||
4.00% | 12/20/47 | 2,414,622 | 2,609,027 | |||||||||
Ginnie Mae II, Pool #MA5078 |
| |||||||||||
4.00% | 03/20/48 | 1,851,128 | 1,996,753 | |||||||||
Ginnie Mae II, Pool #MA5399 |
| |||||||||||
4.50% | 08/20/48 | 3,801,287 | 4,153,488 | |||||||||
Ginnie Mae II, Pool #MA5466 |
| |||||||||||
4.00% | 09/20/48 | 122,223 | 131,199 | |||||||||
Ginnie Mae II, Pool #MA5467 |
| |||||||||||
4.50% | 09/20/48 | 236,601 | 256,592 | |||||||||
Ginnie Mae II, Pool #MA6209 |
| |||||||||||
3.00% | 10/20/49 | 1,596,190 | 1,636,054 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
2.00% (5) | 10/01/50 | 15,625,000 | 15,918,579 | |||||||||
2.50% (5) | 05/01/50 | 2,025,000 | 2,105,421 | |||||||||
2.50% (5) | 05/01/50 | 19,925,000 | 20,672,962 | |||||||||
Uniform Mortgage-Backed Securities TBA, 15 Year |
| |||||||||||
1.50% (5) | 07/01/36 | 20,150,000 | 20,368,362 | |||||||||
2.00% (5) | 02/01/36 | 7,375,000 | 7,618,433 | |||||||||
2.00% (5) | 02/01/36 | 20,275,000 | 20,917,749 | |||||||||
Uniform Mortgage-Backed Securities TBA, 30 Year |
| |||||||||||
2.00% (5) | 01/01/51 | 11,450,000 | 11,564,500 | |||||||||
2.00% (5) | 01/01/51 | 115,425,000 | 116,392,071 | |||||||||
2.50% (5) | 07/01/50 | 108,575,000 | 112,387,315 |
See accompanying Notes to Financial Statements.
12
Table of Contents
TCW Core Fixed Income Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
2.50% (5) | 07/01/50 | $ | 11,450,000 | $ | 11,882,062 | |||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $522,701,393) |
| 535,553,550 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 3.6% | ||||||||||||
Aames Mortgage Investment Trust (06-1-A4) |
| |||||||||||
0.67% (1 mo. USD LIBOR + 0.560%) (2) | 04/25/36 | 2,800,495 | 2,783,789 | |||||||||
Aegis Asset Backed Securities Trust (05-5-2A) |
| |||||||||||
0.61% (1 mo. USD LIBOR + 0.500%) (2) | 12/25/35 | 900,329 | 901,261 | |||||||||
Ajax Mortgage Loan Trust (19-F-A1) |
| |||||||||||
2.86% (1) | 07/25/59 | 3,596,275 | 3,705,207 | |||||||||
Centex Home Equity (02-C-AF6) |
| |||||||||||
4.50% (4) | 09/25/32 | 27 | 27 | |||||||||
CIM Trust (17-7-A) |
| |||||||||||
3.00% (1)(4) | 04/25/57 | 3,029,271 | 3,086,680 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (05-5-2A2) |
| |||||||||||
5.75% (6) | 08/25/35 | 252,545 | 200,572 | |||||||||
Conseco Financial Corp. (98-6-A8) |
| |||||||||||
6.66% (4) | 06/01/30 | 52,275 | 52,524 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA) |
| |||||||||||
5.75% | 04/22/33 | 6,782 | 7,077 | |||||||||
CSMC Series, Ltd. (10-3R-2A3) |
| |||||||||||
4.29% (1)(4) | 12/26/36 | 1,570,134 | 1,593,010 | |||||||||
CSMC Series, Ltd. (15-5R-1A1) |
| |||||||||||
1.18% (1)(4) | 09/27/46 | 1,513,609 | 1,515,432 | |||||||||
CSMC Trust (14-7R-8A1) |
| |||||||||||
3.17% (1)(4) | 07/27/37 | 704,020 | 704,173 | |||||||||
CSMC Trust (18-RPL9-A) |
| |||||||||||
3.85% (1)(4) | 09/25/57 | 3,688,161 | 3,939,139 | |||||||||
GS Mortgage-Backed Securities Trust (18-RPL1-A1A) |
| |||||||||||
3.75% (1) | 10/25/57 | 3,724,814 | 3,793,783 | |||||||||
GSAA Home Equity Trust (05-11-2A2) |
| |||||||||||
0.75% (1 mo. USD LIBOR + 0.640%) (2) | 10/25/35 | 1,395,891 | 1,384,693 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR6-2A1) |
| |||||||||||
0.59% (1 mo. USD LIBOR + 0.480%) (2) | 04/25/35 | 621,983 | 575,341 | |||||||||
Mid-State Trust (04-1-B) |
| |||||||||||
8.90% | 08/15/37 | 687,614 | 776,890 | |||||||||
Morgan Stanley Capital, Inc. (04-WMC2-M1) |
| |||||||||||
1.02% (1 mo. USD LIBOR + 0.915%) (2) | 07/25/34 | 854,955 | 823,783 | |||||||||
Morgan Stanley Mortgage Loan Trust (04-3-4A) |
| |||||||||||
5.64% (4) | 04/25/34 | 121,416 | 130,564 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
New Century Home Equity Loan Trust (05-D-A1) |
| |||||||||||
0.33% (1 mo. USD LIBOR + 0.220%) (2) | 02/25/36 | $ | 3,190,027 | $ | 3,164,233 | |||||||
Nomura Resecuritization Trust (15-5R-2A1) |
| |||||||||||
2.66% (1)(4) | 03/26/35 | 116,649 | 117,586 | |||||||||
Option One Mortgage Loan Trust (05-2-M1) |
| |||||||||||
0.77% (1 mo. USD LIBOR + 0.660%) (2) | 05/25/35 | 1,904,284 | 1,904,136 | |||||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates (05-WCW2-M3) |
| |||||||||||
0.93% (1 mo. USD LIBOR + 0.825%) (2) | 07/25/35 | 10,000,000 | 9,961,643 | |||||||||
RASC Series Trust (06-KS7-A4) |
| |||||||||||
0.35% (1 mo. USD LIBOR + 0.240%) (2) | 09/25/36 | 1,347,946 | 1,342,299 | |||||||||
Structured Asset Investment Loan Trust (04-6-A3) |
| |||||||||||
0.91% (1 mo. USD LIBOR + 0.800%) (2) | 07/25/34 | 2,659,080 | 2,481,719 | |||||||||
Structured Asset Securities Corp. (03-34A-5A4) |
| |||||||||||
2.44% (4) | 11/25/33 | 261,531 | 264,879 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR15-A1A1) |
| |||||||||||
0.63% (1 mo. USD LIBOR + 0.260%) (2) | 11/25/45 | 5,730,718 | 5,571,332 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR3-A2) |
| |||||||||||
2.71% (4) | 03/25/35 | 769,529 | 802,405 | |||||||||
Wells Fargo Alternative Loan Trust (07-PA3-2A1) |
| |||||||||||
6.00% (6) | 07/25/37 | 63,485 | 63,673 | |||||||||
Wells Fargo Home Equity Asset-Backed Securities Trust (05-3-M6) |
| |||||||||||
1.11% (1 mo. USD LIBOR + 1.005%) (2) | 11/25/35 | 4,087,681 | 4,078,401 | |||||||||
Wells Fargo Home Equity Trust (04-2-A33) |
| |||||||||||
1.11% (1 mo. USD LIBOR + 1.000%) (2) | 10/25/34 | 3,335,685 | 3,310,451 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $57,595,806) |
| 59,036,702 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 42.2% | ||||||||||||
U.S. Treasury Bond |
| |||||||||||
1.88% | 02/15/41 | 19,424,000 | 18,489,220 | |||||||||
1.88% | 02/15/51 | 100,250,000 | 91,211,836 | |||||||||
U.S. Treasury Note |
| |||||||||||
0.13% | 01/31/23 | 14,345,000 | 14,340,798 | |||||||||
0.13% | 02/28/23 | 169,560,000 | 169,480,519 | |||||||||
0.13% | 03/31/23 | 35,910,000 | 35,888,959 | |||||||||
0.13% | 04/30/23 | 124,130,000 | 124,040,296 | |||||||||
0.75% | 03/31/26 | 106,885,000 | 106,475,203 | |||||||||
0.75% | 04/30/26 | 93,645,000 | 93,202,382 |
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 | |||||||||
U.S. TREASURY SECURITIES (Continued) | ||||||||||||
1.13% | 02/15/31 | $ | 49,804,000 | $ | 47,551,146 | |||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $701,073,413) |
| 700,680,359 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $1,739,029,189) |
| 1,773,974,270 | ||||||||||
|
| |||||||||||
PURCHASED SWAPTIONS (7) (0.0%) |
| |||||||||||
(Cost: $194,110) |
| 380,216 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 3.0% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (8) | 49,591,151 | 49,591,151 | ||||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $49,591,151) | 49,591,151 | |||||||||||
|
| |||||||||||
Issues | Maturity Date | Principal Amount | Value | |||||||||
SHORT TERM INVESTMENTS — 13.0% |
| |||||||||||
U.S. TREASURY SECURITIES — 13.0% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
0.01% (9) | 07/13/21 | $ | 25,000,000 | $ | 25,000,750 | |||||||
0.01% (9) | 07/15/21 | 40,000,000 | 39,999,290 | |||||||||
0.01% (9) | 08/12/21 | 125,000,000 | 124,994,744 | |||||||||
0.00% (9) | 05/06/21 | 25,000,000 | 25,000,000 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities (Cost: $214,978,159) |
| 214,994,784 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $214,978,159) | 214,994,784 | |||||||||||
|
| |||||||||||
Total Investments (122.9%) (Cost: $2,003,792,609) |
| 2,038,940,421 | ||||||||||
Liabilities In Excess Of Other Assets (-22.9%) |
| (380,323,745 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) | $ | 1,658,616,676 | ||||||||||
|
|
Purchased Swaptions — OTC | ||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Put |
| |||||||||||||||||||||||||||||||
3 Year 30 Year Interest Rate Swap | Citibank N.A. | 2.75 | % | 1/19/24 | 6,580,000 | $ | 6,580,000 | $ | 380,216 | $ | 194,110 | $ | 186,106 | |||||||||||||||||||
|
|
|
|
|
|
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Market Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Long Futures |
| |||||||||||||||||
12 | U.S. Ultra Long Bond Futures | 06/21/21 | $ | 2,284,410 | $ | 2,230,875 | $ | (53,535 | ) | |||||||||
|
|
|
|
|
| |||||||||||||
Short Futures |
| |||||||||||||||||
157 | 2-Year U.S. Treasury Note Futures | 06/30/21 | $ | (34,686,878 | ) | $ | (34,658,976 | ) | $ | 27,902 | ||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
14
Table of Contents
TCW Core Fixed Income Fund
April 30, 2021 |
Notes to the Schedule of Investments:
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. |
SOFR | Secured Overnight Financing Rate. |
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, 2021, the value of these securities amounted to $190,784,077 or 11.5% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2021. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
(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) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(6) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(7) | See options table for description of purchased options. |
(8) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
(9) | Rate shown represents yield-to-maturity. |
See accompanying Notes to Financial Statements.
15
Table of Contents
TCW Core Fixed Income Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
U.S. Treasury Securities | 55.2 | % | ||
Residential Mortgage-Backed Securities — Agency | 32.3 | |||
Corporate Bonds | 21.4 | |||
Asset-Backed Securities | 4.5 | |||
Residential Mortgage-Backed Securities — Non-Agency | 3.6 | |||
Money Market Investments | 3.0 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 1.7 | |||
Municipal Bonds | 0.7 | |||
Commercial Mortgage-Backed Securities — Agency | 0.5 | |||
Purchased Swaptions | 0.0 | ** | ||
Other* | (22.9 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes capstock, futures, pending trades, interest receivable and accrued expenses payable. |
** | Amounts rounds to less than 0.1%. |
See accompanying Notes to Financial Statements.
16
Table of Contents
TCW Core Fixed Income Fund
Fair Valuation Summary (Unaudited) | April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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* | $ | — | $ | 354,321,864 | $ | 1,165,297 | $ | 355,487,161 | ||||||||
Municipal Bonds | — | 10,714,097 | — | 10,714,097 | ||||||||||||
Asset-Backed Securities | — | 70,037,283 | 4,939,704 | 74,976,987 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 8,873,673 | — | 8,873,673 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 28,651,741 | — | 28,651,741 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 535,553,550 | — | 535,553,550 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 59,036,702 | — | 59,036,702 | ||||||||||||
U.S. Treasury Securities | 700,680,359 | — | — | 700,680,359 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 700,680,359 | 1,067,188,910 | 6,105,001 | 1,773,974,270 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Swaptions | — | 380,216 | — | 380,216 | ||||||||||||
Money Market Investments | 49,591,151 | — | — | 49,591,151 | ||||||||||||
Short Term Investments | 214,994,784 | — | — | 214,994,784 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 965,266,294 | $ | 1,067,569,126 | $ | 6,105,001 | $ | 2,038,940,421 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 27,902 | — | — | 27,902 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 965,294,196 | $ | 1,067,569,126 | $ | 6,105,001 | $ | 2,038,968,323 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | $ | (53,535 | ) | $ | — | $ | — | $ | (53,535 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (53,535 | ) | $ | — | $ | — | $ | (53,535 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
17
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited) April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 42.8% |
| |||||||||||
ASSET-BACKED SECURITIES — 6.4% | ||||||||||||
Aimco CLO, Ltd. (20-11A-A1) |
| |||||||||||
1.56% (3 mo. USD LIBOR + 1.380%) (1)(2) | 10/15/31 | $ | 5,000 | $ | 5,010 | |||||||
AMMC CLO, Ltd. (20-23A-A1L) |
| |||||||||||
1.59% (3 mo. USD LIBOR + 1.400%) (1)(2) | 10/17/31 | 5,000 | 5,011 | |||||||||
BlueMountain CLO, Ltd. (13-1A-A1R2) |
| |||||||||||
1.42% (3 mo. USD LIBOR + 1.230%) (1)(2) | 01/20/29 | 4,885 | 4,889 | |||||||||
Chase Issuance Trust (12-A7-A7) |
| |||||||||||
2.16% | 09/15/24 | 10,000 | 10,263 | |||||||||
Educational Services of America, Inc. (12-2-A) |
| |||||||||||
0.84% (1 mo. USD LIBOR + 0.730%) (1)(2) | 04/25/39 | 4,041 | 4,027 | |||||||||
Nelnet Student Loan Trust (12-5A-A) |
| |||||||||||
0.71% (1 mo. USD LIBOR + 0.600%) (1)(2) | 10/27/36 | 2,897 | 2,889 | |||||||||
SLM Student Loan Trust (05-4-A3) |
| |||||||||||
0.30% (3 mo. USD LIBOR + 0.120%) (2) | 01/25/27 | 6,835 | 6,817 | |||||||||
SLM Student Loan Trust (07-2-B) |
| |||||||||||
0.35% (3 mo. USD LIBOR + 0.170%) (2) | 07/25/25 | 15,000 | 14,020 | |||||||||
SLM Student Loan Trust (08-1-A4) |
| |||||||||||
0.83% (3 mo. USD LIBOR + 0.650%) (2) | 01/25/22 | 8,301 | 8,163 | |||||||||
SLM Student Loan Trust (08-3-A3) |
| |||||||||||
1.18% (3 mo. USD LIBOR + 1.000%) (2) | 10/25/21 | 8,465 | 8,452 | |||||||||
SLM Student Loan Trust (08-3-B) |
| |||||||||||
1.38% (3 mo. USD LIBOR + 1.200%) (2) | 04/26/83 | 10,000 | 9,347 | |||||||||
SLM Student Loan Trust (13-4-A) |
| |||||||||||
0.66% (1 mo. USD LIBOR + 0.550%) (2) | 06/25/43 | 7,728 | 7,678 | |||||||||
SLM Student Loan Trust (13-6-A3) |
| |||||||||||
0.76% (1 mo. USD LIBOR + 0.650%) (2) | 06/25/55 | 8,841 | 8,843 | |||||||||
|
| |||||||||||
Total Asset-Backed Securities (Cost: $95,155) |
| 95,409 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 2.1% | ||||||||||||
Fannie Mae (11-M5-A2) (ACES)(I/O) |
| |||||||||||
1.19% (3) | 07/25/21 | 278,373 | 372 | |||||||||
Federal Home Loan Mortgage Corp. (K024-X1) (I/O) |
| |||||||||||
0.91% (3) | 09/25/22 | 296,032 | 2,734 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KC01-X1) (I/O) |
| |||||||||||
0.55% (3) | 12/25/22 | 227,621 | 1,339 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K026-X1) (I/O) |
| |||||||||||
1.07% (3) | 11/25/22 | $ | 139,208 | $ | 1,682 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K033-X1) (I/O) |
| |||||||||||
0.41% (3) | 07/25/23 | 530,720 | 3,168 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KS07-X) (I/O) |
| |||||||||||
0.77% (3) | 09/25/25 | 495,246 | 13,636 | |||||||||
Ginnie Mae (11-53-IO) (I/O) |
| |||||||||||
0.00% (3) | 05/16/51 | 279,024 | 10 | |||||||||
Ginnie Mae (12-123-IO) (I/O) |
| |||||||||||
0.76% (3) | 12/16/51 | 221,977 | 5,651 | |||||||||
Ginnie Mae (13-1-IO) (I/O) |
| |||||||||||
0.48% (3) | 02/16/54 | 74,211 | 1,386 | |||||||||
United States Small Business Administration (01-20I-1) |
| |||||||||||
6.12% | 09/01/21 | 887 | 896 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $30,160) |
| 30,874 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 2.7% | ||||||||||||
Citigroup Commercial Mortgage Trust (13-GC11-AAB) |
| |||||||||||
2.69% | 04/10/46 | 3,654 | 3,717 | |||||||||
COMM Mortgage Trust (12-CR2-ASB) |
| |||||||||||
2.75% | 08/15/45 | 273 | 273 | |||||||||
COMM Mortgage Trust (12-CR4-XA) (I/O) |
| |||||||||||
1.84% (3) | 10/15/45 | 394,728 | 7,273 | |||||||||
COMM Mortgage Trust (13-LC6-XB) (I/O) |
| |||||||||||
0.52% (1)(3) | 01/10/46 | 100,000 | 649 | |||||||||
GS Mortgage Securities Trust (11-GC5-XA) (I/O) |
| |||||||||||
1.13% (1)(3) | 08/10/44 | 553,024 | 50 | |||||||||
GS Mortgage Securities Trust (13-GC13-AAB) |
| |||||||||||
3.72% (3) | 07/10/46 | 4,052 | 4,170 | |||||||||
JPMBB Commercial Mortgage Securities Trust (13-C17-XA) (I/O) |
| |||||||||||
0.90% (3) | 01/15/47 | 126,866 | 2,099 | |||||||||
LB-UBS Commercial Mortgage Trust (06-C6-XCL) (I/O) |
| |||||||||||
0.78% (1)(3)(4) | 09/15/39 | 490,377 | 907 | |||||||||
Morgan Stanley Capital I Trust (11-C3-A4) |
| |||||||||||
4.12% | 07/15/49 | 1,569 | 1,569 | |||||||||
Morgan Stanley Capital I Trust (15-MS1-ASB) |
| |||||||||||
3.46% | 05/15/48 | 8,474 | 8,927 | |||||||||
Morgan Stanley Capital I Trust (18-H3-A1) |
| |||||||||||
3.18% | 07/15/51 | 8,015 | 8,214 | |||||||||
WFRBS Commercial Mortgage Trust (12-C9-XA) (I/O) |
| |||||||||||
2.03% (1)(3) | 11/15/45 | 106,484 | 2,140 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $37,218) |
| 39,988 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
18
Table of Contents
TCW Enhanced Commodity Strategy Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 0.6% (Cost: $8,219) | ||||||||||||
Fannie Mae (05-W3-2AF) |
| |||||||||||
0.33% (1 mo. USD LIBOR + 0.220%) (2) | 03/25/45 | $ | 8,430 | $ | 8,407 | |||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 8.8% | ||||||||||||
Centex Home Equity Loan Trust (05-A-AF5) |
| |||||||||||
5.78% | 01/25/35 | 13,628 | 13,686 | |||||||||
CHL Mortgage Pass-Through Trust (04-25-1A1) |
| |||||||||||
0.77% (1 mo. USD LIBOR + 0.660%) (2) | 02/25/35 | 12,314 | 11,937 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (03-CB5-M1) |
| |||||||||||
1.13% (1 mo. USD LIBOR + 1.020%) (2) | 11/25/33 | 7,362 | 7,299 | |||||||||
Encore Credit Receivables Trust (05-3-M4) |
| |||||||||||
1.01% (1 mo. USD LIBOR + 0.900%) (2) | 10/25/35 | 25,000 | 24,982 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C) |
| |||||||||||
1.11% (1 mo. USD LIBOR + 1.000%) (2) | 08/25/34 | 6,235 | 6,327 | |||||||||
JPMorgan Mortgage Trust (05-A5-TA1) |
| |||||||||||
2.91% (3) | 08/25/35 | 827 | 842 | |||||||||
JPMorgan Mortgage Trust (05-A6-7A1) |
| |||||||||||
3.17% (3)(5) | 08/25/35 | 10,339 | 9,778 | |||||||||
MASTR Seasoned Securitization Trust (05-1-4A1) |
| |||||||||||
2.73% (3) | 10/25/32 | 10,566 | 10,995 | |||||||||
Mid-State Trust (04-1-M1) |
| |||||||||||
6.50% | 08/15/37 | 12,682 | 13,778 | |||||||||
Morgan Stanley Mortgage Loan Trust (04-6AR-1A) |
| |||||||||||
1.01% (1 mo. USD LIBOR + 0.900%) (2) | 07/25/34 | 219 | 219 | |||||||||
Morgan Stanley Mortgage Loan Trust (07-6XS-1A2S) |
| |||||||||||
5.50% | 02/25/47 | 2,055 | 2,054 | |||||||||
MortgageIT Trust (05-3-A1) |
| |||||||||||
0.71% (1 mo. USD LIBOR + 0.600%) (2) | 08/25/35 | 5,273 | 5,333 | |||||||||
MortgageIT Trust (05-5-A1) |
| |||||||||||
0.63% (1 mo. USD LIBOR + 0.520%) (2) | 12/25/35 | 23,717 | 23,833 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $122,793) |
| 131,063 | ||||||||||
|
| |||||||||||
CORPORATE BONDS — 21.5% |
| |||||||||||
Agriculture — 0.4% | ||||||||||||
Imperial Brands Finance PLC |
| |||||||||||
3.13% (1) | 07/26/24 | 5,000 | 5,277 | |||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Airlines — 0.4% | ||||||||||||
US Airways Group, Inc. Pass-Through Certificates (12-1-A) (EETC) |
| |||||||||||
5.90% | 04/01/26 | $ | 5,839 | $ | 6,101 | |||||||
|
| |||||||||||
Auto Manufacturers — 0.7% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
4.25% | 09/20/22 | 10,000 | 10,347 | |||||||||
|
| |||||||||||
Banks — 7.3% | ||||||||||||
Bank of America NA |
| |||||||||||
3.34% (3.335% to 1/25/22 then 3 mo. USD LIBOR + 0.650%) (2) | 01/25/23 | 10,000 | 10,225 | |||||||||
Citigroup, Inc. |
| |||||||||||
1.13% (3 mo. USD LIBOR + 0.950%) (2) | 07/24/23 | 22,000 | 22,179 | |||||||||
Credit Suisse Group AG |
| |||||||||||
1.31% (SOFR + 0.980%) (1)(2) | 02/02/27 | 5,000 | 4,879 | |||||||||
Discover Bank |
| |||||||||||
4.20% | 08/08/23 | 10,000 | 10,802 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
1.43% (SOFR + 0.798%) (2) | 03/09/27 | 5,000 | 4,983 | |||||||||
2.91% (3 mo. USD LIBOR + 0.990%) (2) | 07/24/23 | 5,000 | 5,151 | |||||||||
HSBC Holdings PLC |
| |||||||||||
2.01% (SOFR + 1.732%) (2) | 09/22/28 | 5,000 | 4,962 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
1.18% (3 mo. USD LIBOR + 1.000%) (2) | 01/15/23 | 25,000 | 25,168 | |||||||||
Macquarie Group, Ltd. |
| |||||||||||
1.34% (SOFR + 1.069%) (1)(2) | 01/12/27 | 5,000 | 4,935 | |||||||||
Santander UK Group Holdings PLC (United Kingdom) |
| |||||||||||
4.80% (3 mo. USD LIBOR +1.570%) (2) | 11/15/24 | 5,000 | 5,498 | |||||||||
Wells Fargo & Co. |
| |||||||||||
2.16% (3 mo. USD LIBOR + 0.750%) (2) | 02/11/26 | 5,000 | 5,181 | |||||||||
2.39% (SOFR + 2.100%) (2) | 06/02/28 | 5,000 | 5,152 | |||||||||
|
| |||||||||||
109,115 | ||||||||||||
|
| |||||||||||
Commercial Services — 0.4% | ||||||||||||
IHS Markit, Ltd. |
| |||||||||||
5.00% (1) | 11/01/22 | 5,000 | 5,270 | |||||||||
|
| |||||||||||
Diversified Financial Services — 0.1% | ||||||||||||
Park Aerospace Holdings, Ltd. |
| |||||||||||
4.50% (1) | 03/15/23 | 2,000 | 2,100 | |||||||||
|
| |||||||||||
Electric — 0.3% | ||||||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
0.45% (3 mo. USD LIBOR + 0.270%) (2) | 02/22/23 | 5,000 | 5,001 | |||||||||
|
|
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 | |||||||||
Food — 0.2% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
5.00% | 07/15/35 | $ | 3,000 | $ | 3,518 | |||||||
|
| |||||||||||
Health Care-Services — 0.9% | ||||||||||||
Centene Corp. |
| |||||||||||
3.00% | 10/15/30 | 3,000 | 2,981 | |||||||||
CommonSpirit Health |
| |||||||||||
2.76% | 10/01/24 | 5,000 | 5,296 | |||||||||
HCA, Inc. |
| |||||||||||
5.00% | 03/15/24 | 5,000 | 5,574 | |||||||||
|
| |||||||||||
13,851 | ||||||||||||
|
| |||||||||||
Insurance — 4.7% | ||||||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
2.47% (3 mo. USD LIBOR + 2.290%) (1)(2) | 12/15/24 | 70,000 | 69,968 | |||||||||
|
| |||||||||||
Media — 0.3% | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
1.83% (3 mo. USD LIBOR + 1.650%) (2) | 02/01/24 | 4,000 | 4,109 | |||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 0.5% | ||||||||||||
General Electric Co. |
| |||||||||||
0.67% (3 mo. USD LIBOR + 0.480%) (2) | 08/15/36 | 10,000 | 8,073 | |||||||||
|
| |||||||||||
Packaging & Containers — 0.4% | ||||||||||||
Berry Global, Inc. |
| |||||||||||
4.88% (1) | 07/15/26 | 5,000 | 5,302 | |||||||||
|
| |||||||||||
Pharmaceuticals — 1.1% | ||||||||||||
Bausch Health Cos, Inc. (Canada) |
| |||||||||||
7.00% (1) | 03/15/24 | 5,000 | 5,133 | |||||||||
Bayer US Finance II LLC |
| |||||||||||
3.88% (1) | 12/15/23 | 3,000 | 3,228 | |||||||||
4.38% (1) | 12/15/28 | 5,000 | 5,662 | |||||||||
CVS Health Corp. |
| |||||||||||
4.30% | 03/25/28 | 2,000 | 2,277 | |||||||||
|
| |||||||||||
16,300 | ||||||||||||
|
| |||||||||||
Pipelines — 0.5% | ||||||||||||
Energy Transfer LP |
| |||||||||||
4.95% | 06/15/28 | 5,000 | 5,629 | |||||||||
Plains All American Pipeline LP / PAA Finance Corp. |
| |||||||||||
4.50% | 12/15/26 | 2,000 | 2,216 | |||||||||
|
| |||||||||||
7,845 | ||||||||||||
|
| |||||||||||
REIT — 2.1% | ||||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.75% | 04/15/23 | 5,000 | 5,268 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
REIT (Continued) | ||||||||||||
Camden Property Trust |
| |||||||||||
2.95% | 12/15/22 | $ | 5,000 | $ | 5,180 | |||||||
CyrusOne LP / CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 5,000 | 5,301 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
5.38% | 11/01/23 | 5,000 | 5,494 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 5,000 | 5,172 | |||||||||
WEA Finance LLC |
| |||||||||||
3.15% (1) | 04/05/22 | 5,000 | 5,090 | |||||||||
|
| |||||||||||
31,505 | ||||||||||||
|
| |||||||||||
Savings & Loans — 0.4% | ||||||||||||
Nationwide Building Society (United Kingdom) |
| |||||||||||
4.36% (3 mo. USD LIBOR + 1.392%) (1)(2) | 08/01/24 | 5,000 | 5,390 | |||||||||
|
| |||||||||||
Telecommunications — 0.8% | ||||||||||||
AT&T, Inc. |
| |||||||||||
1.36% (3 mo. USD LIBOR + 1.180%) (2) | 06/12/24 | 10,000 | 10,219 | |||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% (1) | 03/20/23 | 1,250 | 1,254 | |||||||||
|
| |||||||||||
11,473 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $312,554) |
| 320,545 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.7% | ||||||||||||
County of Miami-Dade FL Aviation Revenue, Revenue Bond |
| |||||||||||
2.32% | 10/01/22 | 5,000 | 5,126 | |||||||||
Regents of the University of California Medical Center Pooled, Revenue Bond |
| |||||||||||
3.26% | 05/15/60 | 5,000 | 5,064 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost: $10,116) |
| 10,190 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $616,215) |
| 636,476 | ||||||||||
|
| |||||||||||
SHORT TERM INVESTMENTS — 56.1% |
| |||||||||||
Money Market Investments — 37.0% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (6)(7) |
| 549,892 | 549,892 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $549,892) |
| 549,892 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
20
Table of Contents
TCW Enhanced Commodity Strategy Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
U.S. TREASURY SECURITIES — 19.1% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
0.01% (8) | 08/19/21 | $ | 50,000 | $ | 49,999 | |||||||
0.01% (8) | 08/12/21 | 235,000 | 234,990 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $284,957) |
| 284,989 | ||||||||||
|
| |||||||||||
Total Investments (98.9%) |
| |||||||||||
(Cost: $1,451,064) |
| 1,471,357 | ||||||||||
Excess of Other Assets Over Liabilities (1.1%) |
| 16,238 | ||||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 1,487,595 | |||||||||
|
|
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 | ||||||||||||||||||||||||||||
$ | 1,423,000 | 5/18/21 | Credit Suisse International | 3-Month U.S. Treasury Bills plus 0.2% | Credit Suisse Custom 24 Total Return Index (9) | Monthly | $ | 63,497 | $ | — | $ | 63,497 | ||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
CLO | Collateralized Loan Obligation. |
EETC | Enhanced Equipment Trust Certificate. |
I/O | Interest Only Security. |
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, 2021, the value of these securities amounted to $149,060 or 10.0% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2021. |
(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 (Note 11). |
(5) | 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. |
(6) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
(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.
21
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Unaudited) (Continued)
Description (1) | Notional Amount | Weight % | Unrealized Appreciation (Depreciation) | |||||||||
Gold | $ | 169,764 | 11.93 | % | $ | (1,254 | ) | |||||
WTI Crude Oil | 127,358 | 8.95 | % | 819 | ||||||||
Natural Gas | 111,848 | 7.86 | % | 5,846 | ||||||||
Brent Crude Oil | 103,879 | 7.30 | % | 599 | ||||||||
Corn | 95,341 | 6.70 | % | 14,718 | ||||||||
Soybeans | 82,534 | 5.80 | % | 6,273 | ||||||||
Copper High Grade | 81,680 | 5.74 | % | 5,631 | ||||||||
Aluminium Primary | 62,185 | 4.37 | % | 2,197 | ||||||||
Soybean Oil | 57,062 | 4.01 | % | 7,779 | ||||||||
Silver | 51,797 | 3.64 | % | (558 | ) | |||||||
Live Cattle | 49,663 | 3.49 | % | (801 | ) | |||||||
Soybean Meal | 44,398 | 3.12 | % | 2,145 | ||||||||
SRW Wheat | 41,409 | 2.91 | % | 4,685 | ||||||||
Zinc High Grade | 41,267 | 2.90 | % | 1,035 | ||||||||
Sugar #11 | 40,698 | 2.86 | % | 1,026 | ||||||||
Gasoil | 40,129 | 2.82 | % | 20 | ||||||||
Coffee ‘C’ Arabica | 39,986 | 2.81 | % | 3,029 | ||||||||
RBOB Gasoline | 37,994 | 2.67 | % | 666 | ||||||||
Lean Hogs | 34,152 | 2.40 | % | 2,877 | ||||||||
Nickel Primary | 33,156 | 2.33 | % | 2,573 | ||||||||
Heating Oil | 32,587 | 2.29 | % | 427 | ||||||||
HRW Wheat | 23,195 | 1.63 | % | 2,996 | ||||||||
Cotton | 20,918 | 1.47 | % | 756 | ||||||||
United States Treasury Bill | — | — | 13 | |||||||||
|
|
|
|
|
| |||||||
$ | 1,423,000 | 100.00 | % | $ | 63,497 | |||||||
|
|
|
|
|
|
(1) | Commodity Exposures of the Credit Suisse Custom 24 Total Return Index. |
See accompanying Notes to Financial Statements.
22
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Investments by Sector (Unaudited) April 30, 2021 |
Sector | Percentage of Net Assets | |||
Money Market Investments | 37.0 | % | ||
Corporate Bonds | 21.5 | |||
U.S. Treasury Securities | 19.1 | |||
Residential Mortgage-Backed Securities — Non-Agency | 8.8 | |||
Asset-Backed Securities | 6.4 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 2.7 | |||
Commercial Mortgage-Backed Securities — Agency | 2.1 | |||
Municipal Bonds | 0.7 | |||
Residential Mortgage-Backed Securities — Agency | 0.6 | |||
Other* | 1.1 | |||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes swaps, interest receivable and accrued expenses payable. |
See accompanying Notes to Financial Statements.
23
Table of Contents
TCW Enhanced Commodity Strategy Fund
Fair Valuation Summary (Unaudited)
April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | $ | — | $ | 95,409 | $ | — | $ | 95,409 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 30,874 | — | 30,874 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 39,988 | — | 39,988 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 8,407 | — | 8,407 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 131,063 | — | 131,063 | ||||||||||||
Corporate Bonds* | — | 320,545 | — | 320,545 | ||||||||||||
Municipal Bonds | — | 10,190 | — | 10,190 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 636,476 | — | 636,476 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 549,892 | — | — | 549,892 | ||||||||||||
Short-Term Investments | 284,989 | — | — | 284,989 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 834,881 | $ | 636,476 | $ | — | $ | 1,471,357 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Commodity Risk | — | 63,497 | — | 63,497 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 834,881 | $ | 699,973 | $ | — | $ | 1,534,854 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
24
Table of Contents
Schedule of Investments (Unaudited)
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 106.5% of Net Assets | ||||||||||||
CORPORATE BONDS — 24.2% | ||||||||||||
Aerospace/Defense — 0.2% | ||||||||||||
Boeing Co. (The) |
| |||||||||||
1.43% | 02/04/24 | $ | 80,000 | $ | 80,250 | |||||||
|
| |||||||||||
Agriculture — 1.3% | ||||||||||||
Altria Group, Inc. |
| |||||||||||
1.00% | 02/15/23 | 100,000 | 122,188 | |||||||||
BAT Capital Corp. |
| |||||||||||
4.54% | 08/15/47 | 55,000 | 54,258 | |||||||||
BAT International Finance PLC (United Kingdom) |
| |||||||||||
2.25% (1) | 01/16/30 | 100,000 | 127,693 | |||||||||
Imperial Brands Finance PLC |
| |||||||||||
4.25% (2) | 07/21/25 | $ | 50,000 | 54,995 | ||||||||
8.13% (1) | 03/15/24 | GBP50,000 | 82,436 | |||||||||
Reynolds American, Inc. |
| |||||||||||
5.85% | 08/15/45 | 20,000 | 23,055 | |||||||||
|
| |||||||||||
464,625 | ||||||||||||
|
| |||||||||||
Airlines — 0.5% | ||||||||||||
Continental Airlines, Inc. Pass-Through Trust |
| |||||||||||
6.70% | 12/15/22 | 8,558 | 8,642 | |||||||||
Delta Air Lines, Inc. Pass-Through Certificates |
| |||||||||||
6.72% | 07/02/24 | 27,863 | 28,350 | |||||||||
Delta Air Lines, Inc. Pass-Through Certificates (20-1A-AA) |
| |||||||||||
2.00% | 12/10/29 | 87,309 | 88,064 | |||||||||
US Airways Group, Inc. Pass-Through Certificates |
| |||||||||||
6.25% | 10/22/24 | 8,860 | 9,049 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (12-1-A) (EETC) |
| |||||||||||
5.90% | 04/01/26 | 29,193 | 30,507 | |||||||||
|
| |||||||||||
164,612 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 0.6% | ||||||||||||
Daimler Finance North America LLC |
| |||||||||||
2.20% (2) | 10/30/21 | 60,000 | 60,562 | |||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
1.26% (3 mo. USD | 08/03/22 | 25,000 | 24,813 | |||||||||
1.46% (3 mo. USD | 03/28/22 | 20,000 | 19,970 | |||||||||
3.22% | 01/09/22 | 20,000 | 20,241 | |||||||||
3.81% | 10/12/21 | 5,000 | 5,057 | |||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.15% | 06/30/22 | 20,000 | 20,544 | |||||||||
3.20% | 07/06/21 | 15,000 | 15,037 | |||||||||
3.45% | 04/10/22 | 5,000 | 5,114 | |||||||||
3.55% | 07/08/22 | 10,000 | 10,343 | |||||||||
4.20% | 11/06/21 | 30,000 | 30,572 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Auto Manufacturers (Continued) | ||||||||||||
4.38% | 09/25/21 | $ | 20,000 | $ | 20,310 | |||||||
|
| |||||||||||
232,563 | ||||||||||||
|
| |||||||||||
Banks — 4.2% | ||||||||||||
Bank of America Corp. |
| |||||||||||
1.66% (SOFR + | 03/11/27 | 80,000 | 80,624 | |||||||||
3.09% (3 Mo. USD | 10/01/25 | 80,000 | 85,609 | |||||||||
Citigroup, Inc. |
| |||||||||||
2.67% (SOFR + | 01/29/31 | 20,000 | 20,299 | |||||||||
Credit Suisse Group AG |
| |||||||||||
2.19% (SOFR + | 06/05/26 | 85,000 | 86,855 | |||||||||
2.59% (SOFR + | 09/11/25 | 25,000 | 26,017 | |||||||||
4.55% | 04/17/26 | 5,000 | 5,634 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
3.27% (3 mo. USD | 09/29/25 | 130,000 | 139,529 | |||||||||
3.69% (3 mo. USD | 06/05/28 | 10,000 | 11,031 | |||||||||
HSBC Holdings PLC |
| |||||||||||
1.59% (SOFR + | 05/24/27 | 20,000 | 19,875 | |||||||||
1.75% (SONIO/N + 1.307%) (3) | 07/24/27 | GB | P100,000 | 139,419 | ||||||||
2.01% (SOFR + | 09/22/28 | $ | 105,000 | 104,205 | ||||||||
4.29% (3 mo. USD | 09/12/26 | 15,000 | 16,637 | |||||||||
HSBC Holdings PLC (United Kingdom) |
| |||||||||||
2.63% (3 mo. USD | 11/07/25 | 5,000 | 5,244 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
1.58% (SOFR + | 04/22/27 | 55,000 | 55,256 | |||||||||
2.01% (SOFR + | 03/13/26 | 65,000 | 67,097 | |||||||||
2.08% (SOFR + | 04/22/26 | 35,000 | 36,174 | |||||||||
Lloyds Banking Group PLC (United Kingdom) |
| |||||||||||
3.87% (1 year Treasury Constant Maturity Rate + 3.500%) (3) | 07/09/25 | 50,000 | 54,408 | |||||||||
3.90% | 03/12/24 | 35,000 | 38,018 | |||||||||
Macquarie Group, Ltd. |
| |||||||||||
1.34% (SOFR + | 01/12/27 | 95,000 | 93,775 | |||||||||
Morgan Stanley |
| |||||||||||
1.59% (SOFR + | 05/04/27 | 55,000 | 55,260 |
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 | |||||||||
Banks (Continued) | ||||||||||||
Santander UK Group Holdings PLC (United Kingdom) |
| |||||||||||
1.53% (U.S. 1 year Treasury Constant Maturity Rate + 1.250%) (3) | 08/21/26 | $ | 10,000 | $ | 9,995 | |||||||
4.80% (3 mo. USD LIBOR +1.570%) (3) | 11/15/24 | 65,000 | 71,470 | |||||||||
Santander UK PLC (United Kingdom) |
| |||||||||||
5.00% (2) | 11/07/23 | 20,000 | 21,932 | |||||||||
Wells Fargo & Co. |
| |||||||||||
2.16% (3 mo. USD LIBOR + 0.750%) (3) | 02/11/26 | 50,000 | 51,810 | |||||||||
2.19% (SOFR + | 04/30/26 | 25,000 | 25,918 | |||||||||
2.39% (SOFR + | 06/02/28 | 195,000 | 200,925 | |||||||||
|
| |||||||||||
1,523,016 | ||||||||||||
|
| |||||||||||
Beverages — 0.6% | ||||||||||||
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.90% | 02/01/46 | 80,000 | 95,726 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.50% | 06/01/50 | 18,000 | 20,712 | |||||||||
4.60% | 04/15/48 | 20,000 | 23,033 | |||||||||
4.75% | 01/23/29 | 10,000 | 11,745 | |||||||||
Bacardi, Ltd. |
| |||||||||||
4.45% (2) | 05/15/25 | 50,000 | 55,852 | |||||||||
4.70% (2) | 05/15/28 | 10,000 | 11,523 | |||||||||
|
| |||||||||||
218,591 | ||||||||||||
|
| |||||||||||
Chemicals — 0.3% | ||||||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
1.75% | 03/14/24 | 100,000 | 125,902 | |||||||||
|
| |||||||||||
Commercial Services — 0.2% | ||||||||||||
IHS Markit, Ltd. |
| |||||||||||
4.00% (2) | 03/01/26 | 50,000 | 55,441 | |||||||||
4.75% | 08/01/28 | 30,000 | 34,779 | |||||||||
|
| |||||||||||
90,220 | ||||||||||||
|
| |||||||||||
Diversified Financial Services — 0.7% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.50% | 05/26/22 | 25,000 | 25,665 | |||||||||
3.88% | 01/23/28 | 10,000 | 10,593 | |||||||||
3.95% | 02/01/22 | 25,000 | 25,534 | |||||||||
4.13% | 07/03/23 | 15,000 | 15,929 | |||||||||
4.88% | 01/16/24 | 15,000 | 16,415 | |||||||||
Air Lease Corp. |
| |||||||||||
3.25% | 03/01/25 | 20,000 | 21,221 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Diversified Financial Services (Continued) | ||||||||||||
Avolon Holdings Funding, Ltd. |
| |||||||||||
2.88% (2) | 02/15/25 | $ | 30,000 | $ | 30,622 | |||||||
5.13% (2) | 10/01/23 | 5,000 | 5,380 | |||||||||
Discover Financial Services |
| |||||||||||
3.95% | 11/06/24 | 50,000 | 54,708 | |||||||||
Park Aerospace Holdings, Ltd. |
| |||||||||||
4.50% (2) | 03/15/23 | 20,000 | 20,998 | |||||||||
5.25% (2) | 08/15/22 | 5,000 | 5,228 | |||||||||
5.50% (2) | 02/15/24 | 20,000 | 21,949 | |||||||||
|
| |||||||||||
254,242 | ||||||||||||
|
| |||||||||||
Electric — 0.4% | ||||||||||||
FirstEnergy Transmission LLC |
| |||||||||||
2.87% (2) | 09/15/28 | 78,000 | 80,103 | |||||||||
Pennsylvania Electric Co. |
| |||||||||||
3.25% (2) | 03/15/28 | 50,000 | 51,705 | |||||||||
|
| |||||||||||
131,808 | ||||||||||||
|
| |||||||||||
Engineering & Construction — 0.4% | ||||||||||||
Heathrow Funding, Ltd. |
| |||||||||||
5.23% (2) | 02/15/23 | 75,000 | 111,768 | |||||||||
PowerTeam Services LLC |
| |||||||||||
9.03% (2) | 12/04/25 | 16,000 | 17,801 | |||||||||
|
| |||||||||||
129,569 | ||||||||||||
|
| |||||||||||
Entertainment — 0.1% | ||||||||||||
Churchill Downs, Inc. |
| |||||||||||
5.50% (2) | 04/01/27 | 13,000 | 13,524 | |||||||||
Colt Merger Sub, Inc. |
| |||||||||||
6.25% (2) | 07/01/25 | 17,000 | 18,089 | |||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
3.75% (2) | 01/15/28 | 15,000 | 14,925 | |||||||||
4.75% (2) | 10/15/27 | 5,000 | 5,051 | |||||||||
|
| |||||||||||
51,589 | ||||||||||||
|
| |||||||||||
Environmental Control — 0.1% | ||||||||||||
GFL Environmental, Inc. (Canada) |
| |||||||||||
3.75% (2) | 08/01/25 | 7,000 | 7,136 | |||||||||
5.13% (2) | 12/15/26 | 9,000 | 9,477 | |||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% (2) | 02/15/26 | 20,000 | 20,458 | |||||||||
|
| |||||||||||
37,071 | ||||||||||||
|
| |||||||||||
Food — 0.5% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.00% | 06/01/26 | 34,000 | 35,925 | |||||||||
4.38% | 06/01/46 | 40,000 | 42,907 | |||||||||
5.00% | 07/15/35 | 30,000 | 35,175 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
4.25% (2) | 04/15/31 | 37,000 | 37,426 | |||||||||
5.88% (2) | 09/30/27 | 16,000 | 17,042 |
See accompanying Notes to Financial Statements.
26
Table of Contents
TCW Global Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Food (Continued) | ||||||||||||
Post Holdings, Inc. |
| |||||||||||
4.63% (2) | 04/15/30 | $ | 25,000 | $ | 25,281 | |||||||
|
| |||||||||||
193,756 | ||||||||||||
|
| |||||||||||
Health Care-Products — 0.3% | ||||||||||||
Becton Dickinson Euro Finance Sarl |
| |||||||||||
0.63% | 06/04/23 | 100,000 | 122,158 | |||||||||
|
| |||||||||||
Health Care-Services — 0.8% | ||||||||||||
CommonSpirit Health |
| |||||||||||
2.78% | 10/01/30 | 10,000 | 10,217 | |||||||||
HCA, Inc. |
| |||||||||||
4.13% | 06/15/29 | 49,000 | 54,531 | |||||||||
5.00% | 03/15/24 | 28,000 | 31,215 | |||||||||
5.25% | 04/15/25 | 2,000 | 2,301 | |||||||||
5.25% | 06/15/49 | 84,000 | 103,502 | |||||||||
Humana, Inc. |
| |||||||||||
4.95% | 10/01/44 | 10,000 | 12,229 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
3.88% (2) | 11/15/30 | 63,000 | 64,920 | |||||||||
5.38% | 11/15/22 | 8,000 | 8,405 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
5.13% (2) | 11/01/27 | 4,000 | 4,200 | |||||||||
|
| |||||||||||
291,520 | ||||||||||||
|
| |||||||||||
Insurance — 0.4% | ||||||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% (3 mo. USD LIBOR + 3.744%) (2)(3) | 11/01/53 | 80,000 | 102,050 | |||||||||
Teachers Insurance & Annuity Association of America |
| |||||||||||
4.27% (2) | 05/15/47 | 40,000 | 46,264 | |||||||||
|
| |||||||||||
148,314 | ||||||||||||
|
| |||||||||||
Internet — 0.5% | ||||||||||||
Alibaba Group Holding, Ltd. |
| |||||||||||
2.13% | 02/09/31 | 95,000 | 91,656 | |||||||||
Tencent Holdings, Ltd. |
| |||||||||||
3.60% (2) | 01/19/28 | 90,000 | 96,560 | |||||||||
|
| |||||||||||
188,216 | ||||||||||||
|
| |||||||||||
Media — 0.8% | ||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
| |||||||||||
4.50% (2) | 08/15/30 | 32,000 | 32,616 | |||||||||
4.50% (2) | 05/01/32 | 20,000 | 20,232 | |||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
5.38% | 05/01/47 | 81,000 | 95,087 | |||||||||
CSC Holdings LLC |
| |||||||||||
3.38% (2) | 02/15/31 | 12,000 | 11,301 | |||||||||
6.50% (2) | 02/01/29 | 7,000 | 7,747 | |||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% (2) | 08/01/22 | 15,000 | 15,105 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Media (Continued) | ||||||||||||
Virgin Media Secured Finance PLC (United Kingdom) |
| |||||||||||
4.50% (2) | 08/15/30 | $ | 54,000 | $ | 54,487 | |||||||
5.50% (2) | 05/15/29 | 16,000 | 17,128 | |||||||||
Walt Disney Co. (The) |
| |||||||||||
2.65% | 01/13/31 | 50,000 | 51,459 | |||||||||
|
| |||||||||||
305,162 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 0.8% | ||||||||||||
General Electric Co. |
| |||||||||||
0.58% (3 mo. USD LIBOR + 0.38%) (3) | 05/05/26 | 125,000 | 121,745 | |||||||||
0.67% (3 mo. USD LIBOR + 0.480%) (3) | 08/15/36 | 200,000 | 161,461 | |||||||||
|
| |||||||||||
283,206 | ||||||||||||
|
| |||||||||||
Multi-National — 0.2% | ||||||||||||
International Bank for Reconstruction & Development |
| |||||||||||
1.75% (1) | 03/13/25 | 650,000 | 80,093 | |||||||||
|
| |||||||||||
Oil & Gas — 1.6% | ||||||||||||
Antero Resources Corp. |
| |||||||||||
8.38% (2) | 07/15/26 | 15,000 | 16,881 | |||||||||
Energean Israel Finance, Ltd. |
| |||||||||||
4.50% (1)(2) | 03/30/24 | 50,000 | 51,409 | |||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 18,000 | 18,789 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
1.41% | 06/26/39 | EUR | 100,000 | 118,116 | ||||||||
4.33% | 03/19/50 | 20,000 | 23,387 | |||||||||
Leviathan Bond Ltd. |
| |||||||||||
6.75% (1)(2) | 06/30/30 | 55,000 | 61,870 | |||||||||
Petroleos Mexicanos |
| |||||||||||
5.50% (1) | 02/24/25 | EUR | 197,000 | 256,583 | ||||||||
5.95% | 01/28/31 | 20,000 | 19,408 | |||||||||
Transocean Pontus, Ltd. |
| |||||||||||
6.13% (2) | 08/01/25 | 11,600 | 11,332 | |||||||||
Transocean Poseidon, Ltd. |
| |||||||||||
6.88% (2) | 02/01/27 | 7,000 | 6,663 | |||||||||
|
| |||||||||||
584,438 | ||||||||||||
|
| |||||||||||
Oil & Gas Services — 0.1% | ||||||||||||
Transocean Phoenix 2, Ltd. |
| |||||||||||
7.75% (2) | 10/15/24 | 13,750 | 13,681 | |||||||||
USA Compression Partners LP / USA Compression Finance Corp. |
| |||||||||||
6.88% | 09/01/27 | 4,000 | 4,214 | |||||||||
|
| |||||||||||
17,895 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 0.7% | ||||||||||||
Bemis Co., Inc. |
| |||||||||||
3.10% | 09/15/26 | 25,000 | 26,788 |
See accompanying Notes to Financial Statements.
27
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Packaging & Containers (Continued) | ||||||||||||
Berry Global, Inc. |
| |||||||||||
0.95% (2) | 02/15/24 | $ | 60,000 | $ | 59,960 | |||||||
1.00% (1) | 01/15/25 | EUR 100,000 | 121,791 | |||||||||
Graphic Packaging International LLC |
| |||||||||||
3.50% (2) | 03/15/28 | $ | 29,000 | 28,990 | ||||||||
4.88% | 11/15/22 | 8,000 | 8,377 | |||||||||
Trivium Packaging Finance BV (Netherlands) |
| |||||||||||
5.50% (2) | 08/15/26 | 16,000 | 16,737 | |||||||||
|
| |||||||||||
262,643 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 1.5% | ||||||||||||
AbbVie, Inc. |
| |||||||||||
4.50% | 05/14/35 | 108,000 | 126,776 | |||||||||
Bayer US Finance II LLC |
| |||||||||||
4.25% (2) | 12/15/25 | 35,000 | 39,096 | |||||||||
4.38% (2) | 12/15/28 | 25,000 | 28,308 | |||||||||
4.63% (2) | 06/25/38 | 25,000 | 28,865 | |||||||||
4.88% (2) | 06/25/48 | 80,000 | 96,061 | |||||||||
Becton Dickinson and Co. |
| |||||||||||
2.89% | 06/06/22 | 13,000 | 13,327 | |||||||||
Cigna Corp. |
| |||||||||||
3.40% | 03/15/51 | 35,000 | 34,838 | |||||||||
CVS Health Corp. |
| |||||||||||
5.05% | 03/25/48 | 115,000 | 141,680 | |||||||||
Jazz Securities DAC |
| |||||||||||
4.38% (2) | 01/15/29 | 19,000 | 19,475 | |||||||||
Organon Finance 1 LLC |
| |||||||||||
4.13% (2) | 04/30/28 | 18,000 | 18,463 | |||||||||
|
| |||||||||||
546,889 | ||||||||||||
|
| |||||||||||
Pipelines — 0.7% | ||||||||||||
Energy Transfer LP |
| |||||||||||
5.00% | 05/15/50 | 22,000 | 23,261 | |||||||||
5.15% | 03/15/45 | 125,000 | 132,709 | |||||||||
6.50% | 02/01/42 | 27,000 | 32,830 | |||||||||
Energy Transfer Operating LP |
| |||||||||||
3.75% | 05/15/30 | 5,000 | 5,212 | |||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
5.00% | �� | 08/15/42 | 15,000 | 17,303 | ||||||||
5.80% | 03/15/35 | 25,000 | 31,102 | |||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.75% | 05/15/24 | 15,000 | 16,943 | |||||||||
259,360 | ||||||||||||
REIT — 1.4% | ||||||||||||
American Assets Trust LP |
| |||||||||||
3.38% | 02/01/31 | 40,000 | 40,187 | |||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
4.13% | 07/01/24 | 30,000 | 32,783 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
REIT (Continued) | ||||||||||||
CyrusOne LP / CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | $ | 45,000 | $ | 47,705 | |||||||
3.45% | 11/15/29 | 45,000 | 47,196 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
3.35% | 09/01/24 | 45,000 | 47,475 | |||||||||
5.30% | 01/15/29 | 40,000 | 45,640 | |||||||||
5.38% | 04/15/26 | 25,000 | 28,330 | |||||||||
5.75% | 06/01/28 | 5,000 | 5,836 | |||||||||
Healthcare Trust of America Holdings LP |
| |||||||||||
3.10% | 02/15/30 | 75,000 | 78,331 | |||||||||
Lexington Realty Trust |
| |||||||||||
2.70% | 09/15/30 | 20,000 | 19,943 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
1.17% (3 mo. USD LIBOR + 0.98%) (3) | 08/16/21 | 50,000 | 50,002 | |||||||||
3.25% | 10/15/22 | 55,000 | 56,897 | |||||||||
|
| |||||||||||
500,325 | ||||||||||||
|
| |||||||||||
Retail — 0.4% | ||||||||||||
7-Eleven, Inc. |
| |||||||||||
0.80% (2) | 02/10/24 | 60,000 | 59,940 | |||||||||
Alimentation Couche-Tard, Inc. |
| |||||||||||
3.06% | 07/26/24 | 95,000 | 81,552 | |||||||||
Magic Mergeco, Inc. |
| |||||||||||
5.25% (2) | 05/01/28 | 20,000 | 20,275 | |||||||||
161,767 | ||||||||||||
Savings & Loans — 0.2% | ||||||||||||
Nationwide Building Society (United Kingdom) |
| |||||||||||
3.77% (3 mo. USD LIBOR +1.064%) (2)(3) | 03/08/24 | 65,000 | 68,664 | |||||||||
|
| |||||||||||
Semiconductors — 0.1% | ||||||||||||
Intel Corp. |
| |||||||||||
4.75% | 03/25/50 | 20,000 | 25,391 | |||||||||
|
| |||||||||||
Software — 0.3% | ||||||||||||
Oracle Corp. |
| |||||||||||
2.88% | 03/25/31 | 35,000 | 35,663 | |||||||||
3.95% | 03/25/51 | 55,000 | 57,341 | |||||||||
|
| |||||||||||
93,004 | ||||||||||||
|
| |||||||||||
Telecommunications — 3.3% | ||||||||||||
AT&T, Inc. |
| |||||||||||
2.55% (2) | 12/01/33 | 28,000 | 26,744 | |||||||||
3.80% (2) | 12/01/57 | 141,000 | 134,431 | |||||||||
4.75% | 05/15/46 | 130,000 | 149,520 | |||||||||
CenturyLink, Inc. |
| |||||||||||
4.00% (2) | 02/15/27 | 19,000 | 19,362 | |||||||||
Frontier Communications Corp. |
| |||||||||||
5.00% (2) | 05/01/28 | 11,000 | 11,274 |
See accompanying Notes to Financial Statements.
28
Table of Contents
TCW Global Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Telecommunications (Continued) | ||||||||||||
Intelsat Jackson Holdings S. A. (Luxembourg) |
| |||||||||||
8.50% (2)(4) | 10/15/24 | $ | 21,000 | $ | 13,440 | |||||||
9.75% (2)(4) | 07/15/25 | 15,000 | 9,358 | |||||||||
Level 3 Financing, Inc. |
| |||||||||||
3.63% (2) | 01/15/29 | 15,000 | 14,564 | |||||||||
4.63% (2) | 09/15/27 | 3,000 | 3,100 | |||||||||
Qwest Corp. |
| |||||||||||
7.25% | 09/15/25 | 33,000 | 39,080 | |||||||||
Sprint Corp. |
| |||||||||||
7.88% | 09/15/23 | 16,000 | 18,260 | |||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% (2) | 03/20/23 | 21,875 | 21,957 | |||||||||
4.74% (2) | 09/20/29 | 255,000 | 273,806 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
1.50% (2) | 02/15/26 | 60,000 | 60,142 | |||||||||
2.55% (2) | 02/15/31 | 20,000 | 19,700 | |||||||||
2.63% | 04/15/26 | 90,000 | 91,605 | |||||||||
3.88% (2) | 04/15/30 | 20,000 | 21,811 | |||||||||
4.38% (2) | 04/15/40 | 20,000 | 22,225 | |||||||||
6.00% | 04/15/24 | 26,000 | 26,203 | |||||||||
Verizon Communications, Inc. |
| |||||||||||
2.10% | 03/22/28 | 20,000 | 20,188 | |||||||||
2.55% | 03/21/31 | 55,000 | 55,207 | |||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
4.88% | 06/19/49 | 123,000 | 149,503 | |||||||||
|
| |||||||||||
1,201,480 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $8,752,655) |
| 8,838,339 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.6% | ||||||||||||
Alabama Economic Settlement Authority, Revenue Bond |
| |||||||||||
4.26% | 09/15/32 | 40,000 | 45,398 | |||||||||
City of New York NY, General Obligation Unlimited |
| |||||||||||
3.00% | 08/01/34 | 55,000 | 57,950 | |||||||||
3.62% | 04/01/31 | 50,000 | 55,421 | |||||||||
County of Miami-Dade FL Aviation Revenue, Revenue Bond |
| |||||||||||
2.86% | 10/01/35 | 50,000 | 51,013 | |||||||||
Greater Orlando Aviation Authority, Revenue Bond |
| |||||||||||
5.00% | 10/01/44 | 10,000 | 12,379 | |||||||||
Metropolitan Transportation Authority, Revenue Bond |
| |||||||||||
5.18% | 11/15/49 | 10,000 | 12,619 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost: $227,771) |
| 234,780 | ||||||||||
|
| |||||||||||
FOREIGN GOVERNMENT BONDS — 46.4% | ||||||||||||
Australia Government Bond |
| |||||||||||
1.25% | 05/21/32 | AUD 197,000 | 144,073 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FOREIGN GOVERNMENT BONDS (Continued) | ||||||||||||
2.50% (1) | 05/21/30 | AUD | 413,000 | $ | 345,008 | |||||||
2.75% (1) | 11/21/28 | AUD | 130,000 | 110,973 | ||||||||
2.75% (1) | 05/21/41 | AUD | 262,000 | 212,044 | ||||||||
3.25% (1) | 04/21/29 | AUD | 170,000 | 150,096 | ||||||||
Bonos de la Tesoreria de la Republica en pesos |
| |||||||||||
2.50% | 03/01/25 | CLP | 135,000,000 | 191,325 | ||||||||
Brazil Letras do Tesouro Nacional |
| |||||||||||
0.00% (5) | 01/01/24 | BRL | 2,618,000 | 398,133 | ||||||||
Canada Housing Trust |
| |||||||||||
0.95% (2) | 06/15/25 | CAD | 100,000 | 81,296 | ||||||||
Canada Housing Trust No 1 |
| |||||||||||
1.75% (2) | 06/15/30 | CAD | 315,000 | 254,084 | ||||||||
Canadian Government Bond |
| |||||||||||
0.25% | 03/01/26 | CAD | 130,000 | 102,280 | ||||||||
2.75% | 12/01/48 | CAD | 35,000 | 32,662 | ||||||||
China Development Bank |
| |||||||||||
3.09% | 06/18/30 | CNY | 370,000 | 55,006 | ||||||||
3.18% | 04/05/26 | CNY | 3,250,000 | 498,692 | ||||||||
4.24% | 08/24/27 | CNY | 4,800,000 | 774,709 | ||||||||
China Government Bond |
| |||||||||||
2.85% | 06/04/27 | CNY | 6,730,000 | 1,025,344 | ||||||||
3.13% | 11/21/29 | CNY | 1,460,000 | 224,679 | ||||||||
3.22% | 12/06/25 | CNY | 1,790,000 | 279,892 | ||||||||
3.86% | 07/22/49 | CNY | 2,310,000 | 368,156 | ||||||||
Colombian TES |
| |||||||||||
7.75% | 09/18/30 | COP | 381,500,000 | 107,607 | ||||||||
Czech Republic Government Bond |
| |||||||||||
0.45% (1) | 10/25/23 | CZK | 10,210,000 | 469,692 | ||||||||
French Republic Government Bond OAT |
| |||||||||||
0.50% (1)(2) | 06/25/44 | EUR | 55,000 | 63,061 | ||||||||
Hungary Government Bond |
| |||||||||||
2.25% | 04/20/33 | HUF | 28,600,000 | 90,825 | ||||||||
2.50% | 10/24/24 | HUF | 72,230,000 | 251,544 | ||||||||
3.00% | 08/21/30 | HUF | 2,250,000 | 7,958 | ||||||||
Indonesia Government International Bond |
| |||||||||||
1.40% | 10/30/31 | EUR | 200,000 | 244,870 | ||||||||
Indonesia Treasury Bond |
| |||||||||||
5.50% | 04/15/26 | IDR | 2,180,000,000 | 149,936 | ||||||||
6.63% | 05/15/33 | IDR | 1,650,000,000 | 113,655 | ||||||||
Ireland Government Bond |
| |||||||||||
0.90% (1) | 05/15/28 | EUR | 115,000 | 149,048 | ||||||||
1.30% (1) | 05/15/33 | EUR | 65,000 | 87,654 | ||||||||
2.00% (1) | 02/18/45 | EUR | 9,000 | 13,836 | ||||||||
Italy Buoni Poliennali Del Tesoro |
| |||||||||||
0.35% (1) | 02/01/25 | EUR | 285,000 | 348,020 | ||||||||
1.50% (1)(2) | 04/30/45 | EUR | 80,000 | 92,304 | ||||||||
Ivory Coast Government International Bond |
| |||||||||||
4.88% (1) | 01/30/32 | EUR | 100,000 | 121,125 |
See accompanying Notes to Financial Statements.
29
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FOREIGN GOVERNMENT BONDS (Continued) | ||||||||||||
Japan Government Five Year Bond |
| |||||||||||
0.10% | 09/20/25 | JPY | 73,800,000 | $ | 681,704 | |||||||
Japan Government Ten-Year Bond |
| |||||||||||
1.00% | 09/20/21 | JPY | 50,150,000 | 460,689 | ||||||||
Japan Government Thirty Year Bond |
| |||||||||||
0.40% | 03/20/50 | JPY | 40,850,000 | 350,562 | ||||||||
2.00% | 03/20/42 | JPY | 37,750,000 | 449,318 | ||||||||
Japan Government Twenty Year Bond |
| |||||||||||
0.50% | 09/20/36 | JPY | 28,500,000 | 268,491 | ||||||||
Korea Treasury Bond |
| |||||||||||
1.88% | 06/10/26 | KRW | 775,000,000 | 702,421 | ||||||||
1.88% | 06/10/29 | KRW | 180,590,000 | 160,731 | ||||||||
Malaysia Government Bond |
| |||||||||||
4.64% | 11/07/33 | MYR | 1,052,000 | 277,227 | ||||||||
Mexico Government Bond (BONOS) |
| |||||||||||
5.75% | 03/05/26 | MXN | 3,840,000 | 188,724 | ||||||||
Mexico Government International Bond |
| |||||||||||
1.45% | 10/25/33 | EUR | 100,000 | 112,741 | ||||||||
New Zealand Government Bond |
| |||||||||||
0.25% | 05/15/28 | NZD | 170,000 | 113,679 | ||||||||
1.50% | 05/15/31 | NZD | 92,000 | 65,110 | ||||||||
1.75% | 05/15/41 | NZD | 112,000 | 70,909 | ||||||||
2.75% (1) | 04/15/37 | NZD | 107,000 | 82,372 | ||||||||
Norway Government Bond |
| |||||||||||
1.38% (1)(2) | 08/19/30 | NOK | 655,000 | 78,484 | ||||||||
1.50% (1)(2) | 02/19/26 | NOK | 3,250,000 | 400,595 | ||||||||
3.00% (1)(2) | 03/14/24 | NOK | 730,000 | 93,661 | ||||||||
Panama Government International Bond |
| |||||||||||
3.75% (1) | 04/17/26 | $ | 18,000 | 19,485 | ||||||||
Poland Government Bond |
| |||||||||||
2.25% | 10/25/24 | PLN | 275,000 | 77,027 | ||||||||
Portugal Obrigacoes do Tesouro OT |
| |||||||||||
1.00% (1)(2) | 04/12/52 | EUR | 115,000 | 124,634 | ||||||||
2.13% (1)(2) | 10/17/28 | EUR | 64,000 | 88,666 | ||||||||
2.25% (1)(2) | 04/18/34 | EUR | 245,000 | 352,236 | ||||||||
4.95% (1)(2) | 10/25/23 | EUR | 168,000 | 230,012 | ||||||||
Province of Ontario Canada |
| |||||||||||
1.85% | 02/01/27 | CAD | 155,000 | 128,909 | ||||||||
2.05% | 06/02/30 | CAD | 70,000 | 56,822 | ||||||||
2.60% | 06/02/25 | CAD | 45,000 | 38,833 | ||||||||
2.65% | 02/05/25 | CAD | 75,000 | 64,874 | ||||||||
Republic of Poland Government Bond |
| |||||||||||
3.25% | 07/25/25 | PLN | 311,000 | 90,757 | ||||||||
Romania Government Bond |
| |||||||||||
3.65% | 09/24/31 | RON | 320,000 | 81,004 | ||||||||
Romanian Government International Bond |
| |||||||||||
2.00% (1) | 01/28/32 | EUR | 87,000 | 105,544 | ||||||||
2.00% (2) | 01/28/32 | EUR | 100,000 | 121,315 | ||||||||
3.62% (2) | 05/26/30 | EUR | 50,000 | 69,444 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FOREIGN GOVERNMENT BONDS (Continued) | ||||||||||||
Russian Federal Bond — OFZ |
| |||||||||||
7.95% | 10/07/26 | RUB | 6,280,000 | $ | 88,909 | |||||||
Saudi Government International Bond |
| |||||||||||
2.00% (1) | 07/09/39 | EUR | 100,000 | 126,850 | ||||||||
Singapore Government Bond |
| |||||||||||
0.50% | 11/01/25 | SGD | 240,000 | 178,289 | ||||||||
2.88% | 09/01/30 | SGD | 325,000 | 271,065 | ||||||||
South Africa Government Bond |
| |||||||||||
7.00% | 02/28/31 | ZAR | 5,180,000 | 296,607 | ||||||||
Spain Government Bond |
| |||||||||||
0.35% | 07/30/23 | EUR | 295,000 | 361,932 | ||||||||
0.60% (1)(2) | 10/31/29 | EUR | 212,000 | 262,058 | ||||||||
1.00% (1)(2) | 10/31/50 | EUR | 59,000 | 63,703 | ||||||||
1.85% (1)(2) | 07/30/35 | EUR | 190,000 | 260,251 | ||||||||
2.35% (1)(2) | 07/30/33 | EUR | 210,000 | 302,736 | ||||||||
United Kingdom Gilt |
| |||||||||||
1.25% (1) | 10/22/41 | GBP | 206,000 | 282,297 | ||||||||
1.63% (1) | 10/22/28 | GBP | 60,000 | 88,989 | ||||||||
1.75% (1) | 09/07/37 | GBP | 186,000 | 277,899 | ||||||||
2.75% (1) | 09/07/24 | GBP | 110,000 | 165,285 | ||||||||
3.75% (1) | 09/07/21 | GBP | 120,000 | 168,283 | ||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $16,852,352) |
| 16,961,720 | ||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 4.2% | ||||||||||||
BlueMountain CLO, Ltd. (13-1A-A1R2) |
| |||||||||||
1.42% (3 mo. USD | 01/20/29 | 31,405 | 31,430 | |||||||||
CoreVest American Finance Trust (20-1-A2) |
| |||||||||||
2.30% (2) | 03/15/50 | 30,000 | 30,428 | |||||||||
Dryden Senior Loan Fund |
| |||||||||||
1.00% (6) | 05/15/32 | 185,000 | 185,092 | |||||||||
Eaton Vance CLO, Ltd. (13-1A-A13R) |
| |||||||||||
1.43% (3 mo. USD | 01/15/34 | 150,000 | 150,592 | |||||||||
Educational Funding of the South, Inc. (11-1-A2) |
| |||||||||||
0.83% (3 mo. USD | 04/25/35 | 12,910 | 12,841 | |||||||||
Gilbert Park CLO, Ltd. (17-1A-A) |
| |||||||||||
1.37% (3 mo. USD | 10/15/30 | 100,000 | 100,056 | |||||||||
GoldenTree Loan Opportunities IX, Ltd. (14-9A-AR2) |
| |||||||||||
1.29% (3 mo. USD | 10/29/29 | 100,000 | 100,170 | |||||||||
LCM XIII LP (13A-ARR) |
| |||||||||||
1.33% (3 mo. USD | 07/19/27 | 45,000 | 45,063 | |||||||||
Madison Park Funding XLVIII, Ltd. (21-48A-A) |
| |||||||||||
1.29% (3 mo. USD | 04/19/33 | 150,000 | 150,281 |
See accompanying Notes to Financial Statements.
30
Table of Contents
TCW Global Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
Madison Park Funding XVII, Ltd. (15-17A-AR2) |
| |||||||||||
1.19% (3 mo. USD | 07/21/30 | $ | 150,000 | $ | 149,878 | |||||||
OCP CLO, Ltd. (20-19A-A1) |
| |||||||||||
1.94% (3 mo. USD | 07/20/31 | 100,000 | 100,198 | |||||||||
Palmer Square CLO, Ltd. (19-1A-A1) |
| |||||||||||
1.24% (3 mo. USD | 04/20/27 | 15,698 | 15,715 | |||||||||
Sixth Street CLO XVII, Ltd. (21-17A-A) |
| |||||||||||
1.43% (3 mo. USD | 01/20/34 | 150,000 | 150,781 | |||||||||
SLC Student Loan Trust (06-1-A6) |
| |||||||||||
0.34% (3 mo. USD | 03/15/55 | 100,000 | 95,893 | |||||||||
SLM Student Loan Trust (08-5-B) |
| |||||||||||
2.03% (3 mo. USD | 07/25/73 | 50,000 | 49,502 | |||||||||
SLM Student Loan Trust (08-8-B) |
| |||||||||||
2.43% (3 mo. USD | 10/25/75 | 57,000 | 57,352 | |||||||||
SLM Student Loan Trust (08-9-B) |
| |||||||||||
2.43% (3 mo. USD | 10/25/83 | 57,000 | 57,471 | |||||||||
Student Loan Consolidation Center (02-2-B2) |
| |||||||||||
1.65% (28-Day Auction | 07/01/42 | 50,000 | 46,924 | |||||||||
|
| |||||||||||
Total Asset-backed Securities |
| |||||||||||
(Cost: $1,516,841) |
| 1,529,667 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 0.8% | ||||||||||||
Fannie Mae (16-M2-X3) (I/O) |
| |||||||||||
2.12% (7) | 04/25/36 | 595,597 | 5,961 | |||||||||
Fannie Mae (16-M4-X2) (I/O) |
| |||||||||||
2.71% (7) | 01/25/39 | 978,229 | 52,053 | |||||||||
Fannie Mae, Pool #BL6060 |
| |||||||||||
2.46% | 04/01/40 | 90,000 | 91,760 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (K028-X1) (I/O) |
| |||||||||||
0.36% (7) | 02/25/23 | 3,409,084 | 13,285 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K022-X3) (I/O) |
| |||||||||||
1.87% (7) | 08/25/40 | 800,000 | 17,325 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K025-X3) (I/O) |
| |||||||||||
1.81% (7) | 11/25/40 | 2,850,000 | 70,875 | |||||||||
Ginnie Mae (11-147-IO) (I/O) |
| |||||||||||
0.00% (5)(7) | 10/16/44 | 1,025,745 | 1,564 | |||||||||
Ginnie Mae (12-144-IO) (I/O) |
| |||||||||||
0.40% (7) | 01/16/53 | 2,708,655 | 44,924 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $348,918) | 297,747 | |||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 4.1% | ||||||||||||
Bank of America-First Union NB Commercial Mortgage (01-3-XC) (I/O) |
| |||||||||||
1.55% (2)(7)(8) | 04/11/37 | $ | 1,082,483 | $ | 11,678 | |||||||
BB-UBS Trust (12-SHOW-A) |
| |||||||||||
3.43% (2) | 11/05/36 | 200,000 | 212,499 | |||||||||
COMM Mortgage Trust (13-CR7-XA) (I/O) |
| |||||||||||
1.35% (7) | 03/10/46 | 698,480 | 12,856 | |||||||||
COMM Mortgage Trust (12-CR4-XA) (I/O) |
| |||||||||||
1.84% (7) | 10/15/45 | 828,480 | 15,265 | |||||||||
CPT Mortgage Trust (19-CPT-A) |
| |||||||||||
2.87% (2) | 11/13/39 | 35,000 | 36,807 | |||||||||
DC Office Trust (19-MTC-A) |
| |||||||||||
2.97% (2) | 09/15/45 | 35,000 | 37,023 | |||||||||
GS Mortgage Securities Corp. II (17-375H-A) |
| |||||||||||
3.59% (2)(7) | 09/10/37 | 75,000 | 82,202 | |||||||||
GS Mortgage Securities Trust (10-C1-X) (I/O) |
| |||||||||||
0.89% (2)(7) | 08/10/43 | 1,947,283 | 23,587 | |||||||||
GS Mortgage Securities Trust (11-GC3-X) (I/O) |
| |||||||||||
0.23% (2)(7) | 03/10/44 | 1,395,811 | 561 | |||||||||
GS Mortgage Securities Trust (13-GC12-XA) (I/O) |
| |||||||||||
1.54% (7) | 06/10/46 | 4,829,754 | 108,276 | |||||||||
GS Mortgage Securities Trust (14-GC20-XA) (I/O) |
| |||||||||||
1.17% (7) | 04/10/47 | 1,112,964 | 27,002 | |||||||||
Hudson Yards Mortgage Trust (19-55HY-A) |
| |||||||||||
3.04% (2)(7) | 12/10/41 | 35,000 | 37,167 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (11-C3-XB) (I/O) |
| |||||||||||
0.51% (2)(7) | 02/15/46 | 6,434,039 | 80,334 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (14-C19-XA) (I/O) |
| |||||||||||
0.89% (7) | 04/15/47 | 2,965,125 | 43,180 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust (13-C7-XA) (I/O) |
| |||||||||||
1.46% (7) | 02/15/46 | 2,114,259 | 37,969 | |||||||||
Natixis Commercial Mortgage Securities Trust (19-FAME-A) |
| |||||||||||
3.05% (2) | 08/15/36 | 130,000 | 130,408 | |||||||||
Natixis Commercial Mortgage Securities Trust (19-NEMA-A) |
| |||||||||||
3.82% (2) | 02/15/39 | 190,000 | 203,377 | |||||||||
New York City Housing Development Corp. (14-8SPR A) |
| |||||||||||
3.71% | 02/15/48 | 135,000 | 141,780 | |||||||||
One Bryant Park Trust (19-OBP-A) |
| |||||||||||
2.52% (2) | 09/15/54 | 40,000 | 41,024 | |||||||||
One Market Plaza Trust (17-1MKT-A) |
| |||||||||||
3.61% (2) | 02/10/32 | 150,000 | 156,934 | |||||||||
WFRBS Commercial Mortgage Trust (12-C9-XA) (I/O) |
| |||||||||||
2.03% (2)(7) | 11/15/45 | 2,570,293 | 51,645 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $1,297,253) | 1,491,574 | |||||||||||
|
|
See accompanying Notes to Financial Statements.
31
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 16.0% | ||||||||||||
Fannie Mae, Pool #MA4152 |
| |||||||||||
2.00% | 10/01/40 | $ | 92,952 | $ | 94,993 | |||||||
Fannie Mae (07-52-LS) (I/O) (I/F) |
| |||||||||||
5.94% (-1 mo. USD LIBOR + 6.050%) (3) | 06/25/37 | 52,745 | 6,333 | |||||||||
Fannie Mae (08-18-SM) (I/O) (I/F) |
| |||||||||||
6.89% (-1 mo. USD LIBOR + 7.000%) (3) | 03/25/38 | 50,929 | 8,205 | |||||||||
Fannie Mae (09-115-SB) (I/O) (I/F) |
| |||||||||||
6.14% (-1 mo. USD LIBOR + 6.250%) (3) | 01/25/40 | 38,177 | 6,739 | |||||||||
Fannie Mae (10-116-SE) (I/O) (I/F) |
| |||||||||||
6.49% (-1 mo. USD LIBOR + 6.600%) (3) | 10/25/40 | 68,245 | 13,430 | |||||||||
Fannie Mae, Pool #AB3679 |
| |||||||||||
3.50% | 10/01/41 | 66,484 | 72,849 | |||||||||
Fannie Mae, Pool #AB4045 |
| |||||||||||
3.50% | 12/01/41 | 93,241 | 102,209 | |||||||||
Fannie Mae, Pool #AT5914 |
| |||||||||||
3.50% | 06/01/43 | 34,377 | 37,840 | |||||||||
Fannie Mae, Pool #BD7081 |
| |||||||||||
4.00% | 03/01/47 | 31,105 | 33,914 | |||||||||
Fannie Mae, Pool #CA0996 |
| |||||||||||
3.50% | 01/01/48 | 80,809 | 87,642 | |||||||||
Fannie Mae, Pool #CA2208 |
| |||||||||||
4.50% | 08/01/48 | 3,462 | 3,782 | |||||||||
Fannie Mae, Pool #FM2870 |
| |||||||||||
3.00% | 03/01/50 | 191,101 | 202,757 | |||||||||
Fannie Mae, Pool #MA1527 |
| |||||||||||
3.00% | 08/01/33 | 18,676 | 19,853 | |||||||||
Fannie Mae, Pool #MA1652 |
| |||||||||||
3.50% | 11/01/33 | 29,937 | 32,374 | |||||||||
Fannie Mae, Pool #MA2705 |
| |||||||||||
3.00% | 08/01/46 | 102,004 | 107,558 | |||||||||
Fannie Mae, Pool #MA4204 |
| |||||||||||
2.00% | 12/01/40 | 75,834 | 77,367 | |||||||||
Freddie Mac (3439-SC) (I/O) (I/F) |
| |||||||||||
5.79% (-1 mo. USD LIBOR + 5.900%) (3) | 04/15/38 | 51,046 | 7,996 | |||||||||
Freddie Mac, Pool #G08681 |
| |||||||||||
3.50% | 12/01/45 | 30,555 | 32,831 | |||||||||
Freddie Mac, Pool #G08698 |
| |||||||||||
3.50% | 03/01/46 | 28,914 | 31,229 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 30,789 | 33,234 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 5,579 | 5,885 | |||||||||
Freddie Mac, Pool #G08722 |
| |||||||||||
3.50% | 09/01/46 | 3,102 | 3,349 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G08732 |
| |||||||||||
3.00% | 11/01/46 | $ | 7,758 | $ | 8,185 | |||||||
Freddie Mac, Pool #G08762 |
| |||||||||||
4.00% | 05/01/47 | 28,818 | 31,234 | |||||||||
Freddie Mac, Pool #G08833 |
| |||||||||||
5.00% | 07/01/48 | 5,617 | 6,212 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 4,979 | 5,269 | |||||||||
Freddie Mac, Pool #ZT1703 |
| |||||||||||
4.00% | 01/01/49 | 73,853 | 80,702 | |||||||||
Ginnie Mae (11-146-EI) (I/O) (PAC) |
| |||||||||||
5.00% | 11/16/41 | 50,423 | 9,444 | |||||||||
Ginnie Mae (11-69-GI) (I/O) |
| |||||||||||
5.00% | 05/16/40 | 4,774 | 12 | |||||||||
Ginnie Mae, Pool #MA3662 |
| |||||||||||
3.00% | 05/20/46 | 52,732 | 55,799 | |||||||||
Ginnie Mae II, Pool #MA3597 |
| |||||||||||
3.50% | 04/20/46 | 19,415 | 20,968 | |||||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 2,870 | 3,099 | |||||||||
Ginnie Mae II, Pool #MA3803 |
| |||||||||||
3.50% | 07/20/46 | 13,576 | 14,640 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 14,097 | 15,718 | |||||||||
Ginnie Mae II, Pool #MA4900 |
| |||||||||||
3.50% | 12/20/47 | 66,310 | 70,882 | |||||||||
Ginnie Mae II, Pool #MA5399 |
| |||||||||||
4.50% | 08/20/48 | 31,721 | 34,661 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
2.00% (9) | 10/01/50 | 375,000 | 382,046 | |||||||||
2.50% (9) | 05/01/50 | 25,000 | 25,993 | |||||||||
2.50% (9) | 05/01/50 | 225,000 | 233,446 | |||||||||
Uniform Mortgage-Backed Securities TBA, 15 Year |
| |||||||||||
2.00% (9) | 02/01/36 | 150,000 | 154,951 | |||||||||
1.50% (9) | 02/01/36 | 225,000 | 227,438 | |||||||||
2.00% (9) | 02/01/36 | 150,000 | 154,755 | |||||||||
Uniform Mortgage-Backed Securities TBA, 30 Year |
| |||||||||||
2.00% (9) | 01/01/51 | 1,500,000 | 1,512,568 | |||||||||
2.50% (9) | 07/01/50 | 1,500,000 | 1,552,668 | |||||||||
2.50% (9) | 07/01/50 | 200,000 | 207,547 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $5,663,990) | 5,830,606 | |||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 5.6% | ||||||||||||
Banc of America Funding Trust (05-C-A3) |
| |||||||||||
0.42% (1 mo. USD LIBOR + 0.300%) (3) | 05/20/35 | 24,063 | 24,227 |
See accompanying Notes to Financial Statements.
32
Table of Contents
TCW Global Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
BCMSC Trust (00-A-A4) |
| |||||||||||
8.29% (7) | 06/15/30 | $ | 189,525 | $ | 49,278 | |||||||
Bear Stearns ALT-A Trust (04-8-M2) |
| |||||||||||
1.83% (1 mo. USD LIBOR + 1.725%) (3) | 09/25/34 | 102,093 | 101,150 | |||||||||
Bear Stearns ALT-A Trust (05-8-11A1) |
| |||||||||||
0.65% (1 mo. USD LIBOR + 0.540%) (3) | 10/25/35 | 35,945 | 34,424 | |||||||||
Carrington Mortgage Loan Trust (06-RFC1-A4) |
| |||||||||||
0.59% (1 mo. USD LIBOR + 0.480%) (3) | 03/25/36 | 59,079 | 58,885 | |||||||||
DSLA Mortgage Loan Trust (04-AR1-A1A) |
| |||||||||||
0.96% (1 mo. USD LIBOR + 0.840%) (3) | 09/19/44 | 86,581 | 85,056 | |||||||||
First Horizon Mortgage Pass-Through Trust (05-AR4-2A1) |
| |||||||||||
2.98% (7)(10) | 10/25/35 | 27,163 | 27,361 | |||||||||
Green Tree Financial Corp. (98-6-A8) |
| |||||||||||
6.66% (7) | 06/01/30 | 1,792 | 1,801 | |||||||||
Homestar Mortgage Acceptance Corp. (04-6-M4) |
| |||||||||||
1.91% (1 mo. USD LIBOR + 1.800%) (3) | 01/25/35 | 100,000 | 99,915 | |||||||||
HSI Asset Securitization Corp. (06-WMC1-A3) |
| |||||||||||
0.41% (1 mo. USD LIBOR + 0.300%) (3) | 07/25/36 | 319,121 | 190,228 | |||||||||
IndyMac INDX Mortgage Loan Trust (05-AR15-A2) |
| |||||||||||
2.97% (7) | 09/25/35 | 60,259 | 54,416 | |||||||||
JPMorgan Mortgage Acquisition Trust (06-CH2-AF3) |
| |||||||||||
5.46% | 09/25/29 | 231,407 | 185,940 | |||||||||
JPMorgan Mortgage Trust (05-A6-7A1) |
| |||||||||||
3.17% (7)(10) | 08/25/35 | 18,333 | 17,337 | |||||||||
Lehman XS Trust (06-9-A1B) |
| |||||||||||
0.43% (1 mo. USD LIBOR + 0.320%) (3) | 05/25/46 | 61 | — | |||||||||
Long Beach Mortgage Loan Trust (06-WL1-2A4) |
| |||||||||||
0.79% (1 mo. USD LIBOR + 0.680%) (3) | 01/25/46 | 22,450 | 22,454 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A1-A2B) |
| |||||||||||
0.26% (1 mo. USD LIBOR + 0.150%) (3) | 01/25/37 | 319,389 | 142,294 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A3-A2D) |
| |||||||||||
0.44% (1 mo. USD LIBOR + 0.330%) (3)(11) | 04/25/37 | 1,251,739 | 118,048 | |||||||||
Mid-State Trust (04-1-A) |
| |||||||||||
6.01% | 08/15/37 | 69,752 | 74,084 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust (05-HE2-M2) |
| |||||||||||
0.77% (1 mo. USD LIBOR + 0.660%) (3) | 01/25/35 | 133,819 | 129,122 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust (06-HE4-A4) |
| |||||||||||
0.59% (1 mo. USD LIBOR + 0.480%) (3) | 06/25/36 | 285,125 | 192,695 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
MortgageIT Trust (05-1-1A1) |
| |||||||||||
0.75% (1 mo. USD LIBOR + 0.640%) (3) | 02/25/35 | $ | 24,471 | $ | 25,221 | |||||||
Nationstar Home Equity Loan Trust (07-B-2AV4) |
| |||||||||||
0.43% (1 mo. USD LIBOR + 0.320%) (3) | 04/25/37 | 48,363 | 47,142 | |||||||||
Ownit Mortgage Loan Asset-Backed Certificates (06-3-A2D) |
| |||||||||||
0.65% (1 mo. USD LIBOR + 0.540%) (3) | 03/25/37 | 102,399 | 100,588 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (04-18-4A1) |
| |||||||||||
2.37% (7)(10) | 12/25/34 | 24,322 | 24,612 | |||||||||
Structured Asset Mortgage Investments II Trust (05-AR6-2A1) |
| |||||||||||
0.73% (1 mo. USD LIBOR + 0.620%) (3) | 09/25/45 | 31,920 | 30,691 | |||||||||
Structured Asset Mortgage Investments, Inc. (06-AR3-22A1) |
| |||||||||||
2.59% (7) | 05/25/36 | 143,075 | 93,491 | |||||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust (05-AR2-2A1B) |
| |||||||||||
0.85% (1 mo. USD LIBOR + 0.740%) (3) | 01/25/45 | 118,766 | 117,832 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $2,125,672) | 2,048,292 | |||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 4.6% | ||||||||||||
U.S. Treasury Bond | ||||||||||||
1.88% | 02/15/51 | 375,000 | 341,191 | |||||||||
U.S. Treasury Note | ||||||||||||
0.13% | 04/30/23 | 10,000 | 9,993 | |||||||||
0.75% | 03/31/26 | 90,000 | 89,655 | |||||||||
0.75% | 04/30/26 | 920,000 | 915,651 | |||||||||
1.13% | 02/15/31 | 325,000 | 310,299 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $1,663,191) | 1,666,789 | |||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $38,448,643) |
| 38,899,514 | ||||||||||
|
| |||||||||||
Security | Shares | |||||||||||
MONEY MARKET INVESTMENTS — 1.5% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, |
| |||||||||||
0.03% (12) | 548,166 | 548,166 | ||||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $548,166) | 548,166 | |||||||||||
|
|
See accompanying Notes to Financial Statements.
33
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Security | Shares | Value | ||||||||||
INVESTMENT COMPANIES — 3.4% | ||||||||||||
TCW Emerging Markets Income Fund —I Class (13) |
| 151,647 | $ | 1,235,920 | ||||||||
|
| |||||||||||
Total Investment Companies |
| |||||||||||
(Cost: $1,244,234) |
| 1,235,920 | ||||||||||
|
| |||||||||||
Total Investments (111.4%) |
| |||||||||||
(Cost: $40,241,043) | 40,683,600 | |||||||||||
Liabilities In Excess Of Other Assets (-11.4%) |
| (4,175,362 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 36,508,238 | |||||||||
|
|
See accompanying Notes to Financial Statements.
34
Table of Contents
TCW Global Bond Fund
April 30, 2021
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 (14) | ||||||||||||||||||||||||
State Street Bank & Trust Co. | AUD | 20,000 | 07/16/21 | $ | 15,256 | $ | 15,454 | $ | 198 | |||||||||||||||
State Street Bank & Trust Co. | CAD | 459,000 | 07/16/21 | 366,328 | 373,167 | 6,839 | ||||||||||||||||||
State Street Bank & Trust Co. | CHF | 35,000 | 07/16/21 | 38,017 | 38,450 | 433 | ||||||||||||||||||
State Street Bank & Trust Co. | CNY | 2,640,000 | 07/16/21 | 405,553 | 405,917 | 364 | ||||||||||||||||||
State Street Bank & Trust Co. | CZK | 480,000 | 07/16/21 | 22,423 | 22,338 | (85 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 2,921,881 | 07/16/21 | 3,484,991 | 3,522,662 | 37,671 | ||||||||||||||||||
State Street Bank & Trust Co. | GBP | 268,000 | 07/16/21 | 367,916 | 371,134 | 3,218 | ||||||||||||||||||
Citibank N.A. | IDR | 780,125,000 | 07/16/21 | 53,232 | 53,644 | 412 | ||||||||||||||||||
Goldman Sachs & Co. | IDR | 752,000,000 | 07/16/21 | 51,416 | 51,711 | 295 | ||||||||||||||||||
Citibank N.A. | ILS | 509,445 | 07/16/21 | 156,786 | 157,216 | 430 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 279,788,000 | 07/16/21 | 2,559,505 | 2,561,227 | 1,722 | ||||||||||||||||||
Goldman Sachs & Co. | KRW | 147,625,918 | 07/16/21 | 132,225 | 132,722 | 497 | ||||||||||||||||||
State Street Bank & Trust Co. | MXN | 890,000 | 07/16/21 | 43,875 | 43,756 | (119 | ) | |||||||||||||||||
Goldman Sachs & Co. | PEN | 160,000 | 09/15/21 | 44,077 | 42,210 | (1,867 | ) | |||||||||||||||||
JP Morgan Chase Bank | PLN | 841,200 | 07/16/21 | 221,252 | 222,094 | 842 | ||||||||||||||||||
State Street Bank & Trust Co. | SEK | 2,100,000 | 07/16/21 | 248,462 | 248,524 | 62 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 8,211,314 | $ | 8,262,226 | $ | 50,912 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (15) | ||||||||||||||||||||||||
State Street Bank & Trust Co. | AUD | 333,000 | 07/16/21 | $ | 254,160 | $ | 257,308 | $ | (3,148 | ) | ||||||||||||||
Goldman Sachs & Co. | BRL | 720,000 | 08/31/21 | 128,257 | 131,272 | (3,015 | ) | |||||||||||||||||
Goldman Sachs & Co. | BRL | 1,480,000 | 12/13/21 | 250,148 | 266,601 | (16,453 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CAD | 100,000 | 07/16/21 | 81,392 | 81,300 | 92 | ||||||||||||||||||
Goldman Sachs & Co. | CLP | 130,000,000 | 07/19/21 | 184,218 | 181,961 | 2,257 | ||||||||||||||||||
State Street Bank & Trust Co. | CNY | 2,400,128 | 05/07/21 | 370,825 | 370,807 | 18 | ||||||||||||||||||
State Street Bank & Trust Co. | CNY | 430,000 | 05/21/21 | 65,298 | 66,370 | (1,072 | ) | |||||||||||||||||
State Street Bank & Trust Co. | CNY | 4,973,000 | 07/16/21 | 755,546 | 764,630 | (9,084 | ) | |||||||||||||||||
Citibank N.A. | COP | 137,793,875 | 07/16/21 | 36,590 | 36,707 | (117 | ) | |||||||||||||||||
Goldman Sachs & Co. | COP | 154,270,000 | 07/16/21 | 42,189 | 41,096 | 1,093 | ||||||||||||||||||
State Street Bank & Trust Co. | CZK | 2,485,000 | 07/16/21 | 114,008 | 115,645 | (1,637 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 50,000 | 07/16/21 | 60,400 | 60,280 | 120 | ||||||||||||||||||
State Street Bank & Trust Co. | GBP | 27,000 | 07/16/21 | 37,765 | 37,390 | 375 | ||||||||||||||||||
JP Morgan Chase Bank | HUF | 27,577,400 | 07/16/21 | 91,791 | 92,075 | (284 | ) | |||||||||||||||||
State Street Bank & Trust Co. | HUF | 72,900,000 | 07/16/21 | 243,264 | 243,396 | (132 | ) | |||||||||||||||||
Goldman Sachs & Co. | IDR | 1,532,125,000 | 07/16/21 | 103,522 | 105,355 | (1,833 | ) | |||||||||||||||||
Goldman Sachs & Co. | ILS | 335,000 | 07/16/21 | 102,458 | 103,383 | (925 | ) | |||||||||||||||||
State Street Bank & Trust Co. | JPY | 5,600,000 | 07/16/21 | 51,536 | 51,263 | 273 | ||||||||||||||||||
Goldman Sachs & Co. | KRW | 519,800,000 | 07/16/21 | 462,328 | 467,320 | (4,992 | ) | |||||||||||||||||
State Street Bank & Trust Co. | MXN | 2,040,000 | 07/16/21 | 100,444 | 100,296 | 148 | ||||||||||||||||||
Goldman Sachs & Co. | MYR | 676,940 | 07/16/21 | 163,325 | 164,760 | (1,435 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NOK | 4,043,000 | 07/16/21 | 476,660 | 486,673 | (10,013 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NZD | 308,000 | 07/16/21 | 220,059 | 220,925 | (866 | ) | |||||||||||||||||
Goldman Sachs & Co. | PEN | 160,000 | 09/15/21 | 44,420 | 42,211 | 2,209 | ||||||||||||||||||
State Street Bank & Trust Co. | PLN | 711,000 | 07/16/21 | 187,237 | 187,719 | (482 | ) | |||||||||||||||||
Goldman Sachs & Co. | RON | 230,000 | 07/16/21 | 55,617 | 56,011 | (394 | ) | |||||||||||||||||
Goldman Sachs & Co. | RUB | 7,000,000 | 07/16/21 | 90,390 | 92,323 | (1,933 | ) | |||||||||||||||||
State Street Bank & Trust Co. | SGD | 359,000 | 07/16/21 | 268,941 | 269,774 | (833 | ) | |||||||||||||||||
Citibank N.A. | ZAR | 2,678,000 | 07/16/21 | 182,786 | 182,770 | 16 | ||||||||||||||||||
State Street Bank & Trust Co. | ZAR | 1,680,000 | 07/16/21 | 116,793 | 114,658 | 2,135 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 5,342,367 | $ | 5,392,279 | $ | (49,912 | ) | ||||||||||||||||||
|
|
|
|
|
|
Futures Contracts | ||||||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Market Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||
Long Futures | ||||||||||||||||||||||
12 | 5-Year U.S. Treasury Note Futures |
| 06/30/21 | $ | 1,486,063 | $ | 1,487,250 | $ | 1,187 | |||||||||||||
Short Futures | ||||||||||||||||||||||
7 | 10-Year U.S. Ultra Treasury Note Futures |
| 06/21/21 | $ | (1,033,821 | ) | $ | (1,018,828 | ) | $ | 14,993 |
See accompanying Notes to Financial Statements.
35
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
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. |
SOFR | Secured Overnight Financing Rate. |
TBA | To Be Announced. |
AUD | Australian Dollar. |
BRL | Brazilian Real. |
CAD | Canadian Dollar. |
CHF | Swiss Franc. |
CLP | Chilean Peso. |
COP | Colombian Peso. |
CNY | Chinese Yuan. |
CZK | Czech Koruna. |
EUR | Euro Currency. |
GBP | British Pound Sterling. |
HUF | Hungarian Forint. |
IDR | Indonesian Rupiah. |
ILS | Israeli Shekel. |
JPY | Japanese Yen. |
KRW | South Korean Won. |
MXN | Mexican Peso. |
MYR | Malaysian Ringgit. |
NOK | Norwegian Krona. |
NZD | New Zealand Dollar. |
PEN | Peruvian Nuevo Sol. |
PLN | Polish Zloty. |
RON | New Romanian Leu. |
RUB | Russian Ruble. |
SEK | Swedish Krona. |
SGD | Singapore Dollar. |
ZAR | South African Rand. |
(1) | Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2021, the value of these securities amounted to $6,518,776 or 17.9% of net assets. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2021, the value of these securities amounted to $7,867,411 or 21.6% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2021. |
(4) | 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. |
(5) | Security is not accruing interest. |
(6) | This security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(7) | 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. |
(8) | Restricted security (Note 11). |
(9) | 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. |
(10) | 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. |
(11) | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
(12) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
(13) | Affiliated issuer. |
(14) | Fund buys foreign currency, sells U.S. Dollar. |
(15) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying Notes to Financial Statements.
36
Table of Contents
TCW Global Bond Fund
April 30, 2021
The summary of the TCW Global Bond Fund transactions in the affiliated fund for the period ended April 30, 2021 is as follows:
Name of Affiliated Fund | Value at October 31, 2021 | Purchases at Cost | Proceeds from Sales | Number of Shares Held April 30, 2021 | Value at April 30, 2021 | Dividends and Interest Income Received | Distributions Received from Net Realized Gain | Net Realized Gain (Loss) on Investments | Net change in Unrealized Gain (Loss) on Investments | |||||||||||||||||||||||||||
TCW Emerging Markets Income Fund — I Class | ||||||||||||||||||||||||||||||||||||
$ | 691,609 | $ | 547,876 | $ | — | 151,647 | $ | 1,235,920 | $ | 27,816 | $ | — | $ | — | $ | (3,565 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | $ | 1,235,920 | $ | 27,816 | $ | — | $ | — | $ | (3,565 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
37
Table of Contents
TCW Global Bond Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Foreign Government Bonds | 46.4 | % | ||
Corporate Bonds | 24.2 | |||
Residential Mortgage-Backed Securities — Agency | 16.0 | |||
Residential Mortgage-Backed Securities — Non-Agency | 5.6 | |||
U.S. Treasury Securities | 4.6 | |||
Asset-Backed Securities | 4.2 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 4.1 | |||
Investment Companies | 3.4 | |||
Money Market Investments | 1.5 | |||
Commercial Mortgage-Backed Securities — Agency | 0.8 | |||
Municipal Bonds | 0.6 | |||
Other* | (11.4 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes capstock, forward currency exchange contracts, futures, pending trades, interest receivable and accrued expenses payable. |
See accompanying Notes to Financial Statements.
38
Table of Contents
TCW Global Bond Fund
Investments by Country (Unaudited) | April 30, 2021 |
Country | Percentage of Net Assets | |||
Australia | 2.9 | |||
Bermuda | 0.4 | |||
Brazil | 1.1 | |||
Canada | 2.3 | |||
Cayman Islands | 4.1 | |||
Chile | 0.5 | |||
China | 8.8 | |||
Colombia | 0.3 | |||
Czech Republic | 1.3 | |||
France | 0.2 | |||
Hungary | 1.0 | |||
Indonesia | 1.4 | |||
Ireland | 1.0 | |||
Israel | 0.3 | |||
Italy | 1.2 | |||
Ivory Coast | 0.3 | |||
Japan | 6.1 | |||
Luxembourg | 0.4 | |||
Malaysia | 0.8 | |||
Mexico | 1.6 | |||
Netherlands | 0.0 | |||
New Zealand | 0.9 | |||
Norway | 1.6 | |||
Panama | 0.1 | |||
Poland | 0.5 | |||
Portugal | 2.2 | |||
Romania | 1.0 | |||
Russia | 0.2 | |||
Saudi Arabia | 0.3 | |||
Singapore | 1.2 | |||
South Africa | 0.8 | |||
South Korea | 2.4 | |||
Spain | 3.4 | |||
Supranational | 0.2 | |||
Switzerland | 0.3 | |||
United Kingdom | 5.6 | |||
United States | 54.7 | |||
|
| |||
Total | 111.4 | % | ||
|
|
See accompanying Notes to Financial Statements.
39
Table of Contents
TCW Global Bond Fund
Fair Valuation Summary (Unaudited) | April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | $ | 466,712 | $ | 8,371,627 | $ | — | $ | 8,838,339 | ||||||||
Municipal Bonds | — | 234,780 | — | 234,780 | ||||||||||||
Foreign Government Bonds | 4,750,037 | 12,211,683 | — | 16,961,720 | ||||||||||||
Asset-Backed Securities | — | 1,529,667 | — | 1,529,667 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 297,747 | — | 297,747 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 1,491,574 | — | 1,491,574 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 5,830,606 | — | 5,830,606 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 1,930,244 | 118,048 | 2,048,292 | ||||||||||||
U.S. Treasury Securities | 1,666,789 | — | — | 1,666,789 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 6,883,538 | 31,897,928 | 118,048 | 38,899,514 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 548,166 | — | — | 548,166 | ||||||||||||
Investment Companies | 1,235,920 | — | — | 1,235,920 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 8,667,624 | $ | 31,897,928 | $ | 118,048 | $ | 40,683,600 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 61,719 | — | 61,719 | ||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 16,180 | — | — | 16,180 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 8,683,804 | $ | 31,959,647 | $ | 118,048 | $ | 40,761,499 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (60,719 | ) | $ | — | $ | (60,719 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (60,719 | ) | $ | — | $ | (60,719 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
40
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 92.7% of Net Assets |
| |||||||||||
BANK LOANS — 13.8% | ||||||||||||
Aerospace/Defense — 0.1% | ||||||||||||
TransDigm, Inc. 2020 Term Loan E |
| |||||||||||
2.36% (1 mo. USD LIBOR + 2.250%) (1) | 05/30/25 | $ | 113,835 | $ | 112,604 | |||||||
|
| |||||||||||
Airlines — 0.1% | ||||||||||||
AAdvantage Loyalty IP Ltd. 2021 Term Loan |
| |||||||||||
0.00% (2) | 04/20/28 | 70,000 | 72,081 | |||||||||
|
| |||||||||||
Beverages — 0.2% | ||||||||||||
Triton Water Holdings, Inc. Term Loan |
| |||||||||||
4.00% (3 mo. USD LIBOR + 3.500%) (1) | 03/31/28 | 275,000 | 274,398 | |||||||||
|
| |||||||||||
Chemicals — 0.9% | ||||||||||||
Axalta Coating Systems U.S. Holdings, Inc., Term Loan B3 |
| |||||||||||
1.95% (3 mo. USD LIBOR + 1.750%) (1) | 06/01/24 | 52,293 | 52,023 | |||||||||
Lonza Group AG USD Term Loan B |
| |||||||||||
0.00% (2) | 04/29/28 | 300,000 | 297,000 | |||||||||
Zep, Inc. 2017 1st Lien Term Loan |
| |||||||||||
5.00% (3 mo. USD LIBOR + 4.000%)(1) | 08/12/24 | 711,959 | 706,124 | |||||||||
|
| |||||||||||
1,055,147 | ||||||||||||
|
| |||||||||||
Commercial Services — 1.0% | ||||||||||||
Amentum Government Services Holdings LLC 2020 Term Loan B |
| |||||||||||
5.50% (3 mo. USD LIBOR + 4.750%) (1) | 01/29/27 | 250,000 | 251,459 | |||||||||
Rent-A-Center, Inc. 2021 Term Loan B |
| |||||||||||
4.75% (1 mo. USD LIBOR + 4.000%) (1) | 02/17/28 | 550,000 | 554,581 | |||||||||
Spin Holdco, Inc. 2021 Term Loan |
| |||||||||||
4.75% (3 mo. USD LIBOR + 4.000%) (1) | 03/01/28 | 425,000 | 423,772 | |||||||||
|
| |||||||||||
1,229,812 | ||||||||||||
|
| |||||||||||
Computers — 0.7% | ||||||||||||
Peraton Holding Corp. Delayed Draw Term Loan B |
| |||||||||||
0.00% (2) | 02/01/28 | 404,920 | 405,286 | |||||||||
Peraton Holding Corp. Term Loan B |
| |||||||||||
4.50% (1 mo. USD LIBOR + 3.750%) (1) | 02/01/28 | 230,080 | 230,289 | |||||||||
TierPoint, LLC 2021 Term Loan |
| |||||||||||
4.50% (1 mo. USD LIBOR + 3.750%) (1) | 05/05/26 | 195,150 | 194,073 | |||||||||
|
| |||||||||||
829,648 | ||||||||||||
|
| |||||||||||
Diversified Financial Services — 0.1% | ||||||||||||
Delos Finance Sarl 2018 Term Loan B |
| |||||||||||
1.95% (3 mo. USD LIBOR + 1.750%) (1) | 10/06/23 | 100,000 | 99,982 | |||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Electric — 0.1% | ||||||||||||
Vistra Energy Co., 1st Lien Term Loan B3 |
| |||||||||||
1.87% (1 mo. USD LIBOR + 1.750%) (1) | 12/31/25 | $ | 67,495 | $ | 66,977 | |||||||
|
| |||||||||||
Entertainment — 1.3% | ||||||||||||
Churchill Downs, Inc., 2017 Term Loan B |
| |||||||||||
2.12% (1 mo. USD LIBOR + 2.000%) (1) | 12/27/24 | 339,421 | 339,703 | |||||||||
Crown Finance US, Inc. 2018 USD Term Loan |
| |||||||||||
2.70% (3 mo. USD LIBOR + 2.500%) (1) | 02/28/25 | 768,160 | 661,474 | |||||||||
Crown Finance US, Inc. 2020 Term Loan B1 |
| |||||||||||
7.00% (1 mo. USD LIBOR + 7.000%) (1) | 05/23/24 | 201,742 | 254,339 | |||||||||
Golden Nugget, Inc. 2020 Initial Term Loan |
| |||||||||||
13.00% (3 mo. USD LIBOR + 12.000%) (1) | 10/04/23 | 3,020 | 3,427 | |||||||||
Scientific Games International, Inc., 2018 Term Loan B5 |
| |||||||||||
2.86% (1 mo. USD LIBOR + 2.750%) (1) | 08/14/24 | 311,532 | 307,520 | |||||||||
|
| |||||||||||
1,566,463 | ||||||||||||
|
| |||||||||||
Environmental Control — 0.0% | ||||||||||||
GFL Environmental, Inc. 2020 Term Loan |
| |||||||||||
3.50% (1 mo. USD LIBOR + 3.000%) (1) | 05/30/25 | 49,491 | 49,566 | |||||||||
|
| |||||||||||
Food — 0.4% | ||||||||||||
Dhanani Group, Inc., 2018 Term Loan B |
| |||||||||||
3.86% (1 mo. USD LIBOR + 3.750%) (1) | 07/20/25 | 558,077 | 553,718 | |||||||||
|
| |||||||||||
Health Care-Products — 0.2% | ||||||||||||
Auris Luxembourg III S.A.R.L., 2018 USD Term Loan B2 |
| |||||||||||
3.86% (1 mo. USD LIBOR + 3.750%) (1) | 02/27/26 | 16,170 | 15,901 | |||||||||
Avantor Funding, Inc. 2020 Incremental Term Loan B4 |
| |||||||||||
3.25% (1 mo. USD LIBOR + 2.500%) (1) | 11/08/27 | 249,375 | 249,811 | |||||||||
|
| |||||||||||
265,712 | ||||||||||||
|
| |||||||||||
Health Care-Services — 1.0% | ||||||||||||
ADMI Corp. 2021 Term Loan B2 |
| |||||||||||
3.25% (1) | 12/23/27 | 275,000 | 273,167 | |||||||||
eResearchTechnology, Inc. 2020 1st Lien Term Loan |
| |||||||||||
5.50% (1 mo. USD LIBOR + 4.500%) (1) | 02/04/27 | 129,673 | 130,142 | |||||||||
Gentiva Health Services, Inc., 2020 Term Loan |
| |||||||||||
2.88% (1 mo. USD LIBOR + 2.750%) (1) | 07/02/25 | 162,509 | 162,407 | |||||||||
IQVIA, Inc., 2018 USD Term Loan B3 |
| |||||||||||
1.95% (3 mo. USD LIBOR + 1.750%) (1) | 06/11/25 | 189,819 | 189,430 |
See accompanying Notes to Financial Statements.
41
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Health Care-Services (Continued) | ||||||||||||
PPD, Inc. Initial Term Loan |
| |||||||||||
2.75% (1 mo. USD LIBOR + 2.250%) (1) | 01/13/28 | $ | 390,000 | $ | 389,817 | |||||||
Surgery Center Holdings, Inc. 2020 Incremental Term Loan |
| |||||||||||
9.00% (1 mo. USD LIBOR + 8.000%) (1) | 09/03/24 | 24,750 | 25,330 | |||||||||
|
| |||||||||||
1,170,293 | ||||||||||||
|
| |||||||||||
Insurance — 0.6% | ||||||||||||
Acrisure, LLC 2020 Term Loan B |
| |||||||||||
3.70% (3 mo. USD LIBOR + 3.500%) (1) | 02/15/27 | 299,244 | 295,223 | |||||||||
Worley Claims Services, LLC 2019 Term Loan B |
| |||||||||||
4.11% (1 mo. USD LIBOR + 4.000%, PRIME + 3.00%) (1) | 06/03/26 | 430,000 | 425,431 | |||||||||
|
| |||||||||||
720,654 | ||||||||||||
|
| |||||||||||
Lodging — 0.4% | ||||||||||||
CityCenter Holdings LLC, 2017 Term Loan B |
| |||||||||||
3.00% (1 mo. USD LIBOR + 2.250%) (1) | 04/18/24 | 238,505 | 236,166 | |||||||||
Golden Nugget, Inc. 2017 Incremental Term Loan B |
| |||||||||||
3.25% (2 mo. USD LIBOR + 2.500%) (1) | 10/04/23 | 288,368 | 285,471 | |||||||||
|
| |||||||||||
521,637 | ||||||||||||
|
| |||||||||||
Machinery-Diversified — 0.2% | ||||||||||||
Titan Acquisition Ltd. 2018 Term Loan B |
| |||||||||||
3.27% (6 mo. USD LIBOR + 3.000%) (1) | 03/28/25 | 199,631 | 195,830 | |||||||||
|
| |||||||||||
Media — 1.6% | ||||||||||||
CSC Holdings, LLC 2017 Term Loan B1 |
| |||||||||||
2.36% (1 mo. USD LIBOR + 2.250%) (1) | 07/17/25 | 1,577,109 | 1,562,678 | |||||||||
Nexstar Broadcasting, Inc. 2018 Term Loan B3 |
| |||||||||||
2.36% (1 mo. USD LIBOR + 2.250%) (1) | 01/17/24 | 320,000 | 319,224 | |||||||||
Sinclair Television Group, Inc., Term Loan B2B |
| |||||||||||
2.62% (1 mo. USD LIBOR + 2.500%) (1) | 09/30/26 | 19,700 | 19,491 | |||||||||
|
| |||||||||||
1,901,393 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 1.7% | ||||||||||||
BWAY Holding Co. 2017 Term Loan B |
| |||||||||||
3.44% (3 mo. USD LIBOR + 3.250%) (1) | 04/03/24 | 349,091 | 337,799 | |||||||||
Charter NEX US, Inc. 2020 Term Loan |
| |||||||||||
5.00% (1 mo. USD LIBOR + 4.250%) (1) | 12/01/27 | 379,050 | 380,856 | |||||||||
Plaze, Inc. 2020 Incremental Term Loan |
| |||||||||||
4.50% (1 mo. USD LIBOR + 3.750%) (1) | 08/03/26 | 213,926 | 213,659 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Packaging & Containers (Continued) | ||||||||||||
Proampac PG Borrower LLC 2020 Term Loan |
| |||||||||||
5.00% (3 mo. USD LIBOR + 4.000%) (1) | 11/03/25 | $ | 380,000 | $ | 381,288 | |||||||
Reynolds Group Holdings, Inc., 2017 Term Loan |
| |||||||||||
2.86% (1 mo. USD LIBOR + 2.750%) (1) | 02/05/23 | 293,761 | 293,455 | |||||||||
Trident TPI Holdings, Inc. 2017 USD Term Loan B1 |
| |||||||||||
4.00% (3 mo. USD LIBOR + 3.000%) (1) | 10/17/24 | 497,429 | 495,333 | |||||||||
|
| |||||||||||
2,102,390 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 0.9% | ||||||||||||
Alphabet Holding Co., Inc., 2017 1st Lien Term Loan |
| |||||||||||
3.61% (1 mo. USD LIBOR + 3.500%) (1) | 09/26/24 | 74,843 | 74,937 | |||||||||
Change Healthcare Holdings LLC 2017 Term Loan B |
| |||||||||||
3.50% (3 mo. USD LIBOR + 2.500%) (1) | 03/01/24 | 704,220 | 704,181 | |||||||||
Elanco Animal Health, Inc. Term Loan B |
| |||||||||||
1.87% (1 mo. USD LIBOR + 1.750%) (1) | 08/02/27 | 278,648 | 275,165 | |||||||||
Endo Luxembourg Finance Company I S.A.R.L. 2021 Term Loan |
| |||||||||||
5.19% (3 mo. USD LIBOR + 5.000%) (1) | 03/10/28 | 37,542 | 36,688 | |||||||||
|
| |||||||||||
1,090,971 | ||||||||||||
|
| |||||||||||
REIT — 0.4% | ||||||||||||
VICI Properties 1 LLC, Term Loan B |
| |||||||||||
1.86% (1 mo. USD LIBOR + 1.750%) (1) | 12/20/24 | 545,000 | 540,343 | |||||||||
|
| |||||||||||
Retail — 0.1% | ||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4 |
| |||||||||||
1.86% (1 mo. USD LIBOR + 1.750%) (1) | 11/19/26 | 79,621 | 78,558 | |||||||||
|
| |||||||||||
Software — 0.6% | ||||||||||||
CT Technologies Intermediate Holdings, Inc. 2020 Term Loan |
| |||||||||||
6.00% (1 mo. USD LIBOR + 5.000%) (1) | 12/16/25 | 145,000 | 145,471 | |||||||||
RealPage, Inc. 1st Lien Term Loan |
| |||||||||||
3.75% (1 mo. USD LIBOR + 3.250%) (1) | 04/24/28 | 175,000 | 174,399 | |||||||||
SS&C Technologies Holdings Europe S.A.R.L., 2018 Term Loan B4 |
| |||||||||||
1.86% (1 mo. USD LIBOR + 1.750%) (1) | 04/16/25 | 184,809 | 182,999 | |||||||||
SS&C Technologies, Inc., 2018 Term Loan B3 |
| |||||||||||
1.86% (1 mo. USD LIBOR + 1.750%) (1) | 04/16/25 | 249,193 | 246,752 | |||||||||
|
| |||||||||||
749,621 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
42
Table of Contents
TCW High Yield Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Telecommunications — 1.2% | ||||||||||||
CenturyLink, Inc. 2020 Term Loan B |
| |||||||||||
2.36% (1 mo. USD LIBOR + 2.250%) (1) | 03/15/27 | $ | 69,125 | $ | 68,434 | |||||||
Frontier Communications Corp. 2021 DIP Term Loan B |
| |||||||||||
4.50% (3 mo. USD LIBOR + 3.750%) (1) | 10/08/27 | 550,000 | 548,853 | |||||||||
GTT Communications, Inc., 2018 USD Term Loan B |
| |||||||||||
2.95% (3 mo. USD LIBOR + 2.750%) (1) | 05/31/25 | 98,481 | 84,963 | |||||||||
Intelsat Jackson Holdings S.A., 2017 Term Loan B5 |
| |||||||||||
8.63% (1 mo. USD LIBOR + 8.625%) (1) | 01/02/24 | 14,000 | 14,305 | |||||||||
Level 3 Financing, Inc., 2019 Term Loan B |
| |||||||||||
1.86% (1 mo. USD LIBOR + 1.750%) (1) | 03/01/27 | 138,304 | 136,835 | |||||||||
Maxar Technologies Ltd., Term Loan B |
| |||||||||||
2.86% (1 mo. USD LIBOR + 2.750%) (1) | 10/04/24 | 216,250 | 214,312 | |||||||||
SBA Senior Finance II LLC, 2018 Term Loan B |
| |||||||||||
1.87% (1 mo. USD LIBOR + 1.750%) (1) | 04/11/25 | 264,840 | 263,406 | |||||||||
Zayo Group Holdings, Inc. USD Term Loan |
| |||||||||||
3.11% (1 mo. USD LIBOR + 3.000%) (1) | 03/09/27 | 160,342 | 158,939 | |||||||||
|
| |||||||||||
1,490,047 | ||||||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost: $16,425,563) | 16,737,845 | |||||||||||
|
| |||||||||||
CORPORATE BONDS — 77.5% | ||||||||||||
Advertising — 0.0% | ||||||||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. |
| |||||||||||
4.63% (3) | 03/15/30 | 10,000 | 9,937 | |||||||||
|
| |||||||||||
Agriculture — 0.4% | ||||||||||||
BAT Capital Corp. | ||||||||||||
5.28% | 04/02/50 | 401,000 | 436,671 | |||||||||
|
| |||||||||||
Airlines — 0.9% | ||||||||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. |
| |||||||||||
5.75% (3) | 04/20/29 | 375,000 | 401,175 | |||||||||
Delta Air Lines, Inc. / SkyMiles IP, Ltd. |
| |||||||||||
4.75% (3) | 10/20/28 | 275,000 | 302,204 | |||||||||
Delta Air Lines, Inc. Pass-Through Certificates |
| |||||||||||
6.72% | 07/02/24 | 94,987 | 96,649 | |||||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets, Ltd. |
| |||||||||||
6.50% (3) | 06/20/27 | 283,000 | 310,627 | |||||||||
|
| |||||||||||
1,110,655 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Auto Manufacturers — 2.5% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
1.46% (3 mo. USD LIBOR + 1.270%) (1) | 03/28/22 | $ | 1,600,000 | $ | 1,597,639 | |||||||
2.90% | 02/16/28 | 480,000 | 471,005 | |||||||||
2.98% | 08/03/22 | 120,000 | 122,079 | |||||||||
3.10% | 05/04/23 | 835,000 | 854,815 | |||||||||
|
| |||||||||||
3,045,538 | ||||||||||||
|
| |||||||||||
Banks — 0.1% | ||||||||||||
Bank of America Corp. |
| |||||||||||
4.08% (3 mo. USD LIBOR + 3.150%) (1) | 03/20/51 | 57,000 | 63,806 | |||||||||
|
| |||||||||||
Beverages — 0.2% | ||||||||||||
Primo Water Holdings, Inc. | ||||||||||||
4.38% (3) | 04/30/29 | 300,000 | 299,718 | |||||||||
|
| |||||||||||
Biotechnology — 0.5% | ||||||||||||
Emergent BioSolutions, Inc. | ||||||||||||
3.88% (3) | 08/15/28 | 650,000 | 610,217 | |||||||||
|
| |||||||||||
Chemicals — 0.5% | ||||||||||||
Herens Holdco Sarl |
| |||||||||||
4.75% (3)(4) | 05/15/28 | 600,000 | 600,000 | |||||||||
|
| |||||||||||
Commercial Services — 2.3% | ||||||||||||
Adtalem Global Education, Inc. |
| |||||||||||
5.50% (3) | 03/01/28 | 380,000 | 381,600 | |||||||||
Carriage Services, Inc. | ||||||||||||
4.25% (3)(4) | 05/15/29 | 300,000 | 299,235 | |||||||||
Gartner, Inc. | ||||||||||||
3.75% (3) | 10/01/30 | 80,000 | 80,400 | |||||||||
4.50% (3) | 07/01/28 | 597,000 | 628,354 | |||||||||
IHS Markit, Ltd. | ||||||||||||
4.75% (3) | 02/15/25 | 80,000 | 89,932 | |||||||||
5.00% (3) | 11/01/22 | 176,000 | 185,493 | |||||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. |
| |||||||||||
3.38% (3) | 08/31/27 | 557,000 | 539,243 | |||||||||
Service Corp. International | ||||||||||||
3.38% | 08/15/30 | 180,000 | 174,519 | |||||||||
4.63% | 12/15/27 | 65,000 | 69,225 | |||||||||
WW International, Inc. | ||||||||||||
4.50% (3) | 04/15/29 | 365,000 | 360,718 | |||||||||
|
| |||||||||||
2,808,719 | ||||||||||||
|
| |||||||||||
Computers — 1.5% | ||||||||||||
Booz Allen Hamilton, Inc. | ||||||||||||
3.88% (3) | 09/01/28 | 590,000 | 589,897 | |||||||||
NCR Corp. | ||||||||||||
5.13% (3) | 04/15/29 | 60,000 | 61,903 | |||||||||
5.25% (3) | 10/01/30 | 476,000 | 493,255 | |||||||||
8.13% (3) | 04/15/25 | 328,000 | 359,786 |
See accompanying Notes to Financial Statements.
43
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Computers (Continued) | ||||||||||||
Science Applications International Corp. |
| |||||||||||
4.88% (3) | 04/01/28 | $ | 275,000 | $ | 283,904 | |||||||
|
| |||||||||||
1,788,745 | ||||||||||||
|
| |||||||||||
Cosmetics/Personal Care — 0.4% | ||||||||||||
Edgewell Personal Care Co. |
| |||||||||||
5.50% (3) | 06/01/28 | 466,000 | 496,402 | |||||||||
|
| |||||||||||
Diversified Financial Services — 0.6% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.50% | 01/15/25 | 172,000 | 182,312 | |||||||||
Avolon Holdings Funding, Ltd. |
| |||||||||||
5.13% (3) | 10/01/23 | 90,000 | 96,830 | |||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland) |
| |||||||||||
4.42% | 11/15/35 | 127,000 | 146,340 | |||||||||
Park Aerospace Holdings, Ltd. | ||||||||||||
4.50% (3) | 03/15/23 | 251,000 | 263,523 | |||||||||
|
| |||||||||||
689,005 | ||||||||||||
|
| |||||||||||
Electric — 1.6% | ||||||||||||
FirstEnergy Corp. | ||||||||||||
2.65% | 03/01/30 | 830,000 | 812,592 | |||||||||
3.40% | 03/01/50 | 574,000 | 532,351 | |||||||||
5.35% | 07/15/47 | 280,000 | 325,850 | |||||||||
Vistra Operations Co. LLC | ||||||||||||
3.55% (3) | 07/15/24 | 309,000 | 320,983 | |||||||||
|
| |||||||||||
1,991,776 | ||||||||||||
|
| |||||||||||
Electrical Components & Equipment — 0.3% | ||||||||||||
Energizer Holdings, Inc. | ||||||||||||
4.75% (3) | 06/15/28 | 392,000 | 402,780 | |||||||||
|
| |||||||||||
Engineering & Construction — 0.3% | ||||||||||||
PowerTeam Services LLC | ||||||||||||
9.03% (3) | 12/04/25 | 286,000 | 318,201 | |||||||||
|
| |||||||||||
Entertainment — 2.4% | ||||||||||||
Banijay Entertainment SASU | ||||||||||||
5.38% (3) | 03/01/25 | 347,000 | 358,472 | |||||||||
Churchill Downs, Inc. | ||||||||||||
4.75% (3) | 01/15/28 | 135,000 | 138,881 | |||||||||
5.50% (3) | 04/01/27 | 351,000 | 365,145 | |||||||||
Cinemark USA, Inc. | ||||||||||||
8.75% (3) | 05/01/25 | 337,000 | 367,330 | |||||||||
Colt Merger Sub, Inc. | ||||||||||||
6.25% (3) | 07/01/25 | 674,000 | 717,170 | |||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
3.75% (3) | 01/15/28 | 275,000 | 273,625 | |||||||||
6.50% (3) | 05/15/27 | 170,000 | 188,063 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Entertainment (Continued) | ||||||||||||
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. |
| |||||||||||
5.13% (3) | 10/01/29 | $ | 336,000 | $ | 347,748 | |||||||
7.75% (3) | 04/15/25 | 111,000 | 119,741 | |||||||||
|
| |||||||||||
2,876,175 | ||||||||||||
|
| |||||||||||
Environmental Control — 1.7% | ||||||||||||
Clean Harbors, Inc. |
| |||||||||||
4.88% (3) | 07/15/27 | 230,000 | 239,775 | |||||||||
5.13% (3) | 07/15/29 | 700,000 | 757,750 | |||||||||
GFL Environmental, Inc. (Canada) |
| |||||||||||
3.75% (3) | 08/01/25 | 575,000 | 586,161 | |||||||||
4.25% (3) | 06/01/25 | 310,000 | 319,881 | |||||||||
5.13% (3) | 12/15/26 | 189,000 | 199,019 | |||||||||
|
| |||||||||||
2,102,586 | ||||||||||||
|
| |||||||||||
Food — 5.2% | ||||||||||||
Chobani LLC / Chobani Finance Corp, Inc. |
| |||||||||||
4.63% (3) | 11/15/28 | 464,000 | 479,910 | |||||||||
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc. |
| |||||||||||
5.50% (3) | 01/15/30 | 645,000 | 710,313 | |||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.00% | 06/01/26 | 1,611,000 | 1,702,215 | |||||||||
4.63% | 01/30/29 | 444,000 | 501,507 | |||||||||
Lamb Weston Holdings, Inc. |
| |||||||||||
4.88% (3) | 05/15/28 | 134,000 | 147,902 | |||||||||
Nathan’s Famous, Inc. |
| |||||||||||
6.63% (3) | 11/01/25 | 15,000 | 15,394 | |||||||||
Post Holdings, Inc. |
| |||||||||||
4.50% (3) | 09/15/31 | 475,000 | 472,107 | |||||||||
4.63% (3) | 04/15/30 | 1,025,000 | 1,036,531 | |||||||||
5.63% (3) | 01/15/28 | 356,000 | 376,915 | |||||||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed |
| |||||||||||
4.63% (3) | 03/01/29 | 385,000 | 388,515 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
3.35% (3) | 02/01/22 | 228,000 | 232,914 | |||||||||
5.20% (3) | 04/01/29 | 217,000 | 251,726 | |||||||||
|
| |||||||||||
6,315,949 | ||||||||||||
|
| |||||||||||
Forest Products & Paper — 0.7% | ||||||||||||
Clearwater Paper Corp. |
| |||||||||||
4.75% (3) | 08/15/28 | 889,000 | 898,370 | |||||||||
|
| |||||||||||
Health Care-Products — 1.1% | ||||||||||||
Hill-Rom Holdings, Inc. |
| |||||||||||
4.38% (3) | 09/15/27 | 205,000 | 212,807 | |||||||||
Hologic, Inc. | ||||||||||||
3.25% (3) | 02/15/29 | 205,000 | 201,680 | |||||||||
4.63% (3) | 02/01/28 | 90,000 | 95,382 |
See accompanying Notes to Financial Statements.
44
Table of Contents
TCW High Yield Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Health Care-Products (Continued) | ||||||||||||
Teleflex, Inc. | ||||||||||||
4.25% (3) | 06/01/28 | $ | 687,000 | $ | 710,866 | |||||||
4.88% | 06/01/26 | 55,000 | 56,592 | |||||||||
|
| |||||||||||
1,277,327 | ||||||||||||
|
| |||||||||||
Health Care-Services — 6.7% | ||||||||||||
Catalent Pharma Solutions, Inc. |
| |||||||||||
5.00% (3) | 07/15/27 | 950,000 | 995,543 | |||||||||
Centene Corp. | ||||||||||||
3.00% | 10/15/30 | 392,000 | 389,550 | |||||||||
4.63% | 12/15/29 | 534,000 | 578,773 | |||||||||
Encompass Health Corp. |
| |||||||||||
4.75% | 02/01/30 | 766,000 | 805,258 | |||||||||
HCA, Inc. | ||||||||||||
3.50% | 09/01/30 | 1,013,000 | 1,041,384 | |||||||||
IQVIA, Inc. | ||||||||||||
5.00% (3) | 05/15/27 | 428,000 | 449,927 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
3.88% (3) | 11/15/30 | 1,022,000 | 1,053,140 | |||||||||
4.38% (3) | 06/15/28 | 602,000 | 622,534 | |||||||||
5.38% | 11/15/22 | 552,000 | 579,945 | |||||||||
Prime Healthcare Services, Inc. |
| |||||||||||
7.25% (3) | 11/01/25 | 541,000 | 582,251 | |||||||||
Providence Service Corp. (The) |
| |||||||||||
5.88% (3) | 11/15/25 | 347,000 | 369,510 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.88% (3) | 01/01/26 | 640,000 | 665,767 | |||||||||
|
| |||||||||||
8,133,582 | ||||||||||||
|
| |||||||||||
Home Furnishings — 0.2% | ||||||||||||
WASH Multifamily Acquisition, Inc. |
| |||||||||||
5.75% (3) | 04/15/26 | 275,000 | 286,000 | |||||||||
|
| |||||||||||
Household Products/Wares — 0.8% | ||||||||||||
Central Garden & Pet Co. |
| |||||||||||
4.13% | 10/15/30 | 312,000 | 322,215 | |||||||||
Spectrum Brands, Inc. | ||||||||||||
3.88% (3) | 03/15/31 | 125,000 | 122,721 | |||||||||
5.00% (3) | 10/01/29 | 452,000 | 480,250 | |||||||||
|
| |||||||||||
925,186 | ||||||||||||
|
| |||||||||||
Housewares — 0.4% | ||||||||||||
Newell Brands, Inc. |
| |||||||||||
4.35% | 04/01/23 | 85,000 | 89,697 | |||||||||
4.88% | 06/01/25 | 355,000 | 394,068 | |||||||||
|
| |||||||||||
483,765 | ||||||||||||
|
| |||||||||||
Insurance — 0.4% | ||||||||||||
Acrisure LLC / Finance, Inc. |
| |||||||||||
4.25% (3) | 02/15/29 | 450,000 | 441,076 | |||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Internet — 0.5% | ||||||||||||
Cogent Communications Group, Inc. |
| |||||||||||
3.50% (3) | 05/01/26 | $ | 600,000 | $ | 600,000 | |||||||
|
| |||||||||||
Lodging — 0.3% | ||||||||||||
Hilton Domestic Operating Co., Inc. |
| |||||||||||
5.75% (3) | 05/01/28 | 191,000 | 205,990 | |||||||||
Wyndham Hotels & Resorts, Inc. |
| |||||||||||
4.38% (3) | 08/15/28 | 212,000 | 218,716 | |||||||||
|
| |||||||||||
424,706 | ||||||||||||
|
| |||||||||||
Machinery-Construction & Mining — 0.5% | ||||||||||||
BWX Technologies, Inc. |
| |||||||||||
4.13% (3) | 06/30/28 | 593,000 | 605,204 | |||||||||
|
| |||||||||||
Media — 10.6% | ||||||||||||
Block Communications, Inc. |
| |||||||||||
4.88% (3) | 03/01/28 | 355,000 | 363,431 | |||||||||
Cable One, Inc. | ||||||||||||
4.00% (3) | 11/15/30 | 550,000 | 543,813 | |||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
| |||||||||||
4.50% (3) | 05/01/32 | 686,000 | 693,964 | |||||||||
5.50% (3) | 05/01/26 | 2,662,000 | 2,750,511 | |||||||||
CSC Holdings LLC | ||||||||||||
3.38% (3) | 02/15/31 | 547,000 | 515,126 | |||||||||
6.50% (3) | 02/01/29 | 889,000 | 983,896 | |||||||||
Diamond Sports Group LLC / Diamond Sports Finance Co. |
| |||||||||||
5.38% (3) | 08/15/26 | 1,430,000 | 1,045,587 | |||||||||
DISH DBS Corp. |
| |||||||||||
5.88% | 11/15/24 | 31,000 | 33,583 | |||||||||
7.38% | 07/01/28 | 607,000 | 656,313 | |||||||||
7.75% | 07/01/26 | 30,000 | 34,688 | |||||||||
Midcontinent Communications & Finance Co. |
| |||||||||||
5.38% (3) | 08/15/27 | 584,000 | 612,009 | |||||||||
Sinclair Television Group, Inc. |
| |||||||||||
4.13% (3) | 12/01/30 | 562,000 | 548,658 | |||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% (3) | 08/01/22 | 1,510,000 | 1,520,570 | |||||||||
5.50% (3) | 07/01/29 | 280,000 | 302,966 | |||||||||
Virgin Media Secured Finance PLC (United Kingdom) |
| |||||||||||
4.50% (3) | 08/15/30 | 1,696,000 | 1,711,298 | |||||||||
5.50% (3) | 05/15/29 | 543,000 | 581,282 | |||||||||
|
| |||||||||||
12,897,695 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 0.0% | ||||||||||||
General Electric Co. |
| |||||||||||
0.67% (3 mo. USD LIBOR + 0.480%) (1) | 08/15/36 | 52,000 | 41,980 | |||||||||
|
| |||||||||||
Oil & Gas — 3.7% | ||||||||||||
Antero Resources Corp. |
| |||||||||||
7.63% (3) | 02/01/29 | 579,000 | 627,346 |
See accompanying Notes to Financial Statements.
45
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Oil & Gas (Continued) | ||||||||||||
Devon Energy Corp. |
| |||||||||||
5.00% | 06/15/45 | $ | 145,000 | $ | 162,400 | |||||||
Endeavor Energy Resources LP / EER Finance, Inc. |
| |||||||||||
5.75% (3) | 01/30/28 | 459,000 | 490,559 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
4.33% | 03/19/50 | 65,000 | 76,009 | |||||||||
Hess Corp. |
| |||||||||||
5.60% | 02/15/41 | 92,000 | 108,159 | |||||||||
Occidental Petroleum Corp. |
| |||||||||||
0.00% (5) | 10/10/36 | 350,000 | 176,750 | |||||||||
3.50% | 08/15/29 | 903,000 | 865,381 | |||||||||
4.40% | 08/15/49 | 723,000 | 631,107 | |||||||||
5.88% | 09/01/25 | 454,000 | 496,562 | |||||||||
Petroleos Mexicanos |
| |||||||||||
7.69% | 01/23/50 | 65,000 | 62,676 | |||||||||
Sunoco LP / Sunoco Finance Corp. |
| |||||||||||
4.50% (3) | 05/15/29 | 170,000 | 171,700 | |||||||||
5.88% | 03/15/28 | 548,000 | 582,250 | |||||||||
Valaris PLC |
| |||||||||||
7.75%(6) | 02/01/26 | 125,000 | 12,813 | |||||||||
|
| |||||||||||
4,463,712 | ||||||||||||
|
| |||||||||||
Oil & Gas Services — 1.4% | ||||||||||||
Archrock Partners LP / Archrock Partners Finance Corp. |
| |||||||||||
6.25% (3) | 04/01/28 | 720,000 | 755,043 | |||||||||
USA Compression Partners LP / USA Compression Finance Corp. |
| |||||||||||
6.88% | 04/01/26 | 348,000 | 365,379 | |||||||||
6.88% | 09/01/27 | 534,000 | 562,572 | |||||||||
|
| |||||||||||
1,682,994 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 4.5% | ||||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. |
| |||||||||||
5.25% (3) | 04/30/25 | 154,000 | 162,470 | |||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (Ireland) |
| |||||||||||
4.13% (3) | 08/15/26 | 774,000 | 800,122 | |||||||||
Ball Corp. |
| |||||||||||
4.00% | 11/15/23 | 639,000 | 680,854 | |||||||||
4.88% | 03/15/26 | 374,000 | 419,965 | |||||||||
5.25% | 07/01/25 | 311,000 | 352,402 | |||||||||
Berry Global, Inc. |
| |||||||||||
4.88% (3) | 07/15/26 | 150,000 | 159,045 | |||||||||
Graphic Packaging International LLC |
| |||||||||||
3.50% (3) | 03/15/28 | 1,274,000 | 1,273,541 | |||||||||
4.75% (3) | 07/15/27 | 85,000 | 92,863 | |||||||||
Graphic Packaging International, Inc. |
| |||||||||||
4.13% | 08/15/24 | 100,000 | 107,240 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Packaging & Containers (Continued) | ||||||||||||
Sealed Air Corp. |
| |||||||||||
4.00% (3) | 12/01/27 | $ | 582,000 | $ | 612,555 | |||||||
4.88% (3) | 12/01/22 | 150,000 | �� | 157,524 | ||||||||
5.50% (3) | 09/15/25 | 304,000 | 337,324 | |||||||||
Silgan Holdings, Inc. |
| |||||||||||
4.13% | 02/01/28 | 125,000 | 129,502 | |||||||||
Trivium Packaging Finance BV (Netherlands) |
| |||||||||||
5.50% (3) | 08/15/26 | 125,000 | 130,755 | |||||||||
|
| |||||||||||
5,416,162 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 4.8% | ||||||||||||
Bausch Health Cos, Inc. (Canada) |
| |||||||||||
5.75% (3) | 08/15/27 | 18,000 | 19,373 | |||||||||
7.00% (3) | 03/15/24 | 2,561,000 | 2,629,110 | |||||||||
Bayer US Finance II LLC |
| |||||||||||
4.38% (3) | 12/15/28 | 79,000 | 89,453 | |||||||||
5.50% (3) | 08/15/25 | 54,000 | 61,126 | |||||||||
CVS Health Corp. |
| |||||||||||
5.05% | 03/25/48 | 61,000 | 75,152 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
5.27% | 08/28/23 | 401,000 | 430,909 | |||||||||
5.90% | 08/28/28 | 688,000 | 783,219 | |||||||||
Endo Luxembourg Finance Co. I Sarl / Endo US, Inc. |
| |||||||||||
6.13% (3) | 04/01/29 | 775,000 | 768,149 | |||||||||
Jazz Securities DAC | ||||||||||||
4.38% (3) | 01/15/29 | 160,000 | 164,000 | |||||||||
Organon Finance 1 LLC |
| |||||||||||
4.13% (3) | 04/30/28 | 300,000 | 307,722 | |||||||||
5.13% (3) | 04/30/31 | 200,000 | 207,770 | |||||||||
Owens & Minor, Inc. | ||||||||||||
4.50% (3) | 03/31/29 | 250,000 | 252,800 | |||||||||
|
| |||||||||||
5,788,783 | ||||||||||||
|
| |||||||||||
Pipelines — 3.3% | ||||||||||||
Cheniere Corpus Christi Holdings LLC |
| |||||||||||
5.13% | 06/30/27 | 13,000 | 15,002 | |||||||||
Cheniere Energy Partners LP |
| |||||||||||
4.50% | 10/01/29 | 75,000 | 78,352 | |||||||||
DCP Midstream Operating LP |
| |||||||||||
5.60% | 04/01/44 | 136,000 | 140,080 | |||||||||
Energy Transfer LP |
| |||||||||||
5.35% | 05/15/45 | 126,000 | 136,316 | |||||||||
5.00% | 05/15/50 | 135,000 | 142,738 | |||||||||
5.40% | 10/01/47 | 40,000 | 43,528 | |||||||||
6.63% (3 mo. USD LIBOR + 4.155%) (1) | 12/31/99 | 1,097,000 | 1,036,665 | |||||||||
NGL Energy Operating LLC / NGL Energy Finance Corp. |
| |||||||||||
7.50% (3) | 02/01/26 | 500,000 | 526,355 |
See accompanying Notes to Financial Statements.
46
Table of Contents
TCW High Yield Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Pipelines (Continued) | ||||||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.80% (3) | 05/15/30 | $ | 30,000 | $ | 29,775 | |||||||
6.88% (3) | 04/15/40 | 541,000 | 584,280 | |||||||||
Ruby Pipeline LLC |
| |||||||||||
8.00% (3)(7) | 04/01/22 | 210,152 | 180,993 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. |
| |||||||||||
5.50% | 03/01/30 | 305,000 | 331,276 | |||||||||
6.88% | 01/15/29 | 188,000 | 210,951 | |||||||||
TransMontaigne Partners LP / TLP Finance Corp. |
| |||||||||||
6.13% | 02/15/26 | 587,000 | 592,870 | |||||||||
|
| |||||||||||
4,049,181 | ||||||||||||
|
| |||||||||||
REIT — 3.5% | ||||||||||||
American Assets Trust LP |
| |||||||||||
3.38% | 02/01/31 | 600,000 | 602,802 | |||||||||
CyrusOne LP / CyrusOne Finance Corp. |
| |||||||||||
3.45% | 11/15/29 | 876,000 | 918,749 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
5.75% | 06/01/28 | 616,000 | 718,945 | |||||||||
Iron Mountain, Inc. |
| |||||||||||
5.25% (3) | 07/15/30 | 942,000 | 979,727 | |||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. |
| |||||||||||
4.50% | 01/15/28 | 40,000 | 41,800 | |||||||||
4.63% (3) | 06/15/25 | 307,000 | 327,342 | |||||||||
5.63% | 05/01/24 | 106,000 | 114,424 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 500,000 | 517,250 | |||||||||
|
| |||||||||||
4,221,039 | ||||||||||||
|
| |||||||||||
Retail — 2.5% | ||||||||||||
1011778 BC ULC / New Red Finance, Inc. |
| |||||||||||
3.50% (3) | 02/15/29 | 1,118,000 | 1,097,082 | |||||||||
Bloomin’ Brands, Inc. / OSI Restaurant Partners LLC |
| |||||||||||
5.13% (3) | 04/15/29 | 245,000 | 251,125 | |||||||||
FirstCash, Inc. | ||||||||||||
4.63% (3) | 09/01/28 | 882,000 | 907,450 | |||||||||
Magic Mergeco, Inc. |
| |||||||||||
5.25% (3) | 05/01/28 | 500,000 | 506,875 | |||||||||
Murphy Oil USA, Inc. |
| |||||||||||
3.75% (3) | 02/15/31 | 307,000 | 302,856 | |||||||||
|
| |||||||||||
3,065,388 | ||||||||||||
|
| |||||||||||
Semiconductors — 0.1% | ||||||||||||
Intel Corp. | ||||||||||||
4.75% | 03/25/50 | 55,000 | 69,825 | |||||||||
NVIDIA Corp. | ||||||||||||
3.50% | 04/01/50 | 95,000 | 102,517 | |||||||||
|
| |||||||||||
172,342 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Software — 0.8% | ||||||||||||
MSCI, Inc. | ||||||||||||
3.63% (3) | 09/01/30 | $ | 65,000 | $ | 66,178 | |||||||
SS&C Technologies, Inc. | ||||||||||||
5.50% (3) | 09/30/27 | 862,000 | 916,845 | |||||||||
|
| |||||||||||
983,023 | ||||||||||||
|
| |||||||||||
Telecommunications — 9.1% | ||||||||||||
AT&T, Inc. | ||||||||||||
3.55% (3) | 09/15/55 | 768,000 | 706,154 | |||||||||
4.50% | 05/15/35 | 412,000 | 468,140 | |||||||||
CenturyLink, Inc. | ||||||||||||
4.00% (3) | 02/15/27 | 985,000 | 1,003,745 | |||||||||
Frontier Communications Corp. |
| |||||||||||
5.00% (3) | 05/01/28 | 598,000 | 612,902 | |||||||||
Level 3 Financing, Inc. | ||||||||||||
3.63% (3) | 01/15/29 | 225,000 | 218,459 | |||||||||
4.25% (3) | 07/01/28 | 1,452,000 | 1,463,500 | |||||||||
Qwest Corp. |
| |||||||||||
6.75% | 12/01/21 | 373,000 | 385,305 | |||||||||
7.25% | 09/15/25 | 750,000 | 888,188 | |||||||||
SES Global Americas Holdings GP |
| |||||||||||
5.30% (3) | 03/25/44 | 559,000 | 640,301 | |||||||||
Sprint Corp. | ||||||||||||
7.88% | 09/15/23 | 1,846,000 | 2,106,747 | |||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
5.15% (3) | 09/20/29 | 907,000 | 1,037,780 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
2.25% | 02/15/26 | 1,000,000 | 1,007,530 | |||||||||
6.00% | 04/15/24 | 100,000 | 100,781 | |||||||||
Vmed O2 UK Financing I PLC |
| |||||||||||
4.25% (3) | 01/31/31 | 435,000 | 421,406 | |||||||||
|
| |||||||||||
11,060,938 | ||||||||||||
|
| |||||||||||
Water — 0.2% | ||||||||||||
Solaris Midstream Holdings LLC |
| |||||||||||
7.63% (3) | 04/01/26 | 185,000 | 193,980 | |||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $91,889,546) |
| 94,079,313 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 1.4% | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust |
| |||||||||||
0.27% (1 mo. USD LIBOR + 0.160%) (1) | 12/25/36 | 279,442 | 136,397 | |||||||||
Ajax Mortgage Loan Trust (19-D-A1) |
| |||||||||||
2.96% (3) | 09/25/65 | 69,658 | 70,524 | |||||||||
Citigroup Mortgage Loan Trust (15-6-2A1) |
| |||||||||||
0.65% (3)(8) | 12/25/35 | 4,696 | 4,738 |
See accompanying Notes to Financial Statements.
47
Table of Contents
TCW High Yield 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 (04-AA3-A1) |
| |||||||||||
2.29% (8) | 09/25/34 | $ | 45,008 | $ | 44,762 | |||||||
GSAMP Trust (05-HE4-M3) |
| |||||||||||
0.89% (1 mo. USD LIBOR + 0.780%) (1) | 07/25/45 | 100,000 | 99,848 | |||||||||
HSI Asset Securitization Corp. Trust (06-HE1-1A1) |
| |||||||||||
0.25% (1 mo. USD LIBOR + 0.140%) (1) | 10/25/36 | 217,505 | 95,877 | |||||||||
IndyMac INDX Mortgage Loan Trust (07-FLX4-2A2) |
| |||||||||||
0.36% (1 mo. USD LIBOR + 0.250%) (1) | 07/25/37 | 120,561 | 116,365 | |||||||||
Long Beach Mortgage Loan Trust (06-10-1A) |
| |||||||||||
0.26% (1 mo. USD LIBOR + 0.150%) (1) | 11/25/36 | 177,605 | 133,600 | |||||||||
Mastr Asset Backed Securities Trust (06-HE2-A3) |
| |||||||||||
0.41% (1 mo. USD LIBOR + 0.300%) (1) | 06/25/36 | 229,125 | 129,693 | |||||||||
Mastr Asset Backed Securities Trust (06-WMC4-A5) |
| |||||||||||
0.26% (1 mo. USD LIBOR + 0.150%) (1) | 10/25/36 | 436,049 | 186,904 | |||||||||
Merrill Lynch Mortgage Investors Trust (04-A-A1) |
| |||||||||||
0.57% (1 mo. USD LIBOR + 0.460%) (1) | 04/25/29 | 63,880 | 62,039 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust (06-HE8-A2C) |
| |||||||||||
0.25% (1 mo. USD LIBOR + 0.140%) (1) | 10/25/36 | 221,725 | 123,736 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust (07-HE1-A2D) |
| |||||||||||
0.34% (1 mo. USD LIBOR + 0.230%) (1) | 11/25/36 | 188,868 | 134,702 | |||||||||
Sequoia Mortgage Trust (04-4-A) |
| |||||||||||
0.74% (6 mo. USD LIBOR + 0.520%) (1) | 05/20/34 | 67,960 | 66,159 | |||||||||
WaMu Mortgage Pass-Through Certificates |
| |||||||||||
0.93% (1 mo. USD LIBOR + 0.820%) (1) | 12/25/45 | 69,652 | 69,050 | |||||||||
WaMu Mortgage Pass-Through Certificates |
| |||||||||||
0.95% (1 mo. USD LIBOR + 0.840%) (1) | 07/25/45 | 70,727 | 70,944 | |||||||||
Washington Mutual Asset-Backed Certificates (WMABS-07-HE2-2A2) |
| |||||||||||
0.33% (1 mo. USD LIBOR + 0.220%) (1) | 02/25/37 | 330,429 | 142,682 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $1,719,882) |
| 1,688,020 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities | ||||||||||||
(Cost: $110,034,991) |
| 112,505,178 | ||||||||||
|
|
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.00% | ||||||||||||
Electric — 0.0% | ||||||||||||
Homer City Holdings LLC — Series A (7)(9) | 5,610 | $ | — | |||||||||
|
| |||||||||||
Total Common Stock | ||||||||||||
(Cost: $327,224) |
| — | ||||||||||
|
| |||||||||||
MONEY MARKET INVESTMENTS — 3.1% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (10) |
| 3,799,216 | 3,799,216 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $3,799,216) |
| 3,799,216 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% | ||||||||||||
Entertainment — 0.0% | ||||||||||||
Cineworld Group PLC |
| 42,717 | 25,630 | |||||||||
|
| |||||||||||
Total Warrants | ||||||||||||
(Cost: $—) |
| 25,630 | ||||||||||
|
| |||||||||||
Maturity Date | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 5.0% |
| |||||||||||
U.S. TREASURY SECURITIES — 5.0% | ||||||||||||
U.S. Treasury Bill | ||||||||||||
0.01% (11) | 07/15/21 | $ | 3,000,000 | 2,999,947 | ||||||||
0.01% (11) | 08/12/21 | 3,090,000 | 3,089,870 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $6,089,466) |
| 6,089,817 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $6,089,466) |
| 6,089,817 | ||||||||||
|
| |||||||||||
Total Investments (100.8%) |
| |||||||||||
(Cost: $120,250,897) |
| 122,419,841 | ||||||||||
Liabilities In Excess Of Other Assets (-0.8%) |
| (938,006 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 121,481,835 | |||||||||
|
|
See accompanying Notes to Financial Statements.
48
Table of Contents
TCW High Yield Bond Fund
April 30, 2021 |
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Market Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Short Futures |
| |||||||||||||||||
13 | 10-Year U.S. Ultra Treasury Note Futures | 06/21/21 | $ | (1,890,876 | ) | $ | (1,892,110 | ) | $ | (1,234 | ) | |||||||
5 | U.S. Ultra Long Bond Futures | 06/21/21 | (944,867 | ) | (929,531 | ) | 15,336 | |||||||||||
|
|
|
|
|
| |||||||||||||
$ | (2,835,743 | ) | $ | (2,821,641 | ) | $ | 14,102 | |||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
ABS | Asset-Backed Securities. |
EETC | Enhanced Equipment Trust Certificate. |
REIT | Real Estate Investment Trust. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2021. |
(2) | This position represents an unsettled bank loan at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. |
(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, 2021, the value of these securities amounted to $63,188,872 or 52.0% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(4) | This security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(5) | Security is not accruing interest. |
(6) | 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. |
(7) | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
(8) | 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. |
(9) | Non-income producing security. |
(10) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
(11) | Rate shown represents yield-to-maturity. |
See accompanying Notes to Financial Statements.
49
Table of Contents
TCW High Yield Bond Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Corporate Bonds | 77.5 | % | ||
Bank Loans | 13.8 | |||
U.S. Treasury Securities | 5.0 | |||
Money Market Investments | 3.1 | |||
Residential Mortgage-Backed Securities — Non-Agency | 1.4 | |||
Warrants | 0.0 | ** | ||
Common Stock | 0.0 | ** | ||
Other* | (0.8 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes capstock, futures, pending trades, interest receivable and accrued expenses payable. |
** | Amounts rounds to less than 0.1%. |
See accompanying Notes to Financial Statements.
50
Table of Contents
TCW High Yield Bond Fund
Fair Valuation Summary (Unaudited) | April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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* | $ | — | $ | 16,737,845 | $ | — | $ | 16,737,845 | ||||||||
Corporate Bonds* | — | 93,898,320 | 180,993 | 94,079,313 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 1,688,020 | — | 1,688,020 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 112,324,185 | 180,993 | 112,505,178 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stock* | — | — | — | — | ||||||||||||
Money Market Investments | 3,799,216 | — | — | 3,799,216 | ||||||||||||
Warrants | 25,630 | — | — | 25,630 | ||||||||||||
Short-Term Investments | 6,089,817 | — | — | 6,089,817 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 9,914,663 | $ | 112,324,185 | $ | 180,993 | $ | 122,419,841 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 15,336 | — | — | 15,336 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 9,929,999 | $ | 112,324,185 | $ | 180,993 | $ | 122,435,177 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | $ | (1,234 | ) | $ | — | $ | — | $ | (1,234 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,234 | ) | $ | — | $ | — | $ | (1,234 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
51
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 69.8% of Net Assets |
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 6.5% | ||||||||||||
Fannie Mae, Pool #AM4580 |
| |||||||||||
3.43% | 10/01/23 | $ | 40,365 | $ | 42,877 | |||||||
Fannie Mae (16-M11-AL) |
| |||||||||||
2.94% | 07/25/39 | 22,373 | 23,048 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (K722-X1) (I/O) |
| |||||||||||
1.44% (1) | 03/25/23 | 913,131 | 15,920 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (KJ28-A1) |
| |||||||||||
1.77% | 02/25/25 | 52,663 | 53,969 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (KL05-X1HG) (I/O) |
| |||||||||||
1.37% (1) | 12/25/27 | 500,000 | 31,447 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (KS05-X) (I/O) |
| |||||||||||
0.76% (1) | 01/25/23 | 1,402,191 | 18,826 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (KS06-X) (I/O) |
| |||||||||||
1.19% (1) | 08/25/26 | 572,107 | 23,098 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (KJ24-A1) |
| |||||||||||
2.28% | 05/25/26 | 52,820 | 55,022 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (KJ27-A1) |
| |||||||||||
2.09% | 07/25/24 | 41,868 | 43,109 | |||||||||
Freddie Mac Multifamily Structured Pass Through Certificates (KJ29-A1) |
| |||||||||||
0.74% | 01/25/26 | 70,405 | 70,141 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K025-X3) (I/O) |
| |||||||||||
1.81% (1) | 11/25/40 | 150,000 | 3,730 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K031-X1) (I/O) |
| |||||||||||
0.31% (1) | 04/25/23 | 840,681 | 3,248 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KJ26-A1) |
| |||||||||||
2.14% | 07/25/25 | 57,281 | 59,193 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KS07-X) (I/O) |
| |||||||||||
0.77% (1) | 09/25/25 | 247,623 | 6,818 | |||||||||
FRESB Mortgage Trust (15-SB3-A3) |
| |||||||||||
0.66% (1 mo. USD LIBOR + 0.550%) (2) | 01/25/43 | 40,714 | 40,723 | |||||||||
Ginnie Mae (07-12-C) |
| |||||||||||
5.28% (1) | 04/16/41 | 6,462 | 6,522 | |||||||||
Ginnie Mae (08-92-E) |
| |||||||||||
5.56% (1) | 03/16/44 | 7,240 | 7,332 | |||||||||
Ginnie Mae (10-159-D) |
| |||||||||||
4.29% (1) | 09/16/44 | 23,565 | 24,305 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae (11-165-IO) (I/O) |
| |||||||||||
0.01% (1) | 10/16/51 | $ | 480,937 | $ | 402 | |||||||
United States Small Business Administration (02-20I-1) |
| |||||||||||
4.89% | 09/01/22 | 4,033 | 4,116 | |||||||||
United States Small Business Administration (05-20B-1) |
| |||||||||||
4.63% | 02/01/25 | 35,012 | 36,772 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $592,076) | 570,618 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 7.8% | ||||||||||||
Banc of America Commercial Mortgage Trust |
| |||||||||||
3.12% | 02/15/50 | 43,500 | 44,093 | |||||||||
BBCMS Mortgage Trust (17-C1-A2) |
| |||||||||||
3.19% | 02/15/50 | 17,275 | 17,561 | |||||||||
BX Commercial Mortgage Trust (18-IND-A) |
| |||||||||||
0.87% (1 mo. USD LIBOR + 0.750%) (2)(3) | 11/15/35 | 3,126 | 3,129 | |||||||||
BX Commercial Mortgage Trust (20-BXLP-A) |
| |||||||||||
0.92% (1 mo. USD LIBOR + 0.800%) (2)(3) | 12/15/36 | 14,970 | 14,993 | |||||||||
COMM Mortgage Trust (12-CR3-XA) (I/O) |
| |||||||||||
2.00% (1) | 10/15/45 | 2,118,846 | 33,392 | |||||||||
COMM Mortgage Trust (13-CR9-ASB) |
| |||||||||||
3.83% | 07/10/45 | 25,871 | 26,876 | |||||||||
COMM Mortgage Trust (13-LC6-XA) (I/O) |
| |||||||||||
1.46% (1) | 01/10/46 | 437,986 | 7,502 | |||||||||
COMM Mortgage Trust (14-CR14-A2) |
| |||||||||||
3.15% | 02/10/47 | 20,184 | 20,211 | |||||||||
COMM Mortgage Trust (16-DC2-XA) (I/O) |
| |||||||||||
1.11% (1) | 02/10/49 | 808,073 | 29,126 | |||||||||
GS Mortgage Securities Corp. (12-ALOH-A) |
| |||||||||||
3.55% (3) | 04/10/34 | 38,000 | 38,584 | |||||||||
GS Mortgage Securities Trust (13-GC14-A4) |
| |||||||||||
3.96% | 08/10/46 | 27,000 | 28,135 | |||||||||
JPMBB Commercial Mortgage Securities Trust |
| |||||||||||
0.96% (1) | 02/15/47 | 1,133,157 | 21,379 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (11-C5-A3) |
| |||||||||||
4.17% | 08/15/46 | 32,023 | 32,156 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (12-C8-XA) (I/O) |
| |||||||||||
1.89% (1) | 10/15/45 | 1,236,248 | 20,994 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
| |||||||||||
1.54% (3)(1) | 08/15/45 | 2,286,633 | 25,623 |
See accompanying Notes to Financial Statements.
52
Table of Contents
TCW Short Term Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
| |||||||||||
0.74% (1) | 10/15/46 | $ | 345,763 | $ | 3,940 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
| |||||||||||
1.46% (1) | 02/15/46 | 780,649 | 14,020 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
| |||||||||||
3.77% | 04/15/47 | 11,257 | 11,840 | |||||||||
Morgan Stanley Capital I Trust (11-C3-A4) |
| |||||||||||
4.12% | 07/15/49 | 6,274 | 6,278 | |||||||||
Morgan Stanley Capital I Trust (11-C3-XA) (I/O) |
| |||||||||||
0.56% (1)(3) | 07/15/49 | 2,163,257 | 12 | |||||||||
UBS Commercial Mortgage Trust (12-C1-XA) (I/O) |
| |||||||||||
2.24% (1)(3)(4) | 05/10/45 | 267,452 | 2,458 | |||||||||
UBS Commercial Mortgage Trust (18-C11-A1) |
| |||||||||||
3.21% | 06/15/51 | 1,205 | 1,214 | |||||||||
UBS-Barclays Commercial Mortgage Trust |
| |||||||||||
1.98% (3)(1) | 08/10/49 | 1,242,214 | 23,355 | |||||||||
Wells Fargo Commercial Mortgage Trust (15-NXS2-XA) (I/O) |
| |||||||||||
0.81% (1) | 07/15/58 | 1,553,976 | 35,532 | |||||||||
Wells Fargo Commercial Mortgage Trust (16-C34-A2) |
| |||||||||||
2.60% | 06/15/49 | 57,355 | 57,349 | |||||||||
Wells Fargo Commercial Mortgage Trust (16-C36-A2) |
| |||||||||||
2.50% | 11/15/59 | 14,161 | 14,334 | |||||||||
Wells Fargo Commercial Mortgage Trust (16-LC24-A2) |
| |||||||||||
2.50% | 10/15/49 | 14,065 | 14,129 | |||||||||
WFRBS Commercial Mortgage Trust (12-C6-XA) (I/O) |
| |||||||||||
2.24% (1)(3) | 04/15/45 | 1,089,614 | 9,165 | |||||||||
WFRBS Commercial Mortgage Trust (12-C7-XA) (I/O) |
| |||||||||||
1.45% (3)(1) | 06/15/45 | 593,531 | 4,323 | |||||||||
WFRBS Commercial Mortgage Trust (12-C8-XA) (I/O) |
| |||||||||||
1.94% (3)(1) | 08/15/45 | 617,614 | 9,127 | |||||||||
WFRBS Commercial Mortgage Trust (12-C9-XA) (I/O) |
| |||||||||||
2.03% (1)(3) | 11/15/45 | 2,151,090 | 43,222 | |||||||||
WFRBS Commercial Mortgage Trust (12-C9-XB) (I/O) |
| |||||||||||
0.87% (3)(1) | 11/15/45 | 3,224,000 | 33,060 | |||||||||
WFRBS Commercial Mortgage Trust (14-C22-A3) |
| |||||||||||
3.53% | 09/15/57 | 35,994 | 36,130 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — |
| |||||||||||
(Cost: $776,246) | 683,242 | |||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 18.0% | ||||||||||||
Fannie Mae (03-11-FA) | ||||||||||||
1.11% (1 mo. USD | 09/25/32 | 9,997 | 10,234 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (03-52-NF) |
| |||||||||||
0.51% (1 mo. USD | 06/25/23 | $ | 2,934 | $ | 2,936 | |||||||
Fannie Mae (06-23-FP) (PAC) |
| |||||||||||
0.41% (1 mo. USD | 04/25/36 | 13,509 | 13,561 | |||||||||
Fannie Mae (07-64-FA) |
| |||||||||||
0.58% (1 mo. USD | 07/25/37 | 23,046 | 23,339 | |||||||||
Fannie Mae (08-24-PF) (PAC) |
| |||||||||||
0.76% (1 mo. USD | 02/25/38 | 13,980 | 14,095 | |||||||||
Fannie Mae (10-118-GF) (PAC) |
| |||||||||||
0.66% (1 mo. USD | 10/25/39 | 27,161 | 27,294 | |||||||||
Fannie Mae (11-75-HP) (PAC) |
| |||||||||||
2.50% | 07/25/40 | 9,400 | 9,601 | |||||||||
Fannie Mae (12-93-GF) (PAC) |
| |||||||||||
0.36% (1 mo. USD | 07/25/40 | 22,739 | 22,756 | |||||||||
Fannie Mae (20-10-FA) |
| |||||||||||
0.61% (1 mo. USD | 03/25/50 | 33,703 | 33,967 | |||||||||
Fannie Mae (17-10-FA) |
| |||||||||||
0.51% (1 mo. USD | 03/25/47 | 62,964 | 63,434 | |||||||||
Fannie Mae, Pool #254548 |
| |||||||||||
5.50% | 12/01/32 | 8,142 | 9,440 | |||||||||
Fannie Mae, Pool #600187 |
| |||||||||||
7.00% | 07/01/31 | 14,398 | 16,204 | |||||||||
Fannie Mae, Pool #995364 |
| |||||||||||
6.00% | 10/01/38 | 10,920 | 12,928 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 4,999 | 5,828 | |||||||||
Freddie Mac (3071-TF) (PAC) |
| |||||||||||
0.41% (1 mo. USD | 04/15/35 | 21,324 | 21,386 | |||||||||
Freddie Mac (3084-FN) |
| |||||||||||
0.61% (1 mo. USD | 12/15/34 | 7,078 | 7,085 | |||||||||
Freddie Mac (3300-FA) |
| |||||||||||
0.41% (1 mo. USD | 08/15/35 | 25,644 | 25,759 | |||||||||
Freddie Mac (3318-F) |
| |||||||||||
0.36% (1 mo. USD | 05/15/37 | 32,444 | 32,581 | |||||||||
Freddie Mac (3767-JF) (PAC) |
| |||||||||||
0.41% (1 mo. USD | 02/15/39 | 2,698 | 2,699 |
See accompanying Notes to Financial Statements.
53
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac (3879-MF) |
| |||||||||||
0.46% (1 mo. USD | 09/15/38 | $ | 8,140 | $ | 8,155 | |||||||
Freddie Mac (3940-PF) (PAC) |
| |||||||||||
0.46% (1 mo. USD | 05/15/40 | 13,858 | 13,878 | |||||||||
Freddie Mac (3946-FG) (PAC) |
| |||||||||||
0.46% (1 mo. USD | 10/15/39 | 7,802 | 7,817 | |||||||||
Freddie Mac (4231-FD) |
| |||||||||||
0.46% (1 mo. USD | 10/15/32 | 39,425 | 38,957 | |||||||||
Freddie Mac (263-F5) |
| |||||||||||
0.61% (1 mo. USD | 06/15/42 | 25,455 | 25,699 | |||||||||
Ginnie Mae II, Pool #80022 |
| |||||||||||
2.13% (1- year Treasury Constant Maturity Rate + 1.500%) (2) | 12/20/26 | 8,600 | 8,869 | |||||||||
Ginnie Mae II, Pool #80636 |
| |||||||||||
2.25% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | 09/20/32 | 5,655 | 5,800 | |||||||||
Ginnie Mae II, Pool #80757 |
| |||||||||||
2.25% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | 10/20/33 | 3,409 | 3,461 | |||||||||
Ginnie Mae II, Pool #80797 |
| |||||||||||
3.00% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | 01/20/34 | 24,800 | 25,326 | |||||||||
Ginnie Mae II, Pool #80937 |
| |||||||||||
2.88% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | 06/20/34 | 11,153 | 11,712 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
2.00% (5) | 10/01/50 | 25,000 | 25,470 | |||||||||
2.50% (5) | 05/01/50 | 25,000 | 25,993 | |||||||||
2.50% (5) | 05/01/50 | 375,000 | 389,077 | |||||||||
Uniform Mortgage-Backed Securities TBA, 30 Year |
| |||||||||||
2.00% (5) | 01/01/51 | 300,000 | 302,514 | |||||||||
2.50% (5) | 07/01/50 | 300,000 | 310,534 | |||||||||
2.50% (5) | 07/01/50 | 25,000 | 25,943 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $1,570,705) | 1,584,332 | |||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 5.3% | ||||||||||||
Accredited Mortgage Loan Trust (05-1-M2) |
| |||||||||||
1.14% (1 mo. USD | 04/25/35 | 92,883 | 93,897 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Centex Home Equity Loan Trust (04-D-AF6) |
| |||||||||||
5.17% | 09/25/34 | $ | 83 | $ | 83 | |||||||
Credit Suisse First Boston Mortgage Securities Corp. |
| |||||||||||
2.00% (1) | 11/25/32 | 14,637 | 14,637 | |||||||||
CWABS Asset-Backed Certificates Trust (05-3-MV5) |
| |||||||||||
1.11% (1 mo. USD | 08/25/35 | 25,558 | 25,593 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C) |
| |||||||||||
1.11% (1 mo. USD | 08/25/34 | 12,471 | 12,655 | |||||||||
JP Morgan Mortgage Acquisition Trust (07-CH4-A5) |
| |||||||||||
0.35% (1 mo. USD | 05/25/37 | 48,000 | 46,824 | |||||||||
JPMorgan Mortgage Acquisition Trust (06-CH1-M1) |
| |||||||||||
0.33% (1 mo. USD | 07/25/36 | 10,316 | 10,323 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust (05-WMC3-M4) |
| |||||||||||
1.04% (1 mo. USD | 03/25/35 | 26,745 | 26,780 | |||||||||
Morgan Stanley Mortgage Loan Trust (04-6AR-1A) |
| |||||||||||
1.01% (1 mo. USD | 07/25/34 | 437 | 438 | |||||||||
NovaStar Mortgage Funding Trust Series (05-1-M5) |
| |||||||||||
1.19% (1 mo. USD | 06/25/35 | 50,137 | 49,051 | |||||||||
Option One Mortgage Loan Trust Asset-Backed Certificates (05-4-M1) |
| |||||||||||
0.77% (1 mo. USD | 11/25/35 | 11,813 | 11,826 | |||||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates (04-WHQ2-M4) |
| |||||||||||
1.68% (1 mo. USD | 02/25/35 | 52,416 | 52,913 | |||||||||
RASC Series Trust (06-KS3-M1) |
| |||||||||||
0.60% (1 mo. USD | 04/25/36 | 68,661 | 68,442 | |||||||||
Residential Accredit Loans, Inc. (02-QS16-A2) |
| |||||||||||
0.66% (1 mo. USD | 10/25/17 | 72 | 72 | |||||||||
Structured Asset Investment Loan Trust (05-HE3-M1) |
| |||||||||||
0.83% (1 mo. USD | 09/25/35 | 50,854 | 50,749 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — |
| |||||||||||
(Cost: $445,266) | 464,283 | |||||||||||
|
| |||||||||||
CORPORATE BONDS — 15.6% | ||||||||||||
Agriculture — 0.1% | ||||||||||||
Imperial Brands Finance PLC |
| |||||||||||
3.13% (3) | 07/26/24 | 10,000 | 10,554 | |||||||||
|
|
See accompanying Notes to Financial Statements.
54
Table of Contents
TCW Short Term Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATE BONDS (Continued) | ||||||||||||
Auto Manufacturers — 0.5% | ||||||||||||
Daimler Finance North America LLC |
| |||||||||||
2.20% (3) | 10/30/21 | $ | 25,000 | $ | 25,234 | |||||||
Ford Motor Credit Co. LLC |
| |||||||||||
1.26% (3 mo. USD | 08/03/22 | 5,000 | 4,963 | |||||||||
3.22% | 01/09/22 | 5,000 | 5,060 | |||||||||
General Motors Financial Co., Inc. |
| |||||||||||
4.20% | 11/06/21 | 5,000 | 5,095 | |||||||||
|
| |||||||||||
40,352 | ||||||||||||
|
| |||||||||||
Banks — 4.1% | ||||||||||||
Citigroup, Inc. |
| |||||||||||
2.90% | 12/08/21 | 25,000 | 25,342 | |||||||||
3.35% (3 mo. USD | 04/24/25 | 30,000 | 32,175 | |||||||||
Credit Suisse Group AG |
| |||||||||||
2.59% (SOFR + 1.560%) (3)(2) | 09/11/25 | 10,000 | 10,407 | |||||||||
3.80% | 06/09/23 | 20,000 | 21,252 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
0.48% | 01/27/23 | 25,000 | 25,016 | |||||||||
HSBC Holdings PLC |
| |||||||||||
3.95% (3 mo. USD | 05/18/24 | 35,000 | 37,351 | |||||||||
Lloyds Banking Group PLC (United Kingdom) |
| |||||||||||
2.86% (3 mo. USD | 03/17/23 | 10,000 | 10,206 | |||||||||
2.91% (3 mo. USD | 11/07/23 | 15,000 | 15,536 | |||||||||
3.87% (1-year Treasury Constant Maturity Rate + 3.500%) (2) | 07/09/25 | 55,000 | 59,849 | |||||||||
Morgan Stanley |
| |||||||||||
0.53% (SOFR + 0.455%) (2) | 01/25/24 | 35,000 | 34,972 | |||||||||
5.50% | 07/28/21 | 25,000 | 25,305 | |||||||||
Santander UK Group Holdings PLC (United Kingdom) |
| |||||||||||
3.57% | 01/10/23 | 10,000 | 10,206 | |||||||||
Wells Fargo & Co. |
| |||||||||||
3.75% | 01/24/24 | 15,000 | 16,239 | |||||||||
Wells Fargo Bank N.A. |
| |||||||||||
2.08% (3 mo. USD | 09/09/22 | 40,000 | 40,250 | |||||||||
|
| |||||||||||
364,106 | ||||||||||||
|
| |||||||||||
Biotechnology — 0.5% | ||||||||||||
Gilead Sciences, Inc. |
| |||||||||||
0.71% (3 mo. USD | 09/29/23 | 25,000 | 25,027 | |||||||||
Royalty Pharma PLC |
| |||||||||||
0.75% (3) | 09/02/23 | 20,000 | 20,010 | |||||||||
|
| |||||||||||
45,037 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATE BONDS (Continued) | ||||||||||||
Chemicals — 0.1% | ||||||||||||
Nutrition & Biosciences, Inc. |
| |||||||||||
0.70% (3) | 09/15/22 | $ | 10,000 | $ | 10,023 | |||||||
|
| |||||||||||
Commercial Services — 0.3% | ||||||||||||
IHS Markit, Ltd. |
| |||||||||||
5.00% (3) | 11/01/22 | 25,000 | 26,348 | |||||||||
|
| |||||||||||
Diversified Financial Services — 1.3% | ||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.95% | 02/01/22 | 10,000 | 10,214 | |||||||||
4.88% | 01/16/24 | 10,000 | 10,943 | |||||||||
Air Lease Corp. |
| |||||||||||
3.50% | 01/15/22 | 30,000 | 30,631 | |||||||||
Aviation Capital Group LLC |
| |||||||||||
1.14% (3 mo. USD | 06/01/21 | 15,000 | 15,000 | |||||||||
Avolon Holdings Funding, Ltd. |
| |||||||||||
3.63% (3) | 05/01/22 | 10,000 | 10,211 | |||||||||
Intercontinental Exchange, Inc. |
| |||||||||||
0.83% (3 mo. USD | 06/15/23 | 30,000 | 30,040 | |||||||||
Park Aerospace Holdings, Ltd. |
| |||||||||||
4.50% (3) | 03/15/23 | 5,000 | 5,250 | |||||||||
|
| |||||||||||
112,289 | ||||||||||||
|
| |||||||||||
Electric — 0.3% | ||||||||||||
Dominion Energy, Inc. |
| |||||||||||
3.30% | 03/15/25 | 25,000 | 27,047 | |||||||||
|
| |||||||||||
Food — 0.5% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.00% | 06/15/23 | 35,000 | 37,589 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
3.35% (3) | 02/01/22 | 10,000 | 10,216 | |||||||||
|
| |||||||||||
47,805 | ||||||||||||
|
| |||||||||||
Health Care-Products — 0.2% | ||||||||||||
Fresenius US Finance II, Inc. |
| |||||||||||
4.50% (3) | 01/15/23 | 15,000 | 15,695 | |||||||||
|
| |||||||||||
Health Care-Services — 1.4% | ||||||||||||
Anthem, Inc. |
| |||||||||||
3.70% | 08/15/21 | 30,000 | 30,031 | |||||||||
CommonSpirit Health |
| |||||||||||
2.76% | 10/01/24 | 10,000 | 10,592 | |||||||||
Dignity Health |
| |||||||||||
3.13% | 11/01/22 | 10,000 | 10,386 | |||||||||
Fresenius Medical Care US Finance II, Inc. |
| |||||||||||
5.88% (3) | 01/31/22 | 15,000 | 15,568 | |||||||||
HCA, Inc. |
| |||||||||||
4.75% | 05/01/23 | 40,000 | 43,109 |
See accompanying Notes to Financial Statements.
55
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATE BONDS (Continued) | ||||||||||||
Health Care-Services (Continued) | ||||||||||||
Humana, Inc. |
| |||||||||||
3.85% | 10/01/24 | $ | 15,000 | $ | 16,384 | |||||||
|
| |||||||||||
126,070 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 1.4% | ||||||||||||
General Electric Co. |
| |||||||||||
0.58% (3 mo. USD | 05/05/26 | 5,000 | 4,870 | |||||||||
1.18% (3 mo. USD | 04/15/23 | 75,000 | 75,628 | |||||||||
3.63% | 05/01/30 | 40,000 | 43,503 | |||||||||
|
| |||||||||||
124,001 | ||||||||||||
|
| |||||||||||
Oil & Gas — 0.2% | ||||||||||||
Petroleos Mexicanos |
| |||||||||||
5.35% | 02/12/28 | 15,000 | 14,755 | |||||||||
|
| |||||||||||
Packaging & Containers — 0.4% | ||||||||||||
Bemis Co., Inc. |
| |||||||||||
4.50% | 10/15/21 | 20,000 | 20,158 | |||||||||
Berry Global, Inc. |
| |||||||||||
0.95% (3) | 02/15/24 | 15,000 | 14,990 | |||||||||
|
| |||||||||||
35,148 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 0.9% | ||||||||||||
Bausch Health Cos, Inc. (Canada) |
| |||||||||||
7.00% (3) | 03/15/24 | 13,000 | 13,345 | |||||||||
Bayer US Finance LLC |
| |||||||||||
2.20% (3) | 07/15/22 | 45,000 | 45,711 | |||||||||
Upjohn, Inc. |
| |||||||||||
1.13% (3) | 06/22/22 | 25,000 | 25,156 | |||||||||
|
| |||||||||||
84,212 | ||||||||||||
|
| |||||||||||
REIT — 2.1% | ||||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.75% | 04/15/23 | 30,000 | 31,609 | |||||||||
Camden Property Trust |
| |||||||||||
2.95% | 12/15/22 | 25,000 | 25,900 | |||||||||
CyrusOne LP / CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 20,000 | 21,202 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
5.38% | 11/01/23 | 25,000 | 27,469 | |||||||||
Kilroy Realty LP |
| |||||||||||
3.45% | 12/15/24 | 5,000 | 5,345 | |||||||||
Kimco Realty Corp. |
| |||||||||||
3.40% | 11/01/22 | 20,000 | 20,805 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
1.17% (3 mo. USD | 08/16/21 | 40,000 | 40,002 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATE BONDS (Continued) | ||||||||||||
REIT (Continued) | ||||||||||||
WEA Finance LLC |
| |||||||||||
3.15% (3) | 04/05/22 | $ | 10,000 | $ | 10,179 | |||||||
|
| |||||||||||
182,511 | ||||||||||||
|
| |||||||||||
Retail — 0.2% | ||||||||||||
7-Eleven, Inc. |
| |||||||||||
0.65% (3 mo. USD | 08/10/22 | 15,000 | 15,010 | |||||||||
|
| |||||||||||
Savings & Loans — 0.3% | ||||||||||||
Nationwide Building Society (United Kingdom) |
| |||||||||||
3.62% (3 mo. USD | 04/26/23 | 25,000 | 25,764 | |||||||||
|
| |||||||||||
Semiconductors — 0.4% | ||||||||||||
NXP BV / NXP Funding LLC |
| |||||||||||
4.63% (3) | 06/01/23 | 30,000 | 32,410 | |||||||||
|
| |||||||||||
Telecommunications — 0.4% | ||||||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% (3) | 03/20/23 | 9,375 | 9,410 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
3.88% (3) | 04/15/30 | 25,000 | 27,264 | |||||||||
|
| |||||||||||
36,674 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $1,353,672) | 1,375,811 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.8% | ||||||||||||
City and County of Denver Co. Airport System Revenue, Revenue Bond |
| |||||||||||
1.12% | 11/15/24 | 10,000 | 10,086 | |||||||||
County of Miami-Dade FL Aviation Revenue, Revenue Bond |
| |||||||||||
2.32% | 10/01/22 | 15,000 | 15,378 | |||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bond |
| |||||||||||
2.31% | 11/01/26 | 25,000 | 26,423 | |||||||||
New York State Dormitory Authority, Revenue Bond |
| |||||||||||
5.00% | 03/15/24 | 15,000 | 16,841 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost: $67,246) | 68,728 | |||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 15.3% | ||||||||||||
U.S. Treasury Floating Rate Note |
| |||||||||||
0.08% (3 mo. Treasury Money Market Yield + 0.055%) (2) | 10/31/22 | 170,000 | 170,111 | |||||||||
0.24% (3 mo. Treasury Money Market Yield + 0.220%) (2) | 07/31/21 | 620,000 | 620,422 |
See accompanying Notes to Financial Statements.
56
Table of Contents
TCW Short Term Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
U.S. TREASURY SECURITIES (Continued) | ||||||||||||
U.S. Treasury Note |
| |||||||||||
0.13% | 02/28/23 | $ | 196,000 | $ | 195,908 | |||||||
0.13% | 03/31/23 | 102,000 | 101,940 | |||||||||
0.75% | 03/31/26 | 67,000 | 66,743 | |||||||||
0.75% | 04/30/26 | 193,000 | 192,088 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $1,323,035) | 1,347,212 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 0.5% | ||||||||||||
BSPRT Issuer, Ltd. (18-FL4-A) |
| |||||||||||
1.16% (1 mo. USD | 09/15/35 | 16,206 | 16,218 | |||||||||
CoreVest American Finance Trust (19-1-XA) (I/O) |
| |||||||||||
2.34% (1)(3) | 03/15/52 | 451,115 | 30,517 | |||||||||
|
| |||||||||||
Total Asset-backed Securities | ||||||||||||
(Cost: $53,989) | 46,735 | |||||||||||
|
| |||||||||||
Total Fixed Income Securities | ||||||||||||
(Cost: $6,182,235) | 6,140,961 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 0.9% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class 0.03% (7) | 77,820 | 77,820 | ||||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $77,820) | 77,820 | |||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
SHORT TERM INVESTMENTS — 41.2% |
| |||||||||||
U.S. Treasury Securities — 41.2% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
0.01% (8) | 07/15/21 | $ | 700,000 | $ | 699,988 | |||||||
0.01% (8) | 07/22/21 | 500,000 | 499,989 | |||||||||
0.01% (8) | 07/29/21 | 750,000 | 749,982 | |||||||||
0.01% (8) | 08/12/21 | 470,000 | 469,980 | |||||||||
0.01% (8) | 08/19/21 | 250,000 | 249,992 | |||||||||
0.00% (8) | 05/04/21 | 700,000 | 700,000 | |||||||||
0.00% (8) | 05/06/21 | 260,000 | 260,000 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $3,629,823) | 3,629,931 | |||||||||||
|
| |||||||||||
Total Short Term Investments | ||||||||||||
(Cost: $3,629,823) | 3,629,931 | |||||||||||
|
| |||||||||||
Total Investments (111.9%) |
| |||||||||||
(Cost: $9,889,878) | 9,848,712 | |||||||||||
Liabilities In Excess Of Other Assets (-11.9%) |
| (1,047,847 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) | $ | 8,800,865 | ||||||||||
|
|
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional Contract Value | Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Short Futures |
| |||||||||||||||||
3 | 10-Year U.S. Ultra Treasury Note Futures | 06/21/21 | $ | (441,642 | ) | $ | (436,641 | ) | $ | 5,001 | ||||||||
3 | 2-Year U.S. Treasury Note Futures | 06/30/21 | (662,806 | ) | (662,273 | ) | 533 | |||||||||||
2 | 5-Year U.S. Treasury Note Futures | 06/30/21 | (249,950 | ) | (247,875 | ) | 2,075 | |||||||||||
|
|
|
|
|
| |||||||||||||
$ | (1,354,398 | ) | $ | (1,346,789 | ) | $ | 7,609 | |||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
57
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Unaudited) (Continued)
Notes to the Schedule of Investments:
ABS | Asset-Backed Securities. |
I/O | Interest Only Security. |
PAC | Planned Amortization Class. |
REIT | Real Estate Investment Trust. |
SOFR | Secured Overnight Financing Rate. |
TAC | Target Amortization Class. |
TBA | To Be Announced. |
(1) | 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. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2021. |
(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, 2021, the value of these securities amounted to $647,541 or 7.4% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(4) | Restricted security (Note 11). |
(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) | The maturity date of the security has been extended past the date disclosed. The new maturity date is not known as of April 30, 2021. |
(7) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
(8) | Rate shown represents yield-to-maturity. |
See accompanying Notes to Financial Statements.
58
Table of Contents
TCW Short Term Bond Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
U.S. Treasury Securities | 56.5 | % | ||
Residential Mortgage-Backed Securities — Agency | 18.0 | |||
Corporate Bonds | 15.6 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 7.8 | |||
Commercial Mortgage-Backed Securities — Agency | 6.5 | |||
Residential Mortgage-Backed Securities — Non-Agency | 5.3 | |||
Money Market Investments | 0.9 | |||
Municipal Bonds | 0.8 | |||
Asset-Backed Securities | 0.5 | |||
Other* | (11.9 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes futures, pending trades, interest receivable and accrued expenses payable. |
See accompanying Notes to Financial Statements.
59
Table of Contents
TCW Short Term Bond Fund
Fair Valuation Summary (Unaudited) | April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | $ | — | $ | 570,618 | $ | — | $ | 570,618 | ||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 683,242 | — | 683,242 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 1,584,332 | — | 1,584,332 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 464,283 | — | 464,283 | ||||||||||||
Corporate Bonds* | — | 1,375,811 | — | 1,375,811 | ||||||||||||
Municipal Bonds | — | 68,728 | — | 68,728 | ||||||||||||
U.S. Treasury Securities | 1,347,212 | — | — | 1,347,212 | ||||||||||||
Asset-Backed Securities | — | 46,735 | — | 46,735 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 1,347,212 | 4,793,749 | — | 6,140,961 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 77,820 | — | — | 77,820 | ||||||||||||
Short-Term Investments | 3,629,931 | — | — | 3,629,931 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 5,054,963 | $ | 4,793,749 | $ | — | $ | 9,848,712 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | 7,609 | — | — | 7,609 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 5,062,572 | $ | 4,793,749 | $ | — | $ | 9,856,321 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
60
Table of Contents
Schedule of Investments (Unaudited) | April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 124.3% of Net Assets |
| |||||||||||
ASSET-BACKED SECURITIES — 6.0% | ||||||||||||
321 Henderson Receivables I LLC (13-3A-A) |
| |||||||||||
4.08% (1) | 01/17/73 | $ | 6,289,745 | $ | 7,029,116 | |||||||
Allegro CLO XII, Ltd. (20-1A-A1) |
| |||||||||||
1.43% (3 mo. USD LIBOR + 1.250%) (1)(2) | 01/21/32 | 17,125,000 | 17,162,332 | |||||||||
Arbor Realty Commercial Real Estate Note, Ltd. (19-FL1-A) |
| |||||||||||
1.26% (1 mo. USD LIBOR + 1.150%) (1)(2) | 05/15/37 | 11,900,000 | 11,936,347 | |||||||||
Barings CLO, Ltd. (18-3A-A1) |
| |||||||||||
1.14% (3 mo. USD LIBOR + 0.950%) (1)(2) | 07/20/29 | 9,500,000 | 9,495,810 | |||||||||
Barings CLO, Ltd. (20-4A-A) |
| |||||||||||
1.44% (3 mo. USD LIBOR + 1.220%) (1)(2) | 01/20/32 | 18,500,000 | 18,536,075 | |||||||||
BDS, Ltd. (20-FL5-A) |
| |||||||||||
1.27% (1 mo. USD LIBOR + 1.150%) (1)(2) | 02/16/37 | 17,500,000 | 17,565,651 | |||||||||
BSPRT Issuer, Ltd. (18-FL4-A) |
| |||||||||||
1.16% (1 mo. USD LIBOR + 1.050%) (1)(2) | 09/15/35 | 5,284,839 | 5,289,048 | |||||||||
CoreVest American Finance Trust (20-1-A2) |
| |||||||||||
2.30% (1) | 03/15/50 | 22,735,000 | 23,059,117 | |||||||||
CoreVest American Finance Trust (20-1-XA) (I/O) |
| |||||||||||
2.85% (1)(3) | 03/15/50 | 60,463,511 | 6,852,103 | |||||||||
CoreVest American Finance Trust (20-1-XB) (I/O) |
| |||||||||||
2.23% (1)(3) | 03/15/50 | 38,948,500 | 5,168,396 | |||||||||
CoreVest American Finance Trust (20-4-XA) (I/O) |
| |||||||||||
3.87% (1)(3) | 12/15/52 | 59,806,585 | 8,631,765 | |||||||||
CoreVest American Finance Trust (20-4-XB) (I/O) |
| |||||||||||
2.83% (1)(3) | 12/15/52 | 27,500,000 | 4,059,967 | |||||||||
CoreVest American Finance Trust (21-1-XA) (I/O) |
| |||||||||||
2.96% (1)(3) | 04/15/53 | 87,364,050 | 11,138,916 | |||||||||
Dryden CLO, Ltd. (20-83A-A) |
| |||||||||||
1.46% (3 mo. USD LIBOR + 1.220%) (1)(2) | 01/18/32 | 18,000,000 | 18,033,300 | |||||||||
EFS Volunteer No 2 LLC (12-1-A2) |
| |||||||||||
1.46% (1 mo. USD LIBOR + 1.350%) (1)(2) | 03/25/36 | 5,415,223 | 5,498,776 | |||||||||
EFS Volunteer No 3 LLC (12-1-A3) |
| |||||||||||
1.11% (1 mo. USD LIBOR + 1.000%) (1)(2) | 04/25/33 | 11,794,337 | 11,841,656 | |||||||||
Global SC Finance SRL (14-1A-A2) |
| |||||||||||
3.09% (1) | 07/17/29 | 5,318,625 | 5,370,679 | |||||||||
Goldentree Loan Management US CLO, Ltd. (19-4A-AR) |
| |||||||||||
1.30% (3 mo. USD LIBOR + 1.110%) (1)(2)(4) | 04/24/31 | 23,800,000 | 23,811,900 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
Higher Education Funding I (14-1-A) |
| |||||||||||
1.24% (3 mo. USD LIBOR + 1.050%) (1)(2) | 05/25/34 | $ | 12,407 | $ | 12,478 | |||||||
LCM XXIV, Ltd. (24A-AR) |
| |||||||||||
1.17% (3 mo. USD LIBOR + 0.980%) (1)(2) | 03/20/30 | 10,000,000 | 9,996,590 | |||||||||
LoanCore Issuer, Ltd. (18-CRE1-A) |
| |||||||||||
1.24% (1 mo. USD LIBOR + 1.130%) (1)(2) | 05/15/28 | 5,389,795 | 5,394,815 | |||||||||
Lucali CLO, Ltd. (20-1A-A) |
| |||||||||||
1.45% (3 mo. USD LIBOR + 1.210%) (1)(2) | 01/15/33 | 18,000,000 | 18,033,300 | |||||||||
Madison Park Funding XLVIII, Ltd. (21-48A-A) |
| |||||||||||
1.29% (3 mo. USD LIBOR + 1.150%) (1)(2) | 04/19/33 | 18,000,000 | 18,033,660 | |||||||||
Marathon CRE, Ltd. (18-FL1-A) |
| |||||||||||
1.27% (1 mo. USD LIBOR + 1.150%) (1)(2) | 06/15/28 | 9,035,983 | 9,046,780 | |||||||||
Navient Student Loan Trust (14-3-A) |
| |||||||||||
0.73% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 21,351,913 | 21,253,849 | |||||||||
Navient Student Loan Trust (14-4-A) |
| |||||||||||
0.73% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 11,763,819 | 11,705,688 | |||||||||
Navient Student Loan Trust (16-5A-A) |
| |||||||||||
1.36% (1 mo. USD LIBOR + 1.250%) (1)(2) | 06/25/65 | 14,697,714 | 15,166,504 | |||||||||
Neuberger Berman Loan Advisers CLO, Ltd. (20-36A-A1R) |
| |||||||||||
1.44% (3 mo. USD LIBOR + 1.250%) (1)(2) | 04/20/33 | 18,750,000 | 18,782,344 | |||||||||
OHA Credit Funding, Ltd. (21-9A-B) |
| |||||||||||
1.83% (3 mo. USD LIBOR + 1.700%) (1)(2)(4) | 07/19/35 | 17,500,000 | 17,508,750 | |||||||||
Palmer Square CLO, Ltd. (14-1A-A1R2) |
| |||||||||||
1.32% (3 mo. USD LIBOR + 1.130%) (1)(2) | 01/17/31 | 10,000,000 | 10,006,980 | |||||||||
Palmer Square Loan Funding Ltd. (20-2A-A2) |
| |||||||||||
1.74% (3 mo. USD LIBOR + 1.550%) (1)(2) | 04/20/28 | 7,750,000 | 7,757,858 | |||||||||
Park Avenue Institutional Advisers CLO, Ltd. (21-1A-A1A) |
| |||||||||||
1.59% (3 mo. USD LIBOR + 1.390%) (1)(2) | 01/20/34 | 19,000,000 | 19,137,750 | |||||||||
Rockford Tower CLO, Ltd. (18-1A-A) |
| |||||||||||
1.28% (1 X 3 mo. USD LIBOR + 1.100%) (1)(2) | 05/20/31 | 4,750,000 | 4,749,050 | |||||||||
Sixth Street CLO XVII, Ltd. (21-17A-A) |
| |||||||||||
1.43% (3 mo. USD LIBOR + 1.240%) (1)(2) | 01/20/34 | 18,000,000 | 18,093,780 |
See accompanying Notes to Financial Statements.
61
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Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
SLM Student Loan Trust (08-5-A4) |
| |||||||||||
1.88% (3 mo. USD LIBOR + 1.700%) (2) | 07/25/23 | $ | 1,896,993 | $ | 1,911,686 | |||||||
SLM Student Loan Trust (08-8-B) |
| |||||||||||
2.43% (3 mo. USD LIBOR + 2.250%) (2) | 10/25/75 | 5,706,000 | 5,741,209 | |||||||||
|
| |||||||||||
Total Asset-backed Securities |
| |||||||||||
(Cost: $423,854,218) |
| 422,814,025 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 0.4% | ||||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K038-X3) (I/O) |
| |||||||||||
2.57% (3) | 06/25/42 | 78,039,937 | 5,320,552 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K040-X3) (I/O) |
| |||||||||||
2.10% (3) | 11/25/42 | 77,991,835 | 5,067,481 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K042-X3) (I/O) |
| |||||||||||
1.66% (3) | 01/25/43 | 76,625,000 | 4,148,209 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K045-X3) (I/O) |
| |||||||||||
1.55% (3) | 04/25/43 | 126,630,757 | 6,874,303 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K046-X3) (I/O) |
| |||||||||||
1.56% (3) | 04/25/43 | 94,964,072 | 5,117,680 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $35,285,762) |
| 26,528,225 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 8.2% | ||||||||||||
1345 Avenue of the Americas & Park Avenue Plaza Trust (05-1-A3) |
| |||||||||||
5.28% (1) | 08/10/35 | 14,453,263 | 15,196,181 | |||||||||
BAMLL Commercial Mortgage Securities Trust (20-BOC-A) |
| |||||||||||
2.63% (1) | 01/15/32 | 14,275,000 | 14,883,739 | |||||||||
BANK (18-BN13-A5) |
| |||||||||||
4.22% (3) | 08/15/61 | 7,000,000 | 8,015,326 | |||||||||
BANK (19-BN20-A2) |
| |||||||||||
2.76% | 09/15/62 | 14,450,000 | 15,260,184 | |||||||||
BANK (19-BN21-A4) |
| |||||||||||
2.60% | 10/17/52 | 11,610,000 | 12,008,339 | |||||||||
BANK (19-BN21-A5) |
| |||||||||||
2.85% | 10/17/52 | 13,365,000 | 14,143,006 | |||||||||
BBCMS Mortgage Trust (20-C6-A4) |
| |||||||||||
2.64% | 02/15/53 | 25,990,000 | 27,036,409 | |||||||||
Benchmark Mortgage Trust (18-B8-A5) |
| |||||||||||
4.23% | 01/15/52 | 13,510,000 | 15,548,413 | |||||||||
Benchmark Mortgage Trust (19-B14-225C) |
| |||||||||||
3.40% (1)(3) | 12/15/62 | 13,234,000 | 12,832,643 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Benchmark Mortgage Trust (19-B14-225D) |
| |||||||||||
3.40% (1)(3) | 12/15/62 | $ | 20,303,000 | $ | 19,285,493 | |||||||
BFLD Trust (20-OBRK-A) |
| |||||||||||
2.17% (1 mo. USD LIBOR + 2.050%) (1)(2) | 11/15/28 | 17,940,000 | 18,184,472 | |||||||||
BX Commercial Mortgage Trust (20-VIV4-A) |
| |||||||||||
2.84% (1) | 03/09/44 | 15,285,000 | 15,759,330 | |||||||||
BX Trust (19-OC11-A) |
| |||||||||||
3.20% (1) | 12/09/41 | 8,270,000 | 8,776,652 | |||||||||
CAMB Commercial Mortgage Trust (19-LIFE-D) |
| |||||||||||
1.87% (1 mo. USD LIBOR + 1.750%) (1)(2) | 12/15/37 | 14,425,000 | 14,449,276 | |||||||||
CPT Mortgage Trust (19-CPT-A) |
| |||||||||||
2.87% (1) | 11/13/39 | 12,500,000 | 13,145,280 | |||||||||
CSAIL Commercial Mortgage Trust (18-CX11-A3) |
| |||||||||||
4.09% | 04/15/51 | 8,470,000 | 9,325,882 | |||||||||
CSAIL Commercial Mortgage Trust (20-C19-ASB) |
| |||||||||||
2.55% | 03/15/53 | 31,288,000 | 32,921,522 | |||||||||
DBGS BIOD Mortgage Trust (18-C1-A4) |
| |||||||||||
4.47% | 10/15/51 | 8,000,000 | 9,306,692 | |||||||||
DBGS Mortgage Trust (18-BIOD-E) |
| |||||||||||
1.81% (1 mo. USD LIBOR + 1.700%) (1)(2) | 05/15/35 | 9,281,389 | 9,304,603 | |||||||||
DBWF Mortgage Trust (16-85T-A) |
| |||||||||||
3.79% (1) | 12/10/36 | 6,385,000 | 7,077,309 | |||||||||
DC Office Trust (19-MTC-A) |
| |||||||||||
2.97% (1) | 09/15/45 | 5,750,000 | 6,082,335 | |||||||||
Grace Trust (20-GRCE-A) |
| |||||||||||
2.35% (1) | 12/10/40 | 30,000,000 | 30,021,566 | |||||||||
Great Wolf Trust (19-WOLF-A) |
| |||||||||||
1.15% (1 mo. USD LIBOR + 1.034%) (1)(2) | 12/15/36 | 25,630,000 | 25,668,414 | |||||||||
GS Mortgage Securities Corp. Trust (12-ALOH-A) |
| |||||||||||
3.55% (1) | 04/10/34 | 13,366,000 | 13,571,266 | |||||||||
GS Mortgage Securities Corp. Trust (12-ALOH-D) |
| |||||||||||
4.27% (1)(3) | 04/10/34 | 10,605,000 | 10,662,352 | |||||||||
GS Mortgage Securities Trust (20-GC47-A5) |
| |||||||||||
2.38% | 05/12/53 | 13,305,000 | 13,554,941 | |||||||||
Houston Galleria Mall Trust (15-HGLR-D) |
| |||||||||||
3.98% (1) | 03/05/37 | 17,500,000 | 17,445,099 | |||||||||
Hudson Yards Mortgage Trust (19-55HY-A) |
| |||||||||||
3.04% (1)(3) | 12/10/41 | 5,750,000 | 6,106,068 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (18-LAQ-A) |
| |||||||||||
1.12% (1 mo. USD LIBOR + 1.000%) (1)(2) | 06/15/32 | 15,638,012 | 15,660,756 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (18-PHH-A) |
| |||||||||||
2.41% (1 mo. USD LIBOR + 0.910%) (1)(2) | 06/15/35 | 11,619,337 | 11,657,165 |
See accompanying Notes to Financial Statements.
62
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TCW Total Return Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (19-OSB-A) |
| |||||||||||
3.40% (1) | 06/05/39 | $ | 13,765,000 | $ | 15,050,711 | |||||||
Life Mortgage Trust (21-BMR-G) |
| |||||||||||
3.07% (1 mo. USD LIBOR + 2.950%) (1)(2) | 03/15/38 | 21,493,000 | 21,557,956 | |||||||||
MFT Trust (20-ABC-D) |
| |||||||||||
3.59% (1)(3) | 02/10/42 | 3,245,000 | 3,075,991 | |||||||||
Morgan Stanley Capital I Trust (18-MP-A) |
| |||||||||||
4.42% (1)(3) | 07/11/40 | 18,650,000 | 20,935,302 | |||||||||
Morgan Stanley Capital I Trust (19-L2-A3) |
| |||||||||||
3.81% | 03/15/52 | 6,865,000 | 7,617,037 | |||||||||
Morgan Stanley Capital I Trust (19-L2-A4) |
| |||||||||||
4.07% | 03/15/52 | 8,675,000 | 9,901,683 | |||||||||
Morgan Stanley Capital I Trust (20-CNP-A) |
| |||||||||||
2.51% (1)(3) | 04/05/42 | 18,000,000 | 18,313,326 | |||||||||
One Bryant Park Trust (19-OBP-A) |
| |||||||||||
2.52% (1) | 09/15/54 | 16,825,000 | 17,255,879 | |||||||||
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A2A) |
| |||||||||||
3.66% (1)(3) | 01/05/43 | 20,935,000 | 20,825,265 | |||||||||
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A2B) |
| |||||||||||
4.14% (1)(3) | 01/05/43 | 340,000 | 336,799 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $576,859,768) |
| 577,760,662 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 57.2% | ||||||||||||
Fannie Mae, Pool #FM2318 |
| |||||||||||
3.50% | 09/01/49 | 48,718,233 | 52,752,999 | |||||||||
Fannie Mae, Pool #MA3811 |
| |||||||||||
3.00% | 10/01/49 | 7,558,707 | 7,780,239 | |||||||||
Fannie Mae, Pool #MA4152 |
| |||||||||||
2.00% | 10/01/40 | 66,554,551 | 68,015,545 | |||||||||
Fannie Mae |
| |||||||||||
0.41% (1 mo. USD LIBOR + 0.300%) (2) | 06/25/48 | 34,325,770 | 34,469,744 | |||||||||
Fannie Mae , Pool #BM5979 |
| |||||||||||
3.50% | 09/01/45 | 9,905,206 | 10,796,733 | |||||||||
Fannie Mae , Pool #FM2342 |
| |||||||||||
3.50% | 12/01/46 | 5,688,006 | 6,199,960 | |||||||||
Fannie Mae , Pool #MA3971 |
| |||||||||||
3.00% | 03/01/50 | 4,460,711 | 4,585,734 | |||||||||
Fannie Mae (01-40-Z) |
| |||||||||||
6.00% | 08/25/31 | 127,078 | 143,944 | |||||||||
Fannie Mae (03-117-TG) (PAC) |
| |||||||||||
4.75% | 08/25/33 | 202,009 | 213,983 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (04-52-SW) (I/O) (I/F) |
| |||||||||||
6.99% (-1 x 1 mo. USD LIBOR + 7.100%) (2) | 07/25/34 | $ | 455,407 | $ | 54,479 | |||||||
Fannie Mae (04-65-LT) |
| |||||||||||
4.50% | 08/25/24 | 465,219 | 485,830 | |||||||||
Fannie Mae (04-68-LC) |
| |||||||||||
5.00% | 09/25/29 | 978,316 | 1,083,430 | |||||||||
Fannie Mae (05-117-LC) (PAC) |
| |||||||||||
5.50% | 11/25/35 | 1,613,289 | 1,679,301 | |||||||||
Fannie Mae (05-74-CP) (I/F) (PAC) |
| |||||||||||
24.36% (-1 x 1 mo. USD LIBOR + 24.750%) (2) | 05/25/35 | 123,037 | 167,215 | |||||||||
Fannie Mae (07-103-AI) (I/O) (I/F) |
| |||||||||||
6.39% (-1 x 1 mo. USD LIBOR + 6.500%) (2) | 03/25/37 | 3,337,927 | 612,860 | |||||||||
Fannie Mae (07-20-SI) (I/O) (I/F) |
| |||||||||||
6.34% (-1 x 1 mo. USD LIBOR + 6.450%) (2) | 03/25/37 | 847,184 | 132,338 | |||||||||
Fannie Mae (07-21-SE) (I/O) (I/F) |
| |||||||||||
6.33% (-1 x 1 mo. USD LIBOR + 6.440%) (2) | 03/25/37 | 673,372 | 98,573 | |||||||||
Fannie Mae (07-56-SG) (I/O) (I/F) |
| |||||||||||
6.30% (-1 x 1 mo. USD LIBOR + 6.410%) (2) | 06/25/37 | 798,600 | 87,750 | |||||||||
Fannie Mae (07-58-SV) (I/O) (I/F) |
| |||||||||||
6.64% (-1 x 1 mo. USD LIBOR + 6.750%) (2) | 06/25/37 | 3,591,394 | 544,140 | |||||||||
Fannie Mae (07-65-S) (I/O) (I/F) |
| |||||||||||
6.49% (-1 x 1 mo. USD LIBOR + 6.600%) (2) | 07/25/37 | 596,841 | 79,724 | |||||||||
Fannie Mae (07-88-FY) |
| |||||||||||
0.57% (-1 x 1 mo. USD LIBOR + 0.460%) (2) | 09/25/37 | 466,718 | 472,739 | |||||||||
Fannie Mae (07-B2-ZA) |
| |||||||||||
5.50% | 06/25/37 | 8,313,425 | 9,693,781 | |||||||||
Fannie Mae (08-1-AI) (I/O) (I/F) |
| |||||||||||
6.14% (-1 x 1 mo. USD LIBOR + 6.250%) (2) | 05/25/37 | 3,506,777 | 473,443 | |||||||||
Fannie Mae (08-13-SB) (I/O) (I/F) |
| |||||||||||
6.13% (-1 x 1 mo. USD LIBOR + 6.240%) (2) | 03/25/38 | 3,199,896 | 703,746 | |||||||||
Fannie Mae (08-23-SB) (I/O) (I/F) |
| |||||||||||
6.74% (-1 x 1 mo. USD LIBOR + 6.850%) (2) | 04/25/38 | 4,653,517 | 798,043 | |||||||||
Fannie Mae (08-35-SD) (I/O) (I/F) |
| |||||||||||
6.34% (-1 x 1 mo. USD LIBOR + 6.450%) (2) | 05/25/38 | 468,180 | 67,521 | |||||||||
Fannie Mae (08-66-SG) (I/O) (I/F) |
| |||||||||||
5.96% (-1 x 1 mo. USD LIBOR + 6.070%) (2) | 08/25/38 | 6,909,670 | 1,335,778 |
See accompanying Notes to Financial Statements.
63
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 (08-68-SA) (I/O) (I/F) |
| |||||||||||
5.86% (-1 x 1 mo. USD LIBOR + 5.970%) (2) | 08/25/38 | $ | 2,548,009 | $ | 308,309 | |||||||
Fannie Mae (09-3-SH) (I/O) (I/F) |
| |||||||||||
5.34% (-1 x 1 mo. USD LIBOR + 5.450%) (2) | 06/25/37 | 911,207 | 103,670 | |||||||||
Fannie Mae (09-47-SV) (I/O) (I/F) |
| |||||||||||
6.64% (-1 x 1 mo. USD LIBOR + 6.750%) (2) | 07/25/39 | 672,502 | 72,971 | |||||||||
Fannie Mae (09-51-SA) (I/O) (I/F) |
| |||||||||||
6.64% (-1 x 1 mo. USD LIBOR + 6.750%) (2) | 07/25/39 | 3,044,149 | 480,909 | |||||||||
Fannie Mae (09-6-SD) (I/O) (I/F) |
| |||||||||||
5.44% (-1 x 1 mo. USD LIBOR + 5.550%) (2) | 02/25/39 | 810,582 | 131,861 | |||||||||
Fannie Mae (09-68-KB) |
| |||||||||||
4.00% | 09/25/24 | 1,817,886 | 1,891,685 | |||||||||
Fannie Mae (09-71-LB) |
| |||||||||||
4.00% | 09/25/29 | 7,290,114 | 7,896,769 | |||||||||
Fannie Mae (09-72-AC) |
| |||||||||||
4.00% | 09/25/29 | 9,422,625 | 10,240,524 | |||||||||
Fannie Mae (09-72-JS) (I/O) (I/F) |
| |||||||||||
7.14% (-1 x 1 mo. USD LIBOR + 7.250%) (2) | 09/25/39 | 527,952 | 126,617 | |||||||||
Fannie Mae (10-136-CX) (PAC) |
| |||||||||||
4.00% | 08/25/39 | 17,047,218 | 17,637,883 | |||||||||
Fannie Mae (11-111-DB) |
| |||||||||||
4.00% | 11/25/41 | 13,727,266 | 15,057,631 | |||||||||
Fannie Mae (12-128-UY) (PAC) |
| |||||||||||
2.50% | 11/25/42 | 11,738,000 | 12,064,181 | |||||||||
Fannie Mae (12-133-GC) (PAC) |
| |||||||||||
2.50% | 08/25/41 | 14,063,693 | 14,489,449 | |||||||||
Fannie Mae (12-153-PC) (PAC) |
| |||||||||||
2.00% | 05/25/42 | 3,650,290 | 3,730,944 | |||||||||
Fannie Mae (13-101-BO) (P/O) |
| |||||||||||
0.00% (5) | 10/25/43 | 4,903,211 | 4,373,389 | |||||||||
Fannie Mae (13-101-CO) (P/O) |
| |||||||||||
0.00% (5) | 10/25/43 | 11,176,219 | 9,822,837 | |||||||||
Fannie Mae (13-21-EC) (I/O) |
| |||||||||||
2.00% | 12/25/38 | 1,428,211 | 1,429,670 | |||||||||
Fannie Mae (13-95-PN) (PAC) |
| |||||||||||
3.00% | 01/25/43 | 21,400,000 | 22,551,784 | |||||||||
Fannie Mae (16-106-EF) |
| |||||||||||
0.61% (1 mo. USD LIBOR + 0.500%) (2) | 01/25/47 | 17,591,584 | 17,791,311 | |||||||||
Fannie Mae (16-63-AF) |
| |||||||||||
0.61% (1 mo. USD LIBOR + 0.500%) (2) | 09/25/46 | 10,786,993 | 10,906,525 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (18-25-FA) |
| |||||||||||
0.41% (1 mo. USD LIBOR + 0.300%) (2) | 04/25/48 | $ | 20,273,565 | $ | 20,386,282 | |||||||
Fannie Mae (18-52 PZ) (PAC) |
| |||||||||||
4.00% | 07/25/48 | 3,166,778 | 3,437,026 | |||||||||
Fannie Mae (18-55 PA) (PAC) |
| |||||||||||
3.50% | 01/25/47 | 7,307,421 | 7,624,079 | |||||||||
Fannie Mae (19-57) |
| |||||||||||
2.50% | 10/25/49 | 13,041,717 | 13,607,022 | |||||||||
Fannie Mae (20-10-FA) |
| |||||||||||
0.61% (1 mo. USD LIBOR + 0.500%) (2) | 03/25/50 | 13,515,624 | 13,621,687 | |||||||||
Fannie Mae (20-12-FL) |
| |||||||||||
0.56% (1 mo. USD LIBOR + 0.450%) (2) | 03/25/50 | 24,096,182 | 24,339,421 | |||||||||
Fannie Mae (93-202-SZ) (I/F) (PAC) |
| |||||||||||
10.00% (Prime+44.3) (2) | 11/25/23 | 17,935 | 19,195 | |||||||||
Fannie Mae (95-21-C) (P/O) |
| |||||||||||
0.00% (5) | 05/25/24 | 110,586 | 110,345 | |||||||||
Fannie Mae (G92-29-J) |
| |||||||||||
8.00% | 07/25/22 | 1,462 | 1,490 | |||||||||
Fannie Mae, Pool #254634 |
| |||||||||||
5.50% | 02/01/23 | 21,927 | 24,539 | |||||||||
Fannie Mae, Pool #257536 |
| |||||||||||
5.00% | 01/01/29 | 857,123 | 957,497 | |||||||||
Fannie Mae, Pool #310033 |
| |||||||||||
6.00% | 07/01/47 | 414,771 | 487,186 | |||||||||
Fannie Mae, Pool #555424 |
| |||||||||||
5.50% | 05/01/33 | 2,075,769 | 2,382,810 | |||||||||
Fannie Mae, Pool #661856 |
| |||||||||||
2.12% (12 mo. USD LIBOR + 1.623%) (2) | 10/01/32 | 26,352 | 26,952 | |||||||||
Fannie Mae, Pool #671133 |
| |||||||||||
1.66% (6 mo. USD LIBOR + 1.413%) (2) | 02/01/33 | 66,573 | 67,968 | |||||||||
Fannie Mae, Pool #687847 |
| |||||||||||
1.99% (12 mo. USD LIBOR + 1.615%) (2) | 02/01/33 | 19,149 | 19,374 | |||||||||
Fannie Mae, Pool #692104 |
| |||||||||||
1.66% (6 mo. USD LIBOR + 1.413%) (2) | 02/01/33 | 359,979 | 371,033 | |||||||||
Fannie Mae, Pool #699866 |
| |||||||||||
2.53% (12 mo. USD LIBOR + 1.573%) (2) | 04/01/33 | 184,327 | 193,465 | |||||||||
Fannie Mae, Pool #704454 |
| |||||||||||
2.99% (12 mo. USD LIBOR + 1.686%) (2) | 05/01/33 | 26,134 | 26,570 | |||||||||
Fannie Mae, Pool #728824 |
| |||||||||||
2.26% (12 mo. USD LIBOR + 1.639%) (2) | 07/01/33 | 67,545 | 67,958 |
See accompanying Notes to Financial Statements.
64
Table of Contents
TCW Total Return Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #734384 |
| |||||||||||
5.50% | 07/01/33 | $ | 254,525 | $ | 286,448 | |||||||
Fannie Mae, Pool #888593 |
| |||||||||||
7.00% | 06/01/37 | 283,780 | 345,713 | |||||||||
Fannie Mae, Pool #934103 |
| |||||||||||
5.00% | 07/01/38 | 262,482 | 288,773 | |||||||||
Fannie Mae, Pool #979563 |
| |||||||||||
5.00% | 04/01/28 | 545,108 | 608,525 | |||||||||
Fannie Mae, Pool #995040 |
| |||||||||||
5.00% | 06/01/23 | 110,005 | 115,528 | |||||||||
Fannie Mae, Pool #995425 |
| |||||||||||
6.00% | 01/01/24 | 456,206 | 475,314 | |||||||||
Fannie Mae, Pool #995573 |
| |||||||||||
6.00% | 01/01/49 | 1,247,148 | 1,364,406 | |||||||||
Fannie Mae, Pool #995953 |
| |||||||||||
6.00% | 11/01/28 | 2,317,128 | 2,607,293 | |||||||||
Fannie Mae, Pool #995954 |
| |||||||||||
6.00% | 03/01/29 | 1,322,754 | �� | 1,488,605 | ||||||||
Fannie Mae, Pool #AA3303 |
| |||||||||||
5.50% | 06/01/38 | 2,236,169 | 2,597,636 | |||||||||
Fannie Mae, Pool #AB6210 |
| |||||||||||
3.00% | 09/01/42 | 24,458,806 | 26,154,335 | |||||||||
Fannie Mae, Pool #AE0588 |
| |||||||||||
6.00% | 08/01/37 | 4,714,439 | 5,608,269 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 3,151,685 | 3,674,823 | |||||||||
Fannie Mae, Pool #AL1594 |
| |||||||||||
6.00% | 07/01/40 | 2,382,460 | 2,775,171 | |||||||||
Fannie Mae, Pool #AL9106 |
| |||||||||||
4.50% | 02/01/46 | 14,836,341 | 16,575,628 | |||||||||
Fannie Mae, Pool #AS7241 |
| |||||||||||
3.50% | 05/01/46 | 10,095,509 | 10,956,842 | |||||||||
Fannie Mae, Pool #AS9454 |
| |||||||||||
4.00% | 04/01/47 | 2,090,430 | 2,253,085 | |||||||||
Fannie Mae, Pool #AS9749 |
| |||||||||||
4.00% | 06/01/47 | 6,472,428 | 6,976,043 | |||||||||
Fannie Mae, Pool #AS9830 |
| |||||||||||
4.00% | 06/01/47 | 6,092,311 | 6,566,350 | |||||||||
Fannie Mae, Pool #AS9972 |
| |||||||||||
4.00% | 07/01/47 | 5,980,671 | 6,446,024 | |||||||||
Fannie Mae, Pool #BN4316 |
| |||||||||||
4.00% | 01/01/49 | 232,666 | 251,375 | |||||||||
Fannie Mae, Pool #BN6264 |
| |||||||||||
4.00% | 04/01/49 | 5,233,269 | 5,661,813 | |||||||||
Fannie Mae, Pool #CA1540 |
| |||||||||||
4.00% | 04/01/48 | 20,148,332 | 22,082,298 | |||||||||
Fannie Mae, Pool #CA1710 |
| |||||||||||
4.50% | 05/01/48 | 11,340,372 | 12,379,732 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #CA1711 |
| |||||||||||
4.50% | 05/01/48 | $ | 11,012,408 | $ | 12,036,282 | |||||||
Fannie Mae, Pool #CA2208 |
| |||||||||||
4.50% | 08/01/48 | 12,576,278 | 13,737,479 | |||||||||
Fannie Mae, Pool #MA1561 |
| |||||||||||
3.00% | 09/01/33 | 26,422,901 | 28,088,200 | |||||||||
Fannie Mae, Pool #MA1584 |
| |||||||||||
3.50% | 09/01/33 | 17,370,735 | 18,921,730 | |||||||||
Fannie Mae, Pool #MA2871 |
| |||||||||||
3.00% | 01/01/32 | 6,867,995 | 7,254,291 | |||||||||
Fannie Mae, Pool #MA2995 |
| |||||||||||
4.00% | 05/01/47 | 6,646,021 | 7,211,682 | |||||||||
Fannie Mae, Pool #MA3248 |
| |||||||||||
3.50% | 01/01/33 | 7,576,642 | 8,150,234 | |||||||||
Fannie Mae, Pool #MA3313 |
| |||||||||||
3.50% | 03/01/33 | 1,794,716 | 1,922,769 | |||||||||
Fannie Mae, Pool #MA3340 |
| |||||||||||
3.50% | 04/01/33 | 14,747,227 | 15,818,991 | |||||||||
Fannie Mae, Pool #MA3427 |
| |||||||||||
4.00% | 07/01/33 | 10,707,688 | 11,428,408 | |||||||||
Freddie Mac (4896-DA) |
| |||||||||||
3.00% | 01/15/49 | 3,355,475 | 3,460,945 | |||||||||
Freddie Mac (4648-FA) |
| |||||||||||
0.61% (1 mo. USD LIBOR + 0.500%) (2) | 01/15/47 | 10,857,679 | 10,973,466 | |||||||||
Freddie Mac (4929-FB) |
| |||||||||||
0.56% (1 mo. USD LIBOR + 0.450%) (2) | 09/25/49 | 19,798,767 | 19,939,999 | |||||||||
Freddie Mac (4959-JF) |
| |||||||||||
0.56% (1 mo. USD LIBOR + 0.450%) (2) | 03/25/50 | 25,847,991 | 26,120,386 | |||||||||
Freddie Mac , Pool #ZS4755 |
| |||||||||||
3.50% | 02/01/48 | 2,697,292 | 2,877,052 | |||||||||
Freddie Mac (1829-ZB) |
| |||||||||||
6.50% | 03/15/26 | 38,911 | 41,334 | |||||||||
Freddie Mac (2367-ZK) |
| |||||||||||
6.00% | 10/15/31 | 88,039 | 99,676 | |||||||||
Freddie Mac (2514-PZ) (PAC) |
| |||||||||||
5.50% | 10/15/32 | 1,398,286 | 1,581,306 | |||||||||
Freddie Mac (2571-PZ) (PAC) |
| |||||||||||
5.50% | 02/15/33 | 3,256,706 | 3,678,390 | |||||||||
Freddie Mac (2642-AR) |
| |||||||||||
4.50% | 07/15/23 | 136,352 | 140,901 | |||||||||
Freddie Mac (2647-OV) (P/O) |
| |||||||||||
0.00% (5) | 07/15/33 | 604,092 | 517,167 | |||||||||
Freddie Mac (2662-MT) (TAC) |
| |||||||||||
4.50% | 08/15/33 | 1,251,501 | 1,360,787 | |||||||||
Freddie Mac (2666-BD) |
| |||||||||||
4.50% | 08/15/23 | 313,053 | 324,353 |
See accompanying Notes to Financial Statements.
65
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 (2700-B) |
| |||||||||||
4.50% | 11/15/23 | $ | 547,871 | $ | 567,248 | |||||||
Freddie Mac (2752-GZ) (PAC) |
| |||||||||||
5.00% | 02/15/34 | 13,279,569 | 15,145,950 | |||||||||
Freddie Mac (277-30) |
| |||||||||||
3.00% | 09/15/42 | 16,134,256 | 17,151,057 | |||||||||
Freddie Mac (2882-JH) (PAC) |
| |||||||||||
4.50% | 10/15/34 | 1,297 | 1,297 | |||||||||
Freddie Mac (2903-PO) (P/O) |
| |||||||||||
0.00% (5) | 11/15/23 | 99,556 | 98,311 | |||||||||
Freddie Mac (3045-HZ) |
| |||||||||||
4.50% | 10/15/35 | 1,221,842 | 1,323,184 | |||||||||
Freddie Mac (3063-YG) (PAC) |
| |||||||||||
5.50% | 11/15/35 | 15,226,197 | 17,618,242 | |||||||||
Freddie Mac (3114-KZ) |
| |||||||||||
5.00% | 02/15/36 | 10,372,755 | 11,892,861 | |||||||||
Freddie Mac (3146-GE) |
| |||||||||||
5.50% | 04/15/26 | 2,355,114 | 2,545,376 | |||||||||
Freddie Mac (3149-OD) (P/O) (PAC) |
| |||||||||||
0.00% (5) | 05/15/36 | 3,569,444 | 3,291,749 | |||||||||
Freddie Mac (3315-S) (I/O) (I/F) |
| |||||||||||
6.30% (-1 x 1 mo. USD LIBOR + 6.410%) (2) | 05/15/37 | 705,305 | 102,612 | |||||||||
Freddie Mac (3376-SX) (I/O) (I/F) |
| |||||||||||
5.93% (-1 x 1 mo. USD LIBOR + 6.040%) (2) | 10/15/37 | 2,119,606 | 346,773 | |||||||||
Freddie Mac (3410-IS) (I/O) (I/F) |
| |||||||||||
6.16% (-1 x 1 mo. USD LIBOR + 6.270%) (2) | 02/15/38 | 2,770,901 | 445,876 | |||||||||
Freddie Mac (3424-BI) (I/O) (I/F) |
| |||||||||||
6.69% (-1 x 1 mo. USD LIBOR + 6.800%) (2) | 04/15/38 | 3,203,142 | 756,073 | |||||||||
Freddie Mac (3512-AY) |
| |||||||||||
4.00% | 02/15/24 | 1,022 | 1,031 | |||||||||
Freddie Mac (3519-SH) (I/O) (I/F) |
| |||||||||||
5.39% (-1 x 1 mo. USD LIBOR + 5.500%) (2) | 07/15/37 | 297,394 | 34,361 | |||||||||
Freddie Mac (3531-SC) (I/O) (I/F) |
| |||||||||||
6.19% (-1 x 1 mo. USD LIBOR + 6.300%) (2) | 05/15/39 | 4,615,763 | 375,042 | |||||||||
Freddie Mac (3541-SA) (I/O) (I/F) |
| |||||||||||
6.64% (-1 x 1 mo. USD LIBOR + 6.750%) (2) | 06/15/39 | 1,324,288 | 305,559 | |||||||||
Freddie Mac (3550-GS) (I/O) (I/F) |
| |||||||||||
6.64% (-1 x 1 mo. USD LIBOR + 6.750%) (2) | 07/15/39 | 4,252,213 | 952,380 | |||||||||
Freddie Mac (3551-VZ) |
| |||||||||||
5.50% | 12/15/32 | 1,788,731 | 2,042,826 | |||||||||
Freddie Mac (3557-KB) |
| |||||||||||
4.50% | 07/15/29 | 3,302,266 | 3,549,901 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac (3557-NB) |
| |||||||||||
4.50% | 07/15/29 | $ | 7,584,945 | $ | 8,177,944 | |||||||
Freddie Mac (3558-KB) |
| |||||||||||
4.00% | 08/15/29 | 3,513,589 | 3,802,391 | |||||||||
Freddie Mac (3565-XB) |
| |||||||||||
4.00% | 08/15/24 | 3,427,166 | 3,571,761 | |||||||||
Freddie Mac (3575-D) |
| |||||||||||
4.50% | 03/15/37 | 530,880 | 590,268 | |||||||||
Freddie Mac (3626-MD) (PAC) |
| |||||||||||
5.00% | 01/15/38 | 3,730,416 | 3,777,789 | |||||||||
Freddie Mac (3719-PJ) (PAC) |
| |||||||||||
4.50% | 09/15/40 | 20,025,406 | 22,401,270 | |||||||||
Freddie Mac (3788-SB) (I/O) (I/F) |
| |||||||||||
6.37% (-1 x 1 mo. USD LIBOR + 6.480%) (2) | 01/15/41 | 5,936,569 | 1,334,620 | |||||||||
Freddie Mac (3885-PO) (P/O) (PAC) |
| |||||||||||
0.00% (5) | 11/15/33 | 1,325,560 | 1,228,638 | |||||||||
Freddie Mac (3930-KE) (PAC) |
| |||||||||||
4.00% | 09/15/41 | 10,470,000 | 11,812,418 | |||||||||
Freddie Mac (4030-HS) (I/O) (I/F) |
| |||||||||||
6.50% (-1 x 1 mo. USD LIBOR + 6.610%) (2) | 04/15/42 | 2,351,955 | 491,264 | |||||||||
Freddie Mac (4604-PB) (PAC) |
| |||||||||||
3.00% | 01/15/46 | 2,201,517 | 2,317,334 | |||||||||
Freddie Mac (4846-PA) |
| |||||||||||
4.00% | 06/15/47 | 3,410,973 | 3,584,215 | |||||||||
Freddie Mac (R002-ZA) |
| |||||||||||
5.50% | 06/15/35 | 2,974,473 | 3,403,146 | |||||||||
Freddie Mac, Pool #A91162 |
| |||||||||||
5.00% | 02/01/40 | 14,653,956 | 16,973,491 | |||||||||
Freddie Mac, Pool #A92195 |
| |||||||||||
5.00% | 05/01/40 | 4,171,056 | 4,831,159 | |||||||||
Freddie Mac, Pool #C90552 |
| |||||||||||
6.00% | 06/01/22 | 4,911 | 5,521 | |||||||||
Freddie Mac, Pool #G01959 |
| |||||||||||
5.00% | 12/01/35 | 78,682 | 91,066 | |||||||||
Freddie Mac, Pool #G06173 |
| |||||||||||
4.00% | 11/01/40 | 17,919,717 | 19,991,113 | |||||||||
Freddie Mac, Pool #G07556 |
| |||||||||||
4.00% | 11/01/43 | 5,552,116 | 6,194,130 | |||||||||
Freddie Mac, Pool #G07786 |
| |||||||||||
4.00% | 08/01/44 | 18,497,020 | 20,545,850 | |||||||||
Freddie Mac, Pool #G07848 |
| |||||||||||
3.50% | 04/01/44 | 45,629,003 | 50,125,809 | |||||||||
Freddie Mac, Pool #G08687 |
| |||||||||||
3.50% | 01/01/46 | 32,816,159 | 35,260,895 | |||||||||
Freddie Mac, Pool #G08710 |
| |||||||||||
3.00% | 06/01/46 | 1,721,178 | 1,815,754 |
See accompanying Notes to Financial Statements.
66
Table of Contents
TCW Total Return Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | $ | 9,595,335 | $ | 10,357,310 | |||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 37,714,261 | 39,786,595 | |||||||||
Freddie Mac, Pool #G08833 |
| |||||||||||
5.00% | 07/01/48 | 6,280,856 | 6,945,780 | |||||||||
Freddie Mac, Pool #G08840 |
| |||||||||||
5.00% | 08/01/48 | 1,028,180 | 1,139,732 | |||||||||
Freddie Mac, Pool #G08843 |
| |||||||||||
4.50% | 10/01/48 | 8,029,651 | 8,754,133 | |||||||||
Freddie Mac, Pool #G08848 |
| |||||||||||
4.50% | 11/01/48 | 3,978,309 | 4,342,411 | |||||||||
Freddie Mac, Pool #G08849 |
| |||||||||||
5.00% | 11/01/48 | 7,364,718 | 8,175,488 | |||||||||
Freddie Mac, Pool #G12635 |
| |||||||||||
5.50% | 03/01/22 | 589 | 591 | |||||||||
Freddie Mac, Pool #G13390 |
| |||||||||||
6.00% | 01/01/24 | 84,414 | 86,521 | |||||||||
Freddie Mac, Pool #G16085 |
| |||||||||||
2.50% | 02/01/32 | 4,557,628 | 4,809,114 | |||||||||
Freddie Mac, Pool #G16258 |
| |||||||||||
2.50% | 06/01/32 | 19,919,879 | 21,047,007 | |||||||||
Freddie Mac, Pool #G16598 |
| |||||||||||
2.50% | 12/01/31 | 4,178,400 | 4,400,216 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 19,761,345 | 20,912,725 | |||||||||
Freddie Mac, Pool #G18627 |
| |||||||||||
3.00% | 01/01/32 | 11,474,632 | 12,144,089 | |||||||||
Freddie Mac, Pool #G30450 |
| |||||||||||
6.00% | 01/01/29 | 817,217 | 919,912 | |||||||||
Freddie Mac, Pool #G30452 |
| |||||||||||
6.00% | 10/01/28 | 873,821 | 983,590 | |||||||||
Freddie Mac, Pool #G30454 |
| |||||||||||
5.00% | 05/01/29 | 1,043,950 | 1,159,476 | |||||||||
Freddie Mac, Pool #G60238 |
| |||||||||||
3.50% | 10/01/45 | 5,281,822 | 5,774,049 | |||||||||
Freddie Mac, Pool #G60440 |
| |||||||||||
3.50% | 03/01/46 | 37,592,990 | 41,019,218 | |||||||||
Freddie Mac, Pool #G67700 |
| |||||||||||
3.50% | 08/01/46 | 34,461,672 | 37,577,920 | |||||||||
Freddie Mac, Pool #G67703 |
| |||||||||||
3.50% | 04/01/47 | 56,000,529 | 61,029,461 | |||||||||
Freddie Mac, Pool #G67705 |
| |||||||||||
4.00% | 10/01/47 | 5,336,156 | 5,893,669 | |||||||||
Freddie Mac, Pool #G67706 |
| |||||||||||
3.50% | 12/01/47 | 37,368,391 | 40,624,386 | |||||||||
Freddie Mac, Pool #G67707 |
| |||||||||||
3.50% | 01/01/48 | 19,569,279 | 21,408,904 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G67708 |
| |||||||||||
3.50% | 03/01/48 | $ | 48,387,834 | $ | 52,537,806 | |||||||
Freddie Mac, Pool #G67709 |
| |||||||||||
3.50% | 03/01/48 | 30,635,183 | 33,304,498 | |||||||||
Freddie Mac, Pool #G67717 |
| |||||||||||
4.00% | 11/01/48 | 47,695,115 | 52,263,772 | |||||||||
Freddie Mac, Pool #N70081 |
| |||||||||||
5.50% | 07/01/38 | 2,330,096 | 2,608,312 | |||||||||
Freddie Mac, Pool #P51350 |
| |||||||||||
5.00% | 03/01/36 | 2,128,167 | 2,420,948 | |||||||||
Freddie Mac, Pool #SD7511 |
| |||||||||||
3.50% | 01/01/50 | 40,819,125 | 44,212,456 | |||||||||
Freddie Mac, Pool #SD7513 |
| |||||||||||
3.50% | 04/01/50 | 22,965,172 | 24,967,583 | |||||||||
Freddie Mac, Pool #ZT1491 |
| |||||||||||
3.50% | 11/01/48 | 13,283,467 | 14,379,431 | |||||||||
Ginnie Mae (03-42-SH) (I/O) (I/F) |
| |||||||||||
6.43% (-1 x 1 mo. USD LIBOR + 6.550%) (2) | 05/20/33 | 524,993 | 81,447 | |||||||||
Ginnie Mae (11-70-BO) (P/O) |
| |||||||||||
0.00% (5) | 05/20/41 | 5,695,275 | 4,993,700 | |||||||||
Ginnie Mae (15-42-ZB) |
| |||||||||||
3.00% | 03/20/45 | 19,144,409 | 20,350,279 | |||||||||
Ginnie Mae (15-43-DM) |
| |||||||||||
2.50% | 03/20/45 | 20,000,000 | 21,073,856 | |||||||||
Ginnie Mae (15-44-Z) |
| |||||||||||
3.00% | 03/20/45 | 12,955,191 | 13,933,493 | |||||||||
Ginnie Mae, Pool #MA3662 |
| |||||||||||
3.00% | 05/20/46 | 10,441,521 | 11,048,858 | |||||||||
Ginnie Mae II, Pool #MA6030 |
| |||||||||||
3.50% | 07/20/49 | 7,201,861 | 7,495,366 | |||||||||
Ginnie Mae II, Pool #80963 |
| |||||||||||
2.25% (1-year Treasury Constant Maturity Rate + 1.500%)(2) | 07/20/34 | 97,089 | 99,759 | |||||||||
Ginnie Mae II, Pool #MA2374 |
| |||||||||||
5.00% | 11/20/44 | 367,526 | 418,740 | |||||||||
Ginnie Mae II, Pool #MA2828 |
| |||||||||||
4.50% | 05/20/45 | 256,637 | 288,044 | |||||||||
Ginnie Mae II, Pool #MA3456 |
| |||||||||||
4.50% | 02/20/46 | 1,395,521 | 1,566,118 | |||||||||
Ginnie Mae II, Pool #MA3521 |
| |||||||||||
3.50% | 03/20/46 | 35,571,631 | 38,416,394 | |||||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 17,515,097 | 18,915,829 | |||||||||
Ginnie Mae II, Pool #MA3665 |
| |||||||||||
4.50% | 05/20/46 | 2,173,533 | 2,414,065 |
See accompanying Notes to Financial Statements.
67
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) | ||||||||||||
Ginnie Mae II, Pool #MA3735 |
| |||||||||||
3.00% | 06/20/46 | $ | 133,341 | $ | 141,096 | |||||||
Ginnie Mae II, Pool #MA3736 |
| |||||||||||
3.50% | 06/20/46 | 13,632,513 | 14,701,443 | |||||||||
Ginnie Mae II, Pool #MA3739 |
| |||||||||||
5.00% | 06/20/46 | 4,067,443 | 4,669,109 | |||||||||
Ginnie Mae II, Pool #MA3876 |
| |||||||||||
4.50% | 08/20/46 | 131,595 | 146,240 | |||||||||
Ginnie Mae II, Pool #MA3877 |
| |||||||||||
5.00% | 08/20/46 | 1,902,090 | 2,168,331 | |||||||||
Ginnie Mae II, Pool #MA4006 |
| |||||||||||
4.50% | 10/20/46 | 64,355 | 71,759 | |||||||||
Ginnie Mae II, Pool #MA4007 |
| |||||||||||
5.00% | 10/20/46 | 4,122,354 | 4,732,063 | |||||||||
Ginnie Mae II, Pool #MA4071 |
| |||||||||||
4.50% | 11/20/46 | 292,622 | 327,863 | |||||||||
Ginnie Mae II, Pool #MA4126 |
| |||||||||||
3.00% | 12/20/46 | 46,528,215 | 49,234,552 | |||||||||
Ginnie Mae II, Pool #MA4129 |
| |||||||||||
4.50% | 12/20/46 | 98,041 | 109,561 | |||||||||
Ginnie Mae II, Pool #MA4199 |
| |||||||||||
5.00% | 01/20/47 | 3,928,018 | 4,508,974 | |||||||||
Ginnie Mae II, Pool #MA4264 |
| |||||||||||
4.50% | 02/20/47 | 10,818,568 | 11,941,420 | |||||||||
Ginnie Mae II, Pool #MA4265 |
| |||||||||||
5.00% | 02/20/47 | 3,488,848 | 4,005,046 | |||||||||
Ginnie Mae II, Pool #MA4324 |
| |||||||||||
5.00% | 03/20/47 | 3,899,346 | 4,438,003 | |||||||||
Ginnie Mae II, Pool #MA4385 |
| |||||||||||
5.00% | 04/20/47 | 854,592 | 962,194 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 637,674 | 711,006 | |||||||||
Ginnie Mae II, Pool #MA4512 |
| |||||||||||
4.50% | 06/20/47 | 26,544,672 | 29,154,563 | |||||||||
Ginnie Mae II, Pool #MA4513 |
| |||||||||||
5.00% | 06/20/47 | 2,492,149 | 2,778,605 | |||||||||
Ginnie Mae II, Pool #MA4781 |
| |||||||||||
5.00% | 10/20/47 | 2,967,746 | 3,283,916 | |||||||||
Ginnie Mae II, Pool #MA4836 |
| |||||||||||
3.00% | 11/20/47 | 14,473,186 | 15,303,753 | |||||||||
Ginnie Mae II, Pool #MA4838 |
| |||||||||||
4.00% | 11/20/47 | 15,167,205 | 16,401,201 | |||||||||
Ginnie Mae II, Pool #MA4900 |
| |||||||||||
3.50% | 12/20/47 | 11,051,665 | 11,813,723 | |||||||||
Ginnie Mae II, Pool #MA4901 |
| |||||||||||
4.00% | 12/20/47 | 1,050,092 | 1,134,637 | |||||||||
Ginnie Mae II, Pool #MA4962 |
| |||||||||||
3.50% | 01/20/48 | 13,283,656 | 14,199,620 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA5466 |
| |||||||||||
4.00% | 09/20/48 | $ | 9,428,218 | $ | 10,120,591 | |||||||
Ginnie Mae II, Pool #MA5467 |
| |||||||||||
4.50% | 09/20/48 | 1,103,627 | 1,196,875 | |||||||||
Ginnie Mae II, Pool #MA5528 |
| |||||||||||
4.00% | 10/20/48 | 8,004,606 | 8,592,435 | |||||||||
Ginnie Mae II, Pool #MA6080 |
| |||||||||||
3.00% | 08/20/49 | 589,499 | 603,847 | |||||||||
Ginnie Mae II, Pool #MA6081 |
| |||||||||||
3.50% | 08/20/49 | 2,315,113 | 2,409,464 | |||||||||
Ginnie Mae II, Pool #MA6209 |
| |||||||||||
3.00% | 10/20/49 | 7,867,225 | 8,063,706 | |||||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
2.00% (6) | 10/01/50 | 183,875,000 | 187,329,837 | |||||||||
2.50% (6) | 05/01/50 | 10,825,000 | 11,254,906 | |||||||||
2.50% (6) | 05/01/50 | 185,975,000 | 192,956,288 | |||||||||
Uniform Mortgage-Backed Securities TBA, 15 Year |
| |||||||||||
2.00% (6) | 02/01/36 | 52,825,000 | 54,568,638 | |||||||||
1.50% (6) | 02/01/36 | 153,350,000 | 155,011,829 | |||||||||
2.00% (6) | 02/01/36 | 172,875,000 | 178,355,407 | |||||||||
Uniform Mortgage-Backed Securities TBA, 30 Year |
| |||||||||||
2.00% (6) | 01/01/51 | 2,025,000 | 2,045,250 | |||||||||
2.00% (6) | 01/01/51 | 594,750,000 | 599,733,024 | |||||||||
2.50% (6) | 07/01/50 | 530,075,000 | 548,687,136 | |||||||||
2.50% (6) | 07/01/50 | 52,860,000 | 54,854,654 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $3,906,064,451) |
| 4,017,317,418 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 20.0% | ||||||||||||
ACE Securities Corp. (07-ASP1-A2C) |
| |||||||||||
0.37% (1 mo. USD LIBOR + 0.260%)(2) | 03/25/37 | 12,801,544 | 7,176,623 | |||||||||
ACE Securities Corp. (07-ASP1-A2D) |
| |||||||||||
0.49% (1 mo. USD LIBOR + 0.380%) (2)(7) | 03/25/37 | 6,880,694 | 3,907,845 | |||||||||
ACE Securities Corp. Home Equity Loan Trust (07-HE1-A1) |
| |||||||||||
0.26% (1 mo. USD LIBOR + 0.150%)(2) | 01/25/37 | 32,883,096 | 22,225,997 | |||||||||
Adjustable Rate Mortgage Trust (04-5-3A1) |
| |||||||||||
2.56% (3) | 04/25/35 | 6,204 | 6,253 | |||||||||
Argent Securities Trust (06-M1-A2C) |
| |||||||||||
0.26% (1 mo. USD LIBOR + 0.300%)(2) | 07/25/36 | 50,212,065 | 21,480,716 | |||||||||
Argent Securities Trust (06-W4-A2C) |
| |||||||||||
0.43% (1 mo. USD LIBOR + 0.320%)(2) | 05/25/36 | 18,498,104 | 6,918,541 |
See accompanying Notes to Financial Statements.
68
Table of Contents
TCW Total Return Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates (05-W3-M2) |
| |||||||||||
0.80% (1 mo. USD LIBOR + 0.690%) (2) | 11/25/35 | $ | 24,000,000 | $ | 20,014,171 | |||||||
Asset-Backed Funding Certificates (07-NC1-A2) |
| |||||||||||
0.41% (1 mo. USD LIBOR + 0.300%) (1)(2) | 05/25/37 | 6,540,973 | 6,300,891 | |||||||||
Asset-Backed Funding Certificates (07-WMC1-A2A) |
| |||||||||||
0.86% (1 mo. USD LIBOR + 0.750%) (2) | 06/25/37 | 11,813,318 | 10,921,531 | |||||||||
Banc of America Funding Corp. (04-B-3A1) |
| |||||||||||
2.59% (3)(7) | 12/20/34 | 195,236 | 182,278 | |||||||||
Banc of America Funding Corp. (06-D-2A1) |
| |||||||||||
3.50% (3)(7) | 05/20/36 | 52,052 | 50,883 | |||||||||
Banc of America Funding Corp. (06-D-3A1) |
| |||||||||||
3.50% (3)(7) | 05/20/36 | 1,897,227 | 1,838,085 | |||||||||
Banc of America Funding Corp. (15-R8-1A1) |
| |||||||||||
1.10% (1)(3) | 11/26/46 | 2,242,194 | 2,230,417 | |||||||||
Banc of America Funding Trust (06-3-4A14) |
| |||||||||||
6.00% | 03/25/36 | 470,638 | 486,742 | |||||||||
Banc of America Funding Trust (06-3-5A3) |
| |||||||||||
5.50% (7) | 03/25/36 | 1,778,663 | 1,773,928 | |||||||||
BCAP LLC Trust (06-AA2-A1) |
| |||||||||||
0.28% (1 mo. USD LIBOR + 0.170%) (2) | 01/25/37 | 14,622,524 | 14,384,302 | |||||||||
BCAP LLC Trust (08-IND2-A1) |
| |||||||||||
1.76% (1 mo. USD LIBOR + 1.650%) (2) | 04/25/38 | 430,521 | 431,747 | |||||||||
Bear Stearns Alt-A Trust (05-2-2A4) |
| |||||||||||
2.82% (3) | 04/25/35 | 2,077 | 2,074 | |||||||||
Bear Stearns Alt-A Trust (05-4-23A1) |
| |||||||||||
2.68% (3) | 05/25/35 | 3,081,892 | 3,148,167 | |||||||||
Bear Stearns Alt-A Trust (06-4-32A1) |
| |||||||||||
3.19% (3) | 07/25/36 | 382,063 | 248,572 | |||||||||
Bear Stearns ARM Trust (04-12-1A1) |
| |||||||||||
2.88% (3) | 02/25/35 | 502,482 | 529,435 | |||||||||
Bear Stearns ARM Trust (05-10-A3) |
| |||||||||||
2.91% (3) | 10/25/35 | 2,306,835 | 2,318,530 | |||||||||
Bear Stearns ARM Trust (06-2-2A1) |
| |||||||||||
3.20% (3)(7) | 07/25/36 | 954,540 | 882,232 | |||||||||
Bear Stearns ARM Trust (07-1-1A1) |
| |||||||||||
3.09% (3) | 02/25/47 | 14,618,860 | 14,185,979 | |||||||||
Bear Stearns ARM Trust (07-1-2A1) |
| |||||||||||
2.80% (3)(7) | 02/25/47 | 139,858 | 138,295 | |||||||||
Bear Stearns ARM Trust (07-5-3A1) |
| |||||||||||
3.38% (3)(7) | 08/25/47 | 779,856 | 775,556 | |||||||||
Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A3) |
| |||||||||||
5.50% (3) | 09/25/35 | 1,144,875 | 1,158,767 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A4) |
| |||||||||||
5.40% (3) | 09/25/35 | $ | 2,447,938 | $ | 2,467,302 | |||||||
Bear Stearns Mortgage Funding Trust (06-AR1-2A1) |
| |||||||||||
0.33% (1 mo. USD LIBOR + 0.220%) (2) | 08/25/36 | 11,704,555 | 11,031,737 | |||||||||
Bear Stearns Mortgage Funding Trust (06-AR3-1A1) |
| |||||||||||
0.29% (1 mo. USD LIBOR + 0.180%) (2) | 10/25/36 | 380,360 | 353,945 | |||||||||
BNC Mortgage Loan Trust (07-1-A4) |
| |||||||||||
0.27% (1 mo. USD LIBOR + 0.160%) (2) | 03/25/37 | 6,646,751 | 6,368,939 | |||||||||
Chase Mortgage Finance Corp. (06-A1-2A1) |
| |||||||||||
3.27% (3)(7) | 09/25/36 | 496,424 | 456,914 | |||||||||
Chase Mortgage Finance Corp. (07-A1-8A1) |
| |||||||||||
2.70% (3) | 02/25/37 | 1,784,012 | 1,846,957 | |||||||||
Chaseflex Trust (05-1-1A5) |
| |||||||||||
6.50% (7) | 02/25/35 | 2,681,846 | 2,541,421 | |||||||||
CIM Trust (18-R2-A1) |
| |||||||||||
3.69% (1)(3) | 08/25/57 | 3,257,585 | 3,329,846 | |||||||||
CIM Trust (18-R5-A1) |
| |||||||||||
3.75% (1)(3) | 07/25/58 | 17,574,769 | 17,843,046 | |||||||||
CIM Trust (18-R6-A1) |
| |||||||||||
1.19% (1 mo. USD LIBOR + 1.076%) (1)(2) | 09/25/58 | 13,807,335 | 13,702,548 | |||||||||
CIM Trust (19-R3-A) |
| |||||||||||
2.63% (1)(3) | 06/25/58 | 18,533,223 | 18,362,249 | |||||||||
CIM Trust (20-NR1-A) |
| |||||||||||
3.45% (1) | 06/26/62 | 35,890,489 | 36,185,380 | |||||||||
CIM Trust (20-R1-A1) |
| |||||||||||
2.85% (1)(3) | 10/27/59 | 27,824,335 | 23,594,329 | |||||||||
CIM Trust (20-R3-A1A) |
| |||||||||||
4.00% (1)(3) | 01/26/60 | 23,859,502 | 22,597,432 | |||||||||
CIM Trust (20-R4-A1A) |
| |||||||||||
3.30% (1)(3) | 06/25/60 | 26,712,724 | 26,599,457 | |||||||||
CIM Trust (20-R6-A1A) |
| |||||||||||
2.25% (1)(3) | 12/25/60 | 18,073,988 | 17,933,855 | |||||||||
CIM Trust (20-R7-A1A) |
| |||||||||||
2.25% (1)(3) | 12/27/61 | 31,070,573 | 31,017,514 | |||||||||
CIM Trust (21-NR2-A1) |
| |||||||||||
2.57% (1) | 07/25/59 | 19,385,881 | 19,407,279 | |||||||||
CIM Trust (21-NR3-A1) |
| |||||||||||
2.57% (1) | 06/25/57 | 15,000,000 | 14,999,987 | |||||||||
CIM Trust (21-R3-A1A) |
| |||||||||||
1.95% (1)(3) | 06/25/57 | 34,880,000 | 35,057,857 | |||||||||
Citicorp Mortgage Securities Trust, Inc. (07-4-3A1) |
| |||||||||||
5.50% | 05/25/37 | 29,056 | 29,132 | |||||||||
Citigroup Mortgage Loan Trust (06-HE3-A1) |
| |||||||||||
0.39% (1 mo. USD LIBOR + 0.280%) (1)(2) | 12/25/36 | 10,516,392 | 10,338,235 |
See accompanying Notes to Financial Statements.
69
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) | ||||||||||||
Citigroup Mortgage Loan Trust, Inc. (06-AR5-1A1A) |
| |||||||||||
2.60% (3)(7) | 07/25/36 | $ | 2,412,537 | $ | 1,939,742 | |||||||
Citigroup Mortgage Loan Trust, Inc. (07-12-2A1) |
| |||||||||||
6.50% (1)(3)(7) | 10/25/36 | 2,619,931 | 1,905,190 | |||||||||
CitiMortgage Alternative Loan Trust (07-A5-1A6) |
| |||||||||||
6.00% (7) | 05/25/37 | 12,100,937 | 12,160,130 | |||||||||
Conseco Finance Securitizations Corp. (00-4-A5) |
| |||||||||||
7.97% | 05/01/32 | 45,277,023 | 13,797,417 | |||||||||
Conseco Financial Corp. (99-2-A7) |
| |||||||||||
6.44% | 12/01/30 | 1,979,262 | 2,116,958 | |||||||||
Countrywide Alternative Loan Trust (05-20CB-4A1) |
| |||||||||||
5.25% (7) | 07/25/20 | 1,299 | 1,297 | |||||||||
Countrywide Alternative Loan Trust (05-84-1A1) |
| |||||||||||
2.34% (3)(7) | 02/25/36 | 124,546 | 106,823 | |||||||||
Countrywide Alternative Loan Trust (05-J1-2A1) |
| |||||||||||
5.50% | 02/25/25 | 326,865 | 334,826 | |||||||||
Countrywide Alternative Loan Trust (06-HY12-A5) |
| |||||||||||
3.25% (3) | 08/25/36 | 7,254,188 | 7,279,044 | |||||||||
Countrywide Alternative Loan Trust (07-19-1A34) |
| |||||||||||
6.00% | 08/25/37 | 13,119,502 | 9,189,490 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (04-13-1A3) |
| |||||||||||
5.50% | 08/25/34 | 4,121,018 | 4,254,083 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (05-9-1A1) |
| |||||||||||
0.71% (1 mo. USD LIBOR + 0.600%) (2) | 05/25/35 | 7,707,659 | 6,619,901 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (05-HYB5-4A1) |
| |||||||||||
2.80% (3) | 09/20/35 | 18,198 | 15,941 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (07-HY5-1A1) |
| |||||||||||
3.50% (3) | 09/25/47 | 4,917 | 4,635 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (07-HYB1-1A1) |
| |||||||||||
3.13% (3)(7) | 03/25/37 | 36,263 | 31,882 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA) |
| |||||||||||
5.75% | 04/22/33 | 27,129 | 28,308 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (05-11-1A1) |
| |||||||||||
6.50% (7) | 12/25/35 | 1,761,689 | 1,271,299 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (05-12-1A1) |
| |||||||||||
6.50% (7) | 01/25/36 | 6,517,775 | 2,930,714 | |||||||||
Credit Suisse Mortgage Capital Certificates (15-5R-2A1) |
| |||||||||||
0.38% (1)(3) | 04/27/47 | 643,327 | 646,633 | |||||||||
Credit Suisse Mortgage Trust (13-7R-4A1) |
| |||||||||||
0.43% (1 mo. USD LIBOR + 0.160%) (1)(2) | 07/26/36 | 486,293 | 509,199 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (06-CB1-AF2) |
| |||||||||||
3.07% | 01/25/36 | 3,297,869 | 2,696,641 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Credit-Based Asset Servicing and Securitization LLC (06-CB7-A4) |
| |||||||||||
0.27% (1 mo. USD LIBOR + 0.160%) (2) | 10/25/36 | $ | 23,119,093 | $ | 19,655,885 | |||||||
Credit-Based Asset Servicing and Securitization LLC (06-CB9-A4) |
| |||||||||||
0.34% (1 mo. USD LIBOR + 0.230%) (2) | 11/25/36 | 14,053,806 | 8,527,650 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2B) |
| |||||||||||
3.78% | 02/25/37 | 2,907,702 | 2,372,750 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2C) |
| |||||||||||
3.78% | 02/25/37 | 10,001,935 | 8,160,859 | |||||||||
CSMC Mortgage-Backed Trust (06-8-3A1) |
| |||||||||||
6.00% (7) | 10/25/21 | 1,024,641 | 743,945 | |||||||||
CSMC Mortgage-Backed Trust (06-9-5A1) |
| |||||||||||
5.50% | 11/25/36 | 1,254,016 | 1,237,178 | |||||||||
CSMC Mortgage-Backed Trust (07-2-3A4) |
| |||||||||||
5.50% (7) | 03/25/37 | 5,274,780 | 4,061,314 | |||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (05-1-1A3) |
| |||||||||||
0.61% (1 mo. USD LIBOR + 0.500%) (2) | 02/25/35 | 5,555,737 | 5,448,959 | |||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AR6-A6) |
| |||||||||||
0.49% (1 mo. USD LIBOR + 0.380%) (2)(7) | 02/25/37 | 243,447 | 236,856 | |||||||||
DSLA Mortgage Loan Trust (05-AR6-2A1A) |
| |||||||||||
0.41% (1 mo. USD LIBOR + 0.290%) (2) | 10/19/45 | 2,124,651 | 2,068,134 | |||||||||
DSLA Mortgage Loan Trust (06-AR2-2A1A) |
| |||||||||||
0.32% (1 mo. USD LIBOR + 0.200%) (2) | 10/19/36 | 23,320,357 | 19,990,698 | |||||||||
DSLA Mortgage Loan Trust (07-AR1-2A1A) |
| |||||||||||
0.26% (1 mo. USD LIBOR + 0.140%) (2) | 03/19/37 | 5,594,664 | 5,075,337 | |||||||||
Fieldstone Mortgage Investment Corp. (07-1-2A2) |
| |||||||||||
0.38% (1 mo. USD LIBOR + 0.270%) (2) | 04/25/47 | 3,244,585 | 2,770,886 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2C) |
| |||||||||||
0.27% (1 mo. USD LIBOR + 0.160%) (2) | 12/25/37 | 13,203,696 | 12,312,349 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2D) |
| |||||||||||
0.32% (1 mo. USD LIBOR + 0.210%) (2) | 12/25/37 | 7,748,379 | 7,251,442 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2C) |
| |||||||||||
0.25% (1 mo. USD LIBOR + 0.140%) (2) | 01/25/38 | 3,982,485 | 2,785,911 |
See accompanying Notes to Financial Statements.
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April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2D) |
| |||||||||||
0.33% (1 mo. USD LIBOR + 0.220%) (2) | 01/25/38 | $ | 19,492,652 | $ | 13,817,510 | |||||||
First Franklin Mortgage Loan Trust (06-FF12-A1) |
| |||||||||||
0.21% (1 mo. USD LIBOR + 0.105%) (2) | 09/25/36 | 8,191,421 | 7,781,329 | |||||||||
First Franklin Mortgage Loan Trust (06-FF9-2A4) |
| |||||||||||
0.61% (1 mo. USD LIBOR + 0.500%) (2) | 06/25/36 | 5,068,000 | 4,808,229 | |||||||||
First Franklin Mortgage Loan Trust (07-FF2-A1) |
| |||||||||||
0.25% (1 mo. USD LIBOR + 0.140%) (2) | 03/25/37 | 40,964,262 | 27,359,564 | |||||||||
First Franklin Mortgage Loan Trust (07-FF2-A2C) |
| |||||||||||
0.26% (1 mo. USD LIBOR + 0.150%) (2) | 03/25/37 | 41,993,136 | 25,669,993 | |||||||||
First Horizon Alternative Mortgage Securities Trust (05-AA3-3A1) |
| |||||||||||
2.24% (3)(7) | 05/25/35 | 2,036,704 | 1,953,877 | |||||||||
First Horizon Alternative Mortgage Securities Trust (05-AA7-1A1) |
| |||||||||||
2.58% (3)(7) | 09/25/35 | 1,752,642 | 1,643,224 | |||||||||
First Horizon Alternative Mortgage Securities Trust (05-AA7-2A1) |
| |||||||||||
2.38% (3)(7) | 09/25/35 | 1,428,607 | 1,400,091 | |||||||||
First Horizon Alternative Mortgage Securities Trust (06-AA7-A1) |
| |||||||||||
2.55% (3)(7) | 01/25/37 | 6,392,553 | 5,658,721 | |||||||||
Fremont Home Loan Trust (05-E-2A4) |
| |||||||||||
0.77% (1 mo. USD LIBOR + 0.660%) (2) | 01/25/36 | 12,553,070 | 12,308,378 | |||||||||
Fremont Home Loan Trust (06-1-2A3) |
| |||||||||||
0.47% (1 mo. USD LIBOR + 0.360%) (2) | 04/25/36 | 551,683 | 549,935 | |||||||||
GMAC Mortgage Loan Trust (05-AR5-2A1) |
| |||||||||||
3.13% (3) | 09/19/35 | 2,031,133 | 1,620,797 | |||||||||
GreenPoint Mortgage Funding Trust (05-AR3-1A1) |
| |||||||||||
0.59% (1 mo. USD LIBOR + 0.480%) (2) | 08/25/45 | 380,775 | 366,360 | |||||||||
GreenPoint Mortgage Funding Trust (06-AR5-A2A2) |
| |||||||||||
0.26% (1 mo. USD LIBOR + 0.150%) (2)(8) | 10/25/46 | 1,736 | — | |||||||||
GSAA Home Equity Trust (05-7-AF5) |
| |||||||||||
5.11% | 05/25/35 | 216,362 | 219,040 | |||||||||
GSR Mortgage Loan Trust (04-9-3A1) |
| |||||||||||
3.07% (3) | 08/25/34 | 1,473,389 | 1,481,160 | |||||||||
GSR Mortgage Loan Trust (06-OA1-2A2) |
| |||||||||||
0.63% (1 mo. USD LIBOR + 0.520%) (2) | 08/25/46 | 51,003,584 | 30,291,284 | |||||||||
GSR Mortgage Loan Trust (07-3F-3A7) |
| |||||||||||
6.00% (7) | 05/25/37 | 6,469,069 | 5,658,535 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
GSR Mortgage Loan Trust (07-AR2-2A1) |
| |||||||||||
3.05% (3) | 05/25/37 | $ | 1,986,887 | $ | 1,571,385 | |||||||
GSR Mortgage Loan Trust (07-AR2-5A1A) |
| |||||||||||
2.99% (3)(7) | 05/25/37 | 1,075,442 | 1,004,901 | |||||||||
Harborview Mortgage Loan Trust (05-9-2A1A) |
| |||||||||||
0.80% (1 mo. USD LIBOR + 0.680%) (2) | 06/20/35 | 1,903,491 | 1,868,988 | |||||||||
HarborView Mortgage Loan Trust (06-1-1A1A) |
| |||||||||||
0.64% (1 mo. USD LIBOR + 0.520%) (2)(7) | 03/19/36 | 27,307,224 | 19,035,607 | |||||||||
HarborView Mortgage Loan Trust (07-3-1A1A) |
| |||||||||||
0.32% (1 mo. USD LIBOR + 0.200%) (2) | 05/19/47 | 11,900,483 | 11,383,525 | |||||||||
HSI Asset Loan Obligation Trust (07-2-2A12) |
| |||||||||||
6.00% | 09/25/37 | 705,699 | 663,453 | |||||||||
HSI Asset Securitization Corp. (06-HE2-1A) |
| |||||||||||
0.37% (1 mo. USD LIBOR + 0.260%) (2) | 12/25/36 | 40,698,601 | 21,629,471 | |||||||||
HSI Asset Securitization Corp. (06-WMC1-A3) |
| |||||||||||
0.41% (1 mo. USD LIBOR + 0.300%) (2) | 07/25/36 | 28,064,030 | 16,728,949 | |||||||||
Impac CMB Trust (04-5-1A1) |
| |||||||||||
0.83% (1 mo. USD LIBOR + 0.720%) (2) | 10/25/34 | 2,708 | 2,681 | |||||||||
Impac CMB Trust (05-1-1A1) |
| |||||||||||
0.63% (1 mo. USD LIBOR + 0.520%) (2) | 04/25/35 | 735,416 | 716,986 | |||||||||
Impac CMB Trust (05-5-A2) |
| |||||||||||
0.55% (1 mo. USD LIBOR + 0.220%) (2) | 08/25/35 | 3,566,134 | 3,612,078 | |||||||||
Impac Secured Assets Trust (06-3-A1) |
| |||||||||||
0.28% (1 mo. USD LIBOR + 0.170%) (2)(7) | 11/25/36 | 5,654,469 | 5,286,020 | |||||||||
Indymac Index Mortgage Loan Trust (04-AR4-2A) |
| |||||||||||
2.94% (3) | 08/25/34 | 3,407,094 | 3,575,476 | |||||||||
Indymac Index Mortgage Loan Trust (04-AR9-4A) |
| |||||||||||
3.09% (3)(7) | 11/25/34 | 404,065 | 407,303 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR17-3A1) |
| |||||||||||
2.83% (3) | 09/25/35 | 3,220,414 | 2,671,644 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR23-2A1) |
| |||||||||||
2.79% (3) | 11/25/35 | 2,194,982 | 2,094,952 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR23-6A1) |
| |||||||||||
2.85% (3) | 11/25/35 | 3,133,983 | 2,961,324 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR25-2A1) |
| |||||||||||
2.99% (3) | 12/25/35 | 1,670,603 | 1,661,756 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR7-2A1) |
| |||||||||||
3.13% (3) | 06/25/35 | 1,675,895 | 1,423,486 | |||||||||
Indymac Index Mortgage Loan Trust (06-AR39-A1) |
| |||||||||||
0.29% (1 mo. USD LIBOR + 0.180%) (2) | 02/25/37 | 5,928,289 | 5,875,945 |
See accompanying Notes to Financial Statements.
71
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Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Indymac Index Mortgage Loan Trust (07-AR11-1A1) |
| |||||||||||
3.00% (3) | 06/25/37 | $ | 15,514 | $ | 15,008 | |||||||
Indymac Index Mortgage Loan Trust (07-AR5-2A1) |
| |||||||||||
3.04% (3)(7) | 05/25/37 | 11,093,479 | 10,455,592 | |||||||||
Indymac Index Mortgage Loan Trust (07-AR7-1A1) |
| |||||||||||
2.86% (3) | 11/25/37 | 2,238,781 | 2,166,791 | |||||||||
IndyMac INDX Mortgage Loan Trust (06-AR6-2A1A) |
| |||||||||||
0.51% (1 mo. USD LIBOR + 0.400%) (2)(7) | 06/25/46 | 10,328,702 | 9,603,469 | |||||||||
JPMorgan Alternative Loan Trust (06-A2-5A1) |
| |||||||||||
3.10% (3) | 05/25/36 | 4,232,202 | 3,060,528 | |||||||||
JPMorgan Alternative Loan Trust (06-A4-A8) |
| |||||||||||
3.11% (3)(7) | 09/25/36 | 702,860 | 720,531 | |||||||||
JPMorgan Mortgage Acquisition Corp. (06-CH2-AF4) |
| |||||||||||
5.76% | 10/25/36 | 5,141,125 | 4,129,761 | |||||||||
JPMorgan Mortgage Acquisition Trust (06-WMC4-A3) |
| |||||||||||
0.23% (1 mo. USD LIBOR + 0.120%) (2) | 12/25/36 | 29,861,981 | 19,308,491 | |||||||||
JPMorgan Mortgage Trust (05-A6-7A1) |
| |||||||||||
3.17% (3)(7) | 08/25/35 | 181,140 | 171,298 | |||||||||
JPMorgan Mortgage Trust (06-A2-5A3) |
| |||||||||||
2.54% (3) | 11/25/33 | 973,286 | 977,823 | |||||||||
JPMorgan Mortgage Trust (06-A4-1A4) |
| |||||||||||
3.21% (3)(7) | 06/25/36 | 267,629 | 233,104 | |||||||||
JPMorgan Mortgage Trust (06-A7-2A4R) |
| |||||||||||
3.07% (3)(7) | 01/25/37 | 12,547 | 11,797 | |||||||||
JPMorgan Mortgage Trust (06-S2-2A2) |
| |||||||||||
5.88% (7) | 06/25/21 | 117,697 | 119,384 | |||||||||
Lehman Mortgage Trust (06-4-4A1) |
| |||||||||||
6.00% (7) | 08/25/21 | 603,960 | 594,452 | |||||||||
Lehman XS Trust (06-10N-1A3A) |
| |||||||||||
0.53% (1 mo. USD LIBOR + 0.420%) (2)(7) | 07/25/46 | 9,608,820 | 9,767,271 | |||||||||
Lehman XS Trust (06-12N-A2A1) |
| |||||||||||
0.41% (1 mo. USD LIBOR + 0.300%) (2)(8) | 08/25/46 | 302 | — | |||||||||
Lehman XS Trust (06-12N-A31A) |
| |||||||||||
0.51% (1 mo. USD LIBOR + 0.400%) (2) | 08/25/46 | 3,108,024 | 3,065,396 | |||||||||
Lehman XS Trust (06-13-1A2) |
| |||||||||||
0.45% (1 mo. USD LIBOR + 0.340%) (2)(7) | 09/25/36 | 882 | — | |||||||||
Lehman XS Trust (06-9-A1B) |
| |||||||||||
0.43% (1 mo. USD LIBOR + 0.320%) (2) | 05/25/46 | 7,026 | — | |||||||||
Lehman XS Trust (06-GP1-A2A) |
| |||||||||||
0.45% (1 mo. USD LIBOR + 0.340%) (2)(8) | 05/25/46 | 140 | — |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Lehman XS Trust (06-GP2-3A1) |
| |||||||||||
0.51% (1 mo. USD LIBOR + 0.400%) (2) | 06/25/46 | $ | 15,191,431 | $ | 13,569,118 | |||||||
Lehman XS Trust (06-GP4-3A2A) |
| |||||||||||
0.27% (1 mo. USD LIBOR + 0.160%) (2)(8) | 08/25/46 | 23 | — | |||||||||
Lehman XS Trust (06-GP4-3A5) |
| |||||||||||
0.33% (1 mo. USD LIBOR + 0.225%) (2) | 08/25/46 | 10,927,359 | 10,533,301 | |||||||||
MASTR Alternative Loans Trust (05-4-1A1) |
| |||||||||||
6.50% | 05/25/35 | 4,679,170 | 4,651,246 | |||||||||
MASTR Alternative Loans Trust (06-2-2A1) |
| |||||||||||
0.51% (1 mo. USD LIBOR + 0.400%) (2)(7)(8) | 03/25/36 | 65,952 | 6,169 | |||||||||
MASTR Asset Securitization Trust (06-3-2A1) |
| |||||||||||
0.56% (1 mo. USD LIBOR + 0.450%) (2) | 10/25/36 | 30,367 | 5,886 | |||||||||
MASTR Asset-Backed Securities Trust (06-AB1-A4) |
| |||||||||||
6.22% | 02/25/36 | 416,953 | 407,987 | |||||||||
MASTR Asset-Backed Securities Trust (06-HE5-A3) |
| |||||||||||
0.27% (1 mo. USD LIBOR + 0.160%) (2) | 11/25/36 | 17,302,967 | 12,058,706 | |||||||||
MASTR Seasoned Securitization Trust (04-1-4A1) |
| |||||||||||
2.76% (3) | 10/25/32 | 4,087 | 4,258 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A1-A2C) |
| |||||||||||
0.34% (1 mo. USD LIBOR + 0.230%) (2) | 01/25/37 | 1,717,183 | 775,282 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A1-A3) |
| |||||||||||
0.27% (1 mo. USD LIBOR + 0.160%) (2) | 01/25/37 | 883,319 | 394,281 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2B) |
| |||||||||||
0.28% (1 mo. USD LIBOR + 0.170%) (2) | 04/25/37 | 40,767,086 | 23,309,564 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2C) |
| |||||||||||
0.36% (1 mo. USD LIBOR + 0.250%) (2) | 04/25/37 | 22,749,978 | 13,196,147 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2D) |
| |||||||||||
0.45% (1 mo. USD LIBOR + 0.340%) (2) | 04/25/37 | 5,808,607 | 3,423,319 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-2-A2C) |
| |||||||||||
0.35% (1 mo. USD LIBOR + 0.240%) (2) | 05/25/37 | 5,214,868 | 3,074,069 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2B) |
| |||||||||||
0.24% (1 mo. USD LIBOR + 0.130%) (2)(7) | 06/25/37 | 2,305,611 | 1,696,551 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-4-2A3) |
| |||||||||||
0.27% (1 mo. USD LIBOR + 0.160%) (2) | 07/25/37 | 30,046,636 | 26,632,542 |
See accompanying Notes to Financial Statements.
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April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Merrill Lynch Mortgage-Backed Securities Trust (07-2-1A1) |
| |||||||||||
2.46% (1-year Treasury Constant Maturity Rate + 2.400%) (2)(7) | 08/25/36 | $ | 913,409 | $ | 869,710 | |||||||
Mid-State Trust (05-1-A) |
| |||||||||||
5.75% | 01/15/40 | 2,158,035 | 2,322,119 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust (04-NC8-M2) |
| |||||||||||
1.07% (1 mo. USD LIBOR + 0.960%) (2) | 09/25/34 | 538,521 | 533,372 | |||||||||
Morgan Stanley Home Equity Loan Trust (06-2-A4) |
| |||||||||||
0.67% (1 mo. USD LIBOR + 0.560%) (2) | 02/25/36 | 1,686,955 | 1,686,767 | |||||||||
Morgan Stanley Mortgage Loan Trust (07-3XS-2A6) |
| |||||||||||
5.76% | 01/25/47 | 2,357,066 | 1,058,464 | |||||||||
Morgan Stanley Mortgage Loan Trust (07-7AX-2A1) |
| |||||||||||
0.23% (1 mo. USD LIBOR + 0.120%) (2) | 04/25/37 | 3,196,403 | 1,303,349 | |||||||||
Morgan Stanley Resecuritization Trust (14-R2-2A) |
| |||||||||||
2.74% (1)(3) | 12/26/46 | 1,717,443 | 1,725,188 | |||||||||
MortgageIT Trust (05-4-A1) |
| |||||||||||
0.67% (1 mo. USD LIBOR + 0.560%)(2) | 10/25/35 | 1,162,817 | 1,152,665 | |||||||||
New Century Home Equity Loan Trust (06-1-A2B) |
| |||||||||||
0.29% (1 mo. USD LIBOR + 0.180%)(2) | 05/25/36 | 22,847,859 | 22,335,735 | |||||||||
Nomura Resecuritization Trust (15-5R-2A1) |
| |||||||||||
2.66% (1)(3) | 03/26/35 | 355,638 | 358,496 | |||||||||
Oakwood Mortgage Investors, Inc. (02-A-A4) |
| |||||||||||
6.97% (3) | 03/15/32 | 1,266,458 | 1,313,612 | |||||||||
Oakwood Mortgage Investors, Inc. (99-E-A1) |
| |||||||||||
7.61% (3) | 03/15/30 | 3,459,529 | 2,760,660 | |||||||||
Ownit Mortgage Loan Asset-Backed Certificates (06-3-A2D) |
| |||||||||||
0.65% (1 mo. USD LIBOR + 0.540%)(2) | 03/25/37 | 13,175,309 | 12,942,315 | |||||||||
Ownit Mortgage Loan Asset-Backed Certificates (06-6-A2C) |
| |||||||||||
0.43% (1 mo. USD LIBOR + 0.320%)(2) | 09/25/37 | 18,752,258 | 11,676,808 | |||||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates (05-WCW2-M3) |
| |||||||||||
0.93% (1 mo. USD LIBOR + 0.825%)(2) | 07/25/35 | 10,000,000 | 9,961,643 | |||||||||
Prime Mortgage Trust (06-1-1A1) |
| |||||||||||
5.50% (7) | 06/25/36 | 285,114 | 285,271 | |||||||||
RAAC Series Trust (05-SP1-4A1) |
| |||||||||||
7.00% | 09/25/34 | 2,259,943 | 2,290,008 | |||||||||
RALI Trust (05-QA13-2A1) |
| |||||||||||
3.98% (3)(7) | 12/25/35 | 482,476 | 445,950 | |||||||||
RALI Trust (05-QA7-A21) |
| |||||||||||
3.42% (3)(7) | 07/25/35 | 1,588,756 | 1,566,130 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
RALI Trust (06-QA3-A1) |
| |||||||||||
0.51% (1 mo. USD LIBOR + 0.400%)(2) | 04/25/36 | $ | 598,517 | $ | 646,035 | |||||||
Residential Accredit Loans, Inc. (05-QA8-CB21) |
| |||||||||||
3.60% (3)(7) | 07/25/35 | 3,555,880 | 2,600,848 | |||||||||
Residential Accredit Loans, Inc. (05-QS7-A1) |
| |||||||||||
5.50% (7) | 06/25/35 | 589,804 | 558,099 | |||||||||
Residential Accredit Loans, Inc. (06-QA1-A21) |
| |||||||||||
4.29% (3)(7) | 01/25/36 | 12,449 | 10,461 | |||||||||
Residential Accredit Loans, Inc. (06-QA10-A2) |
| |||||||||||
0.29% (1 mo. USD LIBOR + 0.180%)(2)(7) | 12/25/36 | 11,566,326 | 11,260,288 | |||||||||
Residential Accredit Loans, Inc. (06-QA2-1A1) |
| |||||||||||
0.36% (1 mo. USD LIBOR + 0.250%)(2)(7) | 02/25/36 | 15,608 | 11,086 | |||||||||
Residential Accredit Loans, Inc. (06-QS10-AV) (I/O) |
| |||||||||||
0.57% (3)(8) | 08/25/36 | 27,846,062 | 567,389 | |||||||||
Residential Accredit Loans, Inc. (06-QS11-AV) (I/O) |
| |||||||||||
0.35% (3)(8) | 08/25/36 | 27,833,766 | 367,887 | |||||||||
Residential Accredit Loans, Inc. (06-QS5-A5) |
| |||||||||||
6.00% (7) | 05/25/36 | 3,378,484 | 3,232,184 | |||||||||
Residential Accredit Loans, Inc. (06-QS6-1AV) (I/O) |
| |||||||||||
0.76% (3)(8) | 06/25/36 | 36,298,622 | 828,912 | |||||||||
Residential Accredit Loans, Inc. (06-QS7-AV) (I/O) |
| |||||||||||
0.68% (3)(8) | 06/25/36 | 7,633,941 | 159,064 | |||||||||
Residential Accredit Loans, Inc. (07-QS1-2AV) (I/O) |
| |||||||||||
0.17% (3)(8) | 01/25/37 | 1,906,407 | 11,710 | |||||||||
Residential Accredit Loans, Inc. (07-QS2-AV) (I/O) |
| |||||||||||
0.33% (3)(8) | 01/25/37 | 14,564,190 | 164,663 | |||||||||
Residential Accredit Loans, Inc. (07-QS3-AV) (I/O) |
| |||||||||||
0.35% (3)(8) | 02/25/37 | 58,597,671 | 693,375 | |||||||||
Residential Accredit Loans, Inc. (07-QS4-3AV) (I/O) |
| |||||||||||
0.37% (3)(8) | 03/25/37 | 7,255,739 | 91,198 | |||||||||
Residential Accredit Loans, Inc. (07-QS5-AV) (I/O) |
| |||||||||||
0.27% (3)(8) | 03/25/37 | 9,100,878 | 75,324 | |||||||||
Residential Accredit Loans, Inc. (07-QS6-A45) |
| |||||||||||
5.75% (7) | 04/25/37 | 1,956,802 | 1,883,424 | |||||||||
Residential Accredit Loans, Inc. (07-QS8-AV) (I/O) |
| |||||||||||
0.41% (3)(8) | 06/25/37 | 14,367,608 | 252,356 | |||||||||
Residential Asset Securitization Trust (07-A3-1A4) |
| |||||||||||
5.75% (7) | 04/25/37 | 2,670,493 | 1,912,675 | |||||||||
Residential Funding Mortgage Securities I (05-SA5-2A) |
| |||||||||||
3.52% (3)(7) | 11/25/35 | 12,393 | 11,655 | |||||||||
Residential Funding Mortgage Securities I (06-S9-A3) (PAC) |
| |||||||||||
5.75% (7) | 09/25/36 | 437,531 | 421,211 | |||||||||
Residential Funding Mortgage Securities I (07-S2-A9) |
| |||||||||||
6.00% (7) | 02/25/37 | 4,394,777 | 4,186,695 | |||||||||
Residential Funding Mortgage Securities I (07-SA2-2A2) |
| |||||||||||
3.45% (3)(7) | 04/25/37 | 14,520 | 13,380 |
See accompanying Notes to Financial Statements.
73
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TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Saxon Asset Securities Trust (06-3-A3) |
| |||||||||||
0.28% (1 mo. USD LIBOR + 0.170%) (2) | 10/25/46 | $ | 7,361,391 | $ | 7,202,093 | |||||||
Saxon Asset Securities Trust (07-2-A2C) |
| |||||||||||
0.35% (1 mo. USD LIBOR + 0.240%) (2) | 05/25/47 | 13,050,036 | 11,185,713 | |||||||||
Saxon Asset Securities Trust (07-2-A2D) |
| |||||||||||
0.41% (1 mo. USD LIBOR + 0.300%) (2) | 05/25/47 | 15,180,344 | 13,081,238 | |||||||||
Securitized Asset Backed Receivables LLC Trust (06-WM4-A1) |
| |||||||||||
0.30% (1 mo. USD LIBOR + 0.190%) (1)(2) | 11/25/36 | 31,470,875 | 19,688,821 | |||||||||
Securitized Asset Backed Receivables LLC Trust (07-BR2-A1) |
| |||||||||||
0.29% (1 mo. USD LIBOR + 0.180%) (1)(2) | 02/25/37 | 23,268,767 | 20,992,525 | |||||||||
Securitized Asset-Backed Receivables LLC Trust (07-BR1-A2C) |
| |||||||||||
0.45% (1 mo. USD LIBOR + 0.340%) (2) | 02/25/37 | 2,856,959 | 1,786,330 | |||||||||
Securitized Asset-Backed Receivables LLC Trust (07-BR2-A2) |
| |||||||||||
0.34% (1 mo. USD LIBOR + 0.230%) (2) | 02/25/37 | 30,758,261 | 16,922,922 | |||||||||
Securitized Asset-Backed Receivables LLC Trust (07-NC2-A2B) |
| |||||||||||
0.25% (1 mo. USD LIBOR + 0.140%) (2) | 01/25/37 | 14,989,797 | 13,203,130 | |||||||||
Sequoia Mortgage Trust (03-8-A1) |
| |||||||||||
0.76% (1 mo. USD LIBOR + 0.640%) (2) | 01/20/34 | 608,716 | 600,483 | |||||||||
SG Mortgage Securities Trust (07-NC1-A2) |
| |||||||||||
0.35% (1 mo. USD LIBOR + 0.240%) (1)(2) | 12/25/36 | 17,572,530 | 13,319,072 | |||||||||
Soundview Home Equity Loan Trust (06-OPT4-2A4) |
| |||||||||||
0.57% (1 mo. USD LIBOR + 0.460%) (2) | 06/25/36 | 10,400,000 | 10,203,728 | |||||||||
Soundview Home Equity Loan Trust (07-OPT3-2A4) |
| |||||||||||
0.36% (1 mo. USD LIBOR + 0.250%) (2) | 08/25/37 | 4,000,000 | 3,799,376 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (04-12-2A) |
| |||||||||||
2.71% (3) | 09/25/34 | 901,547 | 912,307 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (04-14-2A) |
| |||||||||||
2.48% (3) | 10/25/34 | 1,627,229 | 1,647,544 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (06-2-3A1) |
| |||||||||||
3.07% (3)(7) | 03/25/36 | 15,851,366 | 15,829,912 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Structured Adjustable Rate Mortgage Loan Trust (06-2-5A1) |
| |||||||||||
3.18% (3)(7) | 03/25/36 | $ | 294,368 | $ | 260,573 | |||||||
Structured Adjustable Rate Mortgage Loan Trust (06-4-5A1) |
| |||||||||||
3.05% (3)(7) | 05/25/36 | 1,599,876 | 1,437,489 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (06-5-1A1) |
| |||||||||||
3.05% (3)(7) | 06/25/36 | 2,167,515 | 2,074,115 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (07-1-1A1) |
| |||||||||||
2.40% (3) | 02/25/37 | 1,879,949 | 1,352,240 | |||||||||
Structured Asset Mortgage Investments II Trust (07-AR4-A5) |
| |||||||||||
0.33% (1 mo. USD LIBOR + 0.220%) (2) | 09/25/47 | 18,123,425 | 16,861,132 | |||||||||
Structured Asset Securities Corp. (05-2XS-1A5B) |
| |||||||||||
5.15% | 02/25/35 | 6,549 | 6,658 | |||||||||
SunTrust Adjustable Rate Mortgage Loan Trust (07-3-1A1) |
| |||||||||||
3.47% (3) | 06/25/37 | 3,306 | 2,747 | |||||||||
SunTrust Adjustable Rate Mortgage Loan Trust (07-2-2A1) |
| |||||||||||
2.67% (3)(7) | 04/25/37 | 126,180 | 93,310 | |||||||||
SunTrust Adjustable Rate Mortgage Loan Trust (07-S1-2A1) |
| |||||||||||
2.76% (3) | 01/25/37 | 374,449 | 387,603 | |||||||||
Wachovia Mortgage Loan Trust LLC (06-AMN1-A3) |
| |||||||||||
0.59% (1 mo. USD LIBOR + 0.480%) (2) | 08/25/36 | 6,448,205 | 3,215,945 | |||||||||
WaMu Mortgage Pass-Through Certificates (04-AR14-A1) |
| |||||||||||
2.85% (3) | 01/25/35 | 3,436,088 | 3,486,459 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR13-A1A1) |
| |||||||||||
0.69% (1 mo. USD LIBOR + 0.580%) (2) | 10/25/45 | 4,263,865 | 4,264,721 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR13-A1A2) |
| |||||||||||
1.59% (12 mo. Monthly Treasury Average Index + 1.450%) (2) | 10/25/45 | 343,613 | 342,026 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR14-2A1) |
| |||||||||||
3.11% (3) | 12/25/35 | 869,392 | 889,782 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR18-1A1) |
| |||||||||||
2.79% (3) | 01/25/36 | 1,188,564 | 1,197,965 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR2-2A1A) |
| |||||||||||
0.73% (1 mo. USD LIBOR + 0.620%) (2) | 01/25/45 | 132,947 | 132,699 |
See accompanying Notes to Financial Statements.
74
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TCW Total Return Bond Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
WaMu Mortgage Pass-Through Certificates (05-AR9-A1A) |
| |||||||||||
0.75% (1 mo. USD LIBOR + 0.320%) (2) | 07/25/45 | $ | 6,899,791 | $ | 6,918,254 | |||||||
WaMu Mortgage Pass-Through Certificates (06-AR1-2A1A) |
| |||||||||||
1.21% (12 mo. Monthly Treasury Average Index + 1.070%) (2) | 01/25/46 | 9,041,938 | 9,075,307 | |||||||||
WaMu Mortgage Pass-Through Certificates (06-AR11-1A) |
| |||||||||||
1.10% (12 mo. Monthly Treasury Average Index + 0.960%) (2)(7) | 09/25/46 | 2,723,382 | 2,559,279 | |||||||||
WaMu Mortgage Pass-Through Certificates (06-AR17-1A1A) |
| |||||||||||
1.07% (12 mo. Monthly Treasury Average Index + 0.810%) (2) | 12/25/46 | 3,230,876 | 3,116,247 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust (05-AR11-A1A) |
| |||||||||||
0.75% (1 mo. USD LIBOR + 0.320%) (2) | 08/25/45 | 10,754,099 | 10,791,562 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (02-AR1-1A1) |
| |||||||||||
3.16% (3) | 11/25/30 | 64,276 | 65,775 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-1-3A2) |
| |||||||||||
5.75% (7) | 02/25/36 | 721,831 | 697,298 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-5-1A1) |
| |||||||||||
0.71% (1 mo. USD LIBOR + 0.600%) (2)(7) | 07/25/36 | 1,560,153 | 1,035,618 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-AR10-A2A) |
| |||||||||||
0.28% (1 mo. USD LIBOR + 0.170%) (2) | 12/25/36 | 2,589,263 | 2,525,151 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OA3-5A) |
| |||||||||||
1.66% (11th District Cost of Funds + 1.250%) (2)(7) | 04/25/47 | 1,230,036 | 1,193,862 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OC2-A3) |
| |||||||||||
0.42% (1 mo. USD LIBOR + 0.310%) (2) | 06/25/37 | 3,233,893 | 3,171,475 | |||||||||
Washington Mutual Asset-Backed Certificates (06-HE1-2A4) |
| |||||||||||
0.67% (1 mo. USD LIBOR + 0.560%) (2) | 04/25/36 | 4,911,660 | 4,681,834 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Washington Mutual Asset-Backed Certificates (07-HE2-2A1) |
| |||||||||||
0.21% (1 mo. USD LIBOR + 0.100%) (2) | 02/25/37 | $ | 16,967,583 | $ | 6,815,030 | |||||||
Wells Fargo Home Equity Asset-Backed Securities (07-1-A3) |
| |||||||||||
0.43% (1 mo. USD LIBOR + 0.320%) (2) | 03/25/37 | 5,521,000 | 5,074,091 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (06-AR11-A6) |
| |||||||||||
3.06% (3)(7) | 08/25/36 | 1,457,879 | 1,411,050 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (07-AR4-A1) |
| |||||||||||
3.20% (3)(7) | 08/25/37 | 95,752 | 93,386 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $1,286,555,048) |
| 1,407,381,361 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 32.5% | ||||||||||||
U.S. Treasury Bond |
| |||||||||||
1.88% | 02/15/51 | 330,613,000 | 300,806,172 | |||||||||
U.S. Treasury Note |
| |||||||||||
0.13% | 01/31/23 | 50,650,000 | 50,635,162 | |||||||||
0.13% | 02/28/23 | 480,450,000 | 480,224,789 | |||||||||
0.13% | 03/31/23 | 67,405,000 | 67,365,505 | |||||||||
0.13% | 04/30/23 | 435,780,000 | 435,465,079 | |||||||||
0.75% | 03/31/26 | 498,685,000 | 496,773,042 | |||||||||
0.75% | 04/30/26 | 254,815,000 | 253,610,604 | |||||||||
1.13% | 02/15/31 | 203,544,000 | 194,336,809 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $2,283,238,581) |
| 2,279,217,162 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $8,511,857,828) |
| 8,731,018,853 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 1.3% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class 0.03% (9) |
| 88,014,901 | 88,014,901 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $88,014,901) |
| 88,014,901 | ||||||||||
|
| |||||||||||
Principal Amount | ||||||||||||
SHORT TERM INVESTMENTS — 5.7% |
| |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATION — 1.8% | ||||||||||||
(Cost: $124,994,792) |
| |||||||||||
Federal Home Loan Bank Discount Note |
| |||||||||||
0.02% (10) | 07/15/21 | $ | 125,000,000 | 125,000,000 |
See accompanying Notes to Financial Statements.
75
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
U.S. Treasury Securities — 3.9% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
0.01% (10) | 08/26/21 | $ | 75,000,000 | $ | 74,997,005 | |||||||
0.01% (10) | 08/12/21 | 125,000,000 | 124,994,744 | |||||||||
0.01% (10) | 07/15/21 | 75,000,000 | 74,998,670 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $274,967,610) |
| 274,990,419 | ||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $399,962,402) |
| 399,990,419 | ||||||||||
|
| |||||||||||
Total Investments (131.3%) |
| |||||||||||
(Cost: $8,999,835,131) |
| 9,219,024,173 | ||||||||||
Liabilities In Excess Of Other Assets (-31.3%) |
| (2,197,485,440 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 7,021,538,733 | |||||||||
|
|
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Market Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Long Futures | ||||||||||||||||||
2,677 | U.S. Ultra Long Bond Futures | 06/21/21 | $ | 509,613,677 | $ | 497,671,031 | $ | (11,942,646 | ) | |||||||||
|
Notes to the Schedule of Investments:
ABS | Asset-Backed Securities. |
ARM | Adjustable Rate Mortgage. |
CLO | Collateralized Loan Obligation. |
I/F | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O | Interest Only Security. |
PAC | Planned Amortization Class. |
P/O | Principal Only Security. |
TAC | Target Amortization Class. |
TBA | To Be Announced. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At April 30, 2021, the value of these securities amounted to $1,143,968,267 or 16.3% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2021. |
(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) | This security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
(5) | Security is not accruing interest. |
(6) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(7) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(8) | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
(9) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
(10) | Rate shown represents yield-to-maturity. |
See accompanying Notes to Financial Statements.
76
Table of Contents
TCW Total Return Bond Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Residential Mortgage-Backed Securities — Agency | 57.2 | % | ||
U.S. Treasury Securities | 36.4 | |||
Residential Mortgage-Backed Securities — Non-Agency | 20.0 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 8.2 | |||
Asset-Backed Securities | 6.0 | |||
U.S. Government Agency Obligations | 1.8 | |||
Money Market Investments | 1.3 | |||
Commercial Mortgage-Backed Securities — Agency | 0.4 | |||
Other* | (31.3 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Includes capstock, futures, pending trades, interest receivable and accrued expenses payable. |
See accompanying Notes to Financial Statements.
77
Table of Contents
TCW Total Return Bond Fund
Fair Valuation Summary (Unaudited) | April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | $ | — | $ | 422,814,025 | $ | — | $ | 422,814,025 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 26,528,225 | — | 26,528,225 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 577,760,662 | — | 577,760,662 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 4,017,317,418 | — | 4,017,317,418 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 1,404,163,314 | 3,218,047 | 1,407,381,361 | ||||||||||||
U.S. Treasury Securities | 2,279,217,162 | — | — | 2,279,217,162 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 2,279,217,162 | 6,448,583,644 | 3,218,047 | 8,731,018,853 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 88,014,901 | — | — | 88,014,901 | ||||||||||||
Short-Term Investments | 274,990,419 | 125,000,000 | — | 399,990,419 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,642,222,482 | $ | 6,573,583,644 | $ | 3,218,047 | $ | 9,219,024,173 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Interest Rate Risk | $ | (11,942,646 | ) | $ | — | $ | — | $ | (11,942,646 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (11,942,646 | ) | $ | — | $ | — | $ | (11,942,646 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
78
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2021 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | TCW Global Bond Fund | ||||||||||
ASSETS |
| |||||||||||
Investments, at Value (2) | $ | 2,038,940,421 | $ | 1,471,357 | $ | 39,447,680 | ||||||
Investment in Affiliated Issuers, at Value | — | — | 1,235,920 | (3) | ||||||||
Foreign Currency, at Value | — | — | 1,346 | (4) | ||||||||
Receivable for Securities Sold | — | — | 524,068 | |||||||||
Receivable for Sale of When-Issued Securities | 424,139,315 | — | 6,567,817 | |||||||||
Receivable for Fund Shares Sold | 3,182,332 | — | 80 | |||||||||
Interest and Dividends Receivable | 4,630,334 | 5,298 | 277,661 | |||||||||
Receivable from Investment Advisor | 36,675 | 17,143 | 17,227 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | — | 61,719 | |||||||||
Receivable for Daily Variation Margin on Open Financial Futures Contracts | 3,701 | — | — | |||||||||
Cash Collateral Held for Brokers | 3,690,987 | — | 93,000 | |||||||||
Open Swap Agreements, at Value | — | 63,497 | — | |||||||||
Prepaid Expenses | 63,402 | 1,374 | 23,721 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 2,474,687,167 | 1,558,669 | 48,250,239 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES |
| |||||||||||
Distributions Payable | 149,664 | — | 100 | |||||||||
Payable for Securities Purchased | 51,039,649 | — | 313,513 | |||||||||
Payable for Purchase of When-Issued Securities | 760,273,353 | — | 11,151,351 | |||||||||
Payable for Fund Shares Redeemed | 2,359,726 | — | 131,408 | |||||||||
Accrued Capital Gain Withholding Taxes | — | — | 166 | |||||||||
Accrued Directors’ Fees and Expenses | 731 | 731 | 731 | |||||||||
Deferred Accrued Directors’ Fees and Expenses | 1,717 | 1,717 | 1,717 | |||||||||
Accrued Management Fees | 542,183 | 581 | 15,147 | |||||||||
Accrued Distribution Fees | 47,650 | 118 | 2,226 | |||||||||
Payable for Daily Variation Margin on Open Financial Futures Contracts | — | — | 440 | |||||||||
Collateral Pledged by Brokers | 1,166,000 | — | — | |||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | — | 60,719 | |||||||||
Transfer Agent Fees Payable | 255,540 | 6,962 | 4,451 | |||||||||
Administration Fee Payable | 79,809 | 22,804 | 8,592 | |||||||||
Audit Fees Payable | 43,445 | 10,050 | 27,209 | |||||||||
Accounting Fees Payable | 46,364 | 18,487 | 1,522 | |||||||||
Custodian Fees Payable | 32,306 | 7,674 | 22,470 | |||||||||
Legal Fees Payable | 4,733 | 38 | 85 | |||||||||
Other Accrued Expenses | 27,621 | 1,912 | 154 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 816,070,491 | 71,074 | 11,742,001 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,658,616,676 | $ | 1,487,595 | $ | 36,508,238 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Paid-in Capital | $ | 1,641,805,126 | $ | 1,381,519 | $ | 36,475,797 | ||||||
Accumulated Earnings (Loss) | 16,811,550 | 106,076 | 32,441 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,658,616,676 | $ | 1,487,595 | $ | 36,508,238 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||
I Class Share | $ | 1,426,804,354 | $ | 883,753 | $ | 25,694,932 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 231,399,875 | $ | 603,842 | $ | 10,813,306 | ||||||
|
|
|
|
|
| |||||||
Plan Class Share | $ | 412,447 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (5) |
| |||||||||||
I Class Share | 123,609,806 | 160,845 | 2,465,265 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 20,093,483 | 109,994 | 1,037,898 | |||||||||
|
|
|
|
|
| |||||||
Plan Class Share | 35,568 | — | — | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (6) |
| |||||||||||
I Class Share | $ | 11.54 | $ | 5.49 | $ | 10.42 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 11.52 | $ | 5.49 | $ | 10.42 | ||||||
|
|
|
|
|
| |||||||
Plan Class Share | $ | 11.60 | $ | — | $ | — | ||||||
|
|
|
|
|
|
(1) | Consolidated Statement of Assets 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, 2021 was $2,003,792,609, $1,451,064 and $38,996,809, respectively. |
(3) | The identified cost for the TCW Global Bond Fund at April 30, 2021 was $1,244,234. |
(4) | The identified cost for the TCW Global Bond Fund at April 30, 2021 was $1,350. |
(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, N Class and Plan Class shares. |
(6) | Represents offering price and redemption price per share. |
See accompanying Notes to Financial Statements.
79
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2021 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
ASSETS |
| |||||||||||
Investments, at Value (1) | $ | 122,419,841 | $ | 9,848,712 | $ | 9,219,024,173 | ||||||
Receivable for Securities Sold | 1,986,194 | — | 5,896,993 | |||||||||
Receivable for Sale of When-Issued Securities | — | 1,455,483 | 2,294,619,059 | |||||||||
Receivable for Fund Shares Sold | 294,156 | 20 | 14,708,430 | |||||||||
Interest Receivable | 1,110,636 | 44,520 | 12,853,806 | |||||||||
Receivable from Investment Advisor | 18,928 | 15,339 | 216,187 | |||||||||
Receivable for Daily Variation Margin on Open Financial Futures Contracts | — | — | 836,571 | |||||||||
Cash Collateral Held for Brokers | 289,000 | 17,000 | 44,120,000 | |||||||||
Prepaid Expenses | 37,006 | 15,852 | 107,266 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 126,155,761 | 11,396,926 | 11,592,382,485 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES |
| |||||||||||
Distributions Payable | 14,570 | 202 | 4,811,646 | |||||||||
Payable for Securities Purchased | 3,455,714 | — | 245,779,823 | |||||||||
Payable for Purchase of When-Issued Securities | 900,000 | 2,520,844 | 4,299,622,623 | |||||||||
Payable for Fund Shares Redeemed | 181,115 | 2,405 | 8,809,331 | |||||||||
Accrued Directors’ Fees and Expenses | 731 | 731 | 731 | |||||||||
Deferred Accrued Directors’ Fees and Expenses | 1,717 | 1,717 | 1,717 | |||||||||
Accrued Management Fees | 44,473 | 2,524 | 2,312,233 | |||||||||
Accrued Distribution Fees | 3,766 | — | 240,346 | |||||||||
Payable for Daily Variation Margin on Open Financial Futures Contracts | 3,606 | 453 | — | |||||||||
Collateral Pledged by Brokers | — | — | 7,186,000 | |||||||||
Transfer Agent Fees Payable | 7,578 | 3,397 | 1,094,370 | |||||||||
Administration Fee Payable | 10,415 | 8,024 | 336,819 | |||||||||
Audit Fees Payable | 16,587 | 41,348 | 115,130 | |||||||||
Accounting Fees Payable | 13,388 | 1,266 | 210,309 | |||||||||
Custodian Fees Payable | 20,151 | 11,870 | 41,524 | |||||||||
Legal Fees Payable | — | — | 24,697 | |||||||||
Other Accrued Expenses | 115 | 1,280 | 256,453 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 4,673,926 | 2,596,061 | 4,570,843,752 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 121,481,835 | $ | 8,800,865 | $ | 7,021,538,733 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Paid-in Capital | $ | 117,499,629 | $ | 9,003,539 | $ | 6,923,133,373 | ||||||
Accumulated Earnings (Loss) | 3,982,206 | (202,674 | ) | 98,405,360 | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 121,481,835 | $ | 8,800,865 | $ | 7,021,538,733 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||
I Class Share | $ | 103,406,524 | $ | 8,800,865 | $ | 5,825,477,465 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 18,075,311 | $ | — | $ | 1,195,310,379 | ||||||
|
|
|
|
|
| |||||||
Plan Class Share | $ | — | $ | — | $ | 750,889 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (2) |
| |||||||||||
I Class Share | 15,046,157 | 1,017,663 | 575,354,101 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 2,614,011 | — | 114,491,356 | |||||||||
|
|
|
|
|
| |||||||
Plan Class Share | — | — | 73,778 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (3) |
| |||||||||||
I Class Share | $ | 6.87 | $ | 8.65 | $ | 10.13 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 6.91 | $ | — | $ | 10.44 | ||||||
|
|
|
|
|
| |||||||
Plan Class Share | $ | — | $ | — | $ | 10.18 | ||||||
|
|
|
|
|
|
(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, 2021 was $120,250,897, $9,889,878 and $8,999,835,131, 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, N Class and Plan Class shares. |
(3) | Represents offering price and redemption price per share. |
See accompanying Notes to Financial Statements.
80
Table of Contents
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2021 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund | TCW Global Bond Fund | ||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Dividends from Investment in Affiliated Issuers | $ | — | $ | — | $ | 27,816 | ||||||
Interest | 11,588,869 | 10,394 | 364,167 | (2) | ||||||||
|
|
|
|
|
| |||||||
Total | 11,588,869 | 10,394 | 391,983 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 3,234,550 | 7,082 | 81,157 | |||||||||
Accounting Services Fees | 47,177 | 18,078 | 1,537 | |||||||||
Administration Fees | 79,143 | 20,495 | 8,489 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 384,570 | 4,187 | 3,183 | |||||||||
N Class | 114,663 | 4,724 | 4,020 | |||||||||
Plan Class | 5,459 | — | — | |||||||||
Custodian Fees | 28,411 | 6,617 | 22,947 | |||||||||
Professional Fees | 46,812 | 22,630 | 27,837 | |||||||||
Directors’ Fees and Expenses | 19,810 | 19,810 | 19,810 | |||||||||
Registration Fees: | ||||||||||||
I Class | 35,993 | 290 | 8,082 | |||||||||
N Class | 11,877 | 290 | 7,506 | |||||||||
Plan Class | 11,708 | — | — | |||||||||
Distribution Fees: | ||||||||||||
N Class | 295,894 | 664 | 14,206 | |||||||||
Other | 61,474 | 4,042 | 5,074 | |||||||||
|
|
|
|
|
| |||||||
Total | 4,377,541 | 108,909 | 203,848 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 37,512 | 61,016 | 53,637 | |||||||||
N Class | 160,387 | 43,177 | 43,852 | |||||||||
Plan Class | 17,163 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 4,162,479 | 4,716 | 106,359 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 7,426,390 | 5,678 | 285,624 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | (14,894,609 | ) | 1,779 | (1,490 | ) (3) | |||||||
Foreign Currency | (134,657 | ) | — | (9,200 | ) | |||||||
Foreign Currency Forward Contracts | 2,547,763 | — | (96,060 | ) | ||||||||
Futures Contracts | (273,461 | ) | — | 43,158 | ||||||||
Swap Agreements | — | 224,085 | — | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (7,362,611 | ) | 5,103 | (314,384 | ) (4) | |||||||
Foreign Currency | — | — | (674 | ) | ||||||||
Foreign Currency Forward Contracts | — | — | (15,541 | ) | ||||||||
Futures Contracts | (46,890 | ) | — | 17,091 | ||||||||
Investments in Affiliated Issuers | — | — | (3,565 | ) | ||||||||
Swap Agreements | — | 87,658 | — | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | (20,164,465 | ) | 318,625 | (380,665 | ) | |||||||
|
|
|
|
|
| |||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (12,738,075 | ) | $ | 324,303 | $ | (95,041 | ) | ||||
|
|
|
|
|
|
(1) | Consolidated Statement of Operations (See Note 2). |
(2) | Net of foreign taxes withheld of $3,077 for the TCW Global Bond Fund. |
(3) | Net of capital gain withholding taxes of $736 for the TCW Global Bond Fund. |
(4) | Net of capital gain withholding taxes of $166 for the TCW Global Bond Fund. |
See accompanying Notes to Financial Statements.
81
Table of Contents
TCW Funds, Inc.
Statements of Operations (Unaudited) | Six Months Ended April 30, 2021 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
INVESTMENT INCOME |
| |||||||||||
Income: |
| |||||||||||
Interest | $ | 2,262,821 | $ | 106,080 | $ | 89,873,653 | ||||||
|
|
|
|
|
| |||||||
Total | 2,262,821 | 106,080 | 89,873,653 | |||||||||
|
|
|
|
|
| |||||||
Expenses: |
| |||||||||||
Management Fees | 265,514 | 12,364 | 14,768,992 | |||||||||
Accounting Services Fees | 14,115 | 1,155 | 212,092 | |||||||||
Administration Fees | 11,169 | 7,867 | 336,704 | |||||||||
Transfer Agent Fees: |
| |||||||||||
I Class | 24,046 | 5,157 | 2,149,982 | |||||||||
N Class | 8,666 | — | 599,920 | |||||||||
Plan Class | — | — | 5,462 | |||||||||
Custodian Fees | 21,492 | 9,917 | 37,089 | |||||||||
Professional Fees | 20,460 | 37,993 | 144,024 | |||||||||
Directors’ Fees and Expenses | 19,810 | 19,810 | 19,810 | |||||||||
Registration Fees: |
| |||||||||||
I Class | 16,071 | 10,906 | 103,178 | |||||||||
N Class | 10,069 | — | 33,002 | |||||||||
Plan Class | — | — | 12,597 | |||||||||
Distribution Fees: |
| |||||||||||
N Class | 24,945 | — | 1,886,080 | |||||||||
Other | 5,050 | 2,607 | 419,179 | |||||||||
|
|
|
|
|
| |||||||
Total | 441,407 | 107,776 | 20,728,111 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 67,439 | 92,232 | 571,016 | |||||||||
N Class | 24,504 | — | 462,911 | |||||||||
Plan Class | — | — | 18,011 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 349,464 | 15,544 | 19,676,173 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 1,913,357 | 90,536 | 70,197,480 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS |
| |||||||||||
Net Realized Gain (Loss) on: |
| |||||||||||
Investments | 1,489,782 | (14,685 | ) | (90,363,055 | ) | |||||||
Foreign Currency | — | (518 | ) | (628,211 | ) | |||||||
Foreign Currency Forward Contracts | — | 15,925 | 11,829,897 | |||||||||
Futures Contracts | 569,325 | 9,241 | (78,696,276 | ) | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
| |||||||||||
Investments | 1,670,613 | (38,116 | ) | (46,203,659 | ) | |||||||
Futures Contracts | (176,935 | ) | 5,407 | 10,543,528 | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 3,552,785 | (22,746 | ) | (193,517,776 | ) | |||||||
|
|
|
|
|
| |||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,466,142 | $ | 67,790 | $ | (123,320,296 | ) | |||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
82
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets (Unaudited)
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | |||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 7,426,390 | $ | 22,527,062 | $ | 5,678 | $ | 25,591 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Swap Agreements and Foreign Currency Transactions | (12,754,964 | ) | 57,143,948 | 225,864 | (54,101 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts and Swap Agreements | (7,409,501 | ) | 8,993,955 | 92,761 | (50,424 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (12,738,075 | ) | 88,664,965 | 324,303 | (78,934 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (48,172,641 | ) | (27,086,856 | ) | (17,435 | ) | (43,907 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 133,993,406 | 347,782,943 | 8,228 | 26,314 | ||||||||||||
N Class | (1,607,616 | ) | (9,637,861 | ) | 6,995 | 17,593 | ||||||||||
Plan Class | 415,627 | 101 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Net Capital Shares Transactions | 132,801,417 | 338,145,183 | 15,223 | 43,907 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 71,890,701 | 399,723,292 | 322,091 | (78,934 | ) | |||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of period | 1,586,725,975 | 1,187,002,683 | 1,165,504 | 1,244,438 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,658,616,676 | $ | 1,586,725,975 | $ | 1,487,595 | $ | 1,165,504 | ||||||||
|
|
|
|
|
|
|
|
(1) | Consolidated Statement of Changes in Net Assets (See Note 2). |
See accompanying Notes to Financial Statements.
83
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets (Unaudited)
TCW Global Bond Fund | TCW High Yield Bond Fund | |||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 285,624 | $ | 450,380 | $ | 1,913,357 | $ | 1,709,701 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions | (63,592 | ) | 566,505 | 2,059,107 | 713,940 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts and Foreign Currency Transactions | (317,073 | ) | 486,874 | 1,493,678 | 593,891 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (95,041 | ) | 1,503,759 | 5,466,142 | 3,017,532 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (1,280,888 | ) | (702,102 | ) | (2,136,950 | ) | (1,907,838 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 15,964,539 | 1,042,393 | 14,643,411 | 65,450,989 | ||||||||||||
N Class | 125,563 | 2,284,473 | (286,079 | ) | 7,748,174 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Net Capital Shares Transactions | 16,090,102 | 3,326,866 | 14,357,332 | 73,199,163 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets | 14,714,173 | 4,128,523 | 17,686,524 | 74,308,857 | ||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of period | 21,794,065 | 17,665,542 | 103,795,311 | 29,486,454 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 36,508,238 | $ | 21,794,065 | $ | 121,481,835 | $ | 103,795,311 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
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TCW Funds, Inc.
Statements of Changes in Net Assets (Unaudited)
TCW Short Term Bond Fund | TCW Total Return Bond Fund | |||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 90,536 | $ | 148,622 | $ | 70,197,480 | $ | 160,233,200 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions | 9,963 | 20,495 | (157,857,645 | ) | 267,020,758 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts | (32,709 | ) | 3,923 | (35,660,131 | ) | 2,380,352 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 67,790 | 173,040 | (123,320,296 | ) | 429,634,310 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions to Shareholders | (34,672 | ) | (95,527 | ) | (122,230,531 | ) | (195,474,335 | ) | ||||||||
Return of Capital | — | (23,540 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (34,672 | ) | (119,067 | ) | (122,230,531 | ) | (195,474,335 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 1,069,700 | 2,000,194 | 281,564,813 | 631,409,495 | ||||||||||||
N Class | — | — | (597,158,899 | ) | 854,720,881 | |||||||||||
Plan Class | — | — | 778,413 | 101 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 1,069,700 | 2,000,194 | (314,815,673 | ) | 1,486,130,477 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 1,102,818 | 2,054,167 | (560,366,500 | ) | 1,720,290,452 | |||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of period | 7,698,047 | 5,643,880 | 7,581,905,233 | 5,861,614,781 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 8,800,865 | $ | 7,698,047 | $ | 7,021,538,733 | $ | 7,581,905,233 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
85
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) | April 30, 2021 |
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 18 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 its own investment objective and strategies. The following is a brief description of the investment objectives and principal investment strategies for the Funds that are covered in this report:
TCW Fund | Investment Objectives and Principal Investment | |
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, plus any borrowings for investment purposes, in debt securities. The Fund may also invest up to 5% of its net assets in below investment grade bonds (commonly known as “junk bonds”). | |
TCW Enhanced Commodity Strategy Fund | Seeks total return which exceeds that of its commodity benchmark by investing primarily in commodity-linked derivative instruments backed by a portfolio of Fixed Income Instruments. The average duration of the Fixed Income Instruments held by the Fund is not expected to exceed 3 years, under normal market conditions. The Fund may invest up to 5% of its net assets in below investment grade bonds (commonly known as “junk bonds”). The Fund may invest up to 15% of its assets in foreign securities that are denominated in U.S. dollars. The Fund may invest up to 5% of its assets in securities of foreign issuers that are not denominated in U.S. dollars. The Fund may invest up to 5% of its assets in emerging market securities. | |
TCW Global Bond Fund | Seeks total return by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in debt securities. Under normal market conditions, the Fund invests in securities of issuers located in at least three different countries (one of which may be the United States) and invests at least 30% of its net assets in securities of issuers located outside the United States. The Fund does not limit its investments to a particular credit or ratings category and may invest up to 35% of its net assets in below investment grade bonds (commonly known as “junk bonds”). |
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TCW Funds, Inc.
April 30, 2021 |
Note 1 — Organization (Continued)
TCW Fund | Investment Objectives and Principal Investment | |
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, plus any borrowings for investment purposes, in high yield/below investment grade bonds (commonly known as “junk bonds”). The Fund may invest up to 20% of its net assets in equity securities (including common stock and convertible and non-convertible preferred stocks) and bank loans of companies in the high yield universe. | |
TCW Short Term Bond Fund | Seeks to maximize current income by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, 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. The Fund may also invest up to 10% of its net assets in below investment grade bonds (commonly known as “junk bonds”). Under normal market conditions, the portfolio managers seek to construct an investment portfolio with a dollar-weighted average duration of no more than two years. | |
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, plus any borrowings for investment purposes, in debt securities; invests at least 50% of its net assets in securitized obligations guaranteed by the U.S. government or its agencies, instrumentalities or sponsored corporations, privately issued mortgage-backed and asset-backed securities rated at time of investment Aa3 or higher by Moody’s Investors Service, Inc., AA- or higher by S&P Global Ratings or the equivalent by any other nationally recognized statistical organization, other obligations of the U.S. government or its agencies, instrumentalities or sponsored corporations, and money market instruments. Under normal market conditions, the portfolio managers seek to construct an investment portfolio with a weighted average duration of no more than eight years. |
87
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 1 — Organization (Continued)
All of the Funds currently offer two classes of shares: I Class and N Class, except for the TCW Short Term Bond Fund, which only offers I Class shares, and the TCW Core Fixed Income Fund and TCW Total Return Bond Fund, which also offer Plan Class shares. The three classes of a Fund are substantially the same except that the N Class shares are subject to a distribution fee (see Note 7).
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. Subsequent events, if any, have been evaluated through the date of issuance in the preparation of the financial statements.
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’s investment in the Subsidiary will normally not exceed 25% of the value of the Parent’s total assets tested at the time of making an investment. However, the net assets of the Subsidiary at April 30, 2021 were $540,649 or 36.34% of the Parent’s consolidated net assets. Because this 25% level was exceeded as a result of the increase in the relative value of the Subsidiary, and not because of additional investments in the Subsidiary, there did not occur a breach of that limit for compliance or tax purposes. Intercompany balances and transactions have been eliminated in consolidation.
Net Asset Value: The net asset value (“NAV”) per share of each class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that class on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on the exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using official closing prices as reported by NASDAQ, which may not be the last sale price. Investments in open-end mutual funds including money market funds are valued based on the NAV per share as reported by the investment 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.
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 (the “Board,” and each member thereof, a “Director”) and under the general oversight of the Board.
88
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 2 — Significant Accounting Policies (Continued)
Fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Funds disclose investments in their financial statements in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements based on inputs. Inputs that go into fair value measurement refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
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:
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
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Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
issuer, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy; otherwise, they would be categorized in Level 3.
Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable and are obtained from independent sources. Bank loans are generally categorized in Level 2 of the fair value hierarchy.
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
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. 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-wanted 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 are categorized in Level 2; otherwise, the fair values are 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 1 or Level 2 of the fair value hierarchy.
Total return swaps. Total return swaps are fair valued using pricing models that take into account, among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent
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Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 2 — Significant Accounting Policies (Continued)
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.
Warrants. Warrants 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.
The summary of the inputs used as of April 30, 2021 in valuing the Funds’ investments is listed after the Schedule of Investments for each Fund.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
TCW Core Fixed Income Fund | TCW Global Bond Fund | TCW High Yield Bond Fund | TCW Total Return Bond Fund | |||||||||||||
Balance as of October 31, 2020 | $ | — | $ | 108,147 | $ | 37,325 | $ | 3,614,535 | ||||||||
Accrued Discounts (Premiums) | (10,499 | ) | 10,205 | 3,900 | (432,373 | ) | ||||||||||
Realized Gain (Loss) | (1,926 | ) | — | 19,314 | 38,291 | |||||||||||
Change in Unrealized Appreciation (Depreciation) | 34,937 | (304 | ) | (17,084 | ) | 36,536 | ||||||||||
Purchases | 5,000,000 | — | 211,619 | 6,214 | ||||||||||||
Sales | (169,821 | ) | — | (74,081 | ) | (45,156 | ) | |||||||||
Transfers in to Level 3 | 1,252,310 | (1) | — | — | — | |||||||||||
Transfers out of Level 3 | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance as of April 30, 2021 | $ | 6,105,001 | $ | 118,048 | $ | 180,993 | $ | 3,218,047 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at April 30, 2021 | $ | 34,937 | $ | (304 | ) | $ | (15,664 | ) | $ | 35,885 | ||||||
|
|
|
|
|
|
|
|
(1) | 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, 2021 are as follows:
Description | Fair Value at 4/30/2021 | Valuation Techniques* | Unobservable | Price or Price Range | Average Weighted Price | |||||||||
TCW Core Fixed Income Fund |
| |||||||||||||
Corporate Bonds | $ | 1,165,297 | Third-party Vendor | Vendor Prices | $86.125 | $ | 86.125 | |||||||
Asset-Backed Securities | $ | 4,939,704 | Third-party Vendor | Vendor Prices | $99.695 | $ | 99.695 | |||||||
TCW Global Bond Fund |
| |||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | $ | 118,048 | Third-party Vendor | Vendor Prices | $9.431 | $ | 9.431 | |||||||
TCW High Yield Bond Fund |
| |||||||||||||
Corporate Bonds | $ | 180,993 | Third-party Vendor | Vendor Prices | $86.125 | $ | 86.125 | |||||||
TCW Total Return Bond Fund | ||||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | $ | 6,169 | Third-party Vendor | Vendor Prices | $9.353 | $ | 9.353 | |||||||
Residential Mortgage-Backed Securities — Non-Agency (Interest Only, Collateral Strip Rate Securities) | $ | 3,211,878 | Third-party Vendor | Vendor Prices | $0.614–$2.284 | $ | 1.564 |
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.
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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.
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. 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, derivative 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.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) 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 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. 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.
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TCW Funds, Inc.
April 30, 2021 |
Note 2 — Significant Accounting Policies (Continued)
For the period ended April 30, 2021, the following Funds had derivatives and transactions in derivatives, grouped in the following risk categories:
TCW Core Fixed Income Fund
Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
Statement of Assets and Liabilities: |
| |||||||||||||||
Asset Derivatives |
| |||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | 27,902 | $ | 27,902 | ||||||||
Investments (2) | — | — | 380,216 | 380,216 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | — | $ | 408,118 | $ | 408,118 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives |
| |||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | (53,535 | ) | $ | (53,535 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | — | $ | (53,535 | ) | $ | (53,535 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: |
| |||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||
Forward Contract | $ | — | $ | 2,547,763 | $ | — | $ | 2,547,763 | ||||||||
Futures Contracts | — | — | (273,461 | ) | (273,461 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | $ | — | $ | 2,547,763 | $ | (273,461 | ) | $ | 2,274,302 | |||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||
Futures Contracts | $ | — | $ | — | $ | (46,890 | ) | $ | (46,890 | ) | ||||||
Investments (3) | — | — | 186,106 | 186,106 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | — | $ | 139,216 | $ | 139,216 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts or Notional Amounts (4) |
| |||||||||||||||
Forward Currency Contracts | $ — | $36,446,707 | $ — | $36,446,707 | ||||||||||||
Futures Contracts | — | — | 91 | 91 | ||||||||||||
Swaptions Purchased | $ — | $ — | $6,580,000 | $6,580,000 |
TCW Enhanced Commodity Strategy Fund
Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
Statement of Assets and Liabilities: |
| |||||||||||||||
Asset Derivatives |
| |||||||||||||||
Swap Agreements | $ | 63,497 | $ | — | $ | — | $ | 63,497 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | 63,497 | $ | — | $ | — | $ | 63,497 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: |
| |||||||||||||||
Swap Agreements | $ | 225,085 | — | $ | — | $ | 225,085 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | $ | 225,085 | $ | — | $ | — | $ | 225,085 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||
Swap Agreements | $ | 87,658 | $ | — | $ | — | $ | 87,658 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | $ | 87,658 | $ | — | $ | — | $ | 87,658 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts (4) |
| |||||||||||||||
Swap Agreements | $1,325,612 | $ — | $ — | $1,325,612 |
93
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Global Bond Fund
Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
Statement of Assets and Liabilities: |
| |||||||||||||||
Asset Derivatives |
| |||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | 16,180 | $ | 16,180 | ||||||||
Forward Contracts | — | 61,719 | — | 61,719 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | 61,719 | $ | 16,180 | $ | 77,899 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives |
| |||||||||||||||
Forward Contracts | $ | — | $ | (60,719 | ) | $ | — | $ | (60,719 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | (60,719 | ) | $ | — | $ | (60,719 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: |
| |||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||
Forward Contracts | $ | — | $ | (96,060 | ) | $ | — | $ | (96,060 | ) | ||||||
Futures Contracts | — | — | 43,158 | 43,158 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | $ | — | $ | (96,060 | ) | $ | 43,158 | $ | (52,902 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||
Forward Contracts | $ | — | $ | (15,541 | ) | $ | — | $ | (15,541 | ) | ||||||
Futures Contracts | — | — | 17,091 | 17,091 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | (15,541 | ) | $ | 17,091 | $ | 1,550 | |||||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts (4) |
| |||||||||||||||
Forward Currency Contracts | $ — | $15,520,907 | $ — | $15,520,907 | ||||||||||||
Futures Contracts | — | — | 14 | 14 |
TCW High Yield Bond Fund
Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
Statement of Assets and Liabilities: |
| |||||||||||||||
Asset Derivatives |
| |||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | 15,336 | $ | 15,336 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | — | $ | 15,336 | $ | 15,336 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives |
| |||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | (1,234 | ) | $ | (1,234 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | — | $ | (1,234 | ) | $ | (1,234 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: |
| |||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||
Futures Contracts | $ | — | $ | — | $ | 569,325 | $ | 569,325 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | $ | — | $ | — | $ | 569,325 | $ | 569,325 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||
Futures Contracts | $ | — | $ | — | $ | (176,935 | ) | $ | (176,935 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | — | $ | (176,935 | ) | $ | (176,935 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts (4) |
| |||||||||||||||
Futures Contracts | — | — | 32 | 32 |
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TCW Funds, Inc.
April 30, 2021 |
Note 2 — Significant Accounting Policies (Continued)
TCW Short Term Bond Fund
Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
Statement of Assets and Liabilities: |
| |||||||||||||||
Asset Derivatives |
| |||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | 7,609 | $ | 7,609 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | — | $ | 7,609 | $ | 7,609 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: |
| |||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||
Forward Contracts | $ | — | $ | 15,925 | $ | — | $ | 15,925 | ||||||||
Futures Contracts | — | — | 9,241 | 9,241 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | $ | — | $ | 15,925 | $ | 9,241 | $ | 25,166 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||
Futures Contracts | $ | — | $ | — | $ | 5,407 | $ | 5,407 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | — | $ | 5,407 | $ | 5,407 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts or Notional Amounts (4) |
| |||||||||||||||
Forward Currency Contracts | $ — | $216,731 | $ — | $216,731 | ||||||||||||
Futures Contracts | — | — | 6 | 6 |
TCW Total Return Bond Fund
Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
Statement of Assets and Liabilities: | ||||||||||||||||
Liability Derivatives |
| |||||||||||||||
Futures Contracts (1) | $ | — | $ | — | $ | (11,942,646 | ) | $ | (11,942,646 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | — | $ | (11,942,646 | ) | $ | (11,942,646 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: |
| |||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||
Forward Contracts | $ | — | $ | 11,829,897 | $ | — | $ | 11,829,897 | ||||||||
Futures Contracts | — | — | (78,696,276 | ) | (78,696,276 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | $ | — | $ | 11,829,897 | $ | (78,696,276 | ) | $ | (66,866,379 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||
Futures Contracts | $ | — | $ | — | $ | 10,543,528 | $ | 10,543,528 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | — | $ | 10,543,528 | $ | 10,543,528 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts or Notional Amounts (4) |
| |||||||||||||||
Forward Currency Contracts | $ — | $169,278,156 | $ — | $169,278,156 | ||||||||||||
Futures Contracts | — | — | 3,897 | 3,897 |
(1) | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin on April 30, 2021 is reported within the Statement of Assets and Liabilities. |
(2) | Represents purchased options or swaptions, at value. |
(3) | Represents change in unrealized gain (loss) for purchased swaptions. |
(4) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended April 30, 2021. |
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.
95
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TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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.
For OTC derivatives, the Funds mitigate their counterparty risk by entering into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with each counterparty. 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 liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to FASB Accounting Standards Update (“ASU”)
96
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TCW Funds, Inc.
April 30, 2021 |
Note 2 — Significant Accounting Policies (Continued)
No. 2011-11, 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.
Master Agreements and Netting Arrangements. Certain Funds are parties to various agreements, including but not limited to International Swaps and Derivatives Association Agreements and related Credit Support Annex, Master Repurchase Agreements, and Master Securities Forward Transactions Agreements (collectively “Master Agreements”), which govern the terms of certain transactions with select counterparties. These Master Agreements generally include provisions for general obligations, representations, agreements, collateral, and certain events of default or termination. These Master Agreements also include provisions for netting arrangements that help reduce credit and counterparty risk associated with relevant transactions (“netting arrangements”). The netting arrangements are generally tied to credit-related events that, if triggered, would cause an event of default or termination giving a Fund or counterparty the right to terminate early and cause settlement, on a net basis, of all transactions under the applicable Master Agreement. In the event of an early termination as a result of an event of default under the Master Agreement, the total value exposure of all transactions will be offset against collateral exchanged to date, which would result in a net receivable or payable that would be due from or to the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in the event of a bankruptcy or insolvency of the counterparty. Credit related events include, but are not limited to, bankruptcy, failure to make timely payments, restructuring, obligation acceleration, obligation default, a material decline in net assets, decline in credit rating or repudiation/moratorium. Any election made by a counterparty to early terminate the transactions under a Master Agreement could have a material adverse impact on a Fund’s financial statements. A Fund’s overall exposure to credit risk, subject to netting arrangements can change substantially within a short period, as it is affected by each transaction subject to the arrangement.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions under the relevant Master Agreement with a counterparty in a given Fund exceeds a specified threshold, net of collateral already in place, typically $250,000 or $500,000 depending on the counterparty and the type of Master Agreement. Collateral under the Master Agreements is usually in the form of cash or U.S. Treasury Bills but could include other types of securities. If permitted under the Master Agreement, certain funds may rehypothecate cash collateral received from a counterparty. The value of all derivative transactions outstanding under a Master Agreement is calculated daily to determine the amount of collateral to be received or pledged by the counterparty. Posting of collateral for OTC derivative transactions are covered under tri-party collateral agreements between the Fund, the Fund’s custodian, and each counterparty. Collateral for centrally cleared derivatives transactions are posted with the applicable derivatives clearing organization.
97
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
The following table presents the Funds’ OTC derivatives assets and liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement and net of the related collateral received by the Funds as of April 30, 2021:
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) | |||||||||||||||
Citibank N.A. | $ | 380,216 | $ | — | $ | 380,216 | $ | (380,216 | ) (2) | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 380,216 | $ | — | $ | 380,216 | $ | (380,216 | ) (2) | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
|
(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 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 International | $ | 63,497 | $ | — | $ | 63,497 | $ | — | $ | 63,497 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 63,497 | $ | — | $ | 63,497 | $ | — | $ | 63,497 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
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) | |||||||||||||||
Citibank N.A. | $ | 858 | $ | (117 | ) | $ | 741 | $ | — | $ | 741 | |||||||||
Goldman Sachs & Co | 6,351 | (32,847 | ) | (26,496 | ) | — | (26,496 | ) | ||||||||||||
JP Morgan Chase Bank | 842 | (284 | ) | 558 | — | 558 | ||||||||||||||
State Street Bank & Trust Co. | 53,668 | (27,471 | ) | 26,197 | — | 26,197 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 61,719 | $ | (60,719 | ) | $ | 1,000 | $ | — | $ | 1,000 | |||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
Note 3 — Portfolio Investments
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
98
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 3 — Portfolio Investments (Continued)
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. The 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
99
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 3 — Portfolio Investments (Continued)
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, TBA or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, TBA or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate with market conditions. In addition, because the Fund is not required to pay for when-issued, delayed-delivery, TBA 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.
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 counterparties may potentially be unable to complete the transaction. There were no such transactions by the Funds for the period ended April 30, 2021.
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of a Master Repurchase Agreement (“MRA”). In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. 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 an 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, 2021.
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
100
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 3 — Portfolio Investments (Continued)
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, 2021.
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, 2021.
Derivatives:
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 Short Term 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, 2021 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.
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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, the TCW High Yield Bond Fund, the TCW Short Term Bond Fund, and the TCW Total Return Bond Fund utilized futures during the period ended April 30, 2021 to help manage interest rate duration of those Funds. Futures contracts outstanding at April 30, 2021 are listed on the Schedule of Investments.
Options: The Funds may purchase and sell put and call options on a security or an index of securities to enhance investment performance and/or to protect against changes in market prices. The Funds may also enter into currency options to hedge against or to take advantage of 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.
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 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.
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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, 2021, the TCW Core Fixed Income Fund held swaptions.
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 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
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entity. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. A Fund also takes the risk that the market will move against its position in the swap agreement. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. When a Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking-to-market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized 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, 2021, the TCW Enhanced Commodity Strategy Fund used total return swap agreements to gain exposure to the commodity market.
Note 4 — 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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Mortgage-Backed Securities Risk: Each Fund may invest in mortgage-backed securities. The values of some mortgage-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. 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.
Counterparty Risk: The Funds may be exposed to counterparty risk, the risk that an entity with which the Funds have unsettled or open transactions may not fulfill its obligations.
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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 currencies have 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.
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.
LIBOR Risk: LIBOR is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt securities in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund’s derivative investments may also reference LIBOR. In addition, issuers of instruments in which a Fund invests may obtain financing at floating rates based on LIBOR, and a Fund may use leverage or borrowings based on LIBOR. The head of the United Kingdom Financial Conduct Authority has announced the intention to begin phasing out the use of LIBOR by the end of 2021. Although the transition process away from LIBOR has become increasingly well-defined in advance of the anticipated discontinuation date, there remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. The ultimate abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. Any potential effects of the transition away from LIBOR on a Fund or on certain instruments in which a Fund invests can be difficult to ascertain, and they may vary depending on factors that include, but are not limited to: (i) existing fallback or termination provisions in individual contracts and (ii) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new products and instruments. For example, certain of a Fund’s investments may involve individual contracts that have (i) no existing fallback provision or language that contemplates the discontinuation of LIBOR or (ii) inadequate fallback provisions or language that does not contemplate a permanent discontinuation of LIBOR, and those investments could experience increased volatility or reduced liquidity as a result of the transition process. In addition, interest rate provisions included in such contracts may need to be renegotiated in contemplation of the transition away from LIBOR. The transition
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Note 4 — Risk Considerations (Continued)
may also result in a reduction in the value of certain instruments held by the Funds or a reduction in the effectiveness of related Fund transactions such as hedges. In addition, an instrument’s transition to a replacement rate could result in variations in the reported yields of the Fund that holds such instrument. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to a Fund.
Public Health Emergencies Risk and Impact of the Coronavirus (COVID-19): Pandemics and other local, national, and international public health emergencies, including outbreaks of infectious diseases such as SARS, H1N1/09 Flu, the Avian Flu, Ebola and the current coronavirus pandemic (“COVID-19”), can result, and in the case of COVID-19 is resulting, in market volatility and disruption, and any similar future emergencies may materially and adversely impact economic production and activity in ways that cannot be predicted, all of which could result in substantial investment losses.
This outbreak has caused a worldwide public health emergency, straining healthcare resources and resulting in extensive and growing numbers of infections, hospitalizations and deaths. In an effort to contain COVID-19, local, regional, and national governments, as well as private businesses and other organizations, have imposed and continue to impose severely restrictive measures, including instituting local and regional quarantines, restricting travel (including closing certain international borders), prohibiting public activity (including “stay-at-home,” “shelter-in-place,” and similar orders), and ordering the closure of a wide range of offices, businesses, schools, and other public venues. Consequently, COVID-19 has significantly diminished and disrupted global economic production and activity of all kinds and has contributed to both volatility and a severe decline in financial markets. Among other things, these unprecedented developments have resulted in: (i) material reductions in demand across most categories of consumers and businesses; (ii) dislocation (or, in some cases, a complete halt) in the credit and capital markets; (iii) labor force and operational disruptions; (iv) slowing or complete idling of certain supply chains and manufacturing activity; and (v) strain and uncertainty for businesses and households, with a particularly acute impact on industries dependent on travel and public accessibility, such as transportation, hospitality, tourism, retail, sports, and entertainment. The ultimate impact of COVID-19 (and of the resulting precipitous decline and disruption in economic and commercial activity across many of the world’s economies) on global economic conditions, and on the operations, financial condition, and performance of any particular market, industry or business, is impossible to predict. However, ongoing and potential additional materially adverse effects, including further global, regional and local economic downturns (including recessions) of indeterminate duration and severity, are possible. The extent of COVID-19’s impact will depend on many factors, including the ultimate duration and scope of the public health emergency and the restrictive countermeasures being undertaken, as well as the effectiveness of other governmental, legislative, and financial and monetary policy interventions designed to mitigate the crisis and address its negative externalities, all of which are evolving rapidly and may have unpredictable results. The ongoing COVID-19 crisis and any other public health emergency could have a significant adverse impact on our investments and result in significant investment losses.
For more information on risks related to investing in the Funds, 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 customer service at 800-FUND-TCW (800-386-3829).
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Note 5 — 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, 2021, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows:
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Core Fixed Income Fund | $ | 31,220,455 | $ | (3,127,115 | ) | $ | 28,093,340 | $ | 2,010,466,865 | |||||||
TCW Enhanced Commodity Strategy Fund | 43,326 | — | 43,326 | 1,452,192 | ||||||||||||
TCW Global Bond Fund | 755,024 | (696,183 | ) | 58,841 | 40,624,760 | |||||||||||
TCW High Yield Bond Fund | 2,764,342 | (941,174 | ) | 1,823,168 | 120,596,673 | |||||||||||
TCW Short Term Bond Fund | 72,451 | (88,280 | ) | (15,829 | ) | 9,864,541 | ||||||||||
TCW Total Return Bond Fund | 321,032,101 | (47,111,996 | ) | 273,920,105 | 8,945,104,068 |
At October 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Core Fixed Income Fund | $ | 29,951,449 | $ | 10,445,101 | $ | 40,396,550 | ||||||
TCW Enhanced Commodity Strategy Fund | 3,919 | 2,093 | 6,012 | |||||||||
TCW Global Bond Fund | 696,074 | 270,114 | 966,188 | |||||||||
TCW High Yield Bond Fund | 407,157 | — | 407,157 | |||||||||
TCW Total Return Bond Fund | 45,472,713 | 37,218,358 | 82,691,071 |
During the year ended October 31, 2020, the tax character of distributions paid was as follows:
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Core Fixed Income Fund | $ | 27,086,856 | $ | — | $ | — | $ | 27,086,856 | ||||||||
TCW Enhanced Commodity Strategy Fund | 42,313 | 1,594 | — | 43,907 | ||||||||||||
TCW Global Bond Fund | 496,144 | 205,958 | — | 702,102 | ||||||||||||
TCW High Yield Bond Fund | 1,907,838 | — | — | 1,907,838 | ||||||||||||
TCW Short Term Bond Fund | 95,527 | — | 23,540 | 119,067 | ||||||||||||
TCW Total Return Bond Fund | 195,474,335 | — | — | 195,474,335 |
At October 31, 2020, the following Funds had net realized loss carryforwards for federal income tax purposes:
No Expiration | Total | |||||||||||
Short-Term Capital Losses | Long-Term Capital Losses | |||||||||||
TCW Short Term Bond Fund | $ | 54,087 | $ | 223,686 | $ | 277,773 |
The Funds did not have any unrecognized tax benefits at April 30, 2021, nor were there any increases or decreases in unrecognized tax benefits for the period ended April 30, 2021. 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.
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Note 6 — 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 Core Fixed Income Fund | 0.40 | % | ||
TCW Enhanced Commodity Strategy Fund | 0.50 | % | ||
TCW Global Bond Fund | 0.50 | % | ||
TCW High Yield Bond Fund | 0.45 | % | ||
TCW Short Term Bond Fund | 0.35 | % | ||
TCW Total Return Bond Fund | 0.40 | % |
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 | 0.70 | % (1) | ||
P Class | 0.44 | % (1) | ||
TCW Enhanced Commodity Strategy Fund | ||||
I Class | 0.70 | % (1) | ||
N Class | 0.75 | % (1) | ||
TCW Global Bond Fund | ||||
I Class | 0.60 | % (1) | ||
N Class | 0.70 | % (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 | 0.70 | % (1) | ||
P Class | 0.44 | % (1) |
(1) | These limitations are based on an agreement between the Advisor and Company. |
The amount borne by the Advisor during the fiscal year when the operating expenses of a Fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop below the expense limitation in the subsequent years. The Advisor can 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. Deferred compensation is included within directors’ fees and expenses in the Statements of Assets and Liabilities.
Note 7 — 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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Note 8 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the period ended April 30, 2021 were as follows:
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 | $ | 139,467,429 | $ | 140,190,226 | $ | 4,037,941,837 | $ | 3,837,558,904 | ||||||||
TCW Enhanced Commodity Strategy Fund | 132,823 | 101,473 | 2,937 | 848 | ||||||||||||
TCW Global Bond Fund | 22,788,133 | 7,998,078 | 41,551,953 | 38,040,658 | ||||||||||||
TCW High Yield Bond Fund | 57,731,854 | 39,935,319 | — | — | ||||||||||||
TCW Short Term Bond Fund | 874,975 | 702,377 | 8,280,911 | 7,104,965 | ||||||||||||
TCW Total Return Bond Fund | 848,137,799 | 362,845,559 | 20,815,851,483 | 19,399,750,728 |
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Core Fixed Income Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 22,390,820 | $ | 263,215,231 | 52,707,857 | $ | 623,559,707 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,412,755 | 40,280,901 | 1,870,022 | 21,920,091 | ||||||||||||
Shares Redeemed | (14,444,529 | ) | (169,502,726 | ) | (25,332,375 | ) | (297,696,855 | ) | ||||||||
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Net Increase | 11,359,046 | $ | 133,993,406 | 29,245,504 | $ | 347,782,943 | ||||||||||
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| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 2,157,557 | $ | 25,386,272 | 6,245,822 | $ | 72,926,666 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 481,525 | 5,671,885 | 317,229 | 3,699,131 | ||||||||||||
Shares Redeemed | (2,787,976 | ) | (32,665,773 | ) | (7,425,673 | ) | (86,263,658 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (148,894 | ) | $ | (1,607,616 | ) | (862,622 | ) | $ | (9,637,861 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Plan Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 35,821 | $ | 418,679 | 9 | $ | 100 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 110 | 1,268 | — | (1) | 1 | |||||||||||
Shares Redeemed | (372 | ) | (4,320 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 35,559 | $ | 415,627 | 9 | $ | 101 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Enhanced Commodity Strategy Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Issued upon Reinvestment of Dividends | 2,196 | $ | 10,440 | 6,298 | $ | 26,314 | ||||||||||
Shares Redeemed | (462 | ) | (2,212 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,734 | $ | 8,228 | 6,298 | $ | 26,314 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | — | $ | — | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,473 | 6,995 | 4,223 | 17,593 | ||||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,473 | $ | 6,995 | 4,223 | $ | 17,593 | ||||||||||
|
|
|
|
|
|
|
|
110
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 9 — Capital Share Transactions (Continued)
TCW Global Bond Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 1,455,641 | $ | 16,003,049 | 72,459 | $ | 763,424 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 84,252 | 901,885 | 36,988 | 373,807 | ||||||||||||
Shares Redeemed | (89,552 | ) | (940,395 | ) | (9,427 | ) | (94,838 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,450,341 | $ | 15,964,539 | 100,020 | $ | 1,042,393 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 205,200 | $ | 2,204,174 | 226,745 | $ | 2,353,170 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 38,239 | 409,569 | 33,347 | 337,539 | ||||||||||||
Shares Redeemed | (234,874 | ) | (2,488,180 | ) | (38,171 | ) | (406,236 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 8,565 | $ | 125,563 | 221,921 | $ | 2,284,473 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW High Yield Bond Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 5,539,945 | $ | 38,082,322 | 12,579,884 | $ | 82,671,859 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 286,141 | 1,957,771 | 196,895 | 1,287,679 | ||||||||||||
Shares Redeemed | (3,690,070 | ) | (25,396,682 | ) | (2,879,180 | ) | (18,508,549 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,136,016 | $ | 14,643,411 | 9,897,599 | $ | 65,450,989 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 958,437 | $ | 6,629,038 | 2,944,513 | $ | 19,425,304 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 55,591 | 382,839 | 55,222 | 362,371 | ||||||||||||
Shares Redeemed | (1,056,686 | ) | (7,297,956 | ) | (1,861,336 | ) | (12,039,501 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (42,658 | ) | $ | (286,079 | ) | 1,138,399 | $ | 7,748,174 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Short Term Bond Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 497,929 | $ | 4,303,697 | 1,544,093 | $ | 13,181,895 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 4,398 | 37,971 | 15,279 | 130,949 | ||||||||||||
Shares Redeemed | (379,531 | ) | (3,271,968 | ) | (1,321,794 | ) | (11,312,650 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 122,796 | $ | 1,069,700 | 237,578 | $ | 2,000,194 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Total Return Bond Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 122,500,017 | $ | 1,264,625,570 | 290,749,088 | $ | 2,998,972,723 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,020,642 | 62,260,873 | 10,128,418 | 104,175,795 | ||||||||||||
Shares Redeemed | (101,944,345 | ) | (1,045,321,630 | ) | (238,483,907 | ) | (2,471,739,023 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 26,576,314 | $ | 281,564,813 | 62,393,599 | $ | 631,409,495 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 20,584,108 | $ | 218,524,591 | 112,795,737 | $ | 1,223,148,641 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,416,943 | 25,810,448 | 2,580,140 | 27,324,613 | ||||||||||||
Shares Redeemed | (79,630,340 | ) | (841,493,938 | ) | (37,125,969 | ) | (395,752,373 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (56,629,289 | ) | $ | (597,158,899 | ) | 78,249,908 | $ | 854,720,881 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Plan Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 81,451 | $ | 856,355 | 10 | $ | 100 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,038 | 10,746 | — | (1) | 1 | |||||||||||
Shares Redeemed | (8,721 | ) | (88,688 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 73,768 | $ | 778,413 | 10 | $ | 101 | ||||||||||
|
|
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
111
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 10 — Affiliate Ownership
As of April 30, 2021, affiliates of the Funds and Advisor owned 18.65% of the net assets of the TCW Enhanced Commodity Strategy Fund.
Note 11 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Restricted securities held by the Funds at April 30, 2021 are listed below:
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) (I/O), (144A), 0.78%, due 09/15/39 | 7/15/16 | $ | 919 | $ | 907 | 0.06 | % | |||||||
|
|
|
|
|
| |||||||||
TCW Global Bond Fund |
| |||||||||||||
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||
Bank of America-First Union NB Commercial Mortgage (01-3-XC) (I/O), (144A), 1.55%, due 04/11/37 | 3/26/15 | $ | 0 | $ | 11,678 | 0.03 | % | |||||||
|
|
|
|
|
| |||||||||
TCW Short Term Bond Fund |
| |||||||||||||
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||
UBS Commercial Mortgage Trust (12-C1-XA) (I/O), 2.24% , due 05/10/45 | 4/6/20 | $ | 8,149 | $ | 2,458 | 0.03 | % | |||||||
|
|
|
|
|
|
Note 12 — 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, renewable annually. The interest rate on borrowing is the higher of the Federal Funds rate plus 0.10% plus 1.25% or the Overnight Bank Funding rate plus 0.10% plus 1.25%. There were no borrowings from the line of credit as of or during the period ended April 30, 2021. 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.
112
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 13 — Liquidity Risk Management Program
Rule 22e-4 under the 1940 Act (the “Liquidity Rule”) requires that all registered open-end management investment companies, including the Funds, establish a written liquidity risk management program (a “Liquidity Program”). Under a fund’s Liquidity Program, a fund must assess, manage and periodically review the fund’s liquidity risk, classify the liquidity of each of the fund’s portfolio investments, determine whether to specify highly liquid investment minimum (and, if so, at what level), limit illiquid investments to 15% of fund investments, and establish policies and procedures regarding how and when a fund will engage in redemptions in-kind. Consistent with the Liquidity Rule, the Board has approved the written Liquidity Program for the Funds and has designated a committee of professionals associated with the Advisor to administer the Funds’ Liquidity Program (the “Program Administrator”).
On March 8, 2021, the Board reviewed the Program Administrator’s written annual report (the “Report”) concerning the operation of the Funds’ Liquidity Program for the calendar year ended December 31, 2020 (the “Reporting Period”). The Report addressed the operation of the Liquidity Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s Highly Liquid Investment Minimum (“HLIM”). The Report discussed, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule) and the operation and monitoring of the HLIM assigned to a Fund, as applicable; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions. The Report concluded that the Liquidity Program was reasonably designed to assess and manage each Fund’s liquidity risk and was adequately and effectively implemented with respect to each Fund during the Reporting Period.
There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Note 14 — 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 such 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.
113
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 15 — New Accounting Pronouncement
In March 2020, FASB issued Accounting Standards Update (ASU) No. 2020-04 — Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in the ASU provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank offered reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on the financial statements.
114
Table of Contents
TCW Core Fixed Income Fund
Financial Highlights — I Class (Unaudited)
Six Months | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 11.98 | $ | 11.41 | $ | 10.52 | $ | 10.99 | $ | 11.28 | $ | 11.14 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.06 | 0.20 | 0.30 | 0.25 | 0.22 | 0.19 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.15 | ) | 0.61 | 0.89 | (0.45 | ) | (0.15 | ) | 0.24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.09 | ) | 0.81 | 1.19 | (0.20 | ) | 0.07 | 0.43 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.24 | ) | (0.30 | ) | (0.27 | ) | (0.23 | ) | (0.19 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.26 | ) | — | — | — | (0.13 | ) | (0.10 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.35 | ) | (0.24 | ) | (0.30 | ) | (0.27 | ) | (0.36 | ) | (0.29 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 11.54 | $ | 11.98 | $ | 11.41 | $ | 10.52 | $ | 10.99 | $ | 11.28 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (0.76 | )% (2) | 7.14 | % | 11.48 | % | (1.87 | )% | 0.68 | % | 3.97 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 1,426,804 | $ | 1,344,787 | $ | 946,896 | $ | 975,741 | $ | 1,379,196 | $ | 1,421,267 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 0.50 | % (3) | 0.51 | % | 0.51 | % | 0.51 | % | 0.51 | % | 0.51 | % | ||||||||||||
After Expense Reimbursement | 0.49 | % (3) | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.94 | % (3) | 1.66 | % | 2.69 | % | 2.34 | % | 1.96 | % | 1.70 | % | ||||||||||||
Portfolio Turnover Rate | 234.29 | % (2) | 371.22 | % | 214.76 | % | 267.96 | % | 287.39 | % | 283.38 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
115
Table of Contents
TCW Core Fixed Income Fund
Financial Highlights — N Class (Unaudited)
Six Months | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 11.95 | $ | 11.38 | $ | 10.49 | $ | 10.96 | $ | 11.25 | $ | 11.12 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.05 | 0.18 | 0.27 | 0.23 | 0.19 | 0.16 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.14 | ) | 0.60 | 0.90 | (0.46 | ) | (0.15 | ) | 0.24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.09 | ) | 0.78 | 1.17 | (0.23 | ) | 0.04 | 0.40 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.21 | ) | (0.28 | ) | (0.24 | ) | (0.20 | ) | (0.17 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.26 | ) | — | — | — | (0.13 | ) | (0.10 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.34 | ) | (0.21 | ) | (0.28 | ) | (0.24 | ) | (0.33 | ) | (0.27 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 11.52 | $ | 11.95 | $ | 11.38 | $ | 10.49 | $ | 10.96 | $ | 11.25 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (0.77 | )% (2) | 6.92 | % | 11.27 | % | (2.10 | )% | 0.41 | % | 3.66 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 231,400 | $ | 241,938 | $ | 240,107 | $ | 270,477 | $ | 356,930 | $ | 487,223 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 0.79 | % (3) | 0.80 | % | 0.81 | % | 0.81 | % | 0.79 | % | 0.79 | % | ||||||||||||
After Expense Reimbursement | 0.66 | % (3) | 0.67 | % | 0.70 | % | 0.72 | % | 0.75 | % | 0.77 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.77 | % (3) | 1.53 | % | 2.48 | % | 2.12 | % | 1.69 | % | 1.41 | % | ||||||||||||
Portfolio Turnover Rate | 234.29 | % (2) | 371.22 | % | 214.76 | % | 267.96 | % | 287.39 | % | 283.38 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
116
Table of Contents
TCW Core Fixed Income Fund
Financial Highlights — Plan Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | February 28, 2020 October 31, 2020 | |||||||
Net Asset Value per Share, Beginning of period | $ | 12.06 | $ | 11.72 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: |
| |||||||
Net Investment Income (1) | 0.05 | 0.18 | ||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.16 | ) | 0.29 | |||||
|
|
|
| |||||
Total from Investment Operations | (0.11 | ) | 0.47 | |||||
|
|
|
| |||||
Less Distributions: |
| |||||||
Distributions from Net Investment Income | (0.09 | ) | (0.13 | ) | ||||
Distributions from Net Realized Gain | (0.26 | ) | — | |||||
|
|
|
| |||||
Total Distributions | (0.35 | ) | (0.13 | ) | ||||
|
|
|
| |||||
Net Asset Value per Share, End of period | $ | 11.60 | $ | 12.06 | ||||
|
|
|
| |||||
Total Return | (0.89 | )% (5) | 3.98 | % (2) | ||||
Ratios/Supplemental Data: |
| |||||||
Net assets, end of period (in thousands) | $ | 412 | $ | 0.00 | (3) | |||
Ratio of Expenses to Average Net Assets: |
| |||||||
Before Expense Reimbursement | 25.00 | % (4) | 14,703.31 | % (4) | ||||
After Expense Reimbursement | 0.44 | % (4) | 0.44 | % (4) | ||||
Ratio of Net Investment Income to Average Net Assets | 0.96 | % (4) | 2.20 | % (4) | ||||
Portfolio Turnover Rate | 234.29 | % (5) | 371.22 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period February 28, 2020 (Commencement of Operations) through October 31, 2020. |
(3) | Amount Rounds to less than $1,000. |
(4) | Annualized. |
(5) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
See accompanying Notes to Financial Statements.
117
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Financial Highlights — I Class (Unaudited)
Six Months | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 4.36 | $ | 4.84 | $ | 5.01 | $ | 5.20 | $ | 5.15 | $ | 5.30 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.02 | 0.10 | 0.17 | 0.11 | 0.12 | 0.04 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.17 | (0.41 | ) | (0.20 | ) | (0.20 | ) | 0.10 | (0.14 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.19 | (0.31 | ) | (0.03 | ) | (0.09 | ) | 0.22 | (0.10 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.04 | ) | (0.15 | ) | (0.14 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.02 | ) | (0.02 | ) | — | — | (0.06 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.06 | ) | (0.17 | ) | (0.14 | ) | (0.10 | ) | (0.17 | ) | (0.05 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 5.49 | $ | 4.36 | $ | 4.84 | $ | 5.01 | $ | 5.20 | $ | 5.15 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 27.66 | % (2) | (5.82 | )% | (0.96 | )% | (1.96 | )% | 4.55 | % | (1.83 | )% | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 884 | $ | 693 | $ | 740 | $ | 1,208 | $ | 758 | $ | 725 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 16.38 | % (3) | 16.92 | % | 17.82 | % | 11.53 | % | 16.65 | % | 9.74 | % | ||||||||||||
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 | 0.89 | % (3) | 2.29 | % | 3.45 | % | 2.06 | % | 2.31 | % | 0.88 | % | ||||||||||||
Portfolio Turnover Rate | 16.34 | % (2) | 54.50 | % | 122.23 | % | 75.52 | % | 0.00 | % | 2.44 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
118
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Financial Highlights — N Class (Unaudited)
Six Months | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 4.35 | $ | 4.84 | $ | 5.01 | $ | 5.21 | $ | 5.15 | $ | 5.31 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.02 | 0.10 | 0.17 | 0.11 | 0.12 | 0.04 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.18 | (0.42 | ) | (0.20 | ) | (0.21 | ) | 0.11 | (0.15 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.20 | (0.32 | ) | (0.03 | ) | (0.10 | ) | 0.23 | (0.11 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.04 | ) | (0.15 | ) | (0.14 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.02 | ) | (0.02 | ) | — | — | (0.06 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.06 | ) | (0.17 | ) | (0.14 | ) | (0.10 | ) | (0.17 | ) | (0.05 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 5.49 | $ | 4.35 | $ | 4.84 | $ | 5.01 | $ | 5.21 | $ | 5.15 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 27.92 | % (2) | (5.90 | )% | (1.16 | )% | (1.96 | )% | 4.55 | % | (2.03 | )% | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 604 | $ | 472 | $ | 504 | $ | 507 | $ | 517 | $ | 496 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 17.00 | % (3) | 17.60 | % | 19.14 | % | 12.59 | % | 18.01 | % | 10.21 | % | ||||||||||||
After Expense Reimbursement | 0.75 | % (3) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.84 | % (3) | 2.24 | % | 3.57 | % | 2.02 | % | 2.26 | % | 0.83 | % | ||||||||||||
Portfolio Turnover Rate | 16.34 | % (2) | 54.50 | % | 122.23 | % | 75.52 | % | 0.00 | % | 2.44 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
119
Table of Contents
TCW Global Bond Fund
Financial Highlights — I Class (Unaudited)
Six Months | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 10.66 | $ | 10.26 | $ | 9.45 | $ | 9.75 | $ | 9.88 | $ | 9.85 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.09 | 0.25 | 0.24 | 0.19 | 0.17 | 0.20 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.05 | 0.54 | 0.73 | (0.43 | ) | (0.07 | ) | 0.19 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.14 | 0.79 | 0.97 | (0.24 | ) | 0.10 | 0.39 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.16 | ) | (0.15 | ) | (0.16 | ) | (0.05 | ) | (0.16 | ) | (0.22 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.22 | ) | (0.24 | ) | — | (0.01 | ) | (0.07 | ) | (0.14 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.38 | ) | (0.39 | ) | (0.16 | ) | (0.06 | ) | (0.23 | ) | (0.36 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 10.42 | $ | 10.66 | $ | 10.26 | $ | 9.45 | $ | 9.75 | $ | 9.88 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.24 | % (2) | 7.99 | % | 10.42 | % | (2.54 | )% | 1.07 | % | 4.03 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 25,695 | $ | 10,822 | $ | 9,384 | $ | 8,505 | $ | 8,714 | $ | 8,648 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.08 | % (3) | 1.66 | % | 1.79 | % | 1.63 | % | 1.60 | % | 1.48 | % | ||||||||||||
After Expense Reimbursement | 0.60 | % (3) | 0.60 | % | 0.66 | % | 1.00 | % | 1.04 | % | 1.05 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.74 | % (3) | 2.41 | % | 2.48 | % | 1.99 | % | 1.75 | % | 2.02 | % | ||||||||||||
Portfolio Turnover Rate | 132.83 | % (2) | 228.14 | % | 83.18 | % | 102.42 | % | 90.08 | % | 116.87 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
120
Table of Contents
TCW Global Bond Fund
Financial Highlights — N Class (Unaudited)
Six Months | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 10.66 | $ | 10.26 | $ | 9.45 | $ | 9.75 | $ | 9.88 | $ | 9.85 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.09 | 0.24 | 0.24 | 0.19 | 0.17 | 0.20 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.05 | 0.55 | 0.72 | (0.43 | ) | (0.07 | ) | 0.19 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.14 | 0.79 | 0.96 | (0.24 | ) | 0.10 | 0.39 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.16 | ) | (0.15 | ) | (0.15 | ) | (0.05 | ) | (0.16 | ) | (0.22 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.22 | ) | (0.24 | ) | — | (0.01 | ) | (0.07 | ) | (0.14 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.38 | ) | (0.39 | ) | (0.15 | ) | (0.06 | ) | (0.23 | ) | (0.36 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 10.42 | $ | 10.66 | $ | 10.26 | $ | 9.45 | $ | 9.75 | $ | 9.88 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.19 | % (2) | 7.93 | % | 10.32 | % | (2.54 | )% | 1.07 | % | 4.03 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 10,813 | $ | 10,972 | $ | 8,282 | $ | 7,476 | $ | 7,679 | $ | 7,586 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.47 | % (3) | 1.94 | % | 2.09 | % | 1.92 | % | 1.89 | % | 1.76 | % | ||||||||||||
After Expense Reimbursement | 0.70 | % (3) | 0.70 | % | 0.74 | % | 1.00 | % | 1.04 | % | 1.05 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.63 | % (3) | 2.30 | % | 2.39 | % | 1.99 | % | 1.75 | % | 2.02 | % | ||||||||||||
Portfolio Turnover Rate | 132.83 | % (2) | 228.14 | % | 83.18 | % | 102.42 | % | 90.08 | % | 116.87 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
121
Table of Contents
TCW High Yield Bond Fund
Financial Highlights — I Class (Unaudited)
Six Months | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 6.66 | $ | 6.49 | $ | 6.15 | $ | 6.37 | $ | 6.23 | $ | 6.18 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.11 | 0.24 | 0.27 | 0.26 | 0.24 | 0.24 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.22 | 0.19 | 0.36 | (0.17 | ) | 0.18 | 0.06 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.33 | 0.43 | 0.63 | 0.09 | 0.42 | 0.30 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.12 | ) | (0.26 | ) | (0.29 | ) | (0.31 | ) | (0.28 | ) | (0.25 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.00 | ) (2) | — | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.12 | ) | (0.26 | ) | (0.29 | ) | (0.31 | ) | (0.28 | ) | (0.25 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 6.87 | $ | 6.66 | $ | 6.49 | $ | 6.15 | $ | 6.37 | $ | 6.23 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 5.03 | %(2) | 6.88 | % | 10.44 | % | 1.40 | % | 6.80 | % | 5.06 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 103,407 | $ | 85,990 | $ | 19,563 | $ | 7,749 | $ | 14,195 | $ | 20,265 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 0.69 | % (2) | 0.97 | % | 1.68 | % | 1.50 | % | 1.22 | % | 1.03 | % | ||||||||||||
After Expense Reimbursement | 0.55 | % (2) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.29 | % (3) | 3.67 | % | 4.18 | % | 4.13 | % | 3.85 | % | 3.88 | % | ||||||||||||
Portfolio Turnover Rate | 37.43 | % (2) | 111.34 | % | 121.56 | % | 104.21 | % | 179.87 | % | 244.36 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
122
Table of Contents
TCW High Yield Bond Fund
Financial Highlights — N Class (Unaudited)
Six Months | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 6.70 | $ | 6.54 | $ | 6.19 | $ | 6.42 | $ | 6.28 | $ | 6.23 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.10 | 0.23 | 0.25 | 0.25 | 0.23 | 0.22 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.22 | 0.18 | 0.38 | (0.18 | ) | 0.18 | 0.07 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.32 | 0.41 | 0.63 | 0.07 | 0.41 | 0.29 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.25 | ) | (0.28 | ) | (0.30 | ) | (0.27 | ) | (0.24 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.00 | ) (2) | — | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.11 | ) | (0.25 | ) | (0.28 | ) | (0.30 | ) | (0.27 | ) | (0.24 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 6.91 | $ | 6.70 | $ | 6.54 | $ | 6.19 | $ | 6.42 | $ | 6.28 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.89 | % (2) | 6.61 | % | 10.16 | % | 1.04 | % | 6.59 | % | 4.82 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 18,075 | $ | 17,805 | $ | 9,923 | $ | 5,041 | $ | 6,934 | $ | 7,526 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.05 | % (3) | 1.47 | % | 2.05 | % | 1.98 | % | 1.65 | % | 1.40 | % | ||||||||||||
After Expense Reimbursement | 0.80 | % (3) | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.03 | % (3) | 3.46 | % | 3.96 | % | 3.90 | % | 3.60 | % | 3.64 | % | ||||||||||||
Portfolio Turnover Rate | 37.43 | % (2) | 111.34 | % | 121.56 | % | 104.21 | % | 179.87 | % | 244.36 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
123
Table of Contents
TCW Short Term Bond Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 8.60 | $ | 8.59 | $ | 8.54 | $ | 8.62 | $ | 8.70 | $ | 8.69 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.11 | 0.16 | 0.25 | 0.15 | 0.08 | 0.05 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.02 | ) | (0.01 | ) | 0.07 | (0.04 | ) | (0.01 | ) | 0.02 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.09 | 0.15 | 0.32 | 0.11 | 0.07 | 0.07 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.04 | ) | (0.11 | ) | (0.27 | ) | (0.19 | ) | (0.15 | ) | (0.06 | ) | ||||||||||||
Distributions from Return of Capital | — | (0.03 | ) | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.04 | ) | (0.14 | ) | (0.27 | ) | (0.19 | ) | (0.15 | ) | (0.06 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 8.65 | $ | 8.60 | $ | 8.59 | $ | 8.54 | $ | 8.62 | $ | 8.70 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 1.07 | % (2) | 1.70 | % | 3.83 | % | 1.26 | % | 0.75 | % | 0.84 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 8,801 | $ | 7,698 | $ | 5,644 | $ | 7,280 | $ | 7,951 | $ | 7,698 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 3.05 | % (3) | 2.77 | % | 3.37 | % | 2.28 | % | 1.65 | % | 2.46 | % | ||||||||||||
After Expense Reimbursement | 0.44 | % (3) | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.56 | % (3) | 1.83 | % | 2.94 | % | 1.70 | % | 0.96 | % | 0.58 | % | ||||||||||||
Portfolio Turnover Rate | 146.56 | % (2) | 191.22 | % | 248.19 | % | 199.55 | % | 131.31 | % | 46.36 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
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TCW Total Return Bond Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 10.46 | $ | 10.07 | $ | 9.46 | $ | 9.98 | $ | 10.33 | $ | 10.28 | ||||||||||||
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Income (Loss) from Investment Operations: |
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Net Investment Income (1) | 0.10 | 0.26 | 0.34 | 0.31 | 0.27 | 0.26 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.25 | ) | 0.44 | 0.68 | (0.48 | ) | (0.20 | ) | 0.11 | |||||||||||||||
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Total from Investment Operations | �� | (0.15 | ) | 0.70 | 1.02 | (0.17 | ) | 0.07 | 0.37 | |||||||||||||||
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Less Distributions: |
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Distributions from Net Investment Income | (0.11 | ) | (0.31 | ) | (0.41 | ) | (0.35 | ) | (0.26 | ) | (0.25 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.07 | ) | — | — | — | (0.16 | ) | (0.07 | ) | |||||||||||||||
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Total Distributions | (0.18 | ) | (0.31 | ) | (0.41 | ) | (0.35 | ) | (0.42 | ) | (0.32 | ) | ||||||||||||
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Net Asset Value per Share, End of period | $ | 10.13 | $ | 10.46 | $ | 10.07 | $ | 9.46 | $ | 9.98 | $ | 10.33 | ||||||||||||
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Total Return | (1.52 | )% (2) | 7.08 | % | 10.82 | % | (1.67 | )% | 0.72 | % | 3.63 | % | ||||||||||||
Ratios/Supplemental Data: |
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Net Assets, End of period (in thousands) | $ | 5,825,477 | $ | 5,737,736 | $ | 4,898,103 | $ | 5,587,668 | $ | 7,103,832 | $ | 8,042,194 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 0.51 | % (3) | 0.55 | % | 0.62 | % | 0.62 | % | 0.61 | % | 0.60 | % | ||||||||||||
After Expense Reimbursement | 0.49 | % (3) | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.49 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.95 | % (3) | 2.50 | % | 3.47 | % | 3.20 | % | 2.73 | % | 2.55 | % | ||||||||||||
Portfolio Turnover Rate | 239.36 | % (2) | 269.04 | % | 177.80 | % | 241.76 | % | 287.55 | % | 318.48 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
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TCW Total Return Bond Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 10.78 | $ | 10.37 | $ | 9.76 | $ | 10.29 | $ | 10.65 | $ | 10.60 | ||||||||||||
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Income (Loss) from Investment Operations: |
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Net Investment Income (1) | 0.09 | 0.23 | 0.32 | 0.29 | 0.25 | 0.24 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.27 | ) | 0.47 | 0.69 | (0.49 | ) | (0.21 | ) | 0.11 | |||||||||||||||
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Total from Investment Operations | (0.18 | ) | 0.70 | 1.01 | (0.20 | ) | 0.04 | 0.35 | ||||||||||||||||
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Less Distributions: |
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Distributions from Net Investment Income | (0.09 | ) | (0.29 | ) | (0.40 | ) | (0.33 | ) | (0.24 | ) | (0.23 | ) | ||||||||||||
Distributions from Net Realized Gain | (0.07 | ) | — | — | — | (0.16 | ) | (0.07 | ) | |||||||||||||||
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Total Distributions | (0.16 | ) | (0.29 | ) | (0.40 | ) | (0.33 | ) | (0.40 | ) | (0.30 | ) | ||||||||||||
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Net Asset Value per Share, End of period | $ | 10.44 | $ | 10.78 | $ | 10.37 | $ | 9.76 | $ | 10.29 | $ | 10.65 | ||||||||||||
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| |||||||||||||
Total Return | (1.66 | )% (2) | 6.86 | % | 10.46 | % | (1.96 | )% | 0.41 | % | 3.35 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 1,195,310 | $ | 1,844,170 | $ | 963,512 | $ | 1,121,741 | $ | 1,902,308 | $ | 2,762,803 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 0.76 | % (3) | 0.79 | % | 0.88 | % | 0.88 | % | 0.88 | % | 0.87 | % | ||||||||||||
After Expense Reimbursement | 0.70 | % (3) | 0.73 | % | 0.79 | % | 0.79 | % | 0.79 | % | 0.79 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.71 | % (3) | 2.21 | % | 3.16 | % | 2.89 | % | 2.42 | % | 2.25 | % | ||||||||||||
Portfolio Turnover Rate | 239.36 | % (2) | 269.04 | % | 177.80 | % | 241.76 | % | 287.55 | % | 318.48 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
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Table of Contents
TCW Total Return Bond Fund
Financial Highlights — Plan Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | February 28, 2020 October 31, 2020 | |||||||
Net Asset Value per Share, Beginning of period | $ | 10.50 | $ | 10.33 | ||||
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| |||||
Income (Loss) from Investment Operations: |
| |||||||
Net Investment Income (1) | 0.10 | 0.20 | ||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.24 | ) | 0.13 | |||||
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| |||||
Total from Investment Operations | (0.14 | ) | 0.33 | |||||
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| |||||
Less Distributions: |
| |||||||
Distributions from Net Investment Income | (0.11 | ) | (0.16 | ) | ||||
Distributions from Net Realized Gain | (0.07 | ) | — | |||||
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| |||||
Total Distributions | (0.18 | ) | (0.16 | ) | ||||
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| |||||
Net Asset Value per Share, End of period | $ | 10.18 | $ | 10.50 | ||||
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| |||||
Total Return | (1.39 | )% (5) | 3.22 | % (2) | ||||
Ratios/Supplemental Data: |
| |||||||
Net assets, end of period (in thousands) | $ | 751 | $ | 0.00 | (3) | |||
Ratio of Expenses to Average Net Assets: |
| |||||||
Before Expense Reimbursement | 6.41 | % (4) | 14,761.71 | % (4) | ||||
After Expense Reimbursement | 0.44 | % (4) | 0.44 | % (4) | ||||
Ratio of Net Investment Income to Average Net Assets | 2.03 | % (4) | 2.84 | % (4) | ||||
Portfolio Turnover Rate | 239.36 | % (5) | 269.04 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period February 28, 2020 (Commencement of Operations) through October 31, 2020. |
(3) | Amount Rounds to less than $1,000. |
(4) | Annualized. |
(5) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
See accompanying Notes to Financial Statements.
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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, 2020 to April 30, 2021 (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, 2020 | Ending Account Value April 30, 2021 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2020 to April 30, 2021) | ||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 992.40 | 0.49 | % | $ | 2.42 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.37 | 0.49 | % | 2.46 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 992.30 | 0.66 | % | $ | 3.26 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.52 | 0.66 | % | 3.31 | |||||||||||
Plan Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 991.10 | 0.44 | % | $ | 2.17 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.60 | 0.44 | % | 2.21 | |||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,276.60 | 0.70 | % | $ | 3.95 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.32 | 0.70 | % | 3.51 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,279.20 | 0.75 | % | $ | 4.24 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.08 | 0.75 | % | 3.76 |
128
Table of Contents
TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value November 1, 2020 | Ending Account Value April 30, 2021 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2020 to April 30, 2021) | ||||||||||||
TCW Global Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.40 | 0.60 | % (1) | $ | 2.99 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.82 | 0.60 | % (1) | 3.01 | (1) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.90 | 0.70 | % (1) | $ | 3.49 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.32 | 0.70 | % (1) | 3.51 | (1) | ||||||||||
TCW High Yield Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,050.30 | 0.55 | % | $ | 2.80 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.07 | 0.55 | % | 2.76 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,048.90 | 0.80 | % | $ | 4.06 | ||||||||
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 | $ | 1,010.70 | 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 | $ | 984.80 | 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 | $ | 983.40 | 0.70 | % | $ | 3.44 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.32 | 0.70 | % | 3.51 | |||||||||||
Plan Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 986.10 | 0.44 | % | $ | 2.17 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.60 | 0.44 | % | 2.21 |
(1) | Does not include expenses of the underlying affiliated investments. |
129
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 NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.
130
Table of Contents
TCW Funds, Inc.
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street, Suite 1800
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, Suite 1800
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
Peter McMillan
Director
Victoria B. Rogers
Director
Marc I. Stern
Director
Andrew Tarica
Director
OFFICERS
David Lippman
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
Gladys Xiques
Chief Compliance Officer and Anti-Money Laundering Officer
Patrick W. Dennis
Vice President and Assistant Secretary
Lisa Eisen
Tax Officer
Eric W. Chan
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Artificial Intelligence Equity 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
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
FUNDsarFI0421
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
Paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (www.tcw.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future reports in paper free of charge. You can call 1-800-FUND-TCW (1-800-386-3829), if you invest directly with the Fund, or contact your financial intermediary, if you invest though a financial intermediary, to inform the Fund or the financial intermediary that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held directly with TCW or through your financial intermediary.
Table of Contents
Table of Contents
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 73 |
Table of Contents
|
David Lippman 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, 2021. 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, 2021, the TCW Funds held total assets of approximately $18.6 billion.
This report contains information outlining the performance and a list of portfolio holdings as of April 30, 2021 for the TCW Funds’ International fixed income and equity funds.
The International Markets
At the start of 2021, market consensus was centered around synchronous global growth, stronger commodity prices and a weakening dollar. U.S. rates were forecast to rise, but in an orderly fashion and not in a meaningful way until the second half of 2021. However, two developments in the first quarter challenged that view and shifted growth dynamics in favor of the U.S. relative to the rest of the world: 1) the Democratic win in the Georgia Senate race in January cleared the way for much more U.S. fiscal stimulus than had been priced in, and 2) COVID-19 trends worsened in Europe whereas the roll-out of vaccines in the U.S. was better than expected. These developments in turn led to higher U.S. rates, a stronger dollar, and lower flows into Emerging Markets (EM).
That said, we remain constructive on Emerging Markets for the balance of the year. EM is an asset class that tends to benefit from stronger growth, particularly in the early stages of a business cycle. We forecast global growth to recover to 5.7% in 2021, up from -3.4% in 2020. In addition, EM growth is closely tied to China, which is forecast to grow 8-8.5% despite some policy tightening. We are monitoring certain idiosyncratic events in individual countries, but overall, we continue to see signs of economic improvement.
From a valuation perspective, EM equities are approximately one standard deviation above historical valuation metrics, and compare quite favorably versus the
MSCI World and S&P. EM sovereign spreads look attractive relative to history (current spread of 330 bps is approximately 30 bps above longer-term averages), and relative to Developed Markets, which have tightened more aggressively in the recovery.
In addition, we believe that the longer-term trend for the dollar is weaker. As such, there will be opportunities to increase exposure to local currency leading into the second half, when we believe growth in the rest of the world could begin to recover from COVID-19 induced shutdowns and vaccination rollouts should improve. At the same time, growing twin deficits in the U.S. could put renewed downward pressure on the U.S. Dollar, potentially benefitting select local currency opportunities in EM.
Differentiation remains key and we continue to remain constructive on the asset class in light of: (i) the global recovery cycle in 2021 which historically favors cyclical asset classes such as EM; (ii) weakness in the U.S. dollar which tends to support commodity prices and flows into EM currency markets; and (iii) attractive relative valuation metrics in this low rate environment. We see the main risks to our investment thesis as: delays in the vaccination rollout and/or unexpected variants/waves of COVID-19, premature tightening of credit conditions, increased geopolitical tension, and unexpected rises in inflation.
We truly value our relationship with you and thank you for making the TCW Funds part of your long-term investment plan. 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 Lippman
President, Chief Executive Officer and Director
1
Table of Contents
Performance Summary (Unaudited)
Total Return Annualized as of April 30, 2021(1) | ||||||||||||||||||||||||||||
NAV | Six Months Return as of April 30, 2021 | 1-Year | 5-Year | 10-Year | Since Inception | Inception Date | ||||||||||||||||||||||
TCW Developing Markets Equity Fund | ||||||||||||||||||||||||||||
I Class | $ | 14.16 | 19.54 | % | 53.44 | % | 12.21 | % | N/A | 6.67 | % | 06/30/15 | ||||||||||||||||
N Class | $ | 14.15 | 19.56 | % | 53.33 | % | 12.19 | % | N/A | 6.66 | % | 06/30/15 | ||||||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||||||||||||||
I Class | $ | 8.15 | 5.30 | % | 22.78 | % | 5.67 | % | 4.63 | % | 8.74 | %(2) | 09/04/96 | (3) | ||||||||||||||
N Class | $ | 10.52 | 5.28 | % | 22.78 | % | 5.46 | % | 4.39 | % | 7.22 | % | 02/27/04 | |||||||||||||||
Plan Class | $ | 8.15 | 5.34 | % | 22.70 | % | N/A | N/A | 2.22 | % | 02/28/20 | |||||||||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||||||||||||||
I Class | $ | 8.88 | 4.67 | % | 11.99 | % | 2.91 | % | 0.51 | % | 1.30 | % | 12/14/10 | |||||||||||||||
N Class | $ | 8.86 | 4.66 | % | 11.99 | % | 2.89 | % | 0.48 | % | 1.27 | % | 12/14/10 | |||||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||||||||||||||
I Class | $ | 13.43 | 12.63 | % | 39.95 | % | 10.01 | % | N/A | 6.16 | % | 06/28/13 | ||||||||||||||||
N Class | $ | 13.36 | 12.57 | % | 39.67 | % | 9.90 | % | N/A | 6.04 | % | 06/28/13 |
(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 subject to certain investment restrictions that are imposed by the 1940 Act. If the limited partnership had been registered under the 1940 Act, the limited partnership’s performance may have been lower. |
(3) | Inception date of the predecessor entity. |
2
Table of Contents
TCW Developing Markets Equity Fund
Schedule of Investments (Unaudited) | April 30, 2021 |
Issues | Shares | Value | ||||||
COMMON STOCK — 96.4% of Net Assets |
| |||||||
Argentina — 3.3% (Cost: $128,812) | ||||||||
MercadoLibre, Inc. (1) | 155 | $ | 243,502 | |||||
|
| |||||||
Brazil — 5.7% | ||||||||
JBS S.A. | 10,000 | 55,518 | ||||||
Pet Center Comercio e Participacoes S.A. | 14,000 | 62,371 | ||||||
Raia Drogasil S.A. | 25,600 | 124,101 | ||||||
Ser Educacional S.A. | 24,700 | 58,686 | ||||||
StoneCo, Ltd. (1) | 860 | 55,590 | ||||||
Tegma Gestao Logistica S.A. | 16,100 | 67,187 | ||||||
|
| |||||||
Total Brazil | ||||||||
(Cost: $352,063) | 423,453 | |||||||
|
| |||||||
China — 40.7% | ||||||||
China Hongqiao Group, Ltd. | 38,000 | 59,986 | ||||||
Contemporary Amperex Technology Co., Ltd. | 3,000 | 180,281 | ||||||
Galaxy Entertainment Group, Ltd. (1) | 18,000 | 158,025 | ||||||
GDS Holdings, Ltd. (ADR) (1) | 1,600 | 132,752 | ||||||
Geely Automobile Holdings, Ltd. | 12,000 | 31,260 | ||||||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. | 66,800 | 59,702 | ||||||
Innovent Biologics, Inc. (1) | 5,000 | 54,240 | ||||||
JD.com, Inc. (ADR) (1) | 1,100 | 85,096 | ||||||
Kingdee International Software Group Co., Ltd. | 15,000 | 49,403 | ||||||
Kuaishou Technology (1) | 2,700 | 91,427 | ||||||
Kweichow Moutai Co., Ltd. | 500 | 154,471 | ||||||
KWG Property Holdings, Ltd. | 26,500 | 42,459 | ||||||
LONGi Green Energy Technology Co., Ltd. | 8,130 | 124,023 | ||||||
Meituan Dianping — Class B (1) | 5,500 | 210,533 | ||||||
New Oriental Education & Technology Group, Inc. (SP ADR) (1) | 8,000 | 122,080 | ||||||
NIO, Inc. (ADR) (1) | 1,300 | 51,792 | ||||||
Pharmaron Beijing Co., Ltd. — Class H | 9,150 | 188,939 | ||||||
Shenzhen International Holdings, Ltd. | 32,000 | 53,197 | ||||||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. | 1,100 | 78,962 | ||||||
Sino-Ocean Group Holdings, Ltd. | 242,000 | 53,767 | ||||||
Tencent Holdings, Ltd. | 7,700 | 614,316 | ||||||
WuXi AppTec Co., Ltd. — Class H | 5,964 | 140,533 | ||||||
Wuxi Biologics Cayman, Inc. (1) | 15,000 | 210,591 | ||||||
Yifeng Pharmacy Chain Co., Ltd. | 6,940 | 96,213 | ||||||
|
| |||||||
Total China | ||||||||
(Cost: $2,172,856) | 3,044,048 | |||||||
|
| |||||||
Cyprus — 0.6% (Cost: $42,181) | ||||||||
Ozon Holdings PLC (ADR) (1) | 700 | 43,533 | ||||||
|
| |||||||
Egypt — 0.5% (Cost: $38,775) | ||||||||
Commercial International Bank Egypt SAE | 11,000 | 40,048 | ||||||
|
| |||||||
France — 1.3% (Cost: $52,076) | ||||||||
Hermes International | 75 | 94,255 | ||||||
|
|
Issues | Shares | Value | ||||||
India — 7.4% | ||||||||
Apollo Hospitals Enterprise, Ltd. | 1,400 | $ | 60,444 | |||||
Avenue Supermarts, Ltd. (1) | 3,570 | 136,702 | ||||||
IRB Infrastructure Developers, Ltd. | 36,000 | 50,643 | ||||||
Reliance Industries, Ltd. | 4,107 | 110,417 | ||||||
Reliance Industries, Ltd. | 273 | 3,947 | ||||||
Sequent Scientific, Ltd. (1) | 13,000 | 51,149 | ||||||
Shriram Transport Finance Co., Ltd. | 7,771 | 140,233 | ||||||
|
| |||||||
Total India | ||||||||
(Cost: $397,257) | 553,535 | |||||||
|
| |||||||
Malaysia — 0.8% (Cost: $62,431) | ||||||||
Greatech Technology BHD (1) | 42,200 | 61,694 | ||||||
|
| |||||||
Mexico — 0.5% (Cost: $38,314) | ||||||||
Banco del Bajio S.A. (1) | 24,400 | 38,932 | ||||||
|
| |||||||
Poland — 0.8% (Cost: $57,012) | ||||||||
Polskie Gornictwo Naftowe i Gazownictwo S.A. | 35,800 | 62,109 | ||||||
|
| |||||||
Russia — 2.8% | ||||||||
X5 Retail Group NV (GDR) | 2,742 | 84,179 | ||||||
Yandex N.V. (1) | 1,900 | 124,545 | ||||||
|
| |||||||
Total Russia | ||||||||
(Cost: $156,900) | 208,724 | |||||||
|
| |||||||
Saudi Arabia — 1.6% | ||||||||
Mobile Telecommunications Co. (1) | 13,400 | 53,995 | ||||||
Sahara International Petrochemical Co. | 9,100 | 65,805 | ||||||
|
| |||||||
Total Saudi Arabia | ||||||||
(Cost: $109,260) | 119,800 | |||||||
|
| |||||||
Singapore — 1.7% (Cost: $87,573) | ||||||||
Sea, Ltd. (SP ADR) (1) | 500 | 126,270 | ||||||
|
| |||||||
South Africa — 0.5% (Cost: $38,239) | ||||||||
Kumba Iron Ore, Ltd. | 900 | 40,771 | ||||||
|
| |||||||
South Korea — 8.5% | ||||||||
Doosan Co., Ltd. | 1,200 | 68,059 | ||||||
Hansol Paper Co., Ltd. | 4,300 | 60,147 | ||||||
HDC Holdings Co., Ltd. | 5,400 | 58,777 | ||||||
Kakao Corp. | 1,250 | 127,283 | ||||||
Kia Corp. | 700 | 48,554 | ||||||
NAVER, Corp. | 300 | 96,607 | ||||||
NCSoft Corp. | 70 | 52,071 | ||||||
Samsung Biologics Co., Ltd. (1) | 175 | 125,774 | ||||||
|
| |||||||
Total South Korea | ||||||||
(Cost: $494,130) | 637,272 | |||||||
|
| |||||||
Taiwan — 15.1% | ||||||||
ASPEED Technology, Inc. | 800 | 59,716 | ||||||
Chailease Holding Co., Ltd. | 9,560 | 68,890 | ||||||
Kuoyang Construction Co., Ltd. | 38,000 | 47,511 | ||||||
Phison Electronics Corp. | 3,000 | 64,211 | ||||||
Ruentex Development Co., Ltd. | 31,000 | 58,788 |
See accompanying Notes to Financial Statements.
3
Table of Contents
TCW Developing Markets Equity Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||
Taiwan (Continued) | ||||||||
Syncmold Enterprise Corp. | 17,000 | $ | 54,580 | |||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 35,000 | 737,086 | ||||||
United Microelectronics Corp. (SP ADR) | 4,000 | 39,680 | ||||||
|
| |||||||
Total Taiwan | ||||||||
(Cost: $599,284) | 1,130,462 | |||||||
|
| |||||||
Thailand — 0.7% (Cost: $53,264) | ||||||||
Jasmine International PCL (NVDR) | 576,200 | 53,660 | ||||||
|
| |||||||
Turkey — 0.4% (Cost: $31,026) | ||||||||
Arcelik A.S. | 6,350 | 26,323 | ||||||
|
| |||||||
United Kingdom — 1.6% (Cost: $66,145) | ||||||||
Genus PLC | 1,750 | 123,217 | ||||||
|
| |||||||
United States — 1.9% (Cost: $43,168) | ||||||||
Applied Materials, Inc. | 1,100 | 145,981 | ||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $5,020,766) | 7,217,589 | |||||||
|
| |||||||
PREFERRED STOCK — 0.4% |
| |||||||
South Korea — 0.4% (Cost: $34,229) | ||||||||
Samsung Electronics Co., Ltd. 0.71% | 500 | 32,827 | ||||||
|
| |||||||
Total Preferred Stock | ||||||||
(Cost: $34,229) |
| 32,827 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 4.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | 340,439 | 340,439 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $340,439) |
| 340,439 | ||||||
|
| |||||||
Total Investments (101.4%) (Cost: $5,395,434) | 7,590,855 | |||||||
Liabilities In Excess Of Other Assets (-1.4%) |
| (106,066 | ) | |||||
|
| |||||||
Total Net Assets (100.0%) |
| $ | 7,484,789 | |||||
|
|
Notes to the Schedule of Investments:
ADR | American Depositary Receipt. ADRs are receipts typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. |
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. |
SP ADR | Sponsored American Depositary Receipt. ADRs are receipts, typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. Sponsored ADRs are ADRs issued with the cooperation of the foreign corporation. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
See accompanying Notes to Financial Statements.
4
Table of Contents
TCW Developing Markets Equity Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Automobiles | 1.7 | % | ||
Banks | 1.0 | |||
Beverages | 2.1 | |||
Biotechnology | 2.3 | |||
Chemicals | 2.5 | |||
Construction & Engineering | 0.7 | |||
Consumer Finance | 1.8 | |||
Diversified Consumer Services | 2.4 | |||
Diversified Financial Services | 0.9 | |||
Diversified Telecommunication Services | 0.7 | |||
Electrical Equipment | 2.4 | |||
Electronic Equipment, Instruments & Components | 0.7 | |||
Entertainment | 2.4 | |||
Food & Staples Retailing | 5.9 | |||
Food Products | 0.7 | |||
Health Care Equipment & Supplies | 1.1 | |||
Health Care Providers & Services | 0.8 | |||
Hotels, Restaurants & Leisure | 2.1 | |||
Household Durables | 0.4 | |||
IT Services | 2.6 | |||
Industrial Conglomerates | 0.9 | |||
Interactive Media & Services | 14.1 | |||
Internet & Direct Marketing Retail | 7.8 | |||
Life Sciences Tools & Services | 8.9 | |||
Metals & Mining | 1.3 | |||
Oil, Gas & Consumable Fuels | 2.4 | |||
Paper & Forest Products | 0.8 | |||
Pharmaceuticals | 0.7 | |||
Real Estate Management & Development | 2.7 | |||
Road & Rail | 0.9 | |||
Semiconductors & Semiconductor Equipment | 16.5 | |||
Software | 0.7 | |||
Specialty Retail | 0.8 | |||
Technology Hardware, Storage & Peripherals | 0.4 | |||
Textiles, Apparel & Luxury Goods | 1.3 | |||
Transportation Infrastructure | 0.7 | |||
Wireless Telecommunication Services | 0.7 | |||
Money Market Investments | 4.6 | |||
|
| |||
Total | 101.4 | % | ||
|
|
See accompanying Notes to Financial Statements.
5
Table of Contents
TCW Developing Markets Equity Fund
Fair Valuation Summary (Unaudited) | April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | ||||||||||||||||
Automobiles | $ | 51,792 | $ | 79,814 | $ | — | $ | 131,606 | ||||||||
Banks | 38,932 | 40,048 | — | 78,980 | ||||||||||||
Beverages | — | 154,471 | — | 154,471 | ||||||||||||
Biotechnology | — | 177,457 | — | 177,457 | ||||||||||||
Chemicals | — | 184,284 | — | 184,284 | ||||||||||||
Construction & Engineering | — | 50,644 | — | 50,644 | ||||||||||||
Consumer Finance | — | 140,233 | — | 140,233 | ||||||||||||
Diversified Consumer Services | 180,765 | — | — | 180,765 | ||||||||||||
Diversified Financial Services | — | 68,890 | — | 68,890 | ||||||||||||
Diversified Telecommunication Services | — | 53,660 | — | 53,660 | ||||||||||||
Electrical Equipment | — | 180,281 | — | 180,281 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 54,580 | — | 54,580 | ||||||||||||
Entertainment | 126,270 | 52,071 | — | 178,341 | ||||||||||||
Food & Staples Retailing | 208,281 | 232,915 | — | 441,196 | ||||||||||||
Food Products | 55,518 | — | — | 55,518 | ||||||||||||
Health Care Equipment & Supplies | — | 78,962 | — | 78,962 | ||||||||||||
Health Care Providers & Services | — | 60,444 | — | 60,444 | ||||||||||||
Hotels, Restaurants & Leisure | — | 158,025 | — | 158,025 | ||||||||||||
Household Durables | — | 26,323 | — | 26,323 | ||||||||||||
Industrial Conglomerates | — | 68,059 | — | 68,059 | ||||||||||||
Interactive Media & Services | 215,972 | 838,206 | — | 1,054,178 | ||||||||||||
Internet & Direct Marketing Retail | 372,131 | 210,533 | — | 582,664 | ||||||||||||
IT Services | 188,342 | — | — | 188,342 | ||||||||||||
Life Sciences Tools & Services | — | 665,838 | — | 665,838 | ||||||||||||
Metals & Mining | — | 100,757 | — | 100,757 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 176,472 | — | 176,472 | ||||||||||||
Paper & Forest Products | — | 60,146 | — | 60,146 | ||||||||||||
Pharmaceuticals | — | 51,149 | — | 51,149 | ||||||||||||
Real Estate Management & Development | — | 202,524 | — | 202,524 | ||||||||||||
Road & Rail | 67,187 | — | — | 67,187 | ||||||||||||
Semiconductors & Semiconductor Equipment | 247,355 | 985,037 | — | 1,232,392 | ||||||||||||
Software | — | 49,403 | — | 49,403 | ||||||||||||
Specialty Retail | 62,371 | — | — | 62,371 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 94,255 | — | 94,255 | ||||||||||||
Transportation Infrastructure | — | 53,197 | — | 53,197 | ||||||||||||
Wireless Telecommunication Services | — | 53,995 | — | 53,995 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 1,814,916 | 5,402,673 | — | 7,217,589 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Technology Hardware, Storage & Peripherals | — | 32,827 | — | 32,827 | ||||||||||||
Money Market Investments | 340,439 | — | — | 340,439 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,155,355 | $ | 5,435,500 | $ | — | $ | 7,590,855 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
6
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) | April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 96.0% of Net Assets |
| |||||||||||
Angola — 2.8% | ||||||||||||
Angolan Government International Bond |
| |||||||||||
8.25% (1) | 05/09/28 | $ | 90,399,000 | $ | 93,167,469 | |||||||
9.13% (1) | 11/26/49 | 65,580,000 | 66,616,984 | |||||||||
9.38% (1) | 05/08/48 | 56,355,000 | 58,239,370 | |||||||||
|
| |||||||||||
Total Angola |
| |||||||||||
(Cost: $198,017,783) |
| 218,023,823 | ||||||||||
|
| |||||||||||
Argentina — 0.9% | ||||||||||||
Argentine Republic Government International Bond |
| |||||||||||
0.13% | 07/09/30 | 54,243,034 | 19,326,793 | |||||||||
0.13% | 07/09/35 | 157,680,077 | 49,986,161 | |||||||||
1.00% | 07/09/29 | 10,729,397 | 4,062,150 | |||||||||
|
| |||||||||||
Total Argentina |
| |||||||||||
(Cost: $107,836,937) |
| 73,375,104 | ||||||||||
|
| |||||||||||
Bahrain — 3.7% | ||||||||||||
Bahrain Government International Bond |
| |||||||||||
5.25% (1) | 01/25/33 | 111,005,000 | 108,148,619 | |||||||||
5.45% (2) | 09/16/32 | 50,340,000 | 50,075,715 | |||||||||
5.63% (1) | 09/30/31 | 30,673,000 | 30,961,909 | |||||||||
6.00% (2) | 09/19/44 | 48,855,000 | 45,804,005 | |||||||||
7.50% (2) | 09/20/47 | 29,207,000 | 30,921,451 | |||||||||
Oil and Gas Holding Co. BSCC (The) |
| |||||||||||
7.50% (2) | 10/25/27 | 16,720,000 | 18,840,765 | |||||||||
|
| |||||||||||
Total Bahrain |
| |||||||||||
(Cost: $289,544,473) |
| 284,752,464 | ||||||||||
|
| |||||||||||
Brazil — 3.0% | ||||||||||||
Banco do Brasil S.A. |
| |||||||||||
6.25% (U.S. 10-year Treasury Constant Maturity Rate + 4.398%) (2)(3)(4) | 04/15/24 | 12,442,000 | 12,319,571 | |||||||||
Brazilian Government International Bond |
| |||||||||||
2.88% | 06/06/25 | 61,520,000 | 63,070,304 | |||||||||
3.88% | 06/12/30 | 76,577,000 | 76,067,571 | |||||||||
CSN Islands XII Corp. |
| |||||||||||
7.00% (2)(4) | 06/23/21 | 38,971,000 | 39,481,520 | |||||||||
Guara Norte Sarl |
| |||||||||||
5.20% (1) | 06/15/34 | 21,850,000 | 22,046,104 | |||||||||
MV24 Capital B.V. |
| |||||||||||
6.75% (1) | 06/01/34 | 18,904,635 | 20,077,856 | |||||||||
|
| |||||||||||
Total Brazil |
| |||||||||||
(Cost: $227,406,053) |
| 233,062,926 | ||||||||||
|
| |||||||||||
Chile — 2.7% | ||||||||||||
AES Gener S.A. |
| |||||||||||
7.13% (USD 5-Year Swap rate + 4.644%) (1)(3) | 03/26/79 | 41,281,000 | 43,964,265 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Chile (Continued) | ||||||||||||
Chile Government International Bond |
| |||||||||||
2.45% | 01/31/31 | $ | 80,126,000 | $ | 81,728,520 | |||||||
2.55% | 01/27/32 | 82,710,000 | 84,711,582 | |||||||||
|
| |||||||||||
Total Chile |
| |||||||||||
(Cost: $210,625,323) |
| 210,404,367 | ||||||||||
|
| |||||||||||
China — 2.4% | ||||||||||||
China Evergrande Group |
| |||||||||||
8.25% (2) | 03/23/22 | 37,246,000 | 36,594,195 | |||||||||
Easy Tactic, Ltd. |
| |||||||||||
5.75% (2) | 01/13/22 | 10,175,000 | 10,062,592 | |||||||||
8.13% (2) | 02/27/23 | 31,920,000 | 30,999,826 | |||||||||
Fantasia Holdings Group Co., Ltd. |
| |||||||||||
10.88% (2) | 01/09/23 | 14,500,000 | 14,463,750 | |||||||||
12.25% (2) | 10/18/22 | 900,000 | 921,690 | |||||||||
Kaisa Group Holdings, Ltd. |
| |||||||||||
8.50% (2) | 06/30/22 | 33,660,000 | 34,518,330 | |||||||||
New Metro Global, Ltd. |
| |||||||||||
6.80% (2) | 08/05/23 | 5,656,000 | 5,896,381 | |||||||||
Ronshine China Holdings, Ltd. |
| |||||||||||
8.75% (2) | 10/25/22 | 17,571,000 | 17,780,095 | |||||||||
Sunac China Holdings, Ltd. |
| |||||||||||
6.50% (2) | 07/09/23 | 22,100,000 | 22,680,125 | |||||||||
Yuzhou Properties Co., Ltd. |
| |||||||||||
6.00% (2) | 10/25/23 | 9,475,000 | 8,598,562 | |||||||||
|
| |||||||||||
Total China |
| |||||||||||
(Cost: $174,036,766) |
| 182,515,546 | ||||||||||
|
| |||||||||||
Colombia — 2.8% | ||||||||||||
Banco Davivienda S.A. |
| |||||||||||
6.65% (U.S. 10-year Treasury Constant Maturity Rate + | 04/22/31 | 22,100,000 | 22,548,630 | |||||||||
Banco GNB Sudameris S.A. |
| |||||||||||
7.50% (U.S. 5-year Treasury Constant Maturity Rate + | 04/16/31 | 20,750,000 | 21,404,663 | |||||||||
Bancolombia S.A. |
| |||||||||||
4.63% (U.S. 5-year Treasury Constant Maturity Rate + | 12/18/29 | 19,032,000 | 19,269,995 | |||||||||
Colombia Government International Bond |
| |||||||||||
3.13% | 04/15/31 | 58,685,000 | 57,499,563 | |||||||||
4.13% | 02/22/42 | 89,800,000 | 88,138,700 | |||||||||
Grupo Aval, Ltd. |
| |||||||||||
4.38% (1) | 02/04/30 | 10,065,000 | 10,113,966 | |||||||||
|
| |||||||||||
Total Colombia |
| |||||||||||
(Cost: $216,436,426) |
| 218,975,517 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
7
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Costa Rica — 0.9% | ||||||||||||
Costa Rica Government International Bond |
| |||||||||||
5.63% (2) | 04/30/43 | $ | 18,885,000 | $ | 17,657,475 | |||||||
7.00% (2) | 04/04/44 | 39,988,000 | 41,247,622 | |||||||||
7.16% (2) | 03/12/45 | 13,677,000 | 14,230,919 | |||||||||
|
| |||||||||||
Total Costa Rica |
| |||||||||||
(Cost: $70,405,578) |
| 73,136,016 | ||||||||||
|
| |||||||||||
Dominican Republic — 3.7% | ||||||||||||
Dominican Republic International Bond |
| |||||||||||
4.50% (1) | 01/30/30 | 49,501,000 | 51,493,910 | |||||||||
4.88% (1) | 09/23/32 | 100,695,000 | 105,488,082 | |||||||||
5.30% (1) | 01/21/41 | 74,695,000 | 76,368,168 | |||||||||
5.88% (1) | 01/30/60 | 54,030,000 | 53,959,761 | |||||||||
|
| |||||||||||
Total Dominican Republic |
| |||||||||||
(Cost: $277,842,964) |
| 287,309,921 | ||||||||||
|
| |||||||||||
Ecuador — 1.0% | ||||||||||||
Ecuador Government International Bond |
| |||||||||||
0.50% (1) | 07/31/35 | 76,966,829 | 52,722,278 | |||||||||
0.50% (1) | 07/31/40 | 41,639,995 | 24,692,517 | |||||||||
|
| |||||||||||
Total Ecuador |
| |||||||||||
(Cost: $64,526,529) |
| 77,414,795 | ||||||||||
|
| |||||||||||
Egypt — 4.0% | ||||||||||||
Egypt Government International Bond |
| |||||||||||
3.88% (1) | 02/16/26 | 27,245,000 | 26,628,446 | |||||||||
5.88% (1) | 02/16/31 | 26,625,000 | 25,778,325 | |||||||||
7.05% (1) | 01/15/32 | 79,335,000 | 81,556,380 | |||||||||
7.60% (2) | 03/01/29 | 31,750,000 | 34,556,700 | |||||||||
7.63% (1) | 05/29/32 | 44,604,000 | 47,507,720 | |||||||||
8.50% (2) | 01/31/47 | 52,664,000 | 54,549,371 | |||||||||
8.70% (1) | 03/01/49 | 37,572,000 | 39,277,769 | |||||||||
|
| |||||||||||
Total Egypt |
| |||||||||||
(Cost: $304,291,802) |
| 309,854,711 | ||||||||||
|
| |||||||||||
El Salvador — 1.5% | ||||||||||||
El Salvador Government International Bond |
| |||||||||||
5.88% (2) | 01/30/25 | 20,286,000 | 21,056,868 | |||||||||
6.38% (2) | 01/18/27 | 39,519,000 | 41,060,241 | |||||||||
7.63% (2) | 02/01/41 | 34,263,000 | 35,301,169 | |||||||||
8.25% (2) | 04/10/32 | 13,978,000 | 15,419,132 | |||||||||
|
| |||||||||||
Total El Salvador |
| |||||||||||
(Cost: $105,809,382) |
| 112,837,410 | ||||||||||
|
| |||||||||||
Ghana — 2.7% | ||||||||||||
Ghana Government International Bond |
| |||||||||||
7.63% (2) | 05/16/29 | 49,749,000 | 50,733,035 | |||||||||
7.88% (2) | 02/11/35 | 63,825,000 | 63,001,658 | |||||||||
8.13% (2) | 03/26/32 | 38,645,000 | 39,085,553 | |||||||||
8.95% (1) | 03/26/51 | 53,890,000 | 53,605,730 | |||||||||
|
| |||||||||||
Total Ghana |
| |||||||||||
(Cost: $209,112,080) |
| 206,425,976 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Guatemala — 0.6% | ||||||||||||
Banco Industrial S.A. |
| |||||||||||
4.88% (U.S. 5-year Treasury Constant Maturity Rate + | 01/29/31 | $ | 20,895,000 | $ | 21,699,458 | |||||||
Guatemala Government Bond |
| |||||||||||
5.38% (1) | 04/24/32 | 24,329,000 | 28,258,133 | |||||||||
|
| |||||||||||
Total Guatemala |
| |||||||||||
(Cost: $48,427,873) |
| 49,957,591 | ||||||||||
|
| |||||||||||
India — 2.0% | ||||||||||||
Adani Ports & Special Economic Zone, Ltd. |
| |||||||||||
4.20% (1) | 08/04/27 | 24,020,000 | 25,285,251 | |||||||||
4.38% (1) | 07/03/29 | 17,685,000 | 18,235,003 | |||||||||
Cliffton, Ltd. |
| |||||||||||
6.25% (1) | 10/25/25 | 29,025,000 | 28,920,510 | |||||||||
Greenko Dutch B.V. |
| |||||||||||
3.85% (1) | 03/29/26 | 14,175,000 | 14,476,927 | |||||||||
India Green Power Holdings |
| |||||||||||
4.00% (1) | 02/22/27 | 18,600,000 | 18,726,480 | |||||||||
Network i2i, Ltd. |
| |||||||||||
3.98% (U.S. 5-year Treasury Constant Maturity Rate + 3.390%) (1)(3)(4) | 03/03/26 | 21,400,000 | 21,587,250 | |||||||||
5.65% (U.S. 5-year Treasury Constant Maturity Rate + 4.274%) (2)(3)(4) | 01/15/25 | 23,435,000 | 24,971,516 | |||||||||
|
| |||||||||||
Total India |
| |||||||||||
(Cost: $149,109,016) |
| 152,202,937 | ||||||||||
|
| |||||||||||
Indonesia — 4.4% | ||||||||||||
Indonesia Asahan Aluminium Persero PT |
| |||||||||||
4.75% (1) | 05/15/25 | 36,140,000 | 39,330,439 | |||||||||
5.45% (1) | 05/15/30 | 35,250,000 | 40,627,211 | |||||||||
6.53% (1) | 11/15/28 | 37,763,000 | 45,865,429 | |||||||||
Indonesia Government International Bond |
| |||||||||||
3.85% | 10/15/30 | 23,975,000 | 26,660,200 | |||||||||
4.20% | 10/15/50 | 27,070,000 | 29,971,904 | |||||||||
Minejesa Capital B.V. |
| |||||||||||
5.63% (1) | 08/10/37 | 37,925,000 | 40,295,313 | |||||||||
Perusahaan Penerbit SBSN Indonesia III |
| |||||||||||
3.80% (1) | 06/23/50 | 55,849,000 | 57,731,112 | |||||||||
4.15% (2) | 03/29/27 | 54,470,000 | 60,772,179 | |||||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $327,776,696) |
| 341,253,787 | ||||||||||
|
| |||||||||||
Iraq — 0.3% (Cost: $22,228,397) | ||||||||||||
Iraq International Bond |
| |||||||||||
5.80% (2) | 01/15/28 | 27,244,875 | 26,384,278 | |||||||||
|
|
See accompanying Notes to Financial Statements.
8
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Israel — 1.8% | ||||||||||||
Energean Israel Finance, Ltd. |
| |||||||||||
4.50% (1) | 03/30/24 | $ | 30,055,000 | $ | 30,902,175 | |||||||
5.88% (1) | 03/30/31 | 44,352,700 | 45,794,163 | |||||||||
Leviathan Bond, Ltd. |
| |||||||||||
6.13% (1) | 06/30/25 | 15,660,000 | 17,186,850 | |||||||||
6.50% (1) | 06/30/27 | 19,132,000 | 21,313,048 | |||||||||
6.75% (1) | 06/30/30 | 20,250,240 | 22,779,495 | |||||||||
|
| |||||||||||
Total Israel |
| |||||||||||
(Cost: $132,173,958) |
| 137,975,731 | ||||||||||
|
| |||||||||||
Ivory Coast — 2.0% | ||||||||||||
Ivory Coast Government International Bond |
| |||||||||||
4.88% (1) | 01/30/32 | EUR | 59,705,000 | 72,317,393 | ||||||||
6.88% (1) | 10/17/40 | EUR | 63,035,000 | 82,270,736 | ||||||||
|
| |||||||||||
Total Ivory Coast |
| |||||||||||
(Cost: $148,345,689) |
| 154,588,129 | ||||||||||
|
| |||||||||||
Kazakhstan — 1.9% | ||||||||||||
KazMunayGas National Co. JSC |
| |||||||||||
3.50% (1) | 04/14/33 | $ | 73,764,000 | 76,589,161 | ||||||||
5.38% (1) | 04/24/30 | 30,121,000 | 35,880,135 | |||||||||
5.75% (2) | 04/19/47 | 28,545,000 | 34,393,728 | |||||||||
|
| |||||||||||
Total Kazakhstan |
| |||||||||||
(Cost: $137,996,889) |
| 146,863,024 | ||||||||||
|
| |||||||||||
Kenya — 0.8% | ||||||||||||
Kenya Government International Bond |
| |||||||||||
7.00% (2) | 05/22/27 | 39,030,000 | 42,557,570 | |||||||||
8.00% (1) | 05/22/32 | 18,227,000 | 20,026,780 | |||||||||
|
| |||||||||||
Total Kenya |
| |||||||||||
(Cost: $57,941,022) |
| 62,584,350 | ||||||||||
|
| |||||||||||
Lebanon — 0.2% (Cost: $38,908,368) | ||||||||||||
Lebanon Government International Bond |
| |||||||||||
8.25% (5) | 05/17/34 | 139,956,000 | 17,792,606 | |||||||||
|
| |||||||||||
Malaysia — 0.5% | ||||||||||||
Malaysia Wakala Sukuk Bhd |
| |||||||||||
3.08% (1) | 04/28/51 | 10,450,000 | 10,683,287 | |||||||||
Petronas Capital, Ltd. |
| |||||||||||
3.40% (1) | 04/28/61 | 29,375,000 | 28,937,313 | |||||||||
|
| |||||||||||
Total Malaysia |
| |||||||||||
(Cost: $39,825,000) |
| 39,620,600 | ||||||||||
|
| |||||||||||
Mexico — 7.4% | ||||||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
6.88% (U.S. 5-year Treasury Constant Maturity Rate + 5.035%) (1)(3)(4) | 07/06/22 | 14,020,000 | 14,458,125 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Mexico (Continued) | ||||||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
7.50% (U.S. 10-year Treasury Constant Maturity Rate + | 06/27/29 | $ | 20,074,000 | $ | 22,217,903 | |||||||
Cemex SAB de CV |
| |||||||||||
3.88% (1) | 07/11/31 | 43,405,000 | 42,957,929 | |||||||||
5.20% (1) | 09/17/30 | 20,180,000 | 21,986,211 | |||||||||
Mexico Government International Bond |
| |||||||||||
2.66% | 05/24/31 | 76,630,000 | 73,885,880 | |||||||||
4.28% | 08/14/41 | 58,246,000 | 59,544,886 | |||||||||
4.75% | 04/27/32 | 21,500,000 | 24,215,450 | |||||||||
Petroleos Mexicanos |
| |||||||||||
5.35% | 02/12/28 | 55,739,000 | 54,827,667 | |||||||||
5.95% | 01/28/31 | 84,030,000 | 81,542,712 | |||||||||
6.49% | 01/23/27 | 31,320,000 | 33,160,050 | |||||||||
6.50% | 03/13/27 | 21,905,000 | 23,193,014 | |||||||||
6.63% | 06/15/35 | 69,931,000 | 67,546,353 | |||||||||
6.75% | 09/21/47 | 64,175,000 | 56,824,395 | |||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $552,050,649) |
| 576,360,575 | ||||||||||
|
| |||||||||||
Mongolia — 0.1% (Cost: $8,282,656) |
| |||||||||||
Development Bank of Mongolia LLC |
| |||||||||||
7.25% (1) | 10/23/23 | 8,475,000 | 9,188,595 | |||||||||
|
| |||||||||||
Morocco — 0.7% | ||||||||||||
Morocco Government International Bond |
| |||||||||||
2.38% (2) | 12/15/27 | 28,645,000 | 27,937,827 | |||||||||
3.00% (1) | 12/15/32 | 27,155,000 | 25,924,878 | |||||||||
|
| |||||||||||
Total Morocco |
| |||||||||||
(Cost: $55,676,302) |
| 53,862,705 | ||||||||||
|
| |||||||||||
Nigeria — 2.9% | ||||||||||||
Nigeria Government International Bond |
| |||||||||||
7.14% (1) | 02/23/30 | 55,530,000 | 59,000,070 | |||||||||
7.63% (2) | 11/28/47 | 54,819,000 | 55,345,263 | |||||||||
7.70% (1) | 02/23/38 | 66,872,000 | 68,975,793 | |||||||||
7.88% (2) | 02/16/32 | 38,788,000 | 41,906,167 | |||||||||
|
| |||||||||||
Total Nigeria |
| |||||||||||
(Cost: $212,466,657) |
| 225,227,293 | ||||||||||
|
| |||||||||||
Oman — 4.0% | ||||||||||||
Oman Government International Bond |
| |||||||||||
5.38% (2) | 03/08/27 | 14,790,000 | 15,493,930 | |||||||||
5.63% (2) | 01/17/28 | 57,429,000 | 60,587,595 | |||||||||
6.00% (2) | 08/01/29 | 50,030,000 | 53,306,965 | |||||||||
6.25% (1) | 01/25/31 | 71,769,000 | 77,431,574 | |||||||||
6.50% (2) | 03/08/47 | 49,350,000 | 48,530,790 | |||||||||
OQ SAOC |
| |||||||||||
5.13% (1) | 05/06/28 | 19,165,000 | 19,452,475 |
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 | |||||||||
Oman (Continued) | ||||||||||||
Oryx Funding, Ltd. |
| |||||||||||
5.80% (1) | 02/03/31 | $ | 34,267,000 | $ | 36,446,381 | |||||||
|
| |||||||||||
Total Oman |
| |||||||||||
(Cost: $292,484,815) |
| 311,249,710 | ||||||||||
|
| |||||||||||
Pakistan — 1.9% | ||||||||||||
Pakistan Government International Bond |
| |||||||||||
6.00% (1) | 04/08/26 | 20,100,000 | 20,719,080 | |||||||||
6.88% (2) | 12/05/27 | 43,513,000 | 45,684,299 | |||||||||
7.38% (1) | 04/08/31 | 35,215,000 | 37,063,787 | |||||||||
8.88% (1) | 04/08/51 | 37,720,000 | 40,528,631 | |||||||||
|
| |||||||||||
Total Pakistan |
| |||||||||||
(Cost: $139,923,283) |
| 143,995,797 | ||||||||||
|
| |||||||||||
Panama — 3.1% | ||||||||||||
AES Panama Generation Holdings SRL |
| |||||||||||
4.38% (1) | 05/31/30 | 8,066,000 | 8,380,897 | |||||||||
C&W Senior Financing DAC |
| |||||||||||
6.88% (1) | 09/15/27 | 19,514,000 | 20,806,802 | |||||||||
Global Bank Corp. |
| |||||||||||
5.25% (3 mo. USD LIBOR + 3.300%) (1)(3) | 04/16/29 | 27,875,000 | 29,129,375 | |||||||||
Panama Government International Bond |
| |||||||||||
2.25% | 09/29/32 | 101,669,000 | 97,323,667 | |||||||||
3.16% | 01/23/30 | 71,264,000 | 74,750,235 | |||||||||
3.87% | 07/23/60 | 13,727,000 | 13,742,100 | |||||||||
|
| |||||||||||
Total Panama |
| |||||||||||
(Cost: $245,584,594) |
| 244,133,076 | ||||||||||
|
| |||||||||||
Paraguay — 0.8% | ||||||||||||
Banco Continental SAECA |
| |||||||||||
2.75% (1) | 12/10/25 | 13,300,000 | 13,035,064 | |||||||||
Paraguay Government International Bond |
| |||||||||||
5.40% (1) | 03/30/50 | 10,215,000 | 11,558,375 | |||||||||
5.60% (2) | 03/13/48 | 18,392,000 | 20,994,652 | |||||||||
Republic Of Paraguay Sr Unsecured |
| |||||||||||
2.74% (2) | 01/29/33 | 16,080,000 | 15,396,600 | |||||||||
|
| |||||||||||
Total Paraguay |
| |||||||||||
(Cost: $56,447,644) |
| 60,984,691 | ||||||||||
|
| |||||||||||
Peru — 1.8% | ||||||||||||
Nexa Resources S.A. |
| |||||||||||
6.50% (1) | 01/18/28 | 7,057,000 | 7,881,963 | |||||||||
Peruvian Government International Bond |
| |||||||||||
1.86% | 12/01/32 | 52,640,000 | 48,047,028 | |||||||||
2.78% | 01/23/31 | 58,449,000 | 58,636,037 | |||||||||
Volcan Cia Minera SAA |
| |||||||||||
4.38% (1) | 02/11/26 | 21,220,000 | 20,986,580 | |||||||||
|
| |||||||||||
Total Peru |
| |||||||||||
(Cost: $137,638,984) |
| 135,551,608 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Qatar — 3.7% | ||||||||||||
Ooredoo International Finance, Ltd |
| |||||||||||
2.63% (1) | 04/08/31 | $ | 55,820,000 | $ | 56,495,422 | |||||||
Qatar Government International Bond |
| |||||||||||
3.75% (1) | 04/16/30 | 113,775,000 | 127,630,519 | |||||||||
4.40% (1) | 04/16/50 | 85,144,000 | 99,251,765 | |||||||||
|
| |||||||||||
Total Qatar |
| |||||||||||
(Cost: $275,480,680) |
| 283,377,706 | ||||||||||
|
| |||||||||||
Romania — 1.7% | ||||||||||||
Romanian Government International Bond |
| |||||||||||
2.63% (1) | 12/02/40 | EUR | 48,853,000 | 57,871,953 | ||||||||
3.00% (1) | 02/14/31 | $ | 74,750,000 | 76,225,715 | ||||||||
|
| |||||||||||
Total Romania |
| |||||||||||
(Cost: $134,902,998) |
| 134,097,668 | ||||||||||
|
| |||||||||||
Saudi Arabia — 4.7% | ||||||||||||
Saudi Government International Bond |
| |||||||||||
2.25% (1) | 02/02/33 | 176,848,000 | 167,231,890 | |||||||||
2.75% (1) | 02/03/32 | 85,730,000 | 86,105,069 | |||||||||
3.45% (1) | 02/02/61 | 72,275,000 | 68,119,187 | |||||||||
3.75% (2) | 01/21/55 | 46,035,000 | 45,750,274 | |||||||||
|
| |||||||||||
Total Saudi Arabia |
| |||||||||||
(Cost: $379,776,024) |
| 367,206,420 | ||||||||||
|
| |||||||||||
Senegal — 0.4% (Cost: $25,394,959) | ||||||||||||
Senegal Government International Bond |
| |||||||||||
4.75% (2) | 03/13/28 | EUR | 21,915,000 | 27,445,095 | ||||||||
|
| |||||||||||
South Africa — 4.1% | ||||||||||||
Eskom Holdings SOC, Ltd. |
| |||||||||||
6.35% (2) | 08/10/28 | $ | 55,935,000 | 60,928,317 | ||||||||
6.75% (2) | 08/06/23 | 20,971,000 | 21,992,864 | |||||||||
7.13% (2) | 02/11/25 | 37,480,000 | 39,411,719 | |||||||||
Sasol Financing USA LLC |
| |||||||||||
4.38% | 09/18/26 | 18,845,000 | 19,291,627 | |||||||||
5.50% | 03/18/31 | 49,225,000 | 50,261,186 | |||||||||
South Africa Government Bond |
| |||||||||||
4.30% | 10/12/28 | 58,290,000 | 58,714,497 | |||||||||
5.75% | 09/30/49 | 34,866,000 | 33,701,476 | |||||||||
South Africa Government International Bond |
| |||||||||||
5.00% | 10/12/46 | 36,210,000 | 32,650,847 | |||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $308,502,955) |
| 316,952,533 | ||||||||||
|
| |||||||||||
Sri Lanka — 0.2% (Cost: $20,935,974) | ||||||||||||
Sri Lanka Government Bond |
| |||||||||||
6.75% (2) | 04/18/28 | 24,243,000 | 16,010,077 | |||||||||
|
|
See accompanying Notes to Financial Statements.
10
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Thailand — 0.6% (Cost: $42,233,765) |
| |||||||||||
Bangkok Bank PCL/Hong Kong |
| |||||||||||
5.00% (U.S. 5-year Treasury Constant Maturity Rate + 4.729%) (1)(3)(4) | 09/23/25 | $ | 42,185,000 | $ | 44,560,016 | |||||||
|
| |||||||||||
Turkey — 3.4% | ||||||||||||
Turkey Government International Bond |
| |||||||||||
4.75% | 01/26/26 | 45,770,000 | 44,156,653 | |||||||||
4.88% | 10/09/26 | 79,090,000 | 75,770,790 | |||||||||
5.25% | 03/13/30 | 52,304,000 | 48,112,750 | |||||||||
5.88% | 06/26/31 | 49,700,000 | 46,826,719 | |||||||||
6.88% | 03/17/36 | 30,346,000 | 29,842,787 | |||||||||
Yapi ve Kredi Bankasi A.S. |
| |||||||||||
7.88% (U.S. 5-year Treasury Constant Maturity Rate + 7.415%) (1)(3) | 01/22/31 | 18,895,000 | 19,167,712 | |||||||||
|
| |||||||||||
Total Turkey |
| |||||||||||
(Cost: $263,619,303) |
| 263,877,411 | ||||||||||
|
| |||||||||||
Ukraine — 3.3% | ||||||||||||
Metinvest B.V. |
| |||||||||||
7.75% (2) | 10/17/29 | 21,680,000 | 23,290,824 | |||||||||
8.50% (2) | 04/23/26 | 7,784,000 | 8,645,689 | |||||||||
Ukraine Government International Bond |
| |||||||||||
0.00% (2)(6)(7) | 05/31/40 | 86,205,000 | 91,291,095 | |||||||||
7.75% (2) | 09/01/26 | 59,320,000 | 64,142,716 | |||||||||
7.75% (2) | 09/01/27 | 63,081,000 | 67,828,003 | |||||||||
|
| |||||||||||
Total Ukraine |
| |||||||||||
(Cost: $228,216,161) |
| 255,198,327 | ||||||||||
|
| |||||||||||
United Arab Emirates — 3.1% | ||||||||||||
Abu Dhabi Government International Bond |
| |||||||||||
1.70% (2) | 03/02/31 | 70,803,000 | 67,701,829 | |||||||||
DP World Salaam |
| |||||||||||
6.00% (U.S. 5-year Treasury Constant Maturity Rate + 5.750%) (2)(3)(4) | 10/01/25 | 47,864,000 | 52,578,604 | |||||||||
Galaxy Pipeline Assets Bidco, Ltd. |
| |||||||||||
2.16% (1) | 03/31/34 | 34,865,000 | 34,275,589 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
United Arab Emirates (Continued) | ||||||||||||
2.63% (1) | 03/31/36 | $ | 75,340,000 | $ | 73,209,410 | |||||||
2.94% (1) | 09/30/40 | 15,765,000 | 15,467,041 | |||||||||
|
| |||||||||||
Total United Arab Emirates |
| |||||||||||
(Cost: $246,675,863) |
| 243,232,473 | ||||||||||
|
| |||||||||||
Uruguay — 0.9% | ||||||||||||
Uruguay Government International Bond |
| |||||||||||
4.38% | 01/23/31 | 27,694,034 | 32,255,241 | |||||||||
4.98% | 04/20/55 | 27,295,527 | 33,770,026 | |||||||||
|
| |||||||||||
Total Uruguay |
| |||||||||||
(Cost: $56,730,517) |
| 66,025,267 | ||||||||||
|
| |||||||||||
Venezuela — 0.2% | ||||||||||||
Venezuela Government International Bond |
| |||||||||||
8.25% (2)(5)(8) | 10/13/24 | 60,057,200 | 6,306,006 | |||||||||
9.25% (5)(8) | 09/15/27 | 60,955,000 | 6,400,275 | |||||||||
9.25% (2)(5)(8) | 05/07/28 | 49,048,000 | 5,150,040 | |||||||||
|
| |||||||||||
Total Venezuela |
| |||||||||||
(Cost: $55,533,009) |
| 17,856,321 | ||||||||||
|
| |||||||||||
Vietnam — 0.4% (Cost: $33,496,300) | ||||||||||||
Mong Duong Finance Holdings B.V. |
| |||||||||||
5.13% (1) | 05/07/29 | 33,620,000 | 33,915,856 | |||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $7,330,679,096) |
| 7,447,620,829 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
PURCHASED OPTIONS(9) (0.0%) (Cost: $3,996,619) |
| 1,041,031 | ||||||||||
|
| |||||||||||
MONEY MARKET INVESTMENTS (4.2% ) | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (10) |
| 324,838,164 | 324,838,164 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $324,838,164) |
| 324,838,164 | ||||||||||
|
| |||||||||||
Total Investments (100.2%) |
| |||||||||||
(Cost: $7,659,513,879) |
| 7,773,500,024 | ||||||||||
Liabilities In Excess Of Other Assets (-0.2%) |
| (14,766,284 | ) | |||||||||
|
| |||||||||||
Total Net Assets (100.0%) |
| $ | 7,758,733,740 | |||||||||
|
|
See accompanying Notes to Financial Statements.
11
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Unaudited) (Continued)
Purchased Options — Exchange Traded | ||||||||||||||||||||||||||||||
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
PUT |
| |||||||||||||||||||||||||||||
U.S. Treasury 10-Year Future Option | 127 | 5/21/21 | 4,250,000 | $ | 4,250,000 | $ | 66,406 | $ | 1,005,401 | $ | (938,995 | ) | ||||||||||||||||||
U.S. Treasury 10-Year Future Option | 131 | 5/21/21 | 5,198,000 | 5,198,000 | 974,625 | 2,991,218 | (2,016,593 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 1,041,031 | $ | 3,996,619 | $ | (2,955,588 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
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 (11) | ||||||||||||||||||||||||
Goldman Sachs & Co. | EUR | 86,900,000 | 07/22/21 | $ | 104,780,657 | $ | 104,786,627 | $ | 5,970 | |||||||||||||||
|
|
|
|
|
|
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||||
Notional Amount (12) | Expiration Date | Counterparty | Reference Entity | Fixed Deal Pay Rate | Payment Frequency | Unrealized Appreciation (Depreciation) | Premium Paid | Value (13) | ||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||||
$39,375,000 | 6/20/26 | Bank of America | Federal Republic of Brazil 4.25 01/07/2025 | 1.0% | Quarterly | $ | (493,243 | ) | $ | 2,231,121 | $ | 1,737,878 | ||||||||||||||||
118,125,000 | 6/20/26 | Barclays Capital | Federal Republic of Brazil 4.25 01/07/2025 | 1.0% | Quarterly | (1,500,996 | ) | 6,714,632 | 5,213,636 | |||||||||||||||||||
43,375,000 | 6/20/26 | Goldman Sachs International | United Mexican States 4.15 03/28/2027 | 1.0% | Quarterly | (485,983 | ) | 354,210 | (131,773 | ) | ||||||||||||||||||
115,375,000 | 6/20/26 | Barclays Capital | United Mexican States 4.15 03/28/2027 | 1.0% | Quarterly | (1,315,818 | ) | 965,309 | (350,509 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (3,796,040 | ) | $ | 10,265,272 | $ | 6,469,232 | ||||||||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
12
Table of Contents
TCW Emerging Markets Income Fund
April 30, 2021 |
Notes to the Schedule of Investments:
EUR | Euro Currency. |
USD | U.S. Dollar. |
(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, 2021, the value of these securities amounted to $3,569,745,605 or 46.0% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2021, the value of these securities amounted to $1,980,594,827 or 25.5% of net assets. |
(3) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2021. |
(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) | Security is not accruing interest. |
(7) | 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. |
(8) | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
(9) | See options table for description of purchased options. |
(10) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
(11) | Fund buys foreign currency, sells U.S. Dollar. |
(12) | The maximum potential amount the Fund could be required to make as seller of credit protection or receive as buyer of protection if a credit event occurred as defined under the terms of that particular swap agreement. |
(13) | 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.
13
Table of Contents
TCW Emerging Markets Income Fund
Investments by Sector (Unaudited)
Sector | Percentage of Net Assets | |||
Banks | 3.3 | % | ||
Building Materials | 0.8 | |||
Chemicals | 0.9 | |||
Commercial Services | 1.2 | |||
Electric | 3.9 | |||
Energy-Alternate Sources | 0.2 | |||
Engineering & Construction | 0.4 | |||
Foreign Government Bonds | 67.6 | |||
Iron & Steel | 0.9 | |||
Mining | 2.0 | |||
Oil & Gas | 8.6 | |||
Oil & Gas Services | 0.3 | |||
Pipelines | 1.6 | |||
Purchased Options | 0.0 | * | ||
Real Estate | 2.4 | |||
Telecommunications | 1.6 | |||
Transportation | 0.3 | |||
Money Market Investments | 4.2 | |||
|
| |||
Total | 100.2 | % | ||
|
|
* | Amount rounds to less than 0.1%. |
See accompanying Notes to Financial Statements.
14
Table of Contents
TCW Emerging Markets Income Fund
Fair Valuation Summary (Unaudited) | April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | $ | — | $ | 259,113,071 | $ | — | $ | 259,113,071 | ||||||||
Building Materials | — | 64,944,140 | — | 64,944,140 | ||||||||||||
Chemicals | — | 69,552,813 | — | 69,552,813 | ||||||||||||
Commercial Services | — | 96,098,858 | — | 96,098,858 | ||||||||||||
Electric | — | 304,062,092 | — | 304,062,092 | ||||||||||||
Energy-Alternate Sources | — | 14,476,928 | — | 14,476,928 | ||||||||||||
Engineering & Construction | — | 28,920,510 | — | 28,920,510 | ||||||||||||
Foreign Government Bonds | — | 5,225,870,404 | 17,856,321 | 5,243,726,725 | ||||||||||||
Iron & Steel | — | 71,418,033 | — | 71,418,033 | ||||||||||||
Mining | — | 154,691,623 | — | 154,691,623 | ||||||||||||
Oil & Gas Services | — | 22,046,104 | — | 22,046,104 | ||||||||||||
Oil & Gas | — | 669,163,499 | — | 669,163,499 | ||||||||||||
Pipelines | — | 122,952,041 | — | 122,952,041 | ||||||||||||
Real Estate | — | 182,515,546 | — | 182,515,546 | ||||||||||||
Telecommunications | — | 123,860,990 | — | 123,860,990 | ||||||||||||
Transportation | — | 20,077,856 | — | 20,077,856 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 7,429,764,508 | 17,856,321 | 7,447,620,829 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | 1,041,031 | — | — | 1,041,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 324,838,164 | — | — | 324,838,164 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 325,879,195 | $ | 7,429,764,508 | $ | 17,856,321 | $ | 7,773,500,024 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 5,970 | — | 5,970 | ||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | 6,951,514 | — | 6,951,514 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 325,879,195 | $ | 7,436,721,992 | $ | 17,856,321 | $ | 7,780,457,508 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | (482,282 | ) | — | (482,282 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (482,282 | ) | $ | — | $ | (482,282 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
15
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 93.9% of Net Assets |
| |||||||||||
Brazil — 8.4% | ||||||||||||
Brazil Letras do Tesouro Nacional Bills |
| |||||||||||
0.00% (1) | 01/01/23 | BRL | 30,000,000 | $ | 4,981,098 | |||||||
Brazil Notas do Tesouro Nacional, Series B |
| |||||||||||
6.00% | 05/15/35 | BRL | 1,550,000 | 1,227,447 | ||||||||
Brazil Notas do Tesouro Nacional, Series F |
| |||||||||||
10.00% | 01/01/23 | BRL | 49,364,000 | 9,592,525 | ||||||||
10.00% | 01/01/25 | BRL | 7,693,000 | 1,511,197 | ||||||||
10.00% | 01/01/29 | BRL | 19,530,000 | 3,817,471 | ||||||||
|
| |||||||||||
Total Brazil | ||||||||||||
(Cost: $21,559,435) |
| 21,129,738 | ||||||||||
|
| |||||||||||
Chile — 2.2% | ||||||||||||
Bonos de la Tesoreria de la Republica |
| |||||||||||
1.50% | 03/01/26 | CLP | 870,076,835 | 1,301,660 | ||||||||
2.00% | 03/01/35 | CLP | 103,229,455 | 157,588 | ||||||||
Bonos de la Tesoreria de la Republica en pesos |
| |||||||||||
4.70% (2) | 09/01/30 | CLP | 2,465,000,000 | 3,702,601 | ||||||||
5.00% | 03/01/35 | CLP | 295,000,000 | 444,713 | ||||||||
|
| |||||||||||
Total Chile | ||||||||||||
(Cost: $5,742,362) |
| 5,606,562 | ||||||||||
|
| |||||||||||
China — 9.9% | ||||||||||||
Agricultural Development Bank of China |
| |||||||||||
3.06% | 08/05/23 | CNY | 4,320,000 | 667,771 | ||||||||
3.75% | 01/25/29 | CNY | 45,720,000 | 7,169,771 | ||||||||
China Development Bank |
| |||||||||||
3.23% | 01/10/25 | CNY | 55,930,000 | 8,645,966 | ||||||||
3.48% | 01/08/29 | CNY | 17,600,000 | 2,711,608 | ||||||||
China Government Bond |
| |||||||||||
3.27% | 11/19/30 | CNY | 26,700,000 | 4,163,710 | ||||||||
3.28% | 12/03/27 | CNY | 9,600,000 | 1,497,165 | ||||||||
|
| |||||||||||
Total China | ||||||||||||
(Cost: $23,563,745) |
| 24,855,991 | ||||||||||
|
| |||||||||||
Colombia — 5.1% | ||||||||||||
Colombian TES |
| |||||||||||
5.75% | 11/03/27 | COP | 9,750,000,000 | 2,548,171 | ||||||||
6.25% | 11/26/25 | COP | 8,500,000,000 | 2,369,227 | ||||||||
7.00% | 06/30/32 | COP | 4,300,000,000 | 1,130,228 | ||||||||
Colombian TES (Treasury) Bond, Series B |
| |||||||||||
6.00% | 04/28/28 | COP | 1,928,800,000 | 506,375 | ||||||||
7.50% | 08/26/26 | COP | 17,106,000,000 | 4,960,025 | ||||||||
Empresas Publicas de Medellin ESP |
| |||||||||||
8.38% (3) | 11/08/27 | COP | 5,000,000,000 | 1,370,340 | ||||||||
|
| |||||||||||
Total Colombia | ||||||||||||
(Cost: $13,650,822) |
| 12,884,366 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Czech Republic — 4.1% | ||||||||||||
Czech Republic Government Bond |
| |||||||||||
0.95% (2) | 05/15/30 | CZK | 26,380,000 | $ | 1,150,343 | |||||||
1.00% (2) | 06/26/26 | CZK | 84,100,000 | 3,834,815 | ||||||||
2.00% | 10/13/33 | CZK | 66,080,000 | 3,120,295 | ||||||||
2.40% (2) | 09/17/25 | CZK | 25,000,000 | 1,219,646 | ||||||||
2.50% (2) | 08/25/28 | CZK | 19,370,000 | 958,231 | ||||||||
|
| |||||||||||
Total Czech Republic |
| |||||||||||
(Cost: $10,158,450) |
| 10,283,330 | ||||||||||
|
| |||||||||||
Egypt — 1.5% | ||||||||||||
Egypt Government Bond |
| |||||||||||
14.06% | 01/12/26 | EGP | 47,274,000 | 2,984,027 | ||||||||
14.48% | 04/06/26 | EGP | 10,300,000 | 659,364 | ||||||||
|
| |||||||||||
Total Egypt | ||||||||||||
(Cost: $3,664,739) |
| 3,643,391 | ||||||||||
|
| |||||||||||
Hungary — 4.0% | ||||||||||||
Hungary Government Bond |
| |||||||||||
2.25% | 04/20/33 | HUF | 223,300,000 | 709,131 | ||||||||
2.50% | 10/24/24 | HUF | 636,250,000 | 2,215,770 | ||||||||
2.75% | 12/22/26 | HUF | 370,940,000 | 1,305,083 | ||||||||
3.00% | 10/27/27 | HUF | 492,000,000 | 1,759,961 | ||||||||
3.00% | 08/21/30 | HUF | 1,134,220,000 | 4,011,450 | ||||||||
|
| |||||||||||
Total Hungary |
| |||||||||||
(Cost: $9,764,738) |
| 10,001,395 | ||||||||||
|
| |||||||||||
Indonesia — 9.6% | ||||||||||||
Indonesia Treasury Bond |
| |||||||||||
6.50% | 06/15/25 | IDR | 24,183,000,000 | 1,735,250 | ||||||||
6.50% | 02/15/31 | IDR | 30,130,000,000 | 2,091,683 | ||||||||
6.63% | 05/15/33 | IDR | 3,330,000,000 | 229,377 | ||||||||
7.00% | 05/15/27 | IDR | 54,560,000,000 | 3,977,044 | ||||||||
7.00% | 09/15/30 | IDR | 16,343,000,000 | 1,170,224 | ||||||||
7.50% | 08/15/32 | IDR | 44,765,000,000 | 3,248,430 | ||||||||
7.50% | 06/15/35 | IDR | 5,800,000,000 | 414,653 | ||||||||
7.50% | 05/15/38 | IDR | 2,100,000,000 | 149,304 | ||||||||
8.13% | 05/15/24 | IDR | 3,313,000,000 | 248,618 | ||||||||
8.38% | 03/15/24 | IDR | 33,083,000,000 | 2,488,382 | ||||||||
8.38% | 09/15/26 | IDR | 38,054,000,000 | 2,941,684 | ||||||||
8.38% | 03/15/34 | IDR | 21,033,000,000 | 1,615,297 | ||||||||
9.00% | 03/15/29 | IDR | 45,392,000,000 | 3,638,902 | ||||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $22,720,339) |
| 23,948,848 | ||||||||||
|
| |||||||||||
Kazakhstan — 0.4% (Cost: $1,057,798) | ||||||||||||
Development Bank of Kazakhstan |
| |||||||||||
10.95% (3) | 05/06/26 | KZT | 455,000,000 | 1,058,828 | ||||||||
|
| |||||||||||
Malaysia — 5.7% | ||||||||||||
Malaysia Government Bond |
| |||||||||||
3.48% | 03/15/23 | MYR | 4,340,000 | 1,085,795 |
See accompanying Notes to Financial Statements.
16
Table of Contents
TCW Emerging Markets Local Currency Income Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Malaysia (Continued) | ||||||||||||
3.76% | 05/22/40 | MYR | 8,950,000 | $ | 2,072,509 | |||||||
3.89% | 08/15/29 | MYR | 8,750,000 | 2,248,590 | ||||||||
3.90% | �� | 11/16/27 | MYR | 11,040,000 | 2,854,217 | |||||||
3.96% | 09/15/25 | MYR | 10,750,000 | 2,775,150 | ||||||||
4.18% | 07/15/24 | MYR | 6,630,000 | 1,705,569 | ||||||||
Malaysia Government Investment Issue |
| |||||||||||
3.47% | 10/15/30 | MYR | 5,670,000 | 1,409,057 | ||||||||
|
| |||||||||||
Total Malaysia |
| |||||||||||
(Cost: $13,859,511) |
| 14,150,887 | ||||||||||
|
| |||||||||||
Mexico — 9.6% | ||||||||||||
Mexico Government Bond (BONOS) |
| |||||||||||
5.75% | 03/05/26 | MXN | 56,315,000 | 2,767,700 | ||||||||
6.50% | 06/09/22 | MXN | 44,530,000 | 2,249,621 | ||||||||
7.50% | 06/03/27 | MXN | 99,900,000 | 5,256,380 | ||||||||
7.75% | 05/29/31 | MXN | 72,155,600 | 3,796,891 | ||||||||
8.50% | 05/31/29 | MXN | 28,830,000 | 1,592,227 | ||||||||
8.50% | 11/18/38 | MXN | 56,000,000 | 3,015,259 | ||||||||
10.00% | 12/05/24 | MXN | 95,900,000 | 5,424,978 | ||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $24,670,856) |
| 24,103,056 | ||||||||||
|
| |||||||||||
Peru — 2.1% | ||||||||||||
Peruvian Government International Bond |
| |||||||||||
5.94% | 02/12/29 | PEN | 1,570,000 | 451,108 | ||||||||
6.15% | 08/12/32 | PEN | 6,631,000 | 1,834,888 | ||||||||
6.35% (2) | 08/12/28 | PEN | 5,280,000 | 1,558,145 | ||||||||
6.95% (2) | 08/12/31 | PEN | 5,036,000 | 1,490,850 | ||||||||
|
| |||||||||||
Total Peru |
| |||||||||||
(Cost: $5,944,692) |
| 5,334,991 | ||||||||||
|
| |||||||||||
Poland — 5.7% | ||||||||||||
Republic of Poland Government Bond |
| |||||||||||
1.25% | 10/25/30 | PLN | 14,618,000 | 3,705,029 | ||||||||
2.50% | 07/25/26 | PLN | 19,735,000 | 5,627,708 | ||||||||
2.50% | 04/25/24 | PLN | 15,300,000 | 4,297,592 | ||||||||
3.25% | 07/25/25 | PLN | 2,350,000 | 685,783 | ||||||||
|
| |||||||||||
Total Poland |
| |||||||||||
(Cost: $14,577,198) |
| 14,316,112 | ||||||||||
|
| |||||||||||
Romania — 3.3% | ||||||||||||
Romania Government Bond |
| |||||||||||
3.25% | 04/29/24 | RON | 14,860,000 | 3,730,887 | ||||||||
3.65% | 07/28/25 | RON | 1,045,000 | 266,744 | ||||||||
4.25% | 06/28/23 | RON | 2,255,000 | 574,483 | ||||||||
4.75% | 02/24/25 | RON | 3,110,000 | 822,578 | ||||||||
5.00% | 02/12/29 | RON | 4,070,000 | 1,141,110 | ||||||||
5.85% | 04/26/23 | RON | 6,340,000 | 1,658,385 | ||||||||
|
| |||||||||||
Total Romania |
| |||||||||||
(Cost: $7,713,506) |
| 8,194,187 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Russia — 6.6% | ||||||||||||
Russian Federal Bond — OFZ |
| |||||||||||
4.50% | 07/16/25 | RUB | 373,000,000 | $ | 4,633,420 | |||||||
6.90% | 05/23/29 | RUB | 164,500,000 | 2,194,831 | ||||||||
7.05% | 01/19/28 | RUB | 128,000,000 | 1,734,599 | ||||||||
7.25% | 05/10/34 | RUB | 25,700,000 | 347,351 | ||||||||
7.40% | 12/07/22 | RUB | 228,000,000 | 3,115,887 | ||||||||
7.65% | 04/10/30 | RUB | 71,700,000 | 1,003,000 | ||||||||
7.70% | 03/16/39 | RUB | 53,000,000 | 748,659 | ||||||||
8.15% | 02/03/27 | RUB | 153,000,000 | 2,189,026 | ||||||||
8.50% | 09/17/31 | RUB | 43,300,000 | 640,477 | ||||||||
|
| |||||||||||
Total Russia |
| |||||||||||
(Cost: $17,589,351) |
| 16,607,250 | ||||||||||
|
| |||||||||||
Serbia — 0.7% (Cost: $1,728,442) | ||||||||||||
Serbia Treasury Bond |
| |||||||||||
4.50% | 08/20/32 | RSD | 163,840,000 | 1,845,045 | ||||||||
|
| |||||||||||
South Africa — 10.6% | ||||||||||||
South Africa Government Bond |
| |||||||||||
6.25% | 03/31/36 | ZAR | 74,577,526 | 3,434,961 | ||||||||
7.00% | 02/28/31 | ZAR | 43,100,000 | 2,467,907 | ||||||||
8.00% | 01/31/30 | ZAR | 148,550,000 | 9,471,376 | ||||||||
8.25% | 03/31/32 | ZAR | 100,700,000 | 6,108,289 | ||||||||
8.50% | 01/31/37 | ZAR | 91,136,941 | 5,099,774 | ||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $24,755,795) |
| 26,582,307 | ||||||||||
|
| |||||||||||
Thailand — 3.8% | ||||||||||||
Thailand Government Bond |
| |||||||||||
0.75% | 06/17/24 | THB | 15,100,000 | 485,705 | ||||||||
1.59% | 12/17/35 | THB | 44,000,000 | 1,322,215 | ||||||||
1.60% | 12/17/29 | THB | 90,700,000 | 2,896,636 | ||||||||
2.13% | 12/17/26 | THB | 31,700,000 | 1,069,681 | ||||||||
2.88% | 12/17/28 | THB | 24,145,000 | 848,403 | ||||||||
3.30% | 06/17/38 | THB | 80,656,000 | 2,933,233 | ||||||||
|
| |||||||||||
Total Thailand |
| |||||||||||
(Cost: $9,791,274) |
| 9,555,873 | ||||||||||
|
| |||||||||||
Turkey — 0.6% | ||||||||||||
Turkey Government Bond |
| |||||||||||
10.50% | 08/11/27 | TRY | 5,400,000 | 474,421 | ||||||||
11.70% | 11/13/30 | TRY | 5,800,000 | 508,864 | ||||||||
12.60% | 10/01/25 | TRY | 4,700,000 | 478,530 | ||||||||
|
| |||||||||||
Total Turkey |
| |||||||||||
(Cost: $1,936,750) |
| 1,461,815 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $234,449,803) |
| 235,563,972 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
17
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||||||
MONEY MARKET INVESTMENTS — 0.1% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (4) |
| 180,212 | $ | 180,212 | ||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $180,212) | 180,212 | |||||||||||
|
| |||||||||||
Issues | Maturity Date | Principal Amount | ||||||||||
SHORT TERM INVESTMENTS — 3.3% |
| |||||||||||
Foreign Government Bonds — 3.3% | ||||||||||||
Egypt — 3.3% | ||||||||||||
Egypt Treasury Bills |
| |||||||||||
0.00% (1) | 05/11/21 | EGP | 45,075,000 | 2,872,020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Foreign Government Bonds (Continued) | ||||||||||||
Egypt (Continued) | ||||||||||||
0.00% (1) | 07/20/21 | EGP | 30,000,000 | $ | 1,864,196 | |||||||
0.00% (1) | 07/27/21 | EGP | 56,500,000 | 3,500,763 | ||||||||
|
| |||||||||||
Total Egypt | ||||||||||||
(Cost: $8,222,117) | 8,236,979 | |||||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $8,222,117) | 8,236,979 | |||||||||||
|
| |||||||||||
Total Short Term Investments |
| |||||||||||
(Cost: $8,222,117) | 8,236,979 | |||||||||||
|
| |||||||||||
Total Investments (97.3%) |
| |||||||||||
(Cost: $242,852,132) |
| 243,981,163 | ||||||||||
Excess Of Other Assets Over Liabilities (2.7%) |
| 6,734,497 | ||||||||||
|
| |||||||||||
Total Net Assets (100.0%) |
| $ | 250,715,660 | |||||||||
|
|
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 (5) | ||||||||||||||||||||||||
Bank of America, N.A. | BRL | 4,565,112 | 05/10/21 | $ | 804,000 | $ | 841,005 | $ | 37,005 | |||||||||||||||
Bank of America, N.A. | INR | 188,521,500 | 05/03/21 | 2,550,000 | 2,545,094 | (4,906 | ) | |||||||||||||||||
Bank of America, N.A. | PEN | 1,944,075 | 06/22/21 | 525,000 | 513,250 | (11,750 | ) | |||||||||||||||||
Bank of America, N.A. | PLN | 4,828,487 | 07/06/21 | 1,237,439 | 1,274,764 | 37,325 | ||||||||||||||||||
Bank of America, N.A. | RON | 1,560,796 | 05/24/21 | 384,935 | 380,908 | (4,027 | ) | |||||||||||||||||
Bank of America, N.A. | RUB | 131,444,573 | 06/18/21 | 1,704,482 | 1,740,865 | 36,383 | ||||||||||||||||||
Bank of America, N.A. | ZAR | 28,921,568 | 05/25/21 | 1,907,792 | 1,987,730 | 79,938 | ||||||||||||||||||
Barclays Capital | IDR | 18,440,100,000 | 08/03/21 | 1,260,000 | 1,265,829 | 5,829 | ||||||||||||||||||
Barclays Capital | MYR | 25,152,000 | 05/24/21 | 6,210,030 | 6,134,631 | (75,399 | ) | |||||||||||||||||
Barclays Capital | RON | 5,007,994 | 05/24/21 | 1,241,079 | 1,222,186 | (18,893 | ) | |||||||||||||||||
Barclays Capital | THB | 348,927,415 | 07/06/21 | 11,141,725 | 11,202,062 | 60,337 | ||||||||||||||||||
Barclays Capital | TRY | 31,348,800 | 03/29/22 | 3,110,000 | 3,163,405 | 53,405 | ||||||||||||||||||
BNP Paribas S.A. | PLN | 14,430,000 | 07/06/21 | 3,821,357 | 3,809,650 | (11,707 | ) | |||||||||||||||||
Citibank N.A. | RUB | 54,877,000 | 06/18/21 | 731,205 | 726,796 | (4,409 | ) | |||||||||||||||||
Citibank N.A. | ZAR | 17,179,390 | 05/25/21 | 1,150,000 | 1,180,710 | 30,710 | ||||||||||||||||||
Goldman Sachs & Co. | BRL | 26,854,794 | 05/10/21 | 4,671,486 | 4,947,307 | 275,821 | ||||||||||||||||||
Goldman Sachs & Co. | MYR | 4,124,920 | 05/24/21 | 1,019,207 | 1,006,078 | (13,129 | ) | |||||||||||||||||
Goldman Sachs & Co. | PLN | 3,349,500 | 07/06/21 | 875,000 | 884,298 | 9,298 | ||||||||||||||||||
Goldman Sachs & Co. | ZAR | 18,076,435 | 05/25/21 | 1,261,000 | 1,242,363 | (18,637 | ) | |||||||||||||||||
JPMorgan Chase Bank | CLP | 323,097,600 | 06/17/21 | 448,000 | 452,296 | 4,296 | ||||||||||||||||||
JPMorgan Chase Bank | RON | 3,621,431 | 05/24/21 | 898,507 | 883,800 | (14,707 | ) | |||||||||||||||||
JPMorgan Chase Bank | RUB | 144,771,840 | 07/23/21 | 1,888,000 | 1,907,496 | 19,496 | ||||||||||||||||||
Standard Chartered Bank | INR | 188,521,500 | 05/03/21 | 2,545,616 | 2,545,094 | (522 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 51,385,860 | $ | 51,857,617 | $ | 471,757 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (6) | ||||||||||||||||||||||||
Bank of America, N.A. | INR | 188,521,500 | 05/03/21 | $ | 2,545,616 | $ | 2,545,094 | $ | 522 | |||||||||||||||
Bank of America, N.A. | ZAR | 36,629,021 | 05/25/21 | 2,500,956 | 2,517,451 | (16,495 | ) | |||||||||||||||||
Barclays Capital | MYR | 5,122,000 | 05/24/21 | 1,238,096 | 1,249,268 | (11,172 | ) |
See accompanying Notes to Financial Statements.
18
Table of Contents
TCW Emerging Markets Local Currency Income Fund
April 30, 2021 |
Forward Currency Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
SELL (Continued) | ||||||||||||||||||||||||
Barclays Capital | RON | 5,028,030 | 05/24/21 | $ | 1,208,080 | $ | 1,227,076 | $ | (18,996 | ) | ||||||||||||||
BNP Paribas S.A. | RON | 5,162,192 | 05/24/21 | 1,255,000 | 1,259,818 | (4,818 | ) | |||||||||||||||||
Citibank N.A. | BRL | 27,264,342 | 05/10/21 | 5,029,035 | 5,022,755 | 6,280 | ||||||||||||||||||
Citibank N.A. | RUB | 186,321,573 | 06/18/21 | 2,498,000 | 2,467,662 | 30,338 | ||||||||||||||||||
Citibank N.A. | ZAR | 36,614,406 | 05/25/21 | 2,503,635 | 2,516,446 | (12,811 | ) | |||||||||||||||||
JPMorgan Chase Bank | BRL | 4,155,564 | 05/10/21 | 732,000 | 765,556 | (33,556 | ) | |||||||||||||||||
JPMorgan Chase Bank | ZAR | 63,092,325 | 05/25/21 | 4,281,800 | 4,336,229 | (54,429 | ) | |||||||||||||||||
Standard Chartered Bank | INR | 188,521,500 | 05/03/21 | 2,553,281 | 2,545,094 | 8,187 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 26,345,499 | $ | 26,452,449 | $ | (106,950 | ) | ||||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
BRL | Brazilian Real. |
CLP | Chilean Peso. |
CNY | Chinese Yuan. |
COP | Colombian Peso. |
CZK | Czech Koruna. |
EGP | Egyptian Pound. |
HUF | Hungarian Forint. |
IDR | Indonesian Rupiah. |
INR | Indian Rupee. |
KZT | Kazakhstani Tenge. |
MXN | Mexican Peso. |
MYR | Malaysian Ringgit. |
PEN | Peruvian Nuevo Sol. |
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. |
(1) | Security is not accruing interest. |
(2) | Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2021, the value of these securities amounted to $13,914,631 or 5.6% of net assets. |
(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, 2021, the value of these securities amounted to $2,429,168 or 1.0% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(4) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
(5) | Fund buys foreign currency, sells U.S. Dollar. |
(6) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying Notes to Financial Statements.
19
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Investments by Sector (Unaudited)
Sector | Percentage of Net Assets | |||
Banks | 7.6 | % | ||
Electric | 0.5 | |||
Foreign Government Bonds | 85.8 | |||
Short Term Investments | 3.3 | |||
Money Market Investments | 0.1 | |||
|
| |||
Total | 97.3 | % | ||
|
|
See accompanying Notes to Financial Statements.
20
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Fair Valuation Summary (Unaudited) | April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | $ | — | $ | 19,195,116 | $ | — | $ | 19,195,116 | ||||||||
Electric | — | 1,370,340 | — | 1,370,340 | ||||||||||||
Foreign Government Bonds | — | 214,998,516 | — | 214,998,516 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 235,563,972 | — | 235,563,972 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 180,212 | — | — | 180,212 | ||||||||||||
Short-Term Investments | — | 8,236,979 | — | 8,236,979 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 180,212 | 243,800,951 | — | 243,981,163 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 695,170 | — | 695,170 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 180,212 | $ | 244,496,121 | $ | — | $ | 244,676,333 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (330,363 | ) | $ | — | $ | (330,363 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (330,363 | ) | $ | — | $ | (330,363 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
21
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited)
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 31.7% of Net Assets |
| |||||||||||
Angola — 1.0% | ||||||||||||
Angolan Government International Bond |
| |||||||||||
8.25% (1) | 05/09/28 | $ | 225,000 | $ | 231,891 | |||||||
9.13% (1) | 11/26/49 | 400,000 | 406,325 | |||||||||
9.38% (1) | 05/08/48 | 350,000 | 361,703 | |||||||||
|
| |||||||||||
Total Angola |
| |||||||||||
(Cost: $922,472) |
| 999,919 | ||||||||||
|
| |||||||||||
Argentina — 0.4% | ||||||||||||
Argentine Republic Government International Bond |
| |||||||||||
0.13% | 07/09/30 | 370,026 | 131,841 | |||||||||
0.13% | 07/09/35 | 708,054 | 224,460 | |||||||||
1.00% | 07/09/29 | 55,555 | 21,033 | |||||||||
|
| |||||||||||
Total Argentina |
| |||||||||||
(Cost: $575,054) |
| 377,334 | ||||||||||
|
| |||||||||||
Bahrain — 1.1% | ||||||||||||
Bahrain Government International Bond |
| |||||||||||
5.25% (1) | 01/25/33 | 400,000 | 389,707 | |||||||||
6.00% (2) | 09/19/44 | 400,000 | 375,020 | |||||||||
7.50% (2) | 09/20/47 | 250,000 | 264,675 | |||||||||
|
| |||||||||||
Total Bahrain |
| |||||||||||
(Cost: $1,029,709) |
| 1,029,402 | ||||||||||
|
| |||||||||||
Bermuda — 0.2% (Cost: $200,000) | ||||||||||||
Investment Energy Resources, Ltd. |
| |||||||||||
6.25% (1) | 04/26/29 | 200,000 | 213,450 | |||||||||
|
| |||||||||||
Brazil — 0.9% | ||||||||||||
Brazilian Government International Bond |
| |||||||||||
2.88% | 06/06/25 | 400,000 | 410,080 | |||||||||
3.88% | 06/12/30 | 200,000 | 198,669 | |||||||||
CSN Islands XII Corp. |
| |||||||||||
7.00% (2)(3) | 06/23/21 | 200,000 | 202,620 | |||||||||
Guara Norte Sarl |
| |||||||||||
5.20% (1) | 06/15/34 | 100,000 | 100,898 | |||||||||
|
| |||||||||||
Total Brazil |
| |||||||||||
(Cost: $878,631) |
| 912,267 | ||||||||||
|
| |||||||||||
Chile ��� 0.8% | ||||||||||||
AES Gener S.A. |
| |||||||||||
7.13% (USD 5-Year Swap rate + 4.644%) (1)(4) | 03/26/79 | 200,000 | 213,000 | |||||||||
Chile Government International Bond |
| |||||||||||
2.55% | 01/27/32 | 550,000 | 563,310 | |||||||||
|
| |||||||||||
Total Chile |
| |||||||||||
(Cost: $762,722) |
| 776,310 | ||||||||||
|
| |||||||||||
China — 0.6% | ||||||||||||
China Evergrande Group |
| |||||||||||
8.25% (2) | 03/23/22 | 200,000 | 196,500 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
China (Continued) | ||||||||||||
Easy Tactic, Ltd. |
| |||||||||||
8.13% (2) | 02/27/23 | $ | 200,000 | $ | 194,235 | |||||||
Kaisa Group Holdings, Ltd. |
| |||||||||||
8.50% (2) | 06/30/22 | 200,000 | 205,100 | |||||||||
|
| |||||||||||
Total China |
| |||||||||||
(Cost: $552,968) |
| 595,835 | ||||||||||
|
| |||||||||||
Colombia — 1.0% | ||||||||||||
Banco GNB Sudameris S.A. |
| |||||||||||
7.50% (U.S. 5-year Treasury Constant Maturity Rate + 6.660%) (1)(4) | 04/16/31 | 150,000 | 154,732 | |||||||||
Colombia Government International Bond |
| |||||||||||
3.13% | 04/15/31 | 200,000 | 195,960 | |||||||||
4.13% | 02/22/42 | 400,000 | 392,600 | |||||||||
Grupo Aval, Ltd. |
| |||||||||||
4.38% (1) | 02/04/30 | 200,000 | 200,973 | |||||||||
|
| |||||||||||
Total Colombia |
| |||||||||||
(Cost: $940,748) |
| 944,265 | ||||||||||
|
| |||||||||||
Costa Rica — 0.2% (Cost: $201,991) | ||||||||||||
Costa Rica Government International Bond |
| |||||||||||
7.00% (2) | 04/04/44 | 200,000 | 206,300 | |||||||||
|
| |||||||||||
Dominican Republic — 1.2% | ||||||||||||
Dominican Republic International Bond |
| |||||||||||
4.50% (1) | 01/30/30 | 200,000 | 208,052 | |||||||||
4.88% (1) | 09/23/32 | 895,000 | 937,602 | |||||||||
|
| |||||||||||
Total Dominican Republic |
| |||||||||||
(Cost: $1,113,305) |
| 1,145,654 | ||||||||||
|
| |||||||||||
Ecuador — 0.4% | ||||||||||||
Ecuador Government International Bond |
| |||||||||||
0.50% (1) | 07/31/35 | 326,710 | 223,796 | |||||||||
0.50% (1) | 07/31/40 | 208,900 | 123,878 | |||||||||
|
| |||||||||||
Total Ecuador |
| |||||||||||
(Cost: $283,303) |
| 347,674 | ||||||||||
|
| |||||||||||
Egypt — 1.4% | ||||||||||||
Egypt Government International Bond |
| |||||||||||
3.88% (1) | 02/16/26 | 200,000 | 195,474 | |||||||||
5.88% (1) | 02/16/31 | 275,000 | 266,255 | |||||||||
7.05% (1) | 01/15/32 | 400,000 | 411,200 | |||||||||
7.63% (1) | 05/29/32 | 270,000 | 287,577 | |||||||||
8.50% (2) | 01/31/47 | 200,000 | 207,160 | |||||||||
|
| |||||||||||
Total Egypt |
| |||||||||||
(Cost: $1,379,362) |
| 1,367,666 | ||||||||||
|
| |||||||||||
El Salvador — 0.5% | ||||||||||||
El Salvador Government International Bond |
| |||||||||||
6.38% (2) | 01/18/27 | 110,000 | 114,290 | |||||||||
7.63% (2) | 02/01/41 | 150,000 | 154,545 |
See accompanying Notes to Financial Statements.
22
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
El Salvador (Continued) | ||||||||||||
8.25% (2) | 04/10/32 | $ | 165,000 | $ | 182,012 | |||||||
|
| |||||||||||
Total El Salvador |
| |||||||||||
(Cost: $420,260) |
| 450,847 | ||||||||||
|
| |||||||||||
Ghana — 0.9% | ||||||||||||
Ghana Government International Bond |
| |||||||||||
7.88% (2) | 02/11/35 | 200,000 | 197,420 | |||||||||
8.13% (2) | 03/26/32 | 500,000 | 505,700 | |||||||||
8.95% (1) | 03/26/51 | 200,000 | 198,945 | |||||||||
|
| |||||||||||
Total Ghana |
| |||||||||||
(Cost: $931,351) |
| 902,065 | ||||||||||
|
| |||||||||||
Guatemala — 0.2% (Cost: $150,000) | ||||||||||||
Banco Industrial S.A. |
| |||||||||||
4.88% (U.S. 5-year Treasury Constant Maturity Rate + 4.442%) (1)(4) | 01/29/31 | 150,000 | 155,775 | |||||||||
|
| |||||||||||
India — 0.9% | ||||||||||||
Adani Ports & Special Economic Zone, Ltd. |
| |||||||||||
4.20% (1) | 08/04/27 | 200,000 | 210,535 | |||||||||
Cliffton, Ltd. |
| |||||||||||
6.25% (1) | 10/25/25 | 250,000 | 249,100 | |||||||||
Network i2i, Ltd. |
| |||||||||||
3.98% (U.S. 5-year Treasury Constant Maturity Rate + 3.390%) (1)(3)(4) | 03/03/26 | 200,000 | 201,750 | |||||||||
5.65% (U.S. 5-year Treasury Constant Maturity Rate + 4.274%) (2),(3),(4) | 01/15/25 | 200,000 | 213,113 | |||||||||
|
| |||||||||||
Total India |
| |||||||||||
(Cost: $831,753) |
| 874,498 | ||||||||||
|
| |||||||||||
Indonesia — 1.4% | ||||||||||||
Indonesia Asahan Aluminium Persero PT |
| |||||||||||
4.75% (1) | 05/15/25 | 225,000 | 244,863 | |||||||||
6.53% (1) | 11/15/28 | 250,000 | 303,640 | |||||||||
Indonesia Government International Bond |
| |||||||||||
4.20% | 10/15/50 | 200,000 | 221,440 | |||||||||
Minejesa Capital B.V. |
| |||||||||||
5.63% (1) | 08/10/37 | 200,000 | 212,500 | |||||||||
Perusahaan Penerbit SBSN Indonesia III |
| |||||||||||
4.15% (2) | 03/29/27 | 300,000 | 334,710 | |||||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $1,219,929) |
| 1,317,153 | ||||||||||
|
| |||||||||||
Israel — 0.5% | ||||||||||||
Energean Israel Finance, Ltd. |
| |||||||||||
4.50% (1) | 03/30/24 | 35,000 | 35,986 | |||||||||
5.88% (1) | 03/30/31 | 264,300 | 272,890 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Israel (Continued) | ||||||||||||
Leviathan Bond, Ltd. |
| |||||||||||
6.50% (1) | 06/30/27 | $ | 69,000 | $ | 76,866 | |||||||
6.75% (1) | 06/30/30 | 119,000 | 133,863 | |||||||||
|
| |||||||||||
Total Israel |
| |||||||||||
(Cost: $505,645) |
| 519,605 | ||||||||||
|
| |||||||||||
Ivory Coast — 0.7% | ||||||||||||
Ivory Coast Government International Bond |
| |||||||||||
4.88% (1) | 01/30/32 | EUR | 320,000 | 387,598 | ||||||||
6.88% (1) | 10/17/40 | EUR | 200,000 | 261,032 | ||||||||
|
| |||||||||||
Total Ivory Coast |
| |||||||||||
(Cost: $633,923) |
| 648,630 | ||||||||||
|
| |||||||||||
Kazakhstan — 0.7% | ||||||||||||
KazMunayGas National Co. JSC |
| |||||||||||
3.50% (1) | 04/14/33 | $ | 400,000 | 415,320 | ||||||||
5.75% (2) | 04/19/47 | 200,000 | 240,979 | |||||||||
|
| |||||||||||
Total Kazakhstan |
| |||||||||||
(Cost: $632,735) |
| 656,299 | ||||||||||
|
| |||||||||||
Kenya — 0.2% (Cost: $244,161) | ||||||||||||
Kenya Government International Bond |
| |||||||||||
7.00% (2) | 05/22/27 | 225,000 | 245,336 | |||||||||
|
| |||||||||||
Lebanon — 0.1% (Cost: $239,512) | ||||||||||||
Lebanon Government International Bond |
| |||||||||||
8.25% (5) | 05/17/34 | 870,000 | 110,603 | |||||||||
|
| |||||||||||
Malaysia — 0.2% (Cost: $200,000) | ||||||||||||
Petronas Capital, Ltd. |
| |||||||||||
3.40% (1) | 04/28/61 | 200,000 | 197,020 | |||||||||
|
| |||||||||||
Mexico — 2.5% | ||||||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
6.88% (U.S. 5-year Treasury Constant Maturity Rate + 5.035%) (1),(3),(4) | 07/06/22 | 200,000 | 206,250 | |||||||||
Cemex SAB de CV |
| |||||||||||
3.88% (1) | 07/11/31 | 400,000 | 395,880 | |||||||||
Mexico Government International Bond |
| |||||||||||
2.66% | 05/24/31 | 200,000 | 192,838 | |||||||||
4.28% | 08/14/41 | 400,000 | 408,920 | |||||||||
Petroleos Mexicanos |
| |||||||||||
5.35% | 02/12/28 | 75,000 | 73,774 | |||||||||
5.95% | 01/28/31 | 290,000 | 281,416 | |||||||||
6.49% | 01/23/27 | 65,000 | 68,819 | |||||||||
6.50% | 03/13/27 | 90,000 | 95,292 | |||||||||
6.63% | 06/15/35 | 359,000 | 346,758 | |||||||||
6.75% | 09/21/47 | 340,000 | 301,056 | |||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $2,306,732) |
| 2,371,003 | ||||||||||
|
|
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 | |||||||||
Morocco — 0.4% (Cost: $393,146) | ||||||||||||
Morocco Government International Bond |
| |||||||||||
3.00% (1) | 12/15/32 | $ | 400,000 | $ | 381,880 | |||||||
|
| |||||||||||
Nigeria — 1.1% | ||||||||||||
Nigeria Government International Bond |
| |||||||||||
7.14% (1) | 02/23/30 | 600,000 | 637,494 | |||||||||
7.63% (2) | 11/28/47 | 200,000 | 201,920 | |||||||||
7.70% (1) | 02/23/38 | 200,000 | 206,292 | |||||||||
|
| |||||||||||
Total Nigeria |
| |||||||||||
(Cost: $934,517) |
| 1,045,706 | ||||||||||
|
| |||||||||||
Oman — 1.4% | ||||||||||||
Oman Government International Bond |
| |||||||||||
6.00% (2) | 08/01/29 | 450,000 | 479,475 | |||||||||
6.25% (1) | 01/25/31 | 200,000 | 215,780 | |||||||||
6.50% (2) | 03/08/47 | 200,000 | 196,680 | |||||||||
OQ SAOC |
| |||||||||||
5.13% (1) | 05/06/28 | 200,000 | 203,000 | |||||||||
Oryx Funding, Ltd. |
| |||||||||||
5.80% (1) | 02/03/31 | 200,000 | 212,720 | |||||||||
|
| |||||||||||
Total Oman |
| |||||||||||
(Cost: $1,282,959) |
| 1,307,655 | ||||||||||
|
| |||||||||||
Pakistan — 0.7% | ||||||||||||
Pakistan Government International Bond |
| |||||||||||
6.00% (1) | 04/08/26 | 200,000 | 206,160 | |||||||||
6.88% (2) | 12/05/27 | 235,000 | 246,727 | |||||||||
8.88% (1) | 04/08/51 | 200,000 | 214,892 | |||||||||
|
| |||||||||||
Total Pakistan |
| |||||||||||
(Cost: $656,376) |
| 667,779 | ||||||||||
|
| |||||||||||
Panama — 0.8% | ||||||||||||
Panama Government International Bond |
| |||||||||||
2.25% | 09/29/32 | 200,000 | 191,452 | |||||||||
3.16% | 01/23/30 | 400,000 | 419,568 | |||||||||
3.87% | 07/23/60 | 200,000 | 200,220 | |||||||||
|
| |||||||||||
Total Panama |
| |||||||||||
(Cost: $845,268) |
| 811,240 | ||||||||||
|
| |||||||||||
Paraguay — 0.2% (Cost: $188,000) | ||||||||||||
Paraguay Government International Bond |
| |||||||||||
5.60% (2) | 03/13/48 | 200,000 | 228,302 | |||||||||
|
| |||||||||||
Peru — 0.5% | ||||||||||||
Peruvian Government International Bond |
| |||||||||||
1.86% | 12/01/32 | 210,000 | 191,677 | |||||||||
2.78% | 01/23/31 | 165,000 | 165,528 | |||||||||
Volcan Cia Minera SAA |
| |||||||||||
4.38% (1) | 02/11/26 | 95,000 | 93,955 | |||||||||
|
| |||||||||||
Total Peru |
| |||||||||||
(Cost: $467,851) |
| 451,160 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Qatar — 1.3% | ||||||||||||
Ooredoo International Finance, Ltd |
| |||||||||||
2.63% (1) | 04/08/31 | $ | 200,000 | $ | 202,420 | |||||||
Qatar Government International Bond |
| |||||||||||
3.75% (1) | 04/16/30 | 700,000 | 785,246 | |||||||||
4.40% (1) | 04/16/50 | 200,000 | 233,139 | |||||||||
|
| |||||||||||
Total Qatar |
| |||||||||||
(Cost: $1,233,404) |
| 1,220,805 | ||||||||||
|
| |||||||||||
Romania — 0.6% | ||||||||||||
Romanian Government International Bond |
| |||||||||||
2.63% (1) | 12/02/40 | EUR | 182,000 | 215,600 | ||||||||
3.00% (1) | 02/14/31 | $ | 348,000 | 354,870 | ||||||||
|
| |||||||||||
Total Romania |
| |||||||||||
(Cost: $575,255) |
| 570,470 | ||||||||||
|
| |||||||||||
Saudi Arabia — 1.5% | ||||||||||||
Saudi Government International Bond |
| |||||||||||
2.25% (1) | 02/02/33 | 800,000 | 756,500 | |||||||||
2.75% (1) | 02/03/32 | 200,000 | 200,875 | |||||||||
3.45% (1) | 02/02/61 | 325,000 | 306,312 | |||||||||
3.75% (2) | 01/21/55 | 200,000 | 198,763 | |||||||||
|
| |||||||||||
Total Saudi Arabia |
| |||||||||||
(Cost: $1,488,124) |
| 1,462,450 | ||||||||||
|
| |||||||||||
Senegal — 0.1% (Cost: $115,599) | ||||||||||||
Senegal Government International Bond |
| |||||||||||
4.75% (2) | 03/13/28 | EUR | 100,000 | 125,234 | ||||||||
|
| |||||||||||
South Africa — 1.3% | ||||||||||||
Eskom Holdings SOC, Ltd. |
| |||||||||||
6.35% (2) | 08/10/28 | $ | 400,000 | 435,708 | ||||||||
7.13% (2) | 02/11/25 | 200,000 | 210,308 | |||||||||
Sasol Financing USA LLC |
| |||||||||||
4.38% | 09/18/26 | 200,000 | 204,740 | |||||||||
South Africa Government Bond |
| |||||||||||
5.75% | 09/30/49 | 200,000 | 193,320 | |||||||||
South Africa Government International Bond |
| |||||||||||
5.00% | 10/12/46 | 200,000 | 180,342 | |||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $1,224,366) |
| 1,224,418 | ||||||||||
|
| |||||||||||
Thailand — 0.2% (Cost: $200,000) | ||||||||||||
Bangkok Bank PCL/Hong Kong |
| |||||||||||
5.00% (U.S. 5-year Treasury Constant Maturity Rate + 4.729%) (1),(3),(4) | 09/23/25 | 200,000 | 211,260 | |||||||||
|
| |||||||||||
Turkey — 1.2% | ||||||||||||
Turkey Government International Bond |
| |||||||||||
5.25% | 03/13/30 | 340,000 | 312,755 | |||||||||
5.88% | 06/26/31 | 560,000 | 527,625 |
See accompanying Notes to Financial Statements.
24
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2021 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Turkey (Continued) | ||||||||||||
6.13% | 10/24/28 | $ | 325,000 | $ | 321,347 | |||||||
|
| |||||||||||
Total Turkey |
| |||||||||||
(Cost: $1,151,202) |
| 1,161,727 | ||||||||||
|
| |||||||||||
Ukraine — 1.0% | ||||||||||||
Ukraine Government International Bond |
| |||||||||||
0.00% (2),(6) | 05/31/40 | 554,000 | 586,686 | |||||||||
7.75% (2) | 09/01/26 | 220,000 | 237,886 | |||||||||
7.75% (2) | 09/01/27 | 100,000 | 107,525 | |||||||||
|
| |||||||||||
Total Ukraine |
| |||||||||||
(Cost: $715,539) |
| 932,097 | ||||||||||
|
| |||||||||||
United Arab Emirates — 1.0% | ||||||||||||
Abu Dhabi Government International Bond |
| |||||||||||
1.70% (2) | 03/02/31 | 400,000 | 382,480 | |||||||||
Galaxy Pipeline Assets Bidco, Ltd. |
| |||||||||||
2.16% (1) | 03/31/34 | 200,000 | 196,619 | |||||||||
2.63% (1) | 03/31/36 | 400,000 | 388,688 | |||||||||
|
| |||||||||||
Total United Arab Emirates |
| |||||||||||
(Cost: $995,547) |
| 967,787 | ||||||||||
|
| |||||||||||
Uruguay — 0.3% | ||||||||||||
Uruguay Government International Bond |
| |||||||||||
4.38% | 01/23/31 | 180,829 | 210,611 | |||||||||
4.98% | 04/20/55 | 55,830 | 69,073 | |||||||||
|
| |||||||||||
Total Uruguay |
| |||||||||||
(Cost: $243,196) |
| 279,684 | ||||||||||
|
| |||||||||||
Venezuela — 0.1% | ||||||||||||
Venezuela Government International Bond |
| |||||||||||
9.25% (5),(7) | 09/15/27 | 550,000 | 57,750 | |||||||||
9.25% (2),(5),(7) | 05/07/28 | 787,000 | 82,635 | |||||||||
|
| |||||||||||
Total Venezuela |
| |||||||||||
(Cost: $413,469) |
| 140,385 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $30,280,084) |
| 30,554,949 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
COMMON STOCK — 65.8% |
| |||||||||||
Argentina — 2.0% (Cost: $808,221) | ||||||||||||
MercadoLibre, Inc. (8) |
| 1,230 | 1,932,305 | |||||||||
|
| |||||||||||
Brazil — 4.0% | ||||||||||||
JBS S.A. |
| 88,800 | 493,001 | |||||||||
Pet Center Comercio e Participacoes S.A. (8) |
| 133,000 | 592,528 | |||||||||
Raia Drogasil S.A. |
| 231,500 | 1,122,243 | |||||||||
Ser Educacional S.A. |
| 218,900 | 520,091 | |||||||||
StoneCo, Ltd. (8) |
| 7,800 | 504,192 | |||||||||
Tegma Gestao Logistica S.A. |
| 142,900 | 596,333 | |||||||||
|
| |||||||||||
Total Brazil |
| |||||||||||
(Cost: $3,180,949) |
| 3,828,388 | ||||||||||
|
|
Issues | Shares | Value | ||||||||
China — 28.5% | ||||||||||
China Hongqiao Group, Ltd. | $ | 340,000 | $ | 536,714 | ||||||
Contemporary Amperex Technology Co., Ltd. | 28,184 | 1,693,682 | ||||||||
Galaxy Entertainment Group, Ltd. (8) | 200,000 | 1,755,828 | ||||||||
GDS Holdings, Ltd. (ADR) (8) | 15,500 | 1,286,035 | ||||||||
Geely Automobile Holdings, Ltd. | 109,000 | 283,944 | ||||||||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. | 591,600 | 528,741 | ||||||||
Innovent Biologics, Inc. (8) | 60,000 | 650,883 | ||||||||
JD.com, Inc. (ADR) (8) | 3,500 | 270,760 | ||||||||
Kingdee International Software Group Co., Ltd. | 138,000 | 454,509 | ||||||||
Kweichow Moutai Co., Ltd. | 3,600 | 1,112,189 | ||||||||
KWG Property Holdings, Ltd. | 283,500 | 454,226 | ||||||||
LONGi Green Energy Technology Co., Ltd. | 66,200 | 1,009,883 | ||||||||
Meituan Dianping — Class B (8) | 47,800 | 1,829,723 | ||||||||
New Oriental Education & Technology Group, Inc. (SP ADR) (8) | 72,010 | 1,098,873 | ||||||||
NIO, Inc. (ADR) (8) | 12,600 | 501,984 | ||||||||
Pharmaron Beijing Co., Ltd. — Class H | 85,750 | 1,770,660 | ||||||||
Shenzhen International Holdings, Ltd. | 284,500 | 472,953 | ||||||||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. | 12,800 | 918,829 | ||||||||
Sino-Ocean Group Holdings, Ltd. | 2,143,500 | 476,234 | ||||||||
Tencent Holdings, Ltd. | 71,812 | 5,729,250 | ||||||||
WuXi AppTec Co., Ltd. — Class H | 70,224 | 1,654,731 | ||||||||
Wuxi Biologics Cayman, Inc. (8) | 153,000 | 2,148,031 | ||||||||
Yifeng Pharmacy Chain Co., Ltd. | 62,390 | 864,950 | ||||||||
|
| |||||||||
Total China |
| |||||||||
(Cost: $19,122,555) |
| 27,503,612 | ||||||||
|
| |||||||||
Cyprus — 0.3% (Cost: $301,294) | ||||||||||
Ozon Holdings PLC (ADR) (8) | 5,000 | 310,950 | ||||||||
|
| |||||||||
Egypt — 0.4% (Cost: $352,500) | ||||||||||
Commercial International Bank Egypt SAE | 100,000 | 364,071 | ||||||||
|
| |||||||||
France — 0.8% (Cost: $399,975) | ||||||||||
Hermes International | 600 | 754,037 | ||||||||
|
| |||||||||
India — 5.2% | ||||||||||
Apollo Hospitals Enterprise, Ltd. | 12,200 | 526,725 | ||||||||
Avenue Supermarts, Ltd. (8) | 36,330 | 1,391,139 | ||||||||
IRB Infrastructure Developers, Ltd. | 321,000 | 451,571 | ||||||||
Reliance Industries, Ltd. | 28,315 | 761,250 | ||||||||
Reliance Industries, Ltd. | 3,214 | 46,467 | ||||||||
Sequent Scientific, Ltd. (8) | 113,500 | 446,570 | ||||||||
Shriram Transport Finance Co., Ltd. | 75,759 | 1,367,127 | ||||||||
|
| |||||||||
Total India |
| |||||||||
(Cost: $3,552,483) |
| 4,990,849 | ||||||||
|
|
See accompanying Notes to Financial Statements.
25
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
Issues | Shares | Value | ||||||||
Malaysia — 0.3% (Cost: $271,027) | ||||||||||
Greatech Technology BHD (8) | $ | 183,200 | $ | 267,827 | ||||||
|
| |||||||||
Mexico — 0.4% (Cost: $341,368) | ||||||||||
Banco del Bajio S.A. (8) | 217,400 | 346,879 | ||||||||
|
| |||||||||
Poland — 0.6% (Cost: $504,829) | ||||||||||
Polskie Gornictwo Naftowe i Gazownictwo S.A. | 317,000 | 549,955 | ||||||||
|
| |||||||||
Russia — 2.5% | ||||||||||
X5 Retail Group NV (GDR) | 27,424 | 841,917 | ||||||||
Yandex N.V. (8) | 24,400 | 1,599,420 | ||||||||
|
| |||||||||
Total Russia | ||||||||||
(Cost: $1,791,769) | 2,441,337 | |||||||||
|
| |||||||||
Singapore — 1.3% (Cost: $810,762) | ||||||||||
Sea, Ltd. (SP ADR) (8) | 4,900 | 1,237,446 | ||||||||
|
| |||||||||
South Africa — 0.4% (Cost: $339,888) | ||||||||||
Kumba Iron Ore, Ltd. | 8,000 | 362,412 | ||||||||
|
| |||||||||
South Korea — 5.4% | ||||||||||
Doosan Co., Ltd. | 10,800 | 612,535 | ||||||||
Hansol Paper Co., Ltd. | 37,800 | 528,730 | ||||||||
HDC Holdings Co., Ltd. | 48,000 | 522,461 | ||||||||
Kakao Corp. (8) | 11,750 | 1,196,464 | ||||||||
Kia Corp. | 6,400 | 443,919 | ||||||||
NAVER Corp. | 1,600 | 515,235 | ||||||||
NCSoft Corp. | 750 | 557,908 | ||||||||
Samsung Biologics Co., Ltd. (8) | 1,150 | 826,517 | ||||||||
|
| |||||||||
Total South Korea | ||||||||||
(Cost: $3,849,875) | 5,203,769 | |||||||||
|
| |||||||||
Taiwan — 10.8% | ||||||||||
ASPEED Technology, Inc. | 8,200 | 612,089 | ||||||||
Chailease Holding Co., Ltd. | 91,160 | 656,905 | ||||||||
Kuoyang Construction Co., Ltd. | 340,000 | 425,097 | ||||||||
Phison Electronics Corp. | 27,000 | 577,902 | ||||||||
Ruentex Development Co., Ltd. | 239,000 | 453,237 | ||||||||
Syncmold Enterprise Corp. | 155,000 | 497,639 | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 325,000 | 6,844,372 | ||||||||
United Microelectronics Corp. (SP ADR) | 35,000 | 347,200 | ||||||||
|
| |||||||||
Total Taiwan | ||||||||||
(Cost: $5,153,874) | 10,414,441 | |||||||||
|
|
Issues | Shares | Value | ||||||||
Thailand — 0.7% | ||||||||||
Jasmine International PCL (NVDR) | $ | 5,102,900 | $ | 475,224 | ||||||
Ngern Tid Lor PCL (8) | 155,000 | 181,694 | ||||||||
|
| |||||||||
Total Thailand | ||||||||||
(Cost: $653,821) | 656,918 | |||||||||
|
| |||||||||
Turkey — 0.2% (Cost: $292,673) | ||||||||||
Arcelik A.S. | 59,900 | 248,303 | ||||||||
|
| |||||||||
United Kingdom — 0.7% (Cost: $376,878) | ||||||||||
Genus PLC | 10,300 | 725,221 | ||||||||
|
| |||||||||
United States — 1.3% (Cost: $372,500) | ||||||||||
Applied Materials, Inc. | 9,500 | 1,260,745 | ||||||||
|
| |||||||||
Total Common Stock | ||||||||||
(Cost: $42,477,241) | 63,399,465 | |||||||||
|
| |||||||||
PREFERRED STOCK — 0.3% | ||||||||||
South Korea — 0.3% (Cost: $273,830) | ||||||||||
Samsung Electronics Co., Ltd. 0.71% | 4,000 | 262,617 | ||||||||
|
| |||||||||
Total Preferred Stock | ||||||||||
(Cost: $273,830) | 262,617 | |||||||||
|
| |||||||||
Purchased Options (9) (0.0%) |
| |||||||||
(Cost: $21,762) | 4,969 | |||||||||
|
| |||||||||
MONEY MARKET INVESTMENTS — 3.5% |
| |||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (10) | 3,322,917 | 3,322,917 | ||||||||
|
| |||||||||
Total Money Market Investments |
| |||||||||
(Cost: $3,322,917) | 3,322,917 | |||||||||
|
| |||||||||
Total Investments (101.3%) |
| |||||||||
(Cost: $76,375,834) | 97,544,917 | |||||||||
Liabilities In Excess Of Other Assets (-1.3%) |
| (1,217,177 | ) | |||||||
|
| |||||||||
Total Net Assets (100.0%) $96,327,740 |
| |||||||||
|
|
See accompanying Notes to Financial Statements.
26
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
April 30, 2021 |
Purchased Options — Exchange Traded | ||||||||||||||||||||||||||
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
PUT |
| |||||||||||||||||||||||||
U.S. Treasury 10-Year Future Option | 127 | 5/21/21 | $ | 30,000 | $ | 30,000 | $ | 469 | $ | 7,097 | $ | (6,628 | ) | |||||||||||||
U.S. Treasury 10-Year Future Option | 131 | 5/21/21 | 24,000 | 24,000 | 4,500 | 14,665 | (10,165 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 4,969 | $ | 21,762 | $ | (16,793 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Forward Currency Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | Contracts at Value | In Exchange for U.S. Dollars | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
SELL (11) | ||||||||||||||||||||||||
Goldman Sachs & Co. | EUR | 361,000 | 07/22/21 | $ | 435,280 | $ | 435,305 | $ | 25 | |||||||||||||||
|
|
|
|
|
|
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||||
Notional Amount (12) | Maturity Date | Counterparty & Reference Entity | Fixed Deal Pay Rate | Payment Frequency | Unrealized Appreciation (Depreciation) | Premiums Paid | Value (13) | |||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||||
150,000 | 6/20/26 | Bank of America | Federal Republic of Brazil 4.25 01/07/2025 | 1.0% | Quarterly | $ | (1,689 | ) | $ | 8,309 | $ | 6,620 | ||||||||||||||||
450,000 | 6/20/26 | Barclays Capital | Federal Republic of Brazil 4.25 01/07/2025 | 1.0% | Quarterly | (5,132 | ) | 24,993 | 19,861 | |||||||||||||||||||
150,000 | 6/20/26 | Goldman Sachs International | United Mexican States 4.15 03/28/2027 | 1.0% | Quarterly | (1,653 | ) | 1,197 | (456 | ) | ||||||||||||||||||
450,000 | 6/20/26 | Barclays Capital | United Mexican States 4.15 03/28/2027 | 1.0% | Quarterly | (5,045 | ) | 3,679 | (1,366 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (13,519 | ) | $ | 38,178 | $ | 24,659 | ||||||||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
ADR | American Depositary Receipt. ADRs are receipts typically issued by a U.S. bank or trust company, evidencing ownership of underlying securities issued by a foreign corporation. |
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. |
EUR | Euro Currency. |
USD | U.S. Dollar. |
(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, 2021, the value of these securities amounted to $15,310,028 or 15.9% of net assets. These securities are determined to be liquid by the Fund’s investment advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Investments issued under Regulation S of the Securities Act of 1933, as amended, may not be offered, sold, or delivered within the United States except under special exemptions. At April 30, 2021, the value of these securities amounted to $7,760,044 or 8.1% of net assets. |
(3) | Perpetual maturity. |
(4) | Floating or variable rate security. The interest shown reflects the rate in effect at April 30, 2021. |
(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. |
See accompanying Notes to Financial Statements.
27
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Unaudited) (Continued)
(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) | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
(8) | Non-income producing security. |
(9) | See options table for description of purchased options. |
(10) | Rate disclosed is the 7-day net yield as of April 30, 2021. |
(11) | Fund sells foreign currency, buys U.S. Dollar. |
(12) | The maximum potential amount the Fund could be required to make as seller of credit protection or receive as buyer of protection if a credit event occurred as defined under the terms of that particular swap agreement. |
(13) | 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.
28
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Sector (Unaudited) | April 30, 2021 |
Sector | Percentage of Net Assets | |||
Agriculture | 0.7 | % | ||
Apparel | 0.8 | |||
Auto Manufacturers | 1.3 | |||
Banks | 1.7 | |||
Beverages | 1.2 | |||
Biotechnology | 1.5 | |||
Building Materials | 0.4 | |||
Chemicals | 1.3 | |||
Commercial Services | 2.9 | |||
Computers | 0.6 | |||
Diversified Financial Services | 2.3 | |||
Electric | 1.3 | |||
Electrical Components & Equipment | 1.8 | |||
Energy-Alternate Sources | 1.3 | |||
Engineering & Construction | 0.7 | |||
Food | 2.8 | |||
Foreign Government Bonds | 22.3 | |||
Forest Products & Paper | 0.5 | |||
Health Care-Products | 1.0 | |||
Health Care-Services | 6.3 | |||
Home Furnishings | 0.3 | |||
Internet | 15.8 | |||
Iron & Steel | 0.6 | |||
Lodging | 1.8 | |||
Machinery-Diversified | 1.4 | |||
Mining | 1.2 | |||
Oil & Gas | 4.3 | |||
Oil & Gas Services | 0.1 | |||
Pharmaceuticals | 0.5 | |||
Pipelines | 0.6 | |||
Purchased Options | 0.0 | * | ||
Real Estate | 2.5 | |||
Retail | 2.7 | |||
Semiconductors | 9.7 | |||
Software | 0.5 | |||
Telecommunications | 2.5 | |||
Transportation | 0.6 | |||
Money Market Investments | 3.5 | |||
|
| |||
Total | 101.3 | % | ||
|
|
* | Amount rounds to less than 0.1%. |
See accompanying Notes to Financial Statements.
29
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Country (Unaudited)
Country | Percentage of Net Assets | |||
Angola | 1.0 | % | ||
Argentina | 2.4 | |||
Bahrain | 1.1 | |||
Bermuda | 0.2 | |||
Brazil | 4.9 | |||
Chile | 0.8 | |||
China | 29.2 | |||
Colombia | 1.0 | |||
Costa Rica | 0.2 | |||
Cyprus | 0.3 | |||
Dominican Republic | 1.2 | |||
Ecuador | 0.4 | |||
Egypt | 1.8 | |||
El Salvador | 0.5 | |||
France | 0.8 | |||
Ghana | 0.9 | |||
Guatemala | 0.2 | |||
India | 6.1 | |||
Indonesia | 1.4 | |||
Israel | 0.5 | |||
Ivory Coast | 0.7 | |||
Kazakhstan | 0.7 | |||
Kenya | 0.3 | |||
Lebanon | 0.1 | |||
Malaysia | 0.5 | |||
Mexico | 2.7 | |||
Morocco | 0.4 | |||
Nigeria | 1.1 | |||
Oman | 1.4 | |||
Pakistan | 0.7 | |||
Panama | 0.8 | |||
Paraguay | 0.2 | |||
Peru | 0.5 | |||
Poland | 0.6 | |||
Qatar | 1.3 | |||
Romania | 0.6 | |||
Russia | 2.5 | |||
Saudi Arabia | 1.5 | |||
Senegal | 0.1 | |||
Singapore | 1.3 | |||
South Africa | 1.6 | |||
South Korea | 5.7 | |||
Taiwan | 10.7 | |||
Thailand | 0.9 | |||
Turkey | 1.5 | |||
Ukraine | 1.0 | |||
United Arab Emirates | 1.0 | |||
United Kingdom | 0.8 | |||
United States | 4.8 | |||
Uruguay | 0.3 | |||
Venezuela | 0.1 | |||
|
| |||
Total | 101.3 | % | ||
|
|
See accompanying Notes to Financial Statements.
30
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary (Unaudited) | April 30, 2021 |
The following is a summary of the fair valuations according to the inputs used as of April 30, 2021 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 | $ | — | $ | 928,990 | $ | — | $ | 928,990 | ||||||||
Building Materials | — | 395,880 | — | 395,880 | ||||||||||||
Chemicals | — | 204,740 | — | 204,740 | ||||||||||||
Commercial Services | — | 210,535 | — | 210,535 | ||||||||||||
Electric | — | 1,284,236 | — | 1,284,236 | ||||||||||||
Energy-Alternate Sources | — | 213,450 | — | 213,450 | ||||||||||||
Engineering & Construction | — | 249,100 | — | 249,100 | ||||||||||||
Foreign Government Bonds | — | 21,440,193 | 140,385 | 21,580,578 | ||||||||||||
Iron & Steel | — | 202,620 | — | 202,620 | ||||||||||||
Mining | — | 642,458 | — | 642,458 | ||||||||||||
Oil & Gas Services | — | 100,898 | — | 100,898 | ||||||||||||
Oil & Gas | — | 2,743,039 | — | 2,743,039 | ||||||||||||
Pipelines | — | 585,307 | — | 585,307 | ||||||||||||
Real Estate | — | 595,835 | — | 595,835 | ||||||||||||
Telecommunications | — | 617,283 | — | 617,283 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 30,414,564 | 140,385 | 30,554,949 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stock | ||||||||||||||||
Agriculture | — | 725,221 | — | 725,221 | ||||||||||||
Apparel | — | 754,037 | — | 754,037 | ||||||||||||
Auto Manufacturers | 501,984 | 727,863 | — | 1,229,847 | ||||||||||||
Banks | 346,879 | 364,071 | — | 710,950 | ||||||||||||
Beverages | — | 1,112,189 | — | 1,112,189 | ||||||||||||
Biotechnology | — | 1,477,400 | — | 1,477,400 | ||||||||||||
Chemicals | — | 1,051,202 | — | 1,051,202 | ||||||||||||
Commercial Services | 2,123,155 | 472,953 | — | 2,596,108 | ||||||||||||
Computers | — | 577,902 | — | 577,902 | ||||||||||||
Diversified Financial Services | 181,694 | 2,024,031 | — | 2,205,725 | ||||||||||||
Electrical Components & Equipment | — | 1,693,682 | — | 1,693,682 | ||||||||||||
Energy-Alternate Sources | — | 1,009,883 | — | 1,009,883 | ||||||||||||
Engineering & Construction | — | 451,571 | — | 451,571 | ||||||||||||
Food | 1,334,918 | 1,391,139 | — | 2,726,057 | ||||||||||||
Forest Products & Paper | — | 528,729 | — | 528,729 | ||||||||||||
Health Care-Products | — | 918,829 | — | 918,829 | ||||||||||||
Health Care-Services | — | 6,100,147 | — | 6,100,147 | ||||||||||||
Home Furnishings | — | 248,303 | — | 248,303 | ||||||||||||
Internet | 5,350,882 | 9,828,580 | — | 15,179,462 | ||||||||||||
Iron & Steel | — | 362,412 | — | 362,412 | ||||||||||||
Lodging | — | 1,755,828 | — | 1,755,828 | ||||||||||||
Machinery-Diversified | 267,827 | 1,110,174 | — | 1,378,001 | ||||||||||||
Mining | — | 536,714 | — | 536,714 | ||||||||||||
Oil & Gas | — | 1,357,673 | — | 1,357,673 | ||||||||||||
Pharmaceuticals | — | 446,570 | — | 446,570 | ||||||||||||
Real Estate | — | 1,808,794 | — | 1,808,794 | ||||||||||||
Retail | 1,714,771 | 864,950 | — | 2,579,721 |
See accompanying Notes to Financial Statements.
31
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary (Unaudited) (Continued) | April 30, 2021 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Semiconductors | $ | 1,607,945 | $ | 7,456,462 | $ | — | $ | 9,064,407 | ||||||||
Software | — | 454,509 | — | 454,509 | ||||||||||||
Telecommunications | 1,286,035 | 475,224 | — | 1,761,259 | ||||||||||||
Transportation | 596,333 | — | — | 596,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 15,312,423 | 48,087,042 | — | 63,399,465 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Semiconductors | — | 262,617 | — | 262,617 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | — | 262,617 | — | 262,617 | ||||||||||||
Purchase Options | 4,969 | — | — | 4,969 | ||||||||||||
Money Market Investments | 3,322,917 | — | — | 3,322,917 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 18,640,309 | $ | 78,764,223 | $ | 140,385 | $ | 97,544,917 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Current Contracts | ||||||||||||||||
Foreign Currency Risk | — | 25 | — | 25 | ||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | 26,481 | — | 26,481 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 18,640,309 | $ | 78,790,729 | $ | 140,385 | $ | 97,571,423 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | $ | — | $ | (1,822 | ) | $ | — | $ | (1,822 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (1,822 | ) | $ | — | $ | (1,822 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
32
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) | April 30, 2021 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||||||||
ASSETS | ||||||||||||||||
Investments, at Value (1) | $ | 7,590,855 | $ | 7,773,500,024 | $ | 243,981,163 | $ | 97,544,917 | ||||||||
Foreign Currency, at Value (2) | 189 | 8,420,254 | 2,885,309 | 35 | ||||||||||||
Receivable for Securities Sold | — | 70,813,375 | 2,473,727 | 209,218 | ||||||||||||
Receivable for Fund Shares Sold | — | 19,531,615 | 1,073,461 | 3,000 | ||||||||||||
Interest and Dividends Receivable | 3,586 | 83,617,950 | 4,055,420 | 377,682 | ||||||||||||
Foreign Tax Reclaims Receivable | 256 | — | — | 3,008 | ||||||||||||
Receivable from Investment Advisor | 15,859 | 171,384 | 25,298 | 22,216 | ||||||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | 5,970 | 695,170 | 25 | ||||||||||||
Cash Collateral Held for Brokers | — | 7,080,001 | 400,000 | — | ||||||||||||
Open Swap Agreements, at Value | — | 6,951,514 | — | 26,481 | ||||||||||||
Prepaid Expenses | 13,062 | 84,714 | 49,441 | 30,716 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 7,623,807 | 7,970,176,801 | 255,638,989 | 98,217,298 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Distributions Payable | — | 10,708,609 | 16,941 | — | ||||||||||||
Payable for Securities Purchased | 62,431 | 173,232,261 | 3,583,006 | 1,118,670 | ||||||||||||
Payable for Fund Shares Redeemed | — | 13,577,454 | 326,259 | 347,084 | ||||||||||||
Accrued Capital Gain Withholding Taxes | 18,596 | — | 69,495 | 219,467 | ||||||||||||
Accrued Directors’ Fees and Expenses | 731 | 731 | 731 | 731 | ||||||||||||
Deferred Accrued Directors’ Fees and Expenses | 1,717 | 1,717 | 1,717 | 1,717 | ||||||||||||
Accrued Management Fees | 4,861 | 4,710,950 | 154,292 | 71,554 | ||||||||||||
Accrued Distribution Fees | 467 | 73,179 | 6,755 | 1,763 | ||||||||||||
Interest Payable on Swap Agreements | — | 351,389 | — | 1,333 | ||||||||||||
Open Swap Agreements, at Value | — | 482,282 | — | 1,822 | ||||||||||||
Collateral Pledged by Brokers | — | 6,460,000 | 260,000 | — | ||||||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | — | 330,363 | — | ||||||||||||
Transfer Agent Fees Payable | 3,986 | 854,555 | 29,206 | 16,995 | ||||||||||||
Administration Fee Payable | 7,125 | 310,405 | 18,534 | 11,978 | ||||||||||||
Audit Fees Payable | 9,178 | 23,544 | 16,935 | 16,792 | ||||||||||||
Accounting Fees Payable | 1,134 | 189,897 | 8,792 | 3,664 | ||||||||||||
Custodian Fees Payable | 25,634 | 127,450 | 92,403 | 67,988 | ||||||||||||
Legal Fees Payable | 59 | 25,692 | 1,094 | 336 | ||||||||||||
Other Accrued Expenses | 3,099 | 312,946 | 6,806 | 7,664 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 139,018 | 211,443,061 | 4,923,329 | 1,889,558 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 7,484,789 | $ | 7,758,733,740 | $ | 250,715,660 | $ | 96,327,740 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
33
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities (Unaudited) (Continued) | April 30, 2021 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in Capital | $ | 5,275,430 | $ | 8,544,372,592 | $ | 278,986,286 | $ | 78,633,642 | ||||||||
Accumulated Earnings (Loss) | 2,209,359 | (785,638,852 | ) | (28,270,626 | ) | 17,694,098 | ||||||||||
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NET ASSETS | $ | 7,484,789 | $ | 7,758,733,740 | $ | 250,715,660 | $ | 96,327,740 | ||||||||
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NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||
I Class Share | $ | 5,185,122 | $ | 5,152,007,835 | $ | 216,505,906 | $ | 87,867,286 | ||||||||
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N Class Share | $ | 2,299,667 | $ | 422,297,106 | $ | 34,209,754 | $ | 8,460,454 | ||||||||
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Plan Class Share | $ | — | $ | 2,184,428,799 | $ | — | $ | — | ||||||||
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CAPITAL SHARES OUTSTANDING: (3) | ||||||||||||||||
I Class Share | 366,204 | 631,972,718 | 24,382,520 | 6,540,571 | ||||||||||||
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N Class Share | 162,502 | 40,150,116 | 3,862,055 | 633,337 | ||||||||||||
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Plan Class Share | — | 268,173,123 | — | — | ||||||||||||
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NET ASSET VALUE PER SHARE: (4) | ||||||||||||||||
I Class Share | $ | 14.16 | $ | 8.15 | $ | 8.88 | $ | 13.43 | ||||||||
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N Class Share | $ | 14.15 | $ | 10.52 | $ | 8.86 | $ | 13.36 | ||||||||
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Plan Class Share | $ | — | $ | 8.15 | $ | — | $ | — | ||||||||
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(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 and the TCW Emerging Markets Multi-Asset Opportunities Fund at April 30, 2021 was $5,395,434, $7,659,513,879, $242,852,132 and $76,375,834, 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 and the TCW Emerging Markets Multi-Asset Opportunities Fund at April 30, 2021 was $188, $8,450,682, $2,881,633 and $36, respectively. |
(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, N Class and Plan Class shares. |
(4) | Represents offering price and redemption price per share. |
See accompanying Notes to Financial Statements.
34
Table of Contents
Statements of Operations (Unaudited) | Six Months Ended April 30, 2021 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||||||||
INVESTMENT INCOME |
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Income: |
| |||||||||||||||
Dividends | $ | 21,342 | (1) | $ | — | $ | — | $ | 194,929 | (1) | ||||||
Interest | — | 183,114,482 | (2) | 5,613,657 | (2) | 798,455 | ||||||||||
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| |||||||||
Total | 21,342 | 183,114,482 | 5,613,657 | 993,384 | ||||||||||||
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Expenses: |
| |||||||||||||||
Management Fees | 28,633 | 27,489,212 | 911,932 | 447,408 | ||||||||||||
Accounting Services Fees | 1,042 | 198,392 | 7,698 | 3,725 | ||||||||||||
Administration Fees | 7,021 | 314,906 | 17,845 | 11,841 | ||||||||||||
Transfer Agent Fees: |
| |||||||||||||||
I Class | 3,034 | 1,611,797 | 48,678 | 27,185 | ||||||||||||
N Class | 2,995 | 129,508 | 14,782 | 7,567 | ||||||||||||
Plan Class | — | 13,272 | — | — | ||||||||||||
Custodian Fees | 26,900 | 103,831 | 80,158 | 64,387 | ||||||||||||
Professional Fees | 13,552 | 70,454 | 21,376 | 20,890 | ||||||||||||
Directors’ Fees and Expenses | 19,810 | 19,810 | 19,810 | 19,810 | ||||||||||||
Registration Fees: |
| |||||||||||||||
I Class | 8,116 | 113,361 | 12,701 | 8,547 | ||||||||||||
N Class | 8,116 | 12,574 | 9,687 | 8,258 | ||||||||||||
Plan Class | — | 14,731 | — | — | ||||||||||||
Distribution Fees: |
| |||||||||||||||
N Class | 2,714 | 357,120 | 37,883 | 11,744 | ||||||||||||
Tax Agent Fees | 1,530 | — | — | — | ||||||||||||
Other | 4,862 | 514,051 | 16,788 | 10,778 | ||||||||||||
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| |||||||||
Total | 128,325 | 30,963,019 | 1,199,338 | 642,140 | ||||||||||||
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Less Expenses Borne by Investment Advisor: |
| |||||||||||||||
I Class | 54,724 | 126,503 | 97,887 | 109,473 | ||||||||||||
N Class | 32,080 | 273,244 | 60,353 | 26,152 | ||||||||||||
Plan Class | — | 119,932 | — | — | ||||||||||||
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Net Expenses | 41,521 | 30,443,340 | 1,041,098 | 506,515 | ||||||||||||
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Net Investment Income (Loss) | (20,179 | ) | 152,671,142 | 4,572,559 | 486,869 | |||||||||||
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NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS |
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Net Realized Gain (Loss) on: |
| |||||||||||||||
Investments | 813,679 | (3) | 116,947,990 | (1,468,785 | ) (3) | 8,694,255 | (3) | |||||||||
Foreign Currency | (8,767 | ) | (259,464 | ) | (26,791 | ) | (77,557 | ) | ||||||||
Foreign Currency Forward Contracts | — | 195,010 | (158,894 | ) | 875 | |||||||||||
Options Written | — | 533,445 | 14,549 | 1,922 | ||||||||||||
Swap Agreements | — | 371,181 | — | 523 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
| |||||||||||||||
Investments | 419,142 | (4) | 82,481,213 | 5,647,753 | (4) | 2,523,307 | (4) | |||||||||
Foreign Currency | 8 | (84,531 | ) | (31,396 | ) | (390 | ) | |||||||||
Foreign Currency Forward Contracts | — | 5,970 | 1,038,880 | 25 | ||||||||||||
Swap Agreements | — | (3,796,040 | ) | — | (13,519 | ) | ||||||||||
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Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | 1,224,062 | 196,394,774 | 5,015,316 | 11,129,441 | ||||||||||||
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INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,203,883 | $ | 349,065,916 | $ | 9,587,875 | $ | 11,616,310 | ||||||||
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(1) | Net of foreign taxes withheld of $3,398 and $33,185 for the TCW Developing Markets Equity Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
(2) | Net of foreign taxes withheld of $5,716 and $314,333 for the TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund, respectively. |
(3) | Net of capital gain withholding taxes of $1,151, $98,300 and $112,579 for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
(4) | Net of capital gain withholding taxes of $18,596, $62,019 and $219,467 for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
See accompanying Notes to Financial Statements.
35
Table of Contents
Statements of Changes in Net Assets (Unaudited)
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | |||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income (Loss) | $ | (20,179 | ) | $ | 8,578 | $ | 152,671,142 | $ | 308,612,314 | |||||||
Net Realized Gain (Loss) on Investments, Options Written, Swap Agreements and Foreign Currency Transactions | 804,912 | 44,923 | 117,788,162 | (338,193,361 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Foreign Currency Transactions and Swap Agreements | 419,150 | 917,665 | 78,606,612 | (105,419,880 | ) | |||||||||||
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Increase (Decrease) in Net Assets Resulting from Operations | 1,203,883 | 971,166 | 349,065,916 | (135,000,927 | ) | |||||||||||
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DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions to Shareholders | (8,519 | ) | (48,424 | ) | (180,453,898 | ) | (264,163,379 | ) | ||||||||
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NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 33,504 | (411,831 | ) | (882,280,368 | ) | 573,962,838 | ||||||||||
N Class | 81,061 | 17,677 | 152,887,544 | (41,759,889 | ) | |||||||||||
Plan Class | — | — | 1,691,540,529 | 505,891,393 | ||||||||||||
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Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 114,565 | (394,154 | ) | 962,147,705 | 1,038,094,342 | |||||||||||
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Increase in Net Assets | 1,309,929 | 528,588 | 1,130,759,723 | 638,930,036 | ||||||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | 6,174,860 | 5,646,272 | 6,627,974,017 | 5,989,043,981 | ||||||||||||
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End of period | $ | 7,484,789 | $ | 6,174,860 | $ | 7,758,733,740 | $ | 6,627,974,017 | ||||||||
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See accompanying Notes to Financial Statements.
36
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets (Unaudited)
TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||||||||||
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 4,572,559 | $ | 11,510,009 | $ | 486,869 | $ | 1,843,526 | ||||||||
Net Realized Gain (Loss) on Investments, Options Written, Swap Agreements and Foreign Currency Transactions | (1,639,921 | ) | (13,373,717 | ) | 8,620,018 | (2,586,133 | ) | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Foreign Currency Transactions and Swap Agreements | 6,655,237 | (14,775,718 | ) | 2,509,423 | 9,209,533 | |||||||||||
|
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|
|
|
|
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| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 9,587,875 | (16,639,426 | ) | 11,616,310 | 8,466,926 | |||||||||||
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DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions to Shareholders | (2,522,052 | ) | (2,682,634 | ) | (1,350,163 | ) | (3,149,794 | ) | ||||||||
Return of Capital | — | (1,042,577 | ) | — | — | |||||||||||
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| |||||||||
Total Distributions to Shareholders | (2,522,052 | ) | (3,725,211 | ) | (1,350,163 | ) | (3,149,794 | ) | ||||||||
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NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 17,363,311 | (9,987,358 | ) | (5,822,193 | ) | (8,000,705 | ) | |||||||||
N Class | 8,277,757 | (618,188 | ) | (1,306,399 | ) | (3,340,090 | ) | |||||||||
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|
|
|
|
|
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| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 25,641,068 | (10,605,546 | ) | (7,128,592 | ) | (11,340,795 | ) | |||||||||
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|
|
|
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|
| |||||||||
Increase (Decrease) in Net Assets | 32,706,891 | (30,970,183 | ) | 3,137,555 | (6,023,663 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of period | 218,008,769 | 248,978,952 | 93,190,185 | 99,213,848 | ||||||||||||
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End of period | $ | 250,715,660 | $ | 218,008,769 | $ | 96,327,740 | $ | 93,190,185 | ||||||||
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See accompanying Notes to Financial Statements.
37
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 18 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 its own investment objective and strategies. The following is a brief description of the investment objectives and principal investment strategies for the Funds that are covered in this report:
TCW Fund | Investment Objectives and Principal Investment | |
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, plus any borrowings for investment purposes, in debt securities issued or guaranteed by companies, financial institutions and government entities in emerging market countries. The Fund generally invests in at least four Emerging Market Countries. | |
Non-Diversified Fixed Income Fund | ||
TCW Emerging Markets Local Currency Income Fund | Seeks to provide high total return from current income and capital appreciation through investment in debt securities denominated in the local currencies of various emerging market countries; invests at least 80% of the value of its net assets, plus any borrowings for investment purposes, in debt securities issued or guaranteed by non-financial companies, financial institutions and government entities in emerging market countries denominated in the local currencies of an issuer and in derivative instruments that provide investment exposure to such securities. | |
Diversified International Equity Fund | ||
TCW Developing Markets Equity Fund | Seeks long-term capital appreciation by investing at least 80% of the value of its net assets, plus any borrowings for investment purposes, in equity securities issued by 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. The Fund may invest up to 20% of its net assets, plus any borrowings for investment purposes, in derivative instruments. |
38
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 1 — Organization (Continued)
TCW Fund | Investment Objectives and Principal Investment | |
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, plus any borrowings for investment purposes, in debt and equity securities issued or guaranteed by companies, financial institutions and government entities in emerging market countries. |
All of the Funds currently offer two classes of shares: I Class and N Class, except for the TCW Emerging Markets Income Fund, which also offers Plan Class shares. The three classes of a Fund are substantially the same except that the Class N shares are subject to a distribution fee (see Note 7).
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. Subsequent events, if any, have been evaluated through the date of issuance in the preparation of the financial statements.
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 the exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using official closing prices as reported by NASDAQ, which may not be the last sale price. Investments in open-end mutual funds including money market funds are valued based on the NAV per share as reported by the investment companies. All other securities for which over-the-counter (“OTC”) market quotations are readily available, including short-term securities, are valued with prices furnished by independent pricing services or by broker dealers.
The Company has adopted, after the approval by the Company’s Board of Directors (the “Board,” and each member thereof, a “Director”), a fair valuation methodology for foreign equity securities (exclusive of certain Latin American and Canadian equity securities). This methodology is designed to address the effect of movements in the U.S. market on the securities traded on foreign exchanges that have been closed for a 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
39
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
Advisor’s Pricing Committee in accordance with the guidelines established by the Valuation Committee of the Company’s Board of Directors 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 inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 — | quoted prices in active markets for identical investments. | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.). | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or 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.
40
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 2 — Significant Accounting Policies (Continued)
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 significant, they are categorized in Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore the inputs are unobservable. Certain foreign securities that 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 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.
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 securities exchanges are fair 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 rates, 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, 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 1 or Level 2 of the fair value hierarchy.
41
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
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, 2021 in valuing the Funds’ investments is listed after the Schedule of Investments for each Fund.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
TCW Emerging Markets Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||
Balance as of October 31, 2020 | $ | 15,730,569 | $ | 123,673 | ||||
Accrued Discounts (Premiums) | — | — | ||||||
Realized Gain (Loss) | — | — | ||||||
Change in Unrealized Appreciation (Depreciation) | 2,125,752 | 16,712 | ||||||
Purchases | — | — | ||||||
Sales | — | — | ||||||
Transfers in to Level 3 | — | — | ||||||
Transfers out of Level 3 | — | — | ||||||
|
|
|
| |||||
Balance as of April 30, 2021 | $ | 17,856,321 | $ | 140,385 | ||||
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|
| |||||
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at April 30, 2021 | $ | 2,125,752 | $ | 16,712 | ||||
|
|
|
|
Significant unobservable valuations inputs for Level 3 investments as of April 30, 2021 are as follows:
Description | Fair Value at 4/30/2021 | Valuation Techniques* | Unobservable | Price or Price Range | Average Weighted Price | |||||||||
TCW Emerging Markets Income Fund |
| |||||||||||||
Government Issues | $ | 17,856,321 | Third-party Vendor | Vendor Prices | $10.50 | $ | 10.50 | |||||||
TCW Emerging Markets Multi-Asset Opportunities Fund |
| |||||||||||||
Government Issues | $ | 140,385 | Third-party Vendor | Vendor Prices | $10.50 | $ | 10.50 |
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.
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.
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 International Funds declare and pay, or reinvest, dividends from net investment income annually. Capital gains realized by a Fund will be distributed at least annually.
42
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 2 — Significant Accounting Policies (Continued)
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from GAAP. These differences are primarily due to differing treatments for foreign currency transactions, derivative 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.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) 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 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. 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.
43
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
For the period ended April 30, 2021, the following Funds had derivatives and transactions in derivatives, grouped in the following risk categories:
TCW Emerging Markets Income Fund
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
Statement of Assets and Liabilities: | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Investments (1) | $ | — | $ | — | $ | 1,041,031 | $ | 1,041,031 | ||||||||
Swap Agreements | 6,951,514 | — | — | 6,951,514 | ||||||||||||
Forward Contracts | — | 5,970 | — | 5,970 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | 6,951,514 | $ | 5,970 | $ | 1,041,031 | $ | 7,998,515 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Swap Agreements | $ | (482,282 | ) | $ | — | $ | — | $ | (482,282 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | (482,282 | ) | $ | — | $ | — | $ | (482,282 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Forward Contracts | $ | — | $ | 195,010 | $ | — | $ | 195,010 | ||||||||
Investments (2) | — | (2,162,131 | ) | — | (2,162,131 | ) | ||||||||||
Options Written | — | 533,445 | — | 533,445 | ||||||||||||
Swap Agreements | 371,181 | — | — | 371,181 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | $ | 371,181 | $ | (1,433,676 | ) | $ | — | $ | (1,062,495 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | ||||||||||||||||
Forward Contracts | $ | — | $ | 5,970 | $ | — | $ | 5,970 | ||||||||
Investments (3) | — | (116,440 | ) | (2,955,588 | ) | (3,072,028 | ) | |||||||||
Swap Agreements | (3,796,040 | ) | — | — | (3,796,040 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | $ | (3,796,040 | ) | $ | (110,470 | ) | $ | (2,955,588 | ) | $ | (6,862,098 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts (4) | ||||||||||||||||
Forward Currency Contracts | $ — | $52,556,314 | $ — | $52,556,314 | ||||||||||||
Options Purchased | $ — | $177,629,667 | $20,910 | $177,650,577 | ||||||||||||
Options Written | $ — | $87,450,000 | $ — | $87,450,000 | ||||||||||||
Swap Agreements | $316,250,000 | $ — | $ — | $316,250,000 |
44
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Local Currency Income Fund
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
Statement of Assets and Liabilities: | ||||||||||||||||
Asset Derivatives |
| |||||||||||||||
Forward Contracts | $ | — | $ | 695,170 | $ | — | $ | 695,170 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | 695,170 | $ | — | $ | 695,170 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives |
| |||||||||||||||
Forward Contracts | $ | — | $ | (330,363 | ) | $ | — | $ | (330,363 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | — | $ | (330,363 | ) | $ | — | $ | (330,363 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||
Forward Contracts | $ | — | $ | (158,894 | ) | $ | — | $ | (158,894 | ) | ||||||
Investments (2) | — | (96,867 | ) | — | (96,867 | ) | ||||||||||
Options Written | — | 14,549 | — | 14,549 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | $ | — | $ | (241,212 | ) | $ | — | $ | (241,212 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||
Forward Contracts | $ | — | $ | 1,038,880 | $ | — | $ | 1,038,880 | ||||||||
Investments (3) | — | (7,686 | ) | — | (7,686 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | $ | — | $ | 1,031,194 | $ | — | $ | 1,031,194 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts (4) |
| |||||||||||||||
Forward Currency Contracts | $ — | $95,609,817 | $ — | $95,609,817 | ||||||||||||
Options Purchased | $ — | $9,488,333 | $ — | $9,488,333 | ||||||||||||
Options Written | $ — | $2,385,000 | $ — | $2,385,000 |
45
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Multi-Asset Opportunities Fund
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
Statement of Assets and Liabilities: | ||||||||||||||||
Asset Derivatives |
| |||||||||||||||
Investments (1) | $ | — | $ | — | $ | 4,969 | $ | 4,969 | ||||||||
Swap Agreements | 26,481 | — | — | 26,481 | ||||||||||||
Forward Contracts | — | 25 | — | 25 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | 26,481 | $ | 25 | $ | 4,969 | $ | 31,475 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives |
| |||||||||||||||
Swap Agreements | $ | (1,822 | ) | $ | — | $ | — | $ | (1,822 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | (1,822 | ) | $ | — | $ | — | $ | (1,822 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Net Realized Gain (Loss) |
| |||||||||||||||
Forward Contracts | $ | — | $ | 875 | $ | — | $ | 875 | ||||||||
Investments | — | (8,389 | ) | — | (8,389 | ) | ||||||||||
Options Written | — | 1,922 | — | 1,922 | ||||||||||||
Swap Agreements | 523 | — | — | 523 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | $ | 523 | $ | (5,592 | ) | $ | — | $ | (5,069 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) |
| |||||||||||||||
Forward Contracts | $ | — | $ | 25 | $ | — | $ | 25 | ||||||||
Investments (4) | — | (521 | ) | (16,793 | ) | (17,314 | ) | |||||||||
Swap Agreements | (13,519 | ) | — | — | (13,519 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Change in Appreciation (Depreciation) | $ | (13,519 | ) | $ | (496 | ) | $ | (16,793 | ) | $ | (30,808 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts (4) |
| |||||||||||||||
Forward Currency Contracts | $ — | $263,545 | $ — | $263,545 | ||||||||||||
Options Purchased | $ — | $736,667 | $116 | $736,783 | ||||||||||||
Options Written | $ — | $315,000 | $ — | $315,000 | ||||||||||||
Swap Agreements | $1,200,000 | $ — | $ — | $1,200,000 |
(1) | Represents purchased options at value. |
(2) | Represents realized gain (loss) for purchased options. |
(3) | Represents change in unrealized gain (loss) for purchased options. |
(4) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the period ended April 30, 2021. |
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
46
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 2 — Significant Accounting Policies (Continued)
customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
For OTC derivatives the Funds mitigate their counterparty risk by entering into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with each counterparty. 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 liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to FASB Accounting Standards Update (“ASU”) No. 2011-11, 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.
Master Agreements and Netting Arrangements. Certain Funds are parties to various agreements, including but not limited to International Swaps and Derivatives Association Agreements and related Credit Support Annex, Master Repurchase Agreements, and Master Securities Forward Transactions Agreements (collectively “Master Agreements”), which govern the terms of certain transactions with select counterparties. These Master Agreements generally include provisions for general obligations,
47
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 2 — Significant Accounting Policies (Continued)
representations, agreements, collateral, and certain events of default or termination. These Master Agreements also include provisions for netting arrangements that help reduce credit and counterparty risk associated with relevant transactions (“netting arrangements”). The netting arrangements are generally tied to credit-related events that, if triggered, would cause an event of default or termination giving a Fund or counterparty the right to terminate early and cause settlement, on a net basis, of all transactions under the applicable Master Agreement. In the event of an early termination as a result of an event of default under the Master Agreement, the total value exposure of all transactions will be offset against collateral exchanged to date, which would result in a net receivable or payable that would be due from or to the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in the event of a bankruptcy or insolvency of the counterparty. Credit related events include, but are not limited to, bankruptcy, failure to make timely payments, restructuring, obligation acceleration, obligation default, a material decline in net assets, decline in credit rating or repudiation/moratorium. Any election made by a counterparty to early terminate the transactions under a Master Agreement could have a material adverse impact on a Fund’s financial statements. A Fund’s overall exposure to credit risk, subject to netting arrangements, can change substantially within a short period, as it is affected by each transaction subject to the arrangement.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions under the relevant Master Agreement with a counterparty in a given Fund exceeds a specified threshold, net of collateral already in place, typically $250,000 or $500,000 depending on the counterparty and the type of Master Agreement. Collateral under the Master Agreements is usually in the form of cash or U.S. Treasury Bills but could include other types of securities. If permitted under the Master Agreement, certain funds may rehypothecate cash collateral received from a counterparty. The value of all derivative transactions outstanding under a Master Agreement is calculated daily to determine the amount of collateral to be received or pledged by the counterparty. Posting of collateral for OTC derivative transactions are covered under tri-party collateral agreements between the Fund, the Fund’s custodian, and each counterparty. Collateral for centrally cleared derivatives transactions are posted with the applicable derivatives clearing organization.
The following table presents the Funds’ OTC derivatives assets and liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement and net of the related collateral received by the Funds as of April 30, 2021:
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 | 1,737,878 | — | 1,737,878 | (1,737,878 | ) (2) | — | ||||||||||||||
Barclays Capital | 5,213,636 | (350,509 | ) | 4,863,127 | (4,570,000 | ) | 293,127 | |||||||||||||
Goldman Sachs & Co. | 5,970 | (131,773 | ) | $ | (125,803 | ) | $ | 125,803 | (2) | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 6,957,484 | $ | (482,282) | $ | 6,475,202 | $ | (6,182,075) | $ | 293,127 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(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. |
48
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
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, N.A. | 191,173 | (37,178 | ) | $ | 153,995 | $ | — | $ | 153,995 | |||||||||||
Barclays Capital | 119,571 | (124,460 | ) | (4,889 | ) | 4,889 | (2) | — | ||||||||||||
BNP Paribas S.A. | — | (16,525 | ) | (16,525 | ) | — | (16,525 | ) | ||||||||||||
Citibank N.A. | 67,328 | (17,220 | ) | 50,108 | — | 50,108 | ||||||||||||||
Goldman Sachs & Co. | 285,119 | (31,766 | ) | 253,353 | (253,353 | ) (2) | — | |||||||||||||
JPMorgan Chase Bank | 23,792 | (102,692 | ) | (78,900 | ) | 40,000 | (38,900 | ) | ||||||||||||
Standard Chartered Bank | 8,187 | (522 | ) | 7,665 | — | 7,665 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 695,170 | $ | (330,363 | ) | $ | 364,807 | $ | (208,464 | ) | $ | 156,343 | ||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Amount does not include excess collateral pledged or received. |
TCW Emerging Markets 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 | 6,620 | — | 6,620 | — | 6,620 | |||||||||||||||
Barclays Capital | 19,861 | (1,366 | ) | 18,495 | — | 18,495 | ||||||||||||||
Goldman Sachs & Co. | 25 | (456 | ) | $ | (431 | ) | $ | — | $ | (431 | ) | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 26,506 | $ | (1,822 | ) | $ | 24,684 | $ | — | $ | 24,684 | |||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
Note 3 — Portfolio Investments
When-Issued, Delayed-Delivery, and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of each Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate with market conditions. In addition, because the Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not 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 a Master Repurchase Agreement (“MRA”). In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. The MRA permits each Fund, under certain circumstances, including an event of default (such as bankruptcy or
49
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 3 — Portfolio Investments (Continued)
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 an 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, 2021.
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, 2021.
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, 2021.
Derivatives:
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. Outstanding foreign currency forward contracts at April 30, 2021 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
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April 30, 2021 |
Note 3 — Portfolio Investments (Continued)
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. There were no futures contracts outstanding at April 30, 2021.
Options: The Funds may purchase and sell put and call options on a security or an index of securities to enhance investment performance and/or to protect against changes in market prices. The Funds may also enter into currency options to hedge against or to take advantage of 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.
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 expire are treated as realized losses.
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Note 3 — Portfolio Investments (Continued)
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, 2021, the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, and the TCW Emerging Markets Multi-Asset Opportunities Fund entered into options to hedge the currency exposure of the Funds.
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 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.
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April 30, 2021 |
Note 3 — Portfolio Investments (Continued)
A Fund may enter into credit default swap transactions as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. A Fund also takes the risk that the market will move against its position in the swap agreement. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. When a Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking-to-market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized 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, 2021, the TCW Emerging Markets Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund used credit default swaps to limit certain credit exposure within each Fund.
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Note 4 — 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.
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.
LIBOR Risk: LIBOR is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt securities in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund’s derivative investments may also reference LIBOR. In addition, issuers of instruments in which a Fund invests may obtain financing at floating rates based on LIBOR, and a Fund may use leverage or borrowings based on LIBOR. The head of the United Kingdom Financial Conduct Authority has announced the intention to begin phasing out the use of LIBOR by the end of 2021. Although the transition process away from LIBOR has become increasingly well-defined in advance of the anticipated discontinuation date, there remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. The ultimate abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. Any potential effects of the transition away from LIBOR on a Fund or on certain instruments in which a Fund invests can be difficult to ascertain, and they may vary depending on factors that include, but are not limited to: (i) existing fallback or termination provisions in individual contracts and (ii) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new products and instruments. For example, certain of a Fund’s investments may involve individual contracts that have (i) no existing fallback provision or language that contemplates the discontinuation of LIBOR or (ii) inadequate fallback provisions or language that does not contemplate a permanent discontinuation of LIBOR, and those investments could experience increased volatility or reduced liquidity as a result of the transition process. In addition, interest rate provisions included in such contracts may need to be renegotiated in contemplation of the transition away from LIBOR. The transition may also result in a reduction in the value of certain instruments held by the Funds or a reduction in the effectiveness of related Fund transactions such as hedges. In addition, an instrument’s transition to a replacement rate could result in variations in the reported yields of the Fund that holds such instrument. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to a Fund.
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April 30, 2021 |
Note 4 — Risk Considerations (Continued)
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.
Counterparty Risk: The Funds may be exposed to counterparty risk, the risk that an entity with which the Funds have unsettled or open transactions may not fulfill its obligations.
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.
Public Health Emergencies Risk and Impact of the Coronavirus (COVID-19): Pandemics and other local, national, and international public health emergencies, including outbreaks of infectious diseases such as SARS, H1N1/09 Flu, the Avian Flu, Ebola and the current coronavirus pandemic (“COVID-19”), can result, and in the case of COVID-19 is resulting, in market volatility and disruption, and any similar future emergencies may materially and adversely impact economic production and activity in ways that cannot be predicted, all of which could result in substantial investment losses.
This outbreak has caused a worldwide public health emergency, straining healthcare resources and resulting in extensive and growing numbers of infections, hospitalizations and deaths. In an effort to contain COVID-19, local, regional, and national governments, as well as private businesses and other organizations, have imposed and continue to impose severely restrictive measures, including instituting local and regional quarantines, restricting travel (including closing certain international borders), prohibiting public activity (including “stay-at-home,” “shelter-in-place,” and similar orders), and ordering the closure of a wide range of offices, businesses, schools, and other public venues. Consequently, COVID-19 has significantly diminished and disrupted global economic production and activity of all kinds and has contributed to both volatility and a severe decline in financial markets. Among other things, these unprecedented developments have resulted in: (i) material reductions in demand across most categories of consumers and businesses; (ii) dislocation (or, in some cases, a complete halt) in the credit and capital markets; (iii) labor force and operational disruptions; (iv) slowing or complete idling of certain supply chains and manufacturing activity; and (v) strain and uncertainty for businesses and households, with a particularly acute impact on industries dependent on travel and public accessibility, such as transportation, hospitality, tourism, retail, sports, and entertainment.
The ultimate impact of COVID-19 (and of the resulting precipitous decline and disruption in economic and commercial activity across many of the world’s economies) on global economic conditions, and on the
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Notes to Financial Statements (Unaudited) (Continued)
Note 4 — Risk Considerations (Continued)
operations, financial condition, and performance of any particular market, industry or business, is impossible to predict. However, ongoing and potential additional materially adverse effects, including further global, regional and local economic downturns (including recessions) of indeterminate duration and severity, are possible. The extent of COVID-19’s impact will depend on many factors, including the ultimate duration and scope of the public health emergency and the restrictive countermeasures being undertaken, as well as the effectiveness of other governmental, legislative, and financial and monetary policy interventions designed to mitigate the crisis and address its negative externalities, all of which are evolving rapidly and may have unpredictable results. The ongoing COVID-19 crisis and any other public health emergency could have a significant adverse impact on our investments and result in significant investment losses.
For more information on risks related to investing in the Funds, 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 customer service at 800-FUND-TCW (800-386-3829).
Note 5 — 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, 2021, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows:
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Developing Markets Equity Fund | $ | 2,304,904 | $ | (126,364 | ) | $ | 2,178,540 | $ | 5,412,315 | |||||||
TCW Emerging Markets Income Fund | 266,265,284 | (154,339,420 | ) | 111,925,864 | 7,660,533,128 | |||||||||||
TCW Emerging Markets Local Currency Income Fund | 2,069,798 | (5,213,559 | ) | (3,143,761 | ) | 247,124,924 | ||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 23,203,644 | (2,248,900 | ) | 20,954,744 | 76,585,204 |
At October 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Emerging Markets Income Fund | $ | 30,409,095 | — | $ | 30,409,095 | |||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 1,195,902 | — | 1,195,902 |
During the year ended October 31, 2020, the tax character of distributions paid was as follows:
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Developing Markets Equity Fund | $ | 48,424 | $ | — | — | $ | 48,424 | |||||||||
TCW Emerging Markets Income Fund | 264,163,379 | — | — | 264,163,379 | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | 2,682,634 | — | 1,042,577 | 3,725,211 | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 3,149,794 | — | — | 3,149,794 |
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April 30, 2021 |
Note 5 — Federal Income Taxes (Continued)
At October 31, 2020, the following Funds had net realized loss carryforwards for federal income tax purposes:
Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Developing Markets Equity Fund | $ | 709,202 | $ | — | $ | 709,202 | ||||||
TCW Emerging Markets Income Fund | 639,261,526 | 340,718,054 | 979,979,580 | |||||||||
TCW Emerging Markets Local Currency Income Fund | 14,427,718 | 12,303,037 | 26,730,755 | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 11,706,345 | — | 11,706,345 |
The Funds did not have any unrecognized tax benefits at April 30, 2021, nor were there any increases or decreases in unrecognized tax benefits for the period ended April 30, 2021. 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 6 — 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 | 0.90 | % |
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 | 0.95 | % (1)(2) | ||
N Class | 1.15 | % (1)(2) | ||
TCW Emerging Markets Income Fund | ||||
I Class | 0.85 | % (1) | ||
N Class | 0.95 | % (1) | ||
Plan Class | 0.77 | % (1) | ||
TCW Emerging Markets Local Currency Income Fund | ||||
I Class | 0.85 | % (1) | ||
N Class | 0.90 | % (1) | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||
I Class | 1.00 | % (1) | ||
N Class | 1.20 | % (1) |
(1) | These limitations are based on an agreement between the Advisor and Company. |
(2) | This limitation was in effect March 1, 2021. From November 1, 2020 through February 28, 2021, the expense limitation was 1.25% for I Class Shares and 1.25% for N Class Shares. |
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 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. Deferred compensation is included within directors’ fees and expenses in the Statements of Assets and Liabilities.
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Notes to Financial Statements (Unaudited) (Continued)
Note 7 — 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 8 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the period ended April 30, 2021 were as follows:
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Developing Markets Equity Fund | $ | 4,558,000 | $ | 4,656,415 | $ | — | $ | — | ||||||||
TCW Emerging Markets Income Fund | 6,171,323,993 | 5,411,667,959 | — | — | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | 196,416,203 | 163,315,618 | — | — | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 68,360,905 | 78,353,710 | — | — |
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Developing Markets Equity Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 1,862 | $ | 27,500 | 522 | $ | 5,685 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 459 | 6,004 | 3,226 | 34,910 | ||||||||||||
Shares Redeemed | — | — | (41,130 | ) | (452,426 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 2,321 | $ | 33,504 | (37,382 | ) | $ | (411,831 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 5,589 | $ | 82,625 | 1,216 | $ | 13,132 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 192 | 2,515 | 1,249 | 13,514 | ||||||||||||
Shares Redeemed | (292 | ) | (4,079 | ) | (790 | ) | (8,969 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 5,489 | $ | 81,061 | 1,675 | $ | 17,677 | ||||||||||
|
|
|
|
|
|
|
|
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Note 9 — Capital Share Transactions (Continued)
TCW Emerging Markets Income Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 179,665,072 | $ | 1,490,005,099 | 407,216,881 | $ | 3,219,444,990 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 13,541,401 | 111,128,830 | 20,069,095 | 158,869,516 | ||||||||||||
Shares Redeemed | (302,064,922 | ) | (2,483,414,297 | ) | (367,301,484 | ) | (2,804,351,668 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (108,858,449 | ) | $ | (882,280,368 | ) | 59,984,492 | $ | 573,962,838 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 17,939,937 | $ | 188,684,732 | 9,014,340 | $ | 91,463,896 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 735,839 | 7,787,581 | 1,156,277 | 11,834,869 | ||||||||||||
Shares Redeemed | (4,085,060 | ) | (43,584,769 | ) | (14,496,727 | ) | (145,058,654 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 14,590,716 | $ | 152,887,544 | (4,326,110 | ) | $ | (41,759,889 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Plan Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 209,119,991 | $ | 1,713,542,138 | 62,628,616 | $ | 513,316,199 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,869,449 | 15,322,796 | 233,613 | 1,854,887 | ||||||||||||
Shares Redeemed | (4,525,254 | ) | (37,324,405 | ) | (1,153,292 | ) | (9,279,693 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 206,464,186 | $ | 1,691,540,529 | 61,708,937 | $ | 505,891,393 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Local Currency Income Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 4,752,163 | $ | 43,443,609 | 10,025,553 | $ | 88,383,393 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 237,110 | 2,125,939 | 333,736 | 3,073,757 | ||||||||||||
Shares Redeemed | (3,097,918 | ) | (28,206,237 | ) | (11,958,101 | ) | (101,444,508 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 1,891,355 | $ | 17,363,311 | (1,598,812 | ) | $ | (9,987,358 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 1,652,767 | $ | 15,148,511 | 2,073,557 | $ | 17,751,724 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 36,277 | 324,339 | 42,664 | 392,147 | ||||||||||||
Shares Redeemed | (790,662 | ) | (7,195,093 | ) | (2,212,200 | ) | (18,762,059 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 898,382 | $ | 8,277,757 | (95,979 | ) | $ | (618,188 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||||||||||
I Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 208,778 | $ | 2,856,139 | 400,006 | $ | 4,508,190 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 94,826 | 1,236,530 | 242,396 | 2,799,681 | ||||||||||||
Shares Redeemed | (740,033 | ) | (9,914,862 | ) | (1,397,688 | ) | (15,308,576 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (436,429 | ) | $ | (5,822,193 | ) | (755,286 | ) | $ | (8,000,705 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount | Shares | Amount | ||||||||||||
Shares Sold | 104,199 | $ | 1,377,667 | 145,525 | $ | 1,639,723 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 8,747 | 113,452 | 29,582 | 340,484 | ||||||||||||
Shares Redeemed | (212,316 | ) | (2,797,518 | ) | (490,864 | ) | (5,320,297 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (99,370 | ) | $ | (1,306,399 | ) | (315,757 | ) | $ | (3,340,090 | ) | ||||||
|
|
|
|
|
|
|
|
59
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Unaudited) (Continued)
Note 10 — Affiliate Ownership
As of April 30, 2021, affiliates of the Funds and Advisor owned 39.53% and 7.49% of the net assets of the TCW Developing Markets Equity Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively.
Note 11 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities held by the Funds at April 30, 2021.
Note 12 — 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, renewable annually. The interest rate on borrowing is the higher of the Federal Funds rate plus 0.10% plus 1.25% or the Overnight Bank Funding rate plus 0.10% plus 1.25%. There were no borrowings from the line of credit as of or during the period ended April 30, 2021. 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 13 — Liquidity Risk Management Program
Rule 22e-4 under the 1940 Act (the “Liquidity Rule”) requires that all registered open-end management investment companies, including the Funds, establish a written liquidity risk management program (a “Liquidity Program”). Under a fund’s Liquidity Program, a fund must assess, manage and periodically review the fund’s liquidity risk, classify the liquidity of each of the fund’s portfolio investments, determine whether to specify highly liquid investment minimum (and, if so, at what level), limit illiquid investments to 15% of fund investments, and establish policies and procedures regarding how and when a fund will engage in redemptions in-kind. Consistent with the Liquidity Rule, the Board has approved the written Liquidity Program for the Funds and has designated a committee of professionals associated with the Advisor to administer the Funds’ Liquidity Program (the “Program Administrator”).
On March 8, 2021, the Board reviewed the Program Administrator’s written annual report (the “Report”) concerning the operation of the Funds’ Liquidity Program for the calendar year ended December 31, 2020 (the “Reporting Period”). The Report addressed the operation of the Liquidity Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s Highly Liquid Investment Minimum (“HLIM”). The Report discussed, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule) and the
60
Table of Contents
TCW Funds, Inc.
April 30, 2021 |
Note 13 — Liquidity Risk Management Program (Continued)
operation and monitoring of the HLIM assigned to a Fund, as applicable; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions. The Report concluded that the Liquidity Program was reasonably designed to assess and manage each Fund’s liquidity risk and was adequately and effectively implemented with respect to each Fund during the Reporting Period.
There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Note 14 — 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 such 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 15 — New Accounting Pronouncement
In March 2020, FASB issued Accounting Standards Update (ASU) No. 2020-04 — Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in the ASU provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank offered reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on the financial statements.
61
Table of Contents
TCW Developing Markets Equity Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 11.86 | $ | 10.14 | $ | 9.39 | $ | 11.17 | $ | 9.10 | $ | 8.62 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.04 | ) | 0.02 | 0.10 | 0.06 | 0.07 | 0.10 | |||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.36 | 1.79 | 0.69 | (1.78 | ) | 2.09 | 0.38 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 2.32 | 1.81 | 0.79 | (1.72 | ) | 2.16 | 0.48 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.02 | ) | (0.09 | ) | (0.04 | ) | (0.06 | ) | (0.09 | ) | (0.00 | ) (2) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 14.16 | $ | 11.86 | $ | 10.14 | $ | 9.39 | $ | 11.17 | $ | 9.10 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 19.54 | % (3) | 17.90 | % | 8.46 | % | (15.51 | %) | 23.96 | % | 5.63 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 5,185 | $ | 4,314 | $ | 4,071 | $ | 3,750 | $ | 4,433 | $ | 3,577 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 3.33 | % (4) | 4.06 | % | 4.88 | % | 3.45 | % | 3.94 | % | 3.56 | % | ||||||||||||
After Expense Reimbursement | 1.14 | % (4) | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.54 | %) (4) | 0.15 | % | 1.03 | % | 0.49 | % | 0.77 | % | 1.15 | % | ||||||||||||
Portfolio Turnover Rate | 66.44 | % (3) | 148.22 | % | 207.48 | % | 163.33 | % | 194.58 | % | 154.70 | % |
(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, 2021 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying Notes to Financial Statements.
62
Table of Contents
TCW Developing Markets Equity Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 11.85 | $ | 10.14 | $ | 9.39 | $ | 11.17 | $ | 9.10 | $ | 8.62 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.04 | ) | 0.02 | 0.10 | 0.06 | 0.07 | 0.10 | |||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.36 | 1.78 | 0.69 | (1.78 | ) | 2.09 | 0.38 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 2.32 | 1.80 | 0.79 | (1.72 | ) | 2.16 | 0.48 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.02 | ) | (0.09 | ) | (0.04 | ) | (0.06 | ) | (0.09 | ) | (0.00 | ) (2) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 14.15 | $ | 11.85 | $ | 10.14 | $ | 9.39 | $ | 11.17 | $ | 9.10 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 19.56 | % (3) | 17.80 | % | 8.46 | % | (15.51 | )% | 23.96 | % | 5.63 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 2,300 | $ | 1,861 | $ | 1,575 | $ | 1,468 | $ | 1,722 | $ | 1,364 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 4.16 | % (4) | 5.17 | % | 6.11 | % | 4.51 | % | 5.08 | % | 4.80 | % | ||||||||||||
After Expense Reimbursement | 1.21 | % (4) | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.61 | %) (4) | 0.16 | % | 1.03 | % | 0.49 | % | 0.77 | % | 1.15 | % | ||||||||||||
Portfolio Turnover Rate | 66.44 | % (3) | 148.22 | % | 207.48 | % | 163.33 | % | 194.58 | % | 154.70 | % |
(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, 2021 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying Notes to Financial Statements.
63
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 7.93 | $ | 8.33 | $ | 7.77 | $ | 8.54 | $ | 8.34 | $ | 7.67 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.39 | 0.46 | 0.43 | 0.55 | 0.55 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.25 | (0.46 | ) | 0.54 | (0.83 | ) | 0.09 | 0.52 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.42 | (0.07 | ) | 1.00 | (0.40 | ) | 0.64 | 1.07 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.20 | ) | (0.33 | ) | (0.44 | ) | (0.37 | ) | (0.44 | ) | (0.40 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 8.15 | $ | 7.93 | $ | 8.33 | $ | 7.77 | $ | 8.54 | $ | 8.34 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 5.30 | % (2) | (0.69 | %) | 13.13 | % | (4.85 | %) | 7.95 | % | 14.29 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 5,152,008 | $ | 5,877,348 | $ | 5,668,552 | $ | 4,365,456 | $ | 3,039,671 | $ | 2,574,798 | ||||||||||||
Ratio of Expenses to Average Net Assets | 0.83 | % (3) | 0.85 | % | 0.84 | % | 0.86 | % | 0.87 | % | 0.87 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.15 | % (3) | 4.95 | % | 5.62 | % | 5.33 | % | 6.56 | % | 6.95 | % | ||||||||||||
Portfolio Turnover Rate | 76.74 | % (2) | 135.46 | % | 136.47 | % | 149.50 | % | 212.16 | % | 214.73 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
64
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 10.23 | $ | 10.72 | $ | 10.00 | $ | 11.00 | $ | 10.75 | $ | 9.89 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.21 | 0.49 | 0.57 | 0.53 | 0.68 | 0.68 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.33 | (0.57 | ) | 0.69 | (1.08 | ) | 0.12 | 0.67 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.54 | (0.08 | ) | 1.26 | (0.55 | ) | 0.80 | 1.35 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.25 | ) | (0.41 | ) | (0.54 | ) | (0.45 | ) | (0.55 | ) | (0.49 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 10.52 | $ | 10.23 | $ | 10.72 | $ | 10.00 | $ | 11.00 | $ | 10.75 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 5.28 | % (2) | (0.69 | )% | 12.85 | % | (5.16 | )% | 7.67 | % | 13.98 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 422,297 | $ | 261,520 | $ | 320,492 | $ | 342,660 | $ | 510,877 | $ | 534,151 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.14 | % (3) | 1.14 | % | 1.14 | % | 1.16 | % | 1.15 | % | 1.15 | % | ||||||||||||
After Expense Reimbursement | 0.95 | % (3) | 0.98 | % | 1.05 | % | 1.10 | % | 1.13 | % | N/A | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.07 | % (3) | 4.82 | % | 5.41 | % | 5.03 | % | 6.30 | % | 6.71 | % | ||||||||||||
Portfolio Turnover Rate | 76.74 | % (2) | 135.46 | % | 136.47 | % | 149.50 | % | 212.16 | % | 214.73 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
65
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — Plan Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | March 2, 2020 (Commencement Through | |||||||
Net Asset Value per Share, Beginning of period | $ | 7.93 | $ | 8.34 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: |
| |||||||
Net Investment Income (1) | 0.18 | 0.26 | ||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.24 | (0.48 | ) | |||||
|
|
|
| |||||
Total from Investment Operations | 0.42 | (0.22 | ) | |||||
|
|
|
| |||||
Less Distributions: |
| |||||||
Distributions from Net Investment Income | (0.20 | ) | (0.19 | ) | ||||
|
|
|
| |||||
Net Asset Value per Share, End of period | $ | 8.15 | $ | 7.93 | ||||
|
|
|
| |||||
Total Return | 5.34 | % (2) | (2.59 | %) (3) | ||||
Ratios/Supplemental Data: |
| |||||||
Net assets, end of period (in thousands) | $ | 2,184,429 | $ | 489,106 | ||||
Ratio of Expenses to Average Net Assets: |
| |||||||
Before Expense Reimbursement | 0.81 | % (4) | 0.79 | % (4) | ||||
After Expense Reimbursement | 0.77 | % (4) | 0.77 | % (4) | ||||
Ratio of Net Investment Income to Average Net Assets | 4.34 | % (4) | 4.96 | % (4) | ||||
Portfolio Turnover Rate | 76.74 | % (2) | 135.46 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | For the period March 2, 2020 (Commencement of Operations) through October 31, 2020. |
(4) | Annualized. |
See accompanying Notes to Financial Statements.
66
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 8.57 | $ | 9.17 | $ | 8.14 | $ | 9.30 | $ | 9.13 | $ | 8.18 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.42 | 0.58 | 0.53 | 0.64 | 0.52 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.23 | (0.89 | ) | 0.57 | (1.19 | ) | (0.06 | ) | 0.43 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.40 | (0.47 | ) | 1.15 | (0.66 | ) | 0.58 | 0.95 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.09 | ) | (0.12 | ) | (0.23 | ) | (0.41 | ) | — | |||||||||||||
Distributions from Return of Capital | — | (0.04 | ) | — | (0.27 | ) | — | — | ||||||||||||||||
|
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|
|
|
|
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|
|
|
| |||||||||||||
Total Distributions | (0.09 | ) | (0.13 | ) | (0.12 | ) | (0.50 | ) | (0.41 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 8.88 | $ | 8.57 | $ | 9.17 | $ | 8.14 | $ | 9.30 | $ | 9.13 | ||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.67 | % (2) | (5.26 | %) | 14.26 | % | (7.74 | %) | 6.33 | % | 11.61 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 216,506 | $ | 192,679 | $ | 220,968 | $ | 264,754 | $ | 138,068 | $ | 97,650 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 0.94 | % (3) | 0.97 | % | 1.03 | % | 0.95 | % | 1.03 | % | 1.00 | % | ||||||||||||
After Expense Reimbursement | 0.85 | % (3) | 0.85 | % | 0.88 | % | N/A | 0.99 | % | 0.99 | % | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.77 | % (3) | 4.90 | % | 6.66 | % | 5.90 | % | 6.83 | % | 6.12 | % | ||||||||||||
Portfolio Turnover Rate | 73.28 | % (2) | 135.99 | % | 127.74 | % | 185.72 | % | 137.44 | % | 209.07 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
67
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 8.55 | $ | 9.15 | $ | 8.13 | $ | 9.29 | $ | 9.12 | $ | 8.17 | ||||||||||||
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|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.42 | 0.57 | 0.51 | 0.64 | 0.48 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.23 | (0.89 | ) | 0.57 | (1.17 | ) | (0.06 | ) | 0.47 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.40 | (0.47 | ) | 1.14 | (0.66 | ) | 0.58 | 0.95 | ||||||||||||||||
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| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.09 | ) | (0.12 | ) | (0.23 | ) | (0.41 | ) | — | |||||||||||||
Distributions from Return of Capital | — | (0.04 | ) | — | (0.27 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.09 | ) | (0.13 | ) | (0.12 | ) | (0.50 | ) | (0.41 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 8.86 | $ | 8.55 | $ | 9.15 | $ | 8.13 | $ | 9.29 | $ | 9.12 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 4.66 | % (2) | (5.28 | )% | 14.14 | % | (7.75 | )% | 6.33 | % | 11.63 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 34,210 | $ | 25,329 | $ | 28,011 | $ | 47,664 | $ | 34,807 | $ | 15,325 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.30 | % (3) | 1.35 | % | 1.40 | % | 1.32 | % | 1.35 | % | 1.31 | % | ||||||||||||
After Expense Reimbursement | 0.90 | % (3) | 0.90 | % | 0.92 | % | 0.99 | % | 0.99 | % | 0.99 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.69 | % (3) | 4.84 | % | 6.63 | % | 5.78 | % | 6.88 | % | 6.05 | % | ||||||||||||
Portfolio Turnover Rate | 73.28 | % (2) | 135.99 | % | 127.74 | % | 185.72 | % | 137.44 | % | 209.07 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 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 Multi-Asset Opportunities Fund
Financial Highlights — I Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 12.09 | $ | 11.31 | $ | 10.39 | $ | 11.70 | $ | 10.39 | $ | 9.63 | ||||||||||||
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|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.07 | 0.22 | 0.38 | 0.25 | 0.31 | 0.35 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.45 | 0.93 | 0.69 | (1.30 | ) | 1.38 | 0.65 | |||||||||||||||||
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| |||||||||||||
Total from Investment Operations | 1.52 | 1.15 | 1.07 | (1.05 | ) | 1.69 | 1.00 | |||||||||||||||||
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| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.18 | ) | (0.37 | ) | (0.15 | ) | (0.26 | ) | (0.38 | ) | (0.24 | ) | ||||||||||||
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| |||||||||||||
Net Asset Value per Share, End of period | $ | 13.43 | $ | 12.09 | $ | 11.31 | $ | 10.39 | $ | 11.70 | $ | 10.39 | ||||||||||||
|
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|
|
|
|
|
| |||||||||||||
Total Return | 12.63 | % (2) | 10.34 | % | 10.50 | % | (9.23 | %) | 17.05 | % | 10.75 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 87,867 | $ | 84,387 | $ | 87,430 | $ | 43,338 | $ | 42,041 | $ | 37,173 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.24 | % (3) | 1.28 | % | 1.31 | % | 1.34 | % | 1.54 | % | 1.57 | % | ||||||||||||
After Expense Reimbursement | 1.00 | % (3) | 1.00 | % | 1.02 | % | 1.23 | % | 1.23 | % | 1.23 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.00 | % (3) | 2.01 | % | 3.51 | % | 2.13 | % | 2.95 | % | 3.74 | % | ||||||||||||
Portfolio Turnover Rate | 70.83 | % (2) | 164.55 | % | 188.64 | % | 160.85 | % | 197.48 | % | 227.75 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 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 Multi-Asset Opportunities Fund
Financial Highlights — N Class (Unaudited)
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net Asset Value per Share, Beginning of period | $ | 12.01 | $ | 11.24 | $ | 10.35 | $ | 11.66 | $ | 10.35 | $ | 9.59 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||||||||||
Net Investment Income (1) | 0.05 | 0.20 | 0.28 | 0.26 | 0.32 | 0.36 | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.46 | 0.92 | 0.76 | (1.31 | ) | 1.37 | 0.64 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.51 | 1.12 | 1.04 | (1.05 | ) | 1.69 | 1.00 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions: |
| |||||||||||||||||||||||
Distributions from Net Investment Income | (0.16 | ) | (0.35 | ) | (0.15 | ) | (0.26 | ) | (0.38 | ) | (0.24 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value per Share, End of period | $ | 13.36 | $ | 12.01 | $ | 11.24 | $ | 10.35 | $ | 11.66 | $ | 10.35 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 12.57 | % (2) | 10.08 | % | 10.25 | % | (9.26 | )% | 17.10 | % | 10.78 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net Assets, End of period (in thousands) | $ | 8,460 | $ | 8,803 | $ | 11,784 | $ | 74,677 | $ | 40,064 | $ | 5,088 | ||||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||||||
Before Expense Reimbursement | 1.76 | % (3) | 1.80 | % | 1.65 | % | 1.67 | % | 1.96 | % | 2.15 | % | ||||||||||||
After Expense Reimbursement | 1.20 | % (3) | 1.20 | % | 1.21 | % | 1.23 | % | 1.23 | % | 1.23 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.79 | % (3) | 1.80 | % | 2.64 | % | 2.25 | % | 2.95 | % | 3.79 | % | ||||||||||||
Portfolio Turnover Rate | 70.83 | % (2) | 164.55 | % | 188.64 | % | 160.85 | % | 197.48 | % | 227.75 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the six months ended April 30, 2021 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying Notes to Financial Statements.
70
Table of Contents
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, 2020 to April 30, 2021 (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, 2020 | Ending Account Value April 30, 2021 | �� | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2020 to April 30, 2021) | |||||||||||
TCW Developing Markets Equity Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,195.40 | 1.14 | % | $ | 6.21 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.14 | 1.14 | % | 5.71 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,195.60 | 1.21 | % | $ | 6.59 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.79 | 1.21 | % | 6.06 | |||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,053.00 | 0.83 | % | $ | 4.22 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.68 | 0.83 | % | 4.16 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,052.80 | 0.95 | % | $ | 4.84 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.08 | 0.95 | % | 4.76 | |||||||||||
Plan Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,053.40 | 0.77 | % | $ | 3.92 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.00 | 0.77 | % | 3.86 |
71
Table of Contents
TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value November 1, 2020 | Ending Account Value April 30, 2021 | Annualized Expense Ratio | Expenses Paid During Period (November 1, 2020 to April 30, 2021) | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,046.70 | 0.85 | % | $ | 4.31 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.58 | 0.85 | % | 4.26 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,046.60 | 0.90 | % | $ | 4.57 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.33 | 0.90 | % | 4.51 | |||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,126.30 | 1.00 | % | $ | 5.27 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.84 | 1.00 | % | 5.01 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,125.70 | 1.20 | % | $ | 6.32 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.84 | 1.20 | % | 6.01 |
72
Table of Contents
Supplemental Information
Proxy Voting Guidelines
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board 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 NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.
73
Table of Contents
TCW Funds, Inc.
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street, Suite 1800
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, Suite 1800
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
Peter McMillan
Director
Victoria B. Rogers
Director
Marc I. Stern
Director
Andrew Tarica
Director
OFFICERS
David Lippman
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
Gladys Xiques
Chief Compliance Officer and Anti-Money Laundering Officer
Patrick W. Dennis
Vice President and Assistant Secretary
Lisa Eisen
Tax Officer
Eric W. Chan
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Artificial Intelligence Equity 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
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
FUNDsarINT0421
Table of Contents
Item 2. | Code of Ethics. |
Not required for this filing.
Item 3. | Audit Committee Financial Expert. |
Not required for this filing.
Item 4. | Principal Accountant Fees and Services. |
Not required for this filing.
Item 5. | Audit 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.
Table of Contents
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 1940 Act provide reasonable assurances that material information relating to the Registrant is made known to them by the appropriate persons as of a date within 90 days of the filing 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) |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) |
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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 B. Lippman | ||||
David B. Lippman | ||||
President and Chief Executive Officer | ||||
Date | June 30, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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 B. Lippman | ||||
David B. Lippman | ||||
President and Chief Executive Officer | ||||
Date | June 30, 2021 | |||
By (Signature and Title) | ||||
/s/ Richard M. Villa | ||||
Richard M. Villa | ||||
Treasurer and Principal Financial and Accounting Officer | ||||
Date | June 30, 2021 |