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: October 31, 2021
| 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”): |
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 Funds’ 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 Funds’ 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 Funds or contact your financial intermediary, if you invest though a financial intermediary, to inform the Funds 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.
TCW Funds, Inc.
Table of Contents
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| The Letter to Shareholders and/or Management Discussions contained in this Annual Report are the opinions of each Fund’s portfolio managers and are not the opinions of TCW Funds, Inc. or its Board of Directors. Various matters discussed in the Letter to Shareholders and/or Management Discussions constitute forward-looking statements within the meaning of the federal securities laws. Actual results and the timing of certain events could differ materially from those projected or contemplated by these forward-looking statements due to a number of factors, including general economic conditions, overall availability of securities for investment by a Fund, the level of volatility in the securities markets and in the share price of a Fund, and other risk factors discussed in the SEC filings of TCW Funds, Inc. The data presented in the Letter to Shareholders and/or Management Discussions represents past performance and cannot be used to predict future results. |
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To Our Valued Shareholders | | |
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| | David B. Lippman President, Chief Executive Officer and Director |
Dear Valued Investors,
I am pleased to present the 2021 annual report for the TCW Funds, Inc. covering the 12-month period ended October 31, 2021. I would like to express our appreciation for your continued investment in the TCW Funds as well as to welcome new shareholders to our fund family. As of October 31, 2021, the TCW Funds held total net assets of approximately $16.4 billion.
This report contains information and portfolio management discussions of our Equity Funds and the TCW Conservative Allocation Fund.
The U.S. Stock Market
U.S. stocks surged 42.9% (S&P 500 Total Return Index) to a record high during the one-year period ending 10/31/21. The U.S. Federal Reserve’s vast quantitative easing and asset purchases, coupled with massive fiscal stimulus, provided robust support to risk assets including stocks despite the COVID-19 Delta variant’s disruption to the process of reopening the global economy. Early in the year, the 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 US 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% and 6.7% (Quarter-over-Quarter), respectively, in the first and second quarters of the year. 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 approximately 50% in the first quarter and 87% in the second quarter (Credit Suisse, 5/21/21 and 8/20/21). At the same time, however, the U.S. Fed Chair Powell’s narrative
that the pick-up in inflation would prove “transitory” came under investor scrutiny, as multiple inflation gauges pointed to potentially persistent inflation. Indeed, in October both the headline (6.2%) and core CPI (4.6%) year-over-year figures hit their highest level in 30 years. Powell was forced to acknowledge that current inflationary pressures have been “larger and longer lasting than anticipated,” and following its November 2021 Federal Open Market Committee (FOMC) meeting, the Fed announced that it would begin to taper its monthly asset purchases. Thus, just three months after the 10-year U.S. Treasury Note yield had dipped to 1.17% due largely to Delta variant concerns, the bellwether rate surged as high as 1.70%.
Looking Ahead
Looking forward, supply chain bottlenecks, higher energy prices, and labor market wage pressures have underscored a real potential for higher-than-expected inflation in the near-to-medium term. At the same time, considerable uncertainty remains with respect to the U.S. and global economic growth outlook given the uncertain evolution of the COVID pandemic in the U.S. and abroad, despite vaccination progress. And after successive years of massive fiscal stimulus, including the recently enacted $1.2 trillion Infrastructure and Investment Jobs Act, we think that burgeoning federal debt and deficits, in combination with higher interest rates, will eventually present considerable headwinds to the equity market. With respect to the corporate earnings growth outlook, many companies have called out supply chain issues and input cost pressures, such that the consensus expectation for high single-digit earnings per share growth for U.S. stocks in 2022 — presently at 8% — remains subject to revision. We highlight the potential for a pick-up in market volatility and a period of protracted choppiness in the equity markets, as investors grapple with the Fed taper, inflationary pressures, continued supply chain issues, and the still uncertain growth trajectory as the global economy
1
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Letter to Shareholders (Continued) | | |
emerges from COVID. Against this backdrop, our equity portfolio managers and analysts continue to seek out those quality companies which possess resilience, strong balance sheets, and skilled management that will ultimately separate the winners from the losers during such a period of heightened uncertainty.
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 semi-annual report next year.
Sincerely,
David B. Lippman
President, Chief Executive Officer and Director
2
TCW Artificial Intelligence Equity Fund
Management Discussions
For the year ended October 31, 2021, the TCW Artificial Intelligence Equity Fund (the “Fund”) returned +36.5% while the Russell 3000 Growth Index returned +42.8% over the same period.
Strongest and Weakest Performers
Our two biggest stock contributors during the year were Alphabet and ASML Holding.
Alphabet performed very well in the period, reporting impressive earnings results in subsequent quarters, largely driven by an improving environment in digital advertising as well as strong revenues from its Search, YouTube, and Network segments. Management offered little in the way of forward commentary beyond cautioning about tougher comps in the back half of the year, but the outlook is bright. Google has significant exposure to travel in the reopening environment, it is better protected from changes in digital advertising privacy than peers, and it has two rising growth businesses that are reaching scale in YouTube Ads and Google Cloud.
The company is also working to integrate AI into its search engine, which in the past produced results using preset rules and algorithms, but now is working to incorporate deep learning features into the process. Alphabet uses an artificial intelligence neural network in its Google Translate technology in order to improve fluency and the accuracy of the tool. YouTube, Google Maps, and Gmail also use machine learning technology to improve functionality and user experience.
Alphabet’s self-driving, ride-hailing subsidiary company, Waymo, ramped up its testing during the period. The service has been tested in Phoenix and was just recently granted a permit to offer rides in San Francisco. As of now, the cars are operating from 10 p.m. to 6 a.m. and require a “safety driver” to oversee the ride. Waymo has recently begun mapping in New York City, where the company hopes to expand testing and ultimately offer the service in the future.
ASML Holding had a strong year as the company benefitted from strong semiconductor demand and tight supply. The company specializes in developing and producing semiconductor-manufacturing equipment. The semiconductor industry needs to increase production to satisfy long-term growth and is increasing its purchases from ASML.
Our two weakest stock contributors during the year were Alibaba Group and Baidu.
Both Alibaba and Baidu struggled as the Chinese government tightened regulations and levied penalties against many of its major corporations. In July, the government announced further regulations, specifically targeting the technology sector. The plan includes collecting information, listing problem areas for companies, and holding offenders legally responsible.
Investors also expressed concern that Chinese companies’ stocks, which trade on U.S. stock exchanges as American Depository Receipts (ADRs), may be delisted and only traded on Hong Kong’s stock exchange. The risk comes from both the U.S. and Chinese governments as tension between the countries has grown in recent years. Mounting pressure has come from U.S. regulators who have highlighted the potential for inaccurate financial statements from Chinese companies, as China doesn’t adhere to the same auditing standards that public U.S. companies must follow. The U.S. regulators have called on China to allow examinations of its companies, or risk them being delisted within the next three years.
As one might expect, many Chinese companies’ stock prices have been negatively impacted by these actions and announcements, and Alibaba and Baidu were among those affected.
3
TCW Artificial Intelligence Equity Fund
Management Discussions (Continued)
AI Outlook and Recent Developments
We believe AI will be the foundational technology of the information age. The leap from computing built on the foundation of humans telling computers how to act, to computing built on the foundation of computers learning how to act, has significant implications for every industry.
In our view, there are many structural drivers that are accelerating the need for AI. These include:
| • | | Trend in demographics towards an aging global population |
| • | | Need for greater energy efficiency |
| • | | Drive for greater urbanization as demand for convenience increases |
| • | | Efforts to increase human capital productivity |
The broad applicability of AI also leads us to believe that it is a paradigm-shifting technology for the global economy and a driver behind improving productivity. AI very well could end the period of stagnant productivity growth in the U.S. We believe that AI-technology-driven improvements to productivity could, similar to the 1990’s, drive corporations to invest in more capital and labor intensive projects, accelerating growth, improving profitability, and expanding equity valuations. We believe the trend towards AI-enhanced products is accelerating and we highlight recent developments as evidence:
| • | | Zoox Unveils Autonomous Robotaxi. Zoox, which is owned by Amazon, introduced its first electric robotaxi. The vehicle is driverless and comes without a steering wheel, includes airbags for four passengers that face each other on two benches in a carriage-style format, and travels up to 75 miles per hour. The vehicle can also run up to 16 hours on a single charge. The intention is to first offer the robotaxis in a commercial service for human passengers, with the potential to offer last-mile services for packages down the line. Annie Palmer. CNBC. Amazon Zoox Unveils Self-Driving Robotaxi. December 14, 2020 (https://www.cnbc.com/2020/12/14/amazons-self-driving-company-zoox-unveils-autonomous-robotaxi.html) |
| • | | Cruise and GM Partner with Microsoft for Self-Driving Vehicles. Cruise and General Motors announced that they will team with Microsoft to commercialize self-driving vehicles via a long-term partnership. Cruise will use Microsoft’s Azure platform, while Microsoft (along with General Motors, Honda, and others) will invest over $2 billion of equity into Cruise. GM is aiming to launch 30 new electric vehicles globally by 2025. Automotive World. Cruise and GM Team Up with Microsoft to Commercialize Self-Driving Vehicles. January 19, 2021 (https://www.automotiveworld.com/news-releases/cruise-and-gm-team-up-with-microsoft-to-commercialize-self-driving-vehicles/) |
| • | | Forbes Showcases Top 50 Most Promising U.S. Companies. Forbes highlighted 50 companies in the U.S. that are worth watching from an artificial intelligence development perspective. These businesses are privately-held and utilize machine learning, natural language processing, or computer vision and were compiled through a submission process. Companies were identified in partnership with Sequoia Capital and Meritech Capital. Alan Ohnsman and Kenrick Cai. Forbes. AI 50 Companies to Watch 2021. April 26, 2021 (https://www.forbes.com/sites/alanohnsman/2021/04/26/ai-50-americas-most-promising-artificial-intelligence-companies/?sh=3d5247a177cf) |
| • | | AI Could Help to Mitigate the Risk of Future Pandemics. In 2016, a woman in rural Thailand noticed a cow frothing at the mouth and quickly reported it; by doing so, authorities were able to isolate 3 cows which had been infected with foot-and-mouth disease, and stop any further infection. Some researchers |
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TCW Artificial Intelligence Equity Fund
Management Discussions (Continued)
| | are convinced that by creating a system for reporting similar cases and incorporating AI, we will be able to avoid future outbreaks. Participatory One Health Disease Direction is an example of a company hoping to do just that. Located in Thailand, the company is working on developing AI that will expand monitoring, improve data analysis, and enhance vaccine development. Other countries across the globe are seeing countless similar companies emerging, which may help stop outbreaks early. James Paton and Randy Thanthong-Knight. Bloomberg. The Next Pandemic Could Be Averted With AI, Apps and Big Data. July 15, 2021 (https://blinks.bloomberg.com/news/stories/QW9PU2DWRGG6) |
| • | | Waymo, a Google Spinoff, Starts Giving Rides in San Francisco. San Francisco’s streets are known for being tight, busy with pedestrians, bicyclists, and trolleys, and lacking space to park. Alphabet’s Waymo, is hoping to make getting around the city a little easier as it has begun testing its self-driving technology. Similar to other rideshare companies, the service allows a “driver” to hail a car and get a ride to a destination of their choosing, although currently the rider must sit in the driver’s seat, ready to act in case of emergency. Waymo is currently only accepting a handful of riders, but the company hopes to be fully available to everyone in the next couple years. Paresh Dave. Reuters. Google self-driving spinoff Waymo begins testing with public in San Francisco. August 24, 2021 (https://www.reuters.com/technology/google-self-driving-spinoff-waymo-begins-testing-with-public-san-francisco-2021-08-24/) |
We continuously survey the artificial intelligence investment landscape by drawing upon our deep technical knowledge and fundamental research efforts. Our research effort seeks the most attractive opportunities in the AI ecosystem. We appreciate your confidence in and support of the TCW Global Artificial Intelligence Equity Fund.
5
TCW Artificial Intelligence Equity Fund
Management Discussions (Continued)
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| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr
Return | | | 3 Yr
Return | | | 5 Yr
Return | | | 10 Yr
Return | | | Inception
to Date | |
TCW Artificial Intelligence Equity Fund | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: 09/01/2017) | | | 36.48 | % | | | 30.75 | % | | | — | | | | — | | | | 24.57 | % |
Class N (Inception: 09/01/2017) | | | 36.34 | % | | | 30.65 | % | | | — | | | | — | | | | 24.47 | % |
Russell 3000 Growth Index | | | 42.81 | % | | | 28.66 | % | | | — | | | | — | | | | 24.25 | % |
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
6
TCW Conservative Allocation Fund
Management Discussions
For the year ended October 31, 2021, the TCW Conservative Allocation Fund (the “Fund”) posted a gain of 15.92% for the I Class and 15.64% for the N Class shares. The performance of the Fund’s classes varies because of differing expenses. The Fund’s blended benchmark of 40% S&P 500 Index and 60% Bloomberg U.S. Aggregate Bond Index returned 15.36% over the same time period.
The Fund posted positive returns over the past year with positive contributions coming from U.S. Equities. The strongest returns came from the TCW Relative Value Large Cap Fund (10.7% allocation and 51% return) and the TCW New America Premier Equities Fund (8.4% allocation and 40% return). The equity portion of the fund was up over 40% for the past 12 months, slightly lagging the S&P 500 Index return of 42%. At the asset allocation level, the decision to overweight large cap growth and underweight large cap value equities helped relative performance. Within Fixed Income, the strongest returns came from the MetWest High Yield Bond Fund (1% allocation and 7.7% return) and the TCW Emerging Market Bond Fund (1% allocation and 5% return). Both funds outperformed the Bloomberg U.S. Aggregate Bond Index return of -1.0%.
As of the end of October, the allocation for the Fund was 35% equities, 9% alternatives and 56% fixed income. The Fund had a slight underweight to both equities and fixed income and an overweight allocation to alternatives relative to its blended index. The baseline allocation is 40% Equities and 60% Fixed Income. Over the past 12 months, the Fund had slightly decreased the allocation to equities, specifically large growth funds. Within Equities, the allocation to Large and Mid Value funds were increased to give the Fund a more balanced allocation between growth and value within equities. In Fixed Income, the allocation to shorter duration US Fixed Income funds were increased along with initiating an allocation to a commodities fund.
U.S. stocks surged 7.0% to a record high in the month of October, bringing their year-to-date advance to 24.0% (S&P 500 Total Return Index). Moves by U.S. Senate moderate Democrats to force a scaling back of the Biden Administration’s Build Back Better reconciliation bill from $3.5 trillion to $1.75 trillion proved supportive of the equity market given the elimination of most planned corporate and capital gains tax hikes. At the same time, macroeconomic data releases were generally positive, including the September employment report, which showed a sharp drop in the unemployment rate from 5.2% to 4.8%. Encouragingly, average hourly earnings were up 4.6% (Year-over-Year), and weekly initial unemployment claims fell mid-month to a post-pandemic low of 290k. While U.S. Fed Chair Powell signaled a November announcement of asset purchase “tapering,” equity market investors appear to have embraced his narrative that tapering will be an orderly process through the middle of next year prior to any interest rate hikes. So although inflation data have been running hotter than expected — Core CPI was up 4.0% (Year-over-Year) in September — there has been just a modest uptick in the market’s inflation expectations, with the U.S. Treasury Inflation-Protected Securities’ (TIPS) 10-year breakeven rate rising from 2.37% to 2.53% over the course of the month.
Following a 6.7% growth rate in the second quarter, the first estimate of 3Q GDP growth came in at a 2.0% annualized rate, the softest pace of the pandemic recovery period. The deceleration was driven by a slowdown in personal consumption (+1.6% versus +12% prior). Meanwhile, the Fed’s closely watched gauge of inflation, the core PCE index, notched a 4.5% annualized growth rate. While this is still elevated, it has come down from an over 6% jump in the prior period.
On the labor front, payrolls reported in early September showed just 194,000 jobs were added, far below expectations for a +500k gain. The unemployment rate dipped 0.4% to 4.8%, though the participation rate
7
TCW Conservative Allocation Fund
Management Discussions (Continued)
also decreased to 61.6%, showing little sign that the expiration of enhanced unemployment benefits spurred workers to re-enter the labor force (many economists believe that a substantial number of Americans have permanently left the job market due to the pandemic). In the bond market, sovereign yield curves experienced considerable flattening late in the month as central banks globally have either removed accommodative policies or signaled that this would be imminent (the most notable movements came in the U.K., Australia and Canada).
In the U.S., the yield on the 30-Year Treasury dropped below 2% for the first time in a month, and the 5-30 Year gap moved to as little as 75 basis points — a level last seen in March 2020. Meanwhile, the yield on the 20-Year Treasury was just 4 bps lower, leading to an inverted curve for 20s/30s. In contrast, short/intermediate yields were higher.
Returns were mixed in the fixed income market. The Bloomberg U.S. Aggregate Index was roughly flat on a total and excess return basis, with securitized sectors down modestly while corporate credit posted positive returns. Meanwhile, high yield experienced its first month of negative returns in 2021 with a 0.2% loss in October, though excess returns over duration-matched Treasuries came to +14 bps. Investment grade credit spreads were largely range-bound as volatility remains historically low, and yields were modestly higher, though the sector gained 0.2% overall in October due to lower 30-Year Treasury yields. Areas that have benefitted from the economy “reopening” such as airlines and lodging were the best performers for the month, while banks and tobacco lagged.
Looking forward, it will be critical to monitor the persistence of what is certainly an elevated inflation dynamic at present. Even though the market shook off a very weak third-quarter GDP print of 2.0% (down from 6.1% Quarter-over-Quarter in 2Q), incremental data releases which point to a weaker economic growth outlook could indeed stoke stagflation concerns. And while supply chain bottlenecks, higher energy prices, and labor market wage pressures have appeared manageable to this point, should they worsen, the narrative associated with corporate earnings reports and forward guidance may indeed begin to undercut consensus expectations for earnings growth next year, which presently stands at a reasonably attractive level of around 8% (with the forward market P/E at 20 times). We continue to anchor to our constructive outlook for corporate earnings growth while at the same time cautioning that the risks to the outlook are building given the prospect of Fed tightening, supply-chain bottlenecks, elevated inflation, and slowing economic growth. The Fund allocation remains defensively positioned given historically tight spreads and abundant risks, with ample levels of liquidity to respond to potential volatility. Duration positioning is shorter than the Index given relatively low Treasury yields and an expectation for intermediate and longer rates to move modestly higher, with short rates anchored at least until the latter half of 2022. Corporate credit positioning is underweight that of the Index, with current holdings focused on high conviction, high quality names and defensive sectors like communications and non-cyclicals, while cyclical sectors represent a relative underweight.
8
TCW Conservative Allocation Fund
Management Discussions (Continued)
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| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr
Return | | | 3 Yr
Return | | | 5 Yr
Return | | | 10 Yr
Return | | | Inception
to Date | |
TCW Conservative Allocation Fund | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: 11/16/2006) | | | 15.92 | % | | | 11.48 | % | | | 8.25 | % | | | 7.01 | % | | | 6.09 | % |
Class N (Inception: 11/16/2006) | | | 15.64 | % | | | 11.17 | % | | | 7.88 | % | | | 6.58 | % | | | 5.81 | % |
40% S&P 500 Index/60% Bloomberg U.S. Aggregate Bond Index | | | 15.36 | % | | | 12.19 | % | | | 9.50 | % | | | 8.34 | % | | | 6.96 | % |
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
9
TCW Global Real Estate Fund
Management Discussions
For the year ended October 31, 2021, the TCW Global Real Estate Fund (the “Fund”) generated returns of 42.32% and 42.10% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the S&P Global REIT Index, had a return of 45.37% over the same period.
On an attribution basis, the Fund’s underperformance relative to its benchmark during the period was predominantly driven by sector allocation as well as stock selection. The Fund’s largest sector underweight was in Retail REITs (average weight of 1.72% and up 3.23% for the Fund vs. average weight of 16.43% and up 65.73% for the index), which detracted from performance. From a relative standpoint, the Fund’s largest sector overweight was in Mortgage REITs (average weight of 12.67% and up 75.33% for the Fund vs. average weight of 0.00% for the index), which benefitted performance. From a stock selection perspective, positive contributors included Chatham Lodging Trust (CLDT) and Iron Mountain (IRM). Conversely, notable detractors from performance included Americold Realty Trust (COLD) and Alexander and Baldwin Call Options (ALEX Calls) which we sold as a hedge against our long position in ALEX.
U.S. stocks advanced 42.89% for the 12 months ending in October 2021 (S&P 500 Total Return Index). The reopening of the global economy from the COVID-19 pandemic has been a positive driving factor in markets, despite some uncertainty around the Delta variant causing new spikes in infected cases in certain geographies. Macroeconomic data has also generally been supportive, and although inflation data has been running hotter than expected, investors seem to have embraced the U.S. Fed’s narrative that tapering will be an orderly process through the middle of next year prior to any interest rate hikes.
Global REIT indices outperformed the broader markets (as measured by the MSCI World Index), gaining 45.36% through October 31, 2020 compared to 41.08% for the MSCI World Index. Drivers of the outperformance may include the pronounced underperformance in previous years, low interest rates, above average inflation, and the potential for increased tax rates for tax paying entities (which REITs are shielded from). Moving forward, there is still much uncertainty with respect to the longer-lasting impacts of the pandemic. For example, the office sub-sector is an industry that has historically been saddled with relatively high maintenance capital expenditure requirements in addition to high tenant improvement expenditures and leasing costs. Couple these overhangs with a significant change in consumer preference to work from home, and what will undoubtedly be a long period of future technological improvement in telecommuting and virtual meetings, and it becomes very risky to deploy capital in this space. We believe that there are other potentially disrupted areas of the real estate market. While there are counterbalancing forces which may sustain demand in certain sectors/geographies, real estate seems to be more prone to disruption today than it ever has been in our recent memory.
That said, our strategy for navigating the current environment remains largely unchanged. We source most of our holdings from two separate pools. The first is in underappreciated, undervalued companies that could benefit from a change in sentiment. The issues facing these businesses are typically transitory and the discount is largely unfounded when viewed on a longer time horizon. The second set is in the quality franchises which exhibit high barriers to entry and sustainably generate strong cash flows. These companies generally also have an ability to invest capital at high rates of return and typically will compound capital at a pace that exceeds that of their peers. While in prior years the portfolio was more heavily weighted towards the second set of high quality companies, we have found more compelling opportunities this year in the first group of “value” businesses. In a prior year’s letter we mentioned that we would not be taking risks by owning lower-quality businesses at lower valuations because we believed that risk was not
10
TCW Global Real Estate Fund
Management Discussions (Continued)
appropriately priced at the time. This year, as we navigated through the pandemic, we continued to cycle out of some of our more fully valued “quality” holdings into more misunderstood value names at very deep discounts. We believe the disruption caused by the pandemic remains pronounced and that the dispersion in company valuations is still very high. This should continue to be a great opportunity for active stock selection.
| | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr
Return | | | 3 Yr
Return | | | 5 Yr
Return | | | 10 Yr
Return | | | Inception
to Date | |
TCW Global Real Estate Fund | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: 12/01/2014) | | | 42.32 | % | | | 21.03 | % | | | 12.93 | % | | | — | | | | 9.14 | % |
Class N (Inception: 12/01/2014) | | | 42.10 | % | | | 20.83 | % | | | 12.80 | % | | | — | | | | 9.04 | % |
S&P Global REIT Index | | | 45.37 | % | | | 11.74 | % | | | 8.41 | % | | | — | | | | 7.06 | % |
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
11
TCW New America Premier Equities Fund
Management Discussions
For the fiscal year that ended October 31, 2021, the TCW New America Premier Equities Fund (the “Fund”) returned 40.46% and 40.07% on the I Class and N Class shares. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell 1000 Index, returned 43.51% over the same period.
The Fund’s performance benefited from investments in Constellation Software Inc., Microsoft Corporation, Dye & Durham Ltd., MSCI Inc., and IHS Markit Ltd. The Fund’s performance was negatively impacted by investments in PayPal Holdings, Inc., Clarivate PLC, Cricut, Inc., Pinterest, Inc., and Ortho Clinical Diagnostics Holdings PLC.
As we have indicated in the past we eschew a reliance on macroeconomic forecasts and projections of the future direction of markets — our view is that these factors are unknowable. We therefore focus on what we think is knowable. We believe that a careful assessment of investment opportunities at the security level will provide us, in some cases, with a high probability view of the future free cash flows of a business. Risk-adjusted cash flow stream is a key determinant of the future returns of an investment and therefore a key determinant of the portfolio’s future returns. We believe that we have made good decisions in this respect and that the portfolio of companies is built to weather most market environments.
Investment Philosophy
The Fund seeks to outperform the broad U.S. indices in both rising and falling markets with less risk and volatility. We seek to accomplish this objective by investing in a concentrated portfolio of businesses that carefully manage their environmental and social resources and that employ best in class corporate governance practices. We invest in businesses that have high barriers to entry, are stable, generate substantial free cash flow and are managed by prudent leaders.
Risk control: Our primary objective, as stewards of your capital, is to control risk while seeking attractive returns. We control risk in a unique manner; initially we apply our proprietary ESG quantitative framework to identify better managed businesses that have lower quantifiable and unquantifiable risks. Subsequently we hone our efforts on those businesses that we believe operate in stable industries with attractive industry structures, businesses that produce products that are critical to their customers, and businesses that we believe are led by proven, appropriately incentivized leaders. We endeavor to further control valuation risk by purchasing securities at attractive prices relative to the current free cash flow generation of the businesses. We believe that businesses that fit our profile produce fairly stable cash flow streams and are less prone to macroeconomic fluctuations, competitive pressures and valuation risks.
Consistency: It is also our objective to deliver a consistently positive outcome. We would view outsized outperformance in one year and poor performance in the subsequent year as a poor outcome for our clients. Our bottom-up investment process is focused on selecting undervalued businesses that we believe should perform well in most market environments and hold up well in negative periods. We believe consistency in approach and consistency in outcome gives us the best chance of minimizing a left-tail outcome in any given year. It is our view that if we can consistently deliver above average risk-adjusted performance over a long period of time the outcome likely would be outperformance relative to our peers over the full period. That is our goal.
Environmental, Social, Governance Analysis: Traditional fundamental analysis does not capture risks associated with managing environmental resources nor does it assess the performance of businesses from the perspective of resource efficiency. Traditional analysis does not typically assess the risks associated with
12
TCW New America Premier Equities Fund
Management Discussions (Continued)
a heterogeneous workforce nor does it assess the competence, quality and engagement level of the Board of Directors. Our investment framework not only pays close attention to these issues, we quantify, score, and rank companies and exclude businesses based on these risk factors. While those risks are not quantified through traditional financial analysis, we have found a significant correlation between companies that manage their resources prudently and businesses that sport strong financial metrics. Businesses that meet our rigorous ESG performance requirements typically have higher free cash flow yields, higher total yields, higher margins and lower levels of financial leverage.
Focus on Dominant, Predictable Businesses with High Barriers to Entry: In the long run the investment performance of a portfolio is inextricably linked to the underlying performance of the earnings and cash flows of the businesses comprising the portfolio. We believe one of the greatest risks in investing is valuing a business based on an erroneous view of the future free cash flows of the business. Such a circumstance results in an investor typically overpaying for a business and therefore generating a poor return on the investment.
In fast-growing businesses or in industries that are undergoing rapid changes it is extraordinarily difficult and often dangerous to make an investment in a business when the long-term cash generation potential of the enterprise has a wide spectrum of outcomes. We seek to avoid companies and industries that are undergoing rapid changes.
What we do seek, however, are stable businesses that have dominant market positions, and whose long-term cash flows we believe can be predicted reasonably well. The qualitative characteristics that we seek, including attractive industry structures, pricing power and dominant market positions, make us confident in our forecast of the future cash flows of the businesses and therefore provide greater confidence that our valuation of the business is reasonably accurate. The famed value investor Benjamin Graham once said, “In the short run, the market is a voting machine but in the long run, it is a weighing machine.” Our view is that the market weighs cash flows and in order to consistently purchase a security for less than what it is worth, one should have high confidence in the future free cash flows of a business.
Thank you for joining us as fellow shareholders in the TCW New America Premier Equities Fund. We will continue to work hard to justify your confidence in us.
13
TCW New America Premier Equities Fund
Management Discussions (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr
Return | | | 3 Yr
Return | | | 5 Yr
Return | | | 10 Yr
Return | | | Inception
to Date | |
TCW New America Premier Equities Fund | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: 02/01/2016) | | | 40.46 | % | | | 26.00 | % | | | 25.08 | % | | | — | | | | 23.96 | % |
Class N (Inception: 02/01/2016) | | | 40.07 | % | | | 25.70 | % | | | 24.91 | % | | | — | | | | 23.81 | % |
Russell 1000 Index | | | 43.51 | % | | | 22.01 | % | | | 19.16 | % | | | — | | | | 18.76 | % |
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
14
TCW Relative Value Dividend Appreciation Fund
Management Discussions
For the year ended October 31, 2021, the TCW Relative Value Dividend Appreciation Fund (the “Fund”) posted a return of 51.22% and 50.90% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell 1000 Value Index, returned 43.76% over the same period.
Market Outlook
The Federal Reserve, as expected, announced that it intends to begin its taper of the $120 billion bond purchase program ($80 billion of Treasury securities and $40 billion of agency mortgage-backed securities) which has been in effect since the onset of the pandemic in March 2020. The reduction will begin this November at a rate of $15 billion ($10 billion of Treasuries and $5 billion of agency mortgage-backed). The pace is not “set in stone” as the decisions for mid-November and mid-December were the only ones formally announced. However, the guidance states that “similar reductions in the pace of net asset purchases will likely be appropriate each month” save for a significant change in the economic outlook. Unless the economy suffers a setback, expectations are the program will be fully wound down by mid-2022. Fed Fund futures are still pricing one or two 25 basis points (bps) hikes in the second half of 2022 but the bond market vigilantes got a lot quieter after the Federal Open Market Committee (FOMC) meeting and Powell’s press conference bolstered by European Central Bank (ECB) President Christine Laggard’s dovish comments and the Bank of England’s’ decision to hold rates steady. Mr. Powell stated that the Fed would be “very transparent” and will be prepared for any outcome, adding that the central bank’s policy will adapt accordingly and that it is ready to speed up or slow down the taper. The Fed’s goal is maximum employment and price stability. Mr. Powell estimates that the economy will reach the former by the middle of 2022. At present, approximately five million jobs are still missing as a result of the pandemic, but this has been difficult to interpret as the labor market is tight with rising wages and businesses having difficulty hiring. In addition to supply chain problems and shortages, signs of higher inflation abound due in part to increased pricing power, wage increases (4%+ year-over-year), along with increased transportation costs. The Core Personal Consumption Expenditure (PCE) Index came in at a 3.6% annual rate yet the monthly rate of 0.2% annualizes at 2.4% while employment costs (ECI) rose at record pace (+3.7% year-over-year) in September. October’s Consumer Price Index (CPI) reflected a 6.2% year-over-year gain, the highest level in 30 years. Inflation is serious as it impacts cost of goods sold. Wage increases, on the other hand, can have a positive effect on consumer confidence and increased purchasing power. While wage inflation will need to be absorbed through productivity enhancements and/or price increases, higher wages historically have translated to higher consumer confidence and purchasing power. Additionally, consumers, on average, have nearly $2 trillion in excess savings that could be spent. S&P 500 operating margins improved the last four times average hourly earnings accelerated. Upon exiting an economic downturn, both wages and corporate earnings can rise with the duration of margin expansion historically ranging from 15 to 90 months.
The U.S. economy slowed in 3Q21 from the robust pace set in the first half of the year with the preliminary report for GDP coming in at 2.0% quarter-over-quarter (less than consensus estimates of 2.6%) led by an over 6% gain in consumer spending. Trade was the biggest detraction. The automobile sector was a notable drag knocking off 2.7 points from the figure due to a shortage of parts, not demand. The confluence of factors including the Delta variant, chip shortages, and supply chain bottlenecks also detracted from growth. The economy faces supply chain bottlenecks at key West Coast ports, but the White House has taken action to keep these ports open 24/7 and fines have been levied for unloaded containers
15
TCW Relative Value Dividend Appreciation Fund
Management Discussions (Continued)
which is starting to alleviate the problem. The Atlanta Fed GDPNow forecast for 4Q21 GDP is over 8% (Street consensus at 5%) due to the rebuilding of inventories and increased motor vehicles and parts sales and this should almost certainly spill over into 2022. Per Credit Suisse, every 1% increase in nominal GDP translates to a 2-3% gain in S&P 500 revenues and margin improvement as greater sales diminish the percent of costs. Positive earnings revisions can be a trend change that lasts 2-3 years. Finally, the odds of a recession (per NY Fed) over the next twelve months remain less than 10% and ~20% over the next 2-3 years.
3Q21 earnings are coming in much better than expected. With almost all S&P 500 companies reporting, per Fundstrat, most are exceeding revenue and 80% are exceeding earnings expectations. Company profits in aggregate are on pace for 32% year-over-year growth in 3Q versus expectations of 27% at the quarter’s onset and year-over-year revenues are up over 14%. 4Q21 estimates are increasing. Calendar year 2021 earnings per share (EPS) growth estimates have jumped from 22% at the start of the year to 55% today. Despite growth’s outperformance in October, Tech+ lagged both Financials and Cyclical earnings growth, and Information Technology earning’s growth faces much more difficult comparisons for the remainder of the year. Per Credit Suisse, growth and Tech+ stocks appear overvalued while the “rest of market” are the cheapest. On average, over the past 10 years, the S&P 500 Growth Index has traded at 2.6 times price-to-earnings (P/E) points above the market. As of November 1, for 2022 estimates, the Growth Index trades at a 5.8 times premium (S&P 500 Growth: 26.1 times, S&P 500: 20.3 times). Historically, Tech+ has traded at 2.3 times P/E points above the market. Today, it trades at a 6.3 times premium (Tech+: 26.6 times, S&P 500: 20.3 times). Financials appear the most attractively valued, trading at a -6.6 times discount. Earnings estimates have surged higher all year. According to Cornerstone Macro, 90% of industry earnings are above pre-COVID levels.
Investor fund flows follow earnings and earnings growth and we expect value to outperform. We believe the U.S. may be in the early stages of a super value cycle, and we are watching closely. We believe the recent gain in growth versus value stocks has been purely on multiple expansion and is not a reflection of higher earnings power. Information Technology stocks, specifically software and other members of the high price-to-earnings multiple cadre of growth stocks, have benefited from the decline in interest rates. All other things being equal, lower interest rates aid growth stocks (as well as interest sensitive stocks like Real Estate and Utilities) because typically the bulk of their earnings are in the future. While we are big believers in the nascent value super cycle, it is never a straight line. Third quarter cyclical earnings followed by stronger revisions and easier comparisons for the rest of 2021, even given the impact of the Delta variant, should demonstrate robust cyclical strength tilting investor attention back to value. For example, the U.S. Manufacturing Purchasing Managers Index (PMI) continues to rise with some street models not indicating a decline until 2Q22.
We believe value will return to favor as the positive Comprehensive Capital Analysis and Review (CCAR) results have led to increased buybacks and dividend growth for the banks. Additionally, 4Q21 S&P 500 estimates for cyclical companies (i.e. Consumer Discretionary ex-Internet Retail, Energy, Industrials, and Materials) are expected to grow earnings per share at multiples of the rate of non-cyclicals. Further, we believe value is poised for multiple years of outperformance over growth similar to the results post the 1970, 1975, 1982, 1991, and 2000 recessions.
The fourth quarter for U.S. markets is seasonally the strongest with the S&P up on average 4.5% over the last 30 years. Also boding well, holiday spending is projected to shatter previous records with the National
16
TCW Relative Value Dividend Appreciation Fund
Management Discussions (Continued)
Retail Federation forecasting year-over-year growth of 8.5%-10.5%. A correction before the end of the calendar year has historical precedence but is likely to be less severe given the stimulus backdrop. Former NY Fed President Dudley stated that the last time the Fed started to taper in 2013 it created a “taper tantrum” as officials had no prior experience with winding down asset purchase programs. Officials and investors now have experience which should provide some confidence and perhaps less volatility with the onset of the taper.
Per Barron’s (12/28/20), the stock market (S&P 500) has fared considerably well (at a 16.8% annualized rate) when the U.S. 10-Year Treasury yield climbs from sub-3% levels. From the recent low of 0.5% on August 6, 2020, the 10-Year yield has risen to 1.6% as of October 31. Additionally, the stock market has moved up 68% of the time when 10-Year yields rose from an initial level below 3%. The massive global monetary and fiscal stimulus programs could be the exact drivers to upend the “growth versus value” cycle. The current dynamics of 1) extreme two standard deviation valuation disparities between growth and value, 2) the beginning of a new economic cycle post the 1Q-2Q20 recession, 3) the new pro-growth administration, 4) the most concentrated Russell 1000 Growth Index ever and one of the most concentrated S&P 500 Indices, and 5) the unprecedented fiscal and monetary stimulus, all should help continue to drive value and Relative Value Dividend Appreciation (RVDA) performance. The RVDA two-year annualized projected consensus earnings per share growth rate is notably higher than the Russell 1000 Value while trading at a considerable discount based on the next 12 months’ price-to-earnings ratios; consequently there is a lot of earnings power in the portfolio. We believe the seeds of great opportunity are being sown today and thank you for your continued confidence in our time-tested disciplined philosophy, process, and team.
Fund Review
Over the course of the one-year period ending October 31, 2021, the Fund’s top ten holdings by average weight outperformed the portfolio and its benchmark index returning 59.9%, on average, led by JPMorgan Chase, Johnson Controls, General Electric, Chevron, and MetLife, each with 70%+ returns. Led by the aforementioned Johnson Controls and General Electric along with nVent and Textron the Fund’s Industrials names were the best relative performers returning 69.6% versus the group gain of 43.5%. Freeport-McMoRan’s strong return led to the outperformance in Materials where the portfolio’s names gained 64.7% — far outpacing their peers’ rise of 38.0%, while its Utilities names outperformed 25.4% versus 11.4%. The portfolio‘s Financials names rose 82.01% versus 74.3% led by Blackstone, MetLife, and Ameriprise, while also benefiting from stock selection in Information Technology and Consumer Discretionary led by Seagate Technology and Dick’s Sporting Goods. On the downside, the portfolio’s Energy stocks returned an admirable 75.3% but did not keep pace with the group’s soaring 112.5% gain over the one-year period. To a much lesser degree, the portfolio’s Communication Services lost value, returning 21.1% versus 26.0% with AT&T largely responsible, while PepsiCo and Conagra were the biggest detractors in Consumer Staples. Other notable detractors included Novartis, Gilead, and IBM. With respect to sector weightings, the portfolio benefited noticeably due to the underweight in Consumer Staples and overweight in Energy.
17
TCW Relative Value Dividend Appreciation Fund
Management Discussions (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr
Return | | | 3 Yr
Return | | | 5 Yr
Return | | | 10 Yr
Return | | | Inception
to Date | | | Inception
Index | |
TCW Relative Value Dividend Appreciation Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: 11/01/2004) | | | 51.22 | % | | | 15.38 | % | | | 11.44 | % | | | 12.13 | % | | | 8.13 | % | | | 8.65 | % |
Class N (Inception: 09/19/1986) | | | 50.90 | % | | | 15.14 | % | | | 11.20 | % | | | 11.86 | % | | | 9.35 | % | | | 10.43 | % |
Russell 1000 Value Index | | | 43.76 | % | | | 13.90 | % | | | 12.39 | % | | | 12.85 | % | | | | | | | | |
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
18
TCW Relative Value Large Cap Fund
Management Discussions
For the year ended October 31, 2021, the TCW Relative Value Large Cap Fund (the “Fund”) posted a return of 50.84% and 50.56% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell 1000 Value Index, returned 43.76% over the same period.
Market Outlook
The Federal Reserve, as expected, announced that it intends to begin its taper of the $120 billion bond purchase program ($80 billion of Treasury securities and $40 billion of agency mortgage-backed securities) which has been in effect since the onset of the pandemic in March 2020. The reduction will begin this November at a rate of $15 billion ($10 billion of Treasuries and $5 billion of agency mortgage-backed). The pace is not “set in stone” as the decisions for mid-November and mid-December were the only ones formally announced. However, the guidance states that “similar reductions in the pace of net asset purchases will likely be appropriate each month” save for a significant change in the economic outlook. Unless the economy suffers a setback, expectations are the program will be fully wound down by mid-2022. Fed Fund futures are still pricing one or two 25 basis points (bps) hikes in the second half of 2022 but the bond market vigilantes got a lot quieter after the Federal Open Market Committee (FOMC) meeting and Powell’s press conference bolstered by European Central Bank (ECB) President Christine Laggard’s dovish comments and the Bank of England’s’ decision to hold rates steady. Mr. Powell stated that the Fed would be “very transparent” and will be prepared for any outcome, adding that the central bank’s policy will adapt accordingly and that it is ready to speed up or slow down the taper. The Fed’s goal is maximum employment and price stability. Mr. Powell estimates that the economy will reach the former by the middle of 2022. At present, approximately five million jobs are still missing as a result of the pandemic, but this has been difficult to interpret as the labor market is tight with rising wages and businesses having difficulty hiring. In addition to supply chain problems and shortages, signs of higher inflation abound due in part to increased pricing power, wage increases (4%+ year-over-year), along with increased transportation costs. The Core Personal Consumption Expenditure (PCE) Index came in at a 3.6% annual rate yet the monthly rate of 0.2% annualizes at 2.4% while employment costs (ECI) rose at record pace (+3.7% year-over-year) in September. October’s Consumer Price Index (CPI) reflected a 6.2% year-over-year gain, the highest level in 30 years. Inflation is serious as it impacts cost of goods sold. Wage increases, on the other hand, can have a positive effect on consumer confidence and increased purchasing power. While wage inflation will need to be absorbed through productivity enhancements and/or price increases, higher wages historically have translated to higher consumer confidence and purchasing power. Additionally, consumers, on average, have nearly $2 trillion in excess savings that could be spent. S&P 500 operating margins improved the last four times average hourly earnings accelerated. Upon exiting an economic downturn, both wages and corporate earnings can rise with the duration of margin expansion historically ranging from 15 to 90 months.
The U.S. economy slowed in 3Q21 from the robust pace set in the first half of the year with the preliminary report for GDP coming in at 2.0% quarter-over-quarter (less than consensus estimates of 2.6%) led by an over 6% gain in consumer spending. Trade was the biggest detraction. The automobile sector was a notable drag knocking off 2.7 points from the figure due to a shortage of parts, not demand. The confluence of factors including the Delta variant, chip shortages, and supply chain bottlenecks also detracted from growth. The economy faces supply chain bottlenecks at key West Coast ports, but the White House has taken action to keep these ports open 24/7 and fines have been levied for unloaded containers
19
TCW Relative Value Large Cap Fund
Management Discussions (Continued)
which is starting to alleviate the problem. The Atlanta Fed GDPNow forecast for 4Q21 GDP is over 8% (Street consensus at 5%) due to the rebuilding of inventories and increased motor vehicles and parts sales and this should almost certainly spill over into 2022. Per Credit Suisse, every 1% increase in nominal GDP translates to a 2-3% gain in S&P 500 revenues and margin improvement as greater sales diminish the percent of costs. Positive earnings revisions can be a trend change that lasts 2-3 years. Finally, the odds of a recession (per NY Fed) over the next twelve months remain less than 10% and ~20% over the next 2-3 years.
3Q21 earnings are coming in much better than expected. With almost all S&P 500 companies reporting, per Fundstrat, most are exceeding revenue and 80% are exceeding earnings expectations. Company profits in aggregate are on pace for 32% year-over-year growth in 3Q versus expectations of 27% at the quarter’s onset and year-over-year revenues are up over 14%. 4Q21 estimates are increasing. Calendar year 2021 earnings per share (EPS) growth estimates have jumped from 22% at the start of the year to 55% today. Despite growth’s outperformance in October, Tech+ lagged both Financials and Cyclical earnings growth, and Information Technology earning’s growth faces much more difficult comparisons for the remainder of the year. Per Credit Suisse, growth and Tech+ stocks appear overvalued while the “rest of market” are the cheapest. On average, over the past 10 years, the S&P 500 Growth Index has traded at 2.6 times price-to-earnings (P/E) points above the market. As of November 1, for 2022 estimates, the Growth Index trades at a 5.8 times premium (S&P 500 Growth: 26.1 times, S&P 500: 20.3 times). Historically, Tech+ has traded at 2.3 times P/E points above the market. Today, it trades at a 6.3 times premium (Tech+: 26.6 times, S&P 500: 20.3 times). Financials appear the most attractively valued, trading at a -6.6 times discount. Earnings estimates have surged higher all year. According to Cornerstone Macro, 90% of industry earnings are above pre-COVID levels.
Investor fund flows follow earnings and earnings growth and we expect value to outperform. We believe the U.S. may be in the early stages of a super value cycle, and we are watching closely. We believe the recent gain in growth versus value stocks has been purely on multiple expansion and is not a reflection of higher earnings power. Information Technology stocks, specifically software and other members of the high price-to-earnings multiple cadre of growth stocks, have benefited from the decline in interest rates. All other things being equal, lower interest rates aid growth stocks (as well as interest sensitive stocks like Real Estate and Utilities) because typically the bulk of their earnings are in the future. While we are big believers in the nascent value super cycle, it is never a straight line. Third quarter cyclical earnings followed by stronger revisions and easier comparisons for the rest of 2021, even given the impact of the Delta variant, should demonstrate robust cyclical strength tilting investor attention back to value. For example, the U.S. Manufacturing Purchasing Managers Index (PMI) continues to rise with some street models not indicating a decline until 2Q22.
We believe value will return to favor as the positive Comprehensive Capital Analysis and Review (CCAR) results have led to increased buybacks and dividend growth for the banks. Additionally, 4Q21 S&P 500 estimates for cyclical companies (i.e. Consumer Discretionary ex-Internet Retail, Energy, Industrials, and Materials) are expected to grow earnings per share at multiples of the rate of non-cyclicals. Further, we believe value is poised for multiple years of outperformance over growth similar to the results post the 1970, 1975, 1982, 1991, and 2000 recessions.
The fourth quarter for U.S. markets is seasonally the strongest with the S&P up on average 4.5% over the last 30 years. Also boding well, holiday spending is projected to shatter previous records with the National
20
TCW Relative Value Large Cap Fund
Management Discussions (Continued)
Retail Federation forecasting year-over-year growth of 8.5%-10.5%. A correction before the end of the calendar year has historical precedence but is likely to be less severe given the stimulus backdrop. Former NY Fed President Dudley stated that the last time the Fed started to taper in 2013 it created a “taper tantrum” as officials had no prior experience with winding down asset purchase programs. Officials and investors now have experience which should provide some confidence and perhaps less volatility with the onset of the taper.
Per Barron’s (12/28/20), the stock market (S&P 500) has fared considerably well (at a 16.8% annualized rate) when the U.S. 10-Year Treasury yield climbs from sub-3% levels. From the recent low of 0.5% on August 6, 2020, the 10-Year yield has risen to 1.6% as of October 31. Additionally, the stock market has moved up 68% of the time when 10-Year yields rose from an initial level below 3%. The massive global monetary and fiscal stimulus programs could be the exact drivers to upend the “growth versus value” cycle. The current dynamics of 1) extreme two standard deviation valuation disparities between growth and value, 2) the beginning of a new economic cycle post the 1Q-2Q20 recession, 3) the new pro-growth administration, 4) the most concentrated Russell 1000 Growth Index ever and one of the most concentrated S&P 500 Indices, and 5) the unprecedented fiscal and monetary stimulus, all should help continue to drive value and Relative Value Large Cap (RVLC) performance. The RVLC two-year annualized projected consensus earnings per share growth rate is notably higher than the Russell 1000 Value while trading at a considerable discount based on the next 12 months’ price-to-earnings ratios; consequently there is a lot of earnings power in the portfolio. We believe the seeds of great opportunity are being sown today and thank you for your continued confidence in our time-tested disciplined philosophy, process, and team.
Fund Review
Over the course of the one-year period ending October 31, 2021, the Fund’s top ten holdings by average weight outperformed the portfolio and its benchmark index returning 60.4%, on average, led by Freeport-McMoRan, JPMorgan Chase, General Electric, and Johnson Controls. Led by Freeport-McMoRan’s strong gain, the Fund’s Materials names were the best relative performers, returning 94.4% — far outpacing the group gain of 38.0%. Textron, Johnson Controls, and General Electric led to the outperformance in Industrials where the portfolio’s names gained 69.9% versus their peers’ rise of 43.5%, while Dick’s Sporting Goods, Target, and Darden Restaurants in Consumer Discretionary and ViacomCBS and Discovery in Communication Services highlighted in their respective sectors. The portfolio also outperformed with its Financials, Real Estate, Information Technology, and Health Care holdings led by Blackstone, Jones Lang LaSalle, onsemi (formerly ON Semiconductor), and Molina Healthcare, respectively. On the downside, the portfolio’s Energy stocks returned an admirable 71.1% but did not keep pace with the group’s soaring 112.5% gain. To a much lesser degree, the portfolio’s Consumer Staples holdings lost value, returning 8.7% versus 18.6% with Conagra largely responsible. Other notable detractors included Fiserv, Centene, and AT&T. The portfolio’s relative sector weights detracted due to the underweights in Financials and Energy as well as the overweight in Communication Services, while the underweights in the traditionally defensive Consumer Staples and Utilities were beneficial but were more than offset by stock selection.
21
TCW Relative Value Large Cap Fund
Management Discussions (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr
Return | | | 3 Yr
Return | | | 5 Yr
Return | | | 10 Yr
Return | | | Inception
to Date | | | Inception
Index | |
TCW Relative Value Large Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: 01/02/2004) | | | 50.84 | % | | | 14.89 | % | | | 11.83 | % | | | 12.17 | % | | | 8.33 | % | | | 8.66 | % |
Class N (Inception: 01/02/1998) | | | 50.56 | % | | | 14.68 | % | | | 11.60 | % | | | 11.92 | % | | | 7.09 | % | | | 7.85 | % |
Russell 1000 Value Index | | | 43.76 | % | | | 13.90 | % | | | 12.39 | % | | | 12.85 | % | | | | | | | | |
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
22
TCW Relative Value Mid Cap Fund
Management Discussions
For the year ended October 31, 2021, the TCW Relative Value Mid Cap Fund (the “Fund”) posted a return of 57.90% and 57.78% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell Midcap Value Index, returned 48.60% over the same period.
Market Outlook
The Federal Reserve, as expected, announced that it intends to begin its taper of the $120 billion bond purchase program ($80 billion of Treasury securities and $40 billion of agency mortgage-backed securities) which has been in effect since the onset of the pandemic in March 2020. The reduction will begin this November at a rate of $15 billion ($10 billion of Treasuries and $5 billion of agency mortgage-backed). The pace is not “set in stone” as the decisions for mid-November and mid-December were the only ones formally announced. However, the guidance states that “similar reductions in the pace of net asset purchases will likely be appropriate each month” save for a significant change in the economic outlook. Unless the economy suffers a setback, expectations are the program will be fully wound down by mid-2022. Fed Fund futures are still pricing one or two 25 basis points (bps) hikes in the second half of 2022 but the bond market vigilantes got a lot quieter after the Federal Open Market Committee (FOMC) meeting and Powell’s press conference bolstered by European Central Bank (ECB) President Christine Laggard’s dovish comments and the Bank of England’s’ decision to hold rates steady. Mr. Powell stated that the Fed would be “very transparent” and will be prepared for any outcome adding that the central bank’s policy will adapt accordingly and that it is ready to speed up or slow down the taper. The Fed’s goal is maximum employment and price stability. Mr. Powell estimates that the economy will reach the former by the middle of 2022. At present, approximately five million jobs are still missing as a result of the pandemic, but this has been difficult to interpret as the labor market is tight with rising wages and businesses having difficulty hiring. In addition to supply chain problems and shortages, signs of higher inflation abound due in part to increased pricing power, wage increases (4%+ year-over-year), along with increased transportation costs. The Core Personal Consumption Expenditure (PCE) Index came in at a 3.6% annual rate yet the monthly rate of 0.2% annualizes at 2.4% while employment costs (ECI) rose at record pace (+3.7% year-over-year) in September. October’s Consumer Price Index (CPI) reflected a 6.2% year-over-year gain, the highest level in 30 years. Inflation is serious as it impacts cost of goods sold. Wage increases, on the other hand, can have a positive effect on consumer confidence and increased purchasing power. While wage inflation will need to be absorbed through productivity enhancements and/or price increases, higher wages historically have translated to higher consumer confidence and purchasing power. Additionally, consumers, on average, have nearly $2 trillion in excess savings that could be spent. S&P 500 operating margins improved the last four times average hourly earnings accelerated. Upon exiting an economic downturn, both wages and corporate earnings can rise with the duration of margin expansion historically ranging from 15 to 90 months.
The U.S. economy slowed in 3Q21 from the robust pace set in the first half of the year with the preliminary report for GDP coming in at 2.0% quarter-over-quarter (less than consensus estimates of 2.6%) led by an over 6% gain in consumer spending. Trade was the biggest detraction. The automobile sector was a notable drag knocking off 2.7 points from the figure due to a shortage of parts, not demand. The confluence of factors including the Delta variant, chip shortages, and supply chain bottlenecks also detracted from growth. The economy faces supply chain bottlenecks at key West Coast ports, but the White House has taken action to keep these ports open 24/7 and fines have been levied for unloaded containers
23
TCW Relative Value Mid Cap Fund
Management Discussions (Continued)
which is starting to alleviate the problem. The Atlanta Fed GDPNow forecast for 4Q21 GDP is over 8% (Street consensus at 5%) due to the rebuilding of inventories and increased motor vehicles and parts sales and this should almost certainly spill over into 2022. Per Credit Suisse, every 1% increase in nominal GDP translates to a 2-3% gain in S&P 500 revenues and margin improvement as greater sales diminish the percent of costs. Positive earnings revisions can be a trend change that lasts 2-3 years. Finally, the odds of a recession (per NY Fed) over the next twelve months remain less than 10% and ~20% over the next 2-3 years.
3Q21 earnings are coming in much better than expected. With almost all S&P 500 companies reporting, per Fundstrat, most are exceeding revenue and 80% are exceeding earnings expectations. Company profits in aggregate are on pace for 32% year-over-year growth in 3Q versus expectations of 27% at the quarter’s onset and year-over-year revenues are up over 14%. 4Q21 estimates are increasing. Calendar year 2021 earnings per share (EPS) growth estimates have jumped from 22% at the start of the year to 55% today. Despite growth’s outperformance in October, Tech+ lagged both Financials and Cyclical earnings growth, and Information Technology earning’s growth faces much more difficult comparisons for the remainder of the year. Per Credit Suisse, growth and Tech+ stocks appear overvalued while the “rest of market” are the cheapest. On average, over the past 10 years, the S&P 500 Growth Index has traded at 2.6 times price-to-earnings (P/E) points above the market. As of November 1, for 2022 estimates, the Growth Index trades at a 5.8 times premium (S&P 500 Growth: 26.1 times, S&P 500: 20.3 times). Historically, Tech+ has traded at 2.3 times P/E points above the market. Today, it trades at a 6.3 times premium (Tech+: 26.6 times, S&P 500: 20.3 times). Financials appear the most attractively valued, trading at a -6.6 times discount. Earnings estimates have surged higher all year. According to Cornerstone Macro, 90% of industry earnings are above pre-COVID levels.
Investor fund flows follow earnings and earnings growth and we expect value to outperform. We believe the U.S. may be in the early stages of a super value cycle, and we are watching closely. We believe the recent gain in growth versus value stocks has been purely on multiple expansion and is not a reflection of higher earnings power. Information Technology stocks, specifically software and other members of the high price-to-earnings multiple cadre of growth stocks, have benefited from the decline in interest rates. All other things being equal, lower interest rates aid growth stocks (as well as interest sensitive stocks like Real Estate and Utilities) because typically the bulk of their earnings are in the future. While we are big believers in the nascent value super cycle, it is never a straight line. Third quarter cyclical earnings followed by stronger revisions and easier comparisons for the rest of 2021, even given the impact of the Delta variant, should demonstrate robust cyclical strength tilting investor attention back to value. For example, the U.S. Manufacturing Purchasing Managers Index (PMI) continues to rise with some street models not indicating a decline until 2Q22.
We believe value will return to favor as the positive Comprehensive Capital Analysis and Review (CCAR) results have led to increased buybacks and dividend growth for the banks. Additionally, 4Q21 S&P 500 estimates for cyclical companies (i.e. Consumer Discretionary ex-Internet Retail, Energy, Industrials, and Materials) are expected to grow earnings per share at multiples of the rate of non-cyclicals. Further, we believe value is poised for multiple years of outperformance over growth similar to the results post the 1970, 1975, 1982, 1991, and 2000 recessions.
The fourth quarter for U.S. markets is seasonally the strongest with the S&P up on average 4.5% over the last 30 years. Also boding well, holiday spending is projected to shatter previous records with the National
24
TCW Relative Value Mid Cap Fund
Management Discussions (Continued)
Retail Federation forecasting year-over-year growth of 8.5%-10.5%. A correction before the end of the calendar year has historical precedence but is likely to be less severe given the stimulus backdrop. Former NY Fed President Dudley stated that the last time the Fed started to taper in 2013 it created a “taper tantrum” as officials had no prior experience with winding down asset purchase programs. Officials and investors now have experience which should provide some confidence and perhaps less volatility with the onset of the taper.
Per Barron’s (12/28/20), the stock market (S&P 500) has fared considerably well (at a 16.8% annualized rate) when the U.S. 10-Year Treasury yield climbs from sub-3% levels. From the recent low of 0.5% on August 6, 2020, the 10-Year yield has risen to 1.6% as of October 31. Additionally, the stock market has moved up 68% of the time when 10-Year yields rose from an initial level below 3%. The massive global monetary and fiscal stimulus programs could be the exact drivers to upend the “growth versus value” cycle. The current dynamics of 1) extreme two standard deviation valuation disparities between growth and value, 2) the beginning of a new economic cycle post the 1Q-2Q20 recession, 3) the new pro-growth administration, 4) the most concentrated Russell Midcap Growth Index since the end of 2000, and 5) the unprecedented fiscal and monetary stimulus, all should help continue to drive value and Relative Value Mid Cap (RVMC) performance. The RVMC two-year annualized projected consensus earnings per share growth rate is notably higher than the Russell 1000 Value while trading at a considerable discount based on the next 12 months’ price-to-earnings ratios; consequently there is a lot of earnings power in the portfolio. We believe the seeds of great opportunity are being sown today and thank you for your continued confidence in our time-tested disciplined philosophy, process, and team.
Fund Review
Over the course of the one-year period ending October 31, 2021, the Fund’s top ten holdings by average weight outperformed the portfolio and its benchmark index returning 63.8%, on average, led by Freeport-McMoRan, Textron, and Popular. Led by strong gains from Manitowoc and Textron, the Fund’s Industrials names were the best relative performers, returning 66.1% — outpacing the group gain of 44.5%. Freeport-McMoRan highlighted in Materials where the portfolio’s names gained 76.9% versus their peers’ rise of 53.7%, while Popular, Innovative Industrial Properties, Discovery, and Acadia Healthcare led in their respective Financials, Real Estate, Communication Services, and Health Care sectors generating noticeable relative gains. On the downside, the portfolio’s Energy stocks returned an admirable 91.4% but did not keep pace with the group’s soaring 128.8% gain, the best performing sector in the Russell Midcap Value Index. The portfolio’s Information Technology holdings lost value, returning 34.8% versus 47.9% with Flex and TTM Technologies largely responsible, while Conagra detracted in Consumer Staples. Other notable detractors included health care company Centene and utility Sempra Energy. The portfolio’s relative sector weights were beneficial due largely to the underweight in Utilities.
25
TCW Relative Value Mid Cap Fund
Management Discussions (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr
Return | | | 3 Yr
Return | | | 5 Yr
Return | | | 10 Yr
Return | | | Inception
to Date | | | Inception
Index | |
TCW Relative Value Mid Cap | | | | | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: 11/01/1996) | | | 57.90 | % | | | 14.41 | % | | | 12.80 | % | | | 11.98 | % | | | 10.52 | %(2) | | | 10.82 | % |
Class N (Inception: 11/01/2000) | | | 57.78 | % | | | 14.32 | % | | | 12.67 | % | | | 11.78 | % | | | 8.46 | % | | | 10.32 | % |
Russell Midcap Value Index | | | 48.60 | % | | | 15.03 | % | | | 12.30 | % | | | 13.18 | % | | | | | | | | |
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
| (2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity 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 predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
26
TCW Select Equities Fund
Management Discussions
For the year ended October 31, 2021, the TCW Select Equities Fund (the “Fund”) returned +40.32% and +40.06% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, Russell 1000 Growth Index, returned +43.21% over the same period.
Economic data largely supported the market advance in Fiscal 2021 as the economic backdrop was one of improving consumer confidence, a world awash in liquidity and fiscal stimulus. Consumer net worth increased 10% in 2020 and now sits at an all-time high of $130 trillion. Employment data have improved over the past year and non-farm employment has increased by ~18 million jobs since bottoming in April 2020, but certain swaths of the economy are finding it challenging to fill job openings, even after government-funded unemployment benefits expired. Wage pressures continue to build given strong demand and a dearth of U.S. workers (the Labor Department’s most recent Job Openings and Labor Turnover Survey reported a record high of ~11 million job openings). The COVID-19 pandemic (and variant strains) remain a headwind for a global economy eager to reopen in earnest. Meanwhile, the Fed continues its accommodative stance and until the Fed’s recent announcement that it was going to taper its asset purchases in December 2021, we had the easiest monetary policy in history (other than wartime). Recent inflation readings remain elevated and we believe higher prices for goods and services are not “transitory.” Investor focus now turns to how quickly the global supply chain issues can be rectified and how the U.S. economy will digest eventual rate hikes by the Fed.
Net of expenses, the Fund underperformed for the year primarily as a result of negative security selection effects. Our biggest stock detractors relative to the benchmark came from the information technology and real estate sectors. Shares of Splunk Inc. (SPLK) moved lower after a series of mixed earnings reports over the past year. Deal slippage, management execution and SPLK’s business model transition (a shift away from perpetual licenses to cloud subscriptions) has been frustrating and we have placed shares under review. In the real estate sector, shares of American Tower Corporation (AMT) moved higher over the past year but failed to keep up with the broader market rally. While AMT stock has underperformed over the past year due to timing issues related to carrier spending, the impacts of Sprint-related churn, and industry rationalization in India, we believe AMT’s long-term thesis remains intact. We believe secular drivers such as increased data traffic domestically, increased wireless penetration globally, and the upcoming tailwind from 5G should result in promising organic growth for the foreseeable future and we remain positive on shares.
Our biggest stock contributors during the year came from the information technology and communication services sectors. Shares of ASML Holding N.V. (ASML) rallied after solid earnings reports. Given the current semiconductor chip shortage, ASML’s customers appear to be looking for possible ways to improve production, and have been purchasing higher margin software upgrades in an effort to boost the productivity of their tools. Though supply chain constraints remain a concern for the broader semiconductor industry, we believe ASML’s demand curve remains healthy and we believe the company benefits from the exponential increase in data generation via new semiconductor devices and applications. We remain positive on ASML shares. Shares of Alphabet Inc. (GOOG) moved higher after several quarters of strong earnings results. We believe the pandemic has pulled forward many irrefutable secular trends, including the “shift to digital” advertising, and we believe GOOG’s addressable market continues to expand beyond its core search business (e.g. Internet TV, movie streaming, cloud, Waymo) and remain positive on shares given the strength of GOOG’s business model and the company’s historical ability to expand and enter new markets.
27
TCW Select Equities Fund
Management Discussions (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr
Return | | | 3 Yr
Return | | | 5 Yr
Return | | | 10 Yr
Return | | | Inception
to Date | | | Inception
Index | |
TCW Select Equities Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: 07/01/1991) | | | 40.32 | % | | | 30.98 | % | | | 25.79 | % | | | 18.20 | % | | | 12.02 | %(2) | | | 11.30 | % |
Class N (Inception: 03/01/1999) | | | 40.06 | % | | | 30.70 | % | | | 25.52 | % | | | 17.91 | % | | | 9.28 | % | | | 8.39 | % |
Russell 1000 Growth Index | | | 43.21 | % | | | 29.41 | % | | | 25.49 | % | | | 19.42 | % | | | | | | | | |
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
| (2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity 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 predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
28
TCW Artificial Intelligence Equity Fund
Schedule of Investments | October 31, 2021 |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
COMMON STOCK — 95.2% of Net Assets | |
|
| Agricultural & Farm Machinery — 1.6% | |
| | |
Deere & Co. | | | 882 | | | $ | 301,917 | |
| | | | | | | | |
|
| Apparel, Accessories & Luxury Goods — 2.1% | |
| | |
Lululemon Athletica, Inc. (1) | | | 867 | | | | 404,031 | |
| | | | | | | | |
|
| Application Software — 10.9% | |
| | |
Adobe, Inc. (1) | | | 924 | | | | 600,933 | |
| | |
Autodesk, Inc. (1) | | | 642 | | | | 203,906 | |
| | |
Bill.Com Holdings, Inc. (1) | | | 974 | | | | 286,658 | |
| | |
Confluent, Inc. (1) | | | 2,772 | | | | 188,357 | |
| | |
Salesforce.com, Inc. (1) | | | 1,405 | | | | 421,064 | |
| | |
Trade Desk, Inc. (The) (1) | | | 4,760 | | | | 356,572 | |
| | | | | | | | |
| |
| | | | 2,057,490 | |
| | | | | | | | |
|
| Automobile Manufacturers — 2.5% | |
| | |
Tesla Inc. (1) | | | 432 | | | | 481,248 | |
| | | | | | | | |
|
| Biotechnology — 0.5% | |
| | |
SpringWorks Therapeutics, Inc. (1) | | | 1,320 | | | | 88,519 | |
| | | | | | | | |
|
| Cable & Satellite — 1.6% | |
| | |
Comcast Corp. | | | 6,028 | | | | 310,020 | |
| | | | | | | | |
|
| Communications Equipment — 11.5% | |
| | |
Arista Networks, Inc. (1) | | | 1,015 | | | | 415,835 | |
| | |
Cisco Systems, Inc. | | | 8,583 | | | | 480,391 | |
| | |
Motorola Solutions, Inc. | | | 3,190 | | | | 793,002 | |
| | |
Palo Alto Networks, Inc. (1) | | | 975 | | | | 496,363 | |
| | | | | | | | |
| |
| | | | 2,185,591 | |
| | | | | | | | |
|
| Data Processing & Outsourced Services — 5.5% | |
| | |
Mastercard, Inc. | | | 996 | | | | 334,178 | |
| | |
PayPal Holdings, Inc. (1) | | | 1,361 | | | | 316,555 | |
| | |
Square, Inc. (1) | | | 1,557 | | | | 396,256 | |
| | | | | | | | |
| |
| | | | 1,046,989 | |
| | | | | | | | |
|
| Electronic Equipment & Instruments — 1.0% | |
| | |
Trimble, Inc. (1) | | | 2,126 | | | | 185,749 | |
| | | | | | | | |
|
| Health Care Equipment — 0.4% | |
| | |
STAAR Surgical Co. (1) | | | 635 | | | | 75,222 | |
| | | | | | | | |
|
| Home Entertainment Software — 1.5% | |
| | |
Roku, Inc. (1) | | | 904 | | | | 275,630 | |
| | | | | | | | |
|
| Interactive Home Entertainment — 3.6% | |
| | |
Sea, Ltd. (ADR) (Singapore) (1) | | | 1,960 | | | | 673,397 | |
| | | | | | | | |
|
| Interactive Media & Services — 0.9% | |
| | |
Snap, Inc. (1) | | | 3,120 | | | | 164,050 | |
| | | | | | | | |
|
| Internet & Direct Marketing Retail — 2.8% | |
| | |
Amazon.com, Inc. (1) | | | 159 | | | | 536,216 | |
| | | | | | | | |
|
| Internet Services & Infrastructure — 13.3% | |
| | |
Alphabet, Inc. (1) | | | 353 | | | | 1,045,205 | |
| | |
Meta Platforms, Inc. (1) | | | 1,657 | | | | 536,156 | |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| Internet Services & Infrastructure (Continued) | |
| | |
Okta, Inc. (1) | | | 877 | | | $ | 216,777 | |
| | |
Snowflake, Inc. (1) | | | 1,048 | | | | 370,824 | |
| | |
Twilio, Inc. (1) | | | 614 | | | | 178,895 | |
| | |
ZoomInfo Technologies, Inc. (1) | | | 2,647 | | | | 177,931 | |
| | | | | | | | |
| |
| | | | 2,525,788 | |
| | | | | | | | |
|
| IT Consulting & Other Services — 3.0% | |
| | |
EPAM Systems, Inc. (1) | | | 836 | | | | 562,829 | |
| | | | | | | | |
|
| Life Sciences Tools & Services — 1.0% | |
| | |
NeoGenomics, Inc. (1) | | | 4,125 | | | | 189,750 | |
| | | | | | | | |
|
| Semiconductor Equipment — 4.7% | |
| | |
ASML Holding NV (Netherlands) | | | 671 | | | | 545,443 | |
| | |
Lam Research Corp. | | | 604 | | | | 340,396 | |
| | | | | | | | |
| |
| | | | 885,839 | |
| | | | | | | | |
|
| Semiconductors — 9.1% | |
| | |
Intel Corp. | | | 7,186 | | | | 352,114 | |
| | |
Micron Technology, Inc. (1) | | | 3,833 | | | | 264,860 | |
| | |
NVIDIA Corp. | | | 2,103 | | | | 537,674 | |
| | |
NXP Semiconductors NV (Netherlands) | | | 1,301 | | | | 261,319 | |
| | |
QUALCOMM, Inc. | | | 2,345 | | | | 311,979 | |
| | | | | | | | |
| |
| | | | 1,727,946 | |
| | | | | | | | |
|
| Specialized REITs — 5.1% | |
| | |
American Tower Corp. | | | 1,687 | | | | 475,683 | |
| | |
SBA Communications Corp. | | | 1,430 | | | | 493,822 | |
| | | | | | | | |
| |
| | | | 969,505 | |
| | | | | | | | |
|
| Systems Software — 10.6% | |
| | |
Crowdstrike Holdings, Inc. (1) | | | 1,419 | | | | 399,874 | |
| | |
Microsoft Corp. | | | 2,052 | | | | 680,484 | |
| | |
ServiceNow, Inc. (1) | | | 905 | | | | 631,473 | |
| | |
Zscaler, Inc. (1) | | | 900 | | | | 286,974 | |
| | | | | | | | |
| |
| | | | 1,998,805 | |
| | | | | | | | |
|
| Technology Hardware, Storage & Peripherals — 2.0% | |
| | |
Apple, Inc. | | | 2,518 | | | | 377,196 | |
| | | | | | | | |
|
Total Common Stock | |
| |
(Cost: $12,040,120) | | | | 18,023,727 | |
| | | | | | | | |
|
MONEY MARKET INVESTMENTS — 4.8% | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | | | 909,641 | | | | 909,641 | |
| | | | | | | | |
|
Total Money Market Investments | |
| |
(Cost: $909,641) | | | | 909,641 | |
| | | | | | | | |
| | |
Total Investments (100.0%) | | | | | | | | |
| |
(Cost: $12,949,761) | | | | 18,933,368 | |
| |
Excess of Other Assets over Liabilities (0.0%) | | | | 2,035 | |
| | | | | | | | |
| |
Net Assets (100.0%) | | | $ | 18,935,403 | |
| | | | | | | | |
See accompanying Notes to Financial Statements.
29
TCW Artificial Intelligence Equity Fund
Schedule of Investments (Continued)
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 October 31, 2021. |
See accompanying Notes to Financial Statements.
30
TCW Artificial Intelligence Equity Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Agricultural & Farm Machinery | | | 1.6 | % |
Apparel, Accessories & Luxury Goods | | | 2.1 | |
Application Software | | | 10.9 | |
Automobile Manufacturers | | | 2.5 | |
Biotechnology | | | 0.5 | |
Cable & Satellite | | | 1.6 | |
Communications Equipment | | | 11.5 | |
Data Processing & Outsourced Services | | | 5.5 | |
Electronic Equipment & Instruments | | | 1.0 | |
Health Care Equipment | | | 0.4 | |
Home Entertainment Software | | | 1.5 | |
Interactive Home Entertainment | | | 3.6 | |
Interactive Media & Services | | | 0.9 | |
Internet & Direct Marketing Retail | | | 2.8 | |
Internet Services & Infrastructure | | | 13.3 | |
IT Consulting & Other Services | | | 3.0 | |
Life Sciences Tools & Services | | | 1.0 | |
Semiconductor Equipment | | | 4.7 | |
Semiconductors | | | 9.1 | |
Specialized REITs | | | 5.1 | |
Systems Software | | | 10.6 | |
Technology Hardware, Storage & Peripherals | | | 2.0 | |
Money Market Investments | | | 4.8 | |
| | | | |
Total | | | 100.0 | % |
| | | | |
See accompanying Notes to Financial Statements.
31
TCW Artificial Intelligence Equity Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | $ | 301,917 | | | $ | — | | | $ | — | | | $ | 301,917 | |
Apparel, Accessories & Luxury Goods | | | 404,031 | | | | — | | | | — | | | | 404,031 | |
Application Software | | | 2,057,490 | | | | — | | | | — | | | | 2,057,490 | |
Automobile Manufacturers | | | 481,248 | | | | — | | | | — | | | | 481,248 | |
Biotechnology | | | 88,519 | | | | — | | | | — | | | | 88,519 | |
Cable & Satellite | | | 310,020 | | | | — | | | | — | | | | 310,020 | |
Communications Equipment | | | 2,185,591 | | | | — | | | | — | | | | 2,185,591 | |
Data Processing & Outsourced Services | | | 1,046,989 | | | | — | | | | — | | | | 1,046,989 | |
Electronic Equipment & Instruments | | | 185,749 | | | | — | | | | — | | | | 185,749 | |
Health Care Equipment | | | 75,222 | | | | — | | | | — | | | | 75,222 | |
Home Entertainment Software | | | 275,630 | | | | — | | | | — | | | | 275,630 | |
Interactive Home Entertainment | | | 673,397 | | | | — | | | | — | | | | 673,397 | |
Interactive Media & Services | | | 164,050 | | | | — | | | | — | | | | 164,050 | |
Internet & Direct Marketing Retail | | | 536,216 | | | | — | | | | — | | | | 536,216 | |
Internet Services & Infrastructure | | | 2,525,788 | | | | — | | | | — | | | | 2,525,788 | |
IT Consulting & Other Services | | | 562,829 | | | | — | | | | — | | | | 562,829 | |
Life Sciences Tools & Services | | | 189,750 | | | | — | | | | — | | | | 189,750 | |
Semiconductor Equipment | | | 885,839 | | | | — | | | | — | | | | 885,839 | |
Semiconductors | | | 1,727,946 | | | | — | | | | — | | | | 1,727,946 | |
Specialized REITs | | | 969,505 | | | | — | | | | — | | | | 969,505 | |
Systems Software | | | 1,998,805 | | | | — | | | | — | | | | 1,998,805 | |
Technology Hardware, Storage & Peripherals | | | 377,196 | | | | — | | | | — | | | | 377,196 | |
| | | | | | | | | | | | | | | | |
Total Common Stock | | | 18,023,727 | | | | — | | | | — | | | | 18,023,727 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 909,641 | | | | — | | | | — | | | | 909,641 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 18,933,368 | | | $ | — | | | $ | — | | | $ | 18,933,368 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
32
TCW Conservative Allocation Fund
Schedule of Investments | October 31, 2021 |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
EXCHANGE-TRADED FUNDS — 3.3% of Net Assets | |
| | |
iShares Gold Trust (1) | | | 9,725 | | | $ | 329,969 | |
| | |
iShares MSCI EAFE Index Fund | | | 10,410 | | | | 837,901 | |
| | | | | | | | |
|
Total Exchange-traded Funds | |
| |
(Cost: $1,028,642) | | | | 1,167,870 | |
| | | | | | | | |
|
INVESTMENT COMPANIES — 96.3% | |
|
| Diversified Equity Funds — 37.9% | |
| | |
TCW Artificial Intelligence Equity Fund — I Class (1)(2) | | | 17,114 | | | | 427,681 | |
| | |
TCW Global Real Estate Fund — I Class (2) | | | 122,308 | | | | 1,889,665 | |
| | |
TCW New America Premier Equities Fund — I Class (2) | | | 95,100 | | | | 3,024,172 | |
| | |
TCW Relative Value Large Cap Fund — I Class (2) | | | 255,362 | | | | 3,840,642 | |
| | |
TCW Relative Value Mid Cap Fund — I Class (2) | | | 34,088 | | | | 1,009,693 | |
| | |
TCW Select Equities Fund — I Class (2) | | | 77,725 | | | | 3,474,300 | |
| | | | | | | | |
| |
| | | | 13,666,153 | |
| | | | | | | | |
|
| Diversified Fixed Income Funds — 58.4% | |
| | |
Metropolitan West High Yield Bond Fund — I Class (2) | | | 34,158 | | | | 364,123 | |
| | |
Metropolitan West Low Duration Bond Fund — I Class (2) | | | 437,662 | | | | 3,882,060 | |
| | |
Metropolitan West Total Return Bond Fund — I Class (2) | | | 379,442 | | | | 4,151,099 | |
| | |
Metropolitan West Unconstrained Bond Fund — I Class (2) | | | 548,097 | | | | 6,522,352 | |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| Diversified Fixed Income Funds (Continued) | |
| | |
TCW Emerging Markets Income Fund — I Class (2) | | | 41,450 | | | $ | 327,872 | |
| | |
TCW Enhanced Commodity Strategy Fund — I Class (2) | | | 143,847 | | | | 909,113 | |
| | |
TCW Global Bond Fund — I Class (2) | | | 76,427 | | | | 778,031 | |
| | |
TCW Total Return Bond Fund — I Class (2) | | | 402,319 | | | | 4,079,515 | |
| | | | | | | | |
| |
| | | | 21,014,165 | |
| | | | | | | | |
|
Total Investment Companies | |
| |
(Cost: $28,490,883) | | | | 34,680,318 | |
| | | | | | | | |
|
MONEY MARKET INVESTMENTS — 0.5% | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (3) | | | 179,955 | | | | 179,955 | |
| | | | | | | | |
|
Total Money Market Investments | |
| |
(Cost: $179,955) | | | | 179,955 | |
| | | | | | | | |
| |
Total Investments (100.1%) | | | | | |
| |
(Cost: $29,699,480) | | | | 36,028,143 | |
| |
Liabilities in Excess of Other Assets (-0.1%) | | | | (28,733 | ) |
| | | | | | | | |
| |
Net Assets (100.0%) | | | $ | 35,999,410 | |
| | | | | | | | |
Notes to the Schedule of Investments:
| (1) | Non-income producing security. |
| (3) | Rate disclosed is the 7-day net yield as of October 31, 2021. |
See accompanying Notes to Financial Statements.
33
TCW Conservative Allocation Fund
Schedule of Investments (Continued)
The summary of the TCW Conservative Allocation Fund transactions in the affiliated funds for the year ended October 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Name of
Affiliated
Fund | | Value at
October 31,
2020 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Number
of Shares
Held
October 31,
2021 | | | Value at
October 31,
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 | | | $ | 25,859 | | | | 78,234 | | | | 34,158 | | | $ | 364,123 | | | $ | 13,994 | | | $ | — | | | $ | 1,285 | | | $ | 14,152 | |
Metropolitan West Low Duration Bond Fund—I Class | |
| | | 1,904,908 | | | | 2,717,918 | | | | 733,579 | | | | 437,662 | | | | 3,882,060 | | | | 39,180 | | | | — | | | | (1,041 | ) | | | (6,146 | ) |
Metropolitan West Total Return Bond Fund—I Class | |
| | | 5,568,955 | | | | 448,716 | | | | 1,580,973 | | | | 379,442 | | | | 4,151,099 | | | | 61,178 | | | | 239,978 | | | | (52,843 | ) | | | (232,756 | ) |
Metropolitan West Unconstrained Bond Fund—I Class | |
| | | 7,094,712 | | | | 843,495 | | | | 1,419,291 | | | | 548,097 | | | | 6,522,352 | | | | 184,294 | | | | 53,184 | | | | 2,943 | | | | 493 | |
TCW Artificial Intelligence Fund—I Class | |
| | | — | | | | 382,625 | | | | 84,134 | | | | 17,114 | | | | 427,681 | | | | — | | | | — | | | | 14,697 | | | | 114,493 | |
TCW Emerging Markets Income Fund—I Class | |
| | | 371,977 | | | | 28,585 | | | | 72,856 | | | | 41,450 | | | | 327,872 | | | | 17,215 | | | | — | | | | (758 | ) | | | 924 | |
TCW Enhanced Commodity Strategy Fund—I Class | |
| | | — | | | | 897,024 | | | | 11,139 | | | | 143,847 | | | | 909,113 | | | | — | | | | — | | | | 213 | | | | 23,015 | |
TCW Global Bond Fund—I Class | |
| | | 924,670 | | | | 67,462 | | | | 173,923 | | | | 76,427 | | | | 778,031 | | | | 21,439 | | | | 18,931 | | | | (4,607 | ) | | | (35,571 | ) |
TCW Global Real Estate Fund—I Class | |
| | | 1,574,569 | | | | 87,781 | | | | 374,669 | | | | 122,308 | | | | 1,889,665 | | | | 35,806 | | | | — | | | | 61,775 | | | | 540,209 | |
TCW New America Premier Equities Fund—I Class | |
| | | 6,060,688 | | | | 145,201 | | | | 4,784,120 | | | | 95,100 | | | | 3,024,172 | | | | 212 | | | | — | | | | 1,666,933 | | | | (64,530 | ) |
TCW Relative Value Large Cap Fund—I Class | |
| | | 2,010,196 | | | | 2,198,946 | | | | 1,450,690 | | | | 255,362 | | | | 3,840,642 | | | | 40,093 | | | | 151,857 | | | | 80,346 | | | | 1,001,844 | |
TCW Relative Value Mid Cap Fund—I Class | |
| | | 321,524 | | | | 605,838 | | | | 201,319 | | | | 34,088 | | | | 1,009,693 | | | | 2,910 | | | | — | | | | 12,044 | | | | 271,606 | |
TCW Select Equities Fund—I Class | |
| | | 4,793,572 | | | | 419,667 | | | | 2,802,162 | | | | 77,725 | | | | 3,474,300 | | | | — | | | | 298,265 | | | | 524,600 | | | | 538,623 | |
TCW Total Return Bond Fund—I Class | |
| | | 4,835,096 | | | | 651,019 | | | | 1,258,068 | | | | 402,319 | | | | 4,079,515 | | | | 90,884 | | | | 31,537 | | | | (29,001 | ) | | | (119,531 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | $ | 34,680,318 | | | $ | 507,205 | | | $ | 793,752 | | | $ | 2,276,586 | | | $ | 2,046,825 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
34
TCW Conservative Allocation Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Diversified Fixed Income Funds | | | 58.4 | % |
Diversified Equity Funds | | | 37.9 | |
Exchange-Traded Funds | | | 3.3 | |
Money Market Investments | | | 0.5 | |
| | | | |
Total | | | 100.1 | % |
| | | | |
See accompanying Notes to Financial Statements.
35
TCW Conservative Allocation Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | $ | 1,167,870 | | | $ | — | | | $ | — | | | $ | 1,167,870 | |
Investment Companies | | | 34,680,318 | | | | — | | | | — | | | | 34,680,318 | |
Money Market Investments | | | 179,955 | | | | — | | | | — | | | | 179,955 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 36,028,143 | | | $ | — | | | $ | — | | | $ | 36,028,143 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
36
TCW Global Real Estate Fund
Schedule of Investments | October 31, 2021 |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
COMMON STOCK — 96.7% of Net Assets | |
|
| Australia — 1.7% (Cost: $643,786) | |
| | |
Goodman Group | | | 40,403 | | | $ | 667,924 | |
| | | | | | | | |
|
| Canada — 15.6% | |
| | |
Civeo Corp. (1) | | | 33,659 | | | | 759,684 | |
| | |
Killam Apartment Real Estate Investment Trust | | | 74,906 | | | | 1,374,178 | |
| | |
Morguard Corp. | | | 8,396 | | | | 924,911 | |
| | |
Morguard North American Residential Real Estate Investment Trust | | | 105,686 | | | | 1,570,519 | |
| | |
Summit Industrial Income REIT | | | 81,139 | | | | 1,547,437 | |
| | | | | | | | |
|
Total Canada | |
| |
(Cost: $5,232,859) | | | | 6,176,729 | |
| | | | | | | | |
|
| Germany — 12.5% | |
| | |
LEG Immobilien SE | | | 8,700 | | | | 1,295,463 | |
| | |
Stroeer SE & Co. KGaA | | | 20,361 | | | | 1,728,663 | |
| | |
Vonovia SE | | | 31,615 | | | | 1,919,927 | |
| | | | | | | | |
|
Total Germany | |
| |
(Cost: $4,907,518) | | | | 4,944,053 | |
| | | | | | | | |
|
| Ireland — 2.8% (Cost: $1,075,054) | |
| | |
Irish Residential Properties REIT PLC | | | 589,015 | | | | 1,111,069 | |
| | | | | | | | |
|
| Japan — 6.3% | |
| | |
Mitsubishi Estate Co., Ltd. | | | 84,600 | | | | 1,285,101 | |
| | |
Nippon Prologis REIT, Inc. | | | 370 | | | | 1,235,271 | |
| | | | | | | | |
|
Total Japan | |
| |
(Cost: $2,516,917) | | | | 2,520,372 | |
| | | | | | | | |
|
| United Kingdom — 3.5% (Cost: $985,496) | |
| | |
Segro PLC | | | 77,889 | | | | 1,378,864 | |
| | | | | | | | |
|
| United States — 54.3% | |
| | |
American Tower Corp. | | | 1,529 | | | | 431,132 | |
| | |
Americold Realty Trust | | | 35,825 | | | | 1,055,763 | |
| | |
Apartment Investment and Management Co. | | | 182,675 | | | | 1,384,676 | |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| United States (Continued) | |
| | |
BrightSpire Capital, Inc. | | | 214,000 | | | $ | 2,099,340 | |
| | |
Chatham Lodging Trust (1) | | | 47,473 | | | | 602,432 | |
| | |
City Office REIT, Inc. | | | 29,963 | | | | 568,398 | |
| | |
Community Healthcare Trust, Inc. | | | 17,795 | | | | 851,313 | |
| | |
CoreSite Realty Corp. | | | 9,997 | | | | 1,424,173 | |
| | |
Equinix, Inc. | | | 593 | | | | 496,382 | |
| | |
Gaming and Leisure Properties, Inc. | | | 27,140 | | | | 1,316,019 | |
| | |
Invitation Homes, Inc. | | | 7,733 | | | | 318,986 | |
| | |
Jones Lang LaSalle, Inc. (1) | | | 1,372 | | | | 354,292 | |
| | |
M/I Homes, Inc. (1) | | | 19,254 | | | | 1,102,484 | |
| | |
MGM Growth Properties LLC | | | 38,428 | | | | 1,513,295 | |
| | |
New Residential Investment Corp. | | | 209,132 | | | | 2,375,739 | |
| | |
Ocwen Financial Corp. (1) | | | 32,257 | | | | 1,013,192 | |
| | |
Simon Property Group, Inc. | | | 4,821 | | | | 706,662 | |
| | |
Taylor Morrison Home Corp. (1) | | | 47,604 | | | | 1,453,350 | |
| | |
TPG RE Finance Trust, Inc. | | | 156,194 | | | | 2,041,456 | |
| | |
Welltower, Inc. | | | 4,755 | | | | 382,302 | |
| | | | | | | | |
|
Total United States | |
| |
(Cost: $19,369,814) | | | | 21,491,386 | |
| | | | | | | | |
|
Total Common Stock | |
| |
(Cost: $34,731,444) | | | | 38,290,397 | |
| | | | | | | | |
| |
Total Purchased Options (2) (0.2%) | | | | | |
| |
(Cost: $151,060) | | | | 69,150 | |
| | | | | | | | |
| |
| MONEY MARKET INVESTMENTS — 9.5% | | | | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (3) | | | 3,740,706 | | | | 3,740,706 | |
| | | | | | | | |
| | |
Total Money Market Investments | | | | | | | | |
| | |
(Cost: $3,740,706) | | | | | | | 3,740,706 | |
| | | | | | | | |
| |
Total Investments (106.4%) | | | | | |
| |
(Cost: $38,623,210) | | | | 42,100,253 | |
| |
Liabilities in Excess of Other Assets (-6.4%) | | | | (2,517,403 | ) |
| | | | | | | | |
| |
Net Assets (100.0%) | | | $ | 39,582,850 | |
| | | | | | | | |
See accompanying Notes to Financial Statements.
37
TCW Global Real Estate Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Purchased Options — Exchange Traded | |
| | | | | | | |
| Description | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums
Paid
(Received)
by Fund | | | Unrealized
Appreciation
(Depreciation) | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Vanguard Real Estate ETF | | | 105 | | | | 1/21/22 | | | | 300 | | | $ | 3,271,200 | | | $ | 69,150 | | | $ | 151,060 | | | $ | (81,910 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Written Options — Exchange Traded | |
| | | | | | | |
| Description | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums
Paid
(Received)
by Fund | | | Unrealized
Appreciation
(Depreciation) | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Vanguard Real Estate ETF | | | 95.00 | | | | 1/21/22 | | | | (300 | ) | | $ | (3,271,200 | ) | | $ | (22,050 | ) | | $ | (61,940 | ) | | $ | 39,890 | |
Notes to the Schedule of Investments:
| ETF | | Exchange-Traded Fund. |
| 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 October 31, 2021. |
See accompanying Notes to Financial Statements.
38
TCW Global Real Estate Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Advertising | | | 4.4 | % |
Diversified Real Estate Activities | | | 5.5 | |
Diversified Support Services | | | 1.9 | |
Health Care REITs | | | 3.1 | |
Homebuilding | | | 6.5 | |
Hotel & Resort REITs | | | 1.5 | |
Industrial REITs | | | 14.9 | |
Mortgage REITs | | | 16.5 | |
Office REITs | | | 1.4 | |
Purchased Options | | | 0.2 | |
Real Estate Operating Companies | | | 8.1 | |
Real Estate Services | | | 0.9 | |
Residential REITs | | | 14.6 | |
Retail REITs | | | 1.8 | |
Specialized REITs | | | 13.0 | |
Thrifts & Mortgage Finance | | | 2.6 | |
Money Market Investments | | | 9.5 | |
| | | | |
Total | | | 106.4 | % |
| | | | |
See accompanying Notes to Financial Statements.
39
TCW Global Real Estate Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | | | | | | | | | | | | | | | |
Advertising | | $ | — | | | $ | 1,728,663 | | | $ | — | | | $ | 1,728,663 | |
Diversified Real Estate Activities | | | 924,911 | | | | 1,285,101 | | | | — | | | | 2,210,012 | |
Diversified Support Services | | | 759,684 | | | | — | | | | — | | | | 759,684 | |
Health Care REITs | | | 1,233,615 | | | | — | | | | — | | | | 1,233,615 | |
Homebuilding | | | 2,555,834 | | | | — | | | | — | | | | 2,555,834 | |
Hotel & Resort REITs | | | 602,432 | | | | — | | | | — | | | | 602,432 | |
Industrial REITs | | | 2,603,200 | | | | 3,282,059 | | | | — | | | | 5,885,259 | |
Mortgage REITs | | | 6,516,535 | | | | — | | | | — | | | | 6,516,535 | |
Office REITs | | | 568,398 | | | | — | | | | — | | | | 568,398 | |
Real Estate Operating Companies | | | — | | | | 3,215,390 | | | | — | | | | 3,215,390 | |
Real Estate Services | | | 354,292 | | | | — | | | | — | | | | 354,292 | |
Residential REITs | | | 5,759,428 | | | | — | | | | — | | | | 5,759,428 | |
Retail REITs | | | 706,662 | | | | — | | | | — | | | | 706,662 | |
Specialized REITs | | | 5,181,001 | | | | — | | | | — | | | | 5,181,001 | |
Thrifts & Mortgage Finance | | | 1,013,192 | | | | — | | | | — | | | | 1,013,192 | |
| | | | | | | | | | | | | | | | |
Total Common Stock | | | 28,779,184 | | | | 9,511,213 | | | | — | | | | 38,290,397 | |
| | | | | | | | | | | | | | | | |
Purchased Options | | | 69,150 | | | | — | | | | — | | | | 69,150 | |
Money Market Investments | | | 3,740,706 | | | | — | | | | — | | | | 3,740,706 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 32,589,040 | | | $ | 9,511,213 | | | $ | — | | �� | $ | 42,100,253 | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Written Options | | | | | | | | | | | | | | | | |
Equity Risk | | $ | (22,050 | ) | | $ | — | | | $ | — | | | $ | (22,050 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (22,050 | ) | | $ | — | | | $ | — | | | $ | (22,050 | ) |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
40
TCW New America Premier Equities Fund
Schedule of Investments | October 31, 2021 |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
COMMON STOCK — 98.1% of Net Assets | |
|
| Aerospace & Defense — 4.6% | |
| | |
HEICO Corp. | | | 77,264 | | | $ | 10,769,829 | |
| | | | | | | | |
|
| Application Software — 15.7% | |
| | |
Constellation Software, Inc. | | | 15,816 | | | | 27,751,718 | |
| | |
Trade Desk, Inc. (The) (1) | | | 60,950 | | | | 4,565,764 | |
| | |
Tyler Technologies, Inc. (1) | | | 7,675 | | | | 4,169,214 | |
| | | | | | | | |
| |
| | | | 36,486,696 | |
| | | | | | | | |
|
| Data Processing & Outsourced Services — 2.4% | |
| | |
Visa, Inc. | | | 26,214 | | | | 5,551,339 | |
| | | | | | | | |
|
| Electrical Equipment — 2.5% | |
| | |
AMETEK, Inc. | | | 44,002 | | | | 5,825,865 | |
| | | | | | | | |
|
| Environmental & Facilities Services — 4.4% | |
| | |
Waste Connections, Inc. (Canada) | | | 74,704 | | | | 10,160,491 | |
| | | | | | | | |
|
| Financial Exchanges & Data — 14.8% | |
| | |
FactSet Research Systems, Inc. | | | 18,475 | | | | 8,200,868 | |
| | |
Morningstar, Inc. | | | 40,471 | | | | 12,819,189 | |
| | |
MSCI, Inc. | | | 20,018 | | | | 13,309,568 | |
| | | | | | | | |
| |
| | | | 34,329,625 | |
| | | | | | | | |
|
| Health Care Equipment — 5.1% | |
| | |
Danaher Corp. | | | 23,239 | | | | 7,245,223 | |
| | |
IDEXX Laboratories, Inc. (1) | | | 6,775 | | | | 4,513,099 | |
| | | | | | | | |
| |
| | | | 11,758,322 | |
| | | | | | | | |
|
| Household Products — 0.9% | |
| | |
Cricut, Inc. (1) | | | 75,187 | | | | 2,130,048 | |
| | | | | | | | |
|
| Internet Services & Infrastructure — 11.3% | |
| | |
Dye & Durham, Ltd. | | | 323,689 | | | | 9,889,155 | |
| | |
Meta Platforms, Inc. (1) | | | 30,083 | | | | 9,733,956 | |
| | |
ZoomInfo Technologies, Inc. (1) | | | 97,880 | | | | 6,579,494 | |
| | | | | | | | |
| |
| | | | 26,202,605 | |
| | | | | | | | |
|
| Life Sciences Tools & Services — 7.9% | |
| | |
Agilent Technologies, Inc. | | | 39,895 | | | | 6,283,063 | |
| | |
Mettler-Toledo International, Inc. (1) | | | 5,452 | | | | 8,073,758 | |
| | |
Waters Corp. (1) | | | 10,865 | | | | 3,993,431 | |
| | | | | | | | |
| |
| | | | 18,350,252 | |
| | | | | | | | |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| Professional Services — 4.3% | |
| | |
Clarivate PLC (1) | | | 421,763 | | | $ | 9,890,342 | |
| | | | | | | | |
|
| Research & Consulting Services — 9.2% | |
| | |
CoStar Group, Inc. (1) | | | 103,310 | | | | 8,889,825 | |
| | |
IHS Markit, Ltd. | | | 95,529 | | | | 12,487,551 | |
| | | | | | | | |
| |
| | | | 21,377,376 | |
| | | | | | | | |
|
| Semiconductors — 2.2% | |
| | |
Broadcom, Inc. | | | 9,538 | | | | 5,071,068 | |
| | | | | | | | |
|
| Systems Software — 12.8% | |
| | |
Manhattan Associates, Inc. (1) | | | 58,270 | | | | 10,578,336 | |
| | |
Microsoft Corp. | | | 57,566 | | | | 19,090,037 | |
| | | | | | | | |
| |
| | | | 29,668,373 | |
| | | | | | | | |
| |
Total Common Stock | | | | | |
| |
(Cost: $150,232,258) | | | | 227,572,231 | |
| | | | | | | | |
|
EXCHANGE-TRADED FUNDS — 1.0% | |
| | |
SPDR S&P 500 ETF Trust | | | 5,052 | | | | 2,320,131 | |
| | | | | | | | |
|
Total Exchange-traded Funds | |
| |
(Cost: $2,201,914) | | | | 2,320,131 | |
| | | | | | | | |
|
MONEY MARKET INVESTMENTS — 1.9% | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | | | 4,290,360 | | | | 4,290,360 | |
| | | | | | | | |
| |
Total Money Market Investments | | | | | |
| |
(Cost: $4,290,360) | | | | 4,290,360 | |
| | | | | | | | |
| |
Total Investments (101.0%) | | | | | |
| |
(Cost: $156,724,532) | | | | 234,182,722 | |
| | | | | | | | |
| |
Liabilities in Excess of Other Assets (-1.0%) | | | | (2,311,478 | ) |
| | | | | | | | |
| |
Net Assets (100.0%) | | | $ | 231,871,244 | |
| | | | | | | | |
Notes to the Schedule of Investments:
| ETF | | Exchange-Traded Fund. |
| (1) | | Non-income producing security. |
| (2) | | Rate disclosed is the 7-day net yield as of October 31, 2021. |
See accompanying Notes to Financial Statements.
41
TCW New America Premier Equities Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Aerospace & Defense | | | 4.6 | % |
Application Software | | | 15.7 | |
Data Processing & Outsourced Services | | | 2.4 | |
Electrical Equipment | | | 2.5 | |
Environmental & Facilities Services | | | 4.4 | |
Exchange-traded Funds | | | 1.0 | |
Financial Exchanges & Data | | | 14.8 | |
Health Care Equipment | | | 5.1 | |
Household Products | | | 0.9 | |
Internet Services & Infrastructure | | | 11.3 | |
Life Sciences Tools & Services | | | 7.9 | |
Professional Services | | | 4.3 | |
Research & Consulting Services | | | 9.2 | |
Semiconductors | | | 2.2 | |
Systems Software | | | 12.8 | |
Money Market Investments | | | 1.9 | |
| | | | |
Total | | | 101.0 | % |
| | | | |
See accompanying Notes to Financial Statements.
42
TCW New America Premier Equities Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | $ | 10,769,829 | | | $ | — | | | $ | — | | | $ | 10,769,829 | |
Application Software | | | 36,486,696 | | | | — | | | | — | | | | 36,486,696 | |
Data Processing & Outsourced Services | | | 5,551,339 | | | | — | | | | — | | | | 5,551,339 | |
Electrical Equipment | | | 5,825,865 | | | | — | | | | — | | | | 5,825,865 | |
Environmental & Facilities Services | | | 10,160,491 | | | | — | | | | — | | | | 10,160,491 | |
Financial Exchanges & Data | | | 34,329,625 | | | | — | | | | — | | | | 34,329,625 | |
Health Care Equipment | | | 11,758,322 | | | | — | | | | — | | | | 11,758,322 | |
Household Products | | | 2,130,048 | | | | — | | | | — | | | | 2,130,048 | |
Internet Services & Infrastructure | | | 26,202,605 | | | | — | | | | — | | | | 26,202,605 | |
Life Sciences Tools & Services | | | 18,350,252 | | | | — | | | | — | | | | 18,350,252 | |
Professional Services | | | 9,890,342 | | | | — | | | | — | | | | 9,890,342 | |
Research & Consulting Services | | | 21,377,376 | | | | — | | | | — | | | | 21,377,376 | |
Semiconductors | | | 5,071,068 | | | | — | | | | — | | | | 5,071,068 | |
Systems Software | | | 29,668,373 | | | | — | | | | — | | | | 29,668,373 | |
| | | | | | | | | | | | | | | | |
Total Common Stock | | | 227,572,231 | | | | — | | | | — | | | | 227,572,231 | |
| | | | | | | | | | | | | | | | |
Exchange-traded Funds | | | 2,320,131 | | | | — | | | | — | | | | 2,320,131 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 4,290,360 | | | | — | | | | — | | | | 4,290,360 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 234,182,722 | | | $ | — | | | $ | — | | | $ | 234,182,722 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
43
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
COMMON STOCK — 99.3% of Net Assets | |
|
| Aerospace & Defense — 1.4% | |
| | |
Textron, Inc. | | | 53,599 | | | $ | 3,958,286 | |
| | | | | | | | |
|
| Air Freight & Logistics — 4.1% | |
| | |
United Parcel Service, Inc. — Class B | | | 53,683 | | | | 11,459,710 | |
| | | | | | | | |
|
| Auto Components — 1.4% | |
| | |
BorgWarner, Inc. | | | 85,828 | | | | 3,868,268 | |
| | | | | | | | |
|
| Banks — 9.0% | |
| | |
Citigroup, Inc. | | | 74,300 | | | | 5,138,588 | |
| | |
JPMorgan Chase & Co. | | | 68,031 | | | | 11,557,786 | |
| | |
Wells Fargo & Co. | | | 166,535 | | | | 8,519,931 | |
| | | | | | | | |
| |
| | | | 25,216,305 | |
| | | | | | | | |
|
| Beverages — 2.4% | |
| | |
PepsiCo, Inc. | | | 42,700 | | | | 6,900,320 | |
| | | | | | | | |
|
| Biotechnology — 4.5% | |
| | |
AbbVie, Inc. | | | 47,647 | | | | 5,463,682 | |
| | |
Gilead Sciences, Inc. | | | 108,565 | | | | 7,043,697 | |
| | | | | | | | |
| |
| | | | 12,507,379 | |
| | | | | | | | |
|
| Building Products — 4.6% | |
| | |
Johnson Controls International PLC (Ireland) | | | 177,089 | | | | 12,993,020 | |
| | | | | | | | |
|
| Capital Markets — 8.5% | |
| | |
Ameriprise Financial, Inc. | | | 26,651 | | | | 8,052,067 | |
| | |
Blackstone Group, Inc. (The) | | | 19,600 | | | | 2,713,032 | |
| | |
Intercontinental Exchange, Inc. | | | 47,126 | | | | 6,525,066 | |
| | |
Morgan Stanley | | | 62,800 | | | | 6,454,584 | |
| | | | | | | | |
| |
| | | | 23,744,749 | |
| | | | | | | | |
|
| Chemicals — 3.4% | |
| | |
Corteva, Inc. | | | 37,244 | | | | 1,607,078 | |
| | |
DuPont de Nemours, Inc. | | | 64,548 | | | | 4,492,541 | |
| | |
International Flavors & Fragrances, Inc. | | | 22,551 | | | | 3,325,145 | |
| | | | | | | | |
| |
| | | | 9,424,764 | |
| | | | | | | | |
|
| Diversified Telecommunication Services — 1.8% | |
| | |
AT&T, Inc. | | | 201,632 | | | | 5,093,224 | |
| | | | | | | | |
|
| Electrical Equipment — 2.1% | |
| | |
nVent Electric PLC (Ireland) | | | 169,612 | | | | 6,012,745 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 1.2% | |
| | |
Corning, Inc. | | | 95,785 | | | | 3,407,073 | |
| | | | | | | | |
|
| Energy Equipment & Services — 2.7% | |
| | |
Baker Hughes Co. | | | 308,603 | | | | 7,739,763 | |
| | | | | | | | |
|
| Equity Real Estate — 2.7% | |
| | |
Cousins Properties, Inc. | | | 69,155 | | | | 2,739,230 | |
| | |
Simon Property Group, Inc. | | | 32,676 | | | | 4,789,648 | |
| | | | | | | | |
| |
| | | | 7,528,878 | |
| | | | | | | | |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| Food Products — 1.1% | |
| | |
Conagra Brands, Inc. | | | 94,900 | | | $ | 3,055,780 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies — 1.8% | |
| | |
Medtronic PLC (Ireland) | | | 41,728 | | | | 5,001,518 | |
| | | | | | | | |
|
| Health Care Providers & Services — 4.9% | |
| | |
Anthem, Inc. | | | 13,163 | | | | 5,727,616 | |
| | |
McKesson Corp. | | | 38,015 | | | | 7,902,558 | |
| | | | | | | | |
| |
| | | | 13,630,174 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure — 0.6% | |
| | |
Darden Restaurants, Inc. | | | 12,334 | | | | 1,777,823 | |
| | | | | | | | |
|
| Household Durables — 4.2% | |
| | |
Lennar Corp. | | | 89,458 | | | | 8,939,538 | |
| | |
Whirlpool Corp. | | | 12,924 | | | | 2,724,767 | |
| | | | | | | | |
| |
| | | | 11,664,305 | |
| | | | | | | | |
|
| Independent Power and Renewable Electricity Producers — 2.8% | |
| | |
AES Corp. (The) | | | 314,565 | | | | 7,905,019 | |
| | | | | | | | |
|
| Industrial Conglomerates — 4.5% | |
| | |
Carlisle Cos., Inc. | | | 15,080 | | | | 3,361,633 | |
| | |
General Electric Co. | | | 87,872 | | | | 9,215,137 | |
| | | | | | | | |
| |
| | | | 12,576,770 | |
| | | | | | | | |
|
| Insurance — 3.9% | |
| | |
MetLife, Inc. | | | 173,655 | | | | 10,905,534 | |
| | | | | | | | |
|
| IT Services — 2.7% | |
| | |
International Business Machines Corp. | | | 60,721 | | | | 7,596,197 | |
| | | | | | | | |
|
| Media — 4.2% | |
| | |
Comcast Corp. | | | 111,768 | | | | 5,748,228 | |
| | |
Fox Corp. | | | 152,924 | | | | 6,077,200 | |
| | | | | | | | |
| |
| | | | 11,825,428 | |
| | | | | | | | |
|
| Metals & Mining — 1.3% | |
| | |
Freeport-McMoRan, Inc. | | | 95,773 | | | | 3,612,558 | |
| | | | | | | | |
|
| Multi-Utilities — 0.9% | |
| | |
Sempra Energy | | | 21,123 | | | | 2,695,929 | |
| | | | | | | | |
|
| Multiline Retail — 2.4% | |
| | |
Target Corp. | | | 25,800 | | | | 6,698,196 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels — 3.9% | |
| | |
Chevron Corp. | | | 61,040 | | | | 6,988,470 | |
| | |
Exxon Mobil Corp. | | | 60,884 | | | | 3,925,191 | |
| | | | | | | | |
| |
| | | | 10,913,661 | |
| | | | | | | | |
|
| Pharmaceuticals — 3.0% | |
| | |
Johnson & Johnson | | | 15,322 | | | | 2,495,647 | |
| | |
Novartis AG (SP ADR) (Switzerland) | | | 70,200 | | | | 5,809,752 | |
| | | | | | | | |
| |
| | | | 8,305,399 | |
| | | | | | | | |
See accompanying Notes to Financial Statements.
44
TCW Relative Value Dividend Appreciation Fund
October 31, 2021
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| Semiconductors & Semiconductor Equipment — 3.1% | |
| | |
Broadcom, Inc. | | | 16,182 | | | $ | 8,603,484 | |
| | | | | | | | |
|
| Specialty Retail — 1.1% | |
| | |
Dick’s Sporting Goods, Inc. | | | 25,058 | | | | 3,112,454 | |
| | | | | | | | |
|
| Technology Hardware, Storage & Peripherals — 3.1% | |
| | |
HP, Inc. | | | 112,813 | | | | 3,421,618 | |
| | |
Seagate Technology Holdings PLC | | | 58,199 | | | | 5,183,785 | |
| | | | | | | | |
| |
| | | | 8,605,403 | |
| | | | | | | | |
|
Total Common Stock | |
| |
(Cost: $179,818,287) | | | | 278,340,116 | |
| | | | | | | | |
|
| MONEY MARKET INVESTMENTS — 0.6% | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (1) | | | 1,583,739 | | | | 1,583,739 | |
| | | | | | | | |
|
Total Money Market Investments | |
| |
(Cost: $1,583,739) | | | | 1,583,739 | |
| | | | | | | | |
| | |
Total Investments (99.9%) | | | | | | | | |
| | |
(Cost: $181,402,026) | | | | | | | 279,923,855 | |
| |
Excess of Other Assets over Liabilities (0.1%) | | | | 264,099 | |
| | | | | | | | |
| |
Net Assets (100.0%) | | | $ | 280,187,954 | |
| | | | | | | | |
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 October 31, 2021. |
See accompanying Notes to Financial Statements.
45
TCW Relative Value Dividend Appreciation Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Aerospace & Defense | | | 1.4 | % |
Air Freight & Logistics | | | 4.1 | |
Auto Components | | | 1.4 | |
Banks | | | 9.0 | |
Beverages | | | 2.4 | |
Biotechnology | | | 4.5 | |
Building Products | | | 4.6 | |
Capital Markets | | | 8.5 | |
Chemicals | | | 3.4 | |
Diversified Telecommunication Services | | | 1.8 | |
Electrical Equipment | | | 2.1 | |
Electronic Equipment, Instruments & Components | | | 1.2 | |
Energy Equipment & Services | | | 2.7 | |
Equity Real Estate | | | 2.7 | |
Food Products | | | 1.1 | |
Health Care Equipment & Supplies | | | 1.8 | |
Health Care Providers & Services | | | 4.9 | |
Hotels, Restaurants & Leisure | | | 0.6 | |
Household Durables | | | 4.2 | |
Independent Power and Renewable Electricity Producers | | | 2.8 | |
Industrial Conglomerates | | | 4.5 | |
Insurance | | | 3.9 | |
IT Services | | | 2.7 | |
Media | | | 4.2 | |
Metals & Mining | | | 1.3 | |
Multi-Utilities | | | 0.9 | |
Multiline Retail | | | 2.4 | |
Oil, Gas & Consumable Fuels | | | 3.9 | |
Pharmaceuticals | | | 3.0 | |
Semiconductors & Semiconductor Equipment | | | 3.1 | |
Specialty Retail | | | 1.1 | |
Technology Hardware, Storage & Peripherals | | | 3.1 | |
Money Market Investments | | | 0.6 | |
| | | | |
Total | | | 99.9 | % |
| | | | |
See accompanying Notes to Financial Statements.
46
TCW Relative Value Dividend Appreciation Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | $ | 3,958,286 | | | $ | — | | | $ | — | | | $ | 3,958,286 | |
Air Freight & Logistics | | | 11,459,710 | | | | — | | | | — | | | | 11,459,710 | |
Auto Components | | | 3,868,268 | | | | — | | | | — | | | | 3,868,268 | |
Banks | | | 25,216,305 | | | | — | | | | — | | | | 25,216,305 | |
Beverages | | | 6,900,320 | | | | — | | | | — | | | | 6,900,320 | |
Biotechnology | | | 12,507,379 | | | | — | | | | — | | | | 12,507,379 | |
Building Products | | | 12,993,020 | | | | — | | | | — | | | | 12,993,020 | |
Capital Markets | | | 23,744,749 | | | | — | | | | — | | | | 23,744,749 | |
Chemicals | | | 9,424,764 | | | | — | | | | — | | | | 9,424,764 | |
Diversified Telecommunication Services | | | 5,093,224 | | | | — | | | | — | | | | 5,093,224 | |
Electrical Equipment | | | 6,012,745 | | | | — | | | | — | | | | 6,012,745 | |
Electronic Equipment, Instruments & Components | | | 3,407,073 | | | | — | | | | — | | | | 3,407,073 | |
Energy Equipment & Services | | | 7,739,763 | | | | — | | | | — | | | | 7,739,763 | |
Equity Real Estate | | | 7,528,878 | | | | — | | | | — | | | | 7,528,878 | |
Food Products | | | 3,055,780 | | | | — | | | | — | | | | 3,055,780 | |
Health Care Equipment & Supplies | | | 5,001,518 | | | | — | | | | — | | | | 5,001,518 | |
Health Care Providers & Services | | | 13,630,174 | | | | — | | | | — | | | | 13,630,174 | |
Hotels, Restaurants & Leisure | | | 1,777,823 | | | | — | | | | — | | | | 1,777,823 | |
Household Durables | | | 11,664,305 | | | | — | | | | — | | | | 11,664,305 | |
Independent Power and Renewable Electricity Producers | | | 7,905,019 | | | | — | | | | — | | | | 7,905,019 | |
Industrial Conglomerates | | | 12,576,770 | | | | — | | | | — | | | | 12,576,770 | |
Insurance | | | 10,905,534 | | | | — | | | | — | | | | 10,905,534 | |
IT Services | | | 7,596,197 | | | | — | | | | — | | | | 7,596,197 | |
Media | | | 11,825,428 | | | | — | | | | — | | | | 11,825,428 | |
Metals & Mining | | | 3,612,558 | | | | — | | | | — | | | | 3,612,558 | |
Multi-Utilities | | | 2,695,929 | | | | — | | | | — | | | | 2,695,929 | |
Multiline Retail | | | 6,698,196 | | | | — | | | | — | | | | 6,698,196 | |
Oil, Gas & Consumable Fuels | | | 10,913,661 | | | | — | | | | — | | | | 10,913,661 | |
Pharmaceuticals | | | 8,305,399 | | | | — | | | | — | | | | 8,305,399 | |
Semiconductors & Semiconductor Equipment | | | 8,603,484 | | | | — | | | | — | | | | 8,603,484 | |
Specialty Retail | | | 3,112,454 | | | | — | | | | — | | | | 3,112,454 | |
Technology Hardware, Storage & Peripherals | | | 8,605,403 | | | | — | | | | — | | | | 8,605,403 | |
| | | | | | | | | | | | | | | | |
Total Common Stock | | | 278,340,116 | | | | — | | | | — | | | | 278,340,116 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 1,583,739 | | | | — | | | | — | | | | 1,583,739 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 279,923,855 | | | $ | — | | | $ | — | | | $ | 279,923,855 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
47
TCW Relative Value Large Cap Fund
Schedule of Investments
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
COMMON STOCK — 99.0% of Net Assets | |
|
| Aerospace & Defense — 3.0% | |
| | |
Textron, Inc. | | | 51,109 | | | $ | 3,774,400 | |
| | | | | | | | |
|
| Air Freight & Logistics — 3.0% | |
| | |
United Parcel Service, Inc. — Class B | | | 18,165 | | | | 3,877,683 | |
| | | | | | | | |
|
| Banks — 8.7% | |
| | |
Citigroup, Inc. | | | 49,567 | | | | 3,428,054 | |
| | |
JPMorgan Chase & Co. | | | 28,682 | | | | 4,872,785 | |
| | |
Signature Bank | | | 9,352 | | | | 2,785,212 | |
| | | | | | | | |
| |
| | | | 11,086,051 | |
| | | | | | | | |
|
| Beverages — 1.8% | |
| | |
PepsiCo, Inc. | | | 14,640 | | | | 2,365,824 | |
| | | | | | | | |
|
| Biotechnology — 3.0% | |
| | |
AbbVie, Inc. | | | 17,509 | | | | 2,007,757 | |
| | |
Gilead Sciences, Inc. | | | 27,729 | | | | 1,799,058 | |
| | | | | | | | |
| |
| | | | 3,806,815 | |
| | | | | | | | |
|
| Building Products — 3.8% | |
| | |
Johnson Controls International PLC (Ireland) | | | 67,060 | | | | 4,920,192 | |
| | | | | | | | |
|
| Capital Markets — 9.6% | |
| | |
Ameriprise Financial, Inc. | | | 10,918 | | | | 3,298,655 | |
| | |
Blackstone Group, Inc. (The) | | | 16,500 | | | | 2,283,930 | |
| | |
Intercontinental Exchange, Inc. | | | 28,752 | | | | 3,981,002 | |
| | |
Morgan Stanley | | | 25,800 | | | | 2,651,724 | |
| | | | | | | | |
| |
| | | | 12,215,311 | |
| | | | | | | | |
|
| Chemicals — 2.4% | |
| | |
DuPont de Nemours, Inc. | | | 24,854 | | | | 1,729,839 | |
| | |
International Flavors & Fragrances, Inc. | | | 9,125 | | | | 1,345,481 | |
| | | | | | | | |
| |
| | | | 3,075,320 | |
| | | | | | | | |
|
| Communications Equipment — 0.8% | |
| | |
Juniper Networks, Inc. | | | 35,049 | | | | 1,034,646 | |
| | | | | | | | |
|
| Diversified Telecommunication Services — 1.7% | |
| | |
AT&T, Inc. | | | 83,697 | | | | 2,114,186 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 2.9% | |
| | |
Corning, Inc. | | | 43,982 | | | | 1,564,440 | |
| | |
Flex Ltd. (1) | | | 127,097 | | | | 2,147,939 | |
| | | | | | | | |
| |
| | | | 3,712,379 | |
| | | | | | | | |
|
| Energy Equipment & Services — 1.5% | |
| | |
Baker Hughes Co. | | | 75,840 | | | | 1,902,067 | |
| | | | | | | | |
|
| Equity Real Estate — 1.2% | |
| | |
Weyerhaeuser Co. | | | 43,957 | | | | 1,570,144 | |
| | | | | | | | |
|
| Food Products — 1.4% | |
| | |
Conagra Brands, Inc. | | | 54,158 | | | | 1,743,888 | |
| | | | | | | | |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| Health Care Equipment & Supplies — 2.5% | |
| | |
Medtronic PLC (Ireland) | | | 16,853 | | | $ | 2,020,001 | |
| | |
Zimmer Biomet Holdings, Inc. | | | 7,966 | | | | 1,140,094 | |
| | | | | | | | |
| |
| | | | 3,160,095 | |
| | | | | | | | |
|
| Health Care Providers & Services — 8.5% | |
| | |
Centene Corp. (1) | | | 51,680 | | | | 3,681,683 | |
| | |
McKesson Corp. | | | 14,000 | | | | 2,910,320 | |
| | |
Molina Healthcare, Inc. (1) | | | 14,638 | | | | 4,328,750 | |
| | | | | | | | |
| |
| | | | 10,920,753 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure — 1.8% | |
| | |
Darden Restaurants, Inc. | | | 16,094 | | | | 2,319,789 | |
| | | | | | | | |
|
| Household Durables — 3.6% | |
| | |
Lennar Corp. | | | 46,265 | | | | 4,623,261 | |
| | | | | | | | |
|
| Independent Power and Renewable Electricity Producers — 2.2% | |
| | |
AES Corp. (The) | | | 114,500 | | | | 2,877,385 | |
| | | | | | | | |
|
| Industrial Conglomerates — 2.7% | |
| | |
General Electric Co. | | | 32,367 | | | | 3,394,327 | |
| | | | | | | | |
|
| Insurance — 2.7% | |
| | |
MetLife, Inc. | | | 54,413 | | | | 3,417,136 | |
| | | | | | | | |
|
| IT Services — 3.5% | |
| | |
Fiserv, Inc. (1) | | | 23,332 | | | | 2,297,968 | |
| | |
International Business Machines Corp. | | | 17,757 | | | | 2,221,401 | |
| | | | | | | | |
| |
| | | | 4,519,369 | |
| | | | | | | | |
|
| Media — 7.5% | |
| | |
Comcast Corp. | | | 67,075 | | | | 3,449,667 | |
| | |
Discovery, Inc. (1) | | | 65,554 | | | | 1,536,586 | |
| | |
Fox Corp. | | | 58,152 | | | | 2,310,960 | |
| | |
ViacomCBS, Inc. — Class B | | | 62,375 | | | | 2,259,223 | |
| | | | | | | | |
| |
| | | | 9,556,436 | |
| | | | | | | | |
|
| Metals & Mining — 2.6% | |
| | |
Freeport-McMoRan, Inc. (1) | | | 88,304 | | | | 3,330,827 | |
| | | | | | | | |
|
| Multi-Utilities — 0.9% | |
| | |
Sempra Energy | | | 9,322 | | | | 1,189,767 | |
| | | | | | | | |
|
| Multiline Retail — 2.6% | |
| | |
Target Corp. | | | 12,854 | | | | 3,337,155 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels — 3.1% | |
| | |
Chevron Corp. | | | 18,000 | | | | 2,060,820 | |
| | |
Exxon Mobil Corp. | | | 28,748 | | | | 1,853,384 | |
| | | | | | | | |
| |
| | | | 3,914,204 | |
| | | | | | | | |
|
| Real Estate Management & Development — 1.6% | |
| | |
Jones Lang LaSalle, Inc. (1) | | | 7,766 | | | | 2,005,414 | |
| | | | | | | | |
See accompanying Notes to Financial Statements.
48
TCW Relative Value Large Cap Fund
October 31, 2021
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| Semiconductors & Semiconductor Equipment — 5.5% | |
| | |
Broadcom, Inc. | | | 6,394 | | | $ | 3,399,498 | |
| | |
ON Semiconductor Corp. (1) | | | 75,710 | | | | 3,639,380 | |
| | | | | | | | |
| |
| | | | 7,038,878 | |
| | | | | | | | |
|
| Specialty Retail — 1.6% | |
| | |
Dick’s Sporting Goods, Inc. | | | 11,957 | | | | 1,485,179 | |
| | |
Gap, Inc. (The) | | | 25,000 | | | | 567,250 | |
| | | | | | | | |
| |
| | | | 2,052,429 | |
| | | | | | | | |
|
| Technology Hardware, Storage & Peripherals — 1.3% | |
| | |
HP, Inc. | | | 53,900 | | | | 1,634,787 | |
| | | | | | | | |
|
Total Common Stock | |
| |
(Cost: $69,970,415) | | | | 126,490,918 | |
| | | | | | | | |
|
| MONEY MARKET INVESTMENTS — 0.4% | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | | | 501,180 | | | | 501,180 | |
| | | | | | | | |
|
Total Money Market Investments | |
| |
(Cost: $501,180) | | | | 501,180 | |
| | | | | | | | |
|
Total Investments (99.4%) | |
| | |
(Cost: $70,471,595) | | | | | | | 126,992,098 | |
| |
Excess of Other Assets over Liabilities (0.6%) | | | | 718,494 | |
| | | | | | | | |
| |
Net Assets (100.0%) | | | $ | 127,710,592 | |
| | | | | | | | |
Notes to the Schedule of Investments:
| (1) | | Non-income producing security. |
| (2) | | Rate disclosed is the 7-day net yield as of October 31, 2021. |
See accompanying Notes to Financial Statements.
49
TCW Relative Value Large Cap Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Aerospace & Defense | | | 3.0 | % |
Air Freight & Logistics | | | 3.0 | |
Banks | | | 8.7 | |
Beverages | | | 1.8 | |
Biotechnology | | | 3.0 | |
Building Products | | | 3.8 | |
Capital Markets | | | 9.6 | |
Chemicals | | | 2.4 | |
Communications Equipment | | | 0.8 | |
Diversified Telecommunication Services | | | 1.7 | |
Electronic Equipment, Instruments & Components | | | 2.9 | |
Energy Equipment & Services | | | 1.5 | |
Equity Real Estate | | | 1.2 | |
Food Products | | | 1.4 | |
Health Care Equipment & Supplies | | | 2.5 | |
Health Care Providers & Services | | | 8.5 | |
Hotels, Restaurants & Leisure | | | 1.8 | |
Household Durables | | | 3.6 | |
Independent Power and Renewable Electricity Producers | | | 2.2 | |
Industrial Conglomerates | | | 2.7 | |
Insurance | | | 2.7 | |
IT Services | | | 3.5 | |
Media | | | 7.5 | |
Metals & Mining | | | 2.6 | |
Multi-Utilities | | | 0.9 | |
Multiline Retail | | | 2.6 | |
Oil, Gas & Consumable Fuels | | | 3.1 | |
Real Estate Management & Development | | | 1.6 | |
Semiconductors & Semiconductor Equipment | | | 5.5 | |
Specialty Retail | | | 1.6 | |
Technology Hardware, Storage & Peripherals | | | 1.3 | |
Money Market Investments | | | 0.4 | |
| | | | |
Total | | | 99.4 | % |
| | | | |
See accompanying Notes to Financial Statements.
50
TCW Relative Value Large Cap Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | $ | 3,774,400 | | | $ | — | | | $ | — | | | $ | 3,774,400 | |
Air Freight & Logistics | | | 3,877,683 | | | | — | | | | — | | | | 3,877,683 | |
Banks | | | 11,086,051 | | | | — | | | | — | | | | 11,086,051 | |
Beverages | | | 2,365,824 | | | | — | | | | — | | | | 2,365,824 | |
Biotechnology | | | 3,806,815 | | | | — | | | | — | | | | 3,806,815 | |
Building Products | | | 4,920,192 | | | | — | | | | — | | | | 4,920,192 | |
Capital Markets | | | 12,215,311 | | | | — | | | | — | | | | 12,215,311 | |
Chemicals | | | 3,075,320 | | | | — | | | | — | | | | 3,075,320 | |
Communications Equipment | | | 1,034,646 | | | | — | | | | — | | | | 1,034,646 | |
Diversified Telecommunication Services | | | 2,114,186 | | | | — | | | | — | | | | 2,114,186 | |
Electronic Equipment, Instruments & Components | | | 3,712,379 | | | | — | | | | — | | | | 3,712,379 | |
Energy Equipment & Services | | | 1,902,067 | | | | — | | | | — | | | | 1,902,067 | |
Equity Real Estate | | | 1,570,144 | | | | — | | | | — | | | | 1,570,144 | |
Food Products | | | 1,743,888 | | | | — | | | | — | | | | 1,743,888 | |
Health Care Equipment & Supplies | | | 3,160,095 | | | | — | | | | — | | | | 3,160,095 | |
Health Care Providers & Services | | | 10,920,753 | | | | — | | | | — | | | | 10,920,753 | |
Hotels, Restaurants & Leisure | | | 2,319,789 | | | | — | | | | — | | | | 2,319,789 | |
Household Durables | | | 4,623,261 | | | | — | | | | — | | | | 4,623,261 | |
Independent Power and Renewable Electricity Producers | | | 2,877,385 | | | | — | | | | — | | | | 2,877,385 | |
Industrial Conglomerates | | | 3,394,327 | | | | — | | | | — | | | | 3,394,327 | |
Insurance | | | 3,417,136 | | | | — | | | | — | | | | 3,417,136 | |
IT Services | | | 4,519,369 | | | | — | | | | — | | | | 4,519,369 | |
Media | | | 9,556,436 | | | | — | | | | — | | | | 9,556,436 | |
Metals & Mining | | | 3,330,827 | | | | — | | | | — | | | | 3,330,827 | |
Multi-Utilities | | | 1,189,767 | | | | — | | | | — | | | | 1,189,767 | |
Multiline Retail | | | 3,337,155 | | | | — | | | | — | | | | 3,337,155 | |
Oil, Gas & Consumable Fuels | | | 3,914,204 | | | | — | | | | — | | | | 3,914,204 | |
Real Estate Management & Development | | | 2,005,414 | | | | — | | | | — | | | | 2,005,414 | |
Semiconductors & Semiconductor Equipment | | | 7,038,878 | | | | — | | | | — | | | | 7,038,878 | |
Specialty Retail | | | 2,052,429 | | | | — | | | | — | | | | 2,052,429 | |
Technology Hardware, Storage & Peripherals | | | 1,634,787 | | | | — | | | | — | | | | 1,634,787 | |
| | | | | | | | | | | | | | �� | | |
Total Common Stock | | | 126,490,918 | | | | — | | | | — | | | | 126,490,918 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 501,180 | | | | — | | | | — | | | | 501,180 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 126,992,098 | | | $ | — | | | $ | — | | | $ | 126,992,098 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
51
TCW Relative Value Mid Cap Fund
Schedule of Investments
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
COMMON STOCK — 100.0% of Net Assets | |
|
| Aerospace & Defense — 3.1% | |
| | |
Textron, Inc. | | | 37,088 | | | $ | 2,738,949 | |
| | | | | | | | |
|
| Airlines — 1.4% | |
| | |
United Airlines Holdings, Inc. (1) | | | 26,177 | | | | 1,207,807 | |
| | | | | | | | |
|
| Auto Components — 0.8% | |
| | |
BorgWarner, Inc. | | | 15,385 | | | | 693,402 | |
| | | | | | | | |
|
| Banks — 11.8% | |
| | |
First Citizens BancShares, Inc. | | | 1,409 | | | | 1,146,785 | |
| | |
KeyCorp | | | 150,042 | | | | 3,491,477 | |
| | |
Popular, Inc. | | | 47,265 | | | | 3,849,262 | |
| | |
Signature Bank | | | 6,999 | | | | 2,084,442 | |
| | | | | | | | |
| |
| | | | 10,571,966 | |
| | | | | | | | |
|
| Capital Markets — 4.3% | |
| | |
Apollo Global Management, Inc. | | | 22,144 | | | | 1,703,981 | |
| | |
Evercore, Inc. | | | 13,980 | | | | 2,122,723 | |
| | | | | | | | |
| |
| | | | 3,826,704 | |
| | | | | | | | |
|
| Chemicals — 3.1% | |
| | |
Corteva, Inc. | | | 15,798 | | | | 681,684 | |
| | |
International Flavors & Fragrances, Inc. | | | 13,937 | | | | 2,055,010 | |
| | | | | | | | |
| |
| | | | 2,736,694 | |
| | | | | | | | |
|
| Communications Equipment — 1.3% | |
| | |
Juniper Networks, Inc. | | | 40,712 | | | | 1,201,818 | |
| | | | | | | | |
|
| Construction & Engineering — 1.5% | |
| | |
Arcosa, Inc. | | | 25,071 | | | | 1,296,923 | |
| | | | | | | | |
|
| Consumer Finance — 1.8% | |
| | |
OneMain Holdings, Inc. | | | 30,495 | | | | 1,610,441 | |
| | | | | | | | |
|
| Diversified Financial Services — 1.3% | |
| | |
Equitable Holdings, Inc. | | | 34,544 | | | | 1,157,224 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 4.6% | |
| | |
Avnet, Inc. | | | 33,483 | | | | 1,276,037 | |
| | |
Flex Ltd. (1) | | | 103,550 | | | | 1,749,995 | |
| | |
TTM Technologies, Inc. (1) | | | 79,055 | | | | 1,046,688 | |
| | | | | | | | |
| |
| | | | 4,072,720 | |
| | | | | | | | |
|
| Energy Equipment & Services — 2.2% | |
| | |
Baker Hughes Co. | | | 64,500 | | | | 1,617,660 | |
| | |
NOV, Inc. (1) | | | 25,900 | | | | 363,118 | |
| | | | | | | | |
| |
| | | | 1,980,778 | |
| | | | | | | | |
|
| Equity Real Estate — 2.8% | |
| | |
Cousins Properties, Inc. | | | 25,791 | | | | 1,021,581 | |
| | |
Innovative Industrial Properties, Inc. | | | 5,653 | | | | 1,487,248 | |
| | | | | | | | |
| |
| | | | 2,508,829 | |
| | | | | | | | |
|
| Food Products — 1.0% | |
| | |
Conagra Brands, Inc. | | | 29,043 | | | | 935,185 | |
| | | | | | | | |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| Health Care Equipment & Supplies — 1.5% | |
| | |
Envista Holdings Corp. (1) | | | 12,481 | | | $ | 488,007 | |
| | |
Zimmer Biomet Holdings, Inc. | | | 5,696 | | | | 815,212 | |
| | | | | | | | |
| |
| | | | 1,303,219 | |
| | | | | | | | |
|
| Health Care Providers & Services — 9.3% | |
| | |
Acadia Healthcare Co., Inc. (1) | | | 28,142 | | | | 1,744,804 | |
| | |
Centene Corp. (1) | | | 35,017 | | | | 2,494,611 | |
| | |
Henry Schein, Inc. (1) | | | 11,495 | | | | 877,643 | |
| | |
Molina Healthcare, Inc. (1) | | | 10,786 | | | | 3,189,636 | |
| | | | | | | | |
| |
| | | | 8,306,694 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure — 1.9% | |
| | |
Darden Restaurants, Inc. | | | 10,169 | | | | 1,465,760 | |
| | |
Travel + Leisure Co. | | | 3,777 | | | | 205,242 | |
| | | | | | | | |
| |
| | | | 1,671,002 | |
| | | | | | | | |
|
| Household Durables — 8.8% | |
| | |
DR Horton, Inc. | | | 15,804 | | | | 1,410,823 | |
| | |
KB Home | | | 38,060 | | | | 1,528,109 | |
| | |
Lennar Corp. | | | 21,777 | | | | 2,176,176 | |
| | |
Toll Brothers, Inc. | | | 32,768 | | | | 1,971,650 | |
| | |
Whirlpool Corp. | | | 3,520 | | | | 742,122 | |
| | | | | | | | |
| |
| | | | 7,828,880 | |
| | | | | | | | |
|
| Independent Power and Renewable Electricity Producers — 2.4% | |
| | |
AES Corp. (The) | | | 83,900 | | | | 2,108,407 | |
| | | | | | | | |
|
| Industrial Conglomerates — 1.1% | |
| | |
Carlisle Cos., Inc. | | | 4,324 | | | | 963,906 | |
| | | | | | | | |
|
| Insurance — 2.8% | |
| | |
Arch Capital Group, Ltd. (1) | | | 36,450 | | | | 1,524,339 | |
| | |
Assured Guaranty, Ltd. | | | 17,725 | | | | 985,155 | |
| | | | | | | | |
| |
| | | | 2,509,494 | |
| | | | | | | | |
|
| Internet & Direct Marketing Retail — 2.4% | |
| | |
eBay, Inc. | | | 27,325 | | | | 2,096,374 | |
| | | | | | | | |
|
| IT Services — 1.2% | |
| | |
DXC Technology Co. (1) | | | 34,106 | | | | 1,110,832 | |
| | | | | | | | |
|
| Machinery — 7.4% | |
| | |
Dover Corp. | | | 8,817 | | | | 1,490,778 | |
| | |
Manitowoc Co., Inc. (The) (1) | | | 95,167 | | | | 2,039,429 | |
| | |
SPX FLOW, Inc. | | | 12,205 | | | | 911,836 | |
| | |
Terex Corp. | | | 13,104 | | | | 587,059 | |
| | |
Westinghouse Air Brake Technologies Corp. | | | 17,816 | | | | 1,616,446 | |
| | | | | | | | |
| |
| | | | 6,645,548 | |
| | | | | | | | |
|
| Media — 2.1% | |
| | |
Discovery, Inc. (1) | | | 30,835 | | | | 722,773 | |
| | |
ViacomCBS, Inc. — Class B | | | 32,819 | | | | 1,188,704 | |
| | | | | | | | |
| |
| | | | 1,911,477 | |
| | | | | | | | |
See accompanying Notes to Financial Statements.
52
TCW Relative Value Mid Cap Fund
October 31, 2021
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| Metals & Mining — 2.5% | |
| | |
Freeport-McMoRan, Inc. | | | 58,775 | | | $ | 2,216,993 | |
| | | | | | | | |
|
| Multi-Utilities — 0.7% | |
| | |
Sempra Energy | | | 5,141 | | | | 656,146 | |
| | | | | | | | |
|
| Multiline Retail — 0.4% | |
| | |
Dollar Tree, Inc. (1) | | | 3,100 | | | | 334,056 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels — 1.8% | |
| | |
ConocoPhillips | | | 4,100 | | | | 305,409 | |
| | |
Marathon Petroleum Corp. | | | 19,848 | | | | 1,308,579 | |
| | | | | | | | |
| |
| | | | 1,613,988 | |
| | | | | | | | |
|
| Personal Products — 1.1% | |
| | |
Coty, Inc. (1) | | | 111,523 | | | | 945,715 | |
| | | | | | | | |
|
| Pharmaceuticals — 2.0% | |
| | |
Elanco Animal Health, Inc. (1) | | | 33,086 | | | | 1,087,867 | |
| | |
Perrigo Co. PLC | | | 16,379 | | | | 739,512 | |
| | | | | | | | |
| |
| | | | 1,827,379 | |
| | | | | | | | |
|
| Professional Services — 2.4% | |
| | |
Jacobs Engineering Group, Inc. | | | 15,449 | | | | 2,169,349 | |
| | | | | | | | |
|
| Real Estate Management & Development — 1.4% | |
| | |
Jones Lang LaSalle, Inc. (1) | | | 4,933 | | | | 1,273,849 | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment — 1.0% | |
| | |
Analog Devices, Inc. | | | 2,555 | | | | 443,267 | |
| | |
ON Semiconductor Corp. (1) | | | 9,694 | | | | 465,990 | |
| | | | | | | | |
| |
| | | | 909,257 | |
|
| Software — 0.6% | |
| | |
Citrix Systems, Inc. (1) | | | 5,800 | | | | 549,434 | |
| | | | | | | | |
|
| Specialty Retail — 4.2% | |
| | |
Dick’s Sporting Goods, Inc. | | | 6,583 | | | | 817,674 | |
| | |
Guess?, Inc. | | | 59,960 | | | | 1,241,772 | |
| | |
Urban Outfitters, Inc. (1) | | | 20,058 | | | | 640,452 | |
| | |
Williams-Sonoma, Inc. | | | 5,801 | | | | 1,077,420 | |
| | | | | | | | |
| |
| | | | 3,777,318 | |
| | | | | | | | |
|
Total Common Stock | |
| |
(Cost: $55,569,343) | | | | 89,268,757 | |
| | | | | | | | |
|
| MONEY MARKET INVESTMENTS — 0.6% | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | | | 495,209 | | | | 495,209 | |
| | | | | | | | |
|
| Total Money Market Investments | |
| |
(Cost: $495,209) | | | | 495,209 | |
| | | | | | | | |
| | |
Total Investments (100.6%) | | | | | | | | |
| |
(Cost: $56,064,552) | | | | 89,763,966 | |
| |
Liabilities in Excess of Other Assets (-0.6%) | | | | (511,660 | ) |
| | | | | | | | |
| |
Net Assets (100.0%) | | | $ | 89,252,306 | |
| | | | | | | | |
Notes to the Schedule of Investments:
| (1) | | Non-income producing security. |
| (2) | | Rate disclosed is the 7-day net yield as of October 31, 2021. |
See accompanying Notes to Financial Statements.
53
TCW Relative Value Mid Cap Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Aerospace & Defense | | | 3.1 | % |
Airlines | | | 1.4 | |
Auto Components | | | 0.8 | |
Banks | | | 11.8 | |
Capital Markets | | | 4.3 | |
Chemicals | | | 3.1 | |
Communications Equipment | | | 1.3 | |
Construction & Engineering | | | 1.5 | |
Consumer Finance | | | 1.8 | |
Diversified Financial Services | | | 1.3 | |
Electronic Equipment, Instruments & Components | | | 4.6 | |
Energy Equipment & Services | | | 2.2 | |
Equity Real Estate | | | 2.8 | |
Food Products | | | 1.0 | |
Health Care Equipment & Supplies | | | 1.5 | |
Health Care Providers & Services | | | 9.3 | |
Hotels, Restaurants & Leisure | | | 1.9 | |
Household Durables | | | 8.8 | |
Independent Power and Renewable Electricity Producers | | | 2.4 | |
Industrial Conglomerates | | | 1.1 | |
Insurance | | | 2.8 | |
Internet & Direct Marketing Retail | | | 2.4 | |
IT Services | | | 1.2 | |
Machinery | | | 7.4 | |
Media | | | 2.1 | |
Metals & Mining | | | 2.5 | |
Multi-Utilities | | | 0.7 | |
Multiline Retail | | | 0.4 | |
Oil, Gas & Consumable Fuels | | | 1.8 | |
Personal Products | | | 1.1 | |
Pharmaceuticals | | | 2.0 | |
Professional Services | | | 2.4 | |
Real Estate Management & Development | | | 1.4 | |
Semiconductors & Semiconductor Equipment | | | 1.0 | |
Software | | | 0.6 | |
Specialty Retail | | | 4.2 | |
Money Market Investments | | | 0.6 | |
| | | | |
Total | | | 100.6 | % |
| | | | |
See accompanying Notes to Financial Statements.
54
TCW Relative Value Mid Cap Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | $ | 2,738,949 | | | $ | — | | | $ | — | | | $ | 2,738,949 | |
Airlines | | | 1,207,807 | | | | — | | | | — | | | | 1,207,807 | |
Auto Components | | | 693,402 | | | | — | | | | — | | | | 693,402 | |
Banks | | | 10,571,966 | | | | — | | | | — | | | | 10,571,966 | |
Capital Markets | | | 3,826,704 | | | | — | | | | — | | | | 3,826,704 | |
Chemicals | | | 2,736,694 | | | | — | | | | — | | | | 2,736,694 | |
Communications Equipment | | | 1,201,818 | | | | — | | | | — | | | | 1,201,818 | |
Construction & Engineering | | | 1,296,923 | | | | — | | | | — | | | | 1,296,923 | |
Consumer Finance | | | 1,610,441 | | | | — | | | | — | | | | 1,610,441 | |
Diversified Financial Services | | | 1,157,224 | | | | — | | | | — | | | | 1,157,224 | |
Electronic Equipment, Instruments & Components | | | 4,072,720 | | | | — | | | | — | | | | 4,072,720 | |
Energy Equipment & Services | | | 1,980,778 | | | | — | | | | — | | | | 1,980,778 | |
Equity Real Estate | | | 2,508,829 | | | | — | | | | — | | | | 2,508,829 | |
Food Products | | | 935,185 | | | | — | | | | — | | | | 935,185 | |
Health Care Equipment & Supplies | | | 1,303,219 | | | | — | | | | — | | | | 1,303,219 | |
Health Care Providers & Services | | | 8,306,694 | | | | — | | | | — | | | | 8,306,694 | |
Hotels, Restaurants & Leisure | | | 1,671,002 | | | | — | | | | — | | | | 1,671,002 | |
Household Durables | | | 7,828,880 | | | | — | | | | — | | | | 7,828,880 | |
Independent Power and Renewable Electricity Producers | | | 2,108,407 | | | | — | | | | — | | | | 2,108,407 | |
Industrial Conglomerates | | | 963,906 | | | | — | | | | — | | | | 963,906 | |
Insurance | | | 2,509,494 | | | | — | | | | — | | | | 2,509,494 | |
Internet & Direct Marketing Retail | | | 2,096,374 | | | | — | | | | — | | | | 2,096,374 | |
IT Services | | | 1,110,832 | | | | — | | | | — | | | | 1,110,832 | |
Machinery | | | 6,645,548 | | | | — | | | | — | | | | 6,645,548 | |
Media | | | 1,911,477 | | | | — | | | | — | | | | 1,911,477 | |
Metals & Mining | | | 2,216,993 | | | | — | | | | — | | | | 2,216,993 | |
Multi-Utilities | | | 656,146 | | | | — | | | | — | | | | 656,146 | |
Multiline Retail | | | 334,056 | | | | — | | | | — | | | | 334,056 | |
Oil, Gas & Consumable Fuels | | | 1,613,988 | | | | — | | | | — | | | | 1,613,988 | |
Personal Products | | | 945,715 | | | | — | | | | — | | | | 945,715 | |
Pharmaceuticals | | | 1,827,379 | | | | — | | | | — | | | | 1,827,379 | |
Professional Services | | | 2,169,349 | | | | — | | | | — | | | | 2,169,349 | |
Real Estate Management & Development | | | 1,273,849 | | | | — | | | | — | | | | 1,273,849 | |
Semiconductors & Semiconductor Equipment | | | 909,257 | | | | — | | | | — | | | | 909,257 | |
Software | | | 549,434 | | | | — | | | | — | | | | 549,434 | |
Specialty Retail | | | 3,777,318 | | | | — | | | | — | | | | 3,777,318 | |
| | | | | | | | | | | | | | | | |
Total Common Stock | | | 89,268,757 | | | | — | | | | — | | | | 89,268,757 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 495,209 | | | | — | | | | — | | | | 495,209 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 89,763,966 | | | $ | — | | | $ | — | | | $ | 89,763,966 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
55
TCW Select Equities Fund
Schedule of Investments | October 31, 2021 |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
COMMON STOCK — 98.5% of Net Assets | |
|
| Capital Markets — 3.6% | |
| | |
Charles Schwab Corp. (The) | | | 249,468 | | | $ | 20,463,860 | |
| | |
S&P Global, Inc. | | | 31,652 | | | | 15,008,113 | |
| | | | | | | | |
| |
| | | | 35,471,973 | |
| | | | | | | | |
|
| Commercial Services & Supplies — 1.6% | |
| | |
Waste Connections, Inc. (Canada) | | | 117,532 | | | | 15,985,527 | |
| | | | | | | | |
|
| Entertainment — 2.6% | |
| | |
Netflix, Inc. (1) | | | 38,218 | | | | 26,382,268 | |
| | | | | | | | |
|
| Equity Real Estate — 5.4% | |
| | |
American Tower Corp. | | | 132,507 | | | | 37,362,999 | |
| | |
Equinix, Inc. | | | 19,609 | | | | 16,414,106 | |
| | | | | | | | |
| |
| | | | 53,777,105 | |
| | | | | | | | |
|
| Food & Staples Retailing — 2.3% | |
| | |
Costco Wholesale Corp. | | | 47,637 | | | | 23,415,491 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies — 7.2% | |
| | |
Align Technology, Inc. (1) | | | 47,273 | | | | 29,515,843 | |
| | |
Boston Scientific Corp. (1) | | | 366,979 | | | | 15,827,804 | |
| | |
DexCom, Inc. (1) | | | 42,457 | | | | 26,459,627 | |
| | | | | | | | |
| |
| | | | 71,803,274 | |
| | | | | | | | |
|
| Interactive Media & Services — 11.4% | |
| | |
Alphabet, Inc. — Class C (1) | | | 23,693 | | | | 70,259,459 | |
| | |
Meta Platforms, Inc. (1) | | | 134,974 | | | | 43,673,537 | |
| | | | | | | | |
| |
| | | | 113,932,996 | |
| | | | | | | | |
|
| Internet & Direct Marketing Retail — 6.1% | |
| | |
Amazon.com, Inc. (1) | | | 17,865 | | | | 60,248,462 | |
| | | | | | | | |
|
| IT Services — 13.0% | |
| | |
Mastercard, Inc. | | | 73,755 | | | | 24,746,278 | |
| | |
PayPal Holdings, Inc. (1) | | | 176,594 | | | | 41,073,998 | |
| | |
Snowflake, Inc. (1) | | | 40,394 | | | | 14,293,013 | |
| | |
Twilio, Inc. (1) | | | 45,788 | | | | 13,340,792 | |
| | |
Visa, Inc. | | | 171,069 | | | | 36,227,282 | |
| | | | | | | | |
| |
| | | | 129,681,363 | |
| | | | | | | | |
|
| Life Sciences Tools & Services — 3.1% | |
| | |
Illumina, Inc. (1) | | | 18,743 | | | | 7,779,470 | |
| | |
IQVIA Holdings, Inc. (1) | | | 86,751 | | | | 22,678,446 | |
| | | | | | | | |
| |
| | | | 30,457,916 | |
| | | | | | | | |
|
| Pharmaceuticals — 2.9% | |
| | |
Zoetis, Inc. | | | 134,939 | | | | 29,173,812 | |
| | | | | | | | |
|
| Professional Services — 4.8% | |
| | |
IHS Markit, Ltd. | | | 192,779 | | | | 25,200,071 | |
| | |
TransUnion | | | 196,680 | | | | 22,675,237 | |
| | | | | | | | |
| |
| | | | 47,875,308 | |
| | | | | | | | |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| Semiconductors & Semiconductor Equipment — 8.7% | |
| | |
ASML Holding NV (Netherlands) | | | 33,773 | | | $ | 27,453,396 | |
| | |
NVIDIA Corp. | | | 230,440 | | | | 58,916,595 | |
| | | | | | | | |
| |
| | | | 86,369,991 | |
| | | | | | | | |
|
| Software — 20.1% | |
| | |
Adobe, Inc. (1) | | | 97,800 | | | | 63,605,208 | |
| | |
Salesforce.com, Inc. (1) | | | 147,953 | | | | 44,340,034 | |
| | |
ServiceNow, Inc. (1) | | | 88,703 | | | | 61,893,405 | |
| | |
Splunk, Inc. (1) | | | 26,568 | | | | 4,378,938 | |
| | |
Trade Desk, Inc. (The) (1) | | | 341,503 | | | | 25,581,990 | |
| | | | | | | | |
| |
| | | | 199,799,575 | |
| | | | | | | | |
|
| Specialty Retail — 4.0% | |
| | |
Home Depot, Inc. (The) | | | 65,219 | | | | 24,244,511 | |
| | |
Ulta Beauty, Inc. (1) | | | 41,145 | | | | 15,115,027 | |
| | | | | | | | |
| |
| | | | 39,359,538 | |
| | | | | | | | |
|
| Textiles, Apparel & Luxury Goods — 1.7% | |
| | |
NIKE, Inc. — Class B | | | 101,249 | | | | 16,937,945 | |
| | | | | | | | |
|
Total Common Stock | |
| |
(Cost: $254,075,065) | | | | 980,672,544 | |
| | | | | | | | |
|
| MONEY MARKET INVESTMENTS — 1.0% | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | | | 9,789,302 | | | | 9,789,302 | |
| | | | | | | | |
|
Total Money Market Investments | |
| |
(Cost: $9,789,302) | | | | 9,789,302 | |
| | | | | | | | |
| |
Total Investments (99.5%) (Cost: $263,864,367) | | | | 990,461,846 | |
| | | | | | | | |
| |
| Excess of Other Assets over Liabilities (0.5%) | | | 4,861,888 | |
| | | | | | | | |
| |
| Net Assets (100.0%) | | | $995,323,734 | |
| | | | | | | | |
Notes to the Schedule of Investments:
| (1) | | Non-income producing security. |
| (2) | | Rate disclosed is the 7-day net yield as of October 31, 2021. |
See accompanying Notes to Financial Statements.
56
TCW Select Equities Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Capital Markets | | | 3.6 | % |
Commercial Services & Supplies | | | 1.6 | |
Entertainment | | | 2.6 | |
Equity Real Estate | | | 5.4 | |
Food & Staples Retailing | | | 2.3 | |
Health Care Equipment & Supplies | | | 7.2 | |
Interactive Media & Services | | | 11.4 | |
Internet & Direct Marketing Retail | | | 6.1 | |
IT Services | | | 13.0 | |
Life Sciences Tools & Services | | | 3.1 | |
Pharmaceuticals | | | 2.9 | |
Professional Services | | | 4.8 | |
Semiconductors & Semiconductor Equipment | | | 8.7 | |
Software | | | 20.1 | |
Specialty Retail | | | 4.0 | |
Textiles, Apparel & Luxury Goods | | | 1.7 | |
Money Market Investments | | | 1.0 | |
| | | | |
Total | | | 99.5 | % |
| | | | |
See accompanying Notes to Financial Statements.
57
TCW Select Equities Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | $ | 35,471,973 | | | $ | — | | | $ | — | | | $ | 35,471,973 | |
Commercial Services & Supplies | | | 15,985,527 | | | | — | | | | — | | | | 15,985,527 | |
Entertainment | | | 26,382,268 | | | | — | | | | — | | | | 26,382,268 | |
Equity Real Estate | | | 53,777,105 | | | | — | | | | — | | | | 53,777,105 | |
Food & Staples Retailing | | | 23,415,491 | | | | — | | | | — | | | | 23,415,491 | |
Health Care Equipment & Supplies | | | 71,803,274 | | | | — | | | | — | | | | 71,803,274 | |
Interactive Media & Services | | | 113,932,996 | | | | — | | | | — | | | | 113,932,996 | |
Internet & Direct Marketing Retail | | | 60,248,462 | | | | — | | | | — | | | | 60,248,462 | |
IT Services | | | 129,681,363 | | | | — | | | | — | | | | 129,681,363 | |
Life Sciences Tools & Services | | | 30,457,916 | | | | — | | | | — | | | | 30,457,916 | |
Pharmaceuticals | | | 29,173,812 | | | | — | | | | — | | | | 29,173,812 | |
Professional Services | | | 47,875,308 | | | | — | | | | — | | | | 47,875,308 | |
Semiconductors & Semiconductor Equipment | | | 86,369,991 | | | | — | | | | — | | | | 86,369,991 | |
Software | | | 199,799,575 | | | | — | | | | — | | | | 199,799,575 | |
Specialty Retail | | | 39,359,538 | | | | — | | | | — | | | | 39,359,538 | |
Textiles, Apparel & Luxury Goods | | | 16,937,945 | | | | — | | | | — | | | | 16,937,945 | |
| | | | | | | | | | | | | | | | |
Total Common Stock | | | 980,672,544 | | | | — | | | | — | | | | 980,672,544 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 9,789,302 | | | | — | | | | — | | | | 9,789,302 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 990,461,846 | | | $ | — | | | $ | — | | | $ | 990,461,846 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
58
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 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) | | $ | 18,933,368 | | | $ | 1,347,825 | | | $ | 42,100,253 | | | $ | 234,182,722 | |
Investment in Affiliated Issuers, at Value | | | — | | | | 34,680,318 | (2) | | | — | | | | — | |
Receivable for Securities Sold | | | — | | | | — | | | | — | | | | 4,064,675 | |
Receivable for Fund Shares Sold | | | 51,213 | | | | — | | | | 174,899 | | | | 195,530 | |
Interest and Dividends Receivable | | | 1,313 | | | | 31,611 | | | | 18,407 | | | | 19,244 | |
Foreign Tax Reclaims Receivable | | | — | | | | — | | | | 4,488 | | | | — | |
Receivable from Investment Advisor | | | 31,001 | | | | 3,192 | | | | 33,347 | | | | 3,537 | |
Cash Collateral Held for Brokers | | | — | | | | — | | | | — | | | | 3 | |
Prepaid Expenses | | | 6,346 | | | | 20,760 | | | | 7,876 | | | | 12,369 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 19,023,241 | | | | 36,083,706 | | | | 42,339,270 | | | | 238,478,080 | |
| | | | | | | | | | | | | | | | |
LIABILITIES | |
Payable for Securities Purchased | | | — | | | | 23,885 | | | | 2,643,233 | | | | 6,301,265 | |
Payable for Fund Shares Redeemed | | | 15,097 | | | | — | | | | — | | | | 49,719 | |
Accrued Directors’ Fees and Expenses | | | 10,134 | | | | 10,134 | | | | 10,134 | | | | 10,134 | |
Deferred Accrued Directors’ Fees and Expenses | | | 1,170 | | | | 1,170 | | | | 1,170 | | | | 1,170 | |
Accrued Management Fees | | | 10,922 | | | | — | | | | 25,745 | | | | 122,962 | |
Accrued Distribution Fees | | | 1,128 | | | | 164 | | | | 2,539 | | | | 6,244 | |
Options Written, at Value (3) | | | — | | | | — | | | | 22,050 | | | | — | |
Transfer Agent Fees Payable | | | 4,612 | | | | 5,786 | | | | 2,918 | | | | 26,355 | |
Administration Fee Payable | | | 13,567 | | | | 15,749 | | | | 13,775 | | | | 29,189 | |
Audit Fees Payable | | | 16,108 | | | | 13,085 | | | | 15,694 | | | | 19,363 | |
Accounting Fees Payable | | | 2,289 | | | | 3,740 | | | | 2,299 | | | | 12,324 | |
Custodian Fees Payable | | | 9,283 | | | | 6,703 | | | | 13,667 | | | | 10,942 | |
Legal Fees Payable | | | 450 | | | | 62 | | | | 279 | | | | 594 | |
Other Accrued Expenses | | | 3,078 | | | | 3,818 | | | | 2,917 | | | | 16,575 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 87,838 | | | | 84,296 | | | | 2,756,420 | | | | 6,606,836 | |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 18,935,403 | | | $ | 35,999,410 | | | $ | 39,582,850 | | | $ | 231,871,244 | |
| | | | | | | | | | | | | | | | |
NET ASSETS CONSIST OF: | |
Paid-in Capital | | $ | 12,195,074 | | | $ | 27,135,200 | | | $ | 34,005,518 | | | $ | 128,200,766 | |
Accumulated Earnings | | | 6,740,329 | | | | 8,864,210 | | | | 5,577,332 | | | | 103,670,478 | |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 18,935,403 | | | $ | 35,999,410 | | | $ | 39,582,850 | | | $ | 231,871,244 | |
| | | | | | | | | | | | | | | | |
NET ASSETS ATTRIBUTABLE TO: | |
I Class Share | | $ | 13,452,342 | | | $ | 35,263,802 | | | $ | 24,949,343 | | | $ | 201,523,384 | |
| | | | | | | | | | | | | | | | |
N Class Share | | $ | 5,483,061 | | | $ | 735,608 | | | $ | 14,633,507 | | | $ | 30,347,860 | |
| | | | | | | | | | | | | | | | |
CAPITAL SHARES OUTSTANDING: (4) | |
I Class Share | | | 538,364 | | | | 2,525,912 | | | | 1,614,886 | | | | 6,337,480 | |
| | | | | | | | | | | | | | | | |
N Class Share | | | 220,108 | | | | 52,652 | | | | 948,354 | | | | 959,286 | |
| | | | | | | | | | | | | | | | |
NET ASSET VALUE PER SHARE: (5) | |
I Class Share | | $ | 24.99 | | | $ | 13.96 | | | $ | 15.45 | | | $ | 31.80 | |
| | | | | | | | | | | | | | | | |
N Class Share | | $ | 24.91 | | | $ | 13.97 | | | $ | 15.43 | | | $ | 31.64 | |
| | | | | | | | | | | | | | | | |
| (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 October 31, 2021 was $12,949,761, $1,208,597, $38,623,210 and $156,724,532, respectively. |
| (2) | The identified cost for investments in affiliated issuers of the TCW Conservative Allocation Fund was $28,490,883. |
| (3) | Premium received $61,940. |
| (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.
59
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 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) | | $ | 279,923,855 | | | $ | 126,992,098 | | | $ | 89,763,966 | | | $ | 990,461,846 | |
Receivable for Securities Sold | | | — | | | | 785,168 | | | | 175,390 | | | | 15,418,960 | |
Receivable for Fund Shares Sold | | | 5,862 | | | | 9,996 | | | | 117 | | | | 309,451 | |
Interest and Dividends Receivable | | | 417,473 | | | | 202,588 | | | | 34,001 | | | | 143,831 | |
Foreign Tax Reclaims Receivable | | | 177,140 | | | | — | | | | — | | | | — | |
Receivable from Investment Advisor | | | 50,044 | | | | 34,733 | | | | 30,311 | | | | 15,149 | |
Prepaid Expenses | | | 13,729 | | | | 18,275 | | | | 19,708 | | | | 24,748 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 280,588,103 | | | | 128,042,858 | | | | 90,023,493 | | | | 1,006,373,985 | |
| | | | | | | | | | | | | | | | |
LIABILITIES | |
Payable for Securities Purchased | | | — | | | | 125,488 | | | | 636,194 | | | | 1,842,799 | |
Payable for Fund Shares Redeemed | | | 62,624 | | | | 40,156 | | | | 12 | | | | 8,279,866 | |
Accrued Directors’ Fees and Expenses | | | 10,134 | | | | 10,134 | | | | 10,134 | | | | 10,134 | |
Deferred Accrued Directors’ Fees and Expenses | | | 1,170 | | | | 1,170 | | | | 1,170 | | | | 1,170 | |
Accrued Management Fees | | | 140,774 | | | | 64,457 | | | | 52,549 | | | | 536,485 | |
Accrued Distribution Fees | | | 42,351 | | | | 2,171 | | | | 3,511 | | | | 39,953 | |
Transfer Agent Fees Payable | | | 50,208 | | | | 17,611 | | | | 6,714 | | | | 135,590 | |
Administration Fee Payable | | | 31,608 | | | | 21,114 | | | | 18,293 | | | | 83,826 | |
Audit Fees Payable | | | 19,404 | | | | 19,168 | | | | 19,412 | | | | 21,905 | |
Accounting Fees Payable | | | 13,842 | | | | 7,137 | | | | 5,253 | | | | 47,467 | |
Custodian Fees Payable | | | 7,494 | | | | 8,796 | | | | 8,866 | | | | 6,294 | |
Legal Fees Payable | | | 822 | | | | 543 | | | | 385 | | | | 2,143 | |
Other Accrued Expenses | | | 19,718 | | | | 14,321 | | | | 8,694 | | | | 42,619 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 400,149 | | | | 332,266 | | | | 771,187 | | | | 11,050,251 | |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 280,187,954 | | | $ | 127,710,592 | | | $ | 89,252,306 | | | $ | 995,323,734 | |
| | | | | | | | | | | | | | | | |
NET ASSETS CONSIST OF: | |
Paid-in Capital | | $ | 159,852,073 | | | $ | 62,190,885 | | | $ | 46,200,806 | | | $ | 157,113,739 | |
Accumulated Earnings | | | 120,335,881 | | | | 65,519,707 | | | | 43,051,500 | | | | 838,209,995 | |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 280,187,954 | | | $ | 127,710,592 | | | $ | 89,252,306 | | | $ | 995,323,734 | |
| | | | | | | | | | | | | | | | |
NET ASSETS ATTRIBUTABLE TO: | |
I Class Share | | $ | 78,001,182 | | | $ | 117,205,021 | | | $ | 72,544,556 | | | $ | 801,597,053 | |
| | | | | | | | | | | | | | | | |
N Class Share | | $ | 202,186,772 | | | $ | 10,505,571 | | | $ | 16,707,750 | | | $ | 193,726,681 | |
| | | | | | | | | | | | | | | | |
CAPITAL SHARES OUTSTANDING: (2) | |
I Class Share | | | 3,526,291 | | | | 7,793,281 | | | | 2,449,197 | | | | 17,931,940 | |
| | | | | | | | | | | | | | | | |
N Class Share | | | 8,965,536 | | | | 701,777 | | | | 581,192 | | | | 4,997,824 | |
| | | | | | | | | | | | | | | | |
NET ASSET VALUE PER SHARE: (3) | |
I Class Share | | $ | 22.12 | | | $ | 15.04 | | | $ | 29.62 | | | $ | 44.70 | |
| | | | | | | | | | | | | | | | |
N Class Share | | $ | 22.55 | | | $ | 14.97 | | | $ | 28.75 | | | $ | 38.76 | |
| | | | | | | | | | | | | | | | |
| (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 October 31, 2021 was $181,402,026, $70,471,595, $56,064,552 and $263,864,367, 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.
60
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 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 | | $ | 64,060 | (1) | | $ | 19,233 | | | $ | 843,896 | (1) | | $ | 931,972 | (1) |
Dividends from Investment in Affiliated Issuers | | | — | | | | 507,205 | | | | — | | | | — | |
Non-Cash Dividend Income | | | — | | | | — | | | | 7,190 | | | | 1,571,750 | |
| | | | | | | | | | | | | | | | |
Total | | | 64,060 | | | | 526,438 | | | | 851,086 | | | | 2,503,722 | |
| | | | | | | | | | | | | | | | |
Expenses: | |
Management Fees | | | 114,743 | | | | — | | | | 199,426 | | | | 1,384,161 | |
Accounting Services Fees | | | 2,464 | | | | 4,140 | | | | 2,349 | | | | 13,291 | |
Administration Fees | | | 14,752 | | | | 17,104 | | | | 14,954 | | | | 31,431 | |
Transfer Agent Fees: | |
I Class | | | 10,269 | | | | 16,161 | | | | 8,114 | | | | 93,821 | |
N Class | | | 8,872 | | | | 6,788 | | | | 7,146 | | | | 39,583 | |
Custodian Fees | | | 9,906 | | | | 7,826 | | | | 15,374 | | | | 12,498 | |
Professional Fees | | | 25,230 | | | | 20,760 | | | | 25,704 | | | | 33,335 | |
Directors’ Fees and Expenses | | | 43,054 | | | | 43,054 | | | | 43,054 | | | | 43,054 | |
Registration Fees: | |
I Class | | | 13,083 | | | | 27,889 | | | | 16,271 | | | | 23,360 | |
N Class | | | 16,823 | | | | 17,790 | | | | 16,383 | | | | 19,393 | |
Distribution Fees: | |
N Class | | | 12,559 | | | | 1,950 | | | | 18,876 | | | | 74,199 | |
Compliance Expense | | | 18,984 | | | | 18,984 | | | | 18,984 | | | | 18,984 | |
Shareholder Reporting Expense | | | 2,675 | | | | 2,531 | | | | 1,527 | | | | 4,848 | |
Other | | | 6,301 | | | | 7,597 | | | | 7,958 | | | | 30,828 | |
| | | | | | | | | | | | | | | | |
Total | | | 299,715 | | | | 192,574 | | | | 396,120 | | | | 1,822,786 | |
| | | | | | | | | | | | | | | | |
Less Expenses Borne by Investment Advisor: | |
I Class | | | 86,259 | | | | — | | | | 92,947 | | | | — | |
N Class | | | 60,902 | | | | 23,792 | | | | 65,418 | | | | 31,896 | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 152,554 | | | | 168,782 | | | | 237,755 | | | | 1,790,890 | |
| | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | (88,494 | ) | | | 357,656 | | | | 613,331 | | | | 712,832 | |
| | | | | | | | | | | | | | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investments | | | 1,118,544 | | | | 8,913 | | | | 3,195,989 | | | | 33,508,827 | |
Investments in Affiliated Issuers | | | — | | | | 2,276,586 | | | | — | | | | — | |
Realized Gain Received as Distribution from Affiliated Issuers | | | — | | | | 793,752 | | | | — | | | | — | |
Foreign Currency | | | — | | | | — | | | | (13,603 | ) | | | (14,476 | ) |
Options Written | | | — | | | | — | | | | 68,374 | | | | — | |
Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | 3,428,225 | | | | 179,561 | | | | 2,947,372 | | | | 35,985,483 | |
Foreign Currency | | | — | | | | — | | | | (946 | ) | | | — | |
Investments in Affiliated Issuers | | | — | | | | 2,046,825 | | | | — | | | | — | |
Options Written | | | — | | | | — | | | | 48,513 | | | | — | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 4,546,769 | | | | 5,305,637 | | | | 6,245,699 | | | | 69,479,834 | |
| | | | | | | | | | | | | | | | |
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 4,458,275 | | | $ | 5,663,293 | | | $ | 6,859,030 | | | $ | 70,192,666 | |
| | | | | | | | | | | | | | | | |
| (1) | Net of foreign taxes withheld of $406, $24,583 and $26,317 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.
61
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 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 | | $ | 6,790,270 | (1) | | $ | 2,500,503 | | | $ | 1,163,164 | (1) | | $ | 3,564,837 | (1) |
| | | | | | | | | | | | | | | | |
Total | | | 6,790,270 | | | | 2,500,503 | | | | 1,163,164 | | | | 3,564,837 | |
| | | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | |
Management Fees | | | 1,592,751 | | | | 745,692 | | | | 550,870 | | | | 5,820,168 | |
Accounting Services Fees | | | 13,059 | | | | 5,332 | | | | 5,322 | | | | 49,578 | |
Administration Fees | | | 33,725 | | | | 22,484 | | | | 19,690 | | | | 91,503 | |
Transfer Agent Fees: | | | | | | | | | | | | | | | | |
I Class | | | 40,887 | | | | 70,400 | | | | 33,153 | | | | 566,970 | |
N Class | | | 201,868 | | | | 17,824 | | | | 18,559 | | | | 157,837 | |
Custodian Fees | | | 7,495 | | | | 9,394 | | | | 9,744 | | | | 6,252 | |
Professional Fees | | | 31,638 | | | | 29,767 | | | | 31,265 | | | | 41,127 | |
Directors’ Fees and Expenses | | | 43,054 | | | | 43,054 | | | | 43,054 | | | | 43,054 | |
Registration Fees: | | | | | | | | | | | | | | | | |
I Class | | | 17,613 | | | | 22,119 | | | | 17,627 | | | | 25,731 | |
N Class | | | 16,951 | | | | 16,727 | | | | 17,376 | | | | 19,669 | |
Distribution Fees: | | | | | | | | | | | | | | | | |
N Class | | | 481,261 | | | | 26,826 | | | | 38,756 | | | | 429,059 | |
Compliance Expense | | | 18,984 | | | | 18,984 | | | | 18,984 | | | | 18,984 | |
Shareholder Reporting Expense | | | 5,689 | | | | 4,662 | | | | 4,598 | | | | 6,304 | |
Other | | | 32,847 | | | | 14,749 | | | | 14,612 | | | | 78,406 | |
| | | | | | | | | | | | | | | | |
Total | | | 2,537,822 | | | | 1,048,014 | | | | 823,610 | | | | 7,354,642 | |
| | | | | | | | | | | | | | | | |
Less Expenses Borne by Investment Advisor: | | | | | | | | | | | | | | | | |
I Class | | | 34,347 | | | | 113,753 | | | | 73,915 | | | | — | |
N Class | | | 260,346 | | | | 42,861 | | | | 65,291 | | | | 143,451 | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 2,243,129 | | | | 891,400 | | | | 684,404 | | | | 7,211,191 | |
| | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | 4,547,141 | | | | 1,609,103 | | | | 478,760 | | | | (3,646,354 | ) |
| | | | | | | | | | | | | | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Investments | | | 31,551,258 | | | | 11,175,560 | | | | 12,750,073 | | | | 126,960,492 | |
Foreign Currency | | | — | | | | — | | | | — | | | | (102 | ) |
Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | 65,949,490 | | | | 33,219,423 | | | | 19,424,042 | | | | 175,902,597 | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 97,500,748 | | | | 44,394,983 | | | | 32,174,115 | | | | 302,862,987 | |
| | | | | | | | | | | | | | | | |
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 102,047,889 | | | $ | 46,004,086 | | | $ | 32,652,875 | | | $ | 299,216,633 | |
| | | | | | | | | | | | | | | | |
| (1) | Net of foreign taxes withheld of $37,285, $7,901 and $35,991 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.
62
TCW Funds, Inc.
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | TCW
Artificial Intelligence Equity
Fund | | | TCW
Conservative Allocation
Fund | |
| | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | (88,494 | ) | | $ | (27,567 | ) | | $ | 357,656 | | | $ | 474,038 | |
Net Realized Gain on Investments | | | 1,118,544 | | | | 5,394 | | | | 3,079,251 | | | | 777,604 | |
Change in Unrealized Appreciation on Investments | | | 3,428,225 | | | | 2,054,506 | | | | 2,226,386 | | | | 982,958 | |
| | | | | | | | | | | | | | | | |
Increase in Net Assets Resulting from Operations | | | 4,458,275 | | | | 2,032,333 | | | | 5,663,293 | | | | 2,234,600 | |
| | | | | | | | | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
Distributions to Shareholders | | | — | | | | — | | | | (575,016 | ) | | | (1,914,869 | ) |
| | | | | | | | | | | | | | | | |
NET CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
I Class | | | 3,584,599 | | | | 2,368,542 | | | | (6,446,027 | ) | | | 6,821,453 | |
N Class | | | 527,992 | | | | 2,034,367 | | | | 190,512 | | | | 110,453 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | | | 4,112,591 | | | | 4,402,909 | | | | (6,255,515 | ) | | | 6,931,906 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | 8,570,866 | | | | 6,435,242 | | | | (1,167,238 | ) | | | 7,251,637 | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of year | | | 10,364,537 | | | | 3,929,295 | | | | 37,166,648 | | | | 29,915,011 | |
| | | | | | | | | | | | | | | | |
End of year | | $ | 18,935,403 | | | $ | 10,364,537 | | | $ | 35,999,410 | | | $ | 37,166,648 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
63
TCW Funds, Inc.
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | TCW
Global Real Estate
Fund | | | TCW
New America Premier Equities
Fund | |
| | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 613,331 | | | $ | 100,822 | | | $ | 712,832 | | | $ | 9,701 | |
Net Realized Gain (Loss) on Investments, Options Written and Foreign Currency Transactions | | | 3,250,760 | | | | 230,373 | | | | 33,494,351 | | | | (4,331,020 | ) |
Change in Unrealized Appreciation (Depreciation) on Investments, Options Written and Foreign Currency Transactions | | | 2,994,939 | | | | (717,082 | ) | | | 35,985,483 | | | | 22,429,848 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Operations | | | 6,859,030 | | | | (385,887 | ) | | | 70,192,666 | | | | 18,108,529 | |
| | | | | | | | | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
Distributions to Shareholders | | | (564,453 | ) | | | (97,923 | ) | | | (7,812 | ) | | | (1,541,399 | ) |
Return of Capital | | | — | | | | (37,297 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions to Shareholders | | | (564,453 | ) | | | (135,220 | ) | | | (7,812 | ) | | | (1,541,399 | ) |
| | | | | | | | | | | | | | | | |
NET CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
I Class | | | 11,493,157 | | | | 3,064,682 | | | | (12,185,199 | ) | | | 36,474,946 | |
N Class | | | 8,250,122 | | | | 3,825,874 | | | | (9,645,097 | ) | | | (25,097,539 | ) |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | | | 19,743,279 | | | | 6,890,556 | | | | (21,830,296 | ) | | | 11,377,407 | |
| | | | | | | | | | | | | | | | |
Increase in Net Assets | | | 26,037,856 | | | | 6,369,449 | | | | 48,354,558 | | | | 27,944,537 | |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of year | | | 13,544,994 | | | | 7,175,545 | | | | 183,516,686 | | | | 155,572,149 | |
| | | | | | | | | | | | | | | | |
End of year | | $ | 39,582,850 | | | $ | 13,544,994 | | | $ | 231,871,244 | | | $ | 183,516,686 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
64
TCW Funds, Inc.
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | TCW Relative
Value Dividend
Appreciation Fund | | | TCW Relative
Value Large Cap
Fund | |
| | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 4,547,141 | | | $ | 5,897,496 | | | $ | 1,609,103 | | | $ | 2,111,918 | |
Net Realized Gain (Loss) on Investments | | | 31,551,258 | | | | (1,561,309 | ) | | | 11,175,560 | | | | 10,057,184 | |
Change in Unrealized Appreciation (Depreciation) on Investments | | | 65,949,490 | | | | (32,819,637 | ) | | | 33,219,423 | | | | (20,110,484 | ) |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Operations | | | 102,047,889 | | | | (28,483,450 | ) | | | 46,004,086 | | | | (7,941,382 | ) |
| | | | | | | | | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
Distributions to Shareholders | | | (4,599,952 | ) | | | (25,577,883 | ) | | | (8,614,565 | ) | | | (60,477,632 | ) |
| | | | | | | | | | | | | | | | |
NET CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
I Class | | | (3,786,668 | ) | | | (17,011,449 | ) | | | (275,969 | ) | | | 9,084,745 | |
N Class | | | (21,732,783 | ) | | | (32,303,970 | ) | | | (2,445,033 | ) | | | 3,924,831 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | | | (25,519,451 | ) | | | (49,315,419 | ) | | | (2,721,002 | ) | | | 13,009,576 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | 71,928,486 | | | | (103,376,752 | ) | | | 34,668,519 | | | | (55,409,438 | ) |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of year | | | 208,259,468 | | | | 311,636,220 | | | | 93,042,073 | | | | 148,451,511 | |
| | | | | | | | | | | | | | | | |
End of year | | $ | 280,187,954 | | | $ | 208,259,468 | | | $ | 127,710,592 | | | $ | 93,042,073 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
65
TCW Funds, Inc.
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | TCW Relative
Value Mid Cap
Fund | | | TCW
Select Equities
Fund | |
| | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 478,760 | | | $ | 599,770 | | | $ | (3,646,354 | ) | | $ | (2,691,047 | ) |
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | | | 12,750,073 | | | | (1,737,138 | ) | | | 126,960,390 | | | | 174,442,240 | |
Change in Unrealized Appreciation (Depreciation) on Investments | | | 19,424,042 | | | | (5,134,498 | ) | | | 175,902,597 | | | | 20,731,898 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Operations | | | 32,652,875 | | | | (6,271,866 | ) | | | 299,216,633 | | | | 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 | | | (4,606,270 | ) | | | (6,218,927 | ) | | | (27,266,527 | ) | | | (217,705,461 | ) |
N Class | | | (194,515 | ) | | | (1,968,584 | ) | | | (12,802,651 | ) | | | (305,765 | ) |
| | | | | | | | | | | | | | | | |
Decrease in Net Assets Resulting from Net Capital Shares Transactions | | | (4,800,785 | ) | | | (8,187,511 | ) | | | (40,069,178 | ) | | | (218,011,226 | ) |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | 27,329,271 | | | | (16,481,563 | ) | | | 200,015,895 | | | | (107,102,974 | ) |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of year | | | 61,923,035 | | | | 78,404,598 | | | | 795,307,839 | | | | 902,410,813 | |
| | | | | | | | | | | | | | | | |
End of year | | $ | 89,252,306 | | | $ | 61,923,035 | | | $ | 995,323,734 | | | $ | 795,307,839 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
66
TCW Funds, Inc.
Notes to Financial Statements | October 31, 2021 |
Note 1 — Organization
TCW Funds, Inc. (the “Company”), a Maryland corporation, 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. |
67
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 1 — Organization (Continued)
| | |
TCW Fund | | Investment Objectives and Principal Investment
Strategies |
| |
| 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. |
| |
| 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 of the Funds currently 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
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TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
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 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, swap agreements and forward currency contracts, 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.
69
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
| | |
| Level 1 — | | quoted prices in active markets for identical investments. |
| Level 2 — | | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.). |
| Level 3 — | | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized as 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 as Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are generally categorized as Level 2 of the fair value hierarchy; if a discount is applied and significant, they are categorized as Level 3. Restricted securities held in non-public entities are categorized as 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 as 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 as Level 1.
Options contracts. Options contracts traded on securities exchanges are fair valued using market mid prices; as such, they are categorized as 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
70
TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
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 as Level 2; otherwise, the fair values would be categorized as Level 3.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, issued by non-public entities are categorized as 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 as 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 as Level 1 of the fair value hierarchy.
The summary of the inputs used as of October 31, 2021 in valuing the Funds’ investments is listed after the Schedule of Investments for each Fund.
The Funds held no investments or other financial instruments at October 31, 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.
71
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
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.
72
TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
For the year ended October 31, 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) | | $ | 69,150 | |
| | | | |
Total Value | | $ | 69,150 | |
| | | | |
Liability Derivatives | |
Written Options | | $ | (22,050 | ) |
| | | | |
Total Value | | $ | (22,050 | ) |
| | | | |
Statement of Operations: | |
Net Realized Gain (Loss) | |
Investments (2) | | $ | (382,536 | ) |
Options Written | | | 68,374 | |
| | | | |
Net Realized Gain (Loss) | | $ | (314,162 | ) |
| | | | |
Net Change in Appreciation (Depreciation) | |
Investments (3) | | $ | (100,901 | ) |
Options Written | | | 48,513 | |
| | | | |
Net Change in Appreciation (Depreciation) | | $ | (52,388 | ) |
| | | | |
Number of Contracts (4) | |
Options Purchased | | | 1,171 | |
Options Written | | | 406 | |
| (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 year ended October 31, 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 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.
73
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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, 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
74
TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
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 October 31, 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 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,
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 3 — Portfolio Investments (Continued)
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 year ended October 31, 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 the 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 October 31, 2021.
Securities 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 year ended October 31, 2021.
Derivatives:
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.
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TCW Funds, Inc.
October 31, 2021
Note 3 — Portfolio Investments (Continued)
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 year ended October 31, 2021, the 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, and so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Counterparty Risk: The Funds may be exposed to counterparty risk, 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
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 4 — Risk Considerations (Continued)
over short or extended periods. The value of stocks and other equity securities will be affected by changes in a company’s financial condition and in overall market, economic and political conditions.
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 outbreak of the novel coronavirus (“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.
The World Health Organization declared in March 2020 that the COVID-19 outbreak officially constitutes a “pandemic.” 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, imposed and in some cases 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.
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. Even if COVID-19’s spread is substantially contained, it will be difficult to assess what the longer-term impacts of an extended period of unprecedented economic dislocation and disruption will be on future economic developments, the health of certain markets, industries and businesses, and commercial and consumer behavior. The ongoing COVID-19 crisis and any other public health emergency that may arise in the future 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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TCW Funds, Inc.
October 31, 2021
Note 5 — Federal Income Taxes (Continued)
At October 31, 2021, the components of distributable earnings on a tax basis were as follows:
| | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Gain | | | Total
Distributable
Earnings | |
TCW Artificial Intelligence Equity Fund | | $ | 48,966 | | | $ | 766,227 | | | $ | 815,193 | |
TCW Conservative Allocation Fund | | | 755,142 | | | | 1,974,573 | | | | 2,729,715 | |
TCW Global Real Estate Fund | | | 2,797,620 | | | | 444,438 | | | | 3,242,058 | |
TCW New America Premier Equities Fund | | | 13,074,757 | | | | 13,352,129 | | | | 26,426,886 | |
TCW Relative Value Dividend Appreciation Fund | | | 309,485 | | | | 24,822,229 | | | | 25,131,714 | |
TCW Relative Value Large Cap Fund | | | 1,978,411 | | | | 7,970,616 | | | | 9,949,027 | |
TCW Relative Value Mid Cap Fund | | | — | | | | 9,768,687 | | | | 9,768,687 | |
TCW Select Equities Fund | | | — | | | | 115,373,781 | | | | 115,373,781 | |
At the end of the previous fiscal year ended 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 | |
Permanent differences incurred during the year ended October 31, 2021 resulting from differences in book and tax accounting, have been reclassified at year-end between undistributed net investment income (loss), undistributed (accumulated) net realized gain (loss) and paid-in capital as follows, with no impact to the net asset value per share:
| | | | | | | | | | | | |
| | | Undistributed
Net Investment
Income (Loss) | | | Undistributed
Accumulated
Net Realized
Gain (Loss) | | | Paid-in
Capital | |
TCW Artificial Intelligence Equity Fund | | $ | 115,473 | | | $ | (212,889 | ) | | $ | 97,416 | |
TCW Conservative Allocation Fund | | | 246,519 | | | | (521,716 | ) | | | 275,197 | |
TCW Global Real Estate Fund | | | 70,366 | | | | (705,290 | ) | | | 634,924 | |
TCW New America Premier Equities Fund | | | (92,715 | ) | | | (2,620,697 | ) | | | 2,713,412 | |
TCW Relative Value Dividend Appreciation Fund | | | (138,741 | ) | | | (1,293,545 | ) | | | 1,432,286 | |
TCW Relative Value Large Cap Fund | | | (61,286 | ) | | | (1,503,854 | ) | | | 1,565,140 | |
TCW Relative Value Mid Cap Fund | | | (39,208 | ) | | | (712,347 | ) | | | 751,555 | |
TCW Select Equities Fund | | | 1,759,820 | | | | (11,529,191 | ) | | | 9,769,371 | |
During the year ended October 31, 2021, the tax character of distributions paid was as follows:
| | | | | | | | | | | | |
| | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
TCW Conservative Allocation Fund | | $ | 367,007 | | | $ | 208,009 | | | $ | 575,016 | |
TCW Global Real Estate Fund | | | 564,453 | | | | — | | | | 564,453 | |
TCW New America Premier Equities Fund | | | 7,812 | | | | — | | | | 7,812 | |
TCW Relative Value Dividend Appreciation Fund | | | 4,599,952 | | | | — | | | | 4,599,952 | |
TCW Relative Value Large Cap Fund | | | 1,781,283 | | | | 6,833,282 | | | | 8,614,565 | |
TCW Relative Value Mid Cap Fund | | | 511,122 | | | | 11,697 | | | | 522,819 | |
TCW Select Equities Fund | | | — | | | | 59,131,560 | | | | 59,131,560 | |
79
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 5 — Federal Income Taxes (Continued)
During the previous 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, 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 | | $ | 6,150,238 | | | $ | (223,053 | ) | | $ | 5,927,185 | | | $ | 13,006,183 | |
TCW Conservative Allocation Fund | | | 6,156,478 | | | | (21,981 | ) | | | 6,134,497 | | | | 29,893,646 | |
TCW Global Real Estate Fund | | | 2,838,695 | | | | (542,543 | ) | | | 2,296,152 | | | | 39,804,101 | |
TCW New America Premier Equities Fund | | | 79,287,757 | | | | (2,044,165 | ) | | | 77,243,592 | | | | 156,939,130 | |
TCW Relative Value Dividend Appreciation Fund | | | 100,283,286 | | | | (5,079,118 | ) | | | 95,204,168 | | | | 184,719,687 | |
TCW Relative Value Large Cap Fund | | | 56,437,886 | | | | (867,205 | ) | | | 55,570,681 | | | | 71,421,417 | |
TCW Relative Value Mid Cap Fund | | | 33,775,343 | | | | (492,534 | ) | | | 33,282,809 | | | | 56,481,157 | |
TCW Select Equities Fund | | | 727,771,443 | | | | (1,173,987 | ) | | | 726,597,456 | | | | 263,864,390 | |
At October 31, 2021, none of the Funds had net realized loss carryforwards for federal income tax purposes.
The Funds did not have any unrecognized tax benefits at October 31, 2021, nor were there any increases or decreases in unrecognized tax benefits for the year ended October 31, 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 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.
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TCW Funds, Inc.
October 31, 2021
Note 6 — Fund Management Fees and Other Expenses (Continued)
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets:
| | | | |
TCW Artificial Intelligence Equity Fund | | | | |
I Class | | | 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 October 31, 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.
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which are shown on the Statements of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. 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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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 8 — Transactions with Affiliates
The ownership percentage of the TCW Conservative Allocation Fund in each of the affiliated underlying funds at October 31, 2021 is as follows:
| | | | |
Name of Affiliated Fund | | Ownership
Percentage (1) | |
Metropolitan West High Yield Bond Fund | | | 0.04 | % |
Metropolitan West Low Duration Bond Fund | | | 0.14 | % |
Metropolitan West Total Return Bond Fund | | | 0.00 | % (2) |
Metropolitan West Unconstrained Bond Fund | | | 0.16 | % |
TCW Artificial Intelligence Equity Fund | | | 2.26 | % |
TCW Emerging Markets Income Fund | | | 0.00 | % (2) |
TCW Enhanced Commodity Strategy Fund | | | 31.41 | % |
TCW Global Bond Fund | | | 2.22 | % |
TCW Global Real Estate Fund | | | 4.77 | % |
TCW New America Premier Equities Fund | | | 1.30 | % |
TCW Relative Value Large Cap Fund | | | 3.01 | % |
TCW Relative Value Mid Cap Fund | | | 1.13 | % |
TCW Select Equities Fund | | | 0.35 | % |
TCW Total Return Bond Fund | | | 0.08 | % |
| (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.
Note 9 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the year ended October 31, 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 | | $ | 16,910,897 | | | $ | 13,526,376 | | | $ | — | | | $ | — | |
TCW Conservative Allocation Fund | | | 9,911,691 | | | | 15,122,429 | | | | — | | | | — | |
TCW Global Real Estate Fund | | | 58,284,159 | | | | 39,234,657 | | | | — | | | | — | |
TCW New America Premier Equities Fund | | | 282,619,571 | | | | 306,524,998 | | | | — | | | | — | |
TCW Relative Value Dividend Appreciation Fund | | | 44,152,366 | | | | 71,120,044 | | | | — | | | | — | |
TCW Relative Value Large Cap Fund | | | 20,609,496 | | | | 31,631,955 | | | | — | | | | — | |
TCW Relative Value Mid Cap Fund | | | 34,189,565 | | | | 38,509,079 | | | | — | | | | — | |
TCW Select Equities Fund | | | 72,152,038 | | | | 188,438,276 | | | | — | | | | — | |
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TCW Funds, Inc.
October 31, 2021
Note 10 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
| | | | | | | | | | | | | | | | |
| TCW Artificial Intelligence Equity Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 309,702 | | | $ | 6,792,040 | | | | 380,921 | | | $ | 6,163,899 | |
Shares Issued upon Reinvestment of Dividends | | | — | | | | — | | | | — | | | | — | |
Shares Redeemed | | | (144,091 | ) | | | (3,207,441 | ) | | | (239,602 | ) | | | (3,795,357 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 165,611 | | | $ | 3,584,599 | | | | 141,319 | | | $ | 2,368,542 | |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 95,479 | | | $ | 2,092,816 | | | | 163,420 | | | $ | 2,761,039 | |
Shares Issued upon Reinvestment of Dividends | | | — | | | | — | | | | — | | | | — | |
Shares Redeemed | | | (69,019 | ) | | | (1,564,824 | ) | | | (47,702 | ) | | | (726,672 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 26,460 | | | $ | 527,992 | | | | 115,718 | | | $ | 2,034,367 | |
| | | | | | | | | | | | | | | | |
| | |
| TCW Conservative Allocation Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 181,547 | | | $ | 2,391,227 | | | | 776,254 | | | $ | 9,358,826 | |
Shares Issued upon Reinvestment of Dividends | | | 41,608 | | | | 539,660 | | | | 161,527 | | | | 1,860,793 | |
Shares Redeemed | | | (702,396 | ) | | | (9,376,914 | ) | | | (377,533 | ) | | | (4,398,166 | ) |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) | | | (479,241 | ) | | $ | (6,446,027 | ) | | | 560,248 | | | $ | 6,821,453 | |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 27,941 | | | $ | 359,099 | | | | 24,005 | | | $ | 283,173 | |
Shares Issued upon Reinvestment of Dividends | | | 647 | | | | 8,418 | | | | 1,926 | | | | 22,240 | |
Shares Redeemed | | | (12,962 | ) | | | (177,005 | ) | | | (17,894 | ) | | | (194,960 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 15,626 | | | $ | 190,512 | | | | 8,037 | | | $ | 110,453 | |
| | | | | | | | | | | | | | | | |
| | |
| TCW Global Real Estate Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 1,273,852 | | | $ | 18,692,927 | | | | 395,732 | | | $ | 4,486,776 | |
Shares Issued upon Reinvestment of Dividends | | | 24,035 | | | | 344,526 | | | | 10,694 | | | | 117,234 | |
Shares Redeemed | | | (511,725 | ) | | | (7,544,296 | ) | | | (161,678 | ) | | | (1,539,328 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 786,162 | | | $ | 11,493,157 | | | | 244,748 | | | $ | 3,064,682 | |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 637,111 | | | $ | 9,467,842 | | | | 336,584 | | | $ | 3,831,300 | |
Shares Issued upon Reinvestment of Dividends | | | 11,222 | | | | 160,691 | | | | 1,410 | | | | 15,470 | |
Shares Redeemed | | | (94,985 | ) | | | (1,378,411 | ) | | | (1,925 | ) | | | (20,896 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 553,348 | | | $ | 8,250,122 | | | | 336,069 | | | $ | 3,825,874 | |
| | | | | | | | | | | | | | | | |
| | |
| TCW New America Premier Equities Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 1,394,893 | | | $ | 38,541,475 | | | | 4,458,919 | | | $ | 92,791,854 | |
Shares Issued upon Reinvestment of Dividends | | | 227 | | | | 6,065 | | | | 47,686 | | | | 1,009,510 | |
Shares Redeemed | | | (1,845,496 | ) | | | (50,732,739 | ) | | | (2,804,515 | ) | | | (57,326,418 | ) |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) | | | (450,376 | ) | | $ | (12,185,199 | ) | | | 1,702,090 | | | $ | 36,474,946 | |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 112,163 | | | $ | 3,146,542 | | | | 1,485,275 | | | $ | 31,087,553 | |
Shares Issued upon Reinvestment of Dividends | | | 44 | | | | 1,183 | | | | 21,947 | | | | 464,614 | |
Shares Redeemed | | | (475,416 | ) | | | (12,792,822 | ) | | | (2,752,069 | ) | | | (56,649,706 | ) |
| | | | | | | | | | | | | | | | |
Net Decrease | | | (363,209 | ) | | $ | (9,645,097 | ) | | | (1,244,847 | ) | | $ | (25,097,539 | ) |
| | | | | | | | | | | | | | | | |
83
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 10 — Capital Share Transactions (Continued)
| | | | | | | | | | | | | | | | |
| TCW Relative Value Dividend Appreciation Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 278,183 | | | $ | 5,364,754 | | | | 209,380 | | | $ | 3,207,634 | |
Shares Issued upon Reinvestment of Dividends | | | 60,207 | | | | 1,192,525 | | | | 415,359 | | | | 7,006,552 | |
Shares Redeemed | | | (523,686 | ) | | | (10,343,947 | ) | | | (1,841,949 | ) | | | (27,225,635 | ) |
| | | | | | | | | | | | | | | | |
Net Decrease | | | (185,296 | ) | | $ | (3,786,668 | ) | | | (1,217,210 | ) | | $ | (17,011,449 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 112,874 | | | $ | 2,300,844 | | | | 174,861 | | | $ | 2,734,400 | |
Shares Issued upon Reinvestment of Dividends | | | 158,146 | | | | 3,191,091 | | | | 1,050,840 | | | | 18,014,759 | |
Shares Redeemed | | | (1,369,844 | ) | | | (27,224,718 | ) | | | (3,403,875 | ) | | | (53,053,129 | ) |
| | | | | | | | | | | | | | | | |
Net Decrease | | | (1,098,824 | ) | | $ | (21,732,783 | ) | | | (2,178,174 | ) | | $ | (32,303,970 | ) |
| | | | | | | | | | | | | | | | |
| | |
| TCW Relative Value Large Cap Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 2,034,463 | | | $ | 28,169,006 | | | | 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 | | | (2,590,672 | ) | | | (35,914,215 | ) | | | (6,756,746 | ) | | | (80,123,102 | ) |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) | | | 67,788 | | | $ | (275,969 | ) | | | 399,111 | | | $ | 9,084,745 | |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 276,683 | | | $ | 3,832,606 | | | | 310,191 | | | $ | 4,490,483 | |
Shares Issued upon Reinvestment of Dividends | | | 71,171 | | | | 849,069 | | | | 425,019 | | | | 5,265,990 | |
Shares Redeemed | | | (505,506 | ) | | | (7,126,708 | ) | | | (495,293 | ) | | | (5,831,642 | ) |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) | | | (157,652 | ) | | $ | (2,445,033 | ) | | | 239,917 | | | $ | 3,924,831 | |
| | | | | | | | | | | | | | | | |
| | |
| TCW Relative Value Mid Cap Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 514,977 | | | $ | 14,595,767 | | | | 241,604 | | | $ | 4,126,223 | |
Shares Issued upon Reinvestment of Dividends | | | 18,931 | | | | 432,563 | | | | 72,767 | | | | 1,634,356 | |
Shares Redeemed | | | (784,303 | ) | | | (19,634,600 | ) | | | (651,699 | ) | | | (11,979,506 | ) |
| | | | | | | | | | | | | | | | |
Net Decrease | | | (250,395 | ) | | $ | (4,606,270 | ) | | | (337,328 | ) | | $ | (6,218,927 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 63,908 | | | $ | 1,804,264 | | | | 21,051 | | | $ | 408,055 | |
Shares Issued upon Reinvestment of Dividends | | | 3,625 | | | | 80,472 | | | | 15,774 | | | | 344,185 | |
Shares Redeemed | | | (80,738 | ) | | | (2,079,251 | ) | | | (148,958 | ) | | | (2,720,824 | ) |
| | | | | | | | | | | | | | | | |
Net Decrease | | | (13,205 | ) | | $ | (194,515 | ) | | | (112,133 | ) | | $ | (1,968,584 | ) |
| | | | | | | | | | | | | | | | |
| | |
| TCW Select Equities Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 2,176,136 | | | $ | 84,266,235 | | | | 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 | | | (3,676,735 | ) | | | (142,039,181 | ) | | | (15,162,850 | ) | | | (381,316,351 | ) |
| | | | | | | | | | | | | | | | |
Net Decrease | | | (634,677 | ) | | $ | (27,266,527 | ) | | | (9,291,477 | ) | | $ | (217,705,461 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 501,368 | | | $ | 17,766,764 | | | | 795,528 | | | $ | 20,070,967 | |
Shares Issued upon Reinvestment of Dividends | | | 398,820 | | | | 12,199,905 | | | | 524,250 | | | | 12,639,676 | |
Shares Redeemed | | | (1,298,645 | ) | | | (42,769,320 | ) | | | (1,305,237 | ) | | | (33,016,408 | ) |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) | | | (398,457 | ) | | $ | (12,802,651 | ) | | | 14,541 | | | $ | (305,765 | ) |
| | | | | | | | | | | | | | | | |
84
TCW Funds, Inc.
October 31, 2021
Note 11 — Affiliate Ownership
As of October 31, 2021, affiliates of the Funds and Advisor owned 38.00%, 36.31%, and 6.06% of the net assets of the TCW Artificial Intelligence Equity Fund, the TCW Global Real Estate Fund, and the TCW Relative Value Large 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 October 31, 2021.
Note 13 — Committed Line Of Credit
The Funds have entered into a $100,000,000 committed revolving line of credit agreement with 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 year ended October 31, 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 — 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.
85
TCW Artificial Intelligence Equity Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| | |
| | | Year Ended October 31, | | | August 31, 2017
(Commencement
of Operations)
through
October 31, 2017 | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net Asset Value per Share, Beginning of year | | $ | 18.31 | | | $ | 12.70 | | | $ | 11.18 | | | $ | 10.64 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Loss | | | (0.11 | ) | | | (0.06 | ) | | | (0.02 | ) | | | (0.04 | ) | | | (0.00 | ) (1) |
Net Realized and Unrealized Gain on Investments (2) | | | 6.79 | | | | 5.67 | | | | 1.54 | | | | 0.58 | | | | 0.64 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 6.68 | | | | 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 year | | $ | 24.99 | | | $ | 18.31 | | | $ | 12.70 | | | $ | 11.18 | | | $ | 10.64 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 36.48 | % | | | 44.17 | % | | | 13.60 | % | | | 5.09 | % | | | 6.40 | % (3) |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 13,452 | | | $ | 6,826 | | | $ | 2,940 | | | $ | 1,364 | | | $ | 695 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 1.66 | % | | | 2.81 | % | | | 6.36 | % | | | 8.32 | % | | | 23.66 | % (4) |
| | | | | |
After Expense Reimbursement | | | 0.90 | % | | | 0.90 | % | | | 0.92 | % | | | 1.05 | % | | | 1.05 | % (4) |
| | | | | |
Ratio of Net Investment Income (Loss) to Average Net Assets | | | (0.51 | )% | | | (0.41 | )% | | | (0.17 | )% | | | (0.34 | )% | | | 0.23 | % (4) |
| | | | | |
Portfolio Turnover Rate | | | 87.71 | % | | | 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. |
See accompanying Notes to Financial Statements.
86
TCW Artificial Intelligence Equity Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| | |
| | | Year Ended October 31, | | | August 31, 2017
(Commencement
of Operations)
through
October 31, 2017 | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net Asset Value per Share, Beginning of year | | $ | 18.27 | | | $ | 12.69 | | | $ | 11.17 | | | $ | 10.64 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Loss | | | (0.14 | ) | | | (0.08 | ) | | | (0.03 | ) | | | (0.04 | ) | | | (0.00 | ) (1) |
Net Realized and Unrealized Gain on Investments (2) | | | 6.78 | | | | 5.66 | | | | 1.55 | | | | 0.57 | | | | 0.64 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 6.64 | | | | 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 year | | $ | 24.91 | | | $ | 18.27 | | | $ | 12.69 | | | $ | 11.17 | | | $ | 10.64 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 36.34 | % | | | 43.97 | % | | | 13.61 | % | | | 5.00 | % | | | 6.40 | % (3) |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 5,483 | | | $ | 3,539 | | | $ | 989 | | | $ | 693 | | | $ | 532 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 2.21 | % | | | 3.83 | % | | | 7.99 | % | | | 9.60 | % | | | 26.07 | % (4) |
| | | | | |
After Expense Reimbursement | | | 1.00 | % | | | 1.00 | % | | | 1.01 | % | | | 1.05 | % | | | 1.05 | % (4) |
| | | | | |
Ratio of Net Investment Income (Loss) to Average Net Assets | | | (0.61 | )% | | | (0.53 | )% | | | (0.25 | )% | | | (0.33 | )% | | | 0.25 | % (4) |
| | | | | |
Portfolio Turnover Rate | | | 87.71 | % | | | 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. |
See accompanying Notes to Financial Statements.
87
TCW Conservative Allocation Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 12.22 | | | $ | 12.09 | | | $ | 11.68 | | | $ | 12.17 | | | $ | 12.13 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.13 | | | | 0.18 | | | | 0.24 | | | | 0.20 | | | | 0.15 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 1.80 | | | | 0.76 | | | | 0.89 | | | | (0.19 | ) | | | 0.67 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.93 | | | | 0.94 | | | | 1.13 | | | | 0.01 | | | | 0.82 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.12 | ) | | | (0.71 | ) | | | (0.21 | ) | | | (0.20 | ) | | | (0.29 | ) |
Distributions from Net Realized Gain | | | (0.07 | ) | | | (0.10 | ) | | | (0.51 | ) | | | (0.30 | ) | | | (0.49 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.19 | ) | | | (0.81 | ) | | | (0.72 | ) | | | (0.50 | ) | | | (0.78 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 13.96 | | | $ | 12.22 | | | $ | 12.09 | | | $ | 11.68 | | | $ | 12.17 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 15.92 | % | | | 8.19 | % | | | 10.46 | % | | | 0.04 | % | | | 7.28 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 35,264 | | | $ | 36,714 | | | $ | 29,565 | | | $ | 27,925 | | | $ | 30,144 | |
| | | | | |
Ratio of Expenses to Average Net Assets (2) | | | 0.44 | % | | | 0.39 | % | | | 0.44 | % | | | 0.37 | % | | | 0.36 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 0.94 | % | | | 1.56 | % | | | 2.03 | % | | | 1.68 | % | | | 1.26 | % |
| | | | | |
Portfolio Turnover Rate | | | 26.34 | % | | | 26.22 | % | | | 21.66 | % | | | 19.79 | % | | | 55.53 | % |
| (1) | Computed using average shares outstanding throughout the period. |
| (2) | Does not include expenses of the underlying affiliated funds. |
See accompanying Notes to Financial Statements.
88
TCW Conservative Allocation Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 12.22 | | | $ | 12.09 | | | $ | 11.67 | | | $ | 12.15 | | | $ | 12.07 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.09 | | | | 0.15 | | | | 0.20 | | | | 0.15 | | | | 0.11 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 1.81 | | | | 0.75 | | | | 0.90 | | | | (0.18 | ) | | | 0.66 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.90 | | | | 0.90 | | | | 1.10 | | | | (0.03 | ) | | | 0.77 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.08 | ) | | | (0.67 | ) | | | (0.17 | ) | | | (0.15 | ) | | | (0.20 | ) |
Distributions from Net Realized Gain | | | (0.07 | ) | | | (0.10 | ) | | | (0.51 | ) | | | (0.30 | ) | | | (0.49 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.15 | ) | | | (0.77 | ) | | | (0.68 | ) | | | (0.45 | ) | | | (0.69 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 13.97 | | | $ | 12.22 | | | $ | 12.09 | | | $ | 11.67 | | | $ | 12.15 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 15.64 | % | | | 7.85 | % | | | 10.16 | % | | | (0.35 | )% | | | 6.74 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 736 | | | $ | 452 | | | $ | 350 | | | $ | 518 | | | $ | 532 | |
|
Ratio of Expenses to Average Net Assets: (2) | |
| | | | | |
Before Expense Reimbursement | | | 3.73 | % | | | 6.06 | % | | | 6.89 | % | | | 5.14 | % | | | 3.30 | % |
| | | | | |
After Expense Reimbursement | | | 0.68 | % | | | 0.70 | % | | | 0.74 | % | | | 0.76 | % | | | 0.81 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 0.70 | % | | | 1.23 | % | | | 1.75 | % | | | 1.28 | % | | | 0.89 | % |
| | | | | |
Portfolio Turnover Rate | | | 26.34 | % | | | 26.22 | % | | | 21.66 | % | | | 19.79 | % | | | 55.53 | % |
| (1) | Computed using average shares outstanding throughout the period. |
| (2) | Does not include expenses of the underlying affiliated funds. |
See accompanying Notes to Financial Statements.
89
TCW Global Real Estate Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 11.07 | | | $ | 11.16 | | | $ | 9.30 | | | $ | 10.10 | | | $ | 9.42 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.36 | | | | 0.17 | | | | 0.33 | | | | 0.25 | | | | 0.25 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 4.30 | | | | (0.05 | ) | | | 1.78 | | | | (0.85 | ) | | | 0.70 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 4.66 | | | | 0.12 | | | | 2.11 | | | | (0.60 | ) | | | 0.95 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.28 | ) | | | (0.16 | ) | | | (0.25 | ) | | | (0.20 | ) | | | (0.27 | ) |
Distributions from Return of Capital | | | — | | | | (0.05 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.28 | ) | | | (0.21 | ) | | | (0.25 | ) | | | (0.20 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 15.45 | | | $ | 11.07 | | | $ | 11.16 | | | $ | 9.30 | | | $ | 10.10 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 42.32 | % | | | 1.15 | % | | | 23.17 | % | | | (6.06 | )% | | | 10.28 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 24,949 | | | $ | 9,175 | | | $ | 6,518 | | | $ | 2,886 | | | $ | 2,818 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 1.45 | % | | | 2.80 | % | | | 3.15 | % | | | 3.78 | % | | | 4.38 | % |
| | | | | |
After Expense Reimbursement | | | 0.92 | % | | | 1.00 | % | | | 1.00 | % | | | 1.12 | % | | | 1.37 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 2.50 | % | | | 1.59 | % | | | 3.25 | % | | | 2.55 | % | | | 2.57 | % |
| | | | | |
Portfolio Turnover Rate | | | 164.29 | % | | | 136.71 | % | | | 85.18 | % | | | 121.67 | % | | | 74.51 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
90
TCW Global Real Estate Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 11.06 | | | $ | 11.16 | | | $ | 9.30 | | | $ | 10.10 | | | $ | 9.42 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (1) | | | 0.33 | | | | 0.13 | | | | 0.39 | | | | 0.24 | | | | 0.25 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 4.30 | | | | (0.03 | ) | | | 1.71 | | | | (0.85 | ) | | | 0.70 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 4.63 | | | | 0.10 | | | | 2.10 | | | | (0.61 | ) | | | 0.95 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.26 | ) | | | (0.15 | ) | | | (0.24 | ) | | | (0.19 | ) | | | (0.27 | ) |
Distributions from Return of Capital | | | — | | | | (0.05 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.26 | ) | | | (0.20 | ) | | | (0.24 | ) | | | (0.19 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 15.43 | | | $ | 11.06 | | | $ | 11.16 | | | $ | 9.30 | | | $ | 10.10 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 42.10 | % | | | 0.94 | % | | | 22.99 | % | | | (6.14 | )% | | | 10.28 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net Assets, End of year (in thousands) | | $ | 14,634 | | | $ | 4,370 | | | $ | 658 | | | $ | 536 | | | $ | 581 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 1.90 | % | | | 5.14 | % | | | 7.17 | % | | | 7.65 | % | | | 7.92 | % |
| | | | | |
After Expense Reimbursement | | | 1.03 | % | | | 1.15 | % | | | 1.15 | % | | | 1.22 | % | | | 1.37 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 2.36 | % | | | 1.21 | % | | | 3.88 | % | | | 2.46 | % | | | 2.51 | % |
| | | | | |
Portfolio Turnover Rate | | | 164.29 | % | | | 136.71 | % | | | 85.18 | % | | | 121.67 | % | | | 74.51 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
91
TCW New America Premier Equities Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 22.64 | | | $ | 20.34 | | | $ | 16.27 | | | $ | 15.24 | | | $ | 11.23 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) (1) | | | 0.11 | | | | 0.01 | | | | 0.11 | | | | (0.02 | ) | | | 0.01 | |
Net Realized and Unrealized Gain on Investments | | | 9.05 | | | | 2.48 | | | | 4.18 | | | | 1.59 | | | | 4.22 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 9.16 | | | | 2.49 | | | | 4.29 | | | | 1.57 | | | | 4.23 | |
| | | | | | | | | | | | | | | | | | | | |
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 year | | $ | 31.80 | | | $ | 22.64 | | | $ | 20.34 | | | $ | 16.27 | | | $ | 15.24 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 40.46 | % | | | 12.31 | % | | | 26.79 | % | | | 10.60 | % | | | 38.41 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 201,523 | | | $ | 153,647 | | | $ | 103,442 | | | $ | 28,486 | | | $ | 16,527 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 0.80 | % | | | 0.83 | % | | | 0.93 | % | | | 1.28 | % | | | 1.79 | % |
| | | | | |
After Expense Reimbursement | | | N/A | | | | N/A | | | | 0.82 | % | | | 1.04 | % | | | 1.04 | % |
| | | | | |
Ratio of Net Investment Income (Loss) to Average Net Assets | | | 0.37 | % | | | 0.03 | % | | | 0.56 | % | | | (0.13 | )% | | | 0.11 | % |
| | | | | |
Portfolio Turnover Rate | | | 135.09 | % | | | 88.08 | % | | | 105.28 | % | | | 49.68 | % | | | 114.48 | % |
| (1) | Computed using average shares outstanding throughout the period. |
| (2) | Amount rounds to less than $0.01 per share. |
See accompanying Notes to Financial Statements.
92
TCW New America Premier Equities Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 22.59 | | | $ | 20.31 | | | $ | 16.27 | | | $ | 15.24 | | | $ | 11.23 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) (1) | | | 0.03 | | | | (0.01 | ) | | | 0.06 | | | | (0.02 | ) | | | 0.01 | |
Net Realized and Unrealized Gain on Investments | | | 9.02 | | | | 2.44 | | | | 4.20 | | | | 1.59 | | | | 4.22 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 9.05 | | | | 2.43 | | | | 4.26 | | | | 1.57 | | | | 4.23 | |
| | | | | | | | | | | | | | | | | | | | |
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 year | | $ | 31.64 | | | $ | 22.59 | | | $ | 20.31 | | | $ | 16.27 | | | $ | 15.24 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 40.07 | % | | | 12.02 | % | | | 26.60 | % | | | 10.60 | % | | | 38.41 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 30,348 | | | $ | 29,870 | | | $ | 52,130 | | | $ | 4,879 | | | $ | 2,313 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 1.20 | % | | | 1.17 | % | | | 1.28 | % | | | 2.14 | % | | | 3.64 | % |
| | | | | |
After Expense Reimbursement | | | 1.09 | % | | | 1.05 | % | | | 1.00 | % | | | 1.04 | % | | | 1.04 | % |
| | | | | |
Ratio of Net Investment Income (Loss) to Average Net Assets | | | 0.10 | % | | | (0.05 | )% | | | 0.32 | % | | | (0.13 | )% | | | 0.11 | % |
| | | | | |
Portfolio Turnover Rate | | | 135.09 | % | | | 88.08 | % | | | 105.28 | % | | | 49.68 | % | | | 114.48 | % |
| (1) | Computed using average shares outstanding throughout the period. |
| (2) | Amount rounds to less than $0.01 per share. |
See accompanying Notes to Financial Statements.
93
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 14.91 | | | $ | 17.92 | | | $ | 17.47 | | | $ | 19.14 | | | $ | 16.95 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (1) | | | 0.37 | | | | 0.40 | | | | 0.39 | | | | 0.35 | | | | 0.48 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 7.22 | | | | (1.81 | ) | | | 1.37 | | | | (0.90 | ) | | | 2.17 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 7.59 | | | | (1.41 | ) | | | 1.76 | | | | (0.55 | ) | | | 2.65 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.38 | ) | | | (0.41 | ) | | | (0.39 | ) | | | (0.40 | ) | | | (0.46 | ) |
Distributions from Net Realized Gain | | | — | | | | (1.19 | ) | | | (0.92 | ) | | | (0.72 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.38 | ) | | | (1.60 | ) | | | (1.31 | ) | | | (1.12 | ) | | | (0.46 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 22.12 | | | $ | 14.91 | | | $ | 17.92 | | | $ | 17.47 | | | $ | 19.14 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 51.22 | % | | | (8.71 | )% | | | 11.27 | % | | | (3.28 | )% | | | 15.69 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 78,001 | | | $ | 55,326 | | | $ | 88,314 | | | $ | 95,108 | | | $ | 128,498 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.78 | % | | | 0.78 | % |
| | | | | |
After Expense Reimbursement | | | 0.70 | % | | | 0.71 | % | | | 0.74 | % | | | N/A | | | | N/A | |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 1.86 | % | | | 2.53 | % | | | 2.28 | % | | | 1.84 | % | | | 2.60 | % |
| | | | | |
Portfolio Turnover Rate | | | 17.00 | % | | | 19.68 | % | | | 17.71 | % | | | 18.48 | % | | | 23.45 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
94
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 15.20 | | | $ | 18.24 | | | $ | 17.77 | | | $ | 19.46 | | | $ | 17.23 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (1) | | | 0.34 | | | | 0.37 | | | | 0.37 | | | | 0.32 | | | | 0.43 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 7.35 | | | | (1.84 | ) | | | 1.38 | | | | (0.93 | ) | | | 2.23 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 7.69 | | | | (1.47 | ) | | | 1.75 | | | | (0.61 | ) | | | 2.66 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.34 | ) | | | (0.38 | ) | | | (0.36 | ) | | | (0.36 | ) | | | (0.43 | ) |
Distributions from Net Realized Gain | | | — | | | | (1.19 | ) | | | (0.92 | ) | | | (0.72 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.34 | ) | | | (1.57 | ) | | | (1.28 | ) | | | (1.08 | ) | | | (0.43 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 22.55 | | | $ | 15.20 | | | $ | 18.24 | | | $ | 17.77 | | | $ | 19.46 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 50.90 | % | | | (8.88 | )% | | | 11.02 | % | | | (3.52 | )% | | | 15.46 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 202,187 | | | $ | 152,934 | | | $ | 223,322 | | | $ | 411,123 | | | $ | 493,766 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 1.04 | % | | | 1.02 | % | | | 1.04 | % | | | 1.05 | % | | | 1.05 | % |
| | | | | |
After Expense Reimbursement | | | 0.90 | % | | | 0.92 | % | | | 0.96 | % | | | 1.00 | % | | | 1.00 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 1.66 | % | | | 2.32 | % | | | 2.10 | % | | | 1.62 | % | | | 2.24 | % |
| | | | | |
Portfolio Turnover Rate | | | 17.00 | % | | | 19.68 | % | | | 17.71 | % | | | 18.48 | % | | | 23.45 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
95
TCW Relative Value Large Cap Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 10.84 | | | $ | 18.69 | | | $ | 19.82 | | | $ | 24.30 | | | $ | 21.38 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (1) | | | 0.18 | | | | 0.22 | | | | 0.33 | | | | 0.28 | | | | 0.49 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 5.07 | | | | (0.57 | ) | | | 0.84 | | | | (1.18 | ) | | | 3.96 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 5.25 | | | | (0.35 | ) | | | 1.17 | | | | (0.90 | ) | | | 4.45 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.22 | ) | | | (0.49 | ) | | | (0.31 | ) | | | (0.47 | ) | | | (0.41 | ) |
Distributions from Net Realized Gain | | | (0.83 | ) | | | (7.01 | ) | | | (1.99 | ) | | | (3.11 | ) | | | (1.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (1.05 | ) | | | (7.50 | ) | | | (2.30 | ) | | | (3.58 | ) | | | (1.53 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 15.04 | | | $ | 10.84 | | | $ | 18.69 | | | $ | 19.82 | | | $ | 24.30 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 50.84 | % | | | (7.02 | )% | | | 8.13 | % | | | (5.11 | )% | | | 21.55 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 117,205 | | | $ | 83,765 | | | $ | 136,917 | | | $ | 402,035 | | | $ | 472,078 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 0.80 | % | | | 0.80 | % | | | 0.78 | % | | | 0.77 | % | | | 0.77 | % |
| | | | | |
After Expense Reimbursement | | | 0.70 | % | | | 0.71 | % | | | 0.74 | % | | | N/A | | | | N/A | |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 1.31 | % | | | 1.88 | % | | | 1.79 | % | | | 1.28 | % | | | 2.11 | % |
| | | | | |
Portfolio Turnover Rate | | | 17.16 | % | | | 31.17 | % | | | 19.47 | % | | | 20.47 | % | | | 24.44 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
96
TCW Relative Value Large Cap Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 10.79 | | | $ | 18.62 | | | $ | 19.74 | | | $ | 24.21 | | | $ | 21.31 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (1) | | | 0.15 | | | | 0.19 | | | | 0.28 | | | | 0.23 | | | | 0.44 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 5.05 | | | | (0.56 | ) | | | 0.86 | | | | (1.18 | ) | | | 3.94 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 5.20 | | | | (0.37 | ) | | | 1.14 | | | | (0.95 | ) | | | 4.38 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.19 | ) | | | (0.45 | ) | | | (0.27 | ) | | | (0.41 | ) | | | (0.36 | ) |
Distributions from Net Realized Gain | | | (0.83 | ) | | | (7.01 | ) | | | (1.99 | ) | | | (3.11 | ) | | | (1.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (1.02 | ) | | | (7.46 | ) | | | (2.26 | ) | | | (3.52 | ) | | | (1.48 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 14.97 | | | $ | 10.79 | | | $ | 18.62 | | | $ | 19.74 | | | $ | 24.21 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 50.56 | % | | | (7.17 | )% | | | 7.92 | % | | | (5.35 | )% | | | 21.27 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 10,506 | | | $ | 9,277 | | | $ | 11,535 | | | $ | 13,003 | | | $ | 16,373 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 1.30 | % | | | 1.32 | % | | | 1.24 | % | | | 1.21 | % | | | 1.16 | % |
| | | | | |
After Expense Reimbursement | | | 0.90 | % | | | 0.91 | % | | | 0.95 | % | | | 0.99 | % | | | 1.00 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 1.11 | % | | | 1.67 | % | | | 1.52 | % | | | 1.05 | % | | | 1.93 | % |
| | | | | |
Portfolio Turnover Rate | | | 17.16 | % | | | 31.17 | % | | | 19.47 | % | | | 20.47 | % | | | 24.44 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
97
TCW Relative Value Mid Cap Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 18.90 | | | $ | 21.06 | | | $ | 22.44 | | | $ | 25.96 | | | $ | 20.02 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (1) | | | 0.17 | | | | 0.17 | | | | 0.18 | | | | 0.12 | | | | 0.11 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 10.72 | | | | (1.78 | ) | | | 0.21 | | | | (1.56 | ) | | | 5.96 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 10.89 | | | | (1.61 | ) | | | 0.39 | | | | (1.44 | ) | | | 6.07 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.17 | ) | | | (0.18 | ) | | | (0.15 | ) | | | (0.13 | ) | | | (0.13 | ) |
Distributions from Net Realized Gain | | | — | | | | (0.37 | ) | | | (1.62 | ) | | | (1.95 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.17 | ) | | | (0.55 | ) | | | (1.77 | ) | | | (2.08 | ) | | | (0.13 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 29.62 | | | $ | 18.90 | | | $ | 21.06 | | | $ | 22.44 | | | $ | 25.96 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 57.90 | % | | | (8.07 | )% | | | 3.18 | % | | | (6.48 | )% | | | 30.40 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 72,545 | | | $ | 51,021 | | | $ | 63,957 | | | $ | 72,527 | | | $ | 84,136 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 0.97 | % | | | 0.97 | % | | | 0.95 | % | | | 0.92 | % | | | 0.99 | % |
| | | | | |
After Expense Reimbursement | | | 0.85 | % | | | 0.87 | % | | | 0.90 | % | | | N/A | | | | N/A | |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 0.63 | % | | | 0.90 | % | | | 0.86 | % | | | 0.48 | % | | | 0.45 | % |
| | | | | |
Portfolio Turnover Rate | | | 44.33 | % | | | 42.07 | % | | | 25.89 | % | | | 22.60 | % | | | 31.93 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
98
TCW Relative Value Mid Cap Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 18.34 | | | $ | 20.45 | | | $ | 21.82 | | | $ | 25.28 | | | $ | 19.50 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (1) | | | 0.14 | | | | 0.15 | | | | 0.15 | | | | 0.09 | | | | 0.07 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 10.42 | | | | (1.74 | ) | | | 0.21 | | | | (1.52 | ) | | | 5.80 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 10.56 | | | | (1.59 | ) | | | 0.36 | | | | (1.43 | ) | | | 5.87 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.15 | ) | | | (0.15 | ) | | | (0.11 | ) | | | (0.08 | ) | | | (0.09 | ) |
Distributions from Net Realized Gain | | | — | | | | (0.37 | ) | | | (1.62 | ) | | | (1.95 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.15 | ) | | | (0.52 | ) | | | (1.73 | ) | | | (2.03 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 28.75 | | | $ | 18.34 | | | $ | 20.45 | | | $ | 21.82 | | | $ | 25.28 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 57.78 | % | | | (8.18 | )% | | | 3.12 | % | | | (6.61 | )% | | | 30.15 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 16,708 | | | $ | 10,902 | | | $ | 14,448 | | | $ | 18,040 | | | $ | 19,095 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 1.37 | % | | | 1.42 | % | | | 1.37 | % | | | 1.31 | % | | | 1.37 | % |
| | | | | |
After Expense Reimbursement | | | 0.95 | % | | | 0.97 | % | | | 1.00 | % | | | 1.04 | % | | | 1.16 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 0.54 | % | | | 0.81 | % | | | 0.76 | % | | | 0.36 | % | | | 0.29 | % |
| | | | | |
Portfolio Turnover Rate | | | 44.33 | % | | | 42.07 | % | | | 25.89 | % | | | 22.60 | % | | | 31.93 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
99
TCW Select Equities Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 34.13 | | | $ | 27.64 | | | $ | 27.13 | | | $ | 30.42 | | | $ | 26.06 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Loss (1) | | | (0.14 | ) | | | (0.08 | ) | | | (0.06 | ) | | | (0.08 | ) | | | (0.05 | ) |
Net Realized and Unrealized Gain on Investments | | | 13.23 | | | | 9.04 | | | | 4.21 | | | | 3.37 | | | | 5.99 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 13.09 | | | | 8.96 | | | | 4.15 | | | | 3.29 | | | | 5.94 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Realized Gain | | | (2.52 | ) | | | (2.47 | ) | | | (3.64 | ) | | | (6.58 | ) | | | (1.58 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 44.70 | | | $ | 34.13 | | | $ | 27.64 | | | $ | 27.13 | | | $ | 30.42 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 40.32 | % | | | 34.59 | % | | | 18.98 | % | | | 12.59 | % | | | 24.47 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 801,597 | | | $ | 633,683 | | | $ | 770,079 | | | $ | 740,485 | | | $ | 768,535 | |
| | | | | |
Ratio of Expenses to Average Net Assets | | | 0.77 | % | | | 0.76 | % | | | 0.80 | % | | | 0.87 | % | | | 0.88 | % |
| | | | | |
Ratio of Net Investment Loss to Average Net Assets | | | (0.37 | %) | | | (0.28 | %) | | | (0.25 | %) | | | (0.29 | %) | | | (0.18 | %) |
| | | | | |
Portfolio Turnover Rate | | | 8.17 | % | | | 4.09 | % | | | 6.41 | % | | | 15.43 | % | | | 17.95 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
100
TCW Select Equities Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 29.95 | | | $ | 24.59 | | | $ | 24.61 | | | $ | 28.23 | | | $ | 24.35 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Loss (1) | | | (0.19 | ) | | | (0.13 | ) | | | (0.11 | ) | | | (0.13 | ) | | | (0.10 | ) |
Net Realized and Unrealized Gain on Investments | | | 11.52 | | | | 7.96 | | | | 3.73 | | | | 3.09 | | | | 5.56 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 11.33 | | | | 7.83 | | | | 3.62 | | | | 2.96 | | | | 5.46 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Realized Gain | | | (2.52 | ) | | | (2.47 | ) | | | (3.64 | ) | | | (6.58 | ) | | | (1.58 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 38.76 | | | $ | 29.95 | | | $ | 24.59 | | | $ | 24.61 | | | $ | 28.23 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 40.06 | % | | | 34.26 | % | | | 18.74 | % | | | 12.36 | % | | | 24.20 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 193,727 | | | $ | 161,625 | | | $ | 132,332 | | | $ | 133,252 | | | $ | 138,807 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 1.04 | % | | | 1.06 | % | | | 1.08 | % | | | 1.15 | % | | | 1.16 | % |
| | | | | |
After Expense Reimbursement | | | 0.96 | % | | | 0.99 | % | | | 1.01 | % | | | 1.08 | % | | | 1.11 | % |
| | | | | |
Ratio of Net Investment Loss to Average Net Assets | | | (0.56 | %) | | | (0.51 | %) | | | (0.45 | %) | | | (0.50 | %) | | | (0.39 | %) |
| | | | | |
Portfolio Turnover Rate | | | 8.17 | % | | | 4.09 | % | | | 6.41 | % | | | 15.43 | % | | | 17.95 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
101
TCW Funds, Inc.
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of
TCW Funds, Inc.:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of TCW Artificial Intelligence Equity Fund, TCW Conservative Allocation 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, and TCW Select Equities Fund (collectively, the “TCW Equity and Asset Allocation Funds”) (eight of eighteen funds comprising TCW Funds, Inc.), including the schedules of investments, as of October 31, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended for the TCW Equity and Asset Allocation Funds, except, TCW Artificial Intelligence Equity Fund which is for each of the four years in the period then ended and for the period August 31, 2017 (commencement of operations) to October 31, 2017, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the respective TCW Equity and Asset Allocation Funds as of October 31, 2021, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended for the TCW Equity and Asset Allocation Funds, except, TCW Artificial Intelligence Equity Fund which is for each of the four years in the period then ended and for the period August 31, 2017 (commencement of operations) to October 31, 2017, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the TCW Equity and Asset Allocation Funds’ management. Our responsibility is to express an opinion on the TCW Equity and Asset Allocation Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The TCW Equity and Asset Allocation Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the TCW Equity and Asset Allocation Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Los Angeles, California
December 21, 2021
We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.
102
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 May 1, 2021 to October 31, 2021 (184 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
May 1, 2021 | | | Ending
Account Value
October 31, 2021 | | | Annualized
Expense Ratio | | | Expenses Paid
During Period
(May 1, 2021 to
October 31, 2021) | |
| TCW Artificial Intelligence Equity Fund | | | | | | | | | | | | | | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,114.60 | | | | 0.90 | % | | $ | 4.80 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.67 | | | | 0.90 | % | | | 4.58 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,114.00 | | | | 1.00 | % | | $ | 5.33 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.16 | | | | 1.00 | % | | | 5.09 | |
| | | | |
| TCW Conservative Allocation Fund | | | | | | | | | | | | | | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,035.60 | | | | 0.54 | % (1) | | $ | 2.77 | (1) |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,022.48 | | | | 0.54 | % (1) | | | 2.75 | (1) |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,034.80 | | | | 0.68 | % (1) | | $ | 3.49 | (1) |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,021.78 | | | | 0.68 | % (1) | | | 3.47 | (1) |
| | | | |
| TCW Global Real Estate Fund | | | | | | | | | | | | | | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,081.60 | | | | 0.90 | % | | $ | 4.72 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.67 | | | | 0.90 | % | | | 4.58 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,080.40 | | | | 1.00 | % | | $ | 5.24 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.16 | | | | 1.00 | % | | | 5.09 | |
103
TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
| | | | | | | | | | | | | | | | |
TCW Funds, Inc. | | Beginning
Account Value
May 1, 2021 | | | Ending
Account Value
October 31, 2021 | | | Annualized
Expense Ratio | | | Expenses Paid
During Period
(May 1, 2021 to
October 31, 2021) | |
| TCW New America Premier Equities Fund | | | | | | | | | | | | | | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,097.70 | | | | 0.81 | % | | $ | 4.28 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,021.12 | | | | 0.81 | % | | | 4.13 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,095.90 | | | | 1.09 | % | | $ | 5.76 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,019.71 | | | | 1.09 | % | | | 5.55 | |
| | | | |
| TCW Relative Value Dividend Appreciation Fund | | | | | | | | | | | | | | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,056.80 | | | | 0.70 | % | | $ | 3.63 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,021.68 | | | | 0.70 | % | | | 3.57 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,055.20 | | | | 0.90 | % | | $ | 4.66 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.67 | | | | 0.90 | % | | | 4.58 | |
| | | | |
| TCW Relative Value Large Cap Fund | | | | | | | | | | | | | | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,043.70 | | | | 0.70 | % | | $ | 3.61 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,021.68 | | | | 0.70 | % | | | 3.57 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,042.50 | | | | 0.90 | % | | $ | 4.63 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.67 | | | | 0.90 | % | | | 4.58 | |
| | | | |
| TCW Relative Value Mid Cap Fund | | | | | | | | | | | | | | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,024.90 | | | | 0.85 | % | | $ | 4.34 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.92 | | | | 0.85 | % | | | 4.33 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,024.60 | | | | 0.95 | % | | $ | 4.85 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.42 | | | | 0.95 | % | | | 4.84 | |
| | | | |
| TCW Select Equities Fund | | | | | | | | | | | | | | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,156.80 | | | | 0.78 | % | | $ | 4.24 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,021.27 | | | | 0.78 | % | | | 3.97 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,155.60 | | | | 0.96 | % | | $ | 5.22 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.37 | | | | 0.96 | % | | | 4.89 | |
| (1) | Does not include expenses of the underlying affiliated investments. |
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Privacy Policy
The TCW Group, Inc. and Subsidiaries
TCW Investment Management Company LLC
TCW Asset Management Company LLC
Metropolitan West Asset Management, LLC
| | |
TCW Funds, Inc. TCW Strategic Income Fund, Inc. Metropolitan West Funds Sepulveda Management LLC | | TCW Direct Lending LLC TCW Direct Lending VII LLC TCW Direct Lending VIII LLC |
Effective May 2021
WHAT YOU SHOULD KNOW
At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.
We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.
We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial information,” issued by the United States Securities and Exchange Commission.
OUR PRIVACY POLICY
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC, TCW Direct Lending VII LLC, and TCW Direct Lending VIII LLC (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.
In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic, and procedural safeguards to protect your nonpublic personal and financial information.
CATEGORIES OF INFORMATION WE COLLECT
We may collect the following types of nonpublic personal and financial information about you from the following sources:
| | ◾ | Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications. |
| | ◾ | Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties. |
| | ◾ | Information about your account balances and financial transactions and other personal and financial information, from consumer credit reporting agencies or other nonaffiliated third parties, to verify information received from you or others. |
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CATEGORIES OF INFORMATION WE DISCLOSE TO NONAFFILIATED THIRD PARTIES
We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations.
We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry.
We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions.
CATEGORIES OF INFORMATION WE DISCLOSE TO OUR AFFILIATED ENTITIES
| | ◾ | We may disclose your name, address and account and other identifying numbers, account balances, information about your pending or past transactions and other personal financial information to our affiliated entities for any purpose. |
| | ◾ | We regularly disclose your name, address and account and other identifying numbers, account balances and information about your pending or past transactions to our affiliates to execute, process and confirm securities transactions or mutual fund transactions for you, to administer and service your account and commingled investment vehicles in which you are invested, or to market our products and services to you. |
INFORMATION ABOUT FORMER CUSTOMERS
We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.
QUESTIONS
Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.
REMINDER ABOUT TCW’S FINANCIAL PRODUCTS
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC, TCW Direct Lending VII LLC, and TCW Direct Lending VIII LLC.
| | ◾ | Are not guaranteed by a bank; |
| | ◾ | Are not obligations of The TCW Group, Inc. or of its subsidiaries; |
| | ◾ | Are not insured by the Federal Deposit Insurance Corporation; and |
| | ◾ | Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon. |
| | |
THE TCW GROUP, INC. TCW FUNDS, INC. TCW STRATEGIC INCOME FUND, INC. METROPOLITAN WEST FUNDS | | SEPULVEDA MANAGEMENT LLC TCW DIRECT LENDING LLC TCW DIRECT LENDING VII LLC TCW DIRECT LENDING VIII LLC |
Attention: Privacy Officer | 865 South Figueroa Street, Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com
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TCW Funds, Inc.
Investment Management and Advisory Agreement Disclosure (Unaudited)
Renewal of Investment Advisory and Management Agreement
TCW Funds, Inc. (the “Corporation”) and TCW Investment Management Company LLC (the “Advisor”) are parties to an Investment Advisory and Management Agreement (“Agreement”), pursuant to which the Advisor is responsible for managing the investments of each separate investment series (each, a “Fund” and collectively, the “Funds”) of the Corporation. Unless terminated by either party, the Agreement continues in effect from year to year provided that the continuance is specifically approved at least annually by the vote of the holders of at least a majority of the outstanding shares of the Funds, or by the Board of Directors of the Corporation (the “Board”), and, in either event, by a majority of the Directors who are not “interested persons” of the Corporation, as such term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “Independent Directors”), casting votes in person at a meeting called for that purpose.
On September 20, 2021, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2022 through February 5, 2023. The Board met by videoconference to approve that renewal, notwithstanding the in-person approval requirement that normally applies under the Investment Company Act, as permitted by relief provided by the Securities and Exchange Commission in light of the COVID-19 pandemic. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Directors) upon the recommendation of the Independent Directors. The Independent Directors also met by telephone in a working session on August 24, 2021 to hear presentations by representatives of the Advisor, to ask related questions, to review and discuss materials provided by the Advisor for their consideration, and to meet separately with their independent legal counsel. On September 20, 2021 they also met separately with their independent legal counsel to review and discuss supplemental information that had been requested on their behalf by their independent legal counsel and presented by the Advisor. The information, material facts, and conclusions that formed the basis for the Independent Directors’ recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed — During the course of each year, the Directors receive a wide variety of materials relating to the services provided by the Advisor, including reports on the Advisor’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Advisor to the Funds. In addition, the Board reviewed information furnished to the Independent Directors in response to a detailed request sent to the Advisor on their behalf. The information in the Advisor’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Advisor to its institutional clients, financial and profitability information regarding the Advisor, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Directors also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to those of appropriate peer groups of mutual funds selected by Broadridge. After reviewing this information, the Directors requested additional financial, profitability and service information from the Advisor, which the Advisor provided and the Directors considered.
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Investment Management and Advisory Agreement Disclosure (Unaudited) (Continued)
Review process — The Directors’ determinations were made on the basis of each Director’s business judgment after consideration of all the information presented. The Independent Directors were advised by their independent legal counsel throughout the renewal process and received and reviewed advice from their independent legal counsel regarding legal and industry standards applicable to the renewal of the Agreement, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Directors also discussed the renewal of the Agreement with the Advisor’s representatives and in private sessions at which no representatives of the Advisor were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Directors did not identify any single piece of information or particular factor that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.
2. Nature, extent, and quality of services provided by the Advisor
The Board and the Independent Directors considered the depth and quality of the Advisor’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Advisor; and the ability of its organizational structure to address the fluctuations in assets that had been experienced over the past several years. The Board and the Independent Directors considered the ability of the Advisor to attract and retain well-qualified investment professionals, noting in particular the Advisor’s hiring of professionals in various areas over the past several years, continued upgrading of resources in its middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Board and the Independent Directors also considered that the Advisor made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, portfolio accounting, and legal matters. They noted the substantial additional resources made available by The TCW Group, Inc., the parent company of the Advisor. The Board and the Independent Directors examined and discussed a detailed description of the extensive additional services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Advisor’s institutional and sub-advised clients, as well as the Advisor’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Advisor and the Independent Directors. The Advisor explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Directors and their meetings, regulatory filings, and various operational personnel, and the related costs.
The Board and the Independent Directors concluded that the nature, extent, and quality of the services provided by the Advisor are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.
3. Investment results
The Board and the Independent Directors considered the investment results of each Fund in light of its investment objective(s) and principal investment strategies. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2021. The Board and the Independent Directors
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reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with Broadridge. In reviewing each Fund’s relative performance, the Board and the Independent Directors took into account each Fund’s investment strategies, distinct characteristics, asset size and diversification.
The Board and the Independent Directors noted that most Funds’ performance was satisfactory over the relevant periods. The Board and the Independent Directors noted that the investment performance of most of the Funds was generally close to or above the median performance of the applicable peer group during the three-year period emphasized by Broadridge in the supplemental materials, but seven Funds ranked in the fourth or fifth quintile of their peer groups for that three-year period. For those Funds that lagged peer group averages, they noted that the Advisor had discussed with the Board the reasons for the underperformance and the actions taken or to be taken by the Advisor to address the underperformance, and they indicated that they would continue to monitor portfolio investment performance on a regular basis and discuss with the Advisor from time to time any instances of long-term underperformance as appropriate. It was observed that the relative performance of several of those Funds had improved during the most recent one-year period. In addition, the Board and the Independent Directors noted that the performance of some Funds for periods when they lagged their peer group averages remained satisfactory when assessed on a risk-adjusted basis because performance quintiles do not necessarily reflect the degree of risk employed by peer funds to achieve their returns. The Board also considered the Advisor’s assessment of the Funds’ performance during the recent period of significant market volatility.
With respect to the fixed income Funds, the Board and the Independent Directors recognized the Advisor’s deliberate strategy to manage risk in light of its critical view of the fixed income securities markets and overall investment market conditions at present and in the near term. For that reason, the Board and the Independent Directors believed that relative performance also should be considered in light of future market conditions expected by the Advisor. The Board and the Independent Directors noted the Advisor’s view that longer-term performance can be more meaningful for active fixed income funds than shorter-term performance because fixed income market cycles are generally longer than three years.
For the U.S. fixed income Funds, the Board and the Independent Directors noted the conservative profile of these Funds, which generally experienced less volatility compared to various other funds in the applicable peer group (except for the relative volatility of Total Return Bond Fund, which is a mortgage-focused Fund). They also noted the Advisor’s conservative posture for these Funds with respect to credit and interest rate risks.
For the Total Return Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the first quintile for the ten-year period, second quintile for the five-year period, first quintile for the three-year period and fourth quintile for the one-year period.
For the Core Fixed Income Fund, the Board and the Independent Directors noted that the Fund’s performance was in the third quintile for the ten- and five-year periods, second quintile for the three-year period and fourth quintile for the one-year period.
For the High Yield Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the ten- and five-year periods, first quintile for the three-year period and fifth quintile for the one-year period.
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Investment Management and Advisory Agreement Disclosure (Unaudited) (Continued)
For the Global Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the five-year period, first quintile for the three-year period and second quintile for the one-year period.
For the Short Term Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the fifth quintile for the ten-, five- and three-year periods and fourth quintile for the one-year period. The Board and the Independent Directors took into account the Advisor’s discussions of the poor relative performance, including that the Fund is generally being managed with lower interest rate risk and credit risk as compared to the peer group funds.
For the Enhanced Commodity Strategy Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the ten-, five- and three-year periods and third quintile for the one-year period.
With respect to the U.S. equity Funds, the Board and the Independent Directors noted that the performance of the Funds for most of the various periods reviewed ranked in the first, second or third quintiles.
The Select Equities Fund ranked in the second quintile for the ten- and five-year periods, first quintile for the three-year period and fourth quintile for the one-year period.
The Relative Value Dividend Appreciation Fund ranked in the third quintile for the ten-year period, fourth quintile for the five-year period, third quintile for the three-year period and first quintile for the one-year period. The Relative Value Large Cap Fund ranked in the third quintile for the ten-year and five-year periods, fourth quintile for the three-year period and second quintile for the one-year period. The Relative Value Mid Cap Fund ranked in the second quintile for the ten-year period, first quintile for the five-year period, fourth quintile for the three-year period and first quintile for the one-year period. The Board and the Independent Directors noted the Advisor’s explanation that the diversification tool used to mitigate risk of the Relative Value Funds weighed on three-year performance of the Relative Value Large Cap Fund and Relative Value Mid Cap Fund in a momentum-driven market. The Board and the Independent Directors also took into account the improved performance of the Relative Value Large Cap Fund and Relative Value Mid Cap Fund over the one-year period.
The New America Premier Equities Fund ranked in the first quintile for the five-year period, third quintile for the three-year period and fourth quintile for the one-year period.
The Global Real Estate Fund ranked in the first quintile for the five-, three- and one-year periods.
The Artificial Intelligence Equity Fund ranked in the fourth quintile for the three-year period and third quintile for the one-year period. The Board and the Independent Directors considered the Advisor’s explanation that the peer funds had greater exposure to the information technology sector, making the peer group less useful in comparing relative performance than if those funds’ principal investment strategies were more closely aligned with the Fund’s investment focus. The Board and the Independent Directors noted that the Fund’s total return performance was only 0.6% below that of the benchmark for the three-year period. The Board and the Independent Directors also noted the relatively short operating history of the Fund and determined to continue to closely monitor its performance.
For the asset allocation Fund, the Board and the Independent Directors noted that the Conservative Allocation Fund’s performance was in the first quintile for the ten-, five- and three-year periods and second quintile for the one-year period.
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With respect to the international and emerging markets Funds, the Board and the Independent Directors noted that the performance of a majority of these Funds ranked in the first, second or third quintiles over many of the various time periods reviewed. The Emerging Markets Income Fund ranked in the second quintile for the ten- and five-year periods, third quintile for the three-year period and first quintile for the one-year period. The Emerging Markets Local Currency Income Fund ranked in the second quintile for the ten-year period, third quintile for the five-year period and the fourth quintile for the three- and one-year periods. The Emerging Markets Multi-Asset Opportunities Fund ranked in the second quintile for the five-year period and fourth quintile for the three- and one-year periods. The Developing Markets Equity Fund ranked in the third quintile for the five-year period, fourth quintile for the three-year period and third quintile for the one-year period. The Board and the Independent Directors considered the Advisor’s discussion of performance, including that the challenging international and emerging market conditions in recent years weighed on performance for some Funds.
The Board and the Independent Directors concluded that the Advisor was implementing each Fund’s investment objective(s) and that the Advisor’s record in managing the Funds indicated that its continued management should benefit each Fund and its shareholders over the long term.
4. Advisory fees and total expenses
The Board and the Independent Directors compared the management fees (which Broadridge defines to include the advisory fee and the administrative fee) and total expenses of each Fund (each as a percentage of average net assets) with the median management fee and operating expense level of the other mutual funds in the relevant Broadridge peer groups. These comparisons assisted the Board and the Independent Directors by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board and the Independent Directors observed that each Fund’s management fee, after giving effect to applicable waivers and/or reimbursements, was below or near the median of the peer group funds on a current basis, with the exception of the Emerging Markets Income Fund, the Emerging Markets Local Currency Income Fund, the Emerging Markets Multi-Asset Opportunities Fund and the Conservative Allocation Fund. They also observed that each Fund’s total expenses, after giving effect to applicable waivers and/or reimbursements, were below or at the median of the peer group funds. The Board and the Independent Directors also noted the contractual expense limitations to which the Advisor has agreed with respect to each Fund and that the Advisor historically has absorbed any expenses in excess of these limits. The Board and the Independent Directors noted that for several Funds, their below-median management fee and total expenses were in part due to substantial waiver and/or reimbursement pursuant to the contractual expense limitations. The Board and the Independent Directors concluded that the competitive fees charged by the Advisor, and competitive expense ratios, should continue to benefit each Fund and its shareholders.
The Board and the Independent Directors also reviewed information regarding the advisory fees charged by the Advisor to its institutional and sub-advisory clients with similar investment mandates. The Board and the Independent Directors concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the more extensive services provided by the Advisor to the Funds and the Advisor’s significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, daily pricing, valuation and liquidity responsibilities, the supervision of vendors and service providers, and the costs of additional
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TCW Funds, Inc.
Investment Management and Advisory Agreement Disclosure (Unaudited) (Continued)
infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.
5. The Advisor’s costs, level of profits, and economies of scale
The Board and the Independent Directors reviewed information regarding the Advisor’s costs of providing services to the Funds, as well as the resulting level of profits to the Advisor. They reviewed the Advisor’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Advisor’s largest operating cost. The Board and the Independent Directors recognized that the Advisor should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board and the Independent Directors also reviewed a comparison of the Advisor’s profitability with respect to the Funds to the profitability of certain unaffiliated publicly traded asset managers, which the Advisor believed supported its view that the Advisor’s profitability was reasonable. Based on their review, the Board and the Independent Directors concluded that they were satisfied that the Advisor’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Board and the Independent Directors considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Advisor’s view that the advisory fees compare favorably to peer group fees and expenses and remain competitive even at higher asset levels and that the relatively low advisory fees reflect the potential economies of scale. The Board and the Independent Directors recognized the benefits of the Advisor’s substantial past and ongoing investment in the advisory business, such as successfully recruiting and retaining key professional talent, systems and technology upgrades, added resources dedicated to legal, compliance and cybersecurity programs, and improvements to the overall firm infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Board and the Independent Directors further noted the Advisor’s past and current subsidies of the operating expenses of newer and smaller Funds and the Advisor’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Directors also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients in addition to mutual funds. The Board and the Independent Directors considered the risk borne by the Advisor that the Funds’ net assets and thus the Advisor’s fees might decline in the event of redemptions and that smaller Funds might not grow to become profitable. The Board and the Independent Directors concluded that the Advisor was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.
6. Ancillary benefits
The Board and the Independent Directors also considered ancillary benefits received or to be received by the Advisor and its affiliates as a result of the relationship of the Advisor with the Funds, including compensation for certain compliance support services. The Board and the Independent Directors noted that, in addition to the fees the Advisor receives under the Agreement, the Advisor receives additional benefits in connection with management of the Funds in the form of reports, research and other services from brokers and their affiliates in return for brokerage commissions paid to such brokers. The Board and the Independent Directors concluded that any potential benefits received or to be derived by the Advisor from its relationships with the Funds are reasonably related to the services provided by the Advisor to the Funds.
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7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Directors concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Advisor by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
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TCW Funds, Inc.
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.
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Tax Information Notice (Unaudited)
On account of the year ended October 31, 2021, the following Funds paid a capital gain distribution within the meaning of Section 852 (b) (3) (c) of the Code. Each fund also designates as a capital gain distribution a portion of earnings and profits paid to shareholders in redemption of their shares.
| | | | |
Fund | | Amounts per
Share | |
TCW Artificial Intelligence Equity Fund | | $ | 1.01 | |
TCW Conservative Allocation Fund | | $ | 1.14 | |
TCW Global Real Estate Fund | | $ | 0.17 | |
TCW New America Premier Equities Fund | | $ | 1.83 | |
TCW Relative Value Dividend Appreciation Fund | | $ | 1.99 | |
TCW Relative Value Large Cap Fund | | $ | 0.94 | |
TCW Relative Value Mid Cap Fund | | $ | 3.22 | |
TCW Select Equities Fund | | $ | 4.99 | |
Under Section 854 (b) (2) of the Code, the Funds hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1 (h) (11) of the Code for the fiscal year ended October 31, 2021:
| | | | |
Fund | | Qualified
Dividend Income | |
TCW Artificial Intelligence Equity Fund | | $ | 57,692 | |
TCW Conservative Allocation Fund | | | 59,757 | |
TCW Global Real Estate Fund | | | 149,597 | |
TCW New America Premier Equities Fund | | | 2,457,681 | |
TCW Relative Value Dividend Appreciation Fund | | | 6,628,923 | |
TCW Relative Value Large Cap Fund | | | 2,455,209 | |
TCW Relative Value Mid Cap Fund | | | 1,110,973 | |
TCW Select Equities Fund | | | 2,586,030 | |
The following are dividend received deduction percentages for the Funds’ corporate shareholders:
| | | | |
Fund | | Dividends
Received Deductions | |
TCW Artificial Intelligence Equity Fund | | | 95.45% | |
TCW Global Real Estate Fund | | | 1.53% | |
TCW New America Premier Equities Fund | | | 4.36% | |
TCW Relative Value Dividend Appreciation Fund | | | 100.00% | |
TCW Relative Value Large Cap Fund | | | 100.00% | |
TCW Relative Value Mid Cap Fund | | | 100.00% | |
This information is given to meet certain requirements of the Code and should not be used by shareholders for preparing their income tax returns. In February 2022, shareholders will receive Form 1099-DIV which will show the actual distribution received and include their share of qualified dividends during the calendar year of 2021. Shareholders are advised to check with their tax advisors for information on the treatment of these amounts on their individual tax returns.
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Directors and Officers of the Company
A board of six directors is responsible for overseeing the operations of the Company, which consists of 18 Funds at October 31, 2021. The directors of the Company, and their business addresses and their principal occupation for the last five years are set forth below.
Independent Directors
| | | | | | |
Name, and Year of Birth (1) | | Term of Office and Length of Time Served | | Principal Occupation(s) During Past 5 Years | | Other Directorships held by Director |
| Samuel P. Bell (1936) | | Mr. Bell has served as a director of TCW Funds, Inc. since October 2002. | | Private Investor. | | Point.360 (post production services); TCW Strategic Income Fund, Inc. (closed-end fund). |
Patrick C. Haden (1953) Chairman of the Board | | Mr. Haden has served as a director of TCW Funds, Inc. since May 2001. | | President (since 2003), Wilson Ave. Consulting (business consulting firm); Senior Advisor to President (July 2016 – June 2017) and Athletic Director (August 2010 – June 2016), University of Southern California. | | Tetra Tech, Inc. (environmental consulting); Auto Club (affiliate of AAA); Metropolitan West Funds (mutual funds); TCW Strategic Income Fund, Inc. (closed end fund). |
| Peter McMillan (1957) | | Mr. McMillan has served as a director of TCW Funds, Inc. since August 2010. | | Co-founder (since 2019), Pacific Oak Capital Advisors (investment advisory firm); Co-founder, Managing Partner and Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Executive Vice President (2005-2019), KBS Capital Advisors (a manager of real estate investment trusts). | | Pacific Oak Strategic Opportunity REIT (real estate investments); Pacific Oak Strategic Opportunity REIT II (real estate investments); Keppel Pacific Oak U.S. REIT (real estate investments); Pacific Oak Residential Trust (real estate investments); Metropolitan West Funds (mutual fund); TCW DL VII Financing LLC (business development company): TCW Strategic Income Fund, Inc. (closed-end fund). |
| Victoria B. Rogers (1961) | | Ms. Rogers has served as a director of the TCW Funds, Inc. since October 2011. | | President and Chief Executive Officer (since 1996), The Rose Hills Foundation (charitable foundation). | | Norton Simon Museum (art museum); Stanford University (university); Causeway Capital Management Trust (mutual fund; 6 portfolios); Causeway ETML Trust (mutual fund); The Rose Hills Foundation (charitable foundation); TCW Strategic Income Fund, Inc. (closed-end fund). |
| Andrew Tarica (1959) | | Mr. Tarica has served as a director of the TCW Funds, Inc. since March 2012. | | Chief Executive Officer (since February 2001), Meadowbrook Capital Management (asset management company); and Employee (since 2003), Cowen Prime Services (broker dealer). | | Metropolitan West Funds (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Direct Lending VII, LLC (business development company). |
| (1) | The address of each Independent Director is c/o Morgan Lewis, & Bockius LLP, Counsel to the Independent Directors of TCW Funds, Inc., 300 South Grand Avenue, Los Angeles, CA 90071. |
116
TCW Funds, Inc.
Interested Director
This director is an “interested person” of the Company as defined in the 1940 Act because he is a director and officer of the Advisor, and shareholder and director of The TCW Group, Inc., the parent company of the Advisor.
| | | | | | |
Name and Year of Birth (1) | | Term of Office and Length of Time Served | | Principal Occupation(s)
During Past 5 Years | | Other Directorships held by Director |
| Marc I. Stern (1944) | | Mr. Stern has served as a director since inception of TCW Funds, Inc. in September 1992. | | Chairman (since January 2016), TCW LLC; Chairman (since February 2013), The TCW Group Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and Metropolitan West Asset Management, LLC. | | N/A |
The officers of the Company who are not directors of the Company are:
| | | | |
| Name and Year of Birth (1) | | Position(s) Held with Company | | Principal Occupation(s) During Past 5 Years (2) |
David Lippman (1958)
President and Chief Executive Officer | | Mr. Lippman has served as President and Chief Executive Officer of TCW Funds, Inc. since February 2021. | | President and Chief Executive Officer, The TCW Group, Inc. (since August 2012), TCW LLC (since October 2015), the Advisor (since February 2013) and TCW Asset Management Company LLC (since February 2013); Chief Executive Officer, Metropolitan West Asset Management LLC (since February 2013); President and Principal Executive Officer, Metropolitan West Funds (since January 2008). |
Lisa Eisen (1963) Tax Officer | | Ms. Eisen has served as Tax Officer of TCW Funds, Inc. since December 2016. | | Tax Officer (since December 2016), Metropolitan West Funds and TCW Strategic Income Fund, Inc.; Managing Director and Director of Tax (since August 2016), TCW LLC; Vice President of Corporate Tax and Payroll for Health Net, Inc. (1998 – July 2016). |
Meredith S. Jackson (1959)
Senior Vice President, General Counsel and Secretary | | Ms. Jackson has served as Senior Vice President since January 2016 and General Counsel and Secretary of TCW Funds, Inc. since February 2013. | | Executive Vice President, General Counsel and Secretary (since January 2016), TCW LLC; Executive Vice President, General Counsel and Secretary (since February 2013), TCW Investment Management Company LLC, The TCW Group Inc., TCW Asset Management Company LLC, and Metropolitan West Asset Management, LLC ); Senior Vice President, General Counsel and Secretary (since February 2013), TCW Strategic Income Fund, Inc., Vice President and Secretary (since February 2013), Metropolitan West Funds. |
117
TCW Funds, Inc.
Directors and Officers of the Company (Continued)
| | | | |
| Name and Year of Birth (1) | | Position(s) Held with Company | | Principal Occupation(s) During Past 5 Years (2) |
Gladys Xiques (1973) Chief Compliance Officer and AML Officer | | Ms. Xiques has served as Chief Compliance Officer and AML Officer of TCW Funds, Inc. since January 2021. | | Chief Compliance Officer and AML Officer (since January 2021), TCW Strategic Income Fund, Inc. and Metropolitan West Funds; Managing Director and Global Chief Compliance Officer (since January 2021), TCW LLC, TCW Investment Management Company LLC, Metropolitan West Asset Management, LLC and TCW Asset Management Company LLC; Global Chief Compliance Officer (since January 2021), The TCW Group, Inc.; Senior Vice President (February 2015 – December 2020), TCW LLC, TCW Investment Management Company LLC, Metropolitan West Asset Management, LLC and TCW Asset Management Company LLC; Director and Compliance Counsel (March 2010 – January 2015), Kohlberg Kravis Roberts & Co. L.P. |
Richard M. Villa (1964)
Treasurer Principal Financial and Accounting Officer | | Mr. Villa has served as Treasurer and Principal Financial and Accounting Officer of TCW Funds, Inc. since February 2014. | | Executive Vice President, Chief Financial Officer and Assistant Secretary (since January 2016), TCW LLC; Treasurer and Principal Financial and Accounting Officer (since February 2014), TCW Strategic Income Fund, Inc.; Executive Vice President and Chief Financial Officer and Assistant Secretary (since July 2008), TCW Investment Management Company LLC, the TCW Group, Inc., TCW Asset Management Company LLC. |
| (1) | The address of the Interested Director and each officer is c/o the TCW Group, Inc., 865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017. |
| (2) | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
In addition, Eric Chan, Managing Director of Fund Operations for the Advisor, TCW Asset Management Company LLC, TCW LLC (since 2009), and Metropolitan West Asset Management, LLC (since November 2006), is Assistant Treasurer of the Company (since June 2019) and Metropolitan West Funds (since 2010). Mr. Chan is a Certified Public Accountant. Patrick W. Dennis, Senior Vice President, Associate General Counsel and Assistant Secretary of TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC, TCW LLC, the Advisor (since February 2013), is Vice President and Assistant Secretary of the Company and Metropolitan West Funds (since 2013).
The SAI (Statement of Additional Information) has additional information regarding the Board of Directors. A copy is available without charge by calling 1-800-FUND-TCW (1-800-386-3829) to obtain a hard copy or by going to the SEC website at http://www.sec.gov.
118
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
FUNDarEQ1021
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 Funds’ 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 Funds’ 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 Funds, or contact your financial intermediary, if you invest though a financial intermediary, to inform the Funds 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.
TCW Funds, Inc.
Table of Contents
|
| |
| The Letter to Shareholders and/or Management Discussions contained in this Annual Report are the opinions of each Fund’s portfolio managers and are not the opinions of TCW Funds, Inc. or its Board of Directors. Various matters discussed in the Letter to Shareholders and/or Management Discussions constitute forward-looking statements within the meaning of the federal securities laws. Actual results and the timing of certain events could differ materially from those projected or contemplated by these forward-looking statements due to a number of factors, including general economic conditions, overall availability of securities for investment by a Fund, the level of volatility in the securities markets and in the share price of a Fund, and other risk factors discussed in the SEC filings of TCW Funds, Inc. The data presented in the Letter to Shareholders and/or Management Discussions represents past performance and cannot be used to predict future results. |
| | |
To Our Valued Shareholders | | |
| | |
| | David B. Lippman President, Chief Executive Officer and Director |
Dear Valued Investors,
I am pleased to present the 2021 Annual Report for the TCW Funds, Inc. covering the 12-month period ended October 31, 2021. I would like to express our appreciation for your continued investment in the TCW Funds as well as to welcome new shareholders to our fund family. As of October 31, 2021, the TCW Funds held total net assets of approximately $16.4 billion.
This report contains information and portfolio management discussions of our TCW Fixed Income Funds.
Economic Review and Market Environment
Following the close of 2020, concerns about inflation monopolized headlines to start 2021, leading to a significant re-pricing higher of interest rates in the opening months of the year. Pricing pressures did ultimately manifest in the second quarter, with consecutive upside surprises for the consumer price index, though the reflation trade subsequently stalled as markets appeared to buy into the Fed’s narrative that higher inflation would prove transitory. On the macroeconomic data front, though releases were generally positive early in the year (with a surge in manufacturing indices, relatively strong earnings results, and a marked improvement in consumer confidence), the sustainability of the recovery was brought into question during the summer months. This manifested in a considerable slowdown in GDP growth from a 6.7% growth rate in the second quarter to an annualized pace of 2.0% in the first estimate of 3Q GDP growth, the softest pace of the pandemic recovery period. The moderation of growth (and growth expectations) stemmed partly from the spread of the Delta variant of the coronavirus, which held back economic activity despite accelerating inoculation progress and the avoidance of broader renewed lockdown measures. Further headwinds came in the form of less accommodative monetary policy globally, as central banks signaled a move to reduce extraordinary pandemic-induced stimulus, with at least fifteen central
bank decisions coming in the final week of the third quarter in response to robust recoveries and mounting inflation pressures. In the U.S., the Fed’s September meeting indicated that a taper announcement before the end of the year was all but certain, with new purchases ending around the middle of next year, setting the stage for interest rate hikes late in 2022 or early in 2023. Amidst this environment, rates rose across all maturities one-year and out, with the 10-Year U.S. Treasury yield up nearly 68 bps year-over-year.
As yields moved higher during the period, Treasury returns were negative and the Bloomberg U.S. Aggregate Bond Index was down a modest 0.5%, though it delivered nearly 150 basis points (bps) of positive excess return. Spread products generally performed well, led by corporate credit. The investment grade segment as up 2.2% and outpaced Treasuries by nearly 500 bps, with notable gains from energy, airlines, and finance companies. High yield returns were even more impressive, as lower quality credits benefitted from investors seeking higher yield. The sector returned 10.5%, 11.7% over comparable Treasuries. Among non-corporate credit, municipals gained 5.8%, and similarly outpaced Treasuries (over 980 bps of positive excess return). Outside of credit, securitized products were mixed in terms of performance. Despite still benefitting from the Fed’s sponsorship, agency mortgage-backed securities (MBS) were weighed down by rate volatility as well as concerns over the prospect of Fed tapering later in the period, and fell 0.6% for the trailing one-year period — also 23 bps behind comparable Treasuries. In contrast, non-agency MBS delivered consistently positive returns, as housing experienced record levels of home price appreciation. Meanwhile, commercial MBS (CMBS) gained 0.6%, through there was stark bifurcation between non-agency and agency-backed issues, the latter of which fell 0.6%. Finally, asset-backed securities (ABS) gained a modest 0.2% and outperformed duration-matched Treasuries by over 60 bps.
1
| | |
Letter to Shareholders (Continued) | | |
The Economy and Market Ahead
The Fed, along with central banks globally, has a very difficult job ahead in trying to manage the withdrawal of fiscal and monetary stimulus, particularly as the list of “unknowns” grows. Risks include the potential for meaningful volatility due to a mistake by the Fed, higher inflation, slowing growth, the effects of elevated leverage, a change in the course of the COVID virus, or myriad other factors. As such, the Fed will likely be quicker to increase accommodation rather than to reduce it, as high inflation, while painful, is a problem with some history (and a presumption to choke it off a la Volcker). Within this more vulnerable environment, valuations have been broadly unchanged with spread decompression across sectors and ratings minimal at best. Financial markets across the board are priced for perfection and, as value-driven fixed income investors, experience says that perfection carries more downside than upside. All of this suggests that caution is warranted (notably so in the credit space) as the disparate indicators will ultimately need to be reconciled, a process typically accompanied by increased volatility.
Given prevailing conditions, including historically 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. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated issues, and enhancing liquidity. The focus remains on sectors that offer more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Meanwhile, in appropriate strategies, emerging market debt issues are add candidates on cheaper entry points.
Among securitized, the strategy continues to prefer current coupon agency MBS to-be-announced (TBAs) due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship as well as money center banks. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, and the strategy 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 additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, the overall duration positioning for strategies remains defensive given historically low 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 semi-annual report next year.
Sincerely,
David B. Lippman
President, Chief Executive Officer and Director
2
TCW Core Fixed Income Bond Fund
Management Discussions
The TCW Core Fixed Income Fund — I Class (“Fund”) gained 0.19% (net of fees) for the one-year period ended October 31, 2021, beating the Bloomberg U.S. Aggregate Bond Index by 66 bps. While the underweight to corporate credit was a drag as yield premiums compressed over the trailing one-year period, issue selection more than offset the drag, with a higher average yield on industrial holdings in the Fund versus the benchmark. Additionally, though the Fund maintained an underweight to industrial credit overall, select overweights to areas such as midstream energy, wirelines, finance companies, and life insurers rewarded returns as these sectors were among the better performers. The overweight to municipal debt shrunk over the period, but contributed as the sector saw yield premiums contract amid ongoing recovery from March 2020 wides. Securitized products were mixed, with agency MBS holdings focused on lower coupon TBAs detracting as these typically longer duration issues experienced interest rate volatility, though TBAs outpaced pools given a higher running yield, offsetting some of the drag. In contrast, floating rate holdings like non-agency MBS and government-guaranteed FFELP student loan ABS performed better, with the former supported by the continued fundamental attractiveness of strong housing fundamentals, declining forbearance rates, and reduced supply, while ABS generally benefitted from policy support that has helped keep the consumer afloat. Finally, as rates marched higher early in the year, the duration position of the portfolio was extended in disciplined fashion, then was trimmed between March and July with the decline in rates, and again extended between August and October as rates rose, ending the period 0.4 years shorter than the Index. Overall, with rates rising during the period, this shorter than index position rewarded relative performance.
Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated issues, and enhancing liquidity. The focus remains on sectors that offer more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Among securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship as well as money center banks. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, and the strategy 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 CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-
guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the period approximately 0.4 years shorter than the Index.
| | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr Return | | | 3 Yr Return | | | 5 Yr Return | | | 10 Yr Return | | | Inception
to Date | |
TCW Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: January 1, 1990) | | | 0.19 | % | | | 6.17 | % | | | 3.40 | % | | | 3.33 | % | | | 5.81 | %(2) |
Bloomberg U.S. Aggregate Bond Index | | | -0.48 | % | | | 5.63 | % | | | 3.10 | % | | | 3.00 | % | | | 5.75 | % |
Class N (Inception: March 1, 1999) | | | 0.00 | % | | | 5.96 | % | | | 3.18 | % | | | 3.05 | % | | | 4.90 | %�� |
Bloomberg U.S. Aggregate Bond Index | | | -0.48 | % | | | 5.63 | % | | | 3.10 | % | | | 3.00 | % | | | 4.69 | % |
Class P (Inception: February 28, 2020) | | | -0.01 | % | | | — | | | | — | | | | — | | | | 2.35 | % |
Bloomberg U.S. Aggregate Bond Index | | | -0.48 | % | | | 5.63 | % | | | 3.10 | % | | | 3.00 | % | | | 1.17 | % |
3
TCW Core Fixed Income Bond Fund
Management Discussions (Continued)
4
TCW Core Fixed Income Bond Fund
Management Discussions (Continued)
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
| (2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity 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 predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
5
TCW Enhanced Commodity Strategy Fund
Management Discussions
The TCW Enhanced Commodities Strategy Fund — I Class (“Fund”) gained 48.18% (net of fees) for the one-year period ending October 31, 2021, outpacing the Bloomberg Commodities Index (“Index”) by over 424 bps. With the ongoing economic recovery, outperformance was driven by a rebound in the commodities market and the short duration fixed income portfolio backing the commodity exposure, with contributions to returns led by corporate credit as spreads compressed. Specifically, investment grade corporate allocations favoring higher yielding idiosyncratic opportunities delivered a boost to returns, with notable gains from manufacturing, P&C insurance, food & beverage, and airlines. Smaller contributions, meanwhile, were extracted from the modest exposure to high yield corporates and municipals, which were two of the best performing in the fixed income universe during this timeframe. In securitized products, the emphasis on non-agency MBS provided a tailwind to returns as the sector continued to benefit from a solid housing backdrop and improving loan-to-value ratios. Further rewarding the Fund was ABS, particularly government-guaranteed FFELP student loans, attributable to favorable investor demand, improving fundamentals (i.e., lower delinquencies), and a relatively healthy consumer base, reflected in high savings and robust retail spending, a result that is part-and-parcel of government stimulus checks. Holding back Fund returns, however, were non-agency CMBS against voluminous issuance and a small duration exposure as yields rose year-over-year.
The Fund replicates the commodity index return via derivative instruments and then invests the underlying cash in a high quality, short duration portfolio to generate incremental alpha over time. Given prevailing conditions, the short fixed income portfolio remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated issues, and enhancing liquidity. The focus remains on sectors that offer more stability in times of volatility (such as consumer non-cyclicals and certain financials like insurance and well-capitalized banks) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, municipal issues are add candidates on cheaper entry points. Among securitized, legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, and the Fund will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of the-capital structure 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 of well-collateralized AA-rated issues offering good yields, while other ABS exposures include government-guaranteed FFELP student loans. In addition, a material exposure to the commodity market via commodity-linked derivatives continues to be held by the Fund. Finally, the Fund’s duration position was extended as yields generally rose.
| | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr Return | | | 3 Yr Return | | | 5 Yr Return | | | 10 Yr Return | | | Inception
to Date | |
TCW Enhanced Commodity Strategy Fund | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: April 1, 2011) | | | 48.18 | % | | | 11.39 | % | | | 7.22 | % | | | -0.93 | % | | | -2.04 | % |
Class N (Inception: April 1, 2011) | | | 48.21 | % | | | 11.29 | % | | | 7.16 | % | | | -0.96 | % | | | -2.08 | % |
Bloomberg Commodity Index | | | 43.94 | % | | | 8.56 | % | | | 5.17 | % | | | -3.04 | % | | | -4.02 | % |
6
TCW Enhanced Commodity Strategy Fund
Management Discussions (Continued)
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
7
TCW Global Bond Fund
Management Discussions
Against a backdrop of rising rates, the TCW Global Bond Fund — I Class (“Fund”) fell 0.18% (net of fees) for the one-year period ended October 31, 2021, but outpaced the Bloomberg Global Aggregate Bond Index (“Index”) by 107 bps. The largest performance gains during the period were attributable to favorable issue selection among corporate credit and securitized bonds. Corporate credit positioning in the Fund maintained a higher average yield on industrial names, which boosted relative returns, while select overweights to areas like consumer non-cyclicals, notably healthcare, communications, and finance companies rewarded returns as these sectors outpaced the broader corporate market on a duration-adjusted basis. An out-of-Index allocation to high yield corporates was also additive as the sector outpaced Treasuries by over 1,170 bps for the period. Additionally, the Fund’s overweight to high quality emerging market sovereigns and quasi sovereigns was an additional tailwind. Securitized products were mixed, with agency MBS holdings focused on lower coupon TBAs detracting as these typically longer duration issues experienced interest rate volatility, though TBAs outpaced pools given a higher running yield, offsetting some of the drag. In contrast, floating rate holdings like non-agency MBS and government-guaranteed FFELP student loan ABS performed better, with the former supported by the continued fundamental attractiveness of strong housing fundamentals, declining forbearance rates, and reduced supply, while ABS generally benefitted from policy support that has helped keep the consumer afloat. As rates marched higher early in the year, the duration position of the portfolio was extended in disciplined fashion, then was trimmed between March and July with the decline in rates, and again extended somewhat in September and October as rates rose, ending the period 0.2 years shorter than the Index. Nevertheless, relative positioning remained largely the same with the largest overweight to the U.S. and largest underweights focused on the Eurozone and Japan. While the underweight to Eurozone rate duration was additive to relative performance, the overweight to U.S., China, Australia, New Zealand, Norway, Singapore, and Brazil, weighed on returns given curve flattening around the world as central banks signaled a move toward scaling back quantitative easing and some began hiking. Finally, from a currency perspective, the underweight to the U.S. dollar detracted somewhat from performance early in the period, but contributed later on as the position shifted to a slight overweight and the U.S. dollar outperformed. Further contributions came from the underweight to the Euro and the overweight to Chinese yuan.
Given prevailing conditions and TCW’s views on valuations across countries, currencies, and sectors, the strategy remains overweight spread product but with a focus on high credit quality issuers and on maintaining adequate liquidity in order to take advantage of potential market volatility and dislocations. The pandemic has had an asymmetric impact on different countries and the speed of recovery is also very uneven, therefore country selection will remain a key element of portfolio construction. Exposure is focused on high-quality emerging market and developed countries (Singapore, Israel, Indonesia, Malaysia, Mexico), with positions in high yield emerging market debt that offers attractive risk-reward (Brazil, Columbia, South Africa). Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated issues, and enhancing liquidity. The focus remains on sectors that offer more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Among U.S. securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship as well as money center banks. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, and the strategy 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,
8
TCW Global Bond Fund
Management Discussions (Continued)
i.e., protection, and good spread compensation. A similar strategy applies to CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains underweight that of the benchmark given historically low yields, with U.S. and China duration representing relative overweights, while Euro and Japan remain the largest duration underweights.
| | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr Return | | | 3 Yr Return | | | 5 Yr Return | | | 10 Yr Return | | | Inception
to Date | |
TCW Global Bond Fund | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: December 1, 2011) | | | -0.18 | % | | | 5.98 | % | | | 3.23 | % | | | — | | | | 2.92 | % |
Bloomberg Global Aggregate Bond Index | | | -1.24 | % | | | 4.55 | % | | | 2.52 | % | | | — | | | | 1.90 | % |
Class N (Inception: December 1, 2011) | | | -0.38 | % | | | 5.86 | % | | | 3.16 | % | | | — | | | | 2.89 | % |
Bloomberg Global Aggregate Bond Index | | | -1.24 | % | | | 4.55 | % | | | 2.52 | % | | | — | | | | 1.90 | % |
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
9
TCW High Yield Bond Fund
Management Discussions
While the TCW High Yield Fund — I Class (“Fund”) returned 7.18% (net of fees) for the one-year period ended October 31, 2021, this was approximately 307 bps behind the FTSE High Yield Cash Pay Custom Index return. The Fund’s focus on higher quality issues weighed on returns as the CCC-rated cohort returned over 18% for the period and significantly outpaced BB and B-rated issues, which were up just over 9%. A further headwind came via sector positioning, as the Fund remained underweight energy and consumer cyclicals, both of which were top performers during the trailing 12-month period, with independent energy and refiners gaining over 30%. Some of this drag was offset by favorable issue selection among consumer non-cyclicals such as healthcare and food & beverage. Finally, performance benefitted from the Fund’s relatively short duration profile as rates rose across the curve, with the 10-Year Treasury yield up nearly 70 bps during the period.
Given prevailing conditions, the strategy is more defensively positioned, with elevated liquidity to respond to potential volatility. Within credit, the team has taken a prudent approach, enhancing quality and de-risking where possible. Prospective returns for the lowest quality bonds (i.e., the CCC and below rated cohort) are vulnerable to an adverse shock as discount has largely evaporated from the marketplace. The percent of high yield bonds trading at distressed valuations (risk premiums in excess of 1,000 bps) has collapsed to 1.2%, with less than ten discrete bonds trading at a price below $70. Inasmuch, TCW’s value-oriented strategy will proceed cautiously given expectations for episodic volatility. A prevailing view from the team is that there will be opportunities to expand the risk budget at more attractive entry points. Until such time, the Fund continues to conduct relative value trades with an overall emphasis on what are viewed as more resilient, defensive areas of the market such as non-cyclical, recession-resistant sectors (i.e., communications and consumer non-cyclicals) while financials, energy, retail and technology credits represent relative underweights. Given expectations for further market volatility, prospective performance gains are likely to be less attributable to market beta and more the result of credit-specific alpha, informing the continued focus on security selection and fundamental credit underwriting to mitigate risks. Finally, the Fund’s duration positioning ended the period at approximately 0.3 years shorter than the benchmark as Treasury rates remain near historic lows.
| | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr Return | | | 3 Yr Return | | | 5 Yr Return | | | 10 Yr Return | | | Inception
to Date | |
TCW High Yield Bond Fund | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: February 1, 1989) | | | 7.18 | % | | | 8.15 | % | | | 6.50 | % | | | 6.28 | % | | | 7.14 | %(2) |
FTSE High Yield Cash Pay Custom Index | | | 10.25 | % | | | 6.71 | % | | | 5.91 | % | | | 6.24 | % | | | 7.71 | % |
Class N (Inception: March 1, 1999) | | | 7.05 | % | | | 7.93 | % | | | 6.25 | % | | | 6.06 | % | | | 5.48 | % |
FTSE High Yield Cash Pay Custom Index | | | 10.25 | % | | | 6.71 | % | | | 5.91 | % | | | 6.24 | % | | | 6.55 | % |
10
TCW High Yield Bond Fund
Management Discussions (Continued)
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
| (2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity 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 predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
11
TCW Short Term Bond Fund
Management Discussions
The TCW Short Term Bond Fund — I Class (“Fund”) gained 1.16% (net of fees) for the one-year period ended October 31, 2021, outperforming the FTSE 1-Year U.S. Treasury Index (“Index”) by over 100 bps. Bolstering the Fund’s performance was CMBS, owing to strong investor demand, higher commercial property prices, and improvement in fundamentals (i.e., lower delinquencies and special servicing rates), driven by selections among variable-rate seasoned issues. Adding incrementally to returns were the Fund’s selections in ABS single-family rentals, with an additional boost delivered by non-agency MBS, which benefitted from a solid housing backdrop with home prices appreciating at a double-digit annualized rate, resulting in better loan-to-value ratios. Agency MBS holdings held a bias for current (low) coupon issues, particularly TBAs. Although low coupons slightly trailed premium coupons, TBAs maintained a higher running yield than specified pools, and the allocation to floating-rate collateralized mortgage obligations (CMOs) was additive. Away from securitized, short investment grade corporates generated additional gains as the sector bested Treasuries by 71 bps on a duration-adjusted basis and yield premiums declined amid the ongoing economic recovery, with the biggest absolute contributions coming from manufacturing, banking, and finance companies. Contributing on the margin, meanwhile, was the small allocation to emerging market debt and municipals, two of the best performers in the fixed income universe during this period. Finally, the Fund’s duration profile ended the period at 0.6 years versus 0.2 years a year ago, but remained shorter than that of the Index overall, benefiting relative returns as short-rates generally rose.
Given prevailing conditions, the Fund remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum reducing tight commodity-exposed names/sectors, swapping into shorter-dated issues, and enhancing liquidity. The focus remains on sectors that offer more stability in times of volatility (such as consumer non-cyclicals and certain financials like well-capitalized banks) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points while the Fund maintains a modest allocation to municipals. Among securitized, the Fund continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship and money center banks. Meanwhile, a modest allocation to well-structured CMOs is maintained given relatively stable duration profiles. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, and the Fund will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of-the-capital structure AAA-rated exposures, 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 CLOs, with possible additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes single family rental. Finally, the Fund’s overall duration positioning remains defensive given historically low yields, with the Fund ending the period at approximately 0.4 years shorter than the Index.
| | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr Return | | | 3 Yr Return | | | 5 Yr Return | | | 10 Yr Return | | | Inception
to Date | |
TCW Short Term Bond Fund | | | | | | | | | | | | | | | | | | | | |
Class X (Inception: February 1, 1990) | | | 1.16 | % | | | 2.22 | % | | | 1.74 | % | | | 1.38 | % | | | 3.71 | %(2) |
FTSE 1-Year Treasury Index | | | 0.14 | % | | | 1.81 | % | | | 1.47 | % | | | 0.91 | % | | | 3.32 | % |
12
TCW Short Term Bond Fund
Management Discussions (Continued)
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
| (2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity 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 predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
13
TCW Total Return Bond Fund
Management Discussions
Against a backdrop of rising rates, the TCW Total Return Bond Fund — I Class (“Fund”) was down 0.40% (net of fees) for the one-year ending October 31, 2021, though this outpaced the Bloomberg U.S. Aggregate Bond Index (“Index”) by approximately 8 bps. Among securitized products, the overweight to agency MBS held back returns as the sector trailed Treasuries by 9 bps on a duration-adjusted basis given tapering concerns, though this was offset by a preference for lower coupon TBAs that continued to provide higher running yields than pools. Additionally, legacy non-agency MBS contributed as the sector continued to benefit from a solid housing backdrop with prices rising and loan-to-value ratios improving, with the added bonus of being mostly floating rate amid the rise in yields. The portfolio’s ABS holdings also fared well against a backdrop of consumer strength (supported by policy), and delivered a small boost to returns, led by floating rate government-guaranteed FFELP student loans. Turning towards the CMBS allocation, the strategy increased its overweight to non-agency CMBS, but trimmed agency CMBS, which was modestly additive to performance as overall CMBS outpaced Treasuries by 270 bps on a duration-adjusted basis, led by non-agency collateral. Meanwhile, the biggest headwind to relative returns came from the lack of exposure to corporate credit, as the sector experienced significant spread compression and outpaced duration-matched Treasuries by nearly 500 bps. Finally, the Fund’s duration positioning extended over the past 12 months as rates rose, reaching a neutral position in March 2021 before reversing in the second half of the period to end shorter than the benchmark, ultimately having a small positive effect on relative performance during the period.
Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Among securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship and money center banks. Meanwhile, a modest allocation to well-structured CMOs is maintained given relatively stable duration profiles. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, and the strategy 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 down in the capital structure with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans and single family rental. Finally, the Fund’s overall duration profile remains defensive given historically low yields, though the position was extended modestly on the backup in short-intermediate yields, with the strategy shifting from approximately 0.5 years short to end the period at 0.4 years short.
| | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr Return | | | 3 Yr Return | | | 5 Yr Return | | | 10 Yr Return | | | Inception
to Date | |
TCW Total Return Bond Fund | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: June 17, 1993) | | | -0.40 | % | | | 5.73 | % | | | 3.20 | % | | | 4.16 | % | | | 6.09 | % |
Bloomberg U.S. Aggregate Bond Index | | | -0.48 | % | | | 5.63 | % | | | 3.10 | % | | | 3.00 | % | | | 5.10 | % |
Class N (Inception: March 1, 1999) | | | -0.58 | % | | | 5.48 | % | | | 2.93 | % | | | 3.87 | % | | | 5.53 | % |
Bloomberg U.S. Aggregate Bond Index | | | -0.48 | % | | | 5.63 | % | | | 3.10 | % | | | 3.00 | % | | | 4.69 | % |
Class P (Inception: February 28, 2020) | | | -0.25 | % | | | — | | | | — | | | | — | | | | 1.76 | % |
Bloomberg U.S. Aggregate Bond Index | | | -0.48 | % | | | 5.63 | % | | | 3.10 | % | | | 3.00 | % | | | 1.17 | % |
14
TCW Total Return Bond Fund
Management Discussions (Continued)
15
TCW Total Return Bond Fund
Management Discussions (Continued)
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
16
TCW Core Fixed Income Fund
Schedule of Investments | October 31, 2021 |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
FIXED INCOME SECURITIES — 109.4% of Net Assets | |
|
CORPORATE BONDS — 23.8% | |
|
| Aerospace & Defense — 0.2% | |
|
Boeing Co. (The) | |
| | | |
1.43% | | | 02/04/24 | | | $ | 2,650,000 | | | $ | 2,651,670 | |
| | | |
4.88% | | | 05/01/25 | | | | 560,000 | | | | 618,716 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,270,386 | |
| | | | | | | | | | | | |
| | |
| Agriculture — 0.6% | | | | | | | |
| |
BAT Capital Corp. | | | | | |
| | | |
2.73% | | | 03/25/31 | | | | 695,000 | | | | 678,118 | |
| | | |
4.39% | | | 08/15/37 | | | | 470,000 | | | | 503,048 | |
| | | |
4.54% | | | 08/15/47 | | | | 1,270,000 | | | | 1,332,934 | |
| | | |
5.28% | | | 04/02/50 | | | | 1,285,000 | | | | 1,484,037 | |
| |
Imperial Brands Finance PLC | | | | | |
| | | |
3.13% (1) | | | 07/26/24 | | | | 2,300,000 | | | | 2,402,948 | |
| |
Reynolds American, Inc. | | | | | |
| | | |
5.70% | | | 08/15/35 | | | | 260,000 | | | | 308,930 | |
| | | |
5.85% | | | 08/15/45 | | | | 2,770,000 | | | | 3,405,549 | |
| | | | | | | | | | | | |
| |
| | | | 10,115,564 | |
| | | | | | | | | | | | |
|
| Airlines — 0.2% | |
| |
America West Airlines, Inc. Pass-Through Certificates (01-1) (EETC) | | | | | |
| | | |
5.98% | | | 10/19/23 | | | | 179,496 | | | | 182,192 | |
| |
Delta Air Lines Pass-Through Trust (19-1-AA) | | | | | |
| | | |
3.20% | | | 10/25/25 | | | | 1,500,000 | | | | 1,562,160 | |
| |
Northwest Airlines LLC Pass-Through Certificates (01-1-A1) (EETC) | | | | | |
| | | |
7.04% | | | 10/01/23 | | | | 16,082 | | | | 16,203 | |
| |
US Airways Group, Inc. Pass-Through Certificates (10-1A) (EETC) | | | | | |
| | | |
6.25% | | | 10/22/24 | | | | 222,269 | | | | 229,652 | |
| |
US Airways Group, Inc. Pass-Through Certificates (12-1-A) (EETC) | | | | | |
| | | |
5.90% | | | 04/01/26 | | | | 1,068,079 | | | | 1,132,164 | |
| |
US Airways Group, Inc. Pass-Through Certificates (12-2-A) (EETC) | | | | | |
| | | |
4.63% | | | 12/03/26 | | | | 456,967 | | | | 458,077 | |
| | | | | | | | | | | | |
| |
| | | | 3,580,448 | |
| | | | | | | | | | | | |
|
| Auto Manufacturers — 0.3% | |
| |
Ford Motor Credit Co. LLC | | | | | |
| | | |
1.20% (3 mo. USD LIBOR + 1.080%) (2) | | | 08/03/22 | | | | 1,000,000 | | | | 1,000,000 | |
| | | |
1.40% (3 mo. USD LIBOR + 1.270%) (2) | | | 03/28/22 | | | | 445,000 | | | | 445,344 | |
| | | |
3.22% | | | 01/09/22 | | | | 990,000 | | | | 994,207 | |
| |
General Motors Financial Co., Inc. | | | | | |
| | | |
3.15% | | | 06/30/22 | | | | 1,540,000 | | | | 1,562,874 | |
| | | |
3.45% | | | 04/10/22 | | | | 310,000 | | | | 312,579 | |
| | | |
4.20% | | | 11/06/21 | | | | 375,000 | | | | 375,154 | |
| | | | | | | | | | | | |
| |
| | | | 4,690,158 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Banks — 6.6% | |
| |
Bank of America Corp. | | | | | |
| | | |
1.66% (SOFR + 0.910%) (2) | | | 03/11/27 | | | $ | 6,355,000 | | | $ | 6,331,831 | |
| | | |
1.73% (SOFR + 0.960%) (2) | | | 07/22/27 | | | | 6,755,000 | | | | 6,716,564 | |
| | | |
2.09% (SOFR + 1.060%) (2) | | | 06/14/29 | | | | 2,200,000 | | | | 2,175,492 | |
| | | |
2.88% (3 mo. USD LIBOR + 1.190%) (2) | | | 10/22/30 | | | | 430,000 | | | | 445,537 | |
| | | |
3.97% (3 mo. USD LIBOR + 1.210%) (2) | | | 02/07/30 | | | | 1,125,000 | | | | 1,251,032 | |
| |
Citigroup, Inc. | | | | | |
| | | |
1.46% (SOFR + 0.770%) (2) | | | 06/09/27 | | | | 3,685,000 | | | | 3,630,388 | |
| | | |
3.11% (SOFR + 2.842%) (2) | | | 04/08/26 | | | | 1,580,000 | | | | 1,664,926 | |
| | | |
4.41% (SOFR + 3.914%) (2) | | | 03/31/31 | | | | 1,225,000 | | | | 1,404,813 | |
| |
Credit Suisse Group AG | | | | | |
| | | |
1.31% (SOFR + 0.980%) (1),(2) | | | 02/02/27 | | | | 2,500,000 | | | | 2,424,200 | |
| | | |
2.19% (SOFR + 2.044%) (1),(2) | | | 06/05/26 | | | | 2,645,000 | | | | 2,674,419 | |
| | | |
2.59% (SOFR + 1.560%) (1),(2) | | | 09/11/25 | | | | 185,000 | | | | 190,203 | |
| | | |
3.09% (SOFR + 1.730%) (1),(2) | | | 05/14/32 | | | | 1,545,000 | | | | 1,574,077 | |
| | | |
4.28% (1) | | | 01/09/28 | | | | 1,360,000 | | | | 1,492,056 | |
| |
DNB Bank ASA | | | | | |
| | | |
1.61% (U.S. 1-year Treasury Constant Maturity Rate + 0.680%)(1),(2) | | | 03/30/28 | | | | 2,570,000 | | | | 2,520,340 | |
| |
Goldman Sachs Group, Inc. (The) | | | | | |
| | | |
1.09% (SOFR + 0.789%) (2) | | | 12/09/26 | | | | 705,000 | | | | 688,320 | |
| | | |
1.43% (SOFR + 0.798%) (2) | | | 03/09/27 | | | | 5,260,000 | | | | 5,181,310 | |
| | | |
1.54% (SOFR + 0.818%) (2) | | | 09/10/27 | | | | 880,000 | | | | 865,586 | |
| | | |
1.95% (SOFR + 0.913%) (2) | | | 10/21/27 | | | | 1,695,000 | | | | 1,698,949 | |
| | | |
3.27% (3 mo. USD LIBOR + 1.201%)(2) | | | 09/29/25 | | | | 3,085,000 | | | | 3,256,730 | |
| |
HSBC Holdings PLC | | | | | |
| | | |
0.98% (SOFR + 0.708%) (2) | | | 05/24/25 | | | | 2,355,000 | | | | 2,336,513 | |
| | | |
1.59% (SOFR + 1.290%) (2) | | | 05/24/27 | | | | 2,930,000 | | | | 2,880,454 | |
| | | |
2.01% (SOFR + 1.732%) (2) | | | 09/22/28 | | | | 2,365,000 | | | | 2,330,660 | |
| | | |
2.21% (SOFR+ 1.285%) (2) | | | 08/17/29 | | | | 2,570,000 | | | | 2,521,992 | |
See accompanying Notes to Financial Statements.
17
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Banks (Continued) | |
| |
HSBC Holdings PLC (United Kingdom) | | | | | |
| | | |
2.63% (SOFR + 1.402%) (2) | | | 11/07/25 | | | $ | 535,000 | | | $ | 553,698 | |
| |
JPMorgan Chase & Co. | | | | | |
| | | |
0.97% (SOFR + 0.580%) (2) | | | 06/23/25 | | | | 6,625,000 | | | | 6,591,411 | |
| | | |
1.47% (SOFR + 0.765%) (2) | | | 09/22/27 | | | | 2,580,000 | | | | 2,533,534 | |
| | | |
1.58% (SOFR + 0.885%) (2) | | | 04/22/27 | | | | 4,360,000 | | | | 4,322,635 | |
| | | |
2.08% (SOFR + 1.850%) (2) | | | 04/22/26 | | | | 790,000 | | | | 806,184 | |
| |
Lloyds Banking Group PLC (United Kingdom) | | | | | |
| | | |
1.63% (1-year Treasury Constant Maturity Rate + 0.850%)(2) | | | 05/11/27 | | | | 1,500,000 | | | | 1,482,585 | |
| | | |
2.91% (3 mo. USD LIBOR + 0.810%) (2) | | | 11/07/23 | | | | 1,935,000 | | | | 1,979,376 | |
| | | |
3.87% (1-year Treasury Constant Maturity Rate + 3.500%) (2) | | | 07/09/25 | | | | 1,600,000 | | | | 1,711,967 | |
| |
Macquarie Group, Ltd. | | | | | |
| | | |
1.34% (SOFR + 1.069%) (1),(2) | | | 01/12/27 | | | | 2,510,000 | | | | 2,465,821 | |
| | | |
2.87% (SOFR + 1.532%) (1),(2) | | | 01/14/33 | | | | 1,740,000 | | | | 1,731,089 | |
| |
Morgan Stanley | | | | | |
| | | |
0.79% (SOFR + 0.509%) (2) | | | 01/22/25 | | | | 1,020,000 | | | | 1,014,326 | |
| | | |
1.51% (SOFR + 0.858%) (2) | | | 07/20/27 | | | | 4,985,000 | | | | 4,905,340 | |
| | | |
1.59% (SOFR + 0.879%) (2) | | | 05/04/27 | | | | 2,470,000 | | | | 2,448,239 | |
| |
NatWest Group PLC (United Kingdom) | | | | | |
| | | |
4.27% (3 mo. USD LIBOR + 1.762%) (2) | | | 03/22/25 | | | | 3,140,000 | | | | 3,361,998 | |
| |
Santander UK Group Holdings PLC (United Kingdom) | | | | | |
| | | |
1.09% (SOFR + 0.787%) (2) | | | 03/15/25 | | | | 3,265,000 | | | | 3,250,046 | |
| | | |
3.37% (3 mo. USD LIBOR + 1.080%) (2) | | | 01/05/24 | | | | 190,000 | | | | 195,584 | |
| | | |
3.82% (3 mo. USD LIBOR + 1.400%) (2) | | | 11/03/28 | | | | 1,175,000 | | | | 1,269,910 | |
| | | |
4.80% (3 mo. USD LIBOR +1.570%) (2) | | | 11/15/24 | | | | 960,000 | | | | 1,031,300 | |
| |
Santander UK PLC (United Kingdom) | | | | | |
| | | |
5.00% (1) | | | 11/07/23 | | | | 2,460,000 | | | | 2,643,565 | |
| |
UBS AG/London | | | | | |
| | | |
0.70% (1) | | | 08/09/24 | | | | 2,585,000 | | | | 2,566,543 | |
| |
Wells Fargo & Co. | | | | | |
| | | |
2.16% (3 mo. USD LIBOR + 0.750%) (2) | | | 02/11/26 | | | | 3,610,000 | | | | 3,695,394 | |
| | | |
2.19% (SOFR + 2.000%) (2) | | | 04/30/26 | | | | 3,645,000 | | | | 3,726,556 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Banks (Continued) | |
| | | |
2.39% (SOFR + 2.100%) (2) | | | 06/02/28 | | | $ | 265,000 | | | $ | 269,449 | |
| | | |
2.88% (SOFR + 1.432%) (2) | | | 10/30/30 | | | | 285,000 | | | | 295,599 | |
| | | |
3.58% (3 mo. USD LIBOR + 1.310%) (2) | | | 05/22/28 | | | | 1,015,000 | | | | 1,095,229 | |
| | | | | | | | | | | | |
| |
| | | | 112,203,770 | |
| | | | | | | | | | | | |
|
| Beverages — 0.4% | |
| |
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc. | | | | | |
| | | |
4.90% | | | 02/01/46 | | | | 2,325,000 | | | | 2,969,506 | |
| |
Anheuser-Busch InBev Worldwide, Inc. | | | | | |
| | | |
4.50% | | | 06/01/50 | | | | 917,000 | | | | 1,138,391 | |
|
Bacardi, Ltd. | |
| | | |
2.75% (1) | | | 07/15/26 | | | | 750,000 | | | | 777,263 | |
| | | |
4.45% (1) | | | 05/15/25 | | | | 1,780,000 | | | | 1,945,616 | |
| | | | | | | | | | | | |
| |
| | | | 6,830,776 | |
| | | | | | | | | | | | |
|
| Biotechnology — 0.3% | |
| |
Gilead Sciences, Inc. | | | | | |
| | | |
0.65% (3 mo. USD LIBOR + 0.520%) (2) | | | 09/29/23 | | | | 4,720,000 | | | | 4,720,218 | |
| | | | | | | | | | | | |
|
| Chemicals — 0.2% | |
| |
International Flavors & Fragrances, Inc. | | | | | |
| | | |
5.00% | | | 09/26/48 | | | | 1,975,000 | | | | 2,600,015 | |
| | | | | | | | | | | | |
|
| Commercial Services — 0.3% | |
|
IHS Markit, Ltd. | |
| | | |
3.63% | | | 05/01/24 | | | | 1,000,000 | | | | 1,056,400 | |
| | | |
4.00% (1) | | | 03/01/26 | | | | 1,015,000 | | | | 1,103,122 | |
| | | |
4.75% (1) | | | 02/15/25 | | | | 750,000 | | | | 825,191 | |
| | | |
4.75% | | | 08/01/28 | | | | 1,750,000 | | | | 2,043,411 | |
| | | | | | | | | | | | |
| |
| | | | 5,028,124 | |
| | | | | | | | | | | | |
|
| Computers — 0.1% | |
| |
Apple, Inc. | | | | | |
| | | |
2.65% | | | 02/08/51 | | | | 1,000,000 | | | | 989,470 | |
| | | |
3.85% | | | 05/04/43 | | | | 275,000 | | | | 325,708 | |
| | | | | | | | | | | | |
| |
| | | | 1,315,178 | |
| | | | | | | | | | | | |
|
| Diversified Financial Services — 1.5% | |
| |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) | | | | | |
| | | |
3.00% | | | 10/29/28 | | | | 6,000,000 | | | | 6,093,240 | |
| | | |
3.65% | | | 07/21/27 | | | | 640,000 | | | | 678,736 | |
| | | |
3.88% | | | 01/23/28 | | | | 430,000 | | | | 461,471 | |
| | | |
3.95% | | | 02/01/22 | | | | 685,000 | | | | 688,784 | |
|
Air Lease Corp. | |
| | | |
3.25% | | | 03/01/25 | | | | 1,300,000 | | | | 1,362,198 | |
| |
Avolon Holdings Funding, Ltd. | | | | | |
| | | |
2.53% (1) | | | 11/18/27 | | | | 769,000 | | | | 755,443 | |
| | | |
2.88% (1) | | | 02/15/25 | | | | 1,550,000 | | | | 1,590,904 | |
See accompanying Notes to Financial Statements.
18
TCW Core Fixed Income Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Diversified Financial Services (Continued) | |
| | | |
3.95% (1) | | | 07/01/24 | | | $ | 405,000 | | | $ | 427,510 | |
| | | |
5.25% (1) | | | 05/15/24 | | | | 115,000 | | | | 124,735 | |
| |
GE Capital Funding LLC | | | | | |
| | | |
4.40% | | | 05/15/30 | | | | 1,405,000 | | | | 1,643,058 | |
| |
GE Capital International Funding Co. Unlimited Co. (Ireland) | | | | | |
| | | |
4.42% | | | 11/15/35 | | | | 4,110,000 | | | | 5,017,484 | |
| |
LSEGA Financing PLC (United Kingdom) | | | | | |
| | | |
2.00% (1) | | | 04/06/28 | | | | 2,470,000 | | | | 2,459,127 | |
|
Park Aerospace Holdings, Ltd. | |
| | | |
4.50% (1) | | | 03/15/23 | | | | 2,715,000 | | | | 2,828,650 | |
| | | |
5.50% (1) | | | 02/15/24 | | | | 108,000 | | | | 117,053 | |
| |
Raymond James Financial, Inc. | | | | | |
| | | |
4.95% | | | 07/15/46 | | | | 460,000 | | | | 607,159 | |
| | | | | | | | | | | | |
| |
| | | | 24,855,552 | |
| | | | | | | | | | | | |
|
| Electric — 1.3% | |
|
Appalachian Power Co. | |
| | | |
4.45% | | | 06/01/45 | | | | 690,000 | | | | 838,337 | |
|
Duke Energy Progress LLC | |
| | | |
3.70% | | | 10/15/46 | | | | 1,325,000 | | | | 1,513,548 | |
|
El Paso Electric Co. | |
| | | |
3.30% | | | 12/15/22 | | | | 2,065,000 | | | | 2,109,543 | |
|
Indiana Michigan Power Co. | |
| | | |
4.55% | | | 03/15/46 | | | | 920,000 | | | | 1,162,426 | |
|
ITC Holdings Corp. | |
| | | |
2.95% (1) | | | 05/14/30 | | | | 2,000,000 | | | | 2,084,157 | |
|
Jersey Central Power & Light Co. | |
| | | |
2.75% (1) | | | 03/01/32 | | | | 2,575,000 | | | | 2,632,963 | |
|
KCP&L Greater Missouri Operations Co. | |
| | | |
8.27% | | | 11/15/21 | | | | 1,100,000 | | | | 1,103,003 | |
|
Metropolitan Edison Co. | |
| | | |
3.50% (1) | | | 03/15/23 | | | | 3,030,000 | | | | 3,117,867 | |
|
MidAmerican Energy Co. | |
| | | |
5.80% | | | 10/15/36 | | | | 1,655,000 | | | | 2,282,842 | |
|
NextEra Energy Capital Holdings, Inc. | |
| | | |
0.40% (3 mo. USD LIBOR + 0.270%) (2) | | | 02/22/23 | | | | 3,000,000 | | | | 3,001,110 | |
|
Niagara Mohawk Power Corp. | |
| | | |
2.72% (1) | | | 11/28/22 | | | | 920,000 | | | | 937,720 | |
|
Tucson Electric Power Co. | |
| | | |
4.00% | | | 06/15/50 | | | | 1,500,000 | | | | 1,786,200 | |
| | | | | | | | | | | | |
| |
| | | | 22,569,716 | |
| | | | | | | | | | | | |
|
| Food — 0.4% | |
|
Kraft Heinz Foods Co. | |
| | | |
4.88% | | | 10/01/49 | | | | 537,000 | | | | 666,401 | |
| | | |
5.00% | | | 06/04/42 | | | | 2,133,000 | | | | 2,640,287 | |
| | | |
5.20% | | | 07/15/45 | | | | 775,000 | | | | 987,185 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Food (Continued) | |
|
Smithfield Foods, Inc. | |
| | | |
2.63% (1) | | | 09/13/31 | | | $ | 2,565,000 | | | $ | 2,486,896 | |
| | | | | | | | | | | | |
| |
| | | | 6,780,769 | |
| | | | | | | | | | | | |
|
| Gas — 0.1% | |
|
KeySpan Gas East Corp. | |
| | | |
5.82% (1) | | | 04/01/41 | | | | 1,551,000 | | | | 2,088,964 | |
| | | | | | | | | | | | |
|
| Health Care-Services — 1.5% | |
|
Anthem, Inc. | |
| | | |
3.65% | | | 12/01/27 | | | | 2,405,000 | | | | 2,640,839 | |
|
Centene Corp. | |
| | | |
3.00% | | | 10/15/30 | | | | 3,888,000 | | | | 3,956,779 | |
|
CommonSpirit Health | |
| | | |
2.78% | | | 10/01/30 | | | | 955,000 | | | | 979,582 | |
| | | |
4.35% | | | 11/01/42 | | | | 600,000 | | | | 690,522 | |
|
Fresenius Medical Care US Finance III, Inc. | |
| | | |
1.88% (1) | | | 12/01/26 | | | | 1,650,000 | | | | 1,641,618 | |
|
HCA, Inc. | |
| | | |
2.38% | | | 07/15/31 | | | | 715,000 | | | | 699,327 | |
| | | |
4.13% | | | 06/15/29 | | | | 3,946,000 | | | | 4,376,627 | |
| | | |
4.50% | | | 02/15/27 | | | | 455,000 | | | | 505,076 | |
| | | |
5.00% | | | 03/15/24 | | | | 620,000 | | | | 674,833 | |
| | | |
5.25% | | | 04/15/25 | | | | 1,770,000 | | | | 1,985,345 | |
| | | |
5.25% | | | 06/15/49 | | | | 600,000 | | | | 778,993 | |
|
Humana, Inc. | |
| | | |
2.15% | | | 02/03/32 | | | | 2,055,000 | | | | 1,990,925 | |
|
Saint Barnabas Health Care System | |
| | | |
4.00% | | | 07/01/28 | | | | 3,290,000 | | | | 3,671,409 | |
| | | | | | | | | | | | |
| |
| | | | 24,591,875 | |
| | | | | | | | | | | | |
|
| Insurance — 1.3% | |
|
Athene Global Funding | |
| | | |
1.99% (1) | | | 08/19/28 | | | | 4,000,000 | | | | 3,896,760 | |
|
Farmers Exchange Capital | |
| | | |
7.20% (1) | | | 07/15/48 | | | | 1,495,000 | | | | 2,206,389 | |
|
Farmers Exchange Capital II | |
| | | |
6.15% (3 mo. USD LIBOR + 3.744%) (1),(2) | | | 11/01/53 | | | | 2,065,000 | | | | 2,618,658 | |
|
Nationwide Mutual Insurance Co. | |
| | | |
2.41% (3 mo. USD LIBOR + 2.290%) (1),(2) | | | 12/15/24 | | | | 4,000,000 | | | | 4,002,364 | |
|
New York Life Insurance Co. | |
| | | |
3.75% (1) | | | 05/15/50 | | | | 1,475,000 | | | | 1,694,249 | |
|
Protective Life Global Funding | |
| | | |
1.62% (1) | | | 04/15/26 | | | | 2,955,000 | | | | 2,956,241 | |
| |
Teachers Insurance & Annuity Association of America | | | | | |
| | | |
3.30% (1) | | | 05/15/50 | | | | 2,980,000 | | | | 3,161,842 | |
| | | |
4.27% (1) | | | 05/15/47 | | | | 130,000 | | | | 159,474 | |
|
Willis North America, Inc. | |
| | | |
4.50% | | | 09/15/28 | | | | 1,445,000 | | | | 1,638,832 | |
| | | | | | | | | | | | |
| |
| | | | 22,334,809 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
19
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Internet — 0.2% | |
|
Tencent Holdings, Ltd. | |
| | | |
3.68% (1) | | | 04/22/41 | | | $ | 825,000 | | | $ | 862,805 | |
| | | |
3.84% (1) | | | 04/22/51 | | | | 825,000 | | | | 880,506 | |
| | | |
3.98% (1) | | | 04/11/29 | | | | 740,000 | | | | 808,709 | |
| | | | | | | | | | | | |
| |
| | | | 2,552,020 | |
| | | | | | | | | | | | |
| | | |
| Media — 0.4% | | | | | | | | | |
| |
Charter Communications Operating LLC / Charter Communications Operating Capital | | | | | |
| | | |
5.38% | | | 04/01/38 | | | | 1,475,000 | | | | 1,776,697 | |
| | | |
5.38% | | | 05/01/47 | | | | 1,205,000 | | | | 1,463,617 | |
| | | |
5.75% | | | 04/01/48 | | | | 1,028,000 | | | | 1,316,148 | |
|
ViacomCBS, Inc. | |
| | | |
4.20% | | | 05/19/32 | | | | 1,460,000 | | | | 1,658,794 | |
|
Walt Disney Co. (The) | |
| | | |
3.60% | | | 01/13/51 | | | | 1,080,000 | | | | 1,235,426 | |
| | | | | | | | | | | | |
| |
| | | | 7,450,682 | |
| | | | | | | | | | | | |
|
| Miscellaneous Manufacturers — 0.2% | |
|
General Electric Co. | |
| | | |
0.60% (3 mo. USD LIBOR + 0.480%) (2) | | | 08/15/36 | | | | 3,045,000 | | | | 2,752,854 | |
| | | |
6.75% | | | 03/15/32 | | | | 1,000,000 | | | | 1,375,404 | |
| | | | | | | | | | | | |
| |
| | | | 4,128,258 | |
| | | | | | | | | | | | |
|
| Oil & Gas — 0.4% | |
|
Exxon Mobil Corp. | |
| | | |
3.45% | | | 04/15/51 | | | | 1,050,000 | | | | 1,166,010 | |
| | | |
4.33% | | | 03/19/50 | | | | 1,280,000 | | | | 1,616,975 | |
|
Petroleos Mexicanos | |
| | | |
6.63% | | | 06/15/35 | | | | 60,000 | | | | 58,110 | |
| | | |
6.75% | | | 09/21/47 | | | | 2,625,000 | | | | 2,323,125 | |
| | | |
6.95% | | | 01/28/60 | | | | 510,000 | | | | 452,115 | |
| | | |
7.69% | | | 01/23/50 | | | | 1,505,000 | | | | 1,440,345 | |
| | | | | | | | | | | | |
| |
| | | | 7,056,680 | |
| | | | | | | | | | | | |
|
| Packaging & Containers — 0.3% | |
|
Amcor Finance USA, Inc. | |
| | | |
3.63% | | | 04/28/26 | | | | 1,380,000 | | | | 1,490,235 | |
|
Berry Global, Inc. | |
| | | |
1.57% | | | 01/15/26 | | | | 3,645,000 | | | | 3,609,133 | |
| | | |
4.88% (1) | | | 07/15/26 | | | | 580,000 | | | | 608,275 | |
| | | | | | | | | | | | |
| |
| | | | 5,707,643 | |
| | | | | | | | | | | | |
|
| Pharmaceuticals — 1.3% | |
|
AbbVie, Inc. | |
| | | |
4.40% | | | 11/06/42 | | | | 1,840,000 | | | | 2,210,594 | |
| | | |
4.45% | | | 05/14/46 | | | | 1,035,000 | | | | 1,264,625 | |
| | | |
4.50% | | | 05/14/35 | | | | 267,000 | | | | 316,099 | |
|
Bayer US Finance II LLC | |
| | | |
4.25% (1) | | | 12/15/25 | | | | 845,000 | | | | 926,729 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Pharmaceuticals (Continued) | |
| | | |
4.38% (1) | | | 12/15/28 | | | $ | 4,540,000 | | | $ | 5,114,181 | |
| | | |
4.63% (1) | | | 06/25/38 | | | | 500,000 | | | | 592,220 | |
| | | |
4.88% (1) | | | 06/25/48 | | | | 2,430,000 | | | | 3,059,954 | |
|
Cigna Corp. | |
| | | |
3.40% | | | 03/15/51 | | | | 500,000 | | | | 528,770 | |
| | | |
4.13% | | | 11/15/25 | | | | 1,525,000 | | | | 1,677,991 | |
|
CVS Health Corp. | |
| | | |
3.88% | | | 07/20/25 | | | | 1,477,000 | | | | 1,604,548 | |
| | | |
5.05% | | | 03/25/48 | | | | 3,835,000 | | | | 5,049,698 | |
| | | | | | | | | | | | |
| |
| | | | 22,345,409 | |
| | | | | | | | | | | | |
|
| Pipelines — 1.1% | |
|
Enbridge Energy Partners LP | |
| | | |
5.88% | | | 10/15/25 | | | | 333,000 | | | | 384,632 | |
|
Energy Transfer LP | |
| | | |
4.95% | | | 06/15/28 | | | | 200,000 | | | | 228,537 | |
| | | |
5.00% | | | 05/15/50 | | | | 1,780,000 | | | | 2,085,626 | |
| | | |
5.15% | | | 03/15/45 | | | | 1,870,000 | | | | 2,186,741 | |
| | | |
5.40% | | | 10/01/47 | | | | 1,763,000 | | | | 2,126,495 | |
| | | |
5.95% | | | 10/01/43 | | | | 630,000 | | | | 779,603 | |
| |
Plains All American Pipeline LP / PAA Finance Corp. | | | | | |
| | | |
4.50% | | | 12/15/26 | | | | 610,000 | | | | 673,056 | |
|
Rockies Express Pipeline LLC | |
| | | |
4.95% (1) | | | 07/15/29 | | | | 2,000,000 | | | | 2,143,320 | |
| | | |
6.88% (1) | | | 04/15/40 | | | | 350,000 | | | | 395,500 | |
|
Ruby Pipeline LLC | |
| | | |
8.00% (1),(3),(4) | | | 04/01/22 | | | | 1,353,030 | | | | 1,275,231 | |
|
Southern Natural Gas Co. LLC | |
| | | |
7.35% | | | 02/15/31 | | | | 2,380,000 | | | | 3,156,650 | |
|
TC PipeLines LP | |
| | | |
4.38% | | | 03/13/25 | | | | 710,000 | | | | 769,711 | |
|
Texas Eastern Transmission LP | |
| | | |
2.80% (1) | | | 10/15/22 | | | | 920,000 | | | | 933,680 | |
|
TransCanada PipeLines, Ltd. (Canada) | |
| | | |
6.10% | | | 06/01/40 | | | | 375,000 | | | | 513,810 | |
|
Williams Partners LP | |
| | | |
6.30% | | | 04/15/40 | | | | 650,000 | | | | 886,040 | |
| | | | | | | | | | | | |
| |
| | | | 18,538,632 | |
| | | | | | | | | | | | |
|
| REIT — 1.1% | |
| |
American Campus Communities Operating Partnership LP | | | | | |
| | | |
3.30% | | | 07/15/26 | | | | 1,000,000 | | | | 1,061,440 | |
| | | |
4.13% | | | 07/01/24 | | | | 1,425,000 | | | | 1,533,965 | |
|
Boston Properties LP | |
| | | |
3.25% | | | 01/30/31 | | | | 965,000 | | | | 1,013,588 | |
|
CyrusOne LP / CyrusOne Finance Corp. | |
| | | |
2.15% | | | 11/01/30 | | | | 1,570,000 | | | | 1,483,499 | |
|
GLP Capital LP / GLP Financing II, Inc. | |
| | | |
4.00% | | | 01/15/30 | | | | 265,000 | | | | 282,940 | |
See accompanying Notes to Financial Statements.
20
TCW Core Fixed Income Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| REIT (Continued) | |
| | | |
5.30% | | | 01/15/29 | | | $ | 1,280,000 | | | $ | 1,472,320 | |
| | | |
5.38% | | | 11/01/23 | | | | 1,000,000 | | | | 1,074,570 | |
| | | |
5.38% | | | 04/15/26 | | | | 1,823,000 | | | | 2,058,058 | |
| | | |
5.75% | | | 06/01/28 | | | | 1,600,000 | | | | 1,859,872 | |
|
Healthcare Trust of America Holdings LP | |
| | | |
2.00% | | | 03/15/31 | | | | 2,350,000 | | | | 2,221,357 | |
|
Lexington Realty Trust (REIT) | |
| | | |
2.38% | | | 10/01/31 | | | | 855,000 | | | | 823,989 | |
|
SL Green Operating Partnership LP | |
| | | |
3.25% | | | 10/15/22 | | | | 2,380,000 | | | | 2,431,075 | |
|
Ventas Realty LP (REIT) | |
| | | |
2.50% | | | 09/01/31 | | | | 1,705,000 | | | | 1,681,215 | |
| | | | | | | | | | | | |
| |
| | | | 18,997,888 | |
| | | | | | | | | | | | |
|
| Retail — 0.1% | |
|
Alimentation Couche-Tard, Inc. (Canada) | |
| | | |
3.55% (1) | | | 07/26/27 | | | | 1,710,000 | | | | 1,853,195 | |
| | | | | | | | | | | | |
|
| Savings & Loans — 0.2% | |
|
Nationwide Building Society (United Kingdom) | |
| | | |
3.62% (3 mo. USD LIBOR + 1.181%) (1),(2) | | | 04/26/23 | | | | 800,000 | | | | 811,469 | |
| | | |
3.77% (3 mo. USD LIBOR + 1.064%) (1),(2) | | | 03/08/24 | | | | 2,670,000 | | | | 2,772,500 | |
| | | |
4.36% (3 mo. USD LIBOR + 1.392%) (1),(2) | | | 08/01/24 | | | | 400,000 | | | | 423,288 | |
| | | | | | | | | | | | |
| |
| | | | 4,007,257 | |
| | | | | | | | | | | | |
|
| Semiconductors — 0.1% | |
|
Intel Corp. | |
| | | |
3.05% | | | 08/12/51 | | | | 1,868,000 | | | | 1,905,603 | |
| | | | | | | | | | | | |
|
| Software — 0.3% | |
|
Oracle Corp. | |
| | | |
3.60% | | | 04/01/50 | | | | 2,000,000 | | | | 2,044,986 | |
| | | |
3.95% | | | 03/25/51 | | | | 2,425,000 | | | | 2,626,251 | |
| | | | | | | | | | | | |
| |
| | | | 4,671,237 | |
| | | | | | | | | | | | |
|
| Telecommunications — 2.6% | |
|
AT&T, Inc. | |
| | | |
2.55% | | | 12/01/33 | | | | 4,625,000 | | | | 4,488,838 | |
| | | |
3.80% | | | 12/01/57 | | | | 5,286,000 | | | | 5,589,117 | |
| | | |
4.75% | | | 05/15/46 | | | | 1,130,000 | | | | 1,377,324 | |
| | | |
4.85% | | | 03/01/39 | | | | 1,554,000 | | | | 1,871,218 | |
| | | |
5.25% | | | 03/01/37 | | | | 2,155,000 | | | | 2,679,355 | |
|
Level 3 Financing, Inc. | |
| | | |
3.40% (1) | | | 03/01/27 | | | | 575,000 | | | | 599,685 | |
| | | |
3.88% (1) | | | 11/15/29 | | | | 2,760,000 | | | | 2,901,712 | |
| | | |
Qwest Corp. | | | | | | | | | | | | |
| | | |
7.25% | | | 09/15/25 | | | | 920,000 | | | | 1,098,480 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Telecommunications (Continued) | |
| |
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC | | | | | |
| | | |
4.74% (1) | | | 03/20/25 | | | $ | 5,538,750 | | | $ | 5,850,305 | |
| | | |
5.15% (1) | | | 09/20/29 | | | | 2,505,000 | | | | 2,830,650 | |
|
T-Mobile USA, Inc. | |
| | | |
2.55% | | | 02/15/31 | | | | 292,000 | | | | 289,956 | |
| | | |
3.75% | | | 04/15/27 | | | | 1,675,000 | | | | 1,818,648 | |
| | | |
3.88% | | | 04/15/30 | | | | 3,735,000 | | | | 4,086,578 | |
| | | |
4.38% | | | 04/15/40 | | | | 1,990,000 | | | | 2,276,047 | |
|
Verizon Communications, Inc. | |
| | | |
2.36% (1) | | | 03/15/32 | | | | 2,135,000 | | | | 2,103,551 | |
| | | |
2.55% | | | 03/21/31 | | | | 825,000 | | | | 832,276 | |
|
Vodafone Group PLC (United Kingdom) | |
| | | |
4.88% | | | 06/19/49 | | | | 1,897,000 | | | | 2,369,800 | |
| | | |
5.25% | | | 05/30/48 | | | | 1,390,000 | | | | 1,834,053 | |
| | | | | | | | | | | | |
| |
| | | | 44,897,593 | |
| | | | | | | | | | | | |
|
| Water — 0.2% | |
|
American Water Capital Corp. | |
| | | |
3.45% | | | 05/01/50 | | | | 2,385,000 | | | | 2,608,737 | |
| | | | | | | | | | | | |
|
Total Corporate Bonds | |
| |
(Cost: $385,537,116) | | | | 404,297,156 | |
| | | | | | | | | | | | |
|
| MUNICIPAL BONDS — 0.6% | |
|
City of New York NY, General Obligation Unlimited | |
| | | |
1.82% | | | 08/01/30 | | | | 1,325,000 | | | | 1,286,611 | |
| | | |
3.00% | | | 08/01/34 | | | | 380,000 | | | | 401,545 | |
|
Metropolitan Transportation Authority, Revenue Bond | |
| | | |
5.18% | | | 11/15/49 | | | | 335,000 | | | | 460,812 | |
| |
New York City Transitional Finance Authority Future Tax Secured Revenue | | | | | |
| | | |
2.45% | | | 11/01/34 | | | | 2,485,000 | | | | 2,489,895 | |
| |
New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bond | | | | | |
| | | |
2.00% | | | 08/01/35 | | | | 1,000,000 | | | | 949,292 | |
| | | |
2.40% | | | 11/01/32 | | | | 585,000 | | | | 589,014 | |
| |
Regents of the University of California Medical Center Pooled, Revenue Bond | | | | | |
| | | |
3.26% | | | 05/15/60 | | | | 3,115,000 | | | | 3,380,775 | |
| | | | | | | | | | | | |
|
Total Municipal Bonds | |
| |
(Cost: $9,286,894) | | | | 9,557,944 | |
| | | | | | | | | | | | |
|
| ASSET-BACKED SECURITIES — 5.5% | |
|
321 Henderson Receivables I LLC (13-3A-A) | |
| | | |
4.08% (1) | | | 01/17/73 | | | | 1,240,261 | | | | 1,383,702 | |
|
321 Henderson Receivables I LLC (14-2A-A) | |
| | | |
3.61% (1) | | | 01/17/73 | | | | 1,484,765 | | | | 1,628,373 | |
|
AGL CLO, Ltd. (20-7A-BR) | |
| | | |
1.82% (3 mo. USD LIBOR + 1.700%) (1),(2) | | | 07/15/34 | | | | 4,385,000 | | | | 4,390,166 | |
See accompanying Notes to Financial Statements.
21
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| ASSET-BACKED SECURITIES (Continued) | |
|
AIG CLO, Ltd. (18-1A-A1R) | |
| | | |
1.25% (3 mo. USD LIBOR + 1.120%) (1),(2) | | | 04/20/32 | | | $ | 4,300,000 | | | $ | 4,310,221 | |
|
AMMC CLO XIII, Ltd. (13-13A-A1R2) | |
| | | |
1.17% (3 mo. USD LIBOR + 1.050%) (1),(2) | | | 07/24/29 | | | | 4,500,000 | | | | 4,502,475 | |
|
Babson CLO, Ltd. (16-2A-AR) | |
| | | |
1.21% (3 mo. USD LIBOR + 1.080%) (1),(2) | | | 07/20/28 | | | | 1,947,477 | | | | 1,949,450 | |
|
BDS, Ltd. (19-FL4-A) | |
| | | |
1.19% (1 mo. USD LIBOR + 1.100%) (1),(2) | | | 08/15/36 | | | | 4,228,234 | | | | 4,232,882 | |
|
Brazos Education Loan Authority, Inc. (12-1-A1) | |
| | | |
0.79% (1 mo. USD LIBOR + 0.700%) (2) | | | 12/26/35 | | | | 562,530 | | | | 560,051 | |
|
Brazos Higher Education Authority, Inc. (10-1-A2) | |
| | | |
1.33% (3 mo. USD LIBOR + 1.200%) (2) | | | 02/25/35 | | | | 675,000 | | | | 687,867 | |
|
Brazos Higher Education Authority, Inc. (11-1-A3) | |
| | | |
1.18% (3 mo. USD LIBOR + 1.050%) (2) | | | 11/25/33 | | | | 1,695,000 | | | | 1,717,437 | |
|
CIFC Funding, Ltd (21-7A-A1) | |
| | | |
0.00% (3 mo. USD LIBOR + 1.130%) (1),(2),(5) | | | 01/23/35 | | | | 4,300,000 | | | | 4,302,610 | |
|
Dryden XXVI Senior Loan Fund (13-26A-AR) | |
| | | |
1.02% (3 mo. USD LIBOR + 0.900%) (1),(2) | | | 04/15/29 | | | | 2,133,256 | | | | 2,133,789 | |
|
Educational Funding of the South, Inc. (11-1-A2) | |
| | | |
0.77% (3 mo. USD LIBOR + 0.650%) (2) | | | 04/25/35 | | | | 709,215 | | | | 708,936 | |
|
Educational Services of America, Inc. (12-2-A) | |
| | | |
0.82% (1 mo. USD LIBOR + 0.730%) (1),(2) | | | 04/25/39 | | | | 363,599 | | | | 365,973 | |
|
Global SC Finance SRL (14-1A-A2) | |
| | | |
3.09% (1) | | | 07/17/29 | | | | 848,375 | | | | 856,883 | |
|
GoldenTree Loan Opportunities IX, Ltd. (14-9A-AR2) | |
| | | |
1.24% (3 mo. USD LIBOR + 1.110%) (1),(2) | | | 10/29/29 | | | | 3,100,000 | | | | 3,100,353 | |
|
Higher Education Funding I (14-1-A) | |
| | | |
1.18% (3 mo. USD LIBOR + 1.050%) (1),(2) | | | 05/25/34 | | | | 1,509,047 | | | | 1,515,449 | |
|
Madison Park Funding XLVIII, Ltd. (21-48A-A) | |
| | | |
1.27% (3 mo. USD LIBOR + 1.150%) (1),(2) | | | 04/19/33 | | | | 4,320,000 | | | | 4,326,696 | |
|
Navient Student Loan Trust (14-3-A) | |
| | | |
0.71% (1 mo. USD LIBOR + 0.620%) (2) | | | 03/25/83 | | | | 3,055,785 | | | | 3,055,809 | |
|
Navient Student Loan Trust (14-4-A) | |
| | | |
0.71% (1 mo. USD LIBOR + 0.620%) (2) | | | 03/25/83 | | | | 1,543,900 | | | | 1,543,519 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| ASSET-BACKED SECURITIES (Continued) | |
|
Nelnet Student Loan Trust (14-4A-A2) | |
| | | |
1.04% (1 mo. USD LIBOR + 0.950%) (1),(2) | | | 11/25/48 | | | $ | 2,965,000 | | | $ | 3,008,457 | |
|
OCP CLO 2020-19, Ltd. (20-19A-AR) | |
| | | |
1.28% (3 mo. USD LIBOR + 1.150%) (1),(2) | | | 10/20/34 | | | | 3,600,000 | | | | 3,601,688 | |
|
Octagon Investment Partners XIV, Ltd. (12-1A-AARR) | |
| | | |
1.07% (3 mo. USD LIBOR + 0.950%) (1),(2) | | | 07/15/29 | | | | 4,100,000 | | | | 4,101,025 | |
|
PHEAA Student Loan Trust (15-1A-A) | |
| | | |
0.69% (1 mo. USD LIBOR + 0.600%) (1),(2) | | | 10/25/41 | | | | 1,240,771 | | | | 1,236,048 | |
|
Skyline Trust (2020-1 A) | |
| | | |
3.23% (3) | | | 07/03/38 | | | | 4,817,734 | | | | 4,765,793 | |
|
SLM Student Loan Trust (03-7A-A5A) | |
| | | |
1.32% (3 mo. USD LIBOR + 1.200%) (1),(2) | | | 12/15/33 | | | | 2,192,438 | | | | 2,203,927 | |
|
SLM Student Loan Trust (08-2-B) | |
| | | |
1.32% (3 mo. USD LIBOR + 1.200%) (2) | | | 01/25/83 | | | | 710,000 | | | | 680,582 | |
|
SLM Student Loan Trust (08-3-B) | |
| | | |
1.32% (3 mo. USD LIBOR + 1.200%) (2) | | | 04/26/83 | | | | 710,000 | | | | 671,871 | |
|
SLM Student Loan Trust (08-4-A4) | |
| | | |
1.77% (3 mo. USD LIBOR + 1.650%) (2) | | | 07/25/22 | | | | 3,746,841 | | | | 3,804,901 | |
|
SLM Student Loan Trust (08-4-B) | |
| | | |
1.97% (3 mo. USD LIBOR + 1.850%) (2) | | | 04/25/73 | | | | 710,000 | | | | 715,740 | |
|
SLM Student Loan Trust (08-5-B) | |
| | | |
1.97% (3 mo. USD LIBOR + 1.850%) (2) | | | 07/25/73 | | | | 710,000 | | | | 709,212 | |
|
SLM Student Loan Trust (08-6-A4) | |
| | | |
1.22% (3 mo. USD LIBOR + 1.100%) (2) | | | 07/25/23 | | | | 3,108,249 | | | | 3,112,915 | |
|
SLM Student Loan Trust (08-6-B) | |
| | | |
1.97% (3 mo. USD LIBOR + 1.850%) (2) | | | 07/26/83 | | | | 710,000 | | | | 719,804 | |
|
SLM Student Loan Trust (08-7-B) | |
| | | |
1.97% (3 mo. USD LIBOR + 1.850%) (2) | | | 07/26/83 | | | | 710,000 | | | | 715,456 | |
|
SLM Student Loan Trust (08-8-B) | |
| | | |
2.37% (3 mo. USD LIBOR + 2.250%) (2) | | | 10/25/75 | | | | 710,000 | | | | 715,789 | |
|
SLM Student Loan Trust (08-9-A) | |
| | | |
1.62% (3 mo. USD LIBOR + 1.500%) (2) | | | 04/25/23 | | | | 1,112,731 | | | | 1,121,621 | |
|
SLM Student Loan Trust (08-9-B) | |
| | | |
2.37% (3 mo. USD LIBOR + 2.250%) (2) | | | 10/25/83 | | | | 710,000 | | | | 718,489 | |
See accompanying Notes to Financial Statements.
22
TCW Core Fixed Income Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| ASSET-BACKED SECURITIES (Continued) | |
|
SLM Student Loan Trust (11-2-A2) | |
| | | |
1.29% (1 mo. USD LIBOR + 1.200%) (2) | | | 10/25/34 | | | $ | 2,000,000 | | | $ | 2,025,170 | |
|
SLM Student Loan Trust (12-7-A3) | |
| | | |
0.74% (1 mo. USD LIBOR + 0.650%) (2) | | | 05/26/26 | | | | 1,701,270 | | | | 1,672,823 | |
|
Tricon American Homes Trust (17-SFR1-A) | |
| | | |
2.72% (1) | | | 09/17/34 | | | | 4,748,363 | | | | 4,744,695 | |
|
Vantage Data Centers Issuer LLC (18-2A-A2) | |
| | | |
4.20% (1) | | | 11/16/43 | | | | 4,164,875 | | | | 4,296,340 | |
| | | | | | | | | | | | |
|
Total Asset-backed Securities | |
| |
(Cost: $91,967,866) | | | | 92,614,987 | |
| | | | | | | | | | | | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
AGENCY — 0.5% | |
|
Fannie Mae, Pool #AN0245 | |
| | | |
3.42% | | | 11/01/35 | | | | 1,956,001 | | | | 2,187,026 | |
|
Fannie Mae, Pool #BL6060 | |
| | | |
2.46% | | | 04/01/40 | | | | 1,840,000 | | | | 1,905,228 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K155-A3) | | | | | |
| | | |
3.75% | | | 04/25/33 | | | | 4,045,000 | | | | 4,765,584 | |
| | | | | | | | | | | | |
| | |
Total Commercial Mortgage-Backed Securities — Agency | | | | | | | | | |
| | |
(Cost: $7,960,002) | | | | | | | | 8,857,838 | |
| | | | | | | | | | | | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY — 2.0% | |
| |
BAMLL Commercial Mortgage Securities Trust (18-PARK-A) | | | | | |
| | | |
4.09% (1),(6) | | | 08/10/38 | | | | 1,930,000 | | | | 2,179,258 | |
|
BX Trust (19-OC11-A) | |
| | | |
3.20% (1) | | | 12/09/41 | | | | 585,000 | | | | 620,417 | |
|
CALI Mortgage Trust (19-101C-A) | |
| | | |
3.96% (1) | | | 03/10/39 | | | | 1,285,000 | | | | 1,444,339 | |
|
Citigroup Commercial Mortgage Trust (20-WSS-A) | |
| | | |
2.04% (1 mo. USD LIBOR + 1.950%) (1),(2) | | | 02/15/39 | | | | 3,905,573 | | | | 4,111,746 | |
|
COMM 2015-CCRE27 Mortgage Trust (15-CR27-A3) | |
| | | |
3.35% | | | 10/10/48 | | | | 4,795,899 | | | | 5,075,735 | |
|
CPT Mortgage Trust (19-CPT-A) | |
| | | |
2.87% (1) | | | 11/13/39 | | | | 1,105,000 | | | | 1,161,019 | |
|
DC Office Trust (19-MTC-A) | |
| | | |
2.97% (1) | | | 09/15/45 | | | | 1,180,000 | | | | 1,246,358 | |
|
GS Mortgage Securities Trust (12-GCJ7-AS) | |
| | | |
4.09% | | | 05/10/45 | | | | 5,529,000 | | | | 5,575,739 | |
|
Hudson Yards Mortgage Trust (19-30HY-A) | |
| | | |
3.23% (1) | | | 07/10/39 | | | | 2,185,000 | | | | 2,352,719 | |
|
Hudson Yards Mortgage Trust (19-55HY-A) | |
| | | |
2.94% (1),(6) | | | 12/10/41 | | | | 1,180,000 | | | | 1,250,808 | |
| |
JPMorgan Chase Commercial Mortgage Securities Trust (19-OSB-A) | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| | | |
3.40% (1) | | | 06/05/39 | | | $ | 1,160,000 | | | $ | 1,264,245 | |
|
Manhattan West Mortgage Trust (20-1MW-A) | |
| | | |
2.13% (1) | | | 09/10/39 | | | | 1,720,000 | | | | 1,743,611 | |
|
MKT Mortgage Trust (20-525M-A) | |
| | | |
2.69% (1) | | | 02/12/40 | | | | 1,540,000 | | | | 1,598,200 | |
| |
Natixis Commercial Mortgage Securities Trust (20-2PAC-A) | | | | | |
| | | |
2.97% (1) | | | 12/15/38 | | | | 1,215,000 | | | | 1,257,393 | |
|
One Bryant Park Trust (19-OBP-A) | |
| | | |
2.52% (1) | | | 09/15/54 | | | | 1,495,000 | | | | 1,536,047 | |
| |
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A1) | | | | | |
| | | |
3.87% (1),(6) | | | 01/05/43 | | | | 1,710,000 | | | | 1,773,465 | |
| |
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A2B) | | | | | |
| | | |
4.14% (1),(6) | | | 01/05/43 | | | | 70,000 | | | | 77,604 | |
| | | | | | | | | | | | |
| | |
Total Commercial Mortgage-Backed Securities — Non-Agency | | | | | | | | | |
| |
(Cost: $33,441,599) | | | | 34,268,703 | |
| | | | | | | | | | | | |
| |
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY — 29.7% | | | | |
|
Fannie Mae, Pool #BN7755 | |
| | | |
3.00% | | | 09/01/49 | | | | 3,688,659 | | | | 3,895,508 | |
|
Fannie Mae, Pool #FM2318 | |
| | | |
3.50% | | | 09/01/49 | | | | 378,887 | | | | 405,797 | |
|
Fannie Mae, Pool #MA4152 | |
| | | |
2.00% | | | 10/01/40 | | | | 6,266,119 | | | | 6,389,490 | |
|
Fannie Mae, Pool #MA4387 | |
| | | |
2.00% | | | 07/01/41 | | | | 3,327,394 | | | | 3,392,405 | |
|
Fannie Mae (19-79-FA) | |
| | | |
0.59% (1 mo. USD LIBOR + 0.500%) (2) | | | 01/25/50 | | | | 2,075,793 | | | | 2,093,771 | |
|
Fannie Mae (01-14-SH) (I/F) | |
| | | |
27.51% (-1 mo. USD LIBOR + 27.825%) (2) | | | 03/25/30 | | | | 70,337 | | | | 109,440 | |
|
Fannie Mae (01-34-FV) | |
| | | |
0.59% (1 mo. USD LIBOR + 0.500%) (2) | | | 08/25/31 | | | | 93,848 | | | | 94,359 | |
|
Fannie Mae (04-W10-A6) (PAC) | |
| | | |
5.75% | | | 08/25/34 | | | | 930,754 | | | | 990,792 | |
|
Fannie Mae (07-89-GF) | |
| | | |
0.61% (1 mo. USD LIBOR + 0.520%) (2) | | | 09/25/37 | | | | 391,813 | | | | 395,949 | |
|
Fannie Mae (08-30-SA) (I/O) (I/F) | |
| | | |
6.76% (-1 mo. USD LIBOR + 6.850%) (2) | | | 04/25/38 | | | | 69,348 | | | | 15,979 | |
|
Fannie Mae (08-62-SN) (I/O) (I/F) | |
| | | |
6.11% (-1 mo. USD LIBOR + 6.200%) (2) | | | 07/25/38 | | | | 49,970 | | | | 8,346 | |
See accompanying Notes to Financial Statements.
23
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| |
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | | | | |
|
Fannie Mae (09-64-TB) | |
| | | |
4.00% | | | 08/25/29 | | | $ | 818,534 | | | $ | 870,455 | |
|
Fannie Mae (09-68-SA) (I/O) (I/F) | |
| | | |
6.66% (-1 mo. USD LIBOR + 6.750%) (2) | | | 09/25/39 | | | | 53,633 | | | | 11,230 | |
|
Fannie Mae (10-26-AS) (I/O) (I/F) | |
| | | |
6.24% (-1 mo. USD LIBOR + 6.330%) (2) | | | 03/25/40 | | | | 738,626 | | | | 110,759 | |
|
Fannie Mae (11-111-DB) | |
| | | |
4.00% | | | 11/25/41 | | | | 1,647,904 | | | | 1,782,397 | |
|
Fannie Mae (18-38-LA) | |
| | | |
3.00% | | | 06/25/48 | | | | 1,332,813 | | | | 1,385,377 | |
|
Fannie Mae (18-43-CT) | |
| | | |
3.00% | | | 06/25/48 | | | | 996,557 | | | | 1,040,833 | |
|
Fannie Mae, Pool #254634 | |
| | | |
5.50% | | | 02/01/23 | | | | 1,688 | | | | 1,885 | |
|
Fannie Mae, Pool #596686 | |
| | | |
6.50% | | | 11/01/31 | | | | 9,721 | | | | 10,867 | |
|
Fannie Mae, Pool #727575 | |
| | | |
5.00% | | | 06/01/33 | | | | 26,528 | | | | 28,767 | |
|
Fannie Mae, Pool #748751 | |
| | | |
5.50% | | | 10/01/33 | | | | 36,806 | | | | 38,557 | |
|
Fannie Mae, Pool #AB2127 | |
| | | |
3.50% | | | 01/01/26 | | | | 348,258 | | | | 369,896 | |
|
Fannie Mae, Pool #AL0209 | |
| | | |
4.50% | | | 05/01/41 | | | | 413,416 | | | | 462,984 | |
|
Fannie Mae, Pool #AL0851 | |
| | | |
6.00% | | | 10/01/40 | | | | 380,139 | | | | 441,200 | |
|
Fannie Mae, Pool #AS9830 | |
| | | |
4.00% | | | 06/01/47 | | | | 849,516 | | | | 915,637 | |
|
Fannie Mae, Pool #CA1710 | |
| | | |
4.50% | | | 05/01/48 | | | | 2,128,215 | | | | 2,306,785 | |
|
Fannie Mae, Pool #CA1711 | |
| | | |
4.50% | | | 05/01/48 | | | | 1,453,917 | | | | 1,578,602 | |
|
Fannie Mae, Pool #CA2208 | |
| | | |
4.50% | | | 08/01/48 | | | | 1,277,982 | | | | 1,385,381 | |
|
Fannie Mae, Pool #CA2327 | |
| | | |
4.00% | | | 09/01/48 | | | | 611,965 | | | | 672,290 | |
|
Fannie Mae, Pool #FM2870 | |
| | | |
3.00% | | | 03/01/50 | | | | 2,401,578 | | | | 2,535,313 | |
|
Fannie Mae, Pool #MA1146 | |
| | | |
4.00% | | | 08/01/42 | | | | 873,188 | | | | 958,839 | |
|
Fannie Mae, Pool #MA1561 | |
| | | |
3.00% | | | 09/01/33 | | | | 1,653,000 | | | | 1,746,633 | |
|
Fannie Mae, Pool #MA1584 | |
| | | |
3.50% | | | 09/01/33 | | | | 2,449,834 | | | | 2,627,873 | |
|
Fannie Mae, Pool #MA3182 | |
| | | |
3.50% | | | 11/01/47 | | | | 442,563 | | | | 470,392 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| |
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | | | | |
|
Fannie Mae, Pool #MA4093 | |
| | | |
2.00% | | | 08/01/40 | | | $ | 5,158,194 | | | $ | 5,259,675 | |
|
Freddie Mac, Pool #SD0231 | |
| | | |
3.00% | | | 01/01/50 | | | | 5,513,303 | | | | 5,822,043 | |
|
Freddie Mac, Pool #ZM1779 | |
| | | |
3.00% | | | 09/01/46 | | | | 1,513,583 | | | | 1,595,333 | |
|
Freddie Mac (2439-KZ) | |
| | | |
6.50% | | | 04/15/32 | | | | 79,587 | | | | 91,532 | |
|
Freddie Mac (2575-FD) (PAC) | |
| | | |
0.54% (1 mo. USD LIBOR + 0.450%) (2) | | | 02/15/33 | | | | 201,704 | | | | 203,840 | |
|
Freddie Mac (2662-MT) (TAC) | |
| | | |
4.50% | | | 08/15/33 | | | | 80,398 | | | | 86,232 | |
|
Freddie Mac (3315-S) (I/O) (I/F) | |
| | | |
6.32% (-1 mo. USD LIBOR + 6.410%) (2) | | | 05/15/37 | | | | 11,264 | | | | 1,694 | |
|
Freddie Mac (3339-JS) (I/F) | |
| | | |
42.25% (-1 mo. USD LIBOR + 42.835%) (2) | | | 07/15/37 | | | | 290,938 | | | | 604,585 | |
|
Freddie Mac (3351-ZC) | |
| | | |
5.50% | | | 07/15/37 | | | | 194,699 | | | | 218,619 | |
|
Freddie Mac (3380-SM) (I/O) (I/F) | |
| | | |
6.32% (-1 mo. USD LIBOR + 6.410%) (2) | | | 10/15/37 | | | | 319,035 | | | | 61,538 | |
|
Freddie Mac (3382-FL) | |
| | | |
0.79% (-1 mo. USD LIBOR + 0.700%) (2) | | | 11/15/37 | | | | 84,038 | | | | 83,598 | |
|
Freddie Mac (3439-SC) (I/O) (I/F) | |
| | | |
5.81% (-1 mo. USD LIBOR + 5.900%) (2) | | | 04/15/38 | | | | 1,269,000 | | | | 189,292 | |
|
Freddie Mac (3578-DI) (I/O) (I/F) | |
| | | |
6.56% (-1 mo. USD LIBOR + 6.650%) (2) | | | 04/15/36 | | | | 456,300 | | | | 77,567 | |
|
Freddie Mac (4818-CA) | |
| | | |
3.00% | | | 04/15/48 | | | | 677,435 | | | | 700,011 | |
|
Freddie Mac, Pool #A97179 | |
| | | |
4.50% | | | 03/01/41 | | | | 1,281,586 | | | | 1,446,930 | |
|
Freddie Mac, Pool #C90526 | |
| | | |
5.50% | | | 02/01/22 | | | | 155 | | | | 155 | |
|
Freddie Mac, Pool #G06360 | |
| | | |
4.00% | | | 03/01/41 | | | | 1,528,625 | | | | 1,709,951 | |
|
Freddie Mac, Pool #G06498 | |
| | | |
4.00% | | | 04/01/41 | | | | 1,075,715 | | | | 1,193,918 | |
|
Freddie Mac, Pool #G06499 | |
| | | |
4.00% | | | 03/01/41 | | | | 707,531 | | | | 779,745 | |
|
Freddie Mac, Pool #G07849 | |
| | | |
3.50% | | | 05/01/44 | | | | 858,482 | | | | 929,895 | |
|
Freddie Mac, Pool #G07924 | |
| | | |
3.50% | | | 01/01/45 | | | | 1,329,175 | | | | 1,437,250 | |
See accompanying Notes to Financial Statements.
24
TCW Core Fixed Income Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| |
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | | | | |
|
Freddie Mac, Pool #G08710 | |
| | | |
3.00% | | | 06/01/46 | | | $ | 1,627,117 | | | $ | 1,715,710 | |
|
Freddie Mac, Pool #G08711 | |
| | | |
3.50% | | | 06/01/46 | | | | 2,792,351 | | | | 2,985,408 | |
|
Freddie Mac, Pool #G08715 | |
| | | |
3.00% | | | 08/01/46 | | | | 3,106,700 | | | | 3,275,851 | |
|
Freddie Mac, Pool #G08716 | |
| | | |
3.50% | | | 08/01/46 | | | | 1,902,232 | | | | 2,033,748 | |
|
Freddie Mac, Pool #G08721 | |
| | | |
3.00% | | | 09/01/46 | | | | 2,517,678 | | | | 2,654,759 | |
|
Freddie Mac, Pool #G08722 | |
| | | |
3.50% | | | 09/01/46 | | | | 756,089 | | | | 808,363 | |
|
Freddie Mac, Pool #G08726 | |
| | | |
3.00% | | | 10/01/46 | | | | 2,410,658 | | | | 2,541,912 | |
|
Freddie Mac, Pool #G08732 | |
| | | |
3.00% | | | 11/01/46 | | | | 2,415,754 | | | | 2,547,285 | |
|
Freddie Mac, Pool #G08792 | |
| | | |
3.50% | | | 12/01/47 | | | | 2,050,270 | | | | 2,179,487 | |
|
Freddie Mac, Pool #G08816 | |
| | | |
3.50% | | | 06/01/48 | | | | 393,278 | | | | 416,484 | |
|
Freddie Mac, Pool #G08826 | |
| | | |
5.00% | | | 06/01/48 | | | | 476,097 | | | | 522,968 | |
|
Freddie Mac, Pool #G08843 | |
| | | |
4.50% | | | 10/01/48 | | | | 1,618,749 | | | | 1,750,791 | |
|
Freddie Mac, Pool #G16584 | |
| | | |
3.50% | | | 08/01/33 | | | | 1,692,144 | | | | 1,798,850 | |
|
Freddie Mac, Pool #G18592 | |
| | | |
3.00% | | | 03/01/31 | | | | 890,906 | | | | 937,403 | |
|
Freddie Mac, Pool #G18670 | |
| | | |
3.00% | | | 12/01/32 | | | | 578,771 | | | | 608,149 | |
|
Freddie Mac, Pool #G18713 | |
| | | |
3.50% | | | 11/01/33 | | | | 1,121,822 | | | | 1,192,558 | |
|
Freddie Mac, Pool #G60038 | |
| | | |
3.50% | | | 01/01/44 | | | | 1,222,059 | | | | 1,319,849 | |
|
Freddie Mac, Pool #G60344 | |
| | | |
4.00% | | | 12/01/45 | | | | 655,324 | | | | 720,302 | |
|
Freddie Mac, Pool #G67700 | |
| | | |
3.50% | | | 08/01/46 | | | | 1,025,140 | | | | 1,106,892 | |
|
Freddie Mac, Pool #G67703 | |
| | | |
3.50% | | | 04/01/47 | | | | 6,210,955 | | | | 6,700,443 | |
|
Freddie Mac, Pool #G67706 | |
| | | |
3.50% | | | 12/01/47 | | | | 3,974,212 | | | | 4,284,938 | |
|
Freddie Mac, Pool #G67707 | |
| | | |
3.50% | | | 01/01/48 | | | | 8,051,004 | | | | 8,755,254 | |
|
Freddie Mac, Pool #G67708 | |
| | | |
3.50% | | | 03/01/48 | | | | 7,121,877 | | | | 7,626,910 | |
|
Freddie Mac, Pool #G67710 | |
| | | |
3.50% | | | 03/01/48 | | | | 5,755,554 | | | | 6,171,572 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| |
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | | | | |
|
Freddie Mac, Pool #G67711 | |
| | | |
4.00% | | | 03/01/48 | | | $ | 2,128,951 | | | $ | 2,334,621 | |
|
Freddie Mac, Pool #G67718 | |
| | | |
4.00% | | | 01/01/49 | | | | 2,040,165 | | | | 2,224,017 | |
|
Freddie Mac, Pool #Q05261 | |
| | | |
3.50% | | | 12/01/41 | | | | 1,297,878 | | | | 1,413,398 | |
|
Freddie Mac, Pool #Q20178 | |
| | | |
3.50% | | | 07/01/43 | | | | 2,550,482 | | | | 2,793,086 | |
|
Freddie Mac, Pool #SD7513 | |
| | | |
3.50% | | | 04/01/50 | | | | 723,374 | | | | 778,640 | |
|
Freddie Mac, Pool #ZT1703 | |
| | | |
4.00% | | | 01/01/49 | | | | 1,389,049 | | | | 1,514,330 | |
|
Ginnie Mae (08-27-SI) (I/O) (I/F) | |
| | | |
6.38% (-1 mo. USD LIBOR + 6.470%) (2) | | | 03/20/38 | | | | 191,523 | | | | 41,002 | |
|
Ginnie Mae (08-81-S) (I/O) (I/F) | |
| | | |
6.11% (-1 mo. USD LIBOR + 6.200%) (2) | | | 09/20/38 | | | | 754,254 | | | | 152,286 | |
|
Ginnie Mae (10-1-S) (I/O) (I/F) | |
| | | |
5.66% (-1 mo. USD LIBOR + 5.750%) (2) | | | 01/20/40 | | | | 1,127,204 | | | | 109,306 | |
|
Ginnie Mae (18-124-NW) | |
| | | |
3.50% | | | 09/20/48 | | | | 1,162,368 | | | | 1,241,650 | |
|
Ginnie Mae, Pool #608259 | |
| | | |
4.50% | | | 08/15/33 | | | | 25,948 | | | | 29,282 | |
|
Ginnie Mae, Pool #782114 | |
| | | |
5.00% | | | 09/15/36 | | | | 75,626 | | | | 87,703 | |
|
Ginnie Mae, Pool #MA3662 | |
| | | |
3.00% | | | 05/20/46 | | | | 550,212 | | | | 576,777 | |
|
Ginnie Mae, Pool #MA4127 | |
| | | |
3.50% | | | 12/20/46 | | | | 1,751,425 | | | | 1,855,565 | |
|
Ginnie Mae II, Pool #MA6030 | |
| | | |
3.50% | | | 07/20/49 | | | | 149,752 | | | | 153,481 | |
|
Ginnie Mae II, Pool #MA3521 | |
| | | |
3.50% | | | 03/20/46 | | | | 1,293,680 | | | | 1,371,541 | |
|
Ginnie Mae II, Pool #MA3597 | |
| | | |
3.50% | | | 04/20/46 | | | | 1,255,146 | | | | 1,330,687 | |
|
Ginnie Mae II, Pool #MA3663 | |
| | | |
3.50% | | | 05/20/46 | | | | 1,243,887 | | | | 1,316,418 | |
|
Ginnie Mae II, Pool #MA4126 | |
| | | |
3.00% | | | 12/20/46 | | | | 3,283,413 | | | | 3,441,938 | |
|
Ginnie Mae II, Pool #MA4196 | |
| | | |
3.50% | | | 01/20/47 | | | | 1,040,213 | | | | 1,098,593 | |
|
Ginnie Mae II, Pool #MA4454 | |
| | | |
5.00% | | | 05/20/47 | | | | 435,373 | | | | 478,349 | |
|
Ginnie Mae II, Pool #MA4510 | |
| | | |
3.50% | | | 06/20/47 | | | | 515,291 | | | | 543,241 | |
|
Ginnie Mae II, Pool #MA4589 | |
| | | |
5.00% | | | 07/20/47 | | | | 1,100,873 | | | | 1,215,438 | |
See accompanying Notes to Financial Statements.
25
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| |
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | | | | |
|
Ginnie Mae II, Pool #MA4722 | |
| | | |
5.00% | | | 09/20/47 | | | $ | 368,123 | | | $ | 404,478 | |
|
Ginnie Mae II, Pool #MA4777 | |
| | | |
3.00% | | | 10/20/47 | | | | 403,884 | | | | 421,949 | |
|
Ginnie Mae II, Pool #MA4836 | |
| | | |
3.00% | | | 11/20/47 | | | | 1,573,856 | | | | 1,646,909 | |
|
Ginnie Mae II, Pool #MA4837 | |
| | | |
3.50% | | | 11/20/47 | | | | 3,385,661 | | | | 3,569,302 | |
|
Ginnie Mae II, Pool #MA4838 | |
| | | |
4.00% | | | 11/20/47 | | | | 1,010,369 | | | | 1,084,266 | |
|
Ginnie Mae II, Pool #MA4901 | |
| | | |
4.00% | | | 12/20/47 | | | | 1,699,837 | | | | 1,818,686 | |
|
Ginnie Mae II, Pool #MA5078 | |
| | | |
4.00% | | | 03/20/48 | | | | 1,262,952 | | | | 1,351,868 | |
|
Ginnie Mae II, Pool #MA5399 | |
| | | |
4.50% | | | 08/20/48 | | | | 2,557,159 | | | | 2,741,459 | |
|
Ginnie Mae II, Pool #MA5466 | |
| | | |
4.00% | | | 09/20/48 | | | | 83,069 | | | | 88,532 | |
|
Ginnie Mae II, Pool #MA5467 | |
| | | |
4.50% | | | 09/20/48 | | | | 157,341 | | | | 168,427 | |
|
Ginnie Mae II, Pool #MA6209 | |
| | | |
3.00% | | | 10/20/49 | | | | 926,864 | | | | 947,059 | |
|
Ginnie Mae II TBA, 30-Year | |
| | | |
2.00% (7) | | | 12/20/51 | | | | 15,625,000 | | | | 15,789,995 | |
| | | |
2.50% (7) | | | 02/01/51 | | | | 21,950,000 | | | | 22,523,323 | |
|
Uniform Mortgage-Backed Securities TBA, 15-Year | |
| | | |
2.00% (7) | | | 04/01/36 | | | | 20,625,000 | | | | 21,133,205 | |
|
Uniform Mortgage-Backed Securities TBA, 30-Year | |
| | | |
1.50% (7) | | | 12/16/36 | | | | 12,650,000 | | | | 12,705,695 | |
| | | |
2.00% (7) | | | 07/01/51 | | | | 65,100,000 | | | | 64,849,251 | |
| | | |
2.00% (7) | | | 07/01/51 | | | | 63,700,000 | | | | 63,587,187 | |
| | | |
2.50% (7) | | | 07/01/51 | | | | 34,875,000 | | | | 35,672,714 | |
| | | |
2.50% (7) | | | 07/01/51 | | | | 84,000,000 | | | | 86,099,756 | |
| | | |
3.00% (7) | | | 05/01/49 | | | | 12,950,000 | | | | 13,495,448 | |
| | | | | | | | | | | | |
| |
Total Residential Mortgage-Backed
Securities — Agency | | | | | |
| |
(Cost: $493,637,883) | | | | 502,894,935 | |
| | | | | | | | | | | | |
| |
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY — 2.8% | | | | |
|
Aames Mortgage Investment Trust (06-1-A4) | |
| | | |
0.65% (1 mo. USD LIBOR + 0.560%) (2) | | | 04/25/36 | | | | 1,608,832 | | | | 1,603,302 | |
|
Ajax Mortgage Loan Trust (19-F-A1) | |
| | | |
2.86% (1) | | | 07/25/59 | | | | 2,932,250 | | | | 2,943,071 | |
|
CIM Trust (17-7-A) | |
| | | |
3.00% (1),(6) | | | 04/25/57 | | | | 1,887,311 | | | | 1,912,429 | |
|
Citigroup Mortgage Loan Trust, Inc. (05-5-2A2) | |
| | | |
5.75% (8) | | | 08/25/35 | | | | 248,057 | | | | 202,212 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| |
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | | | | |
| |
Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA) | | | | | |
| | | |
5.75% | | | 04/22/33 | | | $ | 3,613 | | | $ | 3,780 | |
|
CSMC Series, Ltd. (10-3R-2A3) | |
| | | |
4.16% (1),(6) | | | 12/26/36 | | | | 697,169 | | | | 702,501 | |
|
CSMC Series, Ltd. (15-5R-1A1) | |
| | | |
1.01% (1),(6) | | | 09/27/46 | | | | 742,391 | | | | 742,391 | |
|
CSMC Trust (14-7R-8A1) | |
| | | |
2.98% (1),(6) | | | 07/27/37 | | | | 266,953 | | | | 266,923 | |
|
CSMC Trust (18-RPL9-A) | |
| | | |
3.85% (1),(6) | | | 09/25/57 | | | | 3,144,741 | | | | 3,297,780 | |
|
GS Mortgage-Backed Securities Trust (18-RPL1-A1A) | |
| | | |
3.75% (1) | | | 10/25/57 | | | | 3,044,828 | | | | 3,081,342 | |
|
GSAA Home Equity Trust (05-11-2A2) | |
| | | |
0.73% (1 mo. USD LIBOR + 0.640%) (2) | | | 10/25/35 | | | | 1,312,442 | | | | 1,313,245 | |
|
Indymac Index Mortgage Loan Trust (05-AR6-2A1) | |
| | | |
0.57% (1 mo. USD LIBOR + 0.480%) (2) | | | 04/25/35 | | | | 575,229 | | | | 526,474 | |
|
Mid-State Trust (04-1-B) | |
| | | |
8.90% | | | 08/15/37 | | | | 549,694 | | | | 612,529 | |
|
Morgan Stanley Capital, Inc. (04-WMC2-M1) | |
| | | |
1.00% (1 mo. USD LIBOR + 0.915%) (2) | | | 07/25/34 | | | | 744,608 | | | | 719,858 | |
|
Morgan Stanley Mortgage Loan Trust (04-3-4A) | |
| | | |
5.64% (6) | | | 04/25/34 | | | | 109,744 | | | | 116,342 | |
|
New Century Home Equity Loan Trust (05-D-A1) | |
| | | |
0.53% (1 mo. USD LIBOR + 0.44%) (2) | | | 02/25/36 | | | | 2,198,925 | | | | 2,194,901 | |
|
Option One Mortgage Loan Trust (05-2-M1) | |
| | | |
0.75% (1 mo. USD LIBOR + 0.660%) (2) | | | 05/25/35 | | | | 1,561,078 | | | | 1,563,565 | |
| |
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates (05-WCW2-M3) | | | | | |
| | | |
0.91% (1 mo. USD LIBOR + 0.825%) (2) | | | 07/25/35 | | | | 10,000,000 | | | | 10,013,710 | |
|
RASC Series Trust (06-KS7-A4) | |
| | | |
0.33% (1 mo. USD LIBOR + 0.240%) (2) | | | 09/25/36 | | | | 896,032 | | | | 896,066 | |
|
Structured Asset Investment Loan Trust (04-6-A3) | |
| | | |
0.89% (1 mo. USD LIBOR + 0.800%) (2) | | | 07/25/34 | | | | 2,419,480 | | | | 2,269,444 | |
|
Structured Asset Securities Corp. (03-34A-5A4) | |
| | | |
2.39% (6) | | | 11/25/33 | | | | 218,100 | | | | 221,304 | |
| |
WaMu Mortgage Pass-Through Certificates
(05-AR15-A1A1) | | | | | |
| | | |
0.61% (1 mo. USD LIBOR + 0.52%) (2) | | | 11/25/45 | | | | 5,004,004 | | | | 4,933,504 | |
|
WaMu Mortgage Pass-Through Certificates (05-AR3-A2) | |
| | | |
2.72% (6) | | | 03/25/35 | | | | 676,722 | | | | 707,844 | |
See accompanying Notes to Financial Statements.
26
TCW Core Fixed Income Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| |
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | | | | |
|
Wells Fargo Alternative Loan Trust (07-PA3-2A1) | |
| | | |
6.00% (8) | | | 07/25/37 | | | $ | 55,801 | | | $ | 56,712 | |
|
Wells Fargo Home Equity Asset-Backed Securities Trust (05-3-M6) | |
| | | |
1.09% (1 mo. USD LIBOR + 1.005%) (2) | | | 11/25/35 | | | | 3,587,352 | | | | 3,591,604 | |
|
Wells Fargo Home Equity Trust (04-2-A33) | |
| | | |
1.09% (1 mo. USD LIBOR + 1.000%) (2) | | | 10/25/34 | | | | 2,486,195 | | | | 2,475,088 | |
| | | | | | | | | | | | |
| |
Total Residential Mortgage-Backed Securities —
Non-Agency | | | | | |
| |
(Cost: $45,753,083) | | | | 46,967,921 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 44.5% | |
| | | |
U.S. Treasury Bond | | | | | | | | | | | | |
| | | |
1.75% | | | 08/15/41 | | | | 6,355,000 | | | | 6,119,435 | |
| | | |
2.00% | | | 08/15/51 | | | | 99,611,000 | | | | 101,071,163 | |
| | | |
2.25% | | | 05/15/41 | | | | 18,563,000 | | | | 19,387,884 | |
|
U.S. Treasury Inflation Indexed Bond (TIPS) | |
| | | |
0.13% | | | 02/15/51 | | | | 3,824,512 | | | | 4,354,332 | |
|
U.S. Treasury Note | |
| | | |
0.13% | | | 08/31/23 | | | | 35,780,000 | | | | 35,575,942 | |
| | | |
0.25% | | | 09/30/23 | | | | 131,715,000 | | | | 131,200,488 | |
| | | |
0.38% | | | 10/31/23 | | | | 152,360,000 | | | | 152,009,316 | |
| | | |
0.75% | | | 08/31/26 | | | | 42,450,000 | | | | 41,599,342 | |
| | | |
0.88% | | | 09/30/26 | | | | 112,935,000 | | | | 111,402,421 | |
| | | |
1.13% | | | 10/31/26 | | | | 74,030,000 | | | | 73,797,220 | |
| | | |
1.25% | | | 08/15/31 | | | | 46,250,000 | | | | 44,945,606 | |
| | | |
1.75% | | | 11/30/21 | | | | 32,500,000 | | | | 32,543,164 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities | | | | | |
| |
(Cost: $754,768,120) | | | | 754,006,313 | |
| | | | | | | | | | | | |
|
Total Fixed Income Securities | |
| |
(Cost: $1,822,352,563) | | | | 1,853,465,797 | |
| | | | | | | | | | | | |
| | |
PURCHASED OPTIONS (9) (0.1%) (Cost: $1,104,032) | | | | | | | | 1,969,434 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Issues | | | | | Shares | | | Value | |
|
MONEY MARKET INVESTMENTS — 13.0% | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03%, 0.01% (10) | | | | 221,397,985 | | | $ | 221,397,985 | |
| | | | | | | | | | | | |
| |
Total Money Market Investments | | | | | |
| | | |
(Cost: $221,397,985) | | | | | | | | | | | 221,397,985 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
| | | Maturity
Date | | | Principal
Amount | | | | |
|
SHORT TERM INVESTMENTS — 11.3% | |
|
U.S. TREASURY SECURITIES — 11.3% | |
|
U.S. Treasury Bill | |
| | | |
0.06% (11) | | | 01/06/22 | | | $ | 37,000,000 | | | | 36,995,749 | |
| | | |
0.05% (11) | | | 02/10/22 | | | | 70,000,000 | | | | 69,990,180 | |
| | | |
0.06% (11) | | | 01/13/22 | | | | 85,000,000 | | | | 84,990,147 | |
| |
Total U.S. Treasury Securities (Cost: $191,981,570) | | | | 191,976,076 | |
| | | | | | | | | | | | |
| | |
Total Short Term Investments | | | | | | | | | |
| | | |
(Cost: $191,981,570) | | | | | | | | | | | 191,976,076 | |
| | | | | | | | | | | | |
| |
Total Investments (133.8%)
(Cost: $2,236,836,150) | | | | 2,268,809,292 | |
| |
Liabilities In Excess Of Other Assets (-33.8%) | | | | (573,307,369 | ) |
| | | | | | | | | | | | |
| | | |
Net Assets (100.0%) | | | | | | | | | | $ | 1,695,501,923 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Futures Contracts | | | | |
| | | | | |
Number of
Contracts | | Type | | Expiration Date | | | Notional | | | Value | | | Net Unrealized
Appreciation
(Depreciation) | |
Long Futures | | | | | | | | | | | | | |
| 7 | | U.S. Ultra Long Bond Futures | | | 12/21/21 | | | $ | 1,371,584 | | | $ | 1,374,844 | | | $ | 3,260 | |
| | | | | | | | | | | | | | | | | | |
Short Futures | | | | | | | | | | | | | |
| 206 | | 2-Year U.S. Treasury Note Futures | | | 12/31/21 | | | $ | (45,365,624 | ) | | $ | (45,165,500 | ) | | $ | 200,124 | |
| | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
27
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | $ | 202,371 | | | $ | 194,110 | | | $ | 8,261 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Eurodollar Futures | | | 98.75 | | | | 9/16/22 | | | | 1,015 | | | $ | 2,537,500 | | | $ | 710,500 | | | $ | 637,112 | | | $ | 73,388 | |
Put | | | | | | | | | | | | | | | | | | | | | | | | |
Eurodollar Futures | | | 99.13 | | | | 12/10/21 | | | | 690 | | | $ | 1,725,000 | | | $ | 1,056,563 | | | $ | 272,810 | | | $ | 783,753 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 1,767,063 | | | $ | 909,922 | | | $ | 857,141 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | | | | | | | | | | | | | | | | | | |
Eurodollar Futures | | | 99.00 | | | | 9/16/22 | | | | (1,015 | ) | | $ | (2,537,500 | ) | | $ | (425,031 | ) | | $ | (335,388 | ) | | $ | (89,643 | ) |
Put | | | | | | | | | | | | | | | | | | | | |
Eurodollar Futures | | | 97.88 | | | | 9/16/22 | | | | (1,015 | ) | | | (2,537,500 | ) | | | (393,313 | ) | | | (256,003 | ) | | | (137,310 | ) |
Eurodollar Futures | | | 98.75 | | | | 12/10/21 | | | | (1,380 | ) | | | (3,450,000 | ) | | | (983,250 | ) | | | (224,131 | ) | | | (759,119 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | (1,801,594 | ) | | $ | (815,522 | ) | | $ | (986,072 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared — Interest Rate Swap Agreements | |
| | | | | | | |
Notional
Amount | | | Expiration
Date | | | Payment
Frequency | | | Payment Made
by Fund | | Payment Received
by Fund | | Unrealized
Appreciation | | | Premium
Paid | | | Value | |
| | 38,150,000 (12 | ) | | | 07/24/25 | | | | Quarterly | | | 3-Month USD LIBOR | | 1.026% | | $ | (378,440 | ) | | | $ — | | | $ | (378,440 | ) |
| | 28,215,000 (12 | ) | | | 07/24/25 | | | | Quarterly | | | 3-Month USD LIBOR | | 1.034% | | | (275,474 | ) | | | $ — | | | | (275,474 | ) |
| | 19,075,000 (12 | ) | | | 07/24/25 | | | | Quarterly | | | 3-Month USD LIBOR | | 1.073% | | | (171,692 | ) | | | $ — | | | | (171,692 | ) |
| | 45,870,000 (12 | ) | | | 09/28/25 | | | | Quarterly | | | 3-Month USD LIBOR | | 1.390% | | | (157,210 | ) | | | $ — | | | | (157,210 | ) |
| | 2,355,000 (12 | ) | | | 07/24/53 | | | | Quarterly | | | 1.785% | | 3-Month USD LIBOR | | | 25,766 | | | | $ — | | | | 25,766 | |
| | 1,595,000 (12 | ) | | | 07/24/53 | | | | Quarterly | | | 1.808% | | 3-Month USD LIBOR | | | 8,943 | | | | $ — | | | | 8,943 | |
| | 3,915,000 (12 | ) | | | 09/28/53 | | | | Quarterly | | | 1.870% | | 3-Month USD LIBOR | | | (33,679 | ) | | | $ — | | | | (33,679 | ) |
| | 3,190,000 (12 | ) | | | 07/24/53 | | | | Quarterly | | | 1.772% | | 3-Month USD LIBOR | | | 44,354 | | | | $ — | | | | 44,354 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (937,432 | ) | | $ | — | | | $ | (937,432 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
28
TCW Core Fixed Income Fund
October 31, 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. |
| (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 October 31, 2021, the value of these securities amounted to $207,828,370 or 12.3% 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 October 31, 2021. |
| (3) | | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
| (4) | | Restricted security (Note 11). |
| (5) | | This security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
| (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) | | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
| (8) | | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
| (9) | | See options table for description of purchased options. |
| (10) | | Rate disclosed is the 7-day net yield as of October 31, 2021. |
| (11) | | Rate shown represents yield-to-maturity. |
| (12) | | This instrument has a forward starting effective date. See Note 2, Significant Accounting Policies in the Notes to Financial Statements for further information. |
See accompanying Notes to Financial Statements.
29
TCW Core Fixed Income Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
U.S. Treasury Securities | | | 55.8 | % |
Residential Mortgage-Backed Securities — Agency | | | 29.7 | |
Corporate Bonds | | | 23.8 | |
Money Market Investments | | | 13.0 | |
Asset-Backed Securities | | | 5.5 | |
Residential Mortgage-Backed Securities — Non-Agency | | | 2.8 | |
Commercial Mortgage-Backed Securities — Non-Agency | | | 2.0 | |
Municipal Bonds | | | 0.6 | |
Commercial Mortgage-Backed Securities — Agency | | | 0.5 | |
Purchased Options | | | 0.1 | |
Other* | | | (33.8 | ) |
| | | | |
Total | | | 100.0 | % |
| | | | |
| * | Includes futures, swap agreements, written options, pending trades, interest receivable, fund share transactions and accrued expenses payable. |
See accompanying Notes to Financial Statements.
30
TCW Core Fixed Income Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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* | | $ | — | | | $ | 403,021,925 | | | $ | 1,275,231 | | | $ | 404,297,156 | |
Municipal Bonds | | | — | | | | 9,557,944 | | | | — | | | | 9,557,944 | |
Asset-Backed Securities | | | — | | | | 87,849,194 | | | | 4,765,793 | | | | 92,614,987 | |
Commercial Mortgage-Backed Securities — Agency | | | — | | | | 8,857,838 | | | | — | | | | 8,857,838 | |
Commercial Mortgage-Backed Securities — Non-Agency | | | — | | | | 34,268,703 | | | | — | | | | 34,268,703 | |
Residential Mortgage-Backed Securities — Agency | | | — | | | | 502,894,935 | | | | — | | | | 502,894,935 | |
Residential Mortgage-Backed Securities — Non-Agency | | | — | | | | 46,967,921 | | | | — | | | | 46,967,921 | |
U.S. Treasury Securities | | | 749,651,981 | | | | 4,354,332 | | | | — | | | | 754,006,313 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income Securities | | | 749,651,981 | | | | 1,097,772,792 | | | | 6,041,024 | | | | 1,853,465,797 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 221,397,985 | | | | — | | | | — | | | | 221,397,985 | |
Purchased Options | | | 1,767,063 | | | | 202,371 | | | | — | | | | 1,969,434 | |
Short Term Investments | | | 191,976,076 | | | | — | | | | — | | | | 191,976,076 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 1,164,793,105 | | | $ | 1,097,975,163 | | | $ | 6,041,024 | | | $ | 2,268,809,292 | |
| | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | | | | | | | | | | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | 203,384 | | | | — | | | | — | | | | 203,384 | |
Swap Agreements | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | — | | | | 79,063 | | | | — | | | | 79,063 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 1,164,996,489 | | | $ | 1,098,054,226 | | | $ | 6,041,024 | | | $ | 2,269,091,739 | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Written Options | | | | | | | | | | | | | | | | |
Interest Rate Risk | | $ | (1,801,594 | ) | | $ | — | | | $ | — | | | $ | (1,801,594 | ) |
Swap Agreements | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | — | | | | (1,016,495 | ) | | | — | | | | (1,016,495 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (1,801,594 | ) | | $ | (1,016,495 | ) | | $ | — | | | $ | (2,818,089 | ) |
| | | | | | | | | | | | | | | | |
| * | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
31
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
FIXED INCOME SECURITIES — 50.3% | |
|
| ASSET-BACKED SECURITIES — 10.0% | |
|
Aimco CLO, Ltd. (20-11A-A1) | |
| | | |
1.50% (3 mo. USD LIBOR + 1.380%) (1),(2) | | | 10/15/31 | | | $ | 5,000 | | | $ | 5,000 | |
|
Aimco CLO, Ltd. (20-11A-AR) | |
| | | |
0.00% (3 mo. USD LIBOR + 1.130%) (1),(2) | | | 10/17/34 | | | | 5,000 | | | | 5,002 | |
|
AMMC CLO, Ltd. (20-23A-A1L) | |
| | | |
1.52% (3 mo. USD LIBOR + 1.400%) (1),(2) | | | 10/17/31 | | | | 5,000 | | | | 5,007 | |
|
BlueMountain CLO, Ltd. (13-1A-A1R2) | |
| | | |
1.36% (3 mo. USD LIBOR + 1.230%) (1),(2) | | | 01/20/29 | | | | 2,924 | | | | 2,925 | |
|
Brazos Higher Education Authority, Inc. (11-1-A2) | |
| | | |
0.93% (3 mo. USD LIBOR + 0.800%) (2) | | | 02/25/30 | | | | 14,155 | | | | 14,212 | |
|
Chase Issuance Trust (12-A7-A7) | |
| | | |
2.16% | | | 09/15/24 | | | | 10,000 | | | | 10,165 | |
|
Educational Services of America, Inc. (12-2-A) | |
| | | |
0.82% (1 mo. USD LIBOR + 0.730%) (1),(2) | | | 04/25/39 | | | | 3,636 | | | | 3,660 | |
|
Global SC Finance II SRL (14-1A-A2) | |
| | | |
3.09% (1) | | | 07/17/29 | | | | 24,200 | | | | 24,443 | |
|
Grand Avenue CRE (19-FL1-A) | |
| | | |
1.21% (1 mo. USD LIBOR + 1.120%) (1), (2) | | | 06/15/37 | | | | 8,826 | | | | 8,828 | |
|
Home Partners of America Trust (17-1-B) | |
| | | |
1.44% (1 mo. USD LIBOR + 1.350%) (1),(2) | | | 07/17/34 | | | | 4,000 | | | | 4,000 | |
|
Marathon CRE, Ltd. (18-FL1-A) | |
| | | |
1.24% (1 mo. USD LIBOR + 1.150%) (1),(2) | | | 06/15/28 | | | | 10,226 | | | | 10,228 | |
| |
Navient Private Education Refi Loan Trust (20-BA-A2) | | | | | |
| | | |
2.12% (1) | | | 01/15/69 | | | | 28,579 | | | | 28,966 | |
| |
Navient Private Education Refi Loan Trust (21-BA-A) | | | | | |
| | | |
0.94% (1) | | | 07/15/69 | | | | 28,032 | | | | 27,711 | |
| |
Nelnet Student Loan Trust (12-5A-A) | | | | | |
| | | |
0.69% (1 mo. USD LIBOR + 0.600%) (1),(2) | | | 10/27/36 | | | | 2,644 | | | | 2,633 | |
|
NYACK Park CLO, Ltd. (21-1A-X) | |
| | | |
0.77% (3 mo. USD LIBOR + 0.650%) (1),(2) | | | 10/20/34 | | | | 5,000 | | | | 5,002 | |
|
Progress Residential Trust (19-SFR3-A) | |
| | | |
2.27% (1) | | | 09/17/36 | | | | 9,947 | | | | 10,040 | |
|
SLM Student Loan Trust (05-4-A3) | |
| | | |
0.24% (3 mo. USD LIBOR + 0.120%) (2) | | | 01/25/27 | | | | 5,379 | | | | 5,367 | |
|
SLM Student Loan Trust (05-7-A4) | |
| | | |
0.27% (3 mo. USD LIBOR + 0.150%) (2) | | | 10/25/29 | | | | 13,651 | | | | 13,598 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| ASSET-BACKED SECURITIES (Continued) | |
|
SLM Student Loan Trust (07-2-B) | |
| | | |
0.29% (3 mo. USD LIBOR + 0.170%) (2) | | | 07/25/25 | | | $ | 15,000 | | | $ | 13,673 | |
|
SLM Student Loan Trust (08-1-A4) | |
| | | |
0.77% (3 mo. USD LIBOR + 0.650%) (2) | | | 01/25/22 | | | | 7,965 | | | | 7,845 | |
|
SLM Student Loan Trust (08-3-A3) | |
| | | |
1.12% (3 mo. USD LIBOR + 1.000%) (2) | | | 10/25/21 | | | | 7,985 | | | | 7,975 | |
|
SLM Student Loan Trust (08-3-B) | |
| | | |
1.32% (3 mo. USD LIBOR + 1.200%) (2) | | | 04/26/83 | | | | 10,000 | | | | 9,463 | |
|
SLM Student Loan Trust (11-2-A1) | |
| | | |
0.69% (1 mo. USD LIBOR + 0.600%) (2) | | | 11/25/27 | | | | 12,101 | | | | 12,103 | |
|
SLM Student Loan Trust (13-4-A) | |
| | | |
0.64% (1 mo. USD LIBOR + 0.550%) (2) | | | 06/25/43 | | | | 7,333 | | | | 7,303 | |
|
SLM Student Loan Trust (13-6-A3) | |
| | | |
0.74% (1 mo. USD LIBOR + 0.650%) (2) | | | 06/25/55 | | | | 8,471 | | | | 8,488 | |
|
SoFi Professional Loan Program LLC (17-A-A1) | |
| | | |
0.79% (1 mo. USD LIBOR + 0.700%) (1),(2) | | | 03/26/40 | | | | 31,818 | | | | 31,862 | |
|
Tricon American Homes Trust (17-SFR2-B) | |
| | | |
3.28% (1) | | | 01/17/36 | | | | 5,000 | | | | 5,055 | |
| | | | | | | | | | | | |
|
Total Asset-Backed Securities | |
| |
(Cost: $290,449) | | | | 290,554 | |
| | | | | | | | | | | | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
AGENCY — 3.4% | |
|
Fannie Mae (12-M13-A2) | |
| | | |
2.38% | | | 05/25/22 | | | | 33,683 | | | | 33,683 | |
|
Fannie Mae Pool #AM1671 | |
| | | |
2.10% | | | 12/01/27 | | | | 26,214 | | | | 26,926 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K032-X1) (I/O) | | | | | |
| | | |
0.07% (3) | | | 05/25/23 | | | | 5,723,780 | | | | 8,156 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K723-X1) (I/O) | | | | | |
| | | |
0.91% (3) | | | 08/25/23 | | | | 466,544 | | | | 6,266 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (KC01-X1) (I/O) | | | | | |
| | | |
0.42% (3) | | | 12/25/22 | | | | 220,032 | | | | 900 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K024-X1) (I/O) | | | | | |
| | | |
0.77% (3) | | | 09/25/22 | | | | 291,449 | | | | 1,572 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K026-X1) (I/O) | | | | | |
| | | |
0.94% (3) | | | 11/25/22 | | | | 137,213 | | | | 999 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K033-X1) (I/O) | | | | | |
| | | |
0.29% (3) | | | 07/25/23 | | | | 1,266,692 | | | | 5,598 | |
See accompanying Notes to Financial Statements.
32
TCW Enhanced Commodity Strategy Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (KS07-X) (I/O) | | | | | |
| | | |
0.64% (3) | | | 09/25/25 | | | $ | 491,150 | | | $ | 11,879 | |
|
Ginnie Mae (11-53-IO) (I/O) | |
| | | |
0.00% (3),(4) | | | 05/16/51 | | | | 217,131 | | | | 8 | |
|
Ginnie Mae (12-123-IO) (I/O) | |
| | | |
0.69% (3) | | | 12/16/51 | | | | 130,229 | | | | 2,331 | |
|
Ginnie Mae (13-1-IO) (I/O) | |
| | | |
0.58% (3) | | | 02/16/54 | | | | 44,248 | | | | 732 | |
| | | | | | | | | | | | |
|
Total Commercial Mortgage-Backed Securities — Agency | |
| |
(Cost: $99,613) | | | | 99,050 | |
| | | | | | | | | | | | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY — 13.3% | |
| |
Banc of America Commercial Mortgage
Trust (17-BNK3-A2) | | | | | |
| | | |
3.12% | | | 02/15/50 | | | | 4,500 | | | | 4,520 | |
|
BANK (18-BN14-A2) | |
| | | |
4.13% | | | 09/15/60 | | | | 2,452 | | | | 2,569 | |
|
BBCMS Trust (18-BXH-A) | |
| | | |
1.09% (1 mo. USD LIBOR + 1.000%) (1),(2) | | | 10/15/37 | | | | 8,346 | | | | 8,364 | |
|
Benchmark Mortgage Trust (18-B6-A2) | |
| | | |
4.20% | | | 10/10/51 | | | | 6,887 | | | | 7,131 | |
|
CD Mortgage Trust (17-CD4-A2) | |
| | | |
3.03% | | | 05/10/50 | | | | 5,000 | | | | 5,044 | |
|
Citigroup Commercial Mortgage Trust (13-375P-A) | |
| | | |
3.25% (1) | | | 05/10/35 | | | | 3,500 | | | | 3,600 | |
| |
Citigroup Commercial Mortgage Trust (13-GC11-AAB) | | | | | |
| | | |
2.69% | | | 04/10/46 | | | | 2,568 | | | | 2,596 | |
|
Citigroup Commercial Mortgage Trust (16-C3-A2) | |
| | | |
2.51% | | | 11/15/49 | | | | 3,915 | | | | 3,915 | |
|
COMM Mortgage Trust (12-CR2-A3) | |
| | | |
2.84% (1) | | | 08/15/45 | | | | 18,175 | | | | 18,249 | |
|
COMM Mortgage Trust (12-CR3-A3) | |
| | | |
2.82% | | | 10/15/45 | | | | 7,823 | | | | 7,892 | |
|
COMM Mortgage Trust (12-CR4-A3) | |
| | | |
2.85% | | | 10/15/45 | | | | 10,933 | | | | 11,091 | |
|
COMM Mortgage Trust (12-CR4-XA) (I/O) | |
| | | |
1.69% (3) | | | 10/15/45 | | | | 695,961 | | | | 7,820 | |
|
COMM Mortgage Trust (13-CR11-XA) (I/O) | |
| | | |
0.91% (3) | | | 08/10/50 | | | | 536,754 | | | | 7,605 | |
|
COMM Mortgage Trust (13-LC6-XB) (I/O) | |
| | | |
0.36% (1),(3) | | | 01/10/46 | | | | 100,000 | | | | 411 | |
|
COMM Mortgage Trust (14-CR14-A2) | |
| | | |
3.15% | | | 02/10/47 | | | | 12,300 | | | | 12,373 | |
|
COMM Mortgage Trust (15-CR22-A2) | |
| | | |
2.86% | | | 03/10/48 | | | | 9,218 | | | | 9,270 | |
|
COMM Mortgage Trust (15-DC1-A2) | |
| | | |
2.87% | | | 02/10/48 | | | | 13,595 | | | | 13,595 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
|
COMM Mortgage Trust (15-LC19-A2) | |
| | | |
2.79% | | | 02/10/48 | | | $ | 1,467 | | | $ | 1,466 | |
|
COMM Mortgage Trust (15-LC23-A2) | |
| | | |
3.22% | | | 10/10/48 | | | | 4,448 | | | | 4,445 | |
|
COMM Mortgage Trust (19-WCM-A) | |
| | | |
0.98% (1 mo. USD LIBOR + 0.900%) (1), (2) | | | 10/15/34 | | | | 31,983 | | | | 31,983 | |
|
DBWF Mortgage Trust (18-AMXP-A) | |
| | | |
3.75% (1),(3) | | | 05/05/35 | | | | 15,000 | | | | 15,011 | |
|
GS Mortgage Securities Trust (11-GC5-XA) (I/O) | |
| | | |
0.00% (1),(3) | | | 08/10/44 | | | | 216,799 | | | | 1 | |
|
GS Mortgage Securities Trust (12-GCJ7-A4) | |
| | | |
3.38% | | | 05/10/45 | | | | 6,074 | | | | 6,086 | |
|
GS Mortgage Securities Trust (12-GCJ7-AS) | |
| | | |
4.09% | | | 05/10/45 | | | | 14,000 | | | | 14,118 | |
|
GS Mortgage Securities Trust (13-GC13-AAB) | |
| | | |
3.72% (3) | | | 07/10/46 | | | | 3,034 | | | | 3,101 | |
|
GS Mortgage Securities Trust (13-GC16-XA) (I/O) | |
| | | |
1.01% (3) | | | 11/10/46 | | | | 438,469 | | | | 7,238 | |
| |
JPMBB Commercial Mortgage Securities
Trust (13-C17-XA) (I/O) | | | | | |
| | | |
0.73% (3) | | | 01/15/47 | | | | 123,311 | | | | 1,644 | |
| |
JPMBB Commercial Mortgage Securities
Trust (14-C19-A3) | | | | | |
| | | |
3.67% | | | 04/15/47 | | | | 2,988 | | | | 3,009 | |
| |
JPMBB Commercial Mortgage Securities
Trust (14-C21-ASB) | | | | | |
| | | |
3.43% | | | 08/15/47 | | | | 18,953 | | | | 19,526 | |
| |
JPMBB Commercial Mortgage Securities
Trust (15-C32-A2) | | | | | |
| | | |
2.82% | | | 11/15/48 | | | | 10,328 | | | | 10,416 | |
| |
JPMorgan Chase Commercial Mortgage Securities
Trust (12-C8-A3) | | | | | |
| | | |
2.83% | | | 10/15/45 | | | | 7,260 | | | | 7,346 | |
| |
JPMorgan Chase Commercial Mortgage Securities
Trust (12-CBX-A4) | | | | | |
| | | |
3.48% | | | 06/15/45 | | | | 4,400 | | | | 4,454 | |
| |
LB-UBS Commercial Mortgage Trust (06-C6-XCL) (I/O) | | | | | |
| | | |
0.43% (1),(3),(5) | | | 09/15/39 | | | | 289,760 | | | | 42 | |
| |
Morgan Stanley Bank of America Merrill Lynch
Trust (14-C14-A4) | | | | | |
| | | |
3.79% | | | 02/15/47 | | | | 3,513 | | | | 3,594 | |
| |
Morgan Stanley Bank of America Merrill Lynch
Trust (14-C15-XA) (I/O) | | | | | |
| | | |
0.93% (3) | | | 04/15/47 | | | | 972,170 | | | | 16,004 | |
| |
Morgan Stanley Bank of America Merrill Lynch
Trust (14-C17-XA) (I/O) | | | | | |
| | | |
1.06% (3) | | | 08/15/47 | | | | 493,930 | | | | 9,581 | |
|
Morgan Stanley Capital I Trust (15-MS1-ASB) | |
| | | |
3.46% | | | 05/15/48 | | | | 7,446 | | | | 7,759 | |
See accompanying Notes to Financial Statements.
33
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
|
One New York Plaza Trust (20-1NYP-A) | |
| | | |
1.04% (1 mo. USD LIBOR + 0.950%) (1),(2) | | | 01/15/26 | | | $ | 3,000 | | | $ | 3,007 | |
|
OPG Trust (21-PORT-XCP) (I/O) | |
| | | |
0.05% (1),(3) | | | 10/15/36 | | | | 11,819,000 | | | | 5,238 | |
|
PFP, Ltd. (19-5-A) | |
| | | |
1.06% (1 mo. USD LIBOR + 0.970%) (1),(2) | | | 04/14/36 | | | | 25,471 | | | | 25,486 | |
|
UBS Commercial Mortgage Trust (12-C1-A3) | |
| | | |
3.40% | | | 05/10/45 | | | | 10,815 | | | | 10,824 | |
| |
UBS-Barclays Commercial Mortgage Trust (12-C2-A4) | | | | | |
| | | |
3.53% | | | 05/10/63 | | | | 10,000 | | | | 10,091 | |
| |
Wells Fargo Commercial Mortgage Trust (16-C35-A2) | | | | | |
| | | |
2.50% | | | 07/15/48 | | | | 951 | | | | 950 | |
| |
Wells Fargo Commercial Mortgage Trust (16-NXS6-A2) | | | | | |
| | | |
2.40% | | | 11/15/49 | | | | 3,569 | | | | 3,573 | |
| |
Wells Fargo Commercial Mortgage Trust (17-C38-A2) | | | | | |
| | | |
3.04% | | | 07/15/50 | | | | 2,912 | | | | 2,936 | |
|
WFRBS Commercial Mortgage Trust (12-C10-A3) | |
| | | |
2.88% | | | 12/15/45 | | | | 6,000 | | | | 6,090 | |
|
WFRBS Commercial Mortgage Trust (12-C8-A3) | |
| | | |
3.00% | | | 08/15/45 | | | | 8,000 | | | | 8,080 | |
| |
WFRBS Commercial Mortgage Trust (12-C9-XA) (I/O) | | | | | |
| | | |
1.86% (1),(3) | | | 11/15/45 | | | | 102,303 | | | | 1,116 | |
| |
WFRBS Commercial Mortgage Trust (13-C14-XA) (I/O) | | | | | |
| | | |
0.67% (3) | | | 06/15/46 | | | | 918,301 | | | | 7,125 | |
|
WFRBS Commercial Mortgage Trust (14-C20-A4) | |
| | | |
3.72% | | | 05/15/47 | | | | 6,548 | | | | 6,725 | |
| | | | | | | | | | | | |
| |
Total Commercial Mortgage-Backed Securities — Non-Agency | | | | | |
| |
(Cost: $383,467) | | | | 384,110 | |
| | | | | | | | | | | | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY — 1.6% | |
|
Fannie Mae (02-41-F) | |
| | | |
0.64% (1 mo. USD LIBOR + 0.550%) (2) | | | 07/25/32 | | | | 18,755 | | | | 18,925 | |
|
Fannie Mae (05-W3-2AF) | |
| | | |
0.31% (1 mo. USD LIBOR + 0.220%) (2) | | | 03/25/45 | | | | 7,560 | | | | 7,540 | |
|
Fannie Mae (11-110-FE) (PAC) | |
| | | |
0.49% (1 mo. USD LIBOR + 0.400%) (2) | | | 04/25/41 | | | | 18,341 | | | | 18,405 | |
| | | | | | | | | | | | |
|
Total Residential Mortgage-backed Securities — Agency | |
| |
(Cost: $44,257) | | | | 44,870 | |
| | | | | | | | | | | | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY — 4.1% | |
|
Alternative Loan Trust (05-56-4A1) | |
| | | |
0.71% (1 mo. USD LIBOR + 0.620%) (2) | | | 11/25/35 | | | | 7,591 | | | | 7,405 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
|
CHL Mortgage Pass-Through Trust (04-25-1A1) | |
| | | |
0.75% (1 mo. USD LIBOR + 0.660%) (2) | | | 02/25/35 | | | $ | 11,388 | | | $ | 11,185 | |
|
Encore Credit Receivables Trust (05-3-M4) | |
| | | |
0.99% (1 mo. USD LIBOR + 0.900%) (2) | | | 10/25/35 | | | | 25,000 | | | | 25,071 | |
| |
First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C) | | | | | |
| | | |
1.09% (1 mo. USD LIBOR + 1.000%) (2) | | | 08/25/34 | | | | 5,435 | | | | 5,508 | |
|
JPMorgan Mortgage Trust (05-A5-TA1) | |
| | | |
2.55% (3) | | | 08/25/35 | | | | 732 | | | | 753 | |
|
JPMorgan Mortgage Trust (05-A6-7A1) | |
| | | |
2.95% (3),(6) | | | 08/25/35 | | | | 8,201 | | | | 7,729 | |
| |
MASTR Adjustable Rate Mortgages Trust (04-13-3A1) | | | | | |
| | | |
2.72% (3) | | | 11/21/34 | | | | 16,162 | | | | 16,427 | |
|
MASTR Seasoned Securitization Trust (05-1-4A1) | |
| | | |
2.38% (3) | | | 10/25/32 | | | | 10,165 | | | | 10,151 | |
|
Mid-State Trust (04-1-M1) | |
| | | |
6.50% | | | 08/15/37 | | | | 10,138 | | | | 10,909 | |
| |
Morgan Stanley Mortgage Loan Trust (07-6XS-1A2S) | | | | | |
| | | |
5.50% | | | 02/25/47 | | | | 1,263 | | | | 1,262 | |
|
MortgageIT Trust (05-3-A1) | |
| | | |
0.69% (1 mo. USD LIBOR + 0.600%) (2) | | | 08/25/35 | | | | 4,299 | | | | 4,290 | |
|
MortgageIT Trust (05-5-A1) | |
| | | |
0.61% (1 mo. USD LIBOR + 0.520%) (2) | | | 12/25/35 | | | | 19,057 | | | | 19,248 | |
| | | | | | | | | | | | |
|
Total Residential Mortgage-Backed Securities —
Non-Agency | |
| |
(Cost: $112,742) | | | | 119,938 | |
| | | | | | | | | | | | |
|
CORPORATE BONDS — 17.0% | |
|
| Agriculture — 0.2% | |
| |
Imperial Brands Finance PLC | | | | | |
| | | |
3.13% (1) | | | 07/26/24 | | | | 5,000 | | | | 5,224 | |
| | | | | | | | | | | | |
|
| Airlines — 0.2% | |
| |
US Airways Group, Inc. Pass-Through
Certificates (12-1-A) (EETC) | | | | | |
| | | |
5.90% | | | 04/01/26 | | | | 5,466 | | | | 5,794 | |
| | | | | | | | | | | | |
|
| Auto Manufacturers — 0.5% | |
|
Daimler Finance North America LLC | |
| | | |
1.75% (1) | | | 03/10/23 | | | | 5,000 | | | | 5,074 | |
|
Ford Motor Credit Co. LLC | |
| | | |
4.25% | | | 09/20/22 | | | | 10,000 | | | | 10,241 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 15,315 | |
| | | | | | | | | | | | |
|
| Banks — 6.7% | |
| | | |
Bank of America Corp. | | | | | | | | | | | | |
| | | |
1.73% (SOFR + 0.960%)(2) | | | 07/22/27 | | | | 5,000 | | | | 4,972 | |
| | | |
3.46% (3 mo. USD LIBOR + 0.970%) (2) | | | 03/15/25 | | | | 10,000 | | | | 10,543 | |
See accompanying Notes to Financial Statements.
34
TCW Enhanced Commodity Strategy Fund
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Banks (Continued) | |
| | | |
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 | | | $ | 10,070 | |
| | | |
Citigroup, Inc. | | | | | | | | | | | | |
| | | |
1.07% (3 mo. USD LIBOR + 0.950%) (2) | | | 07/24/23 | | | | 22,000 | | | | 22,128 | |
|
Credit Suisse Group AG | |
| | | |
1.31% (SOFR + 0.980%) (1),(2) | | | 02/02/27 | | | | 10,000 | | | | 9,697 | |
|
Discover Bank | |
| | | |
4.20% | | | 08/08/23 | | | | 10,000 | | | | 10,604 | |
|
DNB Bank ASA | |
| | | |
1.13% (U.S. 1-year Treasury Constant Maturity Rate + 0.850%) (1),(2) | | | 09/16/26 | | | | 5,000 | | | | 4,918 | |
|
Goldman Sachs Group, Inc. (The) | |
| | | |
1.43% (SOFR + 0.798%) (2) | | | 03/09/27 | | | | 5,000 | | | | 4,925 | |
| | | |
2.91% (3 mo. USD LIBOR + 0.990%) (2) | | | 07/24/23 | | | | 5,000 | | | | 5,080 | |
| | | |
3.27% (3 mo. USD LIBOR + 1.201%) (2) | | | 09/29/25 | | | | 10,000 | | | | 10,557 | |
|
HSBC Holdings PLC | |
| | | |
2.21% (SOFR + 1.285%) (2) | | | 08/17/29 | | | | 5,000 | | | | 4,907 | |
|
JPMorgan Chase & Co. | |
| | | |
1.12% (3 mo. USD LIBOR + 1.000%) (2) | | | 01/15/23 | | | | 25,000 | | | | 25,059 | |
|
Macquarie Group, Ltd. | |
| | | |
1.34% (SOFR + 1.069%) (1),(2) | | | 01/12/27 | | | | 5,000 | | | | 4,912 | |
| | | |
2.87% (SOFR + 1.532%) (1),(2) | | | 01/14/33 | | | | 5,000 | | | | 4,974 | |
|
Morgan Stanley | |
| | | |
1.51% (SOFR + 0.858%) (2) | | | 07/20/27 | | | | 5,000 | | | | 4,920 | |
| | | |
2.72% (SOFR + 1.152%) (2) | | | 07/22/25 | | | | 15,000 | | | | 15,576 | |
|
NatWest Group PLC (United Kingdom) | |
| | | |
4.27% (3 mo. USD LIBOR + 1.762%) (2) | | | 03/22/25 | | | | 5,000 | | | | 5,353 | |
| |
Santander UK Group Holdings PLC (United Kingdom) | | | | | |
| | | |
1.53% (U.S. 1-year Treasury Constant Maturity Rate + 1.250%) (2) | | | 08/21/26 | | | | 10,000 | | | | 9,889 | |
| | | |
4.80% (3 mo. USD LIBOR +1.570%) (2) | | | 11/15/24 | | | | 5,000 | | | | 5,371 | |
|
Wells Fargo & Co. | |
| | | |
2.16% (3 mo. USD LIBOR + 0.750%) (2) | | | 02/11/26 | | | | 15,000 | | | | 15,355 | |
| | | |
2.39% (SOFR + 2.100%) (2) | | | 06/02/28 | | | | 5,000 | | | | 5,084 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 194,894 | |
| | | | | | | | | | | | |
|
| Beverages — 0.2% | |
|
Bacardi, Ltd. | |
| | | |
4.45% (1) | | | 05/15/25 | | | | 5,000 | | | | 5,465 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Commercial Services — 0.4% | |
|
IHS Markit, Ltd. | |
| | | |
4.00% (1) | | | 03/01/26 | | | $ | 5,000 | | | $ | 5,434 | |
| | | |
5.00% (1) | | | 11/01/22 | | | | 5,000 | | | | 5,169 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,603 | |
| | | | | | | | | | | | |
|
| Diversified Financial Services — 0.1% | |
|
Park Aerospace Holdings, Ltd. | |
| | | |
4.50% (1) | | | 03/15/23 | | | | 2,000 | | | | 2,084 | |
| | | | | | | | | | | | |
|
| Electric — 0.3% | |
|
Duke Energy Corp. | |
| | | |
2.55% | | | 06/15/31 | | | | 5,000 | | | | 5,029 | |
|
NextEra Energy Capital Holdings, Inc. | |
| | | |
0.40% (3 mo. USD LIBOR + 0.270%) (2) | | | 02/22/23 | | | | 5,000 | | | | 5,002 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,031 | |
| | | | | | | | | | | | |
|
| Food — 0.3% | |
|
Kraft Heinz Foods Co. | |
| | | |
5.00% | | | 07/15/35 | | | | 3,000 | | | | 3,705 | |
|
Smithfield Foods, Inc. | |
| | | |
4.25% (1) | | | 02/01/27 | | | | 5,000 | | | | 5,430 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 9,135 | |
| | | | | | | | | | | | |
|
| Health Care-Services — 0.8% | |
|
Centene Corp. | |
| | | |
3.00% | | | 10/15/30 | | | | 3,000 | | | | 3,053 | |
|
CommonSpirit Health | |
| | | |
2.76% | | | 10/01/24 | | | | 5,000 | | | | 5,219 | |
|
HCA, Inc. | |
| | | |
5.00% | | | 03/15/24 | | | | 5,000 | | | | 5,442 | |
|
Humana, Inc. | |
| | | |
0.65% | | | 08/03/23 | | | | 10,000 | | | | 9,995 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 23,709 | |
| | | | | | | | | | | | |
|
| Insurance — 2.9% | |
|
Athene Global Funding | |
| | | |
0.75% (SOFR + 0.700%) (1),(2) | | | 05/24/24 | | | | 5,000 | | | | 5,024 | |
|
Equitable Financial Life Global Funding | |
| | | |
0.80% (1) | | | 08/12/24 | | | | 5,000 | | | | 4,966 | |
|
Nationwide Mutual Insurance Co. | |
| | | |
2.41% (3 mo. USD LIBOR + 2.290%) (1),(2) | | | 12/15/24 | | | | 70,000 | | | | 70,041 | |
|
Willis North America, Inc. | |
| | | |
2.95% | | | 09/15/29 | | | | 5,000 | | | | 5,167 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 85,198 | |
| | | | | | | | | | | | |
|
| Lodging — 0.2% | |
|
Hyatt Hotels Corp. | |
| | | |
1.30% | | | 10/01/23 | | | | 5,000 | | | | 5,006 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
35
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Media — 0.1% | |
| |
Charter Communications Operating LLC / Charter Communications Operating Capital | | | | | |
| | | |
1.78% (3 mo. USD LIBOR + 1.650%) (2) | | | 02/01/24 | | | $ | 4,000 | | | $ | 4,101 | |
| | | | | | | | | | | | |
|
| Miscellaneous Manufacturers — 0.3% | |
|
General Electric Co. | |
| | | |
0.60% (3 mo. USD LIBOR + 0.480%) (2) | | | 08/15/36 | | | | 10,000 | | | | 9,040 | |
| | | | | | | | | | | | |
|
| Packaging & Containers — 0.2% | |
|
Berry Global, Inc. | |
| | | |
4.88%(1) | | | 07/15/26 | | | | 5,000 | | | | 5,244 | |
| | | | | | | | | | | | |
|
| Pharmaceuticals — 0.3% | |
|
Bayer US Finance II LLC | |
| | | |
3.88%(1) | | | 12/15/23 | | | | 3,000 | | | | 3,169 | |
| | | |
4.38%(1) | | | 12/15/28 | | | | 5,000 | | | | 5,632 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,801 | |
| | | | | | | | | | | | |
|
| Pipelines — 0.3% | |
|
Energy Transfer LP | |
| | | |
4.95% | | | 06/15/28 | | | | 5,000 | | | | 5,713 | |
|
Plains All American Pipeline LP / PAA Finance Corp. | |
| | | |
4.50% | | | 12/15/26 | | | | 2,000 | | | | 2,207 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,920 | |
| | | | | | | | | | | | |
|
| REIT — 1.1% | |
| |
American Campus Communities Operating Partnership LP | | | | | |
| | | |
3.75% | | | 04/15/23 | | | | 5,000 | | | | 5,182 | |
|
Camden Property Trust | |
| | | |
2.95% | | | 12/15/22 | | | | 5,000 | | | | 5,100 | |
|
CyrusOne LP / CyrusOne Finance Corp. | |
| | | |
2.90% | | | 11/15/24 | | | | 5,000 | | | | 5,228 | |
|
GLP Capital LP / GLP Financing II, Inc. | |
| | | |
5.38% | | | 11/01/23 | | | | 5,000 | | | | 5,373 | |
|
SL Green Operating Partnership LP | |
| | | |
3.25% | | | 10/15/22 | | | | 5,000 | | | | 5,107 | |
|
Ventas Realty LP | |
| | | |
2.65% | | | 01/15/25 | | | | 5,000 | | | | 5,194 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 31,184 | |
| | | | | | | | | | | | |
|
| Retail — 0.4% | |
|
Dollar Tree, Inc. | |
| | | |
4.00% | | | 05/15/25 | | | | 10,000 | | | | 10,837 | |
| | | | | | | | | | | | |
|
| Savings & Loans — 0.6% | |
|
Nationwide Building Society (United Kingdom) | |
| | | |
4.36% (3 mo. USD LIBOR + 1.392%) (1), (2) | | | 08/01/24 | | | | 5,000 | | | | 5,291 | |
|
TIAA FSB Holdings, Inc. | |
| | | |
5.75% | | | 07/02/25 | | | | 10,000 | | | | 10,953 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 16,244 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Telecommunications — 0.9% | |
|
AT&T, Inc. | |
| | | |
1.29% (3 mo. USD LIBOR + 1.180%) (2) | | | 06/12/24 | | | $ | 10,000 | | | $ | 10,233 | |
| |
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC | | | | | |
| | | |
5.15% (1) | | | 09/20/29 | | | | 15,000 | | | | 16,950 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 27,183 | |
| | | | | | | | | | | | |
| | |
Total Corporate Bonds | | | | | | | | | |
| | |
(Cost: $486,800) | | | | | | | | 493,012 | |
| | | | | | | | | | | | |
|
MUNICIPAL BONDS — 0.9% | |
|
City of Baltimore MD, General Obligation Unlimited | |
| | | |
5.00% | | | 10/15/25 | | | | 5,000 | | | | 5,495 | |
| |
County of Miami-Dade FL Aviation Revenue, Revenue Bond | | | | | |
| | | |
2.32% | | | 10/01/22 | | | | 5,000 | | | | 5,096 | |
| |
Regents of the University of California Medical Center Pooled, Revenue Bond | | | | | |
| | | |
3.26% | | | 05/15/60 | | | | 5,000 | | | | 5,427 | |
|
State of California, General Obligation Unlimited | |
| | | |
2.50% | | | 10/01/22 | | | | 10,000 | | | | 10,208 | |
| | | | | | | | | | | | |
| | |
Total Municipal Bonds | | | | | | | | | |
| | |
(Cost: $25,821) | | | | | | | | 26,226 | |
| | | | | | | | | | | | |
| |
Total Fixed Income Securities | | | | | |
| | |
(Cost: $1,443,149) | | | | | | | | 1,457,760 | |
| | | | | | | | | | | | |
|
MONEY MARKET INVESTMENTS — 12.3%
(Cost: $355,348) | |
|
State Street Institutional U.S. Government Money
Market Fund — Premier Class, 0.03% | |
| | | |
0.01% (7),(8) | | | 01/05/50 | | | | 355,348 | | | | 355,348 | |
| | | | | | | | | | | | |
|
SHORT TERM INVESTMENTS — 37.5% | |
|
| U.S. TREASURY SECURITIES — 37.5% | |
|
U.S. Cash Management Bill | |
| | | |
0.04% (9) | | | 02/08/22 | | | | 150,000 | | | | 149,983 | |
| | | |
0.05% (9) | | | 02/01/22 | | | | 130,000 | | | | 129,982 | |
| | | |
0.05% (9) | | | 01/25/22 | | | | 135,000 | | | | 134,984 | |
|
U.S. Treasury Bill | |
| | | |
0.05% (9) | | | 01/20/22 | | | | 75,000 | | | | 74,991 | |
| | | |
0.05% (9) | | | 02/10/22 | | | | 135,000 | | | | 134,981 | |
| | | |
0.05% (9) | | | 02/24/22 | | | | 150,000 | | | | 149,975 | |
| | | |
0.06% (9) | | | 01/13/22 | | | | 75,000 | | | | 74,991 | |
| | | |
0.06% (9) | | | 01/06/22 | | | | 235,000 | | | | 234,973 | |
| | | | | | | | | | | | |
| | |
Total U.S. Treasury Securities | | | | | | | | | |
| | |
(Cost: $1,084,871) | | | | | | | | 1,084,860 | |
| | | | | | | | | | | | |
| |
Total Investments (100.1%)
(Cost: $2,883,368) | | | | 2,897,968 | |
| | | | | | | | | | | | |
| |
Liabilities In Excess Of Other Assets (-0.1%) | | | | (4,079 | ) |
| | | |
Net Assets (100.0%) | | | | | | | | | | $ | 2,893,889 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
36
TCW Enhanced Commodity Strategy Fund
October 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swaps (8) | | | | | | | | | | | | | | |
| | | | | | | | |
Notional
Amount | | | Expiration
Date | | | Counterparty | | Payment Made by Fund | | Payment Received
by Fund | | Payment
Frequency | | | Unrealized
Appreciation | | | Premium
Paid | | | Value | |
| | OTC Swaps | | | | | | | | | | | | | | | | | | | | |
| | $2,962,893 | | | | 11/23/21 | | | Credit Suisse International | | 3-Month U.S. Treasury Bills plus 0.2% | | Credit Suisse Custom 24
Total Return Index (10) | | | Monthly | | | | $ (13,024) | | | | $ — | | | | $ (13,024 | ) |
| | 124,000 | | | | 11/23/21 | | | Credit Suisse International | | Custom 24 Total Return Index (10) | | 3-Month U.S. Treasury Bills plus 0.2% | | | Monthly | | | | 2,974 | | | | — | | | | 2,974 | |
| | 50,000 | | | | 11/23/21 | | | Credit Suisse International | | 3-Month U.S. Treasury Bills plus 0.2% | | Credit Suisse Custom 24
Total Return Index (10) | | | Monthly | | | | (1,123) | | | | — | | | | (1,123 | ) |
| | 82,000 | | | | 11/23/21 | | | Credit Suisse International | | Custom 24 Total Return Index (10) | | 3-Month U.S. Treasury Bills plus 0.2% | | | Monthly | | | | 784 | | | | — | | | | 784 | |
| | 50,000 | | | | 11/23/21 | | | Credit Suisse International | | 3-Month U.S. Treasury Bills plus 0.2% | | Credit Suisse Custom 24
Total Return Index | | | Monthly | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (10,389 | ) | | $ | — | | | $ | (10,389 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 October 31, 2021, the value of these securities amounted to $467,568 or 16.2% 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 October 31, 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) | | Security is not accruing interest. |
| (5) | | Restricted security (Note 7). |
| (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) | | Rate disclosed is the 7-day net yield as of October 31, 2021. |
| (8) | | All or a portion of this security is owned by TCW Cayman Enhanced Commodity Fund, Ltd. |
| (9) | | Rate shown represents yield-to-maturity. |
| (10) | | Custom Index has exposure to the following commodities as shown on the next four pages. |
See accompanying Notes to Financial Statements.
37
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments
Components of Total Return Swap | October 31, 2021 |
| | | | | | | | | | | | |
| Description (1) | | Notional
Amount | | | Weight % | | | Unrealized
Appreciation
(Depreciation) | |
Natural Gas | | $ | 381,917 | | | | 12.89 | % | | $ | (2,455 | ) |
Gold | | | 314,659 | | | | 10.62 | % | | | (2,175 | ) |
WTI Crude Oil | | | 301,326 | | | | 10.17 | % | | | (2,642 | ) |
Brent Crude Oil | | | 236,439 | | | | 7.98 | % | | | (3,221 | ) |
Corn | | | 149,922 | | | | 5.06 | % | | | 7,649 | |
Copper High Grade | | | 145,774 | | | | 4.92 | % | | | (4,378 | ) |
Aluminium Primary | | | 129,478 | | | | 4.37 | % | | | (7,155 | ) |
Soybeans | | | 123,553 | | | | 4.17 | % | | | 1,846 | |
Coffee ‘C’ Arabica | | | 107,553 | | | | 3.63 | % | | | 2,139 | |
Live Cattle | | | 103,405 | | | | 3.49 | % | | | 595 | |
Soybean Oil | | | 102,516 | | | | 3.46 | % | | | (953 | ) |
Gasoil | | | 96,887 | | | | 3.27 | % | | | (1,813 | ) |
Silver | | | 88,294 | | | | 2.98 | % | | | (1,851 | ) |
Zinc High Grade | | | 87,702 | | | | 2.96 | % | | | (1,710 | ) |
Sugar #11 | | | 85,035 | | | | 2.87 | % | | | 835 | |
SRW Wheat | | | 81,183 | | | | 2.74 | % | | | 1,744 | |
RBOB Gasoline | | | 78,220 | | | | 2.64 | % | | | (1,963 | ) |
Heating Oil | | | 76,739 | | | | 2.59 | % | | | (1,730 | ) |
Nickel Primary | | | 67,258 | | | | 2.27 | % | | | (1,044 | ) |
Soybean Meal | | | 63,406 | | | | 2.14 | % | | | 955 | |
Cotton | | | 48,592 | | | | 1.64 | % | | | 2,150 | |
HRW Wheat | | | 47,703 | | | | 1.61 | % | | | 741 | |
Lean Hogs | | | 45,332 | | | | 1.53 | % | | | 1,381 | |
United States Treasury Bill | | | — | | | | — | | | | 31 | |
| | | | | | | | | | | | |
| | $ | 2,962,893 | | | | 100.00 | % | | $ | (13,024 | ) |
| | | | | | | | | | | | |
| (1) | Commodity Exposures of the Credit Suisse Custom 24 Total Return Index. |
See accompanying Notes to Financial Statements.
38
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments
Components of Total Return Swap | October 31, 2021 |
| | | | | | | | | | | | |
| Description (1) | | Notional
Amount | | | Weight % | | | Unrealized
Appreciation
(Depreciation) | |
Natural Gas | | $ | 15,984 | | | | 12.89 | % | | $ | 1,749 | |
Gold | | | 13,169 | | | | 10.62 | % | | | 165 | |
WTI Crude Oil | | | 12,611 | | | | 10.17 | % | | | 125 | |
Brent Crude Oil | | | 9,895 | | | | 7.98 | % | | | 193 | |
Corn | | | 6,274 | | | | 5.06 | % | | | (314 | ) |
Copper High Grade | | | 6,101 | | | | 4.92 | % | | | 228 | |
Aluminium Primary | | | 5,419 | | | | 4.37 | % | | | 310 | |
Soybeans | | | 5,171 | | | | 4.17 | % | | | (10 | ) |
Coffee ‘C’ Arabica | | | 4,501 | | | | 3.63 | % | | | (32 | ) |
Live Cattle | | | 4,328 | | | | 3.49 | % | | | 14 | |
Soybean Oil | | | 4,290 | | | | 3.46 | % | | | 108 | |
Gasoil | | | 4,055 | | | | 3.27 | % | | | 140 | |
Silver | | | 3,695 | | | | 2.98 | % | | | 97 | |
Zinc High Grade | | | 3,670 | | | | 2.96 | % | | | 82 | |
Sugar #11 | | | 3,559 | | | | 2.87 | % | | | 21 | |
SRW Wheat | | | 3,398 | | | | 2.74 | % | | | (55 | ) |
RBOB Gasoline | | | 3,274 | | | | 2.64 | % | | | 109 | |
Heating Oil | | | 3,212 | | | | 2.59 | % | | | 103 | |
Nickel Primary | | | 2,815 | | | | 2.27 | % | | | 126 | |
Soybean Meal | | | 2,654 | | | | 2.14 | % | | | (36 | ) |
Cotton | | | 2,034 | | | | 1.64 | % | | | (82 | ) |
HRW Wheat | | | 1,996 | | | | 1.61 | % | | | (21 | ) |
Lean Hogs | | | 1,897 | | | | 1.53 | % | | | (45 | ) |
United States Treasury Bill | | | — | | | | — | | | | (1 | ) |
| | | | | | | | | | | | |
| | $ | 124,002 | | | | 100.00 | % | | $ | 2,974 | |
| | | | | | | | | | | | |
| (1) | Commodity Exposures of the Credit Suisse Custom 24 Total Return Index. |
See accompanying Notes to Financial Statements.
39
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments
Components of Total Return Swap | October 31, 2021 |
| | | | | | | | | | | | |
| Description (1) | | Notional
Amount | | | Weight % | | | Unrealized
Appreciation
(Depreciation) | |
Natural Gas | | $ | 6,445 | | | | 12.89 | % | | $ | (643 | ) |
Gold | | | 5,310 | | | | 10.62 | % | | | (28 | ) |
WTI Crude Oil | | | 5,085 | | | | 10.17 | % | | | (96 | ) |
Brent Crude Oil | | | 3,990 | | | | 7.98 | % | | | (97 | ) |
Corn | | | 2,530 | | | | 5.06 | % | | | 103 | |
Copper High Grade | | | 2,460 | | | | 4.92 | % | | | (72 | ) |
Aluminium Primary | | | 2,185 | | | | 4.37 | % | | | (88 | ) |
Soybeans | | | 2,085 | | | | 4.17 | % | | | 3 | |
Coffee ‘C’ Arabica | | | 1,815 | | | | 3.63 | % | | | (35 | ) |
Live Cattle | | | 1,745 | | | | 3.49 | % | | | (27 | ) |
Soybean Oil | | | 1,730 | | | | 3.46 | % | | | (26 | ) |
Gasoil | | | 1,635 | | | | 3.27 | % | | | (54 | ) |
Silver | | | 1,490 | | | | 2.98 | % | | | (9 | ) |
Zinc High Grade | | | 1,480 | | | | 2.96 | % | | | (18 | ) |
Sugar #11 | | | 1,435 | | | | 2.87 | % | | | (28 | ) |
SRW Wheat | | | 1,370 | | | | 2.74 | % | | | 34 | |
RBOB Gasoline | | | 1,320 | | | | 2.64 | % | | | (47 | ) |
Heating Oil | | | 1,295 | | | | 2.59 | % | | | (47 | ) |
Nickel Primary | | | 1,135 | | | | 2.27 | % | | | (37 | ) |
Soybean Meal | | | 1,070 | | | | 2.14 | % | | | 15 | |
Cotton | | | 820 | | | | 1.64 | % | | | 31 | |
HRW Wheat | | | 805 | | | | 1.61 | % | | | 9 | |
Lean Hogs | | | 765 | | | | 1.53 | % | | | 33 | |
United States Treasury Bill | | | — | | | | — | | | | 1 | |
| | | | | | | | | | | | |
| | $ | 50,000 | | | | 100.00 | % | | $ | (1,123 | ) |
| | | | | | | | | | | | |
| (1) | Commodity Exposures of the Credit Suisse Custom 24 Total Return Index. |
See accompanying Notes to Financial Statements.
40
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments
Components of Total Return Swap | October 31, 2021 |
| | | | | | | | | | | | |
| Description (1) | | Notional
Amount | | | Weight % | | | Unrealized
Appreciation
(Depreciation) | |
Natural Gas | | $ | 10,570 | | | | 12.89 | % | | $ | 648 | |
Gold | | | 8,709 | | | | 10.62 | % | | | 91 | |
WTI Crude Oil | | | 8,339 | | | | 10.17 | % | | | (32 | ) |
Brent Crude Oil | | | 6,544 | | | | 7.98 | % | | | 7 | |
Corn | | | 4,149 | | | | 5.06 | % | | | (36 | ) |
Copper High Grade | | | 4,034 | | | | 4.92 | % | | | 69 | |
Aluminium Primary | | | 3,583 | | | | 4.37 | % | | | 39 | |
Soybeans | | | 3,419 | | | | 4.17 | % | | | (10 | ) |
Coffee ‘C’ Arabica | | | 2,977 | | | | 3.63 | % | | | (56 | ) |
Live Cattle | | | 2,862 | | | | 3.49 | % | | | 32 | |
Soybean Oil | | | 2,837 | | | | 3.46 | % | | | (16 | ) |
Gasoil | | | 2,681 | | | | 3.27 | % | | | (10 | ) |
Silver | | | 2,444 | | | | 2.98 | % | | | 18 | |
Zinc High Grade | | | 2,427 | | | | 2.96 | % | | | (5 | ) |
Sugar #11 | | | 2,353 | | | | 2.87 | % | | | 42 | |
SRW Wheat | | | 2,247 | | | | 2.74 | % | | | 1 | |
RBOB Gasoline | | | 2,165 | | | | 2.64 | % | | | (3 | ) |
Heating Oil | | | 2,124 | | | | 2.59 | % | | | 7 | |
Nickel Primary | | | 1,861 | | | | 2.27 | % | | | 12 | |
Soybean Meal | | | 1,755 | | | | 2.14 | % | | | (6 | ) |
Cotton | | | 1,345 | | | | 1.64 | % | | | 7 | |
HRW Wheat | | | 1,320 | | | | 1.61 | % | | | 7 | |
Lean Hogs | | | 1,255 | | | | 1.53 | % | | | (23 | ) |
United States Treasury Bill | | | — | | | | — | | | | 1 | |
| | | | | | | | | | | | |
| | $ | 82,000 | | | | 100.00 | % | | $ | 784 | |
| | | | | | | | | | | | |
| (1) | Commodity Exposures of the Credit Suisse Custom 24 Total Return Index. |
See accompanying Notes to Financial Statements.
41
TCW Enhanced Commodity Strategy Fund
Consolidated Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
U.S. Treasury Securities | | | 37.5 | % |
Corporate Bonds | | | 17.0 | |
Commercial Mortgage-Backed Securities — Non-Agency | | | 13.3 | |
Money Market Investments | | | 12.3 | |
Asset-Backed Securities | | | 10.0 | |
Residential Mortgage-Backed Securities — Non-Agency | | | 4.1 | |
Commercial Mortgage-Backed Securities — Agency | | | 3.4 | |
Residential Mortgage-Backed Securities — Agency | | | 1.6 | |
Municipal Bonds | | | 0.9 | |
Other* | | | (0.1 | ) |
| | | | |
Total | | | 100.0 | % |
| | | | |
| * | Includes swaps, interest receivable and accrued expenses payable. |
See accompanying Notes to Financial Statements.
42
TCW Enhanced Commodity Strategy Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | $ | — | | | $ | 290,554 | | | $ | — | | | $ | 290,554 | |
Commercial Mortgage-Backed Securities — Agency | | | — | | | | 99,050 | | | | — | | | | 99,050 | |
Commercial Mortgage-Backed Securities — Non-Agency | | | — | | | | 384,110 | | | | — | | | | 384,110 | |
Residential Mortgage-Backed Securities — Agency | | | — | | | | 44,870 | | | | — | | | | 44,870 | |
Residential Mortgage-Backed Securities — Non-Agency | | | — | | | | 119,938 | | | | — | | | | 119,938 | |
Corporate Bonds* | | | — | | | | 493,012 | | | | — | | | | 493,012 | |
Municipal Bonds | | | — | | | | 26,226 | | | | — | | | | 26,226 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income Securities | | | — | | | | 1,457,760 | | | | — | | | | 1,457,760 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 355,348 | | | | — | | | | — | | | | 355,348 | |
Short-Term Investments | | | 1,084,860 | | | | — | | | | — | | | | 1,084,860 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 1,440,208 | | | $ | 1,457,760 | | | $ | — | | | $ | 2,897,968 | |
| | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | | | | | | | | | | | | |
Swap Agreements | | | | | | | | | | | | | | | | |
Commodity Risk | | | — | | | | 3,758 | | | | — | | | | 3,758 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 1,440,208 | | | $ | 1,461,518 | | | $ | — | | | $ | 2,901,726 | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Total Return Swaps | | | | | | | | | | | | | | | | |
Commodity Risk | | $ | — | | | $ | (14,147 | ) | | $ | — | | | $ | (14,147 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | (14,147 | ) | | $ | — | | | $ | (14,147 | ) |
| | | | | | | | | | | | | | | | |
| * | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
43
TCW Global Bond Fund
Schedule of Investments
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
FIXED INCOME SECURITIES —105.1% of Net Assets | |
|
| CORPORATE BONDS — 24.9% | |
|
| Aerospace/Defense — 0.2% | |
|
Boeing Co. (The) | |
| | | |
1.43% | | | 02/04/24 | | | $ | 80,000 | | | $ | 80,050 | |
| | | | | | | | | | | | |
|
| Agriculture — 1.2% | |
| |
Altria Group, Inc. | | | | | |
| | | |
1.00% | | | 02/15/23 | | | | 100,000 | | | | 117,148 | |
| | | |
BAT Capital Corp. | | | | | | | | | | | | |
| | | |
4.54% | | | 08/15/47 | | | | 55,000 | | | | 57,725 | |
|
BAT International Finance PLC (United Kingdom) | |
| | | |
2.25% (1) | | | 01/16/30 | | | | 100,000 | | | | 120,772 | |
| |
Imperial Brands Finance PLC | | | | | |
| | | |
4.25% (2) | | | 07/21/25 | | | | 50,000 | | | | 54,105 | |
| | | |
8.13% (1) | | | 03/15/24 | | | GBP | 50,000 | | | | 78,535 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 428,285 | |
| | | | | | | | | | | | |
|
| Airlines — 0.3% | |
| |
Delta Air Lines, Inc. Pass-Through Certificates (20-1A-AA) | | | | | |
| | | |
2.00% | | | 12/10/29 | | | | 84,619 | | | | 84,764 | |
| |
US Airways Group, Inc. Pass-Through Certificates (10-1A) (EETC) | | | | | |
| | | |
6.25% | | | 10/22/24 | | | | 8,053 | | | | 8,321 | |
| |
US Airways Group, Inc. Pass-Through Certificates (12-1-A) (EETC) | | | | | |
| | | |
5.90% | | | 04/01/26 | | | | 27,328 | | | | 28,968 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 122,053 | |
| | | | | | | | | | | | |
|
| Auto Manufacturers — 0.4% | |
|
Ford Motor Credit Co. LLC | |
| | | |
1.20% (3 mo. USD LIBOR + 1.080%) (3) | | | 08/03/22 | | | | 25,000 | | | | 25,000 | |
| | | |
1.40% (3 mo. USD LIBOR + 1.270%) (3) | | | 03/28/22 | | | | 20,000 | | | | 20,015 | |
| | | |
3.22% | | | 01/09/22 | | | | 20,000 | | | | 20,085 | |
|
General Motors Financial Co., Inc. | |
| | | |
3.15% | | | 06/30/22 | | | | 20,000 | | | | 20,297 | |
| | | |
3.45% | | | 04/10/22 | | | | 5,000 | | | | 5,042 | |
| | | |
3.55% | | | 07/08/22 | | | | 10,000 | | | | 10,207 | |
| | | |
4.20% | | | 11/06/21 | | | | 30,000 | | | | 30,012 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 130,658 | |
| | | | | | | | | | | | |
|
| Banks — 5.6% | |
|
Bank of America Corp. | |
| | | |
1.66% (SOFR + 0.910%) (3) | | | 03/11/27 | | | | 180,000 | | | | 179,344 | |
| | | |
2.09% (SOFR + 1.060%) (3) | | | 06/14/29 | | | | 75,000 | | | | 74,164 | |
| | | |
3.09% (3 mo. USD LIBOR + 1.090%) (3) | | | 10/01/25 | | | | 80,000 | | | | 84,149 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Banks (Continued) | |
| | | |
3.82% (3 mo. USD LIBOR + 1.575%) (3) | | | 01/20/28 | | | $ | 25,000 | | | $ | 27,318 | |
|
Citigroup, Inc. | |
| | | |
1.46% (SOFR + 0.770%) (3) | | | 06/09/27 | | | | 75,000 | | | | 73,888 | |
|
Credit Suisse Group AG | |
| | | |
1.31% (SOFR + 0.980%) (2),(3) | | | 02/02/27 | | | | 35,000 | | | | 33,939 | |
| | | |
2.19% (SOFR + 2.044%) (2),(3) | | | 06/05/26 | | | | 85,000 | | | | 85,945 | |
| | | |
2.59% (SOFR + 1.560%) (2),(3) | | | 09/11/25 | | | | 60,000 | | | | 61,687 | |
|
Goldman Sachs Group, Inc. (The) | |
| | | |
0.93% (SOFR + 0.486%) (3) | | | 10/21/24 | | | | 30,000 | | | | 29,984 | |
| | | |
1.09% (SOFR + 0.789%) (3) | | | 12/09/26 | | | | 10,000 | | | | 9,763 | |
| | | |
3.27% (3 mo. USD LIBOR + 1.201%) (3) | | | 09/29/25 | | | | 130,000 | | | | 137,237 | |
|
HSBC Holdings PLC (United Kingdom) | |
| | | |
1.75% (SONIO/N + 1.307%) (3) | | | 07/24/27 | | | GBP | 100,000 | | | | 135,266 | |
| | | |
2.63% (3 mo. USD LIBOR + 1.402%) (3) | | | 11/07/25 | | | $ | 5,000 | | | | 5,175 | |
| | | |
4.29% (3 mo. USD LIBOR + 1.348%) (3) | | | 09/12/26 | | | | 15,000 | | | | 16,344 | |
|
JPMorgan Chase & Co. | |
| | | |
0.77% (SOFR+ 0.490%) (3) | | | 08/09/25 | | | | 40,000 | | | | 39,551 | |
| | | |
0.97% (SOFR + 0.580%) (3) | | | 06/23/25 | | | | 20,000 | | | | 19,899 | |
| | | |
1.05% (SOFR + 0.800%) (3) | | | 11/19/26 | | | | 55,000 | | | | 53,632 | |
| | | |
1.58% (SOFR + 0.885%) (3) | | | 04/22/27 | | | | 55,000 | | | | 54,529 | |
| | | |
2.01% (SOFR + 1.585%) (3) | | | 03/13/26 | | | | 65,000 | | | | 66,214 | |
| | | |
2.08% (SOFR + 1.850%) (3) | | | 04/22/26 | | | | 35,000 | | | | 35,717 | |
|
Lloyds Banking Group PLC (United Kingdom) | |
| | | |
3.87% (1-year Treasury Constant Maturity Rate + 3.500%) (3) | | | 07/09/25 | | | | 50,000 | | | | 53,499 | |
| | | |
3.90% | | | 03/12/24 | | | | 35,000 | | | | 37,354 | |
|
Macquarie Group, Ltd. | |
| | | |
1.34% (SOFR + 1.069%) (2),(3) | | | 01/12/27 | | | | 95,000 | | | | 93,328 | |
| | | |
2.87% (SOFR + 1.532%) (2),(3) | | | 01/14/33 | | | | 50,000 | | | | 49,744 | |
|
Morgan Stanley | |
| | | |
1.16% (SOFR + 0.560%) (3) | | | 10/21/25 | | | | 125,000 | | | | 124,387 | |
See accompanying Notes to Financial Statements.
44
TCW Global Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Banks (Continued) | |
| | | |
1.59% (SOFR + 0.879%) (3) | | | 05/04/27 | | | $ | 55,000 | | | $ | 54,515 | |
|
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 | | | | 9,889 | |
| | | |
4.80% (3 mo. USD LIBOR +1.570%) (3) | | | 11/15/24 | | | | 65,000 | | | | 69,828 | |
|
Santander UK PLC (United Kingdom) | |
| | | |
5.00% (2) | | | 11/07/23 | | | | 20,000 | | | | 21,492 | |
|
Wells Fargo & Co. | |
| | | |
2.19% (SOFR + 2.000%) (3) | | | 04/30/26 | | | | 25,000 | | | | 25,559 | |
| | | |
2.39% (SOFR + 2.100%) (3) | | | 06/02/28 | | | | 195,000 | | | | 198,274 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,961,614 | |
| | | | | | | | | | | | |
|
| Beverages — 0.5% | |
| |
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc. | | | | | |
| | | |
4.90% | | | 02/01/46 | | | | 60,000 | | | | 76,633 | |
|
Anheuser-Busch InBev Worldwide, Inc. | |
| | | |
4.60% | | | 04/15/48 | | | | 20,000 | | | | 24,739 | |
|
Bacardi, Ltd. | |
| | | |
4.45% (2) | | | 05/15/25 | | | | 50,000 | | | | 54,652 | |
| | | |
4.70% (2) | | | 05/15/28 | | | | 10,000 | | | | 11,485 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 167,509 | |
| | | | | | | | | | | | |
|
| Chemicals — 0.3% | |
|
International Flavors & Fragrances, Inc. | |
| | | |
1.75% | | | 03/14/24 | | | | 100,000 | | | | 120,111 | |
| | | | | | | | | | | | |
|
| Commercial Services — 0.3% | |
|
IHS Markit, Ltd. | |
| | | |
4.00% (2) | | | 03/01/26 | | | | 50,000 | | | | 54,341 | |
| | | |
4.75% | | | 08/01/28 | | | | 30,000 | | | | 35,030 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 89,371 | |
| | | | | | | | | | | | |
|
| Diversified Financial Services — 0.8% | |
| |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | | | | | |
| | | |
2.45% | | | 10/29/26 | | | | 85,000 | | | | 85,839 | |
| |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) | | | | | |
| | | |
3.50% | | | 05/26/22 | | | | 25,000 | | | | 25,325 | |
| | | |
3.88% | | | 01/23/28 | | | | 10,000 | | | | 10,732 | |
| | | |
3.95% | | | 02/01/22 | | | | 25,000 | | | | 25,138 | |
| | | |
4.13% | | | 07/03/23 | | | | 15,000 | | | | 15,734 | |
| | | |
4.88% | | | 01/16/24 | | | | 15,000 | | | | 16,143 | |
|
Air Lease Corp. | |
| | | |
3.25% | | | 03/01/25 | | | | 20,000 | | | | 20,957 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Diversified Financial Services (Continued) | |
|
Avolon Holdings Funding, Ltd. | |
| | | |
2.53% (2) | | | 11/18/27 | | | $ | 24,000 | | | $ | 23,577 | |
| | | |
2.88% (2) | | | 02/15/25 | | | | 30,000 | | | | 30,792 | |
|
Park Aerospace Holdings, Ltd. | |
| | | |
4.50% (2) | | | 03/15/23 | | | | 20,000 | | | | 20,837 | |
| | | |
5.50% (2) | | | 02/15/24 | | | | 6,000 | | | | 6,503 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 281,577 | |
| | | | | | | | | | | | |
|
| Electric — 0.4% | |
|
FirstEnergy Transmission LLC | |
| | | |
2.87% (2) | | | 09/15/28 | | | | 78,000 | | | | 80,459 | |
|
Pennsylvania Electric Co. | |
| | | |
3.25% (2) | | | 03/15/28 | | | | 50,000 | | | | 52,736 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 133,195 | |
| | | | | | | | | | | | |
|
| Engineering & Construction — 0.4% | |
|
Heathrow Funding, Ltd. | |
| | | |
5.23% (2) | | | 02/15/23 | | | | 75,000 | | | | 107,877 | |
|
PowerTeam Services LLC | |
| | | |
9.03% (2) | | | 12/04/25 | | | | 16,000 | | | | 17,281 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 125,158 | |
| | | | | | | | | | | | |
|
| Environmental Control — 0.0% | |
|
GFL Environmental, Inc. (Canada) | |
| | | |
3.75% (2) | | | 08/01/25 | | | | 7,000 | | | | 7,211 | |
| | | |
5.13% (2) | | | 12/15/26 | | | | 9,000 | | | | 9,440 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 16,651 | |
| | | | | | | | | | | | |
|
| Food — 0.5% | |
|
Kraft Heinz Foods Co. | |
| | | |
3.00% | | | 06/01/26 | | | | 34,000 | | | | 35,539 | |
| | | |
4.38% | | | 06/01/46 | | | | 15,000 | | | | 17,532 | |
| | | |
5.00% | | | 07/15/35 | | | | 30,000 | | | | 37,050 | |
|
Pilgrim’s Pride Corp. | |
| | | |
4.25% (2) | | | 04/15/31 | | | | 37,000 | | | | 39,094 | |
| | | |
5.88% (2) | | | 09/30/27 | | | | 16,000 | | | | 16,876 | |
|
Post Holdings, Inc. | |
| | | |
4.63% (2) | | | 04/15/30 | | | | 25,000 | | | | 25,156 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 171,247 | |
| | | | | | | | | | | | |
|
| Health Care-Products — 0.7% | |
|
Becton Dickinson Euro Finance Sarl | |
| | | |
0.63% | | | 06/04/23 | | | | 100,000 | | | | 117,042 | |
|
Thermo Fisher Scientific Finance I BV | |
| | | |
2.00% | | | 10/18/51 | | | | 100,000 | | | | 123,743 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 240,785 | |
| | | | | | | | | | | | |
|
| Health Care-Services — 0.8% | |
|
CommonSpirit Health | |
| | | |
2.78% | | | 10/01/30 | | | | 10,000 | | | | 10,258 | |
See accompanying Notes to Financial Statements.
45
TCW Global Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Health Care-Services (Continued) | |
|
HCA, Inc. | |
| | | |
4.13% | | | 06/15/29 | | | $ | 49,000 | | | $ | 54,347 | |
| | | |
5.00% | | | 03/15/24 | | | | 18,000 | | | | 19,592 | |
| | | |
5.25% | | | 04/15/25 | | | | 2,000 | | | | 2,243 | |
| | | |
5.25% | | | 06/15/49 | | | | 84,000 | | | | 109,059 | |
|
Humana, Inc. | |
| | | |
4.95% | | | 10/01/44 | | | | 10,000 | | | | 12,985 | |
|
Molina Healthcare, Inc. | |
| | | |
3.88% (2) | | | 11/15/30 | | | | 63,000 | | | | 65,211 | |
| | | |
5.38% | | | 11/15/22 | | | | 8,000 | | | | 8,230 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 281,925 | |
| | | | | | | | | | | | |
|
| Insurance — 0.7% | |
|
Athene Global Funding | |
| | | |
1.99% (2) | | | 08/19/28 | | | | 90,000 | | | | 87,677 | |
|
Farmers Exchange Capital II | |
| | | |
6.15% (3 mo. USD LIBOR + 3.744%) (2),(3) | | | 11/01/53 | | | | 80,000 | | | | 101,449 | |
Teachers Insurance & Annuity Association of America | | | | | |
| | | |
4.27% (2) | | | 05/15/47 | | | | 40,000 | | | | 49,069 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 238,195 | |
| | | | | | | | | | | | |
|
| Internet — 0.5% | |
|
Alibaba Group Holding, Ltd. | |
| | | |
2.13% | | | 02/09/31 | | | | 95,000 | | | | 91,199 | |
|
Tencent Holdings, Ltd. | |
| | | |
3.60% (2) | | | 01/19/28 | | | | 90,000 | | | | 95,981 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 187,180 | |
| | | | | | | | | | | | |
|
| Media — 0.5% | |
| |
Charter Communications Operating LLC / Charter Communications Operating Capital | | | | | |
| | | |
5.38% | | | 05/01/47 | | | | 81,000 | | | | 98,384 | |
|
CSC Holdings LLC | |
| | | |
6.50% (2) | | | 02/01/29 | | | | 7,000 | | | | 7,516 | |
| |
Virgin Media Secured Finance PLC (United Kingdom) | | | | | |
| | | |
4.50% (2) | | | 08/15/30 | | | | 54,000 | | | | 54,007 | |
| | | |
5.50% (2) | | | 05/15/29 | | | | 16,000 | | | | 16,903 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 176,810 | |
| | | | | | | | | | | | |
|
| Miscellaneous Manufacturers — 0.9% | |
General Electric Co. | |
| | | |
0.50% (3 mo. USD LIBOR + 0.380%)(3) | | | 05/05/26 | | | | 125,000 | | | | 123,759 | |
| | | |
0.60% (3 mo. USD LIBOR + 0.480%) (3) | | | 08/15/36 | | | | 200,000 | | | | 180,811 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 304,570 | |
| | | | | | | | | | | | |
|
| Multi-National — 0.2% | |
| |
International Bank for Reconstruction & Development | | | | | |
| | | |
1.75% (1) | | | 03/13/25 | | | | 650,000 | | | | 77,160 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Oil & Gas — 2.0% | |
|
Antero Resources Corp. | |
| | | |
8.38% (2) | | | 07/15/26 | | | $ | 10,000 | | | $ | 11,275 | |
|
Energean Israel Finance, Ltd. | |
| | | |
4.50% (1) | | | 03/30/24 | | | | 50,000 | | | | 50,990 | |
|
Exxon Mobil Corp. | |
| | | |
1.41% | | | 06/26/39 | | | | 100,000 | | | | 113,613 | |
|
Leviathan Bond, Ltd. | |
| | | |
6.75% (1) | | | 06/30/30 | | | | 55,000 | | | | 60,603 | |
|
Petroleos Mexicanos | |
| | | |
5.50% (1) | | | 02/24/25 | | | EU | R197,000 | | | | 249,117 | |
| | | |
7.69% | | | 01/23/50 | | | $ | 15,000 | | | | 14,356 | |
|
SA Global Sukuk, Ltd. | |
| | | |
2.69% (2) | | | 06/17/31 | | | | 200,000 | | | | 200,680 | |
|
Transocean Pontus, Ltd. | |
| | | |
6.13% (2) | | | 08/01/25 | | | | 10,720 | | | | 10,762 | |
|
Transocean Poseidon, Ltd. | |
| | | |
6.88% (2) | | | 02/01/27 | | | | 7,000 | | | | 6,993 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 718,389 | |
| | | | | | | | | | | | |
|
| Oil & Gas Services — 0.0% | |
|
Transocean Phoenix 2, Ltd. | |
| | | |
7.75% (2) | | | 10/15/24 | | | | 12,500 | | | | 12,731 | |
| |
USA Compression Partners LP / USA Compression Finance Corp. | | | | | |
| | | |
6.88% | | | 09/01/27 | | | | 4,000 | | | | 4,160 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 16,891 | |
| | | | | | | | | | | | |
|
| Packaging & Containers — 0.4% | |
|
Berry Global, Inc. | |
| | | |
1.00% (1) | | | 01/15/25 | | | | 100,000 | | | | 117,181 | |
|
Graphic Packaging International LLC | |
| | | |
4.88% | | | 11/15/22 | | | | 8,000 | | | | 8,237 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 125,418 | |
| | | | | | | | | | | | |
|
| Pharmaceuticals — 1.2% | |
|
AbbVie, Inc. | |
| | | |
4.50% | | | 05/14/35 | | | | 108,000 | | | | 127,860 | |
|
Bayer US Finance II LLC | |
| | | |
4.25% (2) | | | 12/15/25 | | | | 35,000 | | | | 38,385 | |
| | | |
4.38% (2) | | | 12/15/28 | | | | 25,000 | | | | 28,162 | |
| | | |
4.63% (2) | | | 06/25/38 | | | | 25,000 | | | | 29,611 | |
| | | |
4.88% (2) | | | 06/25/48 | | | | 65,000 | | | | 81,851 | |
|
Cigna Corp. | |
| | | |
3.40% | | | 03/15/51 | | | | 35,000 | | | | 37,014 | |
|
CVS Health Corp. | |
| | | |
5.05% | | | 03/25/48 | | | | 65,000 | | | | 85,588 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 428,471 | |
| | | | | | | | | | | | |
|
| Pipelines — 0.5% | |
|
Energy Transfer LP | |
| | | |
5.00% | | | 05/15/50 | | | | 24,000 | | | | 28,121 | |
See accompanying Notes to Financial Statements.
46
TCW Global Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Pipelines (Continued) | |
| | | |
5.15% | | | 03/15/45 | | | $ | 125,000 | | | $ | 146,172 | |
|
Kinder Morgan Energy Partners LP | |
| | | |
5.00% | | | 08/15/42 | | | | 15,000 | | | | 17,832 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 192,125 | |
| | | | | | | | | | | | |
|
| REIT — 1.7% | |
|
American Assets Trust LP | |
| | | |
3.38% | | | 02/01/31 | | | | 40,000 | | | | 41,318 | |
| |
American Campus Communities Operating Partnership LP | | | | | |
| | | |
4.13% | | | 07/01/24 | | | | 30,000 | | | | 32,294 | |
|
CyrusOne LP / CyrusOne Finance Corp. | |
| | | |
1.45% | | | 01/22/27 | | | EUR | 100,000 | | | | 116,469 | |
| | | |
2.90% | | | 11/15/24 | | | $ | 45,000 | | | | 47,049 | |
| | | |
3.45% | | | 11/15/29 | | | | 45,000 | | | | 47,149 | |
|
GLP Capital LP / GLP Financing II, Inc. | |
| | | |
3.35% | | | 09/01/24 | | | | 45,000 | | | | 47,371 | |
| | | |
5.25% | | | 06/01/25 | | | | 15,000 | | | | 16,658 | |
| | | |
5.30% | | | 01/15/29 | | | | 40,000 | | | | 46,010 | |
| | | |
5.38% | | | 04/15/26 | | | | 25,000 | | | | 28,224 | |
| | | |
5.75% | | | 06/01/28 | | | | 5,000 | | | | 5,812 | |
|
Healthcare Trust of America Holdings LP (REIT) | |
| | | |
3.10% | | | 02/15/30 | | | | 75,000 | | | | 77,683 | |
|
Lexington Realty Trust | |
| | | |
2.70% | | | 09/15/30 | | | | 20,000 | | | | 20,097 | |
|
SL Green Operating Partnership LP | |
| | | |
3.25% | | | 10/15/22 | | | | 55,000 | | | | 56,180 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 582,314 | |
| | | | | | | | | | | | |
|
| Retail — 0.5% | |
|
7-Eleven, Inc. | |
| | | |
0.80% (2) | | | 02/10/24 | | | | 60,000 | | | | 59,601 | |
Alimentation Couche-Tard, Inc. | |
| | | |
3.06% | | | 07/26/24 | | | | 95,000 | | | | 79,107 | |
Michaels Cos, Inc. (The) | |
| | | |
5.25% (2) | | | 05/01/28 | | | | 20,000 | | | | 20,226 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 158,934 | |
| | | | | | | | | | | | |
|
| Savings & Loans — 0.2% | |
|
Nationwide Building Society (United Kingdom) | |
| | | |
3.77% (3 mo. USD LIBOR + 1.064%)(2),(3) | | | 03/08/24 | | | | 65,000 | | | | 67,495 | |
| | | | | | | | | | | | |
|
| Semiconductors — 0.1% | |
|
Intel Corp. | |
| | | |
3.05% | | | 08/12/51 | | | | 23,000 | | | | 23,463 | |
| | | | | | | | | | | | |
|
| Software — 0.2% | |
|
Oracle Corp. | |
| | | |
3.95% | | | 03/25/51 | | | | 74,000 | | | | 80,141 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Telecommunications — 2.9% | |
|
AT&T, Inc. | |
| | | |
2.55% | | | 12/01/33 | | | $ | 28,000 | | | $ | 27,176 | |
| | | |
3.80% | | | 12/01/57 | | | | 106,000 | | | | 112,078 | |
| | | |
4.75% | | | 05/15/46 | | | | 130,000 | | | | 158,453 | |
|
Frontier Communications Holdings LLC | |
| | | |
5.00% (2) | | | 05/01/28 | | | | 11,000 | | | | 11,235 | |
|
Intelsat Jackson Holdings S. A. (Luxembourg) | |
| | | |
8.50% (2),(4) | | | 10/15/24 | | | | 21,000 | | | | 11,287 | |
| | | |
9.75% (2),(4) | | | 07/15/25 | | | | 15,000 | | | | 7,790 | |
|
Level 3 Financing, Inc. | |
| | | |
3.63% (2) | | | 01/15/29 | | | | 15,000 | | | | 14,217 | |
| | | |
3.88% (2) | | | 11/15/29 | | | | 55,000 | | | | 57,824 | |
| | | |
4.63% (2) | | | 09/15/27 | | | | 3,000 | | | | 3,079 | |
|
Qwest Corp. | |
| | | |
7.25% | | | 09/15/25 | | | | 33,000 | | | | 39,402 | |
|
Sprint Corp. | |
| | | |
7.88% | | | 09/15/23 | | | | 16,000 | | | | 17,760 | |
| |
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC | | | | | |
| | | |
4.74% (2) | | | 03/20/25 | | | | 223,125 | | | | 235,676 | |
|
T-Mobile USA, Inc. | |
| | | |
2.55% | | | 02/15/31 | | | | 20,000 | | | | 19,860 | |
| | | |
2.63% | | | 04/15/26 | | | | 90,000 | | | | 91,527 | |
| | | |
3.75% | | | 04/15/27 | | | | 60,000 | | | | 65,145 | |
| | | |
3.88% | | | 04/15/30 | | | | 20,000 | | | | 21,883 | |
| | | |
4.38% | | | 04/15/40 | | | | 20,000 | | | | 22,875 | |
|
Vodafone Group PLC (United Kingdom) | |
| | | |
4.88% | | | 06/19/49 | | | | 78,000 | | | | 97,440 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,014,707 | |
| | | | | | | | | | | | |
|
Total Corporate Bonds | |
| |
(Cost: $8,638,506) | | | | 8,742,452 | |
| | | | | | | | | | | | |
|
| MUNICIPAL BONDS — 0.6% | |
| |
Alabama Economic Settlement Authority, Revenue Bond | | | | | |
| | | |
4.26% | | | 09/15/32 | | | | 40,000 | | | | 45,880 | |
|
City of New York NY, General Obligation Unlimited | |
| | | |
3.00% | | | 08/01/34 | | | | 55,000 | | | | 58,118 | |
| | | |
3.62% | | | 04/01/31 | | | | 50,000 | | | | 54,385 | |
| |
County of Miami-Dade FL Aviation Revenue, Revenue Bond | | | | | |
| | | |
2.86% | | | 10/01/35 | | | | 50,000 | | | | 52,306 | |
| | | | | | | | | | | | |
|
Total Municipal Bonds | |
| |
(Cost: $205,340) | | | | 210,689 | |
| | | | | |
|
| FOREIGN GOVERNMENT BONDS — 46.7% | |
|
Australia Government Bond | |
| | | |
1.75% (1) | | | 06/21/51 | | | AUD | 115,000 | | | | 70,301 | |
| | | |
2.75% (1) | | | 05/21/41 | | | AUD | 122,000 | | | | 92,508 | |
|
Bonos de la Tesoreria de la Republica en pesos | |
| | | |
2.30% (1) | | | 10/01/28 | | | CLP | 60,000,000 | | | | 58,749 | |
See accompanying Notes to Financial Statements.
47
TCW Global Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| FOREIGN GOVERNMENT BONDS (Continued) | |
| | | |
2.50% | | | 03/01/25 | | | CLP | 220,000,000 | | | $ | 246,579 | |
|
Brazil Letras do Tesouro Nacional | |
| | | |
0.00% (5) | | | 01/01/24 | | | BRL | 2,618,000 | | | | 361,168 | |
|
Brazil Letras do Tesouro Nacional Bills | |
| | | |
0.00% (5) | | | 01/01/23 | | | BRL | 773,000 | | | | 120,241 | |
|
Canada Housing Trust | |
| | | |
0.95% (2) | | | 06/15/25 | | | CAD | 100,000 | | | | 78,989 | |
|
Canada Housing Trust No 1 | |
| | | |
1.75% (2) | | | 06/15/30 | | | CAD | 315,000 | | | | 248,694 | |
|
Canadian Government Bond | |
| | | |
0.25% | | | 11/01/23 | | | CAD | 255,000 | | | | 203,373 | |
| | | |
0.25% | | | 03/01/26 | | | CAD | 225,000 | | | | 172,458 | |
| | | |
2.75% | | | 12/01/48 | | | CAD | 35,000 | | | | 32,580 | |
|
China Development Bank | |
| | | |
3.09% | | | 06/18/30 | | | CNY | 1,290,000 | | | | 197,406 | |
| | | |
3.18% | | | 04/05/26 | | | CNY | 2,160,000 | | | | 337,817 | |
| | | |
4.24% | | | 08/24/27 | | | CNY | 4,800,000 | | | | 789,457 | |
|
China Government Bond | |
| | | |
2.85% | | | 06/04/27 | | | CNY | 6,730,000 | | | | 1,048,631 | |
| | | |
3.02% | | | 05/27/31 | | | CNY | 270,000 | | | | 42,379 | |
| | | |
3.13% | | | 11/21/29 | | | CNY | 3,260,000 | | | | 513,379 | |
| | | |
3.72% | | | 04/12/51 | | | CNY | 3,180,000 | | | | 518,148 | |
|
Colombia Government International Bond | |
| | | |
4.13% | | | 02/22/42 | | | $ | 200,000 | | | | 181,598 | |
|
Colombian TES | |
| | | |
5.75% | | | 11/03/27 | | | COP | 275,700,000 | | | | 66,735 | |
|
Czech Republic Government Bond | |
| | | |
0.45% (1) | | | 10/25/23 | | | CZK | 2,980,000 | | | | 128,452 | |
|
French Republic Government Bond OAT | |
| | | |
0.00% (1),(5) | | | 11/25/31 | | | EUR | 180,000 | | | | 202,754 | |
| | | |
0.50% (1) | | | 06/25/44 | | | EUR | 55,000 | | | | 61,027 | |
| | | |
0.75% (1) | | | 05/25/52 | | | EUR | 32,000 | | | | 36,043 | |
|
Hungary Government Bond | |
| | | |
2.25% | | | 04/20/33 | | | HUF | 24,980,000 | | | | 67,706 | |
| | | |
3.00% | | | 08/21/30 | | | HUF | 2,250,000 | | | | 6,861 | |
|
Hungary Government International Bond | |
| | | |
3.13% (2) | | | 09/21/51 | | | $ | 200,000 | | | | 195,373 | |
|
Indonesia Government International Bond | |
| | | |
1.40% | | | 10/30/31 | | | EUR | 200,000 | | | | 232,163 | |
|
Indonesia Treasury Bond | |
| | | |
6.63% | | | 05/15/33 | | | IDR | 1,932,000,000 | | | | 137,391 | |
|
Ireland Government Bond | |
| | | |
1.30% (1) | | | 05/15/33 | | | EUR | 65,000 | | | | 82,735 | |
| | | |
1.35% (1) | | | 03/18/31 | | | EUR | 30,000 | | | | 38,333 | |
| | | |
2.00% (1) | | | 02/18/45 | | | EUR | 9,000 | | | | 13,332 | |
|
Israel Government Bond | |
| | | |
3.75% | | | 03/31/47 | | | ILS | 94,000 | | | | 38,209 | |
|
Italy Buoni Poliennali Del Tesoro | |
| | | |
0.60% (1) | | | 08/01/31 | | | EUR | 165,000 | | | | 181,585 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| FOREIGN GOVERNMENT BONDS (Continued) | |
| | | |
1.50% (1) | | | 04/30/45 | | | EUR | 95,000 | | | $ | 104,569 | |
| | | |
2.10% (1) | | | 07/15/26 | | | EUR | 235,000 | | | | 293,514 | |
|
Japan Government Five-Year Bond | |
| | | |
0.10% | | | 09/20/25 | | | JPY | 63,800,000 | | | | 563,779 | |
|
Japan Government Ten-Year Bond | |
| | | |
0.10% | | | 06/20/31 | | | JPY | 20,700,000 | | | | 181,850 | |
|
Japan Government Thirty-Year Bond | |
| | | |
0.40% | | | 03/20/50 | | | JPY | 49,950,000 | | | | 408,959 | |
| | | |
2.00% | | | 03/20/42 | | | JPY | 37,750,000 | | | | 428,865 | |
|
Japan Government Twenty-Year Bond | |
| | | |
0.50% | | | 09/20/36 | | | JPY | 28,500,000 | | | | 257,434 | |
|
Korea Treasury Bond | |
| | | |
1.88% | | | 06/10/26 | | | KRW | 297,570,000 | | | | 248,294 | |
| | | |
2.00% | | | 06/10/31 | | | KRW | 151,110,000 | | | | 123,165 | |
|
Malaysia Government Bond | |
| | | |
4.64% | | | 11/07/33 | | | MYR | 1,049,000 | | | | 268,140 | |
|
Mexican Bonos | |
| | | |
6.75% | | | 03/09/23 | | | MXN | 3,544,000 | | | | 173,293 | |
|
Mexico Government International Bond | |
| | | |
1.45% | | | 10/25/33 | | | EUR | 100,000 | | | | 107,528 | |
|
New Zealand Government Bond | |
| | | |
0.50% | | | 05/15/24 | | | NZD | 795,000 | | | | 547,254 | |
| | | |
1.75% | | | 05/15/41 | | | NZD | 180,000 | | | | 106,773 | |
| | | |
2.00% | | | 05/15/32 | | | NZD | 160,000 | | | | 107,951 | |
| | | |
2.75% (1) | | | 04/15/37 | | | NZD | 107,000 | | | | 75,935 | |
|
Norway Government Bond | |
| | | |
1.50% (1) | | | 02/19/26 | | | NOK | 6,025,000 | | | | 710,496 | |
| | | |
3.00% (1) | | | 03/14/24 | | | NOK | 1,345,000 | | | | 165,073 | |
|
Panama Government International Bond | |
| | | |
3.75% (1) | | | 04/17/26 | | | $ | 18,000 | | | | 19,155 | |
|
Philippine Government International Bond | |
| | | |
1.75% | | | 04/28/41 | | | EUR | 100,000 | | | | 113,257 | |
|
Portugal Obrigacoes do Tesouro OT | |
| | | |
1.00% (1) | | | 04/12/52 | | | EUR | 115,000 | | | | 123,490 | |
| | | |
2.13% (1) | | | 10/17/28 | | | EUR | 64,000 | | | | 84,315 | |
| | | |
2.25% (1) | | | 04/18/34 | | | EUR | 135,000 | | | | 185,354 | |
| | | |
4.95% (1) | | | 10/25/23 | | | EUR | 168,000 | | | | 215,728 | |
|
Province of Ontario Canada | |
| | | |
1.85% | | | 02/01/27 | | | CAD | 155,000 | | | | 125,378 | |
| | | |
2.05% | | | 06/02/30 | | | CAD | 70,000 | | | | 55,744 | |
| | | |
2.60% | | | 06/02/25 | | | CAD | 45,000 | | | | 37,603 | |
| | | |
2.65% | | | 02/05/25 | | | CAD | 75,000 | | | | 62,699 | |
|
Romania Government Bond | |
| | | |
3.25% | | | 06/24/26 | | | RON | 1,100,000 | | | | 244,196 | |
|
Romanian Government International Bond | |
| | | |
2.00% (1) | | | 01/28/32 | | | EUR | 87,000 | | | | 96,265 | |
| | | |
3.62% (2) | | | 05/26/30 | | | EUR | 50,000 | | | | 63,851 | |
|
Russian Federal Bond — OFZ | |
| | | |
7.95% | | | 10/07/26 | | | RUB | 4,146,000 | | | | 57,848 | |
See accompanying Notes to Financial Statements.
48
TCW Global Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| FOREIGN GOVERNMENT BONDS (Continued) | |
|
Saudi Government International Bond | |
| | | |
2.00% (1) | | | 07/09/39 | | | EUR | 200,000 | | | $ | 242,950 | |
|
Serbia International Bond | |
| | | |
2.05% (2) | | | 09/23/36 | | | EUR | 100,000 | | | | 107,740 | |
|
Singapore Government Bond | |
| | | |
0.50% | | | 11/01/25 | | | SGD | 120,000 | | | | 86,523 | |
| | | |
1.63% | | | 07/01/31 | | | SGD | 155,000 | | | | 112,857 | |
| | | |
2.38% | | | 07/01/39 | | | SGD | 89,000 | | | | 68,309 | |
| | | |
2.88% | | | 09/01/30 | | | SGD | 325,000 | | | | 260,530 | |
South Africa Government Bond | |
| | | |
8.88% | | | 02/28/35 | | | ZAR | 3,051,000 | | | | 177,159 | |
Spain Government Bond | |
| | | |
0.35% | | | 07/30/23 | | | EUR | 295,000 | | | | 346,417 | |
| | | |
0.60% (1) | | | 10/31/29 | | | EUR | 212,000 | | | | 250,219 | |
| | | |
1.00% (1) | | | 10/31/50 | | | EUR | 37,000 | | | | 39,761 | |
| | | |
1.85% (1) | | | 07/30/35 | | | EUR | 190,000 | | | | 248,859 | |
United Kingdom Gilt | |
| | | |
0.13% (1) | | | 01/31/23 | | | GBP | 120,000 | | | | 163,598 | |
| | | |
0.38% (1) | | | 10/22/26 | | | GBP | 260,000 | | | | 348,228 | |
| | | |
1.25% (1) | | | 10/22/41 | | | GBP | 136,000 | | | | 188,780 | |
| | | |
1.63% (1) | | | 10/22/28 | | | GBP | 95,000 | | | | 137,008 | |
| | | |
1.75% (1) | | | 09/07/37 | | | GBP | 186,000 | | | | 276,353 | |
| | | |
2.75% (1) | | | 09/07/24 | | | GBP | 110,000 | | | | 159,547 | |
| | | | | | | | | | | | |
|
Total Foreign Government Bonds | |
| |
(Cost: $16,706,938) | | | | 16,375,747 | |
| | | | | | | | | | | | |
| |
| ASSET-BACKED SECURITIES — 4.8% | | | | |
|
BlueMountain CLO, Ltd. (13-1A-A1R2) | |
| | | |
1.36% (3 mo. USD LIBOR + 1.230%) (2),(3) | | | 01/20/29 | | | $ | 18,798 | | | | 18,805 | |
|
CoreVest American Finance Trust (20-1-A2) | |
| | | |
2.30% (2) | | | 03/15/50 | | | | 30,000 | | | | 30,216 | |
|
Dryden Senior Loan Fund | |
| | | |
1.77% (3 mo. USD LIBOR + 1.650%) (2),(3) | | | 05/15/32 | | | | 185,000 | | | | 185,163 | |
|
Eaton Vance CLO, Ltd. (13-1A-A13R) | |
| | | |
1.37% (3 mo. USD LIBOR + 1.250%) (2),(3) | | | 01/15/34 | | | | 150,000 | | | | 150,502 | |
|
Educational Funding of the South, Inc. (11-1-A2) | |
| | | |
0.77% (3 mo. USD LIBOR + 0.650%) (3) | | | 04/25/35 | | | | 11,145 | | | | 11,140 | |
|
Gilbert Park CLO, Ltd. (17-1A-A) | |
| | | |
1.31% (3 mo. USD LIBOR + 1.190%) (2),(3) | | | 10/15/30 | | | | 100,000 | | | | 100,095 | |
|
GoldenTree Loan Opportunities IX, Ltd. (14-9A-AR2) | |
| | | |
1.24% (3 mo. USD LIBOR + 1.110%) (2),(3) | | | 10/29/29 | | | | 100,000 | | | | 100,011 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| |
| ASSET-BACKED SECURITIES (Continued) | | | | |
|
LCM XIII LP (13A-ARR) | |
| | | |
1.26% (3 mo. USD LIBOR + 1.140%) (2),(3) | | | 07/19/27 | | | $ | 42,299 | | | $ | 42,327 | |
|
Madison Park Funding XLVIII, Ltd. (21-48A-A) | |
| | | |
1.27% (3 mo. USD LIBOR + 1.150%) (2),(3) | | | 04/19/33 | | | | 150,000 | | | | 150,232 | |
|
Madison Park Funding XVII, Ltd. (15-17A-AR2) | |
| | | |
1.13% (3 mo. USD LIBOR + 1.000%) (2),(3) | | | 07/21/30 | | | | 150,000 | | | | 150,075 | |
|
OCP CLO 2020-19, Ltd. (20-19A-AR) | |
| | | |
1.28% (3 mo. USD LIBOR + 1.150%) (2),(3) | | | 10/20/34 | | | | 100,000 | | | | 100,047 | |
|
Palmer Square CLO, Ltd. (19-1A-A1) | |
| | | |
1.18% (3 mo. USD LIBOR + 1.05%) (2),(3) | | | 04/20/27 | | | | 10,594 | | | | 10,604 | |
|
Rockford Tower CLO, Ltd. (21-1A-B) | |
| | | |
1.78% (3 mo. USD LIBOR + 1.650%) (2),(3) | | | 07/20/34 | | | | 180,000 | | | | 180,244 | |
|
Sixth Street CLO XVII, Ltd. (21-17A-A) | |
| | | |
1.37% (3 mo. USD LIBOR + 1.240%) (2),(3) | | | 01/20/34 | | | | 150,000 | | | | 150,561 | |
|
SLC Student Loan Trust (06-1-A6) | |
| | | |
0.28% (3 mo. USD LIBOR + 0.160%) (3) | | | 03/15/55 | | | | 100,000 | | | | 97,742 | |
|
SLM Student Loan Trust (08-5-B) | |
| | | |
1.97% (3 mo. USD LIBOR + 1.850%) (3) | | | 07/25/73 | | | | 50,000 | | | | 49,945 | |
|
SLM Student Loan Trust (08-8-B) | |
| | | |
2.37% (3 mo. USD LIBOR + 2.250%) (3) | | | 10/25/75 | | | | 57,000 | | | | 57,465 | |
|
SLM Student Loan Trust (08-9-B) | |
| | | |
2.37% (3 mo. USD LIBOR + 2.250%) (3) | | | 10/25/83 | | | | 57,000 | | | | 57,682 | |
|
Student Loan Consolidation Center (02-2-B2) | |
| | | |
1.65% (28-Day Auction Rate) (2),(3) | | | 07/01/42 | | | | 50,000 | | | | 46,120 | |
| | | | | | | | | | | | |
|
Total Asset-backed Securities | |
| |
(Cost: $1,674,441) | | | | 1,688,976 | |
| | | | | | | | | | | | |
| |
COMMERCIAL MORTGAGE-BACKED
SECURITIES — AGENCY — 1.5% | | | | |
| |
Fannie Mae (16-M2-X3) (I/O) | | | | | |
| | | |
2.10% (6) | | | 04/25/36 | | | | 310,818 | | | | 3,175 | |
|
Fannie Mae (16-M4-X2) (I/O) | |
| | | |
2.65% (6) | | | 01/25/39 | | | | 890,049 | | | | 35,664 | |
|
Fannie Mae, Pool #BL6060 | |
| | | |
2.46% | | | 04/01/40 | | | | 145,000 | | | | 150,141 | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (K028-X1) (I/O) | | | | | |
| | | |
0.23% (6) | | | 02/25/23 | | | | 3,352,945 | | | | 8,212 | |
See accompanying Notes to Financial Statements.
49
TCW Global Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| |
COMMERCIAL MORTGAGE-BACKED
SECURITIES — AGENCY (Continued) | | | | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (KF59-A) | | | | | |
| | | |
0.62% (1 mo. USD LIBOR + 0.540%) (3) | | | 02/25/29 | | | $ | 62,163 | | | $ | 62,672 | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (KF73-AL) | | | | | |
| | | |
0.68% (1 mo. USD LIBOR + 0.600%) (3) | | | 11/25/29 | | | | 177,348 | | | | 179,034 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K022-X3) (I/O) | | | | | |
| | | |
1.81% (6) | | | 08/25/40 | | | | 800,000 | | | | 10,788 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K025-X3) (I/O) | | | | | |
| | | |
1.75% (6) | | | 11/25/40 | | | | 2,850,000 | | | | 46,288 | |
|
Ginnie Mae (11-147-IO) (I/O) | |
| | | |
0.00% (6) | | | 10/16/44 | | | | 977,797 | | | | 10 | |
|
Ginnie Mae (12-144-IO) (I/O) | |
| | | |
0.35% (6) | | | 01/16/53 | | | | 1,814,159 | | | | 22,667 | |
| | | | | | | | | | | | |
| | |
Total Commercial Mortgage-Backed Securities — Agency | | | | | | | | | |
| | |
(Cost: $566,677) | | | | | | | | 518,651 | |
| | | | | | | | | | | | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY — 4.2% | |
| |
Bank of America-First Union NB Commercial Mortgage (01-3-XC) (I/O) | | | | | |
| | | |
1.30% (2),(6),(7) | | | 04/11/37 | | | | 1,059,353 | | | | 10,778 | |
|
BCMSC Trust (00-A-A4) | |
| | | |
8.29% (6) | | | 06/15/30 | | | | 189,525 | | | | 46,073 | |
|
COMM Mortgage Trust (13-CR7-XA) (I/O) | |
| | | |
1.18% (6) | | | 03/10/46 | | | | 670,739 | | | | 8,513 | |
|
COMM Mortgage Trust (12-CR4-XA) (I/O) | |
| | | |
1.69% (6) | | | 10/15/45 | | | | 827,235 | | | | 9,295 | |
|
CPT Mortgage Trust (19-CPT-A) | |
| | | |
2.87% (2) | | | 11/13/39 | | | | 35,000 | | | | 36,774 | |
|
DC Office Trust (19-MTC-A) | |
| | | |
2.97% (2) | | | 09/15/45 | | | | 35,000 | | | | 36,968 | |
|
GS Mortgage Securities Corp. II (17-375H-A) | |
| | | |
3.48% (2),(6) | | | 09/10/37 | | | | 75,000 | | | | 80,889 | |
|
GS Mortgage Securities Trust (10-C1-X) (I/O) | |
| | | |
0.73% (2),(6) | | | 08/10/43 | | | | 1,920,262 | | | | 23,261 | |
|
GS Mortgage Securities Trust (11-GC3-X) (I/O) | |
| | | |
0.00% (2),(6) | | | 03/10/44 | | | | 219,371 | | | | 2 | |
|
GS Mortgage Securities Trust (13-GC12-XA) (I/O) | |
| | | |
1.40% (6) | | | 06/10/46 | | | | 4,735,366 | | | | 73,943 | |
|
GS Mortgage Securities Trust (14-GC20-XA) (I/O) | |
| | | |
0.99% (6) | | | 04/10/47 | | | | 1,095,381 | | | | 21,476 | |
|
Hudson Yards Mortgage Trust (19-55HY-A) | |
| | | |
2.94% (2),(6) | | | 12/10/41 | | | | 35,000 | | | | 37,100 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
JPMorgan Chase Commercial Mortgage Securities Trust (11-C3-XB) (I/O) | | | | | |
| | | |
0.39% (2),(6) | | | 02/15/46 | | | $ | 6,353,416 | | | $ | 61,157 | |
| |
JPMorgan Chase Commercial Mortgage Securities Trust (14-C19-XA) (I/O) | | | | | |
| | | |
0.66% (6) | | | 04/15/47 | | | | 2,478,354 | | | | 34,931 | |
| |
Morgan Stanley Bank of America Merrill Lynch Trust (13-C7-XA) (I/O) | | | | | |
| | | |
1.32% (6) | | | 02/15/46 | | | | 1,986,260 | | | | 22,103 | |
Natixis Commercial Mortgage Securities Trust (19-FAME-A) | | | | | |
| | | |
3.05% (2) | | | 08/15/36 | | | | 130,000 | | | | 131,625 | |
Natixis Commercial Mortgage Securities Trust (19-NEMA-A) | | | | | |
| | | |
3.82% (2) | | | 02/15/39 | | | | 190,000 | | | | 211,805 | |
New York City Housing Development Corp. (14-8SPR A) | | | | | |
| | | |
3.71% | | | 02/15/48 | | | | 135,000 | | | | 143,087 | |
One Bryant Park Trust (19-OBP-A) | |
| | | |
2.52% (2) | | | 09/15/54 | | | | 40,000 | | | | 41,098 | |
One Market Plaza Trust (17-1MKT-A) | |
| | | |
3.61% (2) | | | 02/10/32 | | | | 150,000 | | | | 150,906 | |
Taurus CMBS (21-UK1A-A) | |
| | | |
0.90% (2) | | | 05/17/31 | | | | 100,000 | | | | 137,567 | |
Taurus CMBS (21-UK4A-B) | |
| | | |
0.00% (SONIA3M IR + 1.500%)(2),(3) | | | 08/17/31 | | | | 100,000 | | | | 137,663 | |
WFRBS Commercial Mortgage Trust
(12-C9-XA) (I/O) | | | | | |
| | | |
1.86% (2),(6) | | | 11/15/45 | | | | 2,469,382 | | | | 26,929 | |
| | | | | | | | | | | | |
| | |
Total Commercial Mortgage-Backed Securities — Non-Agency | | | | | | | | | |
| | | |
(Cost: $1,366,515) | | | | | | | | | | | 1,483,943 | |
| | | | | | | | | | | | |
|
RESIDENTIAL MORTGAGE-BACKED
SECURITIES — AGENCY — 14.1% | |
|
Fannie Mae, Pool #MA4152 | |
| | | |
2.00% | | | 10/01/40 | | | | 83,105 | | | | 84,741 | |
|
Fannie Mae (07-52-LS) (I/O) (I/F) | |
| | | |
5.96% (-1 mo. USD LIBOR + 6.050%)(3) | | | 06/25/37 | | | | 47,749 | | | | 5,098 | |
|
Fannie Mae (08-18-SM) (I/O) (I/F) | |
| | | |
6.91% (-1 mo. USD LIBOR + 7.000%) (3) | | | 03/25/38 | | | | 47,274 | | | | 6,868 | |
|
Fannie Mae (09-115-SB) (I/O) (I/F) | |
| | | |
6.16% (-1 mo. USD LIBOR + 6.250%) (3) | | | 01/25/40 | | | | 31,934 | | | | 5,388 | |
|
Fannie Mae (10-116-SE) (I/O) (I/F) | |
| | | |
6.51% (-1 mo. USD LIBOR + 6.600%) (3) | | | 10/25/40 | | | | 58,362 | | | | 10,919 | |
See accompanying Notes to Financial Statements.
50
TCW Global Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED
SECURITIES — AGENCY (Continued) | |
|
Fannie Mae, Pool #AB3679 | |
| | | |
3.50% | | | 10/01/41 | | | $ | 57,287 | | | $ | 62,220 | |
|
Fannie Mae, Pool #AB4045 | |
| | | |
3.50% | | | 12/01/41 | | | | 83,948 | | | | 91,884 | |
|
Fannie Mae, Pool #AT5914 | |
| | | |
3.50% | | | 06/01/43 | | | | 28,267 | | | | 30,544 | |
|
Fannie Mae, Pool #BD7081 | |
| | | |
4.00% | | | 03/01/47 | | | | 22,928 | | | | 24,865 | |
|
Fannie Mae, Pool #CA0996 | |
| | | |
3.50% | | | 01/01/48 | | | | 65,231 | | | | 69,981 | |
|
Fannie Mae, Pool #CA2208 | |
| | | |
4.50% | | | 08/01/48 | | | | 2,482 | | | | 2,690 | |
|
Fannie Mae, Pool #FM2870 | |
| | | |
3.00% | | | 03/01/50 | | | | 164,915 | | | | 174,099 | |
|
Fannie Mae, Pool #MA1527 | |
| | | |
3.00% | | | 08/01/33 | | | | 15,759 | | | | 16,652 | |
|
Fannie Mae, Pool #MA1652 | |
| | | |
3.50% | | | 11/01/33 | | | | 25,554 | | | | 27,411 | |
|
Fannie Mae, Pool #MA2705 | |
| | | |
3.00% | | | 08/01/46 | | | | 79,750 | | | | 84,060 | |
|
Fannie Mae, Pool #MA4204 | |
| | | |
2.00% | | | 12/01/40 | | | | 68,611 | | | | 69,926 | |
|
Freddie Mac, Pool #SD0231 | |
| | | |
3.00% | | | 01/01/50 | | | | 122,518 | | | | 129,379 | |
|
Freddie Mac (3439-SC) (I/O) (I/F) | |
| | | |
5.81% (-1 mo. USD LIBOR + 5.900%) (3) | | | 04/15/38 | | | | 48,458 | | | | 7,228 | |
|
Freddie Mac, Pool #G08681 | |
| | | |
3.50% | | | 12/01/45 | | | | 23,352 | | | | 25,071 | |
|
Freddie Mac, Pool #G08698 | |
| | | |
3.50% | | | 03/01/46 | | | | 21,932 | | | | 23,489 | |
|
Freddie Mac, Pool #G08716 | |
| | | |
3.50% | | | 08/01/46 | | | | 22,891 | | | | 24,474 | |
|
Freddie Mac, Pool #G08721 | |
| | | |
3.00% | | | 09/01/46 | | | | 4,326 | | | | 4,561 | |
|
Freddie Mac, Pool #G08722 | |
| | | |
3.50% | | | 09/01/46 | | | | 2,326 | | | | 2,487 | |
|
Freddie Mac, Pool #G08732 | |
| | | |
3.00% | | | 11/01/46 | | | | 6,074 | | | | 6,404 | |
|
Freddie Mac, Pool #G08762 | |
| | | |
4.00% | | | 05/01/47 | | | | 20,998 | | | | 22,679 | |
|
Freddie Mac, Pool #G08833 | |
| | | |
5.00% | | | 07/01/48 | | | | 3,565 | | | | 3,916 | |
|
Freddie Mac, Pool #G18592 | |
| | | |
3.00% | | | 03/01/31 | | | | 4,037 | | | | 4,248 | |
|
Freddie Mac, Pool #ZT1703 | |
| | | |
4.00% | | | 01/01/49 | | | | 55,562 | | | | 60,573 | |
|
Ginnie Mae (11-146-EI) (I/O) (PAC) | |
| | | |
5.00% | | | 11/16/41 | | | | 45,709 | | | | 8,166 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED
SECURITIES — AGENCY (Continued) | |
|
Ginnie Mae, Pool #MA3662 | |
| | | |
3.00% | | | 05/20/46 | | | $ | 39,706 | | | $ | 41,623 | |
|
Ginnie Mae II, Pool #MA3597 | |
| | | |
3.50% | | | 04/20/46 | | | | 14,766 | | | | 15,655 | |
|
Ginnie Mae II, Pool #MA3663 | |
| | | |
3.50% | | | 05/20/46 | | | | 2,152 | | | | 2,278 | |
|
Ginnie Mae II, Pool #MA3803 | |
| | | |
3.50% | | | 07/20/46 | | | | 10,058 | | | | 10,644 | |
|
Ginnie Mae II, Pool #MA4454 | |
| | | |
5.00% | | | 05/20/47 | | | | 10,728 | | | | 11,787 | |
|
Ginnie Mae II, Pool #MA4900 | |
| | | |
3.50% | | | 12/20/47 | | | | 47,304 | | | | 49,870 | |
Ginnie Mae II, Pool #MA5399 | |
| | | |
4.50% | | | 08/20/48 | | | | 21,339 | | | | 22,877 | |
Ginnie Mae II TBA, 30-Year | |
| | | |
2.00% (8) | | | 04/30/51 | | | | 150,000 | | | | 151,584 | |
| | | |
2.50% (8) | | | 01/30/51 | | | | 250,000 | | | | 256,530 | |
Uniform Mortgage-Backed Securities TBA, 15-Year | | | | | |
| | | |
2.00% (8) | | | 03/30/36 | | | | 200,000 | | | | 204,928 | |
Uniform Mortgage-Backed Securities TBA, 30-Year | | | | | |
| | | |
1.50% (8) | | | 07/30/36 | | | | 125,000 | | | | 125,550 | |
| | | |
2.00% (8) | | | 06/30/51 | | | | 400,000 | | | | 399,292 | |
| | | |
2.00% (8) | | | 06/30/51 | | | | 600,000 | | | | 597,689 | |
| | | |
2.50% (8) | | | 06/30/51 | | | | 500,000 | | | | 511,437 | |
| | | |
2.50% (8) | | | 06/30/51 | | | | 1,225,000 | | | | 1,255,621 | |
| | | |
3.00% (8) | | | 04/30/49 | | | | 175,000 | | | | 182,371 | |
| | | | | | | | | | | | |
| | |
Total Residential Mortgage-Backed Securities — Agency | | | | | | | | | |
| |
(Cost: $4,787,549) | | | | 4,929,757 | |
| | | | | | | | | | | | |
| |
RESIDENTIAL MORTGAGE-BACKED
SECURITIES — NON-AGENCY — 4.9% | | | | |
|
Banc of America Funding Trust (05-C-A3) | |
| | | |
0.39% (1 mo. USD LIBOR + 0.300%) (3) | | | 05/20/35 | | | | 19,692 | | | | 19,803 | |
|
Bear Stearns ALT-A Trust (04-8-M2) | |
| | | |
1.81% (1 mo. USD LIBOR + 1.725%) (3) | | | 09/25/34 | | | | 102,093 | | | | 101,393 | |
|
Bear Stearns ALT-A Trust (05-8-11A1) | |
| | | |
0.63% (1 mo. USD LIBOR + 0.540%) (3) | | | 10/25/35 | | | | 30,611 | | | | 29,647 | |
| |
Carrington Mortgage Loan Trust (06-RFC1-A4) | | | | | |
| | | |
0.57% (1 mo. USD LIBOR + 0.480%) (3) | | | 03/25/36 | | | | 30,641 | | | | 30,625 | |
|
DSLA Mortgage Loan Trust (04-AR1-A1A) | |
| | | |
0.92% (1 mo. USD LIBOR + 0.840%) (3) | | | 09/19/44 | | | | 75,226 | | | | 73,935 | |
| |
First Horizon Mortgage Pass-Through Trust (05-AR4-2A1) | | | | | |
| | | |
2.81% (6),(9) | | | 10/25/35 | | | | 23,974 | | | | 24,250 | |
See accompanying Notes to Financial Statements.
51
TCW Global Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| |
RESIDENTIAL MORTGAGE-BACKED
SECURITIES — NON-AGENCY (Continued) | | | | |
|
Homestar Mortgage Acceptance Corp. (04-6-M4) | |
| | | |
1.89% (1 mo. USD LIBOR + 1.800%) (3) | | | 01/25/35 | | | $ | 88,127 | | | $ | 88,422 | |
|
HSI Asset Securitization Corp. (06-WMC1-A3) | |
| | | |
0.39% (1 mo. USD LIBOR + 0.300%) (3) | | | 07/25/36 | | | | 301,345 | | | | 177,875 | |
|
IndyMac INDX Mortgage Loan Trust (05-AR15-A2) | |
| | | |
2.89% (6) | | | 09/25/35 | | | | 52,669 | | | | 46,867 | |
|
JPMorgan Mortgage Acquisition Trust (06-CH2-AF3) | |
| | | |
5.46% | | | 09/25/29 | | | | 205,587 | | | | 158,459 | |
|
JPMorgan Mortgage Trust (05-A6-7A1) | |
| | | |
2.95% (6),(9) | | | 08/25/35 | | | | 14,540 | | | | 13,704 | |
|
Lehman XS Trust (06-9-A1B) | |
| | | |
0.41% (1 mo. USD LIBOR + 0.320%) (3),(10) | | | 05/25/46 | | | | 1 | | | | — | |
|
Long Beach Mortgage Loan Trust (06-WL1-2A4) | |
| | | |
0.77% (1 mo. USD LIBOR + 0.680%) (3) | | | 01/25/46 | | | | 14,153 | | | | 14,177 | |
| |
Merrill Lynch Alternative Note Asset Trust (07-A1-A2B) | | | | | |
| | | |
0.39% (1 mo. USD LIBOR + 0.150%) (3) | | | 01/25/37 | | | | 306,302 | | | | 130,387 | |
| |
Merrill Lynch Alternative Note Asset Trust (07-A3-A2D) | | | | | |
| | | |
0.42% (1 mo. USD LIBOR + 0.330%) (3),(10) | | | 04/25/37 | | | | 1,251,739 | | | | 65,382 | |
|
Mid-State Trust (04-1-A) | |
| | | |
6.01% | | | 08/15/37 | | | | 55,761 | | | | 58,479 | |
| |
Morgan Stanley ABS Capital I, Inc. Trust (05-HE2-M2) | | | | | |
| | | |
0.75% (1 mo. USD LIBOR + 0.660%) (3) | | | 01/25/35 | | | | 133,819 | | | | 132,890 | |
| |
Morgan Stanley ABS Capital I, Inc. Trust (06-HE4-A4) | | | | | |
| | | |
0.57% (1 mo. USD LIBOR + 0.480%) (3) | | | 06/25/36 | | | | 266,632 | | | | 179,878 | |
|
MortgageIT Trust (05-1-1A1) | |
| | | |
0.73% (1 mo. USD LIBOR + 0.640%) (3) | | | 02/25/35 | | | | 19,588 | | | | 19,723 | |
|
Nationstar Home Equity Loan Trust (07-B-2AV4) | |
| | | |
0.41% (1 mo. USD LIBOR + 0.320%) (3) | | | 04/25/37 | | | | 38,932 | | | | 38,440 | |
| |
Ownit Mortgage Loan Asset-Backed Certificates (06-3-A2D) | | | | | |
| | | |
0.63% (1 mo. USD LIBOR + 0.540%) (3) | | | 03/25/37 | | | | 91,020 | | | | 90,119 | |
| |
Structured Adjustable Rate Mortgage Loan Trust (04-18-4A1) | | | | | |
| | | |
2.43% (6),(9) | | | 12/25/34 | | | | 23,574 | | | | 23,786 | |
| |
Structured Asset Mortgage Investments II Trust (05-AR6-2A1) | | | | | |
| | | |
0.71% (1 mo. USD LIBOR + 0.620%) (3) | | | 09/25/45 | | | | 28,564 | | | | 27,606 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| |
RESIDENTIAL MORTGAGE-BACKED
SECURITIES — NON-AGENCY (Continued) | | | | |
| |
Structured Asset Mortgage Investments, Inc. (06-AR3-22A1) | | | | | |
| | | |
2.52% (6) | | | 05/25/36 | | | $ | 141,866 | | | $ | 93,111 | |
| |
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust (05-AR2-2A1B) | | | | | |
| | | |
0.83% (1 mo. USD LIBOR + 0.740%) (3) | | | 01/25/45 | | | | 94,869 | | | | 95,155 | |
| | | | | | | | | | | | |
| |
Total Residential Mortgage-Backed Securities — Non-Agency | | | | | |
| |
(Cost: $1,861,394) | | | | 1,734,113 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 3.4% | |
| | | |
U.S. Treasury Bond | | | | | | | | | | | | |
| | | |
2.00% | | | 08/15/51 | | | | 230,000 | | | | 233,371 | |
|
U.S. Treasury Inflation Indexed Bond (TIPS) | |
| | | |
0.13% | | | 02/15/51 | | | | 84,055 | | | | 95,700 | |
| | | |
U.S. Treasury Note | | | | | | | | | | | | |
| | | |
0.25% | | | 09/30/23 | | | | 155,000 | | | | 154,395 | |
| | | |
0.75% | | | 08/31/26 | | | | 3,000 | | | | 2,940 | |
| | | |
0.88% | | | 09/30/26 | | | | 425,000 | | | | 419,233 | |
| | | |
1.13% | | | 10/31/26 | | | | 80,000 | | | | 79,748 | |
| | | |
1.25% | | | 08/15/31 | | | | 200,000 | | | | 194,359 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities | | | | | |
| |
(Cost: $1,177,509) | | | | 1,179,746 | |
| | | | | | | | | | | | |
| |
Total Fixed Income Securities | | | | | |
| |
(Cost: $36,984,869) | | | | 36,864,074 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
| | | | | | Shares | | | | |
|
MONEY MARKET INVESTMENTS — 1.8% | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (11) | | | | 630,716 | | | | 630,716 | |
| | | | | | | | | | | | |
| |
Total Money Market Investments | | | | | |
| | | |
(Cost: $630,716) | | | | | | | | | | | 630,716 | |
| | | | | | | | | | | | |
|
INVESTMENT COMPANIES — 3.3% | |
| |
TCW Emerging Markets Income Fund — I | | | | | |
| | |
Class (12) | | | | 144,390 | | | | 1,142,121 | |
| | | | | | | | | | | | |
| | |
Total Investment Companies | | | | | | | | | |
| | | |
(Cost: $1,181,286) | | | | | | | | | | | 1,142,121 | |
| | | | | | | | | | | | |
| | |
Total Investments (110.2%) | | | | | | | | | |
| | | |
(Cost: $38,796,871) | | | | | | | | | | | 38,636,911 | |
| |
Liabilities In Excess Of Other Assets (-10.2%) | | | | (3,562,683 | ) |
| | | | | | | | | | | | |
| | | |
Net Assets (100.0%) | | | | | | | | | | $ | 35,074,228 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
52
TCW Global Bond Fund
October 31, 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 (13) | | | | | | | | | | | | | | | |
State Street Bank & Trust Co. | | | AUD | | | | 1,058,000 | | | | 01/21/22 | | | $ | 785,501 | | | $ | 794,854 | | | $ | 9,353 | |
State Street Bank & Trust Co. | | | CAD | | | | 309,000 | | | | 01/21/22 | | | | 248,892 | | | | 249,320 | | | | 428 | |
State Street Bank & Trust Co. | | | CZK | | | | 2,441,427 | | | | 01/21/22 | | | | 111,230 | | | | 109,736 | | | | (1,494 | ) |
State Street Bank & Trust Co. | | | EUR | | | | 2,947,656 | | | | 01/21/22 | | | | 3,424,602 | | | | 3,418,245 | | | | (6,357 | ) |
State Street Bank & Trust Co. | | | GBP | | | | 105,000 | | | | 01/21/22 | | | | 143,952 | | | | 143,967 | | | | 15 | |
Goldman Sachs & Co. | | | IDR | | | | 1,000,860,000 | | | | 01/21/22 | | | | 70,147 | | | | 70,103 | | | | (44 | ) |
Goldman Sachs & Co. | | | ILS | | | | 54,326 | | | | 01/21/22 | | | | 16,888 | | | | 17,223 | | | | 335 | |
State Street Bank & Trust Co. | | | JPY | | | | 290,133,000 | | | | 01/21/22 | | | | 2,552,346 | | | | 2,547,116 | | | | (5,230 | ) |
Goldman Sachs & Co. | | | KRW | | | | 273,111,388 | | | | 01/21/22 | | | | 231,523 | | | | 233,347 | | | | 1,824 | |
State Street Bank & Trust Co. | | | NOK | | | | 300,000 | | | | 01/21/22 | | | | 35,893 | | | | 35,436 | | | | (457 | ) |
State Street Bank & Trust Co. | | | PLN | | | | 263,746 | | | | 01/21/22 | | | | 66,847 | | | | 66,033 | | | | (814 | ) |
State Street Bank & Trust Co. | | | SEK | | | | 1,390,000 | | | | 01/21/22 | | | | 161,157 | | | | 162,051 | | | | 894 | |
Citibank N.A. | | | THB | | | | 1,160,000 | | | | 01/21/22 | | | | 34,747 | | | | 34,943 | | | | 196 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 7,883,725 | | | $ | 7,882,374 | | | $ | (1,351 | ) |
| | | | | | | | | | | | | |
| SELL (14) | | | | | | | | | | | | | | | |
State Street Bank & Trust Co. | | | AUD | | | | 430,000 | | | | 01/21/22 | | | $ | 320,844 | | | $ | 323,051 | | | $ | (2,207 | ) |
Goldman Sachs & Co. | | | BRL | | | | 2,200,000 | | | | 12/13/21 | | | | 384,302 | | | | 387,062 | | | | (2,760 | ) |
Citibank N.A. | | | BRL | | | | 485,000 | | | | 12/13/21 | | | | 89,997 | | | | 85,329 | | | | 4,668 | |
State Street Bank & Trust Co. | | | CAD | | | | 345,000 | | | | 01/21/22 | | | | 279,598 | | | | 278,368 | | | | 1,230 | |
Goldman Sachs & Co. | | | CLP | | | | 267,592,429 | | | | 01/21/22 | | | | 318,039 | | | | 326,735 | | | | (8,696 | ) |
State Street Bank & Trust Co. | | | CNY | | | | 4,638,994 | | | | 01/21/22 | | | | 715,674 | | | | 720,028 | | | | (4,354 | ) |
Goldman Sachs & Co. | | | COP | | | | 341,281,512 | | | | 01/21/22 | | | | 89,949 | | | | 89,414 | | | | 535 | |
State Street Bank & Trust Co. | | | EUR | | | | 535,000 | | | | 01/21/22 | | | | 621,536 | | | | 620,410 | | | | 1,126 | |
Goldman Sachs & Co. | | | GBP | | | | 50,000 | | | | 01/21/22 | | | | 68,230 | | | | 68,556 | | | | (326 | ) |
State Street Bank & Trust Co. | | | GBP | | | | 292,000 | | | | 01/21/22 | | | | 398,186 | | | | 400,364 | | | | (2,178 | ) |
State Street Bank & Trust Co. | | | HUF | | | | 9,160,195 | | | | 01/21/22 | | | | 29,481 | | | | 29,360 | | | | 121 | |
State Street Bank & Trust Co. | | | JPY | | | | 4,000,000 | | | | 01/21/22 | | | | 35,348 | | | | 35,117 | | | | 231 | |
Citibank N.A. | | | KRW | | | | 147,317,139 | | | | 01/21/22 | | | | 123,629 | | | | 125,868 | | | | (2,239 | ) |
State Street Bank & Trust Co. | | | MXN | | | | 1,188,986 | | | | 01/21/22 | | | | 57,026 | | | | 57,148 | | | | (122 | ) |
Goldman Sachs & Co. | | | MYR | | | | 501,415 | | | | 01/21/22 | | | | 120,434 | | | | 120,685 | | | | (251 | ) |
State Street Bank & Trust Co. | | | NOK | | | | 7,898,000 | | | | 01/21/22 | | | | 938,424 | | | | 932,901 | | | | 5,523 | |
State Street Bank & Trust Co. | | | NZD | | | | 1,043,000 | | | | 01/21/22 | | | | 745,199 | | | | 745,393 | | | | (194 | ) |
Goldman Sachs & Co. | | | RON | | | | 1,037,961 | | | | 01/21/22 | | | | 242,690 | | | | 241,235 | | | | 1,455 | |
State Street Bank & Trust Co. | | | SGD | | | | 449,000 | | | | 01/21/22 | | | | 333,931 | | | | 332,845 | | | | 1,086 | |
Goldman Sachs & Co. | | | ZAR | | | | 2,785,750 | | | | 01/21/22 | | | | 189,171 | | | | 181,410 | | | | 7,761 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 6,101,688 | | | $ | 6,101,279 | | | $ | 409 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Futures Contracts | |
| | | | | |
Number of
Contracts | | Type | | Expiration
Date | | | Notional | | | Market
Value | | | Net Unrealized
Appreciation
(Depreciation) | |
Long Futures | |
| 6 | | 2-Year U.S. Treasury Note Futures | | | 12/31/21 | | | $ | 1,315,606 | | | $ | 1,315,500 | | | $ | (106 | ) |
| 23 | | 5-Year U.S. Treasury Note Futures | | | 12/31/21 | | | | 2,832,843 | | | | 2,800,250 | | | | (32,593 | ) |
| 10 | | 90 Day Sterling Future | | | 12/21/22 | | | | 1,690,498 | | | | 1,689,363 | | | | (1,135 | ) |
| 10 | | Bank Acceptance Future | | | 12/19/22 | | | | 1,985,818 | | | | 1,977,331 | | | | (8,487 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 7,824,765 | | | $ | 7,782,444 | | | $ | (42,321 | ) |
| | | | | | | | | | | | | | | | | | |
Short Futures | |
| 6 | | 10-Year U.S. Ultra Treasury Note Futures | | | 12/21/21 | | | $ | (887,126 | ) | | $ | (870,188 | ) | | $ | 16,938 | |
| 1 | | U.S. Ultra Long Bond Futures | | | 12/21/21 | | | | (199,842 | ) | | | (196,406 | ) | | | 3,436 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | (1,086,968 | ) | | $ | (1,066,594 | ) | | $ | 20,374 | |
| | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
53
TCW Global Bond Fund
Schedule of Investments (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. |
| GBP | | British Pound Sterling. |
| (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 October 31, 2021, the value of these securities amounted to $5,849,514 or 16.7% 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 October 31, 2021, the value of these securities amounted to $5,579,421 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. |
| (3) | | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 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) | | 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) | | Restricted security (Note 11). |
| (8) | | 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. |
| (9) | | 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. |
| (10) | | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
| (11) | | Rate disclosed is the 7-day net yield as of October 31, 2021. |
| (13) | | Fund buys foreign currency, sells U.S. Dollar. |
| (14) | | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying Notes to Financial Statements.
54
TCW Global Bond Fund
October 31, 2021
The summary of the TCW Global Bond Fund transactions in the affiliated fund for the year ended October 31, 2021 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Name of
Affiliated
Fund | | Value at
October 31,
2020 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Number
of Shares
Held
October 31,
2021 | | | Value at
October 31,
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 | | | $ | 571,265 | | | $ | 83,000 | | | | 144,390 | | | $ | 1,142,121 | | | $ | 38,094 | | | $ | — | | | $ | (3,337 | ) | | $ | (34,416 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | $ | 1,142,121 | | | $ | 38,094 | | | $ | — | | | $ | (3,337 | ) | | $ | (34,416 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
55
TCW Global Bond Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Foreign Government Bonds | | | 46.7 | % |
Corporate Bonds | | | 24.9 | |
Residential Mortgage-Backed Securities — Agency | | | 14.1 | |
Residential Mortgage-Backed Securities — Non-Agency | | | 4.9 | |
Asset-Backed Securities | | | 4.8 | |
Commercial Mortgage-Backed Securities — Non-Agency | | | 4.2 | |
U.S. Treasury Securities | | | 3.4 | |
Investment Companies | | | 3.3 | |
Money Market Investments | | | 1.8 | |
Commercial Mortgage-Backed Securities — Agency | | | 1.5 | |
Municipal Bonds | | | 0.6 | |
Other* | | | (10.2 | ) |
| | | | |
Total | | | 100.0 | % |
| | | | |
| * | Includes capstock, futures, pending trades, interest receivable and accrued expenses payable. |
See accompanying Notes to Financial Statements.
56
TCW Global Bond Fund
Investments by Country | October 31, 2021 |
| | | | |
| Country | | Percentage of
Net Assets | |
Australia | | | 0.9 | % |
Bermuda | | | 0.4 | |
Brazil | | | 1.4 | |
Canada | | | 3.2 | |
Cayman Islands | | | 4.7 | |
Chile | | | 0.9 | |
China | | | 9.8 | |
Colombia | | | 0.7 | |
Czech Republic | | | 0.4 | |
France | | | 0.9 | |
Great Britain | | | 6.0 | |
Hungary | | | 0.8 | |
Indonesia | | | 1.1 | |
Ireland | | | 1.7 | |
Israel | | | 0.4 | |
Italy | | | 1.7 | |
Japan | | | 5.2 | |
Jersey | | | 0.3 | |
Luxembourg | | | 0.4 | |
Malaysia | | | 0.8 | |
Mexico | | | 1.6 | |
Netherlands | | | 0.4 | |
New Zealand | | | 2.4 | |
Norway | | | 2.5 | |
Panama | | | 0.1 | |
Philippines | | | 0.3 | |
Portugal | | | 1.7 | |
Romania | | | 1.2 | |
Russia | | | 0.2 | |
Saudi Arabia | | | 1.3 | |
Serbia | | | 0.3 | |
Singapore | | | 1.5 | |
South Africa | | | 0.5 | |
South Korea | | | 1.1 | |
Spain | | | 2.5 | |
Supranational | | | 0.2 | |
Switzerland | | | 0.5 | |
United States | | | 50.2 | |
| | | | |
Total | | | 110.2 | % |
| | | | |
See accompanying Notes to Financial Statements.
57
TCW Global Bond Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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* | | $ | — | | | $ | 8,742,452 | | | $ | — | | | $ | 8,742,452 | |
Municipal Bonds | | | — | | | | 210,689 | | | | — | | | | 210,689 | |
Foreign Government Bonds | | | — | | | | 16,375,747 | | | | — | | | | 16,375,747 | |
Asset-Backed Securities | | | — | | | | 1,688,976 | | | | — | | | | 1,688,976 | |
Commercial Mortgage-Backed Securities — Agency | | | — | | | | 518,651 | | | | — | | | | 518,651 | |
Commercial Mortgage-Backed Securities — Non-Agency | | | — | | | | 1,483,943 | | | | — | | | | 1,483,943 | |
Residential Mortgage-Backed Securities — Agency | | | — | | | | 4,929,757 | | | | — | | | | 4,929,757 | |
Residential Mortgage-Backed Securities — Non-Agency | | | — | | | | 1,668,731 | | | | 65,382 | | | | 1,734,113 | |
U.S. Treasury Securities | | | 1,084,046 | | | | 95,700 | | | | — | | | | 1,179,746 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income Securities | | | 1,084,046 | | | | 35,714,646 | | | | 65,382 | | | | 36,864,074 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 630,716 | | | | — | | | | — | | | | 630,716 | |
Investment Companies | | | 1,142,121 | | | | — | | | | — | | | | 1,142,121 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 2,856,883 | | | $ | 35,714,646 | | | $ | 65,382 | | | $ | 38,636,911 | |
| | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | | | | | | | | | | | | |
Forward Currency Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | | — | | | | 36,781 | | | | — | | | | 36,781 | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | 20,374 | | | | — | | | | — | | | | 20,374 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 2,877,257 | | | $ | 35,751,427 | | | $ | 65,382 | | | $ | 38,694,066 | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Forward Currency Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | $ | — | | | $ | (37,723 | ) | | $ | — | | | $ | (37,723 | ) |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | (42,321 | ) | | | — | | | | — | | | | (42,321 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (42,321 | ) | | $ | (37,723 | ) | | $ | — | | | $ | (80,044 | ) |
| | | | | | | | | | | | | | | | |
| * | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
58
TCW High Yield Bond Fund
Schedule of Investments | October 31, 2021 |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
FIXED INCOME SECURITIES — 95.2% of Net Assets | |
|
BANK LOANS — 16.5% | |
|
| Aerospace/Defense — 0.1% | |
|
TransDigm, Inc. 2020 Term Loan E | |
| | | |
2.34% (1 mo. USD LIBOR + 2.250%) (1) | | | 05/30/25 | | | $ | 113,259 | | | $ | 112,040 | |
| | | | | | | | | | | | |
|
| Airlines — 0.1% | |
|
AAdvantage Loyalty IP Ltd. 2021 Term Loan | |
| | | |
5.50% (3 mo. USD LIBOR + 4.750%) (1) | | | 04/20/28 | | | | 70,000 | | | | 72,997 | |
| | | | | | | | | | | | |
|
| Beverages — 0.3% | |
|
Triton Water Holdings, Inc. Term Loan | |
| | | |
4.00% (3 mo. USD LIBOR + 3.500%) (1) | | | 03/31/28 | | | | 274,313 | | | | 274,251 | |
| | | | | | | | | | | | |
|
| Chemicals — 0.7% | |
| |
Axalta Coating Systems U.S. Holdings, Inc., Term Loan B3 | | | | | |
| | | |
1.88% (3 mo. USD LIBOR + 1.750%) (1) | | | 06/01/24 | | | | 51,984 | | | | 51,931 | |
| |
Zep, Inc. 2017 1st Lien Term Loan | | | | | |
| | | |
5.00% (3 mo. USD LIBOR + 4.000%) (1) | | | 08/12/24 | | | | 708,270 | | | | 696,937 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 748,868 | |
| | | | | | | | | | | | |
|
| Commercial Services — 0.6% | |
| |
Amentum Government Services Holdings LLC 2020 Term Loan B | | | | | |
| | | |
5.50% (3 mo. USD LIBOR + 4.750%) (1) | | | 01/29/27 | | | | 248,750 | | | | 249,606 | |
| |
Spin Holdco, Inc. 2021 Term Loan | | | | | |
| | | |
4.75% (3 mo. USD LIBOR + 4.000%) (1) | | | 03/04/28 | | | | 422,875 | | | | 424,653 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 674,259 | |
| | | | | | | | | | | | |
|
| Computers — 0.7% | |
|
Peraton Corp. Term Loan B | |
| | | |
4.50% (1 mo. USD LIBOR + 3.750%) (1) | | | 02/01/28 | | | | 631,825 | | | | 634,144 | |
|
TierPoint, LLC 2021 Term Loan | |
| | | |
4.50% (1 mo. USD LIBOR + 3.750%) (1) | | | 05/05/26 | | | | 194,136 | | | | 194,638 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 828,782 | |
| | | | | | | | | | | | |
|
| Electric — 0.1% | |
|
Vistra Operations Co. LLC 1st Lien Term Loan B3 | |
| | | |
1.84% (1 mo. USD LIBOR + 1.750%) (1) | | | 12/31/25 | | | | 67,120 | | | | 66,561 | |
| | | | | | | | | | | | |
|
| Entertainment — 1.4% | |
|
Churchill Downs, Inc., 2017 Term Loan B | |
| | | |
2.09% (1 mo. USD LIBOR + 2.000%) (1) | | | 12/27/24 | | | | 337,667 | | | | 336,991 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Entertainment (Continued) | |
|
Crown Finance US, Inc. 2018 USD Term Loan | |
| | | |
3.50% (6 mo. USD LIBOR + 2.500%) (1) | | | 02/28/25 | | | $ | 764,558 | | | $ | 634,105 | |
|
Crown Finance US, Inc. 2020 Term Loan B1 | |
| | | |
7.00% (3 mo. USD LIBOR + 7.000%) (1) | | | 05/23/24 | | | | 210,197 | | | | 255,179 | |
|
Golden Nugget, Inc. 2020 Initial Term Loan | |
| | | |
13.00% (3 mo. USD LIBOR + 12.000%) (1) | | | 10/04/23 | | | | 3,020 | | | | 3,292 | |
| |
Scientific Games International, Inc., 2018
Term Loan B5 | | | | | |
| | | |
2.84% (1 mo. USD LIBOR + 2.750%) (1) | | | 08/14/24 | | | | 309,927 | | | | 309,063 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,538,630 | |
| | | | | | | | | | | | |
|
| Environmental Control — 0.0% | |
|
GFL Environmental, Inc. 2020 Term Loan | |
| | | |
3.50% (1 mo. USD LIBOR + 3.000%) (1) | | | 05/30/25 | | | | 49,243 | | | | 49,397 | |
| | | | | | | | | | | | |
|
| Food — 0.5% | |
|
Dhanani Group, Inc., 2018 Term Loan B | |
| | | |
3.84% (1 mo. USD LIBOR + 3.750%) (1) | | | 07/20/25 | | | | 555,208 | | | | 549,192 | |
| | | | | | | | | | | | |
|
| Health Care-Products — 0.2% | |
|
Auris Luxembourg III Sarl, 2018 USD Term Loan B2 | |
| | | |
0.00% (2) | | | 02/27/26 | | | | 16,088 | | | | 15,900 | |
|
Avantor, Inc. 2021 Term Loan B5 | |
| | | |
2.75% (1 mo. USD LIBOR + 2.250%) (1) | | | 11/08/27 | | | | 248,750 | | | | 248,958 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 264,858 | |
| | | | | | | | | | | | |
|
| Health Care-Services — 2.0% | |
|
ADMI Corp. 2021 Term Loan B2 | |
| | | |
3.63% (1 mo. USD LIBOR + 3.125%) (1) | | | 12/23/27 | | | | 273,625 | | | | 271,979 | |
|
eResearchTechnology, Inc. 2020 1st Lien Term Loan | |
| | | |
5.50% (1 mo. USD LIBOR + 4.500%) (1) | | | 02/04/27 | | | | 129,020 | | | | 129,755 | |
|
ICON Luxembourg Sarl LUX Term Loan | |
| | | |
3.00% (3 mo. USD LIBOR + 2.500%) (1) | | | 07/03/28 | | | | 578,943 | | | | 579,667 | |
|
IQVIA, Inc., 2018 USD Term Loan B3 | |
| | | |
1.88% (3 mo. USD LIBOR + 1.750%) (1) | | | 06/11/25 | | | | 176,796 | | | | 176,749 | |
|
Parexel International Corp. 2021 1st Lien Term Loan | |
| | | |
0.00% (2) | | | 08/11/28 | | | | 595,000 | | | | 596,074 | |
|
PPD, Inc. Initial Term Loan | |
| | | |
2.50% (1 mo. USD LIBOR + 2.000%) (1) | | | 01/13/28 | | | | 388,050 | | | | 387,869 | |
U.S. Anesthesia Partners, Inc. 2021 Term Loan | | | | | |
| | | |
4.75% (6 mo. USD LIBOR + 4.250%) (1) | | | 10/01/28 | | | | 130,000 | | | | 130,090 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,272,183 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
59
TCW High Yield Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Insurance — 0.6% | |
|
Acrisure, LLC 2020 Term Loan B | |
| | | |
3.63% (3 mo. USD LIBOR + 3.500%) (1) | | | 02/15/27 | | | $ | 297,733 | | | $ | 294,309 | |
|
Worley Claims Services, LLC 2019 Term Loan B | |
| | | |
6.25% (3 mo. USD LIBOR + 3.000%) (1) | | | 06/03/26 | | | | 426,726 | | | | 424,592 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 718,901 | |
| | | | | | | | | | | | |
|
| Lodging — 0.3% | |
|
Golden Nugget, Inc. 2017 Incremental Term Loan B | |
| | | |
3.25% (2 mo. USD LIBOR + 2.500%) (1) | | | 10/04/23 | | | | 286,736 | | | | 285,674 | |
| | | | | | | | | | | | |
|
| Machinery-Diversified — 0.7% | |
|
ASP Blade Holdings, Inc. Initial Term Loan | |
| | | |
0.00% (2) | | | 10/13/28 | | | | 560,000 | | | | 561,633 | |
|
Titan Acquisition Ltd. 2018 Term Loan B | |
| | | |
3.17% (3 mo. USD LIBOR + 3.000%) (1) | | | 03/28/25 | | | | 198,602 | | | | 195,537 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 757,170 | |
| | | | | | | | | | | | |
|
| Media — 1.6% | |
|
CSC Holdings, LLC 2017 Term Loan B1 | |
| | | |
2.34% (1 mo. USD LIBOR + 2.250%) (1) | | | 07/17/25 | | | | 571,506 | | | | 559,630 | |
|
DirecTV Financing, LLC Term Loan | |
| | | |
5.75% (3 mo. USD LIBOR + 5.000%) (1) | | | 07/22/27 | | | | 900,000 | | | | 901,687 | |
|
Nexstar Broadcasting, Inc. 2018 Term Loan B3 | |
| | | |
2.34% (1 mo. USD LIBOR + 2.250%) (1) | | | 01/17/24 | | | | 277,999 | | | | 277,748 | |
|
Sinclair Television Group, Inc., Term Loan B2B | |
| | | |
2.59% (1 mo. USD LIBOR + 2.500%) (1) | | | 09/30/26 | | | | 19,600 | | | | 19,334 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,758,399 | |
| | | | | | | | | | | | |
|
| Packaging & Containers — 1.6% | |
|
BWAY Holding Co. 2017 Term Loan B | |
| | | |
3.34% (1 mo. USD LIBOR + 3.250%) (1) | | | 04/03/24 | | | | 347,277 | | | | 338,704 | |
|
Charter NEX US, Inc. 2021 Term Loan | |
| | | |
4.50% (1 mo. USD LIBOR + 3.750%) (1) | | | 12/01/27 | | | | 377,150 | | | | 378,593 | |
|
Plaze, Inc. 2020 Incremental Term Loan | |
| | | |
4.50% (1 mo. USD LIBOR + 3.750%) (1) | | | 08/03/26 | | | | 212,854 | | | | 212,854 | |
|
Proampac PG Borrower LLC 2020 Term Loan | |
| | | |
4.50% (3 mo. USD LIBOR + 3.750%) (1) | | | 11/03/25 | | | | 378,100 | | | | 378,903 | |
|
Trident TPI Holdings, Inc. 2017 USD Term Loan B1 | |
| | | |
4.00% (3 mo. USD LIBOR + 3.000%) (1) | | | 10/17/24 | | | | 494,859 | | | | 494,911 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,803,965 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Pharmaceuticals — 1.0% | |
|
Change Healthcare Holdings LLC 2017 Term Loan B | |
| | | |
3.50% (1 mo. USD LIBOR + 2.500%) (1) | | | 03/01/24 | | | $ | 671,965 | | | $ | 672,079 | |
|
Elanco Animal Health, Inc. Term Loan B | |
| | | |
1.83% (1 mo. USD LIBOR + 1.750%) (1) | | | 08/01/27 | | | | 277,213 | | | | 275,159 | |
| |
Endo Luxembourg Finance Company I Sarl 2021 Term Loan | | | | | |
| | | |
5.75% (3 mo. USD LIBOR + 5.000%) (1) | | | 03/27/28 | | | | 37,354 | | | | 36,524 | |
|
ICON Luxembourg Sarl US Term Loan | |
| | | |
3.00% (3 mo. USD LIBOR + 2.500%) (1) | | | 07/03/28 | | | | 144,244 | | | | 144,424 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,128,186 | |
| | | | | | | | | | | | |
|
| Retail — 0.1% | |
|
1011778 B.C. Unlimited Liability Co., Term Loan B4 | |
| | | |
1.84% (1 mo. USD LIBOR + 1.750%) (1) | | | 11/19/26 | | | | 79,218 | | | | 77,832 | |
| | | | | | | | | | | | |
|
| Software — 0.6% | |
| |
CT Technologies Intermediate Holdings, Inc. 2021 Term Loan B | | | | | |
| | | |
5.00% (1 mo. USD LIBOR + 4.250%) (1) | | | 12/16/25 | | | | 144,275 | | | | 144,931 | |
|
RealPage, Inc. 1st Lien Term Loan | |
| | | |
3.75% (1 mo. USD LIBOR + 3.250%) (1) | | | 04/24/28 | | | | 175,000 | | | | 174,841 | |
|
SS&C European Holdings Sarl., 2018 Term Loan B4 | |
| | | |
1.84% (1 mo. USD LIBOR + 1.750%) (1) | | | 04/16/25 | | | | 164,217 | | | | 162,755 | |
|
SS&C Technologies, Inc., 2018 Term Loan B3 | |
| | | |
1.84% (1 mo. USD LIBOR + 1.750%) (1) | | | 04/16/25 | | | | 216,115 | | | | 214,190 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 696,717 | |
| | | | | | | | | | | | |
|
| Telecommunications — 3.3% | |
|
CenturyLink, Inc. 2020 Term Loan B | |
| | | |
2.34% (1 mo. USD LIBOR + 2.250%) (1) | | | 03/15/27 | | | | 68,775 | | | | 68,030 | |
|
Frontier Communications Corp. 2021 DIP Term Loan B | |
| | | |
4.50% (3 mo. USD LIBOR + 3.750%) (1) | | | 05/01/28 | | | | 547,250 | | | | 547,797 | |
|
GTT Communications, Inc., 2018 USD Term Loan B | |
| | | |
2.88% (3 mo. USD LIBOR + 2.750%) (1) | | | 05/31/25 | | | | 49,797 | | | | 42,502 | |
|
Intelsat Jackson Holdings S.A. 2017 Term Loan B3 | |
| | | |
8.00% (1 mo. USD LIBOR + 4.750%) (1) | | | 11/27/23 | | | | 1,100,000 | | | | 1,112,260 | |
|
Intelsat Jackson Holdings S.A. 2021 DIP Term Loan | |
| | | |
5.75% (3 mo. USD LIBOR + 4.750%) (1) | | | 10/13/22 | | | | 1,220,000 | | | | 1,232,658 | |
See accompanying Notes to Financial Statements.
60
TCW High Yield Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Telecommunications (Continued) | |
|
Intelsat Jackson Holdings S.A., 2017 Term Loan B5 | |
| | | |
8.63% (1 mo. USD LIBOR + 8.625%) (1) | | | 01/02/24 | | | $ | 14,000 | | | $ | 14,207 | |
|
Level 3 Financing, Inc., 2019 Term Loan B | |
| | | |
1.84% (1 mo. USD LIBOR + 1.750%) (1) | | | 03/01/27 | | | | 138,304 | | | | 136,650 | |
|
Maxar Technologies Ltd., Term Loan B | |
| | | |
2.84% (1 mo. USD LIBOR + 2.750%) (1) | | | 10/04/24 | | | | 216,250 | | | | 215,169 | |
|
SBA Senior Finance II LLC, 2018 Term Loan B | |
| | | |
1.84% (1 mo. USD LIBOR + 1.750%) (1) | | | 04/11/25 | | | | 263,478 | | | | 261,694 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,630,967 | |
| | | | | | | | | | | | |
|
Total Bank Loans | |
| | | |
(Cost: $18,064,301) | | | | | | | | | | | 18,309,829 | |
| | | | | | | | | | | | |
|
CORPORATE BONDS — 78.7% | |
|
| Aerospace/Defense — 0.5% | |
|
BWX Technologies, Inc. | |
| | | |
4.13% (3) | | | 06/30/28 | | | | 560,000 | | | | 569,419 | |
| | | | | | | | | | | | |
|
| Agriculture — 0.4% | |
|
BAT Capital Corp. | |
| | | |
5.28% | | | 04/02/50 | | | | 401,000 | | | | 463,112 | |
| | | | | | | | | | | | |
|
| Airlines — 0.9% | |
|
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. | |
| | | |
5.75% (3) | | | 04/20/29 | | | | 375,000 | | | | 403,359 | |
| |
Delta Air Lines, Inc. / SkyMiles IP, Ltd. | | | | | |
| | | |
4.75% (3) | | | 10/20/28 | | | | 275,000 | | | | 305,512 | |
| |
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets, Ltd. | | | | | |
| | | |
6.50% (3) | | | 06/20/27 | | | | 283,000 | | | | 308,153 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,017,024 | |
| | | | | | | | | | | | |
|
| Auto Manufacturers — 2.7% | |
| |
Ford Motor Credit Co. LLC | | | | | |
| | | |
1.40% (3 mo. USD LIBOR + 1.270%) (1) | | | 03/28/22 | | | | 1,600,000 | | | | 1,601,237 | |
| | | |
2.90% | | | 02/16/28 | | | | 480,000 | | | | 476,582 | |
| | | |
2.98% | | | 08/03/22 | | | | 120,000 | | | | 121,081 | |
| | | |
3.10% | | | 05/04/23 | | | | 835,000 | | | | 849,613 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,048,513 | |
| | | | | | | | | | | | |
|
| Beverages — 0.3% | |
| |
Primo Water Holdings, Inc. | | | | | |
| | | |
4.38% (3) | | | 04/30/29 | | | | 300,000 | | | | 297,697 | |
| | | | | | | | | | | | |
|
| Biotechnology — 0.5% | |
| |
Grifols Escrow Issuer SA | | | | | |
| | | |
4.75% (3) | | | 10/15/28 | | | | 505,000 | | | | 513,282 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Chemicals — 3.1% | |
| |
EverArc Escrow Sarl | | | | | |
| | | |
5.00% (3) | | | 10/30/29 | | | $ | 850,000 | | | $ | 851,063 | |
|
Herens Holdco Sarl | |
| | | |
4.75% (3) | | | 05/15/28 | | | | 575,000 | | | | 571,222 | |
| |
SCIL IV LLC / SCIL USA Holdings LLC | | | | | |
| | | |
5.38% (3) | | | 11/01/26 | | | | 215,000 | | | | 217,567 | |
|
Unifrax Escrow Issuer Corp. | |
| | | |
5.25% (3) | | | 09/30/28 | | | | 1,750,000 | | | | 1,753,080 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,392,932 | |
| | | | | | | | | | | | |
|
| Commercial Services — 2.6% | |
| |
Adtalem Global Education, Inc. | | | | | |
| | | |
5.50% (3) | | | 03/01/28 | | | | 380,000 | | | | 385,008 | |
| |
Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl | | | | | |
| | | |
4.63% (3) | | | 06/01/28 | | | | 250,000 | | | | 248,293 | |
| |
Carriage Services, Inc. | | | | | |
| | | |
4.25% (3) | | | 05/15/29 | | | | 277,000 | | | | 277,809 | |
| |
Gartner, Inc. | | | | | |
| | | |
3.75% (3) | | | 10/01/30 | | | | 80,000 | | | | 81,800 | |
| | | |
4.50% (3) | | | 07/01/28 | | | | 296,000 | | | | 308,565 | |
| |
HealthEquity, Inc. | | | | | |
| | | |
4.50% (3) | | | 10/01/29 | | | | 375,000 | | | | 379,931 | |
| |
IHS Markit, Ltd. | | | | | |
| | | |
4.75% (3) | | | 02/15/25 | | | | 80,000 | | | | 88,020 | |
| | | |
5.00% (3) | | | 11/01/22 | | | | 176,000 | | | | 181,940 | |
| |
Prime Security Services Borrower LLC / Prime Finance, Inc. | | | | | |
| | | |
3.38% (3) | | | 08/31/27 | | | | 557,000 | | | | 534,358 | |
|
WW International, Inc. | |
| | | |
4.50% (3) | | | 04/15/29 | | | | 365,000 | | | | 350,517 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,836,241 | |
| | | | | | | | | | | | |
|
| Computers — 1.0% | |
|
Booz Allen Hamilton, Inc. | |
| | | |
3.88% (3) | | | 09/01/28 | | | | 545,000 | | | | 553,502 | |
| |
NCR Corp. | | | | | |
| | | |
5.25% (3) | | | 10/01/30 | | | | 226,000 | | | | 233,126 | |
|
Science Applications International Corp. | |
| | | |
4.88% (3) | | | 04/01/28 | | | | 275,000 | | | | 284,042 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,070,670 | |
| | | | | | | | | | | | |
|
| Cosmetics/Personal Care — 0.2% | |
| |
Edgewell Personal Care Co. | | | | | |
| | | |
5.50% (3) | | | 06/01/28 | | | | 216,000 | | | | 226,182 | |
| | | | | | | | | | | | |
|
| Diversified Financial Services — 0.5% | |
| |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) | | | | | |
| | | |
3.50% | | | 01/15/25 | | | | 172,000 | | | | 180,917 | |
See accompanying Notes to Financial Statements.
61
TCW High Yield Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Diversified Financial Services (Continued) | |
| |
GE Capital International Funding Co. Unlimited Co. (Ireland) | | | | | |
| | | |
4.42% | | | 11/15/35 | | | $ | 127,000 | | | $ | 155,041 | |
| |
Park Aerospace Holdings, Ltd. | | | | | |
| | | |
4.50% (3) | | | 03/15/23 | | | | 251,000 | | | | 261,507 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 597,465 | |
| | | | | | | | | | | | |
|
| Electric — 1.8% | |
| | | |
FirstEnergy Corp. | | | | | | | | | | | | |
| | | |
2.65% | | | 03/01/30 | | | | 670,000 | | | | 660,935 | |
| | | |
3.40% | | | 03/01/50 | | | | 574,000 | | | | 570,843 | |
| | | |
5.35% | | | 07/15/47 | | | | 280,000 | | | | 338,520 | |
| | |
Jersey Central Power & Light Co. | | | | | | | | | |
| | | |
2.75% (3) | | | 03/01/32 | | | | 125,000 | | | | 127,814 | |
|
Vistra Operations Co. LLC | |
| | | |
3.55% (3) | | | 07/15/24 | | | | 309,000 | | | | 322,163 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,020,275 | |
| | | | | | | | | | | | |
|
| Electrical Components & Equipment — 0.4% | |
| | | |
Energizer Holdings, Inc. | | | | | | | | | | | | |
| | | |
4.75% (3) | | | 06/15/28 | | | | 392,000 | | | | 393,011 | |
| | | | | | | | | | | | |
|
| Engineering & Construction — 0.5% | |
| | | |
PowerTeam Services LLC | | | | | | | | | | | | |
| | | |
9.03% (3) | | | 12/04/25 | | | | 505,000 | | | | 545,425 | |
| | | | | | | | | | | | |
|
| Entertainment — 2.0% | |
| |
Banijay Entertainment SASU | | | | | |
| | | |
5.38% (3) | | | 03/01/25 | | | | 270,000 | | | | 278,289 | |
|
Caesars Entertainment, Inc. | |
| | | |
4.63% (3) | | | 10/15/29 | | | | 100,000 | | | | 100,724 | |
| | | |
6.25% (3) | | | 07/01/25 | | | | 535,000 | | | | 563,516 | |
|
Churchill Downs, Inc. | |
| | | |
4.75% (3) | | | 01/15/28 | | | | 135,000 | | | | 139,725 | |
| | | |
5.50% (3) | | | 04/01/27 | | | | 351,000 | | | | 364,829 | |
| | | |
Cinemark USA, Inc. | | | | | | | | | | | | |
| | | |
5.25% (3) | | | 07/15/28 | | | | 175,000 | | | | 170,625 | |
|
Everi Holdings, Inc. | |
| | | |
5.00% (3) | | | 07/15/29 | | | | 115,000 | | | | 117,731 | |
|
Live Nation Entertainment, Inc. | |
| | | |
3.75% (3) | | | 01/15/28 | | | | 275,000 | | | | 272,250 | |
| | | |
6.50% (3) | | | 05/15/27 | | | | 170,000 | | | | 186,363 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,194,052 | |
| | | | | | | | | | | | |
|
| Environmental Control — 1.6% | |
|
Clean Harbors, Inc. | |
| | | |
4.88% (3) | | | 07/15/27 | | | | 68,000 | | | | 70,890 | |
| | | |
5.13% (3) | | | 07/15/29 | | | | 700,000 | | | | 759,500 | |
|
GFL Environmental, Inc. (Canada) | |
| | | |
4.25% (3) | | | 06/01/25 | | | | 310,000 | | | | 320,027 | |
| | | |
4.38% (3) | | | 08/15/29 | | | | 450,000 | | | | 446,252 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Environmental Control (Continued) | |
| | | |
5.13% (3) | | | 12/15/26 | | | $ | 189,000 | | | $ | 198,240 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,794,909 | |
| | | | | | | | | | | | |
|
| Food — 7.6% | |
| |
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc. | | | | | |
| | | |
3.75% (3) | | | 12/01/31 | | | | 250,000 | | | | 256,178 | |
| | | |
5.50% (3) | | | 01/15/30 | | | | 795,000 | | | | 871,519 | |
| | | |
6.50% (3) | | | 04/15/29 | | | | 740,000 | | | | 823,035 | |
|
Kraft Heinz Foods Co. | |
| | | |
3.00% | | | 06/01/26 | | | | 1,611,000 | | | | 1,683,898 | |
| | | |
4.63% | | | 01/30/29 | | | | 444,000 | | | | 506,196 | |
| |
Lamb Weston Holdings, Inc. | | | | | |
| | | |
4.63% (3) | | | 11/01/24 | | | | 600,000 | | | | 615,390 | |
| |
Nathan’s Famous, Inc. | | | | | |
| | | |
6.63% (3) | | | 11/01/25 | | | | 15,000 | | | | 15,386 | |
| |
Pilgrim’s Pride Corp. | | | | | |
| | | |
3.50% (3) | | | 03/01/32 | | | | 2,050,000 | | | | 2,065,928 | |
| | | |
Post Holdings, Inc. | | | | | | | | | | | | |
| | | |
4.63% (3) | | | 04/15/30 | | | | 1,175,000 | | | | 1,182,344 | |
| |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed | | | | | |
| | | |
4.63% (3) | | | 03/01/29 | | | | 195,000 | | | | 197,170 | |
|
Smithfield Foods, Inc. | |
| | | |
5.20% (3) | | | 04/01/29 | | | | 217,000 | | | | 249,564 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,466,608 | |
| | | | | | | | | | | | |
|
| Forest Products & Paper — 0.3% | |
|
Clearwater Paper Corp. | |
| | | |
4.75% (3) | | | 08/15/28 | | | | 364,000 | | | | 370,687 | |
| | | | | | | | | | | | |
|
| Health Care-Products — 0.8% | |
| | | |
Hologic, Inc. | | | | | | | | | | | | |
| | | |
3.25% (3) | | | 02/15/29 | | | | 55,000 | | | | 54,622 | |
|
Mozart Debt Merger Sub, Inc. | |
| | | |
3.88% (3) | | | 04/01/29 | | | | 175,000 | | | | 174,200 | |
|
Teleflex, Inc. | |
| | | |
4.25% (3) | | | 06/01/28 | | | | 687,000 | | | | 706,734 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 935,556 | |
| | | | | | | | | | | | |
|
| Health Care-Services — 6.8% | |
|
Catalent Pharma Solutions, Inc. | |
| | | |
5.00% (3) | | | 07/15/27 | | | | 798,000 | | | | 824,933 | |
|
Centene Corp. | |
| | | |
2.45% | | | 07/15/28 | | | | 1,070,000 | | | | 1,067,892 | |
| | | |
3.00% | | | 10/15/30 | | | | 392,000 | | | | 398,934 | |
| | | |
4.63% | | | 12/15/29 | | | | 534,000 | | | | 576,720 | |
|
Encompass Health Corp. | |
| | | |
4.75% | | | 02/01/30 | | | | 266,000 | | | | 272,994 | |
|
HCA, Inc. | |
| | | |
7.69% | | | 06/15/25 | | | | 200,000 | | | | 239,500 | |
See accompanying Notes to Financial Statements.
62
TCW High Yield Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Health Care-Services (Continued) | |
|
IQVIA, Inc. | |
| | | |
5.00% (3) | | | 05/15/27 | | | $ | 265,000 | | | $ | 275,685 | |
|
ModivCare, Inc. | |
| | | |
5.88% (3) | | | 11/15/25 | | | | 347,000 | | | | 364,784 | |
|
Molina Healthcare, Inc. | |
| | | |
3.88% (3) | | | 11/15/30 | | | | 1,399,000 | | | | 1,448,091 | |
| | | |
4.38% (3) | | | 06/15/28 | | | | 350,000 | | | | 364,525 | |
| | | |
5.38% | | | 11/15/22 | | | | 552,000 | | | | 567,870 | |
|
Prime Healthcare Services, Inc. | |
| | | |
7.25% (3) | | | 11/01/25 | | | | 520,000 | | | | 556,400 | |
|
Tenet Healthcare Corp. | |
| | | |
4.88% (3) | | | 01/01/26 | | | | 640,000 | | | | 656,800 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,615,128 | |
| | | | | | | | | | | | |
|
| Household Products/Wares — 0.7% | |
|
Central Garden & Pet Co. | |
| | | |
4.13% | | | 10/15/30 | | | | 279,000 | | | | 281,528 | |
| |
Spectrum Brands, Inc. | | | | | |
| | | |
5.00% (3) | | | 10/01/29 | | | | 452,000 | | | | 483,640 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 765,168 | |
| | | | | | | | | | | | |
|
Housewares — 0.4% | |
|
Newell Brands, Inc. | |
| | | |
4.35% | | | 04/01/23 | | | | 85,000 | | | | 88,629 | |
| | | |
4.88% | | | 06/01/25 | | | | 355,000 | | | | 390,177 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 478,806 | |
| | | | | | | | | | | | |
|
| Insurance — 0.7% | |
|
Acrisure LLC / Acrisure Finance, Inc. | |
| | | |
4.25% (3) | | | 02/15/29 | | | | 450,000 | | | | 435,388 | |
|
AmWINS Group, Inc. | |
| | | |
4.88% (3) | | | 06/30/29 | | | | 325,000 | | | | 324,344 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 759,732 | |
| | | | | | | | | | | | |
|
| Internet — 0.5% | |
|
Cogent Communications Group, Inc. | |
| | | |
3.50% (3) | | | 05/01/26 | | | | 556,000 | | | | 563,962 | |
| | | | | | | | | | | | |
|
| Iron & Steel — 0.1% | |
|
Allegheny Technologies, Inc. | |
| | | |
5.13% | | | 10/01/31 | | | | 95,000 | | | | 94,553 | |
| | | | | | | | | | | | |
|
| Lodging — 0.2% | |
|
Wyndham Hotels & Resorts, Inc. | |
| | | |
4.38% (3) | | | 08/15/28 | | | | 212,000 | | | | 219,507 | |
| | | | | | | | | | | | |
|
| Media — 8.8% | |
|
Block Communications, Inc. | |
| | | |
4.88% (3) | | | 03/01/28 | | | | 355,000 | | | | 364,319 | |
|
Cable One, Inc. | |
| | | |
4.00% (3) | | | 11/15/30 | | | | 150,000 | | | | 147,375 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Media (Continued) | |
|
CCO Holdings LLC / CCO Holdings Capital Corp. | |
| | | |
4.50% | | | 05/01/32 | | | $ | 686,000 | | | $ | 692,531 | |
| | | |
5.50% (3) | | | 05/01/26 | | | | 1,276,000 | | | | 1,321,298 | |
|
CSC Holdings LLC | |
| | | |
3.38% (3) | | | 02/15/31 | | | | 547,000 | | | | 498,733 | |
| | | |
4.50% (3) | | | 11/15/31 | | | | 275,000 | | | | 267,135 | |
| | | |
6.50% (3) | | | 02/01/29 | | | | 989,000 | | | | 1,061,939 | |
| |
Diamond Sports Group LLC / Diamond Sports Finance Co. | | | | | |
| | | |
5.38% (3) | | | 08/15/26 | | | | 1,430,000 | | | | 810,438 | |
|
DISH DBS Corp. | |
| | | |
5.88% | | | 11/15/24 | | | | 31,000 | | | | 33,092 | |
| | | |
7.38% | | | 07/01/28 | | | | 607,000 | | | | 639,250 | |
| | | |
7.75% | | | 07/01/26 | | | | 30,000 | | | | 33,569 | |
|
Gray Escrow II, Inc. | |
| | | |
5.38% (3) | | | 11/15/31 | | | | 550,000 | | | | 556,682 | |
| |
Midcontinent Communications / Midcontinent Finance Corp. | | | | | |
| | | |
5.38% (3) | | | 08/15/27 | | | | 260,000 | | | | 270,075 | |
|
Sinclair Television Group, Inc. | |
| | | |
4.13% (3) | | | 12/01/30 | | | | 987,000 | | | | 941,406 | |
|
Sirius XM Radio, Inc. | |
| | | |
5.50% (3) | | | 07/01/29 | | | | 280,000 | | | | 302,364 | |
|
Virgin Media Secured Finance PLC (United Kingdom) | |
| | | |
4.50% (3) | | | 08/15/30 | | | | 1,421,000 | | | | 1,421,170 | |
| | | |
5.50% (3) | | | 05/15/29 | | | | 393,000 | | | | 415,169 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 9,776,545 | |
| | | | | | | | | | | | |
|
| Miscellaneous Manufacturers — 0.0% | |
|
General Electric Co. | |
| | | |
0.60% (3 mo. USD LIBOR + 0.480%) (1) | | | 08/15/36 | | | | 52,000 | | | | 47,011 | |
| | | | | | | | | | | | |
|
| Oil & Gas — 2.9% | |
|
Endeavor Energy Resources LP / EER Finance, Inc. | |
| | | |
5.75% (3) | | | 01/30/28 | | | | 459,000 | | | | 482,524 | |
|
Hess Corp. | |
| | | |
5.60% | | | 02/15/41 | | | | 92,000 | | | | 115,717 | |
|
Occidental Petroleum Corp. | |
| | | |
0.00% (4) | | | 10/10/36 | | | | 3,025,000 | | | | 1,708,202 | |
| | | |
4.40% | | | 08/15/49 | | | | 488,000 | | | | 488,190 | |
|
Petroleos Mexicanos | |
| | | |
7.69% | | | 01/23/50 | | | | 65,000 | | | | 62,208 | |
|
SM Energy Co. | |
| | | |
6.50% | | | 07/15/28 | | | | 330,000 | | | | 346,797 | |
|
Valaris, Ltd. | |
| | | |
8.25% | | | 04/30/28 | | | | 5,000 | | | | 5,213 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,208,851 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
63
TCW High Yield Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Oil & Gas Services — 1.5% | |
|
Archrock Partners LP / Archrock Partners Finance Corp. | |
| | | |
6.25% (3) | | | 04/01/28 | | | $ | 758,000 | | | $ | 788,320 | |
| |
USA Compression Partners LP / USA Compression Finance Corp. | | | | | |
| | | |
6.88% | | | 04/01/26 | | | | 348,000 | | | | 360,180 | |
| | | |
6.88% | | | 09/01/27 | | | | 534,000 | | | | 555,360 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,703,860 | |
| | | | | | | | | | | | |
|
| Packaging & Containers — 5.4% | |
| |
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. | | | | | |
| | | |
5.25% (3) | | | 08/15/27 | | | | 634,000 | | | | 634,000 | |
| |
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (Ireland) | | | | | |
| | | |
4.13% (3) | | | 08/15/26 | | | | 774,000 | | | | 790,447 | |
|
Ball Corp. | |
| | | |
3.13% | | | 09/15/31 | | | | 360,000 | | | | 350,647 | |
| | | |
4.00% | | | 11/15/23 | | | | 639,000 | | | | 674,145 | |
| | | |
4.88% | | | 03/15/26 | | | | 374,000 | | | | 410,465 | |
| | | |
5.25% | | | 07/01/25 | | | | 311,000 | | | | 347,101 | |
|
Graphic Packaging International LLC | |
| | | |
3.50% (3) | | | 03/15/28 | | | | 1,082,000 | | | | 1,091,316 | |
| | | |
4.75% (3) | | | 07/15/27 | | | | 85,000 | | | | 92,331 | |
|
Graphic Packaging International, Inc. | |
| | | |
4.13% | | | 08/15/24 | | | | 100,000 | | | | 105,808 | |
|
Intertape Polymer Group, Inc. | |
| | | |
4.38% (3) | | | 06/15/29 | | | | 450,000 | | | | 453,488 | |
|
Sealed Air Corp. | |
| | | |
4.00% (3) | | | 12/01/27 | | | | 582,000 | | | | 613,282 | |
| | | |
5.50% (3) | | | 09/15/25 | | | | 304,000 | | | | 336,184 | |
|
Silgan Holdings, Inc. | |
| | | |
4.13% | | | 02/01/28 | | | | 125,000 | | | | 127,188 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,026,402 | |
| | | | | | | | | | | | |
|
| Pharmaceuticals — 1.8% | |
|
180 Medical, Inc. | |
| | | |
3.88% (3) | | | 10/15/29 | | | | 725,000 | | | | 729,087 | |
|
Bausch Health Cos, Inc. (Canada) | |
| | | |
5.75% (3) | | | 08/15/27 | | | | 18,000 | | | | 18,868 | |
|
Elanco Animal Health, Inc. | |
| | | |
5.90% | | | 08/28/28 | | | | 339,000 | | | | 396,600 | |
|
Option Care Health, Inc. | |
| | | |
4.38% (3) | | | 10/31/29 | | | | 635,000 | | | | 641,598 | |
|
Owens & Minor, Inc. | |
| | | |
4.50% (3) | | | 03/31/29 | | | | 250,000 | | | | 251,930 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,038,083 | |
| | | | | | | | | | | | |
|
| Pipelines — 4.3% | |
|
DCP Midstream Operating LP | |
| | | |
5.60% | | | 04/01/44 | | | | 136,000 | | | | 163,434 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Pipelines (Continued) | |
|
Energy Transfer LP | |
| | | |
5.35% | | | 05/15/45 | | | $ | 126,000 | | | $ | 149,533 | |
| | | |
5.00% | | | 05/15/50 | | | | 135,000 | | | | 158,180 | |
| | | |
5.40% | | | 10/01/47 | | | | 40,000 | | | | 48,247 | |
| | | |
6.63% (3 mo. USD LIBOR + 4.155%) (1) | | | 12/31/99 | | | | 897,000 | | | | 872,332 | |
|
Global Partners LP / GLP Finance Corp. | |
| | | |
6.88% | | | 01/15/29 | | | | 260,000 | | | | 269,932 | |
|
NGL Energy Operating LLC / NGL Energy Finance Corp. | |
| | | |
7.50% (3) | | | 02/01/26 | | | | 725,000 | | | | 736,731 | |
|
Rockies Express Pipeline LLC | |
| | | |
4.80% (3) | | | 05/15/30 | | | | 30,000 | | | | 32,250 | |
| | | |
6.88% (3) | | | 04/15/40 | | | | 541,000 | | | | 611,330 | |
|
Ruby Pipeline LLC | |
| | | |
8.00% (3),(5)(6) | | | 04/01/22 | | | | 210,152 | | | | 198,068 | |
| |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | | | | | |
| | | |
5.50% | | | 03/01/30 | | | | 305,000 | | | | 336,160 | |
|
TransMontaigne Partners LP / TLP Finance Corp. | |
| | | |
6.13% | | | 02/15/26 | | | | 587,000 | | | | 598,740 | |
|
Venture Global Calcasieu Pass LLC | |
| | | |
4.13% (3) | | | 08/15/31 | | | | 575,000 | | | | 596,120 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,771,057 | |
| | | | | | | | | | | | |
|
| REIT — 2.4% | |
|
American Assets Trust LP | |
| | | |
3.38% | | | 02/01/31 | | | | 600,000 | | | | 619,764 | |
|
GLP Capital LP / GLP Financing II, Inc. | |
| | | |
5.75% | | | 06/01/28 | | | | 473,000 | | | | 549,825 | |
|
Iron Mountain, Inc. | |
| | | |
5.25% (3) | | | 07/15/30 | | | | 217,000 | | | | 226,874 | |
| |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. | | | | | |
| | | |
4.50% | | | 01/15/28 | | | | 40,000 | | | | 43,426 | |
| | | |
4.63% (3) | | | 06/15/25 | | | | 512,000 | | | | 551,501 | |
| | | |
5.63% | | | 05/01/24 | | | | 106,000 | | | | 115,126 | |
|
SL Green Operating Partnership LP | |
| | | |
3.25% | | | 10/15/22 | | | | 500,000 | | | | 510,730 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,617,246 | |
| | | | | | | | | | | | |
|
| Retail — 2.8% | |
|
1011778 BC ULC / New Red Finance, Inc. | |
| | | |
3.50% (3) | | | 02/15/29 | | | | 842,000 | | | | 817,102 | |
|
Bloomin’ Brands, Inc. / OSI Restaurant Partners LLC | |
| | | |
5.13% (3) | | | 04/15/29 | | | | 380,000 | | | | 376,322 | |
|
Michaels Cos, Inc. (The) | |
| | | |
5.25% (3) | | | 05/01/28 | | | | 1,310,000 | | | | 1,324,803 | |
| | | |
7.88% (3) | | | 05/01/29 | | | | 125,000 | | | | 126,436 | |
|
Sonic Automotive, Inc. | |
| | | |
4.88% (3) | | | 11/15/31 | | | | 425,000 | | | | 425,625 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,070,288 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
64
TCW High Yield Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Software — 0.7% | |
|
SS&C Technologies, Inc. | |
| | | |
5.50% (3) | | | 09/30/27 | | | $ | 787,000 | | | $ | 829,301 | |
| | | | | | | | | | | | |
|
| Telecommunications — 11.0% | |
|
Altice France SA | |
| | | |
5.50% (3) | | | 10/15/29 | | | | 700,000 | | | | 686,847 | |
| | | |
AT&T, Inc. | | | | | | | | | | | | |
| | | |
3.55% | | | 09/15/55 | | | | 768,000 | | | | 779,480 | |
| | | |
4.50% | | | 05/15/35 | | | | 305,000 | | | | 352,259 | |
|
CommScope, Inc. | |
| | | |
4.75% (3) | | | 09/01/29 | | | | 690,000 | | | | 678,753 | |
|
Level 3 Financing, Inc. | |
| | | |
3.63% (3) | | | 01/15/29 | | | | 225,000 | | | | 213,251 | |
| | | |
3.75% (3) | | | 07/15/29 | | | | 275,000 | | | | 260,219 | |
| | | |
4.25% (3) | | | 07/01/28 | | | | 1,452,000 | | | | 1,438,932 | |
|
Lumen Technologies, Inc. | |
| | | |
4.00% (3) | | | 02/15/27 | | | | 818,000 | | | | 821,975 | |
| | | |
5.38% (3) | | | 06/15/29 | | | | 400,000 | | | | 402,000 | |
|
Qwest Corp. | |
| | | |
6.75% | | | 12/01/21 | | | | 373,000 | | | | 374,630 | |
| | | |
7.25% | | | 09/15/25 | | | | 250,000 | | | | 298,500 | |
|
SES Global Americas Holdings GP | |
| | | |
5.30% (3) | | | 03/25/44 | | | | 559,000 | | | | 635,593 | |
|
Sprint Corp. | |
| | | |
7.88% | | | 09/15/23 | | | | 1,846,000 | | | | 2,049,060 | |
| |
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC | | | | | |
| | | |
5.15% (3) | | | 09/20/29 | | | | 907,000 | | | | 1,024,910 | |
| |
T-Mobile USA, Inc. | | | | | |
| | | |
2.25% | | | 02/15/26 | | | | 1,000,000 | | | | 1,006,490 | |
| | | |
2.25% (3) | | | 02/15/26 | | | | 600,000 | | | | 604,170 | |
| |
Zayo Group Holdings, Inc. | | | | | |
| | | |
4.00% (3) | | | 03/01/27 | | | | 680,000 | | | | 661,300 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,288,369 | |
| | | | | | | | | | | | |
|
Total Corporate Bonds | |
| | | |
(Cost: $86,102,610) | | | | | | | | | | | 87,626,929 | |
| | | | | | | | | | | | |
|
Total Fixed Income Securities | |
| | | |
(Cost: $104,166,911) | | | | | | | | | | | 105,936,758 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | | | |
Shares | | | Value | |
|
| COMMON STOCK —0.0% | |
|
| Electric — 0.0% | |
| | |
Homer City Holdings LLC — Series A (6),(7) | | | | 5,610 | | | $ | — | |
| | | | | | | | | | | | |
|
Oil & Gas — 0.0% | |
| | |
Valaris, Ltd. (7) | | | | 668 | | | | 23,527 | |
| | | | | | | | | | | | |
|
Total Common Stock | |
| | | |
(Cost: $340,348) | | | | | | | | | | | 23,527 | |
| | | | | | | | | | | | |
|
| MONEY MARKET INVESTMENTS — 2.7% | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class,0.03% (8) | | | | 2,989,488 | | | | 2,989,488 | |
|
Total Money Market Investments | |
| | | |
(Cost: $2,989,488) | | | | | | | | | | | 2,989,488 | |
| | | | | | | | | | | | |
| | |
WARRANTS — %
(Cost: $—) | | | | | | | |
|
| Entertainment — 0.0% | |
| | |
Cineworld Group PLC (7) | | | | 42,717 | | | | 18,582 | |
| | | | | | | | | | | | |
|
Total Warrants | |
| | | |
(Cost: $—) | | | | | | | | | | | 18,582 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
| | | Maturity
Date | | | Principal
Amount | | | | |
|
| Short Term Investments (1.9% ) | |
| |
U.S. Treasury Bill | | | | | |
| | | |
0.08% (9) | | | 03/03/22 | | | $ | 2,135,000 | | | | 2,134,602 | |
| | | | | | | | | | | | |
| | |
Total U.S. Treasury Securities | | | | | | | | | |
| | |
(Cost: $2,134,729) | | | | | | | | 2,134,602 | |
| | | | | | | | | | | | |
| |
Total Investments (99.8%) | | | | | |
| | | |
(Cost: $109,631,476) | | | | | | | | | | | 111,102,957 | |
| |
Excess Of Other Assets Over Liabilities (0.2%) | | | | 168,047 | |
| | | | | | | | | | | | |
| | | |
Net Assets (100.0%) | | | | | | | | | | $ | 111,271,004 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
65
TCW High Yield Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | | | | | | | |
| Futures Contracts | |
| | | | | |
Number of
Contracts | | Type | | Expiration
Date | | | Notional | | | Market
Value | | | Net Unrealized
Appreciation
(Depreciation) | |
Long Futures | | | | | | | | | | | | | | | | | | |
| 40 | | 5-Year U.S. Treasury Note Futures | | | 12/31/21 | | | $ | 4,887,292 | | | $ | 4,870,000 | | | $ | (17,292 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 4,887,292 | | | $ | 4,870,000 | | | $ | (17,292 | ) |
| | | | | | | | | | | | | | | | | | |
Short Futures | | | | | | | | | | | | | | | | | | |
| 17 | | 10-Year U.S. Ultra Treasury Note Futures | | | 12/21/21 | | | | (2,486,322 | ) | | $ | (2,465,531 | ) | | $ | 20,791 | |
| 3 | | U.S. Ultra Long Bond Futures | | | 12/21/21 | | | | (587,800 | ) | | | (589,219 | ) | | | (1,419 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | (3,074,122 | ) | | $ | (3,054,750 | ) | | $ | 19,372 | |
| | | | | | | | | | | | | | | | | | |
Notes to the Schedule of Investments:
| 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 October 31, 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 October 31, 2021, the value of these securities amounted to $59,245,035 or 53.2% 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) | | Security is not accruing interest. |
| (5) | | Restricted security (Note 11). |
| (6) | | For fair value measurement disclosure purposes, security is categorized as Level 3. Security is valued using significant unobservable inputs. |
| (7) | | Non-income producing security. |
| (8) | | Rate disclosed is the 7-day net yield as of October 31, 2021. |
| (9) | | Rate shown represents yield-to-maturity. |
See accompanying Notes to Financial Statements.
66
TCW High Yield Bond Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Corporate Bonds | | | 78.7 | % |
Bank Loans | | | 16.5 | |
Money Market Investments | | | 2.7 | |
U.S. Treasury Securities | | | 1.9 | |
Common Stock | | | 0.0 | ** |
Warrants | | | 0.0 | ** |
Other* | | | 0.2 | |
| | | | |
Total | | | 100.0 | % |
| | | | |
| * | Includes capstock, futures, pending trades, interest receivable and accrued expenses payable. |
| ** | Amount rounds to less than 0.1%. |
See accompanying Notes to Financial Statements.
67
TCW High Yield Bond Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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* | | $ | — | | | $ | 18,309,829 | | | $ | — | | | $ | 18,309,829 | |
Corporate Bonds* | | | — | | | | 87,428,861 | | | | 198,068 | | | | 87,626,929 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income Securities | | | — | | | | 105,738,690 | | | | 198,068 | | | | 105,936,758 | |
| | | | | | | | | | | | | | | | |
Equity Securities | | | | | | | | | | | | | | | | |
Common Stock* | | | 23,527 | | | | — | | | | — | | | | 23,527 | |
Warrants | | | — | | | | 18,582 | | | | — | | | | 18,582 | |
| | | | | | | | | | | | | | | | |
Total Equity Securities | | | 23,527 | | | | 18,582 | | | | — | | | | 42,109 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 2,989,488 | | | | — | | | | — | | | | 2,989,488 | |
Short-Term Investments | | | 2,134,602 | | | | — | | | | — | | | | 2,134,602 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 5,147,617 | | | $ | 105,757,272 | | | $ | 198,068 | | | $ | 111,102,957 | |
| | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | | | | | | | | | | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | 20,791 | | | | — | | | | — | | | | 20,791 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 5,168,408 | | | $ | 105,757,272 | | | $ | 198,068 | | | $ | 111,123,748 | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | $ | (18,711 | ) | | $ | — | | | $ | — | | | $ | (18,711 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (18,711 | ) | | $ | — | | | $ | — | | | $ | (18,711 | ) |
| | | | | | | | | | | | | | | | |
| * | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
68
TCW Short Term Bond Fund
Schedule of Investments | October 31, 2021 |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
FIXED INCOME SECURITIES — 67.9% of Net Assets | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
AGENCY — 3.4% | |
| |
Fannie Mae, Pool #AM4580 | | | | | |
| | | |
3.43% | | | 10/01/23 | | | $ | 39,941 | | | $ | 41,498 | |
| |
Fannie Mae (16-M11-AL) | | | | | |
| | | |
2.94% | | | 07/25/39 | | | | 41,185 | | | | 42,005 | |
| |
Federal Home Loan Mortgage Corp. (K024-X3) (I/O) | | | | | |
| | | |
1.66% (1) | | | 11/25/40 | | | | 2,500,000 | | | | 34,658 | |
| |
Federal Home Loan Mortgage Corp. (K030-X1) (I/O) | | | | | |
| | | |
0.15% (1) | | | 04/25/23 | | | | 19,095,354 | | | | 40,769 | |
| |
Federal Home Loan Mortgage Corp. (KF68-A) | | | | | |
| | | |
0.57% (1 mo. USD LIBOR + 0.490%) (2) | | | 07/25/26 | | | | 69,704 | | | | 70,069 | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (K722-X1) (I/O) | | | | | |
| | | |
1.31% (1) | | | 03/25/23 | | | | 853,921 | | | | 10,073 | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (KJ28-A1) | | | | | |
| | | |
1.77% | | | 02/25/25 | | | | 47,400 | | | | 48,056 | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (KJ34-A1) | | | | | |
| | | |
0.68% | | | 06/25/26 | | | | 27,890 | | | | 27,464 | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (KL05-X1HG) (I/O) | | | | | |
| | | |
1.22% (1) | | | 12/25/27 | | | | 500,000 | | | | 26,254 | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (KS05-X) (I/O) | | | | | |
| | | |
0.12% (1) | | | 01/25/23 | | | | 123,463 | | | | 604 | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (KS06-X) (I/O) | | | | | |
| | | |
1.06% (1) | | | 08/25/26 | | | | 567,600 | | | | 20,420 | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (K024-X1) (I/O) | | | | | |
| | | |
0.77% (1) | | | 09/25/22 | | | | 341,412 | | | | 1,842 | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (KJ24-A1) | | | | | |
| | | |
2.28% | | | 05/25/26 | | | | 36,166 | | | | 37,186 | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (KJ27-A1) | | | | | |
| | | |
2.09% | | | 07/25/24 | | | | 15,217 | | | | 15,458 | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates (KJ29-A1) | | | | | |
| | | |
0.74% | | | 01/25/26 | | | | 63,841 | | | | 63,305 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (KC01-X1) (I/O) | | | | | |
| | | |
0.42% (1) | | | 12/25/22 | | | | 3,090,847 | | | | 12,643 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K025-X3) (I/O) | | | | | |
| | | |
1.75% (1) | | | 11/25/40 | | | | 150,000 | | | | 2,436 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K031-X1) (I/O) | | | | | |
| | | |
0.19% (1) | | | 04/25/23 | | | | 826,757 | | | | 2,153 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (KJ26-A1) | | | | | |
| | | |
2.14% | | | 07/25/25 | | | $ | 44,463 | | | $ | 45,336 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (KS07-X) (I/O) | | | | | |
| | | |
0.64% (1) | | | 09/25/25 | | | | 245,575 | | | | 5,939 | |
| |
FRESB Mortgage Trust (15-SB3-A3) | | | | | |
| | | |
0.63% (1 mo. USD LIBOR + 0.550%) (2) | | | 01/25/43 | | | | 2,422 | | | | 2,422 | |
| |
Ginnie Mae (07-12-C) | | | | | |
| | | |
5.28% (1) | | | 04/16/41 | | | | 4,003 | | | | 4,027 | |
| |
Ginnie Mae (08-92-E) | | | | | |
| | | |
5.56% (1) | | | 03/16/44 | | | | 6,657 | | | | 6,736 | |
| |
Ginnie Mae (10-159-D) | | | | | |
| | | |
4.29% (1) | | | 09/16/44 | | | | 22,704 | | | | 23,231 | |
| |
Ginnie Mae (11-165-IO) (I/O) | | | | | |
| | | |
0.00% (1) | | | 10/16/51 | | | | 289,246 | | | | 71 | |
| |
United States Small Business Administration (02-20I-1) | | | | | |
| | | |
4.89% | | | 09/01/22 | | | | 2,306 | | | | 2,344 | |
| |
United States Small Business Administration (05-20B-1) | | | | | |
| | | |
4.63% | | | 02/01/25 | | | | 27,232 | | | | 28,300 | |
| | | | | | | | | | | | |
| | |
Total Commercial Mortgage-Backed Securities — Agency | | | | | | | | | |
| | |
(Cost: $676,106) | | | | | | | | 615,299 | |
| | | | | | | | | | | | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY — 10.1% | |
| |
Banc of America Commercial Mortgage Trust
(17-BNK3-A2) | | | | | |
| | | |
3.12% | | | 02/15/50 | | | | 58,500 | | | | 58,765 | |
| |
BBCMS Mortgage Trust (17-C1-A2) | | | | | |
| | | |
3.19% | | | 02/15/50 | | | | 14,511 | | | | 14,601 | |
| |
BBCMS Trust (15-SRCH-XB) (I/O) | | | | | |
| | | |
0.19% (1),(3) | | | 08/10/35 | | | | 2,000,000 | | | | 23,257 | |
| |
BX Commercial Mortgage Trust (20-BXLP-A) | | | | | |
| | | |
0.89% (1 mo. USD LIBOR + 0.800%) (2),(3) | | | 12/15/36 | | | | 12,804 | | | | 12,809 | |
| |
Citigroup Commercial Mortgage Trust
(13-GC11-XA) (I/O) | | | | | |
| | | |
1.36% (1) | | | 04/10/46 | | | | 1,151,295 | | | | 17,574 | |
| |
Citigroup Commercial Mortgage Trust
(14-GC23-XB) (I/O) | | | | | |
| | | |
0.21% (1) | | | 07/10/47 | | | | 3,784,000 | | | | 22,004 | |
| |
Citigroup Commercial Mortgage Trust (16-C3-A2) | | | | | |
| | | |
2.51% | | | 11/15/49 | | | | 29,584 | | | | 29,577 | |
| |
COMM Mortgage Trust (13-CR6-XA) (I/O) | | | | | |
| | | |
1.00% (1) | | | 03/10/46 | | | | 2,615,139 | | | | 21,633 | |
| |
COMM Mortgage Trust (14-CR19-XA) (I/O) | | | | | |
| | | |
0.95% (1) | | | 08/10/47 | | | | 82,626 | | | | 1,800 | |
| |
COMM Mortgage Trust (14-CR20-A3) | | | | | |
| | | |
3.33% | | | 11/10/47 | | | | 16,600 | | | | 17,232 | |
See accompanying Notes to Financial Statements.
69
TCW Short Term Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
COMM Mortgage Trust (15-CR23-A2) | | | | | |
| | | |
2.85% | | | 05/10/48 | | | $ | 27,819 | | | $ | 28,062 | |
| |
COMM Mortgage Trust (12-CR2-XA) (I/O) | | | | | |
| | | |
1.61% (1) | | | 08/15/45 | | | | 2,254,913 | | | | 11,558 | |
| |
COMM Mortgage Trust (12-CR3-A3) | | | | | |
| | | |
2.82% | | | 10/15/45 | | | | 26,403 | | | | 26,635 | |
| |
COMM Mortgage Trust (12-CR3-XA) (I/O) | | | | | |
| | | |
1.83% (1) | | | 10/15/45 | | | | 2,092,841 | | | | 17,463 | |
| |
COMM Mortgage Trust (12-CR4-A3) | | | | | |
| | | |
2.85% | | | 10/15/45 | | | | 66,593 | | | | 67,555 | |
| |
COMM Mortgage Trust (12-CR4-XA) (I/O) | | | | | |
| | | |
1.69% (1) | | | 10/15/45 | | | | 990,596 | | | | 11,131 | |
| |
COMM Mortgage Trust (13-CR9-ASB) | | | | | |
| | | |
3.83% | | | 07/10/45 | | | | 19,637 | | | | 20,115 | |
| |
COMM Mortgage Trust (13-LC6-XA) (I/O) | | | | | |
| | | |
1.28% (1) | | | 01/10/46 | | | | 407,577 | | | | 4,103 | |
| |
COMM Mortgage Trust (14-CR14-A2) | | | | | |
| | | |
3.15% | | | 02/10/47 | | | | 25,567 | | | | 25,717 | |
| |
COMM Mortgage Trust (15-CR22-A2) | | | | | |
| | | |
2.86% | | | 03/10/48 | | | | 71,142 | | | | 71,546 | |
| |
COMM Mortgage Trust (16-DC2-XA) (I/O) | | | | | |
| | | |
0.96% (1) | | | 02/10/49 | | | | 795,130 | | | | 25,441 | |
| |
COMM Mortgage Trust (19-WCM-A) | | | | | |
| | | |
0.98% (1 mo. USD LIBOR + 0.900%) (2),(3) | | | 10/15/34 | | | | 45,842 | | | | 45,842 | |
| |
GS Mortgage Securities Corp. (12-ALOH-A) | | | | | |
| | | |
3.55% (3) | | | 04/10/34 | | | | 38,000 | | | | 38,227 | |
| |
GS Mortgage Securities Trust (12-GC6-AS) | | | | | |
| | | |
4.95% (3) | | | 01/10/45 | | | | 11,942 | | | | 11,941 | |
| |
GS Mortgage Securities Trust (12-GCJ7-AS) | | | | | |
| | | |
4.09% | | | 05/10/45 | | | | 73,000 | | | | 73,617 | |
| |
GS Mortgage Securities Trust (13-GC14-A4) | | | | | |
| | | |
3.96% | | | 08/10/46 | | | | 26,523 | | | | 27,216 | |
| |
GS Mortgage Securities Trust (13-GC16-XA) (I/O) | | | | | |
| | | |
1.01% (1) | | | 11/10/46 | | | | 1,511,961 | | | | 24,958 | |
| |
GS Mortgage Securities Trust (15-GC32-A2) | | | | | |
| | | |
3.06% | | | 07/10/48 | | | | 38,232 | | | | 38,252 | |
| |
JPMBB Commercial Mortgage Securities Trust (14-C18-XA) (I/O) | | | | | |
| | | |
0.78% (1) | | | 02/15/47 | | | | 1,070,699 | | | | 15,398 | |
| |
JPMBB Commercial Mortgage Securities Trust (15-C32-A2) | | | | | |
| | | |
2.82% | | | 11/15/48 | | | | 59,015 | | | | 59,522 | |
| |
JPMorgan Chase Commercial Mortgage Securities (12-C6-XA) (I/O) | | | | | |
| | | |
1.51% (1) | | | 05/15/45 | | | | 3,088,181 | | | | 8,472 | |
| |
JPMorgan Chase Commercial Mortgage Securities Trust (12-C6-A3) | | | | | |
| | | |
3.51% | | | 05/15/45 | | | | 39,630 | | | | 40,003 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
JPMorgan Chase Commercial Mortgage Securities Trust (12-C8-XA) (I/O) | | | | | |
| | | |
1.72% (1) | | | 10/15/45 | | | $ | 1,192,888 | | | $ | 10,913 | |
| |
JPMorgan Chase Commercial Mortgage Securities Trust (12-CBX-A4) | | | | | |
| | | |
3.48% | | | 06/15/45 | | | | 33,181 | | | | 33,592 | |
| |
JPMorgan Chase Commercial Mortgage Securities Trust (16-JP3-A2) | | | | | |
| | | |
2.43% | | | 08/15/49 | | | | 42,954 | | | | 43,115 | |
| |
JPMorgan Chase Commercial Mortgage Securities Trust (18-LAQ-A) | | | | | |
| | | |
1.09% (1 mo. USD LIBOR + 1.000%) (2),(3) | | | 06/15/32 | | | | 6,480 | | | | 6,484 | |
| |
Morgan Stanley Bank of America Merrill Lynch Trust (12-C5-XA) (I/O) | | | | | |
| | | |
1.36% (1),(3) | | | 08/15/45 | | | | 2,229,846 | | | | 9,672 | |
| |
Morgan Stanley Bank of America Merrill Lynch Trust (13-C12-XA) (I/O) | | | | | |
| | | |
0.58% (1) | | | 10/15/46 | | | | 340,186 | | | | 2,863 | |
| |
Morgan Stanley Bank of America Merrill Lynch Trust (13-C7-XA) (I/O) | | | | | |
| | | |
1.32% (1) | | | 02/15/46 | | | | 2,108,491 | | | | 23,463 | |
| |
Morgan Stanley Bank of America Merrill Lynch Trust (14-C15-A3) | | | | | |
| | | |
3.77% | | | 04/15/47 | | | | 11,257 | | | | 11,689 | |
| |
Morgan Stanley Capital I Trust (12-C4-A4) | | | | | |
| | | |
3.24% | | | 03/15/45 | | | | 9,378 | | | | 9,428 | |
| |
Natixis Commercial Mortgage Securities Trust (19-MILE-A) | | | | | |
| | | |
1.59% (1 mo. USD LIBOR + 1.500%) (2),(3) | | | 07/15/36 | | | | 100,000 | | | | 100,143 | |
| |
One Market Plaza Trust (17-1MKT-A) | | | | | |
| | | |
3.61% (3) | | | 02/10/32 | | | | 100,000 | | | | 100,604 | |
| |
PFP, Ltd. (19-5-A) | | | | | |
| | | |
1.06% (1 mo. USD LIBOR + 0.970%) (2),(3) | | | 04/14/36 | | | | 139,581 | | | | 139,663 | |
| |
PFP, Ltd. (19-6-A) | | | | | |
| | | |
1.14% (1 mo. USD LIBOR + 1.050%) (2),(3) | | | 04/14/37 | | | | 42,322 | | | | 42,337 | |
| |
UBS Commercial Mortgage Trust (12-C1-XA) (I/O) | | | | | |
| | | |
1.99% (1),(3),(4) | | | 05/10/45 | | | | 219,092 | | | | 400 | |
| |
UBS-Barclays Commercial Mortgage Trust (12-C3-XA) (I/O) | | | | | |
| | | |
1.81% (1),(3) | | | 08/10/49 | | | | 1,118,233 | | | | 10,870 | |
| |
UBS-Barclays Commercial Mortgage Trust (12-C4-XA) (I/O) | | | | | |
| | | |
1.58% (1),(3) | | | 12/10/45 | | | | 1,590,949 | | | | 15,919 | |
| |
UBS-Barclays Commercial Mortgage Trust (13-C5-XA) (I/O) | | | | | |
| | | |
0.90% (1),(3) | | | 03/10/46 | | | | 1,900,353 | | | | 14,265 | |
| |
Wells Fargo Commercial Mortgage Trust (15-LC20-A2) | | | | | |
| | | |
2.68% | | | 04/15/50 | | | | 14,921 | | | | 15,000 | |
See accompanying Notes to Financial Statements.
70
TCW Short Term Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
Wells Fargo Commercial Mortgage Trust
(15-NXS2-XA) (I/O) | | | | | |
| | | |
0.66% (1) | | | 07/15/58 | | | $ | 1,538,532 | | | $ | 30,415 | |
| |
Wells Fargo Commercial Mortgage Trust (16-C34-A2) | | | | | |
| | | |
2.60% | | | 06/15/49 | | | | 42,809 | | | | 42,808 | |
| |
Wells Fargo Commercial Mortgage Trust (16-C36-A2) | | | | | |
| | | |
2.50% | | | 11/15/59 | | | | 4,168 | | | | 4,214 | |
| |
Wells Fargo Commercial Mortgage Trust (16-LC24-A2) | | | | | |
| | | |
2.50% | | | 10/15/49 | | | | 1,612 | | | | 1,622 | |
| |
WFRBS Commercial Mortgage Trust (12-C10-A3) | | | | | |
| | | |
2.88% | | | 12/15/45 | | | | 45,000 | | | | 45,676 | |
| |
WFRBS Commercial Mortgage Trust (12-C6-XA) (I/O) | | | | | |
| | | |
2.10% (1),(3) | | | 04/15/45 | | | | 352,540 | | | | 256 | |
| |
WFRBS Commercial Mortgage Trust (12-C7-A2) | | | | | |
| | | |
3.43% | | | 06/15/45 | | | | 17,000 | | | | 17,134 | |
| |
WFRBS Commercial Mortgage Trust (12-C7-XA) (I/O) | | | | | |
| | | |
1.29% (1),(3) | | | 06/15/45 | | | | 706,522 | | | | 2,444 | |
| |
WFRBS Commercial Mortgage Trust (12-C8-A3) | | | | | |
| | | |
3.00% | | | 08/15/45 | | | | 50,000 | | | | 50,500 | |
| |
WFRBS Commercial Mortgage Trust (12-C8-XA) (I/O) | | | | | |
| | | |
1.77% (1),(3),(4) | | | 08/15/45 | | | | 604,570 | | | | 3,163 | |
| |
WFRBS Commercial Mortgage Trust (12-C9-XA) (I/O) | | | | | |
| | | |
1.86% (1),(3) | | | 11/15/45 | | | | 2,066,638 | | | | 22,537 | |
| |
WFRBS Commercial Mortgage Trust (12-C9-XB) (I/O) | | | | | |
| | | |
0.71% (1),(3) | | | 11/15/45 | | | | 3,224,000 | | | | 18,391 | |
| |
WFRBS Commercial Mortgage Trust (14-C21-XA) (I/O) | | | | | |
| | | |
1.02% (1) | | | 08/15/47 | | | | 1,648,491 | | | | 37,282 | |
| |
WFRBS Commercial Mortgage Trust (14-C22-A3) | | | | | |
| | | |
3.53% | | | 09/15/57 | | | | 912 | | | | 911 | |
| |
WFRBS Commercial Mortgage Trust (14-C24-A3) | | | | | |
| | | |
3.43% | | | 11/15/47 | | | | 41,346 | | | | 42,492 | |
| | | | | | | | | | | | |
| | |
Total Commercial Mortgage-Backed Securities — Non-Agency | | | | | | | | | |
| | |
(Cost: $2,075,547) | | | | | | | | 1,822,291 | |
| | | | | | | | | | | | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY —18.7% | |
| |
Fannie Mae (03-11-FA) | | | | | |
| | | |
1.09% (1 mo. USD LIBOR + 1.000%) (2) | | | 09/25/32 | | | | 9,016 | | | | 9,143 | |
| |
Fannie Mae (03-52-NF) | | | | | |
| | | |
0.49% (1 mo. USD LIBOR + 0.400%) (2) | | | 06/25/23 | | | | 534 | | | | 535 | |
| |
Fannie Mae (06-23-FP) (PAC) | | | | | |
| | | |
0.39% (1 mo. USD LIBOR + 0.300%) (2) | | | 04/25/36 | | | | 12,643 | | | | 12,697 | |
| |
Fannie Mae (07-64-FA) | | | | | |
| | | |
0.56% (1 mo. USD LIBOR + 0.470%) (2) | | | 07/25/37 | | | | 20,486 | | | | 20,744 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Fannie Mae (08-24-PF) (PAC) | | | | | |
| | | |
0.74% (1 mo. USD LIBOR + 0.650%) (2) | | | 02/25/38 | | | $ | 11,527 | | | $ | 11,635 | |
| |
Fannie Mae (10-118-GF) (PAC) | | | | | |
| | | |
0.64% (1 mo. USD LIBOR + 0.550%) (2) | | | 10/25/39 | | | | 19,476 | | | | 19,550 | |
| |
Fannie Mae (11-75-HP) (PAC) | | | | | |
| | | |
2.50% | | | 07/25/40 | | | | 6,521 | | | | 6,616 | |
| |
Fannie Mae (12-93-GF) (PAC) | | | | | |
| | | |
0.34% (1 mo. USD LIBOR + 0.250%) (2) | | | 07/25/40 | | | | 11,506 | | | | 11,512 | |
| |
Fannie Mae (20-10-FA) | | | | | |
| | | |
0.59% (1 mo. USD LIBOR + 0.500%) (2) | | | 03/25/50 | | | | 25,951 | | | | 26,096 | |
| |
Fannie Mae (17-10-FA) | | | | | |
| | | |
0.49% (1 mo. USD LIBOR + 0.400%) (2) | | | 03/25/47 | | | | 53,814 | | | | 54,197 | |
| |
Fannie Mae, Pool #254548 | | | | | |
| | | |
5.50% | | | 12/01/32 | | | | 7,011 | | | | 8,100 | |
| |
Fannie Mae, Pool #600187 | | | | | |
| | | |
7.00% | | | 07/01/31 | | | | 13,626 | | | | 15,168 | |
| |
Fannie Mae, Pool #995364 | | | | | |
| | | |
6.00% | | | 10/01/38 | | | | 7,334 | | | | 8,491 | |
| |
Fannie Mae, Pool #AL0851 | | | | | |
| | | |
6.00% | | | 10/01/40 | | | | 4,312 | | | | 5,004 | |
| |
Freddie Mac (3071-TF) (PAC) | | | | | |
| | | |
0.39% (1 mo. USD LIBOR + 0.300%) (2) | | | 04/15/35 | | | | 15,994 | | | | 16,033 | |
| |
Freddie Mac (3084-FN) | | | | | |
| | | |
0.59% (1 mo. USD LIBOR + 0.500%) (2) | | | 12/15/34 | | | | 1,457 | | | | 1,458 | |
| |
Freddie Mac (3300-FA) | | | | | |
| | | |
0.39% (1 mo. USD LIBOR + 0.300%) (2) | | | 08/15/35 | | | | 22,141 | | | | 22,257 | |
| |
Freddie Mac (3318-F) | | | | | |
| | | |
0.34% (1 mo. USD LIBOR + 0.250%) (2) | | | 05/15/37 | | | | 27,730 | | | | 27,847 | |
| |
Freddie Mac (3879-MF) | | | | | |
| | | |
0.44% (1 mo. USD LIBOR + 0.350%) (2) | | | 09/15/38 | | | | 2,900 | | | | 2,902 | |
| |
Freddie Mac (3940-PF) (PAC) | | | | | |
| | | |
0.44% (1 mo. USD LIBOR + 0.350%) (2) | | | 05/15/40 | | | | 4,970 | | | | 4,973 | |
| |
Freddie Mac (3946-FG) (PAC) | | | | | |
| | | |
0.44% (1 mo. USD LIBOR + 0.350%) (2) | | | 10/15/39 | | | | 4,992 | | | | 5,000 | |
| |
Freddie Mac (4231-FD) | | | | | |
| | | |
0.44% (1 mo. USD LIBOR + 0.350%) (2) | | | 10/15/32 | | | | 32,904 | | | | 32,519 | |
| |
Freddie Mac (263-F5) | | | | | |
| | | |
0.59% (1 mo. USD LIBOR + 0.500%) (2) | | | 06/15/42 | | | | 20,009 | | | | 20,174 | |
See accompanying Notes to Financial Statements.
71
TCW Short Term Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Ginnie Mae II, Pool #80022 | | | | | |
| | | |
2.13% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | | | 12/20/26 | | | $ | 7,309 | | | $ | 7,493 | |
| |
Ginnie Mae II, Pool #80636 | | | | | |
| | | |
2.25% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | | | 09/20/32 | | | | 4,897 | | | | 5,054 | |
| |
Ginnie Mae II, Pool #80757 | | | | | |
| | | |
2.25% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | | | 10/20/33 | | | | 3,285 | | | | 3,358 | |
| |
Ginnie Mae II, Pool #80797 | | | | | |
| | | |
2.00% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | | | 01/20/34 | | | | 18,487 | | | | 18,770 | |
| |
Ginnie Mae II, Pool #80937 | | | | | |
| | | |
1.88% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | | | 06/20/34 | | | | 9,585 | | | | 10,008 | |
| |
Ginnie Mae II TBA, 30-Year | | | | | |
| | | |
2.00% (5) | | | 05/01/51 | | | | 25,000 | | | | 25,264 | |
| | | |
2.50% | | | 02/01/51 | | | | 400,000 | | | | 410,448 | |
| |
Uniform Mortgage-Backed Securities TBA, 30-Year | | | | | |
| | | |
2.00% (5) | | | 07/01/51 | | | | 400,000 | | | | 398,459 | |
| | | |
2.50% (5) | | | 07/01/51 | | | | 375,000 | | | | 383,578 | |
| |
Uniform Mortgage-Backed Securities TBA, 30-Year | | | | | |
| | | |
2.00% (5) | | | 07/01/51 | | | | 775,000 | | | | 773,627 | |
| | | |
2.50% (5) | | | 07/01/51 | | | | 800,000 | | | | 819,998 | |
| | | |
3.00% (5) | | | 05/01/49 | | | | 175,000 | | | | 182,371 | |
| | | | | | | | | | | | |
| | |
Total Residential Mortgage-Backed Securities — Agency | | | | | | | | | |
| | |
(Cost: $3,333,869) | | | | | | | | 3,381,079 | |
| | | | | | | | | | | | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY — 6.2% | |
| |
ABFC Trust (02-WF2-A2) | | | | | |
| | | |
1.21% (1 mo. USD LIBOR + 1.125%) (2) | | | 05/25/32 | | | | 32,560 | | | | 32,422 | |
| |
Accredited Mortgage Loan Trust (05-1-M2) | | | | | |
| | | |
1.12% (1 mo. USD LIBOR + 1.035%) (2) | | | 04/25/35 | | | | 75,391 | | | | 76,227 | |
| |
BNC Mortgage Loan Trust (06-2-A4) | | | | | |
| | | |
0.41% (1 mo. USD LIBOR + 0.320%) (2) | | | 11/25/36 | | | | 44,061 | | | | 43,390 | |
| |
Centex Home Equity Loan Trust (06-A-M1) | | | | | |
| | | |
0.54% (1 mo. USD LIBOR + 0.450%) (2) | | | 06/25/36 | | | | 124,260 | | | | 124,074 | |
| |
Citigroup Mortgage Loan Trust, Inc. (06-WFH4-M1) | | | | | |
| | | |
0.51% (1 mo. USD LIBOR + 0.420%) (2) | | | 11/25/36 | | | | 16,466 | | | | 16,479 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
Credit Suisse First Boston Mortgage Securities Corp. (02-AR31-6A1) | | | | | |
| | | |
1.87% (1) | | | 11/25/32 | | | $ | 12,979 | | | $ | 12,985 | |
| |
CWABS Asset-Backed Certificates Trust (05-11-MV3) | | | | | |
| | | |
0.88% (1 mo. USD LIBOR + 0.795%) (2) | | | 02/25/36 | | | | 35,072 | | | | 35,119 | |
| |
CWABS Asset-Backed Certificates Trust (05-3-MV5) | | | | | |
| | | |
1.09% (1 mo. USD LIBOR + 1.005%) (2) | | | 08/25/35 | | | | 5,380 | | | | 5,388 | |
| |
First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C) | | | | | |
| | | |
1.09% (1 mo. USD LIBOR + 1.000%) (2) | | | 08/25/34 | | | | 10,871 | | | | 11,015 | |
| |
JP Morgan Mortgage Trust (18-8-A3) | | | | | |
| | | |
4.00% (3),(1) | | | 01/25/49 | | | | 98,421 | | | | 99,367 | |
| |
JPMorgan Mortgage Acquisition Trust (07-CH4-A5) | | | | | |
| | | |
0.33% (1 mo. USD LIBOR + 0.240%) (2) | | | 05/25/37 | | | | 44,461 | | | | 44,110 | |
| |
Morgan Stanley Capital I, Inc. Trust (06-NC2-A2D) | | | | | |
| | | |
0.67% (1 mo. USD LIBOR + 0.580%) (2) | | | 02/25/36 | | | | 41,510 | | | | 41,255 | |
| |
New Century Home Equity Loan Trust (05-1-M1) | | | | | |
| | | |
0.76% (1 mo. USD LIBOR + 0.675%) (2) | | | 03/25/35 | | | | 95,911 | | | | 96,231 | |
| |
NovaStar Mortgage Funding Trust Series (05-1-M5) | | | | | |
| | | |
1.17% (1 mo. USD LIBOR + 1.080%) (2) | | | 06/25/35 | | | | 42,397 | | | | 43,018 | |
| |
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates (04-WHQ2-M4) | | | | | |
| | | |
1.66% (1 mo. USD LIBOR + 1.575%) (2) | | | 02/25/35 | | | | 46,024 | | | | 46,449 | |
| |
RASC Series Trust (06-KS3-M1) | | | | | |
| | | |
0.58% (1 mo. USD LIBOR + 0.330%) (2) | | | 04/25/36 | | | | 53,305 | | | | 53,386 | |
| |
Residential Accredit Loans, Inc. (02-QS16-A2) | | | | | |
| | | |
0.64% (1 mo. USD LIBOR + 0.550%) (2),(6) | | | 10/25/17 | | | | 68 | | | | 36 | |
| |
Soundview Home Loan Trust (05-OPT1-M2) | | | | | |
| | | |
0.76% (1 mo. USD LIBOR + 0.675%) (2) | | | 06/25/35 | | | | 31,993 | | | | 32,014 | |
| |
Structured Asset Investment Loan Trust (05-11-A3) | | | | | |
| | | |
0.69% (1 mo. USD LIBOR + 0.600%) (2) | | | 01/25/36 | | | | 22,030 | | | | 22,067 | |
| |
Structured Asset Investment Loan Trust (05-HE3-M1) | | | | | |
| | | |
0.81% (1 mo. USD LIBOR + 0.720%) (2) | | | 09/25/35 | | | | 39,306 | | | | 39,302 | |
| |
VOLT XCIV LLC (21-NPL3-A1) | | | | | |
| | | |
2.24% (3) | | | 02/27/51 | | | | 150,083 | | | | 149,975 | |
See accompanying Notes to Financial Statements.
72
TCW Short Term Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
Wells Fargo Home Equity Asset-Backed Securities Trust (05-4-M3) | | | | | |
| | | |
0.84% (1 mo. USD LIBOR + 0.750%) (2) | | | 12/25/35 | | | $ | 100,000 | | | $ | 100,110 | |
| | | | | | | | | | | | |
| | |
Total Residential Mortgage-Backed Securities — Non-Agency | | | | | | | | | |
| | |
(Cost: $1,101,715) | | | | | | | | 1,124,419 | |
| | | | | | | | | | | | |
|
CORPORATE BONDS — 11.9% | |
|
| Aerospace/Defense — 0.1% | |
| |
Boeing Co. (The) | | | | | |
| | | |
1.43% | | | 02/04/24 | | | | 15,000 | | | | 15,009 | |
| | | | | | | | | | | | |
|
| Agriculture — 0.2% | |
| |
Imperial Brands Finance PLC | | | | | |
| | | |
3.13% (3) | | | 07/26/24 | | | | 10,000 | | | | 10,448 | |
| | | |
4.25% (3) | | | 07/21/25 | | | | 20,000 | | | | 21,642 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 32,090 | |
| | | | | | | | | | | | |
|
| Auto Manufacturers — 0.2% | |
| |
Daimler Finance North America LLC | | | | | |
| | | |
1.75% (3) | | | 03/10/23 | | | | 25,000 | | | | 25,372 | |
| |
Ford Motor Credit Co. LLC | | | | | |
| | | |
1.20% (3 mo. USD LIBOR + 1.080%)(2) | | | 08/03/22 | | | | 5,000 | | | | 5,000 | |
| | | |
3.22% | | | 01/09/22 | | | | 5,000 | | | | 5,021 | |
| |
General Motors Financial Co., Inc. | | | | | |
| | | |
4.20% | | | 11/06/21 | | | | 5,000 | | | | 5,002 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 40,395 | |
| | | | | | | | | | | | |
|
| Banks — 5.0% | |
| |
Bank of America Corp. | | | | | |
| | | |
3.46% (3 mo. USD LIBOR + 0.970%)(2) | | | 03/15/25 | | | | 75,000 | | | | 79,072 | |
| |
Citigroup, Inc. | | | | | |
| | | |
1.28% (SOFR + 0.528%)(2) | | | 11/03/25 | | | | 60,000 | | | | 60,056 | |
| | | |
2.90% | | | 12/08/21 | | | | 25,000 | | | | 25,017 | |
| | | |
3.35% (3 mo. USD LIBOR + 0.897%)(2) | | | 04/24/25 | | | | 30,000 | | | | 31,615 | |
| |
Credit Suisse Group AG | | | | | |
| | | |
2.59% (SOFR + 1.560%)(2),(3) | | | 09/11/25 | | | | 10,000 | | | | 10,281 | |
| | | |
3.80% | | | 06/09/23 | | | | 20,000 | | | | 20,940 | |
| |
Goldman Sachs Group, Inc. (The) | | | | | |
| | | |
0.48% | | | 01/27/23 | | | | 25,000 | | | | 24,956 | |
| | | |
0.93% (SOFR + 0.486%)(2) | | | 10/21/24 | | | | 65,000 | | | | 64,964 | |
| |
HSBC Holdings PLC | | | | | |
| | | |
0.98% (SOFR + 0.708%)(2) | | | 05/24/25 | | | | 35,000 | | | | 34,725 | |
| |
JPMorgan Chase & Co. | | | | | |
| | | |
0.77% (SOFR + 0.490%)(2) | | | 08/09/25 | | | | 25,000 | | | | 24,719 | |
| | | |
0.97% (SOFR + 0.580%)(2) | | | 06/23/25 | | | | 55,000 | | | | 54,721 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Banks (Continued) | |
| | | |
4.02% (3 mo. USD LIBOR + 1.000%)(2) | | | 12/05/24 | | | $ | 55,000 | | | $ | 58,502 | |
| |
Lloyds Banking Group PLC (United Kingdom) | | | | | |
| | | |
2.86% (3 mo. USD LIBOR + 1.249%)(2) | | | 03/17/23 | | | | 10,000 | | | | 10,087 | |
| | | |
2.91% (3 mo. USD LIBOR + 0.810%)(2) | | | 11/07/23 | | | | 15,000 | | | | 15,344 | |
| | | |
3.87% (1-year Treasury Constant Maturity Rate + 3.500%)(2) | | | 07/09/25 | | | | 55,000 | | | | 58,849 | |
| |
Macquarie Group, Ltd. | | | | | |
| | | |
1.20% (SOFR + 0.694%)(3),(2) | | | 10/14/25 | | | | 50,000 | | | | 49,722 | |
| |
Morgan Stanley | | | | | |
| | | |
0.53% (SOFR + 0.455%)(2) | | | 01/25/24 | | | | 35,000 | | | | 34,926 | |
| | | |
1.16% (SOFR + 0.560%)(2) | | | 10/21/25 | | | | 140,000 | | | | 139,314 | |
| |
NatWest Group PLC | | | | | |
| | | |
3.50% (3 mo. USD LIBOR + 1.480%)(2) | | | 05/15/23 | | | | 30,000 | | | | 30,445 | |
| | | |
4.52% (3 mo. USD LIBOR + 1.550%)(2) | | | 06/25/24 | | | | 55,000 | | | | 58,227 | |
| |
Santander UK Group Holdings PLC (United Kingdom) | | | | | |
| | | |
3.57% | | | 01/10/23 | | | | 10,000 | | | | 10,059 | |
| |
Wells Fargo & Co. | | | | | |
| | | |
3.75% | | | 01/24/24 | | | | 15,000 | | | | 15,918 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 912,459 | |
| | | | | | | | | | | | |
|
| Biotechnology — 0.2% | |
| |
Gilead Sciences, Inc. | | | | | |
| | | |
0.65% (3 mo. USD LIBOR + 0.520%)(2) | | | 09/29/23 | | | | 25,000 | | | | 25,001 | |
| |
Royalty Pharma PLC | | | | | |
| | | |
0.75% | | | 09/02/23 | | | | 20,000 | | | | 19,961 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 44,962 | |
| | | | | | | | | | | | |
|
| Chemicals — 0.1% | |
| |
International Flavors & Fragrances, Inc. | | | | | |
| | | |
0.70% (3) | | | 09/15/22 | | | | 10,000 | | | | 10,011 | |
| | | | | | | | | | | | |
|
| Commercial Services — 0.1% | |
| |
IHS Markit, Ltd. | | | | | |
| | | |
5.00% (3) | | | 11/01/22 | | | | 25,000 | | | | 25,844 | |
| | | | | | | | | | | | |
|
| Diversified Financial Services — 0.4% | |
| |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) | | | | | |
| | | |
3.95% | | | 02/01/22 | | | | 10,000 | | | | 10,055 | |
| | | |
4.88% | | | 01/16/24 | | | | 10,000 | | | | 10,762 | |
| |
Air Lease Corp. | | | | | |
| | | |
3.50% | | | 01/15/22 | | | | 30,000 | | | | 30,180 | |
| |
Avolon Holdings Funding, Ltd. | | | | | |
| | | |
3.63% (3) | | | 05/01/22 | | | | 10,000 | | | | 10,112 | |
| |
Park Aerospace Holdings, Ltd. | | | | | |
| | | |
4.50% (3) | | | 03/15/23 | | | | 5,000 | | | | 5,209 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 66,318 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
73
TCW Short Term Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Electric — 0.1% | |
| |
Dominion Energy, Inc. | | | | | |
| | | |
3.30% | | | 03/15/25 | | | $ | 25,000 | | | $ | 26,562 | |
| | | | | | | | | | | | |
|
| Health Care-Products — 0.4% | |
| |
Fresenius US Finance II, Inc. | | | | | |
| | | |
4.50% (3) | | | 01/15/23 | | | | 15,000 | | | | 15,526 | |
| |
Thermo Fisher Scientific, Inc. | | | | | |
| | | |
1.22% | | | 10/18/24 | | | | 55,000 | | | | 55,034 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 70,560 | |
| | | | | | | | | | | | |
|
| Health Care-Services — 0.7% | |
| |
CommonSpirit Health | | | | | |
| | | |
2.76% | | | 10/01/24 | | | | 10,000 | | | | 10,438 | |
| |
Dignity Health | | | | | |
| | | |
3.13% | | | 11/01/22 | | | | 10,000 | | | | 10,248 | |
| |
Fresenius Medical Care US Finance II, Inc. | | | | | |
| | | |
5.88%(3) | | | 01/31/22 | | | | 15,000 | | | | 15,188 | |
| |
HCA, Inc. | | | | | |
| | | |
4.75% | | | 05/01/23 | | | | 40,000 | | | | 42,292 | |
| |
Humana, Inc. | | | | | |
| | | |
0.65% | | | 08/03/23 | | | | 30,000 | | | | 29,984 | |
| | | |
3.85% | | | 10/01/24 | | | | 15,000 | | | | 16,112 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 124,262 | |
| | | | | | | | | | | | |
|
| Insurance — 0.3% | |
| |
Athene Global Funding | | | | | |
| | | |
0.75% (SOFR + 0.700%)(2),(3) | | | 05/24/24 | | | | 20,000 | | | | 20,096 | |
| |
Trinity Acquisition PLC | | | | | |
| | | |
4.63% | | | 08/15/23 | | | | 35,000 | | | | 37,200 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 57,296 | |
| | | | | | | | | | | | |
|
| Miscellaneous Manufacturers — 0.7% | |
| |
General Electric Co. | | | | | |
| | | |
0.50% (3 mo. USD LIBOR + 0.380%) (2) | | | 05/05/26 | | | | 5,000 | | | | 4,950 | |
| | | |
1.12% (3 mo. USD LIBOR + 1.000%) (2) | | | 04/15/23 | | | | 75,000 | | | | 75,668 | |
| | | |
3.63% | | | 05/01/30 | | | | 40,000 | | | | 44,811 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 125,429 | |
| | | | | | | | | | | | |
|
| Oil & Gas — 0.1% | |
| |
Petroleos Mexicanos | | | | | |
| | | |
5.35% | | | 02/12/28 | | | | 15,000 | | | | 15,006 | |
| | | | | | | | | | | | |
|
| Packaging & Containers — 0.1% | |
| |
Berry Global, Inc. | | | | | |
| | | |
0.95% | | | 02/15/24 | | | | 15,000 | | | | 14,937 | |
| | | | | | | | | | | | |
|
| Pharmaceuticals — 0.7% | |
| |
Bayer US Finance II LLC | | | | | |
| | | |
3.38% (3) | | | 07/15/24 | | | | 10,000 | | | | 10,487 | |
| |
Bayer US Finance LLC | | | | | |
| | | |
2.20% (3) | | | 07/15/22 | | | | 45,000 | | | | 45,223 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Pharmaceuticals (Continued) | |
| |
Becton Dickinson and Co. | | | | | |
| | | |
3.73% | | | 12/15/24 | | | $ | 35,000 | | | $ | 37,550 | |
| |
Viatris, Inc. | | | | | |
| | | |
1.13% | | | 06/22/22 | | | | 25,000 | | | | 25,093 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 118,353 | |
| | | | | | | | | | | | |
|
| REIT — 0.9% | |
| |
American Campus Communities Operating Partnership LP | | | | | |
| | | |
3.75% | | | 04/15/23 | | | | 30,000 | | | | 31,090 | |
| |
Camden Property Trust | | | | | |
| | | |
2.95% | | | 12/15/22 | | | | 25,000 | | | | 25,499 | |
| |
CyrusOne LP / CyrusOne Finance Corp. | | | | | |
| | | |
2.90% | | | 11/15/24 | | | | 20,000 | | | | 20,911 | |
| |
GLP Capital LP / GLP Financing II, Inc. | | | | | |
| | | |
5.38% | | | 11/01/23 | | | | 25,000 | | | | 26,864 | |
| |
Host Hotels & Resorts LP (REIT) | | | | | |
| | | |
3.75% | | | 10/15/23 | | | | 25,000 | | | | 26,079 | |
| |
Kilroy Realty LP | | | | | |
| | | |
3.45% | | | 12/15/24 | | | | 5,000 | | | | 5,301 | |
| |
Kimco Realty Corp. | | | | | |
| | | |
3.40% | | | 11/01/22 | | | | 20,000 | | | | 20,462 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 156,206 | |
| | | | | | | | | | | | |
|
| Retail — 0.0% | |
| |
7-Eleven, Inc. | | | | | |
| | | |
0.58% (3 mo. USD LIBOR + 0.450%) (2),(3) | | | 08/10/22 | | | | 7,000 | | | | 7,001 | |
| | | | | | | | | | | | |
|
| Savings & Loans — 0.3% | |
| |
Nationwide Building Society (United Kingdom) | | | | | |
| | | |
3.62% (3 mo. USD LIBOR + 0.181%) (2),(3) | | | 04/26/23 | | | | 25,000 | | | | 25,358 | |
| | | |
3.77% (3 mo. USD LIBOR + 1.064%) (3),(2) | | | 03/08/24 | | | | 30,000 | | | | 31,152 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 56,510 | |
| | | | | | | | | | | | |
|
| Semiconductors — 0.3% | |
| |
NXP BV / NXP Funding LLC | | | | | |
| | | |
4.63% (3) | | | 06/01/23 | | | | 30,000 | | | | 31,746 | |
| |
Skyworks Solutions, Inc. | | | | | |
| | | |
0.90% | | | 06/01/23 | | | | 25,000 | | | | 25,010 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 56,756 | |
| | | | | | | | | | | | |
|
| Software — 0.1% | |
| |
VMware, Inc. | | | | | |
| | | |
1.00% | | | 08/15/24 | | | | 25,000 | | | | 25,044 | |
| | | | | | | | | | | | |
|
| Telecommunications — 0.9% | |
| |
SES SA | | | | | |
| | | |
3.60% (3) | | | 04/04/23 | | | | 35,000 | | | | 36,228 | |
See accompanying Notes to Financial Statements.
74
TCW Short Term Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Telecommunications (Continued) | |
| |
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC | | | | | |
| | | |
4.74% (3) | | | 03/20/25 | | | $ | 87,500 | | | $ | 92,422 | |
| |
T-Mobile USA, Inc. | | | | | |
| | | |
3.88% | | | 04/15/30 | | | | 25,000 | | | | 27,353 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 156,003 | |
| | | | | | | | | | | | |
|
Total Corporate Bonds | |
| | | |
(Cost: $2,148,781) | | | | | | | | | | | 2,157,013 | |
| | | | | | | | | | | | |
|
| MUNICIPAL BONDS — 1.5% | |
| |
City and County of Denver Co. Airport System Revenue, Revenue Bond | | | | | |
| | | |
1.12% | | | 11/15/24 | | | | 10,000 | | | | 10,062 | |
| |
City of Baltimore MD, General Obligation Unlimited | | | | | |
| | | |
5.00% | | | 10/15/25 | | | | 50,000 | | | | 54,956 | |
| |
City of New York NY, General Obligation Unlimited | | | | | |
| | | |
0.43% | | | 08/01/22 | | | | 75,000 | | | | 75,106 | |
| |
County of Miami-Dade FL Aviation Revenue, Revenue Bond | | | | | |
| | | |
2.32% | | | 10/01/22 | | | | 15,000 | | | | 15,287 | |
| |
New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bond | | | | | |
| | | |
2.31% | | | 11/01/26 | | | | 25,000 | | | | 25,974 | |
| |
New York State Dormitory Authority, Revenue Bond | | | | | |
| | | |
5.00% | | | 03/15/24 | | | | 15,000 | | | | 16,467 | |
| |
State of California, General Obligation Unlimited | | | | | |
| | | |
2.50% | | | 10/01/22 | | | | 75,000 | | | | 76,558 | |
| | | | | | | | | | | | |
|
Total Municipal Bonds | |
| | | |
(Cost: $274,594) | | | | | | | | | | | 274,410 | |
| | | | | | | | | | | | |
|
| U.S. TREASURY SECURITIES — 12.5% | |
| |
U.S. Treasury Floating Rate Note | | | | | |
| | | |
0.11% (3 mo. Treasury Money Market Yield + 0.055%) (2) | | | 10/31/22 | | | | 170,000 | | | | 170,089 | |
| |
U.S. Treasury Note | | | | | |
| | | |
0.25% | | | 09/30/23 | | | | 15,000 | | | | 14,942 | |
| | | |
0.38% | | | 10/31/23 | | | | 1,309,000 | | | | 1,305,987 | |
| | | |
0.88% | | | 09/30/26 | | | | 224,000 | | | | 220,960 | |
| | | |
1.13% | | | 10/31/26 | | | | 41,000 | | | | 40,871 | |
| | | |
1.75% | | | 11/30/21 | | | | 500,000 | | | | 500,664 | |
| | | | | | | | | | | | |
| | |
Total U.S. Treasury Securities | | | | | | | | | |
| | |
(Cost: $2,257,024) | | | | | | | | 2,253,513 | |
| | | | | | | | | | | | |
|
| ASSET-BACKED SECURITIES — 2.7% | |
| |
BSPRT Issuer, Ltd. (18-FL4-A) | | | | | |
| | | |
1.14% (1 mo. USD LIBOR + 1.050%) (2),(3) | | | 09/15/35 | | | | 5,239 | | | | 5,240 | |
| |
CoreVest American Finance Trust (19-1-XA) (I/O) | | | | | |
| | | |
2.14% (1),(3) | | | 03/15/52 | | | | 392,895 | | | | 21,743 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| ASSET-BACKED SECURITIES (Continued) | |
| |
FS Rialto (19-FL1-A) | | | | | |
| | | |
1.29% (1 mo. USD LIBOR + 1.200%) (2),(3) | | | 12/16/36 | | | $ | 100,000 | | | $ | 100,095 | |
| |
Grand Avenue CRE (19-FL1-A) | | | | | |
| | | |
1.21% (1 mo. USD LIBOR + 1.120%) (2),(3) | | | 06/15/37 | | | | 25,153 | | | | 25,160 | |
| |
Marathon CRE, Ltd. (18-FL1-A) | | | | | |
| | | |
1.24% (1 mo. USD LIBOR + 1.150%) (2),(3) | | | 06/15/28 | | | | 73,098 | | | | 73,112 | |
| |
MF1, Ltd. (20-FL4-A) | | | | | |
| | | |
1.86% (SOFR + 1.814) (2),(3) | | | 11/15/35 | | | | 18,000 | | | | 18,155 | |
| |
Navient Private Education Refi Loan Trust (20-BA-A2) | | | | | |
| | | |
2.12% (3) | | | 01/15/69 | | | | 81,655 | | | | 82,761 | |
| |
Navient Private Education Refi Loan Trust (21-BA-A) | | | | | |
| | | |
0.94% (3) | | | 07/15/69 | | | | 88,100 | | | | 87,092 | |
| |
Tricon American Homes Trust (17-SFR2-A) | | | | | |
| | | |
2.93% (3) | | | 01/17/36 | | | | 38,767 | | | | 39,169 | |
| |
Tricon American Homes Trust (17-SFR2-B) | | | | | |
| | | |
3.28% (3) | | | 01/17/36 | | | | 39,000 | | | | 39,426 | |
| | | | | | | | | | | | |
|
Total Asset-backed Securities | |
| | | |
(Cost: $504,158) | | | | | | | | | | | 491,953 | |
| | | | | | | | | | | | |
|
| U.S. GOVERNMENT AGENCY OBLIGATION — 0.9% | |
| | | |
(Cost: $160,970) | | | | | | | | | | | | |
|
United States International Development Finance Corp. | |
| | | |
1.49% | | | 08/15/31 | | | | 160,000 | | | | 159,514 | |
| | | | | | | | | | | | |
|
| Total Fixed Income Securities | |
| | | |
(Cost: $12,532,764) | | | | | | | | | | | 12,279,491 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
| | | | Shares | | | | |
|
| MONEY MARKET INVESTMENTS — 5.9% | |
| | | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (7) | | | | | | | 1,057,266 | | | | 1,057,266 | |
| | | | | | | | | | | | |
|
Total Money Market Investments | |
| | | |
(Cost: $1,057,266) | | | | | | | | | | | 1,057,266 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
| | | Maturity
Date | | | Principal
Amount | | | | |
|
SHORT TERM INVESTMENTS—50.7% | |
|
| U.S. Treasury Securities — 50.7% | |
| |
U.S. Treasury Bill | | | | | |
| | | |
0.06% (8) | | | 04/14/22 | | | $ | 850,000 | | | | 849,768 | |
| | | |
0.05% (8) | | | 02/03/22 | | | | 1,000,000 | | | | 999,866 | |
| | | |
0.06% (8) | | | 04/21/22 | | | | 850,000 | | | | 849,737 | |
| | | |
0.06% (8) | | | 01/27/22 | | | | 1,000,000 | | | | 999,861 | |
| | | |
0.06% (8) | | | 01/06/22 | | | | 600,000 | | | | 599,931 | |
| | | |
0.06% (8) | | | 01/13/22 | | | | 1,000,000 | | | | 999,884 | |
See accompanying Notes to Financial Statements.
75
TCW Short Term Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| U.S. Treasury Securities (Continued) | |
| | | |
0.05% (8) | | | 01/20/22 | | | $ | 1,000,000 | | | $ | 999,878 | |
| | | |
0.05% (8) | | | 03/03/22 | | | | 1,000,000 | | | | 999,814 | |
| | | |
0.06% (8) | | | 04/07/22 | | | | 850,000 | | | | 849,805 | |
| | | |
0.05% (9) | | | 02/10/22 | | | | 1,000,000 | | | | 999,860 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities | | | | | |
| | | |
(Cost: $9,148,601) | | | | | | | | | | | 9,148,404 | |
| | | | | | | | | | | | |
|
| Total Short Term Investments | |
| | | |
(Cost: $9,148,601) | | | | | | | | | | | 9,148,404 | |
| | | | | | | | | | | | |
| |
| Total Investments (124.5%) | | | | |
| | | |
(Cost: $22,738,631) | | | | | | | | | | | 22,485,161 | |
| |
Liabilities In Excess Of Other Assets (-24.5%) | | | | (4,423,713 | ) |
| | | | | | | | | | | | |
| | | |
Net Assets (100.0%) | | | | | | | | | | $ | 18,061,448 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Futures Contracts | |
| | | | | |
Number of
Contracts | | Type | | Expiration
Date | | | Notional
Contract
Value | | | Value | | | Net Unrealized
Appreciation
(Depreciation) | |
Short Futures | | | | | | | | | |
| 5 | | 10-Year U.S. Ultra Treasury Note Futures | | | 12/21/21 | | | $ | (735,317 | ) | | $ | (725,157 | ) | | $ | 10,160 | |
| 6 | | 2-Year U.S. Treasury Note Futures | | | 12/31/21 | | | | (1,320,340 | ) | | | (1,315,500 | ) | | | 4,840 | |
| 7 | | 5-Year U.S. Treasury Note Futures | | | 12/31/21 | | | | (865,111 | ) | | | (852,250 | ) | | | 12,861 | |
| 2 | | U.S. Ultra Long Bond Futures | | | 12/21/21 | | | | (388,339 | ) | | | (392,812 | ) | | | (4,473 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | (3,309,107 | ) | | $ | (3,285,719 | ) | | $ | 23,388 | |
| | | | | | | | | | | | | | | | | | |
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. |
| (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 October 31, 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 October 31, 2021, the value of these securities amounted to $1,859,587 or 10.3% 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. |
| (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 October 31, 2021. |
| (7) | | Rate disclosed is the 7-day net yield as of October 31, 2021. |
| (8) | | Rate shown represents yield-to-maturity. |
See accompanying Notes to Financial Statements.
76
TCW Short Term Bond Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
U.S. Treasury Securities | | | 63.2 | % |
Residential Mortgage-Backed Securities — Agency | | | 18.7 | |
Corporate Bonds | | | 11.9 | |
Commercial Mortgage-Backed Securities — Non-Agency | | | 10.1 | |
Residential Mortgage-Backed Securities — Non-Agency | | | 6.2 | |
Money Market Investments | | | 5.9 | |
Commercial Mortgage-Backed Securities — Agency | | | 3.4 | |
Asset-Backed Securities | | | 2.7 | |
Municipal Bonds | | | 1.5 | |
U.S. Government Agency Obligations | | | 0.9 | |
Other* | | | (24.5 | ) |
| | | | |
Total | | | 100.0 | % |
| | | | |
| * | Includes futures, pending trades, interest receivable and accrued expenses payable. |
See accompanying Notes to Financial Statements.
77
TCW Short Term Bond Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | $ | — | | | $ | 615,299 | | | $ | — | | | $ | 615,299 | |
Commercial Mortgage-Backed Securities — Non-Agency | | | — | | | | 1,822,291 | | | | — | | | | 1,822,291 | |
Residential Mortgage-Backed Securities — Agency | | | — | | | | 3,381,079 | | | | — | | | | 3,381,079 | |
Residential Mortgage-Backed Securities — Non-Agency | | | — | | | | 1,124,419 | | | | — | | | | 1,124,419 | |
Corporate Bonds* | | | — | | | | 2,157,013 | | | | — | | | | 2,157,013 | |
Municipal Bonds | | | — | | | | 274,410 | | | | — | | | | 274,410 | |
U.S. Treasury Securities | | | 2,253,513 | | | | — | | | | — | | | | 2,253,513 | |
Asset-Backed Securities | | | — | | | | 491,953 | | | | — | | | | 491,953 | |
U.S. Government Agency Obligations | | | — | | | | 159,514 | | | | — | | | | 159,514 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income Securities | | | 2,253,513 | | | | 10,025,978 | | | | — | | | | 12,279,491 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 1,057,266 | | | | — | | | | — | | | | 1,057,266 | |
Short-Term Investments | | | 9,148,404 | | | | — | | | | — | | | | 9,148,404 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 12,459,183 | | | $ | 10,025,978 | | | $ | — | | | $ | 22,485,161 | |
| | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | | | | | | | | | | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | 27,861 | | | | — | | | | — | | | | 27,861 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 12,487,044 | | | $ | 10,025,978 | | | $ | — | | | $ | 22,513,022 | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | $ | (4,473 | ) | | $ | — | | | $ | — | | | $ | (4,473 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (4,473 | ) | | $ | — | | | $ | — | | | $ | (4,473 | ) |
| | | | | | | | | | | | | | | | |
| * | See Schedule of Investments for corresponding industries. |
See accompanying Notes to Financial Statements.
78
TCW Total Return Bond Fund
Schedule of Investments | October 31, 2021 |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
FIXED INCOME SECURITIES —124.4% of Net Assets | |
|
| ASSET-BACKED SECURITIES — 10.5% | |
| |
321 Henderson Receivables I LLC (13-3A-A) | | | | | |
| | | |
4.08% (1) | | | 01/17/73 | | | $ | 6,047,340 | | | $ | 6,746,740 | |
| |
AGL CLO, Ltd. (21-13A-B) | | | | | |
| | | |
1.81% (3 mo. USD LIBOR + 1.650%) (1),(2) | | | 10/20/34 | | | | 16,585,000 | | | | 16,593,193 | |
| |
Allegro CLO XII, Ltd. (20-1A-A1) | | | | | |
| | | |
1.38% (3 mo. USD LIBOR + 1.250%) (1),(2) | | | 01/21/32 | | | | 17,125,000 | | | | 17,141,269 | |
| |
Apidos CLO (21-37A-B) | | | | | |
| | | |
0.00% (3 mo. USD LIBOR + 1.600%) (1),(2),(3) | | | 10/22/34 | | | | 17,000,000 | | | | 17,013,719 | |
| |
Barings CLO, Ltd. (18-3A-A1) | | | | | |
| | | |
1.08% (3 mo. USD LIBOR + 0.950%) (1),(2) | | | 07/20/29 | | | | 8,210,887 | | | | 8,213,687 | |
| |
Barings CLO, Ltd. (20-4A-A) | | | | | |
| | | |
1.35% (3 mo. USD LIBOR + 1.220%) (1),(2) | | | 01/20/32 | | | | 18,500,000 | | | | 18,513,875 | |
| |
BDS, Ltd. (20-FL5-A) | | | | | |
| | | |
1.31% (SOFR + 1.264%) (1),(2) | | | 02/16/37 | | | | 17,500,000 | | | | 17,526,652 | |
| |
Blackrock DLF VIII-L CLO Trust (21-1A-A) | | | | | |
| | | |
1.47% (3 mo. USD LIBOR + 1.350%) (1),(2) | | | 04/17/32 | | | | 11,919,608 | | | | 11,923,625 | |
| |
BSPRT Issuer, Ltd. (18-FL4-A) | | | | | |
| | | |
1.14% (1 mo. USD LIBOR + 1.050%) (1),(2) | | | 09/15/35 | | | | 1,708,444 | | | | 1,708,852 | |
| |
Carvana Auto Receivables Trust (21-N3) | | | | | |
| | | |
2.53% (1) | | | 06/12/28 | | | | 3,250,000 | | | | 3,261,470 | |
| |
CoreVest American Finance Trust (20-1-A2) | | | | | |
| | | |
2.30% (1) | | | 03/15/50 | | | | 22,735,000 | | | | 22,898,619 | |
| |
CoreVest American Finance Trust (20-1-XA) (I/O) | | | | | |
| | | |
2.68% (1),(4) | | | 03/15/50 | | | | 55,037,228 | | | | 6,145,773 | |
| |
CoreVest American Finance Trust (20-1-XB) (I/O) | | | | | |
| | | |
2.07% (1),(4) | | | 03/15/50 | | | | 38,948,500 | | | | 5,034,103 | |
| |
CoreVest American Finance Trust (20-4-XA) (I/O) | | | | | |
| | | |
3.87% (1),(4) | | | 12/15/52 | | | | 57,142,949 | | | | 6,810,125 | |
| |
CoreVest American Finance Trust (20-4-XB) (I/O) | | | | | |
| | | |
2.83% (1),(4) | | | 12/15/52 | | | | 27,500,000 | | | | 3,787,047 | |
| |
CoreVest American Finance Trust (21-1-XA) (I/O) | | | | | |
| | | |
2.97% (1),(4) | | | 04/15/53 | | | | 79,236,686 | | | | 9,567,144 | |
| |
Dryden CLO, Ltd. (20-83A-A) | | | | | |
| | | |
1.34% (3 mo. USD LIBOR + 1.220%) (1),(2) | | | 01/18/32 | | | | 18,000,000 | | | | 18,011,736 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| ASSET-BACKED SECURITIES (Continued) | |
| |
EFS Volunteer No 2 LLC (12-1-A2) | | | | | |
| | | |
1.44% (1 mo. USD LIBOR + 1.350%) (1),(2) | | | 03/25/36 | | | $ | 4,922,707 | | | $ | 5,005,787 | |
| |
EFS Volunteer No 3 LLC (12-1-A3) | | | | | |
| | | |
1.09% (1 mo. USD LIBOR + 1.000%) (1),(2) | | | 04/25/33 | | | | 10,587,997 | | | | 10,676,965 | |
| |
Flatiron RR CLO, LLC (21-2A-B) | | | | | |
| | | |
0.00% (3 mo. USD LIBOR + 1.600%) (1),(2),(3) | | | 10/15/34 | | | | 15,600,000 | | | | 15,613,322 | |
| |
GCI Funding I LLC (21-1-A) | | | | | |
| | | |
2.38% (1) | | | 06/18/46 | | | | 27,062,311 | | | | 27,224,092 | |
| |
Global SC Finance II SRL (14-1A-A2) | | | | | |
| | | |
3.09% (1) | | | 07/17/29 | | | | 4,500,375 | | | | 4,545,510 | |
| |
GoldenTree Loan Management US CLO, Ltd. (19-4A-AR) | | | | | |
| | | |
1.23% (3 mo. USD LIBOR + 1.110%) (1),(2) | | | 04/24/31 | | | | 23,800,000 | | | | 23,810,520 | |
| |
Higher Education Funding I (14-1-A) | | | | | |
| | | |
1.18% (3 mo. USD LIBOR + 1.050%) (1),(2) | | | 05/25/34 | | | | 10,179 | | | | 10,222 | |
| |
HPS Loan Management, Ltd. (0A-16-A2RR) | | | | | |
| | | |
1.78% (3 mo. USD LIBOR + 1.650%) (1),(2) | | | 04/20/34 | | | | 20,000,000 | | | | 20,024,660 | |
| |
LCM XXIV, Ltd. (24A-AR) | | | | | |
| | | |
1.11% (3 mo. USD LIBOR + 0.980%) (1),(2) | | | 03/20/30 | | | | 10,000,000 | | | | 10,009,420 | |
| |
LoanCore Issuer, Ltd. (18-CRE1-A) | | | | | |
| | | |
1.22% (1 mo. USD LIBOR + 1.130%) (1),(2) | | | 05/15/28 | | | | 4,403,950 | | | | 4,404,813 | |
| |
Lucali CLO, Ltd. (20-1A-A) | | | | | |
| | | |
1.33% (3 mo. USD LIBOR + 1.210%) (1),(2) | | | 01/15/33 | | | | 18,000,000 | | | | 18,014,562 | |
| |
M360, Ltd. (21-CRE3-A) | | | | | |
| | | |
1.59% (1 mo. USD LIBOR + 1.500%) (1),(2) | | | 10/22/36 | | | | 10,000,000 | | | | 10,101,819 | |
| |
Madison Park Funding XLVIII, Ltd. (21-48A-A) | | | | | |
| | | |
1.27% (3 mo. USD LIBOR + 1.150%) (1),(2) | | | 04/19/33 | | | | 18,000,000 | | | | 18,027,900 | |
| |
Madison Park Funding XXXVIII, Ltd. (21-38A-B) | | | | | |
| | | |
1.78% (3 mo. USD LIBOR + 1.650%) (1),(2) | | | 07/17/34 | | | | 10,000,000 | | | | 10,013,260 | |
See accompanying Notes to Financial Statements.
79
TCW Total Return Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| ASSET-BACKED SECURITIES (Continued) | |
| |
Marathon CRE, Ltd. (18-FL1-A) | | | | | |
| | | |
1.24% (1 mo. USD LIBOR + 1.150%) (1),(2) | | | 06/15/28 | | | $ | 2,359,593 | | | $ | 2,360,049 | |
| |
Navient Student Loan Trust (14-3-A) | | | | | |
| | | |
0.71% (1 mo. USD LIBOR + 0.620%) (2) | | | 03/25/83 | | | | 20,519,980 | | | | 20,520,143 | |
| |
Navient Student Loan Trust (14-4-A) | | | | | |
| | | |
0.71% (1 mo. USD LIBOR + 0.620%) (2) | | | 03/25/83 | | | | 11,262,158 | | | | 11,259,383 | |
| |
Navient Student Loan Trust (16-5A-A) | | | | | |
| | | |
1.34% (1 mo. USD LIBOR + 1.250%) (1),(2) | | | 06/25/65 | | | | 14,403,452 | | | | 15,072,908 | |
| |
Neuberger Berman Loan Advisers CLO, Ltd. (20-36A-A1R) | | | | | |
| | | |
1.38% (3 mo. USD LIBOR + 1.250%) (1),(2) | | | 04/20/33 | | | | 18,750,000 | | | | 18,775,744 | |
| |
OHA Credit Funding 3, Ltd. (19-3A-BR) | | | | | |
| | | |
1.78% (3 mo. USD LIBOR + 1.650%) (1),(2) | | | 07/02/35 | | | | 13,000,000 | | | | 13,017,602 | |
| |
OHA Credit Funding, Ltd. (21-9A-B) | | | | | |
| | | |
1.88% (3 mo. USD LIBOR + 1.700%) (1),(2) | | | 07/19/35 | | | | 17,500,000 | | | | 17,532,148 | |
| |
Palmer Square CLO, Ltd. (14-1A-A1R2) | | | | | |
| | | |
1.25% (3 mo. USD LIBOR + 1.130%) (1),(2) | | | 01/17/31 | | | | 10,000,000 | | | | 10,007,500 | |
| |
Palmer Square Loan Funding Ltd. (20-2A-A2) | | | | | |
| | | |
1.68% (3 mo. USD LIBOR + 1.550%) (1),(2) | | | 04/20/28 | | | | 7,750,000 | | | | 7,756,913 | |
| |
Park Avenue Institutional Advisers CLO, Ltd. (21-1A-A1A) | | | | | |
| | | |
1.52% (3 mo. USD LIBOR + 1.390%) (1),(2) | | | 01/20/34 | | | | 19,000,000 | | | | 19,056,240 | |
| |
Rockford Tower CLO, Ltd. (18-1A-A) | | | | | |
| | | |
1.23% (1 X 3 mo. USD LIBOR + 1.100%) (1),(2) | | | 05/20/31 | | | | 4,750,000 | | | | 4,752,147 | |
| |
Sixth Street CLO XVII, Ltd. (21-17A-A) | | | | | |
| | | |
1.37% (3 mo. USD LIBOR + 1.240%) (1),(2) | | | 01/20/34 | | | | 18,000,000 | | | | 18,067,320 | |
| |
SLM Student Loan Trust (08-5-A4) | | | | | |
| | | |
1.82% (3 mo. USD LIBOR + 1.700%) (2) | | | 07/25/23 | | | | 1,772,779 | | | | 1,790,483 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| ASSET-BACKED SECURITIES (Continued) | |
| |
SLM Student Loan Trust (08-8-B) | | | | | |
| | | |
2.37% (3 mo. USD LIBOR + 2.250%) (2) | | | 10/25/75 | | | $ | 5,706,000 | | | $ | 5,752,527 | |
| | | | | | | | | | | | |
| | |
Total Asset-Backed Securities | | | | | | | | | |
| |
(Cost: $537,137,217) | | | | 534,101,588 | |
| | | | | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
AGENCY — 0.5% | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K038-X3) (I/O) | | | | | |
| | | |
2.49% (4) | | | 06/25/42 | | | | 78,039,937 | | | | 4,463,724 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K040-X3) (I/O) | | | | | |
| | | |
2.04% (4) | | | 11/25/42 | | | | 77,991,835 | | | | 4,408,839 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K042-X3) (I/O) | | | | | |
| | | |
1.60% (4) | | | 01/25/43 | | | | 76,625,000 | | | | 3,599,341 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K045-X3) (I/O) | | | | | |
| | | |
1.50% (4) | | | 04/25/43 | | | | 126,630,757 | | | | 6,034,063 | |
| |
Freddie Mac Multifamily Structured Pass-Through Certificates (K046-X3) (I/O) | | | | | |
| | | |
1.51% (4) | | | 04/25/43 | | | | 94,964,072 | | | | 4,524,877 | |
| | | | | | | | | | | | |
| |
Total Commercial Mortgage-Backed
Securities — Agency | | | | | |
| |
(Cost: $35,285,762) | | | | 23,030,844 | |
| | | | | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY — 9.8% | |
| |
1345 Avenue of the Americas & Park Avenue Plaza Trust (05-1-A3) | | | | | |
| | | |
5.28% (1) | | | 08/10/35 | | | | 10,401,853 | | | | 11,046,470 | |
| |
BAMLL Commercial Mortgage Securities Trust (20-BOC-A) | | | | | |
| | | |
2.63% (1) | | | 01/15/32 | | | | 14,275,000 | | | | 14,701,333 | |
| |
BDS, Ltd. (20-FL6-C) | | | | | |
| | | |
2.41% (SOFR30A + 2.364%) (1),(2) | | | 09/15/35 | | | | 21,477,000 | | | | 21,840,698 | |
|
Benchmark Mortgage Trust (19-B14-225C) | |
| | | |
3.29% (1),(4) | | | 12/15/62 | | | | 13,234,000 | | | | 12,668,335 | |
| |
Benchmark Mortgage Trust (19-B14-225D) | | | | | |
| | | |
3.29% (1),(4) | | | 12/15/62 | | | | 20,303,000 | | | | 19,014,793 | |
| |
BFLD Trust (20-OBRK-A) | | | | | |
| | | |
2.14% (1 mo. USD LIBOR + 2.050%) (1),(2) | | | 11/15/28 | | | | 17,940,000 | | | | 17,980,467 | |
| |
BPR Trust (21-WILL-A) | | | | | |
| | | |
1.84% (1 mo. USD LIBOR + 1.750%) (1),(2) | | | 06/15/38 | | | | 17,064,721 | | | | 17,070,855 | |
| |
BX Commercial Mortgage Trust (20-VIV4-A) | | | | | |
| | | |
2.84% (1) | | | 03/09/44 | | | | 15,285,000 | | | | 15,790,324 | |
See accompanying Notes to Financial Statements.
80
TCW Total Return Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
|
BX Trust (19-OC11-A) | |
| | | |
3.20% (1) | | | 12/09/41 | | | $ | 8,270,000 | | | $ | 8,770,686 | |
| |
BX Trust (21-SDMF-J) | | | | | |
| | | |
4.12% (1 mo. USD LIBOR + 4.033%) (1),(2) | | | 09/15/34 | | | | 13,000,000 | | | | 12,975,366 | |
| |
CAMB Commercial Mortgage Trust (19-LIFE-D) | | | | | |
| | | |
1.84% (1 mo. USD LIBOR + 1.750%) (1),(2) | | | 12/15/37 | | | | 14,425,000 | | | | 14,439,152 | |
| |
Credit Suisse Mortgage Trust | | | | | |
| | | |
3.81% (1 mo. USD LIBOR + 3.714%) (1),(2) | | | 08/15/23 | | | | 19,780,000 | | | | 19,829,399 | |
| |
DBGS Mortgage Trust (18-BIOD-E) | | | | | |
| | | |
1.79% (1 mo. USD LIBOR + 1.700%) (1),(2) | | | 05/15/35 | | | | 9,281,389 | | | | 9,290,086 | |
|
DBWF Mortgage Trust | |
| | | |
(16-85T-A)
3.79% (1) | | | 12/10/36 | | | | 6,385,000 | | | | 6,958,551 | |
| |
DC Office Trust | | | | | |
| | | |
(19-MTC-A) 2.97% (1) | | | 09/15/45 | | | | 5,750,000 | | | | 6,073,356 | |
| |
Grace Trust (20-GRCE-A) | | | | | |
| | | |
2.35% (1) | | | 12/10/40 | | | | 30,000,000 | | | | 30,246,858 | |
| |
Great Wolf Trust (19-WOLF-A) | | | | | |
| | | |
1.12% (1 mo. USD LIBOR + 1.034%) (1),(2) | | | 12/15/36 | | | | 13,315,000 | | | | 13,327,617 | |
| |
GS Mortgage Securities Corp. Trust (12-ALOH-A) | | | | | |
| | | |
3.55% (1) | | | 04/10/34 | | | | 13,366,000 | | | | 13,445,822 | |
|
GS Mortgage Securities Corp. Trust (12-ALOH-D) | |
| | | |
4.13% (1),(4) | | | 04/10/34 | | | | 10,605,000 | | | | 10,627,328 | |
| |
Houston Galleria Mall Trust (15-HGLR-D) | | | | | |
| | | |
3.98% (1) | | | 03/05/37 | | | | 17,500,000 | | | | 17,290,850 | |
| |
Hudson Yards Mortgage Trust (19-55HY-A) | | | | | |
| | | |
2.94% (1),(4) | | | 12/10/41 | | | | 5,750,000 | | | | 6,095,038 | |
| |
JPMorgan Chase Commercial Mortgage Securities Trust (18-LAQ-A) | | | | | |
| | | |
1.09% (1 mo. USD LIBOR + 1.000%) (1),(2) | | | 06/15/32 | | | | 1,705,839 | | | | 1,707,011 | |
| |
JPMorgan Chase Commercial Mortgage Securities Trust (18-PHH-A) | | | | | |
| | | |
2.56% (1 mo. USD LIBOR + 1.060%) (1),(2) | | | 06/15/35 | | | | 11,619,337 | | | | 11,581,500 | |
| |
JPMorgan Chase Commercial Mortgage Securities Trust (19-OSB-A) | | | | | |
| | | |
3.40% (1) | | | 06/05/39 | | | | 13,765,000 | | | | 15,002,005 | |
|
Life Mortgage Trust (21-BMR-G) | |
| | | |
3.04% (1 mo. USD LIBOR + 2.950%) (1),(2) | | | 03/15/38 | | | | 21,493,000 | | | | 21,542,868 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
MF1, Ltd. (20-FL3-C) | | | | | |
| | | |
4.66% (SOFR + 4.614%) (1),(2) | | | 07/15/35 | | | $ | 22,100,000 | | | $ | 22,573,551 | |
| |
MFT Trust (20-ABC-D) | | | | | |
| | | |
3.48% (1),(4) | | | 02/10/42 | | | | 3,245,000 | | | | 3,102,913 | |
| |
Morgan Stanley Capital I Trust (18-MP-A) | | | | | |
| | | |
4.28% (1),(4) | | | 07/11/40 | | | | 18,650,000 | | | | 20,685,812 | |
| |
Morgan Stanley Capital I Trust (19-L2-A3) | | | | | |
| | | |
3.81% | | | 03/15/52 | | | | 6,865,000 | | | | 7,548,024 | |
| |
Morgan Stanley Capital I Trust (20-CNP-A) | | | | | |
| | | |
2.43% (1),(4) | | | 04/05/42 | | | | 18,000,000 | | | | 18,337,133 | |
| |
One Bryant Park Trust (19-OBP-A) | | | | | |
| | | |
2.52% (1) | | | 09/15/54 | | | | 16,825,000 | | | | 17,286,949 | |
| |
One Market Plaza Trust (17-1MKT-A) | | | | | |
| | | |
3.61% (1) | | | 02/10/32 | | | | 19,690,000 | | | | 19,808,864 | |
| |
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A2A) | | | | | |
| | | |
3.66% (1),(4) | | | 01/05/43 | | | | 20,935,000 | | | | 23,020,486 | |
| |
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A2B) | | | | | |
| | | |
4.14% (1),(4) | | | 01/05/43 | | | | 340,000 | | | | 376,933 | |
| |
SLG Office Trust (21-OVA-G) | | | | | |
| | | |
2.85% (1) | | | 07/15/41 | | | | 16,460,000 | | | | 14,739,191 | |
| | | | | | | | | | | | |
| |
Total Commercial Mortgage-Backed
Securities — Non-Agency | | | | | |
| |
(Cost: $496,807,733) | | | | 496,796,624 | |
| | | | | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY — 50.4% | |
| |
Fannie Mae, Pool #MA4152 | | | | | |
| | | |
2.00% | | | 10/01/40 | | | | 59,503,773 | | | | 60,675,324 | |
| |
Fannie Mae , Pool #BM5979 | | | | | |
| | | |
3.50% | | | 09/01/45 | | | | 8,016,361 | | | | 8,655,228 | |
| |
Fannie Mae , Pool #FM2342 | | | | | |
| | | |
3.50% | | | 12/01/46 | | | | 4,743,017 | | | | 5,121,014 | |
| |
Fannie Mae (01-40-Z) | | | | | |
| | | |
6.00% | | | 08/25/31 | | | | 107,817 | | | | 120,341 | |
| |
Fannie Mae (03-117-TG) (PAC) | | | | | |
| | | |
4.75% | | | 08/25/33 | | | | 163,017 | | | | 170,723 | |
| |
Fannie Mae (04-52-SW) (I/O) (I/F) | | | | | |
| | | |
7.01% (-1 x 1 mo. USD LIBOR + 7.100%) (2) | | | 07/25/34 | | | | 426,825 | | | | 43,110 | |
|
Fannie Mae (04-65-LT) | |
| | | |
4.50% | | | 08/25/24 | | | | 352,374 | | | | 365,355 | |
| |
Fannie Mae (04-68-LC) | | | | | |
| | | |
5.00% | | | 09/25/29 | | | | 852,385 | | | | 917,688 | |
| |
Fannie Mae (05-117-LC) (PAC) | | | | | |
| | | |
5.50% | | | 11/25/35 | | | | 979,219 | | | | 999,302 | |
See accompanying Notes to Financial Statements.
81
TCW Total Return Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Fannie Mae (05-74-CP) (I/F) (PAC) | | | | | |
| | | |
24.42% (-1 x 1 mo. USD LIBOR + 24.750%) (2) | | | 05/25/35 | | | $ | 101,113 | | | $ | 131,679 | |
| |
Fannie Mae (07-103-AI) (I/O) (I/F) | | | | | |
| | | |
6.41% (-1 x 1 mo. USD LIBOR + 6.500%) (2) | | | 03/25/37 | | | | 2,928,130 | | | | 504,603 | |
| |
Fannie Mae (07-20-SI) (I/O) (I/F) | | | | | |
| | | |
6.36% (-1 x 1 mo. USD LIBOR + 6.450%) (2) | | | 03/25/37 | | | | 745,355 | | | | 111,655 | |
| |
Fannie Mae (07-21-SE) (I/O) (I/F) | | | | | |
| | | |
6.35% (-1 x 1 mo. USD LIBOR + 6.440%) (2) | | | 03/25/37 | | | | 477,770 | | | | 79,504 | |
|
Fannie Mae (07-56-SG) (I/O) (I/F) | |
| | | |
6.32% (-1 x 1 mo. USD LIBOR + 6.410%) (2) | | | 06/25/37 | | | | 740,274 | | | | 71,859 | |
| |
Fannie Mae (07-58-SV) (I/O) (I/F) | | | | | |
| | | |
6.66% (-1 x 1 mo. USD LIBOR + 6.750%) (2) | | | 06/25/37 | | | | 3,339,334 | | | | 485,243 | |
| |
Fannie Mae (07-65-S) (I/O) (I/F) | | | | | |
| | | |
6.51% (-1 x 1 mo. USD LIBOR + 6.600%) (2) | | | 07/25/37 | | | | 539,937 | | | | 64,323 | |
| |
Fannie Mae (07-88-FY) | | | | | |
| | | |
0.55% (1 mo. USD LIBOR + 0.460%) (2) | | | 09/25/37 | | | | 416,591 | | | | 423,672 | |
| |
Fannie Mae (07-B2-ZA) | | | | | |
| | | |
5.50% | | | 06/25/37 | | | | 7,097,710 | | | | 8,150,072 | |
| |
Fannie Mae (08-1-AI) (I/O) (I/F) | | | | | |
| | | |
6.16% (-1 x 1 mo. USD LIBOR + 6.250%) (2) | | | 05/25/37 | | | | 2,887,769 | | | | 331,366 | |
|
Fannie Mae (08-13-SB) (I/O) (I/F) | |
| | | |
6.15% (-1 x 1 mo. USD LIBOR + 6.240%) (2) | | | 03/25/38 | | | | 2,811,622 | | | | 603,816 | |
| |
Fannie Mae (08-23-SB) (I/O) (I/F) | | | | | |
| | | |
6.76% (-1 x 1 mo. USD LIBOR + 6.850%) (2) | | | 04/25/38 | | | | 4,208,176 | | | | 639,876 | |
| |
Fannie Mae (08-35-SD) (I/O) (I/F) | | | | | |
| | | |
6.36% (-1 x 1 mo. USD LIBOR + 6.450%) (2) | | | 05/25/38 | | | | 405,834 | | | | 53,716 | |
| |
Fannie Mae (08-66-SG) (I/O) (I/F) | | | | | |
| | | |
5.98% (-1 x 1 mo. USD LIBOR + 6.070%) (2) | | | 08/25/38 | | | | 6,154,884 | | | | 1,175,513 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Fannie Mae (08-68-SA) (I/O) (I/F) | | | | | |
| | | |
5.88% (-1 x 1 mo. USD LIBOR + 5.970%) (2) | | | 08/25/38 | | | $ | 2,053,990 | | | $ | 249,979 | |
| |
Fannie Mae (09-3-SH) (I/O) (I/F) | | | | | |
| | | |
5.36% (-1 x 1 mo. USD LIBOR + 5.450%) (2) | | | 06/25/37 | | | | 831,877 | | | | 87,696 | |
| |
Fannie Mae (09-47-SV) (I/O) (I/F) | | | | | |
| | | |
6.66% (-1 x 1 mo. USD LIBOR + 6.750%) (2) | | | 07/25/39 | | | | 434,208 | | | | 50,613 | |
| |
Fannie Mae (09-51-SA) (I/O) (I/F) | | | | | |
| | | |
6.66% (-1 x 1 mo. USD LIBOR + 6.750%) (2) | | | 07/25/39 | | | | 2,756,089 | | | | 402,534 | |
| |
Fannie Mae (09-6-SD) (I/O) (I/F) | | | | | |
| | | |
5.46% (-1 x 1 mo. USD LIBOR + 5.550%) (2) | | | 02/25/39 | | | | 677,072 | | | | 105,326 | |
| |
Fannie Mae (09-68-KB) | | | | | |
| | | |
4.00% | | | 09/25/24 | | | | 1,289,345 | | | | 1,331,367 | |
| |
Fannie Mae (09-71-LB) | | | | | |
| | | |
4.00% | | | 09/25/29 | | | | 5,999,648 | | | | 6,384,506 | |
| |
Fannie Mae (09-72-AC) | | | | | |
| | | |
4.00% | | | 09/25/29 | | | | 7,902,210 | | | | 8,475,456 | |
| |
Fannie Mae (09-72-JS) (I/O) (I/F) | | | | | |
| | | |
7.16% (-1 x 1 mo. USD LIBOR + 7.250%) (2) | | | 09/25/39 | | | | 514,251 | | | | 108,866 | |
| |
Fannie Mae (10-136-CX) (PAC) | | | | | |
| | | |
4.00% | | | 08/25/39 | | | | 10,595,194 | | | | 10,844,460 | |
| |
Fannie Mae (11-111-DB) | | | | | |
| | | |
4.00% | | | 11/25/41 | | | | 10,299,400 | | | | 11,139,984 | |
| |
Fannie Mae (12-128-UY) (PAC) | | | | | |
| | | |
2.50% | | | 11/25/42 | | | | 11,738,000 | | | | 12,169,956 | |
| |
Fannie Mae (12-133-GC) (PAC) | | | | | |
| | | |
2.50% | | | 08/25/41 | | | | 9,681,683 | | | | 9,919,872 | |
| |
Fannie Mae (12-153-PC) (PAC) | | | | | |
| | | |
2.00% | | | 05/25/42 | | | | 3,168,060 | | | | 3,217,551 | |
| |
Fannie Mae (13-101-BO) (P/O) | | | | | |
| | | |
0.00% (5) | | | 10/25/43 | | | | 4,135,902 | | | | 3,668,521 | |
| |
Fannie Mae (13-101-CO) (P/O) | | | | | |
| | | |
0.00% (5) | | | 10/25/43 | | | | 9,437,974 | | | | 8,491,381 | |
| |
Fannie Mae (13-95-PN) (PAC) | | | | | |
| | | |
3.00% | | | 01/25/43 | | | | 21,400,000 | | | | 22,281,797 | |
| |
Fannie Mae (16-106-EF) | | | | | |
| | | |
0.59% (1 mo. USD LIBOR + 0.500%) (2) | | | 01/25/47 | | | | 15,095,960 | | | | 15,240,433 | |
See accompanying Notes to Financial Statements.
82
TCW Total Return Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Fannie Mae (16-63-AF) | | | | | |
| | | |
0.59% (1 mo. USD LIBOR + 0.500%) (2) | | | 09/25/46 | | | $ | 9,289,426 | | | $ | 9,395,841 | |
| |
Fannie Mae (18-25-FA) | | | | | |
| | | |
0.39% (1 mo. USD LIBOR + 0.300%) (2) | | | 04/25/48 | | | | 17,753,087 | | | | 17,816,672 | |
| |
Fannie Mae (18-52 PZ) (PAC) | | | | | |
| | | |
4.00% | | | 07/25/48 | | | | 3,230,644 | | | | 3,403,927 | |
| |
Fannie Mae (18-55 PA) (PAC) | | | | | |
| | | |
3.50% | | | 01/25/47 | | | | 4,793,811 | | | | 4,951,979 | |
| |
Fannie Mae (19-57) | | | | | |
| | | |
2.50% | | | 10/25/49 | | | | 10,546,401 | | | | 10,832,958 | |
| |
Fannie Mae (20-10-FA) | | | | | |
| | | |
0.59% (1 mo. USD LIBOR + 0.500%) (2) | | | 03/25/50 | | | | 10,407,074 | | | | 10,465,330 | |
| |
Fannie Mae (20-12-FL) | | | | | |
| | | |
0.54% (1 mo. USD LIBOR + 0.450%) (2) | | | 03/25/50 | | | | 20,062,613 | | | | 20,232,500 | |
| |
Fannie Mae (93-202-SZ) (I/F) (PAC) | | | | | |
| | | |
10.00% (Prime+44.286) (2) | | | 11/25/23 | | | | 12,513 | | | | 13,189 | |
| |
Fannie Mae (95-21-C) (P/O) | | | | | |
| | | |
0.00% (5) | | | 05/25/24 | | | | 83,535 | | | | 83,185 | |
| |
Fannie Mae (G92-29-J) | | | | | |
| | | |
8.00% | | | 07/25/22 | | | | 304 | | | | 307 | |
| |
Fannie Mae, Pool #254634 | | | | | |
| | | |
5.50% | | | 02/01/23 | | | | 13,501 | | | | 15,079 | |
| |
Fannie Mae, Pool #257536 | | | | | |
| | | |
5.00% | | | 01/01/29 | | | | 727,172 | | | | 807,510 | |
| |
Fannie Mae, Pool #310033 | | | | | |
| | | |
6.00% | | | 07/01/47 | | | | 378,667 | | | | 438,364 | |
| |
Fannie Mae, Pool #555424 | | | | | |
| | | |
5.50% | | | 05/01/33 | | | | 1,791,743 | | | | 2,033,038 | |
| |
Fannie Mae, Pool #661856 | | | | | |
| | | |
1.87% (12 mo. USD LIBOR + 1.623%) (2) | | | 10/01/32 | | | | 24,681 | | | | 25,253 | |
| |
Fannie Mae, Pool #671133 | | | | | |
| | | |
1.54% (6 mo. USD LIBOR + 1.413%) (2) | | | 02/01/33 | | | | 64,074 | | | | 65,390 | |
| |
Fannie Mae, Pool #687847 | | | | | |
| | | |
1.99% (12 mo. USD LIBOR + 1.615%) (2) | | | 02/01/33 | | | | 18,376 | | | | 18,591 | |
| |
Fannie Mae, Pool #692104 | | | | | |
| | | |
1.54% (6 mo. USD LIBOR + 1.413%) (2) | | | 02/01/33 | | | | 346,504 | | | | 357,288 | |
| |
Fannie Mae, Pool #699866 | | | | | |
| | | |
1.83% (12 mo. USD LIBOR + 1.551%) (2) | | | 04/01/33 | | | | 153,200 | | | | 160,245 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Fannie Mae, Pool #704454 | | | | | |
| | | |
1.94% (12 mo. USD LIBOR + 1.686%) (2) | | | 05/01/33 | | | $ | 24,185 | | | $ | 24,864 | |
| |
Fannie Mae, Pool #728824 | | | | | |
| | | |
1.87% (12 mo. USD LIBOR + 1.622%) (2) | | | 07/01/33 | | | | 51,536 | | | | 51,701 | |
| |
Fannie Mae, Pool #734384 | | | | | |
| | | |
5.50% | | | 07/01/33 | | | | 245,360 | | | | 272,276 | |
| |
Fannie Mae, Pool #888593 | | | | | |
| | | |
7.00% | | | 06/01/37 | | | | 235,354 | | | | 287,367 | |
| |
Fannie Mae, Pool #934103 | | | | | |
| | | |
5.00% | | | 07/01/38 | | | | 143,949 | | | | 152,852 | |
| |
Fannie Mae, Pool #979563 | | | | | |
| | | |
5.00% | | | 04/01/28 | | | | 506,333 | | | | 557,043 | |
| |
Fannie Mae, Pool #995040 | | | | | |
| | | |
5.00% | | | 06/01/23 | | | | 66,935 | | | | 69,305 | |
| |
Fannie Mae, Pool #995425 | | | | | |
| | | |
6.00% | | | 01/01/24 | | | | 270,938 | | | | 280,068 | |
| |
Fannie Mae, Pool #995573 | | | | | |
| | | |
6.00% | | | 01/01/49 | | | | 1,172,246 | | | | 1,279,773 | |
| |
Fannie Mae, Pool #995953 | | | | | |
| | | |
6.00% | | | 11/01/28 | | | | 1,977,984 | | | | 2,220,315 | |
| |
Fannie Mae, Pool #995954 | | | | | |
| | | |
6.00% | | | 03/01/29 | | | | 1,119,963 | | | | 1,257,347 | |
| |
Fannie Mae, Pool #AA3303 | | | | | |
| | | |
5.50% | | | 06/01/38 | | | | 2,009,921 | | | | 2,315,640 | |
| |
Fannie Mae, Pool #AB6210 | | | | | |
| | | |
3.00% | | | 09/01/42 | | | | 22,215,786 | | | | 23,689,569 | |
| |
Fannie Mae, Pool #AE0588 | | | | | |
| | | |
6.00% | | | 08/01/37 | | | | 4,220,846 | | | | 4,947,286 | |
| |
Fannie Mae, Pool #AL0851 | | | | | |
| | | |
6.00% | | | 10/01/40 | | | | 2,718,462 | | | | 3,155,119 | |
| |
Fannie Mae, Pool #AL1594 | | | | | |
| | | |
6.00% | | | 07/01/40 | | | | 2,140,379 | | | | 2,481,542 | |
| |
Fannie Mae, Pool #AL9106 | | | | | |
| | | |
4.50% | | | 02/01/46 | | | | 11,907,696 | | | | 13,196,278 | |
| |
Fannie Mae, Pool #AS7241 | | | | | |
| | | |
3.50% | | | 05/01/46 | | | | 8,172,235 | | | | 8,790,325 | |
| |
Fannie Mae, Pool #AS9454 | | | | | |
| | | |
4.00% | | | 04/01/47 | | | | 1,356,088 | | | | 1,461,637 | |
| |
Fannie Mae, Pool #BN4316 | | | | | |
| | | |
4.00% | | | 01/01/49 | | | | 183,616 | | | | 198,074 | |
| |
Fannie Mae, Pool #BN6264 | | | | | |
| | | |
4.00% | | | 04/01/49 | | | | 4,331,003 | | | | 4,672,700 | |
| |
Fannie Mae, Pool #CA1540 | | | | | |
| | | |
4.00% | | | 04/01/48 | | | | 16,679,270 | | | | 18,254,028 | |
| |
Fannie Mae, Pool #CA1710 | | | | | |
| | | |
4.50% | | | 05/01/48 | | | | 8,777,483 | | | | 9,513,965 | |
See accompanying Notes to Financial Statements.
83
TCW Total Return Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Fannie Mae, Pool #CA1711 | | | | | |
| | | |
4.50% | | | 05/01/48 | | | $ | 7,921,986 | | | $ | 8,601,358 | |
| |
Fannie Mae, Pool #CA2208 | | | | | |
| | | |
4.50% | | | 08/01/48 | | | | 9,014,114 | | | | 9,771,642 | |
| | | |
Fannie Mae, Pool #CA5689 | | | | | | | | | | | | |
| | | |
3.00% | | | 05/01/50 | | | | 44,983,338 | | | | 47,537,501 | |
| | | |
Fannie Mae, Pool #MA1561 | | | | | | | | | | | | |
| | | |
3.00% | | | 09/01/33 | | | | 22,735,641 | | | | 24,023,479 | |
| | | |
Fannie Mae, Pool #MA1584 | | | | | | | | | | | | |
| | | |
3.50% | | | 09/01/33 | | | | 14,697,623 | | | | 15,765,757 | |
| |
Fannie Mae, Pool #MA2995 | | | | | |
| | | |
4.00% | | | 05/01/47 | | | | 4,811,600 | | | | 5,204,467 | |
| |
Freddie Mac (4896-DA) | | | | | |
| | | |
3.00% | | | 01/15/49 | | | | 2,542,226 | | | | 2,677,836 | |
| |
Freddie Mac (4648-FA) | | | | | |
| | | |
0.59% (1 mo. USD LIBOR + 0.500%) (2) | | | 01/15/47 | | | | 8,949,839 | | | | 9,048,698 | |
| |
Freddie Mac (4929-FB) | | | | | |
| | | |
0.54% (1 mo. USD LIBOR + 0.450%) (2) | | | 09/25/49 | | | | 17,431,416 | | | | 17,571,578 | |
| |
Freddie Mac (1829-ZB) | | | | | |
| | | |
6.50% | | | 03/15/26 | | | | 27,755 | | | | 29,171 | |
| |
Freddie Mac (2367-ZK) | | | | | |
| | | |
6.00% | | | 10/15/31 | | | | 67,166 | | | | 75,031 | |
| |
Freddie Mac (2514-PZ) (PAC) | | | | | |
| | | |
5.50% | | | 10/15/32 | | | | 1,241,595 | | | | 1,366,906 | |
| |
Freddie Mac (2571-PZ) (PAC) | | | | | |
| | | |
5.50% | | | 02/15/33 | | | | 2,893,611 | | | | 3,189,432 | |
| |
Freddie Mac (2642-AR) | | | | | |
| | | |
4.50% | | | 07/15/23 | | | | 90,444 | | | | 92,847 | |
| |
Freddie Mac (2647-OV) (P/O) | | | | | |
| | | |
0.00% (5) | | | 07/15/33 | | | | 583,539 | | | | 504,724 | |
| |
Freddie Mac (2662-MT) (TAC) | | | | | |
| | | |
4.50% | | | 08/15/33 | | | | 886,912 | | | | 951,274 | |
| |
Freddie Mac (2666-BD) | | | | | |
| | | |
4.50% | | | 08/15/23 | | | | 211,708 | | | | 217,570 | |
| |
Freddie Mac (2700-B) | | | | | |
| | | |
4.50% | | | 11/15/23 | | | | 372,374 | | | | 383,572 | |
| |
Freddie Mac (277-30) | | | | | |
| | | |
3.00% | | | 09/15/42 | | | | 12,718,864 | | | | 13,283,448 | |
| |
Freddie Mac (2903-PO) (P/O) | | | | | |
| | | |
0.00% (5) | | | 11/15/23 | | | | 70,363 | | | | 69,661 | |
| |
Freddie Mac (3045-HZ) | | | | | |
| | | |
4.50% | | | 10/15/35 | | | | 732,795 | | | | 782,505 | |
| |
Freddie Mac (3063-YG) (PAC) | | | | | |
| | | |
5.50% | | | 11/15/35 | | | | 12,900,946 | | | | 14,702,997 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Freddie Mac (3114-KZ) | | | | | |
| | | |
5.00% | | | 02/15/36 | | | $ | 8,984,979 | | | $ | 9,967,417 | |
| |
Freddie Mac (3146-GE) | | | | | |
| | | |
5.50% | | | 04/15/26 | | | | 1,906,196 | | | | 2,038,020 | |
| |
Freddie Mac (3149-OD) (P/O) (PAC) | | | | | |
| | | |
0.00% (5) | | | 05/15/36 | | | | 3,136,174 | | | | 2,873,320 | |
| |
Freddie Mac (3315-S) (I/O) (I/F) | | | | | |
| | | |
6.32% (-1 x 1 mo. USD LIBOR + 6.410%) (2) | | | 05/15/37 | | | | 552,932 | | | | 83,163 | |
| |
Freddie Mac (3376-SX) (I/O) (I/F) | | | | | |
| | | |
5.95% (-1 x 1 mo. USD LIBOR + 6.040%) (2) | | | 10/15/37 | | | | 1,894,121 | | | | 293,664 | |
| |
Freddie Mac (3410-IS) (I/O) (I/F) | | | | | |
| | | |
6.18% (-1 x 1 mo. USD LIBOR + 6.270%) (2) | | | 02/15/38 | | | | 2,351,703 | | | | 374,667 | |
| |
Freddie Mac (3424-BI) (I/O) (I/F) | | | | | |
| | | |
6.71% (-1 x 1 mo. USD LIBOR + 6.800%) (2) | | | 04/15/38 | | | | 2,882,640 | | | | 652,512 | |
| |
Freddie Mac (3519-SH) (I/O) (I/F) | | | | | |
| | | |
5.41% (-1 x 1 mo. USD LIBOR + 5.500%) (2) | | | 07/15/37 | | | | 214,877 | | | | 29,097 | |
| |
Freddie Mac (3531-SC) (I/O) (I/F) | | | | | |
| | | |
6.21% (-1 x 1 mo. USD LIBOR + 6.300%) (2) | | | 05/15/39 | | | | 4,090,505 | | | | 314,590 | |
| |
Freddie Mac (3541-SA) (I/O) (I/F) | | | | | |
| | | |
6.66% (-1 x 1 mo. USD LIBOR + 6.750%) (2) | | | 06/15/39 | | | | 1,249,442 | | | | 267,103 | |
| |
Freddie Mac (3550-GS) (I/O) (I/F) | | | | | |
| | | |
6.66% (-1 x 1 mo. USD LIBOR + 6.750%) (2) | | | 07/15/39 | | | | 3,756,650 | | | | 822,683 | |
| |
Freddie Mac (3551-VZ) | | | | | |
| | | |
5.50% | | | 12/15/32 | | | | 1,593,171 | | | | 1,794,424 | |
| |
Freddie Mac (3557-KB) | | | | | |
| | | |
4.50% | | | 07/15/29 | | | | 2,704,025 | | | | 2,880,234 | |
| |
Freddie Mac (3557-NB) | | | | | |
| | | |
4.50% | | | 07/15/29 | | | | 6,251,255 | | | | 6,658,005 | |
| |
Freddie Mac (3558-KB) | | | | | |
| | | |
4.00% | | | 08/15/29 | | | | 2,847,301 | | | | 3,030,229 | |
| |
Freddie Mac (3565-XB) | | | | | |
| | | |
4.00% | | | 08/15/24 | | | | 2,509,311 | | | | 2,597,398 | |
| |
Freddie Mac (3575-D) | | | | | |
| | | |
4.50% | | | 03/15/37 | | | | 403,309 | | | | 432,084 | |
See accompanying Notes to Financial Statements.
84
TCW Total Return Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Freddie Mac (3788-SB) (I/O) (I/F) | | | | | |
| | | |
6.39% (-1 x 1 mo. USD LIBOR + 6.480%) (2) | | | 01/15/41 | | | $ | 5,249,644 | | | $ | 1,149,683 | |
| |
Freddie Mac (3885-PO) (P/O) (PAC) | | | | | |
| | | |
0.00% (5) | | | 11/15/33 | | | | 1,120,746 | | | | 1,038,267 | |
| |
Freddie Mac (3930-KE) (PAC) | | | | | |
| | | |
4.00% | | | 09/15/41 | | | | 10,470,000 | | | | 11,676,977 | |
| |
Freddie Mac (4030-HS) (I/O) (I/F) | | | | | |
| | | |
6.52% (-1 x 1 mo. USD LIBOR + 6.610%) (2) | | | 04/15/42 | | | | 1,961,452 | | | | 393,042 | |
| |
Freddie Mac (4604-PB) (PAC) | | | | | |
| | | |
3.00% | | | 01/15/46 | | | | 2,201,517 | | | | 2,281,335 | |
| |
Freddie Mac (4846-PA) | | | | | |
| | | |
4.00% | | | 06/15/47 | | | | 1,943,081 | | | | 2,018,651 | |
| |
Freddie Mac (R002-ZA) | | | | | |
| | | |
5.50% | | | 06/15/35 | | | | 2,623,113 | | | | 2,955,329 | |
| |
Freddie Mac, Pool #A91162 | | | | | |
| | | |
5.00% | | | 02/01/40 | | | | 12,985,478 | | | | 14,921,821 | |
| |
Freddie Mac, Pool #A92195 | | | | | |
| | | |
5.00% | | | 05/01/40 | | | | 3,354,951 | | | | 3,831,118 | |
| |
Freddie Mac, Pool #C90552 | | | | | |
| | | |
6.00% | | | 06/01/22 | | | | 1,846 | | | | 2,071 | |
| |
Freddie Mac, Pool #G01959 | | | | | |
| | | |
5.00% | | | 12/01/35 | | | | 69,655 | | | | 79,638 | |
| |
Freddie Mac, Pool #G06173 | | | | | |
| | | |
4.00% | | | 11/01/40 | | | | 15,646,698 | | | | 17,501,087 | |
| |
Freddie Mac, Pool #G07556 | | | | | |
| | | |
4.00% | | | 11/01/43 | | | | 4,953,188 | | | | 5,540,464 | |
| |
Freddie Mac, Pool #G07786 | | | | | |
| | | |
4.00% | | | 08/01/44 | | | | 15,834,986 | | | | 17,573,430 | |
| |
Freddie Mac, Pool #G07848 | | | | | |
| | | |
3.50% | | | 04/01/44 | | | | 40,754,596 | | | | 44,361,292 | |
| |
Freddie Mac, Pool #G08710 | | | | | |
| | | |
3.00% | | | 06/01/46 | | | | 1,334,909 | | | | 1,407,591 | |
| |
Freddie Mac, Pool #G08833 | | | | | |
| | | |
5.00% | | | 07/01/48 | | | | 3,986,439 | | | | 4,378,898 | |
| |
Freddie Mac, Pool #G08840 | | | | | |
| | | |
5.00% | | | 08/01/48 | | | | 697,883 | | | | 768,093 | |
| |
Freddie Mac, Pool #G08843 | | | | | |
| | | |
4.50% | | | 10/01/48 | | | | 5,566,962 | | | | 6,021,061 | |
| |
Freddie Mac, Pool #G08848 | | | | | |
| | | |
4.50% | | | 11/01/48 | | | | 2,777,404 | | | | 3,006,892 | |
| |
Freddie Mac, Pool #G08849 | | | | | |
| | | |
5.00% | | | 11/01/48 | | | | 5,355,996 | | | | 5,917,895 | |
| |
Freddie Mac, Pool #G12635 | | | | | |
| | | |
5.50% | | | 03/01/22 | | | | 24 | | | | 24 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Freddie Mac, Pool #G13390 | | | | | |
| | | |
6.00% | | | 01/01/24 | | | $ | 37,375 | | | $ | 38,115 | |
| |
Freddie Mac, Pool #G16085 | | | | | |
| | | |
2.50% | | | 02/01/32 | | | | 4,114,600 | | | | 4,316,976 | |
| |
Freddie Mac, Pool #G16598 | | | | | |
| | | |
2.50% | | | 12/01/31 | | | | 3,635,507 | | | | 3,799,342 | |
| |
Freddie Mac, Pool #G30450 | | | | | |
| | | |
6.00% | | | 01/01/29 | | | | 718,832 | | | | 807,190 | |
| |
Freddie Mac, Pool #G30452 | | | | | |
| | | |
6.00% | | | 10/01/28 | | | | 770,497 | | | | 865,147 | |
| |
Freddie Mac, Pool #G30454 | | | | | |
| | | |
5.00% | | | 05/01/29 | | | | 893,273 | | | | 983,074 | |
| |
Freddie Mac, Pool #G60238 | | | | | |
| | | |
3.50% | | | 10/01/45 | | | | 4,405,969 | | | | 4,761,467 | |
| |
Freddie Mac, Pool #G60440 | | | | | |
| | | |
3.50% | | | 03/01/46 | | | | 31,591,874 | | | | 34,140,877 | |
| |
Freddie Mac, Pool #G67700 | | | | | |
| | | |
3.50% | | | 08/01/46 | | | | 29,013,324 | | | | 31,327,076 | |
| |
Freddie Mac, Pool #G67703 | | | | | |
| | | |
3.50% | | | 04/01/47 | | | | 47,499,616 | | | | 51,243,079 | |
| |
Freddie Mac, Pool #G67707 | | | | | |
| | | |
3.50% | | | 01/01/48 | | | | 16,984,095 | | | | 18,469,755 | |
| |
Freddie Mac, Pool #G67709 | | | | | |
| | | |
3.50% | | | 03/01/48 | | | | 25,629,198 | | | | 27,673,279 | |
| |
Freddie Mac, Pool #G67717 | | | | | |
| | | |
4.00% | | | 11/01/48 | | | | 37,901,548 | | | | 41,484,198 | |
| |
Freddie Mac, Pool #N70081 | | | | | |
| | | |
5.50% | | | 07/01/38 | | | | 1,984,792 | | | | 2,182,434 | |
| |
Freddie Mac, Pool #P51350 | | | | | |
| | | |
5.00% | | | 03/01/36 | | | | 1,714,821 | | | | 1,936,571 | |
| |
Freddie Mac, Pool #SD7513 | | | | | |
| | | |
3.50% | | | 04/01/50 | | | | 19,448,509 | | | | 20,934,382 | |
| |
Freddie Mac, Pool #ZT1491 | | | | | |
| | | |
3.50% | | | 11/01/48 | | | | 10,627,427 | | | | 11,401,320 | |
| |
Ginnie Mae (11-70-BO) (P/O) | | | | | |
| | | |
0.00% (5) | | | 05/20/41 | | | | 4,767,680 | | | | 4,142,327 | |
| |
Ginnie Mae (15-42-ZB) | | | | | |
| | | |
3.00% | | | 03/20/45 | | | | 19,433,376 | | | | 20,467,282 | |
| |
Ginnie Mae (15-43-DM) | | | | | |
| | | |
2.50% | | | 03/20/45 | | | | 20,000,000 | | | | 20,649,166 | |
| |
Ginnie Mae (15-44-Z) | | | | | |
| | | |
3.00% | | | 03/20/45 | | | | 13,150,738 | | | | 13,981,104 | |
| |
Ginnie Mae, Pool #MA3662 | | | | | |
| | | |
3.00% | | | 05/20/46 | | | | 7,862,240 | | | | 8,241,832 | |
| |
Ginnie Mae II, Pool #80963 | | | | | |
| | | |
2.25% (1-year Treasury Constant Maturity Rate + 1.500%) (2) | | | 07/20/34 | | | | 69,381 | | | | 71,783 | |
See accompanying Notes to Financial Statements.
85
TCW Total Return Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Ginnie Mae II, Pool #MA2374 | | | | | |
| | | |
5.00% | | | 11/20/44 | | | $ | 294,174 | | | $ | 329,660 | |
| |
Ginnie Mae II, Pool #MA2828 | | | | | |
| | | |
4.50% | | | 05/20/45 | | | | 204,279 | | | | 226,899 | |
| |
Ginnie Mae II, Pool #MA3456 | | | | | |
| | | |
4.50% | | | 02/20/46 | | | | 1,093,323 | | | | 1,214,343 | |
| |
Ginnie Mae II, Pool #MA3521 | | | | | |
| | | |
3.50% | | | 03/20/46 | | | | 27,093,505 | | | | 28,724,133 | |
| |
Ginnie Mae II, Pool #MA3663 | | | | | |
| | | |
3.50% | | | 05/20/46 | | | | 13,135,058 | | | | 13,900,966 | |
| |
Ginnie Mae II, Pool #MA3665 | | | | | |
| | | |
4.50% | | | 05/20/46 | | | | 1,712,642 | | | | 1,895,794 | |
| |
Ginnie Mae II, Pool #MA3735 | | | | | |
| | | |
3.00% | | | 06/20/46 | | | | 100,212 | | | | 105,050 | |
| |
Ginnie Mae II, Pool #MA3739 | | | | | |
| | | |
5.00% | | | 06/20/46 | | | | 3,288,146 | | | | 3,750,553 | |
| |
Ginnie Mae II, Pool #MA3876 | | | | | |
| | | |
4.50% | | | 08/20/46 | | | | 112,307 | | | | 124,317 | |
| |
Ginnie Mae II, Pool #MA3877 | | | | | |
| | | |
5.00% | | | 08/20/46 | | | | 1,557,649 | | | | 1,746,522 | |
| |
Ginnie Mae II, Pool #MA4006 | | | | | |
| | | |
4.50% | | | 10/20/46 | | | | 54,110 | | | | 59,947 | |
| |
Ginnie Mae II, Pool #MA4007 | | | | | |
| | | |
5.00% | | | 10/20/46 | | | | 3,187,022 | | | | 3,635,180 | |
| |
Ginnie Mae II, Pool #MA4071 | | | | | |
| | | |
4.50% | | | 11/20/46 | | | | 235,543 | | | | 262,775 | |
| |
Ginnie Mae II, Pool #MA4129 | | | | | |
| | | |
4.50% | | | 12/20/46 | | | | 79,453 | | | | 88,344 | |
| |
Ginnie Mae II, Pool #MA4199 | | | | | |
| | | |
5.00% | | | 01/20/47 | | | | 3,123,254 | | | | 3,562,394 | |
| |
Ginnie Mae II, Pool #MA4264 | | | | | |
| | | |
4.50% | | | 02/20/47 | | | | 8,337,502 | | | | 9,099,336 | |
| |
Ginnie Mae II, Pool #MA4265 | | | | | |
| | | |
5.00% | | | 02/20/47 | | | | 2,650,048 | | | | 2,978,371 | |
| |
Ginnie Mae II, Pool #MA4324 | | | | | |
| | | |
5.00% | | | 03/20/47 | | | | 3,125,325 | | | | 3,572,711 | |
| |
Ginnie Mae II, Pool #MA4385 | | | | | |
| | | |
5.00% | | | 04/20/47 | | | | 666,748 | | | | 743,219 | |
| |
Ginnie Mae II, Pool #MA4454 | | | | | |
| | | |
5.00% | | | 05/20/47 | | | | 485,275 | | | | 533,177 | |
| |
Ginnie Mae II, Pool #MA4513 | | | | | |
| | | |
5.00% | | | 06/20/47 | | | | 1,917,047 | | | | 2,115,215 | |
| |
Ginnie Mae II, Pool #MA4781 | | | | | |
| | | |
5.00% | | | 10/20/47 | | | | 2,164,805 | | | | 2,390,092 | |
| |
Ginnie Mae II, Pool #MA4836 | | | | | |
| | | |
3.00% | | | 11/20/47 | | | | 10,605,751 | | | | 11,098,037 | |
| |
Ginnie Mae II, Pool #MA4838 | | | | | |
| | | |
4.00% | | | 11/20/47 | | | | 10,878,404 | | | | 11,674,035 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
AGENCY (Continued) | |
| |
Ginnie Mae II, Pool #MA4900 | | | | | |
| | | |
3.50% | | | 12/20/47 | | | $ | 7,884,007 | | | $ | 8,311,640 | |
| |
Ginnie Mae II, Pool #MA4901 | | | | | |
| | | |
4.00% | | | 12/20/47 | | | | 739,240 | | | | 790,926 | |
| |
Ginnie Mae II, Pool #MA5467 | | | | | |
| | | |
4.50% | | | 09/20/48 | | | | 733,919 | | | | 785,629 | |
| |
Ginnie Mae II, Pool #MA6080 | | | | | |
| | | |
3.00% | | | 08/20/49 | | | | 313,680 | | | | 321,477 | |
| |
Ginnie Mae II, Pool #MA6209 | | | | | |
| | | |
3.00% | | | 10/20/49 | | | | 4,568,282 | | | | 4,667,821 | |
| |
Ginnie Mae II TBA, 30-Year | | | | | |
| | | |
2.00%(6) | | | 01/05/51 | | | | 132,950,000 | | | | 134,353,905 | |
| | | |
2.50%(6) | | | 01/02/51 | | | | 133,175,000 | | | | 136,653,462 | |
| |
Uniform Mortgage-Backed Securities TBA, 15-Year | | | | | |
| | | |
2.00%(6) | | | 01/04/36 | | | | 119,825,000 | | | | 122,777,518 | |
| |
Uniform Mortgage-Backed Securities TBA, 30-Year | | | | | |
| | | |
1.50%(6) | | | 01/08/36 | | | | 74,000,000 | | | | 74,325,803 | |
| | | |
2.00%(6) | | | 01/07/51 | | | | 165,725,000 | | | | 165,431,501 | |
| | | |
2.00%(6) | | | 01/07/51 | | | | 271,850,000 | | | | 270,802,902 | |
| | | |
2.50%(6) | | | 01/07/51 | | | | 78,150,000 | | | | 79,937,566 | |
| | | |
2.50%(6) | | | 01/07/51 | | | | 288,075,000 | | | | 295,276,037 | |
| | | |
3.00%(6) | | | 01/05/49 | | | | 94,925,000 | | | | 98,923,196 | |
| | | | | | | | | | | | |
| |
Total Residential Mortgage-Backed
Securities — Agency | | | | | |
| |
(Cost: $2,500,575,410) | | | | 2,563,203,952 | |
| | | | | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY — 25.7% | |
| |
ACE Securities Corp. (07-ASP1-A2C) | | | | | |
| | | |
0.35% (1 mo. USD LIBOR + 0.260%) (2) | | | 03/25/37 | | | | 12,021,372 | | | | 7,073,440 | |
| |
ACE Securities Corp. (07-ASP1-A2D) | | | | | |
| | | |
0.47% (1 mo. USD LIBOR + 0.380%) (2),(7) | | | 03/25/37 | | | | 6,461,360 | | | | 3,879,472 | |
| |
ACE Securities Corp. Home Equity Loan Trust (07-HE1-A1) | | | | | |
| | | |
0.39% (1 mo. USD LIBOR + 0.300%) (2) | | | 01/25/37 | | | | 31,161,049 | | | | 20,985,676 | |
| |
Adjustable Rate Mortgage Trust (04-5-3A1) | | | | | |
| | | |
2.39% (4) | | | 04/25/35 | | | | 4,831 | | | | 4,870 | |
| |
Argent Securities Trust (06-M1-A2C) | | | | | |
| | | |
0.39% (1 mo. USD LIBOR + 0.300%) (2) | | | 07/25/36 | | | | 48,933,742 | | | | 20,519,973 | |
| |
Argent Securities Trust (06-W4-A2C) | | | | | |
| | | |
0.41% (1 mo. USD LIBOR + 0.320%) (2) | | | 05/25/36 | | | | 18,017,682 | | | | 6,487,483 | |
| |
Argent Securities, Inc. Asset-Backed Pass-Through Certificates (05-W3-M2) | | | | | |
| | | |
0.78% (1 mo. USD LIBOR + 0.690%) (2) | | | 11/25/35 | | | | 29,183,398 | | | | 28,387,716 | |
See accompanying Notes to Financial Statements.
86
TCW Total Return Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
Asset-Backed Funding Certificates (07-NC1-A2) | | | | | |
| | | |
0.39% (1 mo. USD LIBOR + 0.300%) (1),(2) | | | 05/25/37 | | | $ | 6,027,211 | | | $ | 5,823,927 | |
| |
Asset-Backed Funding Certificates (07-WMC1-A2A) | | | | | |
| | | |
0.84% (1 mo. USD LIBOR + 0.750%) (2) | | | 06/25/37 | | | | 10,985,753 | | | | 10,278,399 | |
| |
Banc of America Funding Corp. (04-B-3A1) | | | | | |
| | | |
2.58% (4),(7) | | | 12/20/34 | | | | 154,686 | | | | 143,287 | |
| |
Banc of America Funding Corp. (06-D-2A1) | | | | | |
| | | |
3.50% (4),(7) | | | 05/20/36 | | | | 50,769 | | | | 50,618 | |
| |
Banc of America Funding Corp. (06-D-3A1) | | | | | |
| | | |
2.94% (4),(7) | | | 05/20/36 | | | | 1,688,813 | | | | 1,640,084 | |
| |
Banc of America Funding Corp. (15-R8-1A1) | | | | | |
| | | |
0.93% (1),(4) | | | 11/26/46 | | | | 1,431,833 | | | | 1,431,345 | |
| |
Banc of America Funding Trust (06-3-4A14) | | | | | |
| | | |
6.00% | | | 03/25/36 | | | | 350,231 | | | | 348,614 | |
| |
Banc of America Funding Trust (06-3-5A3) | | | | | |
| | | |
5.50% (7) | | | 03/25/36 | | | | 1,532,258 | | | | 1,529,476 | |
| |
BCAP LLC Trust (06-AA2-A1) | | | | | |
| | | |
0.43% (1 mo. USD LIBOR + 0.340%) (2) | | | 01/25/37 | | | | 13,408,017 | | | | 13,376,187 | |
| |
Bear Stearns Alt-A Trust (05-2-2A4) | | | | | |
| | | |
2.88% (4) | | | 04/25/35 | | | | 1,754 | | | | 1,750 | |
| |
Bear Stearns Alt-A Trust (05-4-23A1) | | | | | |
| | | |
2.62% (4),(7) | | | 05/25/35 | | | | 2,715,531 | | | | 2,744,680 | |
| |
Bear Stearns Alt-A Trust (06-4-32A1) | | | | | |
| | | |
2.91% (4),(7) | | | 07/25/36 | | | | 350,279 | | | | 223,674 | |
| |
Bear Stearns ARM Trust (04-12-1A1) | | | | | |
| | | |
2.99% (4) | | | 02/25/35 | | | | 493,137 | | | | 504,562 | |
| |
Bear Stearns ARM Trust (05-10-A3) | | | | | |
| | | |
2.67% (4) | | | 10/25/35 | | | | 1,959,465 | | | | 1,970,010 | |
| |
Bear Stearns ARM Trust (06-2-2A1) | | | | | |
| | | |
2.89% (4),(7) | | | 07/25/36 | | | | 865,913 | | | | 799,610 | |
| |
Bear Stearns ARM Trust (07-1-1A1) | | | | | |
| | | |
3.09% (4) | | | 02/25/47 | | | | 10,938,926 | | | | 10,624,941 | |
| |
Bear Stearns ARM Trust (07-1-2A1) | | | | | |
| | | |
2.75% (4),(7) | | | 02/25/47 | | | | 125,265 | | | | 124,852 | |
| |
Bear Stearns ARM Trust (07-5-3A1) | | | | | |
| | | |
3.05% (4),(7) | | | 08/25/47 | | | | 597,124 | | | | 593,344 | |
| |
Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A3) | | | | | |
| | | |
5.50% (4) | | | 09/25/35 | | | | 1,038,902 | | | | 1,059,879 | |
| |
Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A4) | | | | | |
| | | |
5.40% (4) | | | 09/25/35 | | | | 2,221,349 | | | | 2,258,778 | |
| |
Bear Stearns Mortgage Funding Trust (06-AR1-2A1) | | | | | |
| | | |
0.53% (1 mo. USD LIBOR + 0.440%) (2) | | | 08/25/36 | | | | 10,390,759 | | | | 10,122,484 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
Bear Stearns Mortgage Funding Trust (06-AR3-1A1) | | | | | |
| | | |
0.27% (1 mo. USD LIBOR + 0.180%) (2) | | | 10/25/36 | | | $ | 347,392 | | | $ | 330,369 | |
| |
BNC Mortgage Loan Trust (07-1-A4) | | | | | |
| | | |
0.25% (1 mo. USD LIBOR + 0.160%) (2) | | | 03/25/37 | | | | 6,005,828 | | | | 5,769,124 | |
| |
Chase Mortgage Finance Corp. (06-A1-2A1) | | | | | |
| | | |
2.84% (4),(7) | | | 09/25/36 | | | | 424,340 | | | | 390,627 | |
| |
Chase Mortgage Finance Corp. (07-A1-8A1) | | | | | |
| | | |
2.42% (4) | | | 02/25/37 | | | | 1,660,705 | | | | 1,726,238 | |
| |
Chaseflex Trust (05-1-1A5) | | | | | |
| | | |
6.50% (7) | | | 02/25/35 | | | | 2,440,090 | | | | 2,279,788 | |
| |
CIM Trust (18-R5-A1) | | | | | |
| | | |
3.75% (1),(4) | | | 07/25/58 | | | | 13,986,103 | | | | 14,104,425 | |
| |
CIM Trust (18-R6-A1) | | | | | |
| | | |
1.16% (1 mo. USD LIBOR + 1.076%) (1),(2) | | | 09/25/58 | | | | 11,375,895 | | | | 11,378,513 | |
| |
CIM Trust (19-R3-A) | | | | | |
| | | |
2.63% (1),(4) | | | 06/25/58 | | | | 15,717,589 | | | | 15,501,122 | |
| |
CIM Trust (20-NR1-A) | | | | | |
| | | |
3.45% (1) | | | 06/26/62 | | | | 31,886,414 | | | | 32,084,304 | |
| |
CIM Trust (20-R1-A1) | | | | | |
| | | |
2.85% (1),(4) | | | 10/27/59 | | | | 24,871,399 | | | | 21,140,846 | |
| |
CIM Trust (20-R3-A1A) | | | | | |
| | | |
4.00% (1),(4) | | | 01/26/60 | | | | 20,010,951 | | | | 19,099,366 | |
| |
CIM Trust (20-R4-A1A) | | | | | |
| | | |
3.30% (1),(4) | | | 06/25/60 | | | | 23,821,624 | | | | 23,580,213 | |
| |
CIM Trust (20-R6-A1A) | | | | | |
| | | |
2.25% (1),(4) | | | 12/25/60 | | | | 15,765,495 | | | | 15,564,029 | |
| |
CIM Trust (20-R7-A1A) | | | | | |
| | | |
2.25% (1),(4) | | | 12/27/61 | | | | 27,066,435 | | | | 26,884,581 | |
| |
CIM Trust (21-NR2-A1) | | | | | |
| | | |
2.57% (1) | | | 07/25/59 | | | | 17,183,915 | | | | 17,205,934 | |
| |
CIM Trust (21-NR3-A1) | | | | | |
| | | |
2.57% (1) | | | 06/25/57 | | | | 12,883,991 | | | | 12,905,382 | |
| |
CIM Trust (21-R3-A1A) | | | | | |
| | | |
1.95% (1),(4) | | | 06/25/57 | | | | 29,601,588 | | | | 29,615,832 | |
| |
Citicorp Mortgage Securities Trust, Inc. (07-4-3A1) | | | | | |
| | | |
5.50% | | | 05/25/37 | | | | 21,797 | | | | 21,919 | |
| |
Citigroup Mortgage Loan Trust (06-HE3-A1) | | | | | |
| | | |
0.37% (1 mo. USD LIBOR + 0.280%) (1),(2) | | | 12/25/36 | | | | 9,337,796 | | | | 9,229,734 | |
| |
Citigroup Mortgage Loan Trust, Inc. (06-AR5-1A1A) | | | | | |
| | | |
2.42% (4),(7) | | | 07/25/36 | | | | 2,166,635 | | | | 1,738,632 | |
| |
Citigroup Mortgage Loan Trust, Inc. (07-12-2A1) | | | | | |
| | | |
6.50% (1),(4),(7) | | | 10/25/36 | | | | 2,450,333 | | | | 1,695,105 | |
| |
CitiMortgage Alternative Loan Trust (07-A5-1A6) | | | | | |
| | | |
6.00% (7) | | | 05/25/37 | | | | 10,648,485 | | | | 10,681,020 | |
See accompanying Notes to Financial Statements.
87
TCW Total Return Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
Conseco Finance Securitizations Corp. (00-4-A5) | | | | | |
| | | |
7.97% | | | 05/01/32 | | | $ | 45,277,023 | | | $ | 12,793,385 | |
| |
Conseco Financial Corp. (99-2-A7) | | | | | |
| | | |
6.44% | | | 12/01/30 | | | | 1,719,566 | | | | 1,828,130 | |
| |
Countrywide Alternative Loan Trust (05-20CB-4A1) | | | | | |
| | | |
5.25% (7) | | | 07/25/20 | | | | 1,536 | | | | 1,513 | |
| |
Countrywide Alternative Loan Trust (05-84-1A1) | | | | | |
| | | |
2.21% (4),(7) | | | 02/25/36 | | | | 103,662 | | | | 96,937 | |
| |
Countrywide Alternative Loan Trust (05-J1-2A1) | | | | | |
| | | |
5.50% | | | 02/25/25 | | | | 287,507 | | | | 282,118 | |
| |
Countrywide Alternative Loan Trust (06-HY12-A5) | | | | | |
| | | |
3.04% (4) | | | 08/25/36 | | | | 5,983,295 | | | | 6,045,348 | |
| |
Countrywide Alternative Loan Trust (07-19-1A34) | | | | | |
| | | |
6.00% (7) | | | 08/25/37 | | | | 12,251,337 | | | | 8,800,877 | |
| |
Countrywide Home Loans Mortgage Pass-Through Trust (04-13-1A3) | | | | | |
| | | |
5.50% | | | 08/25/34 | | | | 3,604,556 | | | | 3,750,059 | |
| |
Countrywide Home Loans Mortgage Pass-Through Trust (05-9-1A1) | | | | | |
| | | |
0.69% (1 mo. USD LIBOR + 0.600%) (2) | | | 05/25/35 | | | | 7,172,405 | | | | 6,147,432 | |
| |
Countrywide Home Loans Mortgage Pass-Through Trust (05-HYB5-4A1) | | | | | |
| | | |
2.51% (4),(7) | | | 09/20/35 | | | | 14,132 | | | | 12,589 | |
| |
Countrywide Home Loans Mortgage Pass-Through Trust (07-HY5-1A1) | | | | | |
| | | |
3.40% (4),(7) | | | 09/25/47 | | | | 4,201 | | | | 4,004 | |
| |
Countrywide Home Loans Mortgage Pass-Through Trust (07-HYB1-1A1) | | | | | |
| | | |
3.24% (4),(7) | | | 03/25/37 | | | | 34,362 | | | | 31,778 | |
| |
Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA) | | | | | |
| | | |
5.75% | | | 04/22/33 | | | | 14,452 | | | | 15,118 | |
| |
Credit Suisse First Boston Mortgage Securities Corp. (05-11-1A1) | | | | | |
| | | |
6.50% (7) | | | 12/25/35 | | | | 1,672,055 | | | | 1,174,204 | |
| |
Credit Suisse First Boston Mortgage Securities Corp. (05-12-1A1) | | | | | |
| | | |
6.50% (7) | | | 01/25/36 | | | | 6,344,531 | | | | 2,537,240 | |
| |
Credit-Based Asset Servicing and Securitization LLC (06-CB1-AF2) | | | | | |
| | | |
2.92% | | | 01/25/36 | | | | 3,091,252 | | | | 2,516,021 | |
| |
Credit-Based Asset Servicing and Securitization LLC (06-CB7-A4) | | | | | |
| | | |
0.25% (1 mo. USD LIBOR + 0.160%) (2) | | | 10/25/36 | | | | 20,973,975 | | | | 17,724,020 | |
| |
Credit-Based Asset Servicing and Securitization LLC (06-CB9-A4) | | | | | |
| | | |
0.32% (1 mo. USD LIBOR + 0.230%) (2) | | | 11/25/36 | | | | 13,362,700 | | | | 8,098,093 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2B) | | | | | |
| | | |
3.65% | | | 02/25/37 | | | $ | 2,710,196 | | | $ | 2,157,866 | |
| |
Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2C) | | | | | |
| | | |
3.65% | | | 02/25/37 | | | | 9,322,553 | | | | 7,421,795 | |
| |
CSMC Mortgage-Backed Trust (06-8-3A1) | | | | | |
| | | |
6.00% (7) | | | 10/25/21 | | | | 791,102 | | | | 474,000 | |
| |
CSMC Mortgage-Backed Trust (06-9-5A1) | | | | | |
| | | |
5.50% | | | 11/25/36 | | | | 1,203,141 | | | | 1,206,414 | |
| |
CSMC Mortgage-Backed Trust (07-2-3A4) | | | | | |
| | | |
5.50% (7) | | | 03/25/37 | | | | 4,608,259 | | | | 3,376,707 | |
| |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (05-1-1A3) | | | | | |
| | | |
0.59% (1 mo. USD LIBOR + 0.500%) (2) | | | 02/25/35 | | | | 4,764,235 | | | | 4,722,629 | |
| |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AR6-A6) | | | | | |
| | | |
0.47% (1 mo. USD LIBOR + 0.380%) (2),(7) | | | 02/25/37 | | | | 213,486 | | | | 209,624 | |
| |
DSLA Mortgage Loan Trust (05-AR6-2A1A) | | | | | |
| | | |
0.66% (1 mo. USD LIBOR + 0.580%) (2) | | | 10/19/45 | | | | 1,821,405 | | | | 1,780,055 | |
| |
DSLA Mortgage Loan Trust (06-AR2-2A1A) | | | | | |
| | | |
0.28% (1 mo. USD LIBOR + 0.200%) (2) | | | 10/19/36 | | | | 21,861,965 | | | | 18,625,933 | |
| |
DSLA Mortgage Loan Trust (07-AR1-2A1A) | | | | | |
| | | |
0.22% (1 mo. USD LIBOR + 0.140%) (2) | | | 03/19/37 | | | | 5,066,799 | | | | 4,778,329 | |
| |
Fieldstone Mortgage Investment Corp. (07-1-2A2) | | | | | |
| | | |
0.36% (1 mo. USD LIBOR + 0.270%) (2) | | | 04/25/47 | | | | 3,008,667 | | | | 2,624,483 | |
| |
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2C) | | | | | |
| | | |
0.25% (1 mo. USD LIBOR + 0.160%) (2) | | | 12/25/37 | | | | 12,068,357 | | | | 11,556,719 | |
| |
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2D) | | | | | |
| | | |
0.30% (1 mo. USD LIBOR + 0.210%) (2) | | | 12/25/37 | | | | 7,082,123 | | | | 6,803,375 | |
| |
First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2C) | | | | | |
| | | |
0.23% (1 mo. USD LIBOR + 0.140%) (2) | | | 01/25/38 | | | | 3,657,034 | | | | 2,510,427 | |
| |
First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2D) | | | | | |
| | | |
0.31% (1 mo. USD LIBOR + 0.220%) (2) | | | 01/25/38 | | | | 17,899,699 | | | | 12,486,790 | |
| |
First Franklin Mortgage Loan Trust (06-FF12-A1) | | | | | |
| | | |
0.19% (1 mo. USD LIBOR + 0.105%) (2) | | | 09/25/36 | | | | 7,100,527 | | | | 6,794,429 | |
See accompanying Notes to Financial Statements.
88
TCW Total Return Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
First Franklin Mortgage Loan Trust (06-FF9-2A4) | | | | | |
| | | |
0.59% (1 mo. USD LIBOR + 0.500%) (2) | | | 06/25/36 | | | $ | 5,068,000 | | | $ | 4,912,176 | |
| |
First Franklin Mortgage Loan Trust (07-FF2-A1) | | | | | |
| | | |
0.23% (1 mo. USD LIBOR + 0.140%) (2) | | | 03/25/37 | | | | 37,971,288 | | | | 24,885,900 | |
| |
First Franklin Mortgage Loan Trust (07-FF2-A2C) | | | | | |
| | | |
0.24% (1 mo. USD LIBOR + 0.150%) (2) | | | 03/25/37 | | | | 40,253,585 | | | | 25,185,537 | |
| |
First Horizon Alternative Mortgage Securities Trust (05-AA3-3A1) | | | | | |
| | | |
2.19% (4),(7) | | | 05/25/35 | | | | 1,739,865 | | | | 1,674,713 | |
| |
First Horizon Alternative Mortgage Securities Trust (05-AA7-1A1) | | | | | |
| | | |
2.62% (4),(7) | | | 09/25/35 | | | | 1,683,212 | | | | 1,611,157 | |
| |
First Horizon Alternative Mortgage Securities Trust (05-AA7-2A1) | | | | | |
| | | |
2.34% (4),(7) | | | 09/25/35 | | | | 1,138,526 | | | | 1,117,265 | |
| |
First Horizon Alternative Mortgage Securities Trust (06-AA7-A1) | | | | | |
| | | |
2.65% (4),(7) | | | 01/25/37 | | | | 5,821,971 | | | | 5,155,644 | |
| |
Fremont Home Loan Trust (05-E-2A4) | | | | | |
| | | |
0.75% (1 mo. USD LIBOR + 0.660%) (2) | | | 01/25/36 | | | | 11,612,014 | | | | 11,528,107 | |
| |
Fremont Home Loan Trust (06-1-2A3) | | | | | |
| | | |
0.45% (1 mo. USD LIBOR + 0.360%) (2) | | | 04/25/36 | | | | 173,575 | | | | 173,493 | |
| |
GMAC Mortgage Loan Trust (05-AR5-2A1) | | | | | |
| | | |
2.73% (4) | | | 09/19/35 | | | | 1,858,371 | | | | 1,472,436 | |
| |
GreenPoint Mortgage Funding Trust (05-AR3-1A1) | | | | | |
| | | |
0.57% (1 mo. USD LIBOR + 0.480%) (2) | | | 08/25/45 | | | | 324,911 | | | | 316,232 | |
| |
GSAA Home Equity Trust (05-7-AF5) | | | | | |
| | | |
5.11% | | | 05/25/35 | | | | 167,939 | | | | 170,507 | |
| |
GSR Mortgage Loan Trust (04-9-3A1) | | | | | |
| | | |
2.59% (4) | | | 08/25/34 | | | | 1,257,056 | | | | 1,259,393 | |
| |
GSR Mortgage Loan Trust (06-OA1-2A2) | | | | | |
| | | |
0.61% (1 mo. USD LIBOR + 0.520%) (2) | | | 08/25/46 | | | | 47,391,494 | | | | 26,965,452 | |
| |
GSR Mortgage Loan Trust (07-3F-3A7) | | | | | |
| | | |
6.00% (7) | | | 05/25/37 | | | | 5,587,019 | | | | 4,814,401 | |
| |
GSR Mortgage Loan Trust (07-AR2-2A1) | | | | | |
| | | |
2.79% (4) | | | 05/25/37 | | | | 1,841,033 | | | | 1,385,800 | |
| |
GSR Mortgage Loan Trust (07-AR2-5A1A) | | | | | |
| | | |
2.95% (4),(7) | | | 05/25/37 | | | | 873,571 | | | | 828,307 | |
| |
Harborview Mortgage Loan Trust (05-9-2A1A) | | | | | |
| | | |
0.77% (1 mo. USD LIBOR + 0.680%) (2) | | | 06/20/35 | | | | 1,737,845 | | | | 1,716,311 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
HarborView Mortgage Loan Trust (06-1-1A1A) | | | | | |
| | | |
0.60% (1 mo. USD LIBOR + 0.520%) (2),(7) | | | 03/19/36 | | | $ | 25,804,648 | | | $ | 18,016,735 | |
| |
HarborView Mortgage Loan Trust (07-3-1A1A) | | | | | |
| | | |
0.28% (1 mo. USD LIBOR + 0.200%) (2) | | | 05/19/47 | | | | 10,839,423 | | | | 10,469,277 | |
| |
HSI Asset Loan Obligation Trust (07-2-2A12) | | | | | |
| | | |
6.00% | | | 09/25/37 | | | | 617,443 | | | | 572,215 | |
| |
HSI Asset Securitization Corp. (06-HE2-1A) | | | | | |
| | | |
0.35% (1 mo. USD LIBOR + 0.260%) (2) | | | 12/25/36 | | | | 38,556,008 | | | | 20,028,640 | |
| |
HSI Asset Securitization Corp. (06-WMC1-A3) | | | | | |
| | | |
0.39% (1 mo. USD LIBOR + 0.300%) (2) | | | 07/25/36 | | | | 26,500,732 | | | | 15,642,606 | |
| |
Impac CMB Trust (04-5-1A1) | | | | | |
| | | |
0.81% (1 mo. USD LIBOR + 0.720%) (2) | | | 10/25/34 | | | | 1,967 | | | | 1,971 | |
| |
Impac CMB Trust (05-1-1A1) | | | | | |
| | | |
0.61% (1 mo. USD LIBOR + 0.520%) (2) | | | 04/25/35 | | | | 569,707 | | | | 556,660 | |
| |
Impac CMB Trust (05-5-A2) | | | | | |
| | | |
0.53% (1 mo. USD LIBOR + 0.220%) (2) | | | 08/25/35 | | | | 2,800,644 | | | | 2,726,783 | |
| |
Impac Secured Assets Trust (06-3-A1) | | | | | |
| | | |
0.43% (1 mo. USD LIBOR + 0.340%) (2),(7) | | | 11/25/36 | | | | 4,767,871 | | | | 4,462,748 | |
| |
IndyMac Index Mortgage Loan Trust (04-AR4-2A) | | | | | |
| | | |
2.91% (4) | | | 08/25/34 | | | | 3,172,805 | | | | 3,367,739 | |
| |
IndyMac Index Mortgage Loan Trust (04-AR9-4A) | | | | | |
| | | |
3.08% (4),(7) | | | 11/25/34 | | | | 342,751 | | | | 344,696 | |
| |
IndyMac Index Mortgage Loan Trust (05-AR17-3A1) | | | | | |
| | | |
2.78% (4),(7) | | | 09/25/35 | | | | 2,936,439 | | | | 2,394,038 | |
| |
IndyMac Index Mortgage Loan Trust (05-AR23-2A1) | | | | | |
| | | |
2.71% (4) | | | 11/25/35 | | | | 1,902,645 | | | | 1,807,261 | |
| |
IndyMac Index Mortgage Loan Trust (05-AR23-6A1) | | | | | |
| | | |
2.77% (4) | | | 11/25/35 | | | | 2,761,654 | | | | 2,695,307 | |
| |
IndyMac Index Mortgage Loan Trust (05-AR25-2A1) | | | | | |
| | | |
2.97% (4) | | | 12/25/35 | | | | 1,521,588 | | | | 1,526,349 | |
| |
IndyMac Index Mortgage Loan Trust (05-AR7-2A1) | | | | | |
| | | |
2.49% (4) | | | 06/25/35 | | | | 1,650,247 | | | | 1,411,531 | |
| |
IndyMac Index Mortgage Loan Trust (06-AR39-A1) | | | | | |
| | | |
0.27% (1 mo. USD LIBOR + 0.180%)(2) | | | 02/25/37 | | | | 5,107,539 | | | | 5,111,161 | |
| |
IndyMac Index Mortgage Loan Trust (07-AR11-1A1) | | | | | |
| | | |
2.77% (4),(7) | | | 06/25/37 | | | | 14,192 | | | | 13,756 | |
| |
IndyMac Index Mortgage Loan Trust (07-AR5-2A1) | | | | | |
| | | |
2.98% (4),(7) | | | 05/25/37 | | | | 10,072,533 | | | | 9,547,595 | |
See accompanying Notes to Financial Statements.
89
TCW Total Return Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
IndyMac Index Mortgage Loan Trust (07-AR7-1A1) | | | | | |
| | | |
2.62% (4) | | | 11/25/37 | | | $ | 1,969,477 | | | $ | 1,855,347 | |
| |
IndyMac INDX Mortgage Loan Trust (06-AR6-2A1A) | | | | | |
| | | |
0.49% (1 mo. USD LIBOR + 0.400%)(2),(7) | | | 06/25/46 | | | | 9,032,804 | | | | 8,512,811 | |
| |
JPMorgan Alternative Loan Trust (06-A2-5A1) | | | | | |
| | | |
3.05% (4),(7) | | | 05/25/36 | | | | 3,747,887 | | | | 2,645,891 | |
| |
JPMorgan Alternative Loan Trust (06-A4-A8) | | | | | |
| | | |
2.93% (4),(7) | | | 09/25/36 | | | | 498,184 | | | | 525,185 | |
| |
JPMorgan Mortgage Acquisition Corp. (06-CH2-AF4) | | | | | |
| | | |
5.76% | | | 10/25/36 | | | | 4,567,504 | | | | 3,519,406 | |
| |
JPMorgan Mortgage Acquisition Trust (06-WMC4-A3) | | | | | |
| | | |
0.21% (1 mo. USD LIBOR + 0.120%) (2) | | | 12/25/36 | | | | 28,100,126 | | | | 18,002,439 | |
| |
JPMorgan Mortgage Trust (05-A6-7A1) | | | | | |
| | | |
2.95% (4),(7) | | | 08/25/35 | | | | 143,669 | | | | 135,401 | |
| |
JPMorgan Mortgage Trust (06-A2-5A3) | | | | | |
| | | |
2.31% (4) | | | 11/25/33 | | | | 841,378 | | | | 848,689 | |
| |
JPMorgan Mortgage Trust (06-A4-1A4) | | | | | |
| | | |
2.87% (4),(7) | | | 06/25/36 | | | | 237,992 | | | | 204,877 | |
| |
JPMorgan Mortgage Trust (06-A7-2A4R) | | | | | |
| | | |
3.13% (4),(7) | | | 01/25/37 | | | | 10,376 | | | | 9,733 | |
| |
JPMorgan Mortgage Trust (06-S2-2A2) | | | | | |
| | | |
5.88% (7) | | | 06/25/21 | | | | 47,137 | | | | 59,508 | |
| |
Lehman Mortgage Trust (06-4-4A1) | | | | | |
| | | |
6.00% (7) | | | 08/25/21 | | | | 523,549 | | | | 504,925 | |
| |
Lehman XS Trust (06-10N-1A3A) | | | | | |
| | | |
0.51% (1 mo. USD LIBOR + 0.420%) (2),(7) | | | 07/25/46 | | | | 8,214,655 | | | | 8,529,377 | |
| |
Lehman XS Trust (06-12N-A31A) | | | | | |
| | | |
0.49% (1 mo. USD LIBOR + 0.400%) (2) | | | 08/25/46 | | | | 2,621,720 | | | | 2,649,647 | |
| |
Lehman XS Trust (06-13-1A2) | | | | | |
| | | |
0.43% (1 mo. USD LIBOR + 0.340%) (2),(7),(8) | | | 09/25/36 | | | | 36 | | | | — | |
| |
Lehman XS Trust (06-GP1-A2A) | | | | | |
| | | |
0.00% (1 mo. USD LIBOR + 0.340%) | | | 05/25/46 | | | | 131 | | | | — | |
| |
Lehman XS Trust (06-GP2-3A1) | | | | | |
| | | |
0.49% (1 mo. USD LIBOR + 0.400%) (2) | | | 06/25/46 | | | | 13,461,447 | | | | 12,597,449 | |
| |
Lehman XS Trust (06-GP4-3A2A) | | | | | |
| | | |
0.00% (1 mo. USD LIBOR + 0.160%) (2),(8) | | | 08/25/46 | | | | 54 | | | | — | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
Lehman XS Trust (06-GP4-3A5) | | | | | |
| | | |
0.54% (1 mo. USD LIBOR + 0.450%) (2) | | | 08/25/46 | | | $ | 9,539,020 | | | $ | 9,459,522 | |
| |
Lehman XS Trust (07-4N-1A1) | | | | | |
| | | |
0.22% (1 mo. USD LIBOR + 0.130%) (2),(8) | | | 03/25/47 | | | | 35 | | | | — | |
| |
LHOME Mortgage Trust (21-RTL3-A1) | | | | | |
| | | |
2.36% (1) | | | 09/25/26 | | | | 18,725,000 | | | | 18,735,825 | |
| |
MASTR Alternative Loans Trust (05-4-1A1) | | | | | |
| | | |
6.50% | | | 05/25/35 | | | | 4,479,718 | | | | 4,507,074 | |
| |
MASTR Alternative Loans Trust (06-2-2A1) | | | | | |
| | | |
0.49% (1 mo. USD LIBOR + 0.400%) (2),(7),(8) | | | 03/25/36 | | | | 65,820 | | | | 4,831 | |
| |
MASTR Asset Securitization Trust (06-3-2A1) | | | | | |
| | | |
0.54% (1 mo. USD LIBOR + 0.450%) (2) | | | 10/25/36 | | | | 29,161 | | | | 4,290 | |
| |
MASTR Asset-Backed Securities Trust (06-AB1-A4) | | | | | |
| | | |
6.22% | | | 02/25/36 | | | | 304,987 | | | | 297,334 | |
| |
MASTR Asset-Backed Securities Trust (06-HE5-A3) | | | | | |
| | | |
0.25% (1 mo. USD LIBOR + 0.160%) (2) | | | 11/25/36 | | | | 16,308,802 | | | | 11,266,184 | |
| |
MASTR Seasoned Securitization Trust (04-1-4A1) | | | | | |
| | | |
2.41% (4) | | | 10/25/32 | | | | 3,894 | | | | 4,080 | |
| |
Merrill Lynch Alternative Note Asset Trust (07-A1-A2C) | | | | | |
| | | |
0.55% (1 mo. USD LIBOR + 0.460%) (2) | | | 01/25/37 | | | | 1,646,822 | | | | 709,559 | |
| |
Merrill Lynch Alternative Note Asset Trust (07-A1-A3) | | | | | |
| | | |
0.41% (1 mo. USD LIBOR + 0.320%) (2) | | | 01/25/37 | | | | 847,125 | | | | 359,342 | |
| |
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2B) | | | | | |
| | | |
0.26% (1 mo. USD LIBOR + 0.170%) (2) | | | 04/25/37 | | | | 38,813,953 | | | | 21,644,609 | |
| |
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2C) | | | | | |
| | | |
0.34% (1 mo. USD LIBOR + 0.250%) (2) | | | 04/25/37 | | | | 21,660,036 | | | | 12,287,307 | |
| |
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2D) | | | | | |
| | | |
0.43% (1 mo. USD LIBOR + 0.340%) (2) | | | 04/25/37 | | | | 5,530,319 | | | | 3,197,153 | |
| |
Merrill Lynch First Franklin Mortgage Loan Trust (07-2-A2C) | | | | | |
| | | |
0.33% (1 mo. USD LIBOR + 0.240%) (2) | | | 05/25/37 | | | | 4,896,857 | | | | 2,791,402 | |
See accompanying Notes to Financial Statements.
90
TCW Total Return Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2B) | | | | | |
| | | |
0.22% (1 mo. USD LIBOR + 0.130%) (2),(7) | | | 06/25/37 | | | $ | 2,161,768 | | | $ | 2,043,621 | |
| |
Merrill Lynch First Franklin Mortgage Loan Trust (07-4-2A3) | | | | | |
| | | |
0.25% (1 mo. USD LIBOR + 0.160%) (2) | | | 07/25/37 | | | | 28,336,396 | | | | 24,691,964 | |
| |
Merrill Lynch Mortgage-Backed Securities Trust (07-2-1A1) | | | | | |
| | | |
2.49% (1-year Treasury Constant Maturity Rate + 2.400%) (2),(7) | | | 08/25/36 | | | | 814,466 | | | | 773,341 | |
| |
Mid-State Trust (05-1-A) | | | | | |
| | | |
5.75% | | | 01/15/40 | | | | 1,857,249 | | | | 1,967,359 | |
| |
Morgan Stanley ABS Capital I, Inc. Trust (04-NC8-M2) | | | | | |
| | | |
1.05% (1 mo. USD LIBOR + 0.960%) (2) | | | 09/25/34 | | | | 480,833 | | | | 478,228 | |
| |
Morgan Stanley Home Equity Loan Trust (06-2-A4) | | | | | |
| | | |
0.65% (1 mo. USD LIBOR + 0.560%) (2) | | | 02/25/36 | | | | 1,356,397 | | | | 1,356,544 | |
| |
Morgan Stanley Mortgage Loan Trust (07-3XS-2A6) | | | | | |
| | | |
5.76% | | | 01/25/47 | | | | 2,257,146 | | | | 978,612 | |
| |
Morgan Stanley Mortgage Loan Trust (07-7AX-2A1) | | | | | |
| | | |
0.33% (1 mo. USD LIBOR + 0.240%) (2) | | | 04/25/37 | | | | 2,942,160 | | | | 1,160,929 | |
| |
Morgan Stanley Resecuritization Trust (14-R2-2A) | | | | | |
| | | |
2.76% (1),(4) | | | 12/26/46 | | | | 700,914 | | | | 705,144 | |
| |
MortgageIT Trust (05-4-A1) | | | | | |
| | | |
0.65% (1 mo. USD LIBOR + 0.560%) (2) | | | 10/25/35 | | | | 880,890 | | | | 878,305 | |
| |
New Century Home Equity Loan Trust (06-1-A2B) | | | | | |
| | | |
0.27% (1 mo. USD LIBOR + 0.180%) (2) | | | 05/25/36 | | | | 19,300,978 | | | | 19,101,791 | |
| |
Oakwood Mortgage Investors, Inc. (02-A-A4) | | | | | |
| | | |
6.97% (4) | | | 03/15/32 | | | | 879,567 | | | | 904,256 | |
| |
Oakwood Mortgage Investors, Inc. (99-E-A1) | | | | | |
| | | |
7.61% (4) | | | 03/15/30 | | | | 3,279,569 | | | | 2,515,991 | |
| |
Ownit Mortgage Loan Asset-Backed Certificates (06-3-A2D) | | | | | |
| | | |
0.63% (1 mo. USD LIBOR + 0.540%) (2) | | | 03/25/37 | | | | 11,711,193 | | | | 11,595,347 | |
| |
Ownit Mortgage Loan Asset-Backed Certificates (06-6-A2C) | | | | | |
| | | |
0.41% (1 mo. USD LIBOR + 0.320%) (2) | | | 09/25/37 | | | | 17,395,863 | | | | 10,670,232 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates (05-WCW2-M3) | | | | | |
| | | |
0.91% (1 mo. USD LIBOR + 0.825%) (2) | | | 07/25/35 | | | $ | 10,000,000 | | | $ | 10,013,710 | |
| |
Prime Mortgage Trust (06-1-1A1) | | | | | |
| | | |
5.50% (7) | | | 06/25/36 | | | | 198,903 | | | | 199,342 | |
| |
RAAC Series Trust (05-SP1-4A1) | | | | | |
| | | |
7.00% | | | 09/25/34 | | | | 1,472,243 | | | | 1,475,854 | |
| |
RALI Trust (05-QA13-2A1) | | | | | |
| | | |
3.96% (4),(7) | | | 12/25/35 | | | | 455,834 | | | | 430,732 | |
| |
RALI Trust (05-QA7-A21) | | | | | |
| | | |
3.01% (4),(7) | | | 07/25/35 | | | | 1,323,260 | | | | 1,313,229 | |
| |
Residential Accredit Loans, Inc. (05-QA8-CB21) | | | | | |
| | | |
3.42% (4),(7) | | | 07/25/35 | | | | 3,175,683 | | | | 2,254,861 | |
| |
Residential Accredit Loans, Inc. (05-QS7-A1) | | | | | |
| | | |
5.50% (7) | | | 06/25/35 | | | | 469,627 | | | | 448,189 | |
| |
Residential Accredit Loans, Inc. (06-QA1-A21) | | | | | |
| | | |
4.29% (4),(7) | | | 01/25/36 | | | | 11,513 | | | | 9,971 | |
| |
Residential Accredit Loans, Inc. (06-QA10-A2) | | | | | |
| | | |
0.45% (1 mo. USD LIBOR + 0.360%) (2),(7) | | | 12/25/36 | | | | 9,432,692 | | | | 9,475,373 | |
| |
Residential Accredit Loans, Inc. (06-QA2-1A1) | | | | | |
| | | |
0.34% (1 mo. USD LIBOR + 0.250%) (2),(7) | | | 02/25/36 | | | | 14,371 | | | | 10,138 | |
| |
Residential Accredit Loans, Inc. (06-QS10-AV) (I/O) | | | | | |
| | | |
0.57% (4),(8) | | | 08/25/36 | | | | 24,898,538 | | | | 497,791 | |
| |
Residential Accredit Loans, Inc. (06-QS11-AV) (I/O) | | | | | |
| | | |
0.36% (4),(8) | | | 08/25/36 | | | | 25,011,411 | | | | 325,406 | |
| |
Residential Accredit Loans, Inc. (06-QS5-A5) | | | | | |
| | | |
6.00% (7) | | | 05/25/36 | | | | 2,904,975 | | | | 2,872,585 | |
| |
Residential Accredit Loans, Inc. (06-QS6-1AV) (I/O) | | | | | |
| | | |
0.76% (4),(8) | | | 06/25/36 | | | | 31,432,070 | | | | 719,235 | |
| |
Residential Accredit Loans, Inc. (06-QS7-AV) (I/O) | | | | | |
| | | |
0.68% (4),(8) | | | 06/25/36 | | | | 6,688,483 | | | | 88,326 | |
| |
Residential Accredit Loans, Inc. (07-QS1-2AV) (I/O) | | | | | |
| | | |
0.17% (4),(8) | | | 01/25/37 | | | | 1,659,293 | | | | 10,080 | |
| |
Residential Accredit Loans, Inc. (07-QS2-AV) (I/O) | | | | | |
| | | |
0.33% (4),(8) | | | 01/25/37 | | | | 12,563,853 | | | | 143,036 | |
| |
Residential Accredit Loans, Inc. (07-QS3-AV) (I/O) | | | | | |
| | | |
0.36% (4),(8) | | | 02/25/37 | | | | 52,509,358 | | | | 622,393 | |
| |
Residential Accredit Loans, Inc. (07-QS4-3AV) (I/O) | | | | | |
| | | |
0.37% (4),(8) | | | 03/25/37 | | | | 6,516,353 | | | | 81,252 | |
| |
Residential Accredit Loans, Inc. (07-QS5-AV) (I/O) | | | | | |
| | | |
0.28% (4),(8) | | | 03/25/37 | | | | 7,814,226 | | | | 67,369 | |
| |
Residential Accredit Loans, Inc. (07-QS6-A45) | | | | | |
| | | |
5.75% (7) | | | 04/25/37 | | | | 1,744,860 | | | | 1,671,278 | |
See accompanying Notes to Financial Statements.
91
TCW Total Return Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
Residential Accredit Loans, Inc. (07-QS8-AV) (I/O) | | | | | |
| | | |
0.42% (4),(8) | | | 06/25/37 | | | $ | 12,226,933 | | | $ | 191,957 | |
| |
Residential Asset Securitization Trust (07-A3-1A4) | | | | | |
| | | |
5.75% (7) | | | 04/25/37 | | | | 2,505,672 | | | | 1,756,401 | |
| |
Residential Funding Mortgage Securities I (05-SA5-2A) | | | | | |
| | | |
3.49% (4),(7) | | | 11/25/35 | | | | 11,502 | | | | 10,707 | |
| |
Residential Funding Mortgage Securities I (06-S9-A3) (PAC) | | | | | |
| | | |
5.75% (7) | | | 09/25/36 | | | | 397,203 | | | | 380,667 | |
| |
Residential Funding Mortgage Securities I (07-S2-A9) | | | | | |
| | | |
6.00% (7) | | | 02/25/37 | | | | 3,850,789 | | | | 3,640,353 | |
| |
Residential Funding Mortgage Securities I (07-SA2-2A2) | | | | | |
| | | |
3.30% (4),(7) | | | 04/25/37 | | | | 12,156 | | | | 11,182 | |
| |
Roc Mortgage Trust (21-RTL1-A1) | | | | | |
| | | |
2.49% (1),(4) | | | 08/25/26 | | | | 16,300,000 | | | | 16,259,602 | |
| |
Saxon Asset Securities Trust (06-3-A3) | | | | | |
| | | |
0.26% (1 mo. USD LIBOR + 0.170%) (2) | | | 10/25/46 | | | | 5,925,915 | | | | 5,859,954 | |
| |
Saxon Asset Securities Trust (07-2-A2C) | | | | | |
| | | |
0.33% (1 mo. USD LIBOR + 0.240%) (2) | | | 05/25/47 | | | | 12,016,546 | | | | 10,423,094 | |
| |
Saxon Asset Securities Trust (07-2-A2D) | | | | | |
| | | |
0.39% (1 mo. USD LIBOR + 0.300%) (2) | | | 05/25/47 | | | | 13,978,146 | | | | 12,200,291 | |
| |
Securitized Asset Backed Receivables LLC Trust (06-WM4-A1) | | | | | |
| | | |
0.47% (1 mo. USD LIBOR + 0.380%) (1),(2) | | | 11/25/36 | | | | 29,848,381 | | | | 19,206,193 | |
| |
Securitized Asset Backed Receivables LLC Trust (07-BR2-A1) | | | | | |
| | | |
0.27% (1 mo. USD LIBOR + 0.180%) (1),(2) | | | 02/25/37 | | | | 21,562,738 | | | | 19,786,363 | |
| |
Securitized Asset-Backed Receivables LLC Trust (07-BR1-A2C) | | | | | |
| | | |
0.43% (1 mo. USD LIBOR + 0.340%) (2) | | | 02/25/37 | | | | 2,727,204 | | | | 1,744,836 | |
| |
Securitized Asset-Backed Receivables LLC Trust (07-BR2-A2) | | | | | |
| | | |
0.32% (1 mo. USD LIBOR + 0.230%) (2) | | | 02/25/37 | | | | 29,709,756 | | | | 16,081,680 | |
| |
Securitized Asset-Backed Receivables LLC Trust (07-NC2-A2B) | | | | | |
| | | |
0.23% (1 mo. USD LIBOR + 0.140%) (2) | | | 01/25/37 | | | | 13,913,794 | | | | 12,820,671 | |
| |
Sequoia Mortgage Trust (03-8-A1) | | | | | |
| | | |
0.73% (1 mo. USD LIBOR + 0.640%) (2) | | | 01/20/34 | | | | 549,249 | | | | 543,236 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
SG Mortgage Securities Trust (07-NC1-A2) | | | | | |
| | | |
0.33% (1 mo. USD LIBOR + 0.240%) (1),(2) | | | 12/25/36 | | | $ | 17,207,765 | | | $ | 13,399,440 | |
| |
Soundview Home Equity Loan Trust (06-OPT4-2A4) | | | | | |
| | | |
0.55% (1 mo. USD LIBOR + 0.460%) (2) | | | 06/25/36 | | | | 9,446,958 | | | | 9,333,254 | |
| |
Soundview Home Equity Loan Trust (07-OPT3-2A4) | | | | | |
| | | |
0.34% (1 mo. USD LIBOR + 0.250%) (2) | | | 08/25/37 | | | | 4,000,000 | | | | 3,816,462 | |
| |
Structured Adjustable Rate Mortgage Loan Trust (04-12-2A) | | | | | |
| | | |
2.65% (4) | | | 09/25/34 | | | | 731,057 | | | | 742,097 | |
| |
Structured Adjustable Rate Mortgage Loan Trust (04-14-2A) | | | | | |
| | | |
2.39% (4) | | | 10/25/34 | | | | 1,383,199 | | | | 1,410,938 | |
| |
Structured Adjustable Rate Mortgage Loan Trust (06-2-3A1) | | | | | |
| | | |
2.98% (4),(7) | | | 03/25/36 | | | | 13,177,750 | | | | 13,214,137 | |
| |
Structured Adjustable Rate Mortgage Loan Trust (06-2-5A1) | | | | | |
| | | |
3.05% (4),(7) | | | 03/25/36 | | | | 263,561 | | | | 234,473 | |
| |
Structured Adjustable Rate Mortgage Loan Trust (06-4-5A1) | | | | | |
| | | |
2.99% (4),(7) | | | 05/25/36 | | | | 1,472,541 | | | | 1,312,466 | |
| |
Structured Adjustable Rate Mortgage Loan Trust (06-5-1A1) | | | | | |
| | | |
3.06% (4),(7) | | | 06/25/36 | | | | 1,828,672 | | | | 1,741,881 | |
| |
Structured Adjustable Rate Mortgage Loan Trust (07-1-1A1) | | | | | |
| | | |
2.31% (4) | | | 02/25/37 | | | | 1,722,919 | | | | 1,183,710 | |
| |
Structured Asset Mortgage Investments II Trust (07-AR4-A5) | | | | | |
| | | |
0.31% (1 mo. USD LIBOR + 0.220%) (2) | | | 09/25/47 | | | | 16,756,844 | | | | 15,629,242 | |
| |
Structured Asset Securities Corp. (05-2XS-1A5B) | | | | | |
| | | |
5.15% | | | 02/25/35 | | | | 350 | | | | 357 | |
| |
SunTrust Adjustable Rate Mortgage Loan Trust (07-2-2A1) | | | | | |
| | | |
2.64% (4),(7) | | | 04/25/37 | | | | 108,579 | | | | 78,076 | |
| |
SunTrust Adjustable Rate Mortgage Loan Trust (07-3-1A1) | | | | | |
| | | |
2.55% (4) | | | 06/25/37 | | | | 2,905 | | | | 2,319 | |
| |
SunTrust Adjustable Rate Mortgage Loan Trust (07-S1-2A1) | | | | | |
| | | |
2.53% (4) | | | 01/25/37 | | | | 320,564 | | | | 334,240 | |
| |
Wachovia Mortgage Loan Trust LLC (06-AMN1-A3) | | | | | |
| | | |
0.57% (1 mo. USD LIBOR + 0.480%) (2) | | | 08/25/36 | | | | 6,090,589 | | | | 3,014,602 | |
| |
WaMu Mortgage Pass-Through Certificates (04-AR14-A1) | | | | | |
| | | |
2.75% (4) | | | 01/25/35 | | | | 2,944,194 | | | | 3,002,659 | |
See accompanying Notes to Financial Statements.
92
TCW Total Return Bond Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
WaMu Mortgage Pass-Through Certificates (05-AR13-A1A1) | | | | | |
| | | |
0.67% (1 mo. USD LIBOR + 0.580%) (2) | | | 10/25/45 | | | $ | 3,573,922 | | | $ | 3,593,449 | |
| |
WaMu Mortgage Pass-Through Certificates (05-AR13-A1A2) | | | | | |
| | | |
1.54% (12 mo. Monthly Treasury Average Index + 1.450%) (2) | | | 10/25/45 | | | | 288,012 | | | | 288,944 | |
| |
WaMu Mortgage Pass-Through Certificates (05-AR14-2A1) | | | | | |
| | | |
2.99% (4) | | | 12/25/35 | | | | 775,141 | | | | 801,431 | |
| |
WaMu Mortgage Pass-Through Certificates (05-AR18-1A1) | | | | | |
| | | |
2.83% (4) | | | 01/25/36 | | | | 1,055,682 | | | | 1,071,042 | |
| |
WaMu Mortgage Pass-Through Certificates (05-AR2-2A1A) | | | | | |
| | | |
0.71% (1 mo. USD LIBOR + 0.620%) (2) | | | 01/25/45 | | | | 106,197 | | | | 106,056 | |
| |
WaMu Mortgage Pass-Through Certificates (05-AR9-A1A) | | | | | |
| | | |
0.73% (1 mo. USD LIBOR + 0.640%) (2) | | | 07/25/45 | | | | 6,110,655 | | | | 6,162,881 | |
| |
WaMu Mortgage Pass-Through Certificates (06-AR1-2A1A) | | | | | |
| | | |
1.16% (12 mo. Monthly Treasury Average Index + 1.070%) (2) | | | 01/25/46 | | | | 7,815,674 | | | | 7,842,103 | |
| |
WaMu Mortgage Pass-Through Certificates (06-AR11-1A) | | | | | |
| | | |
1.05% (12 mo. Monthly Treasury Average Index + 0.960%) (2),(7) | | | 09/25/46 | | | | 2,473,148 | | | | 2,357,560 | |
| |
WaMu Mortgage Pass-Through Certificates (06-AR17-1A1A) | | | | | |
| | | |
0.90% (12 mo. Monthly Treasury Average Index + 0.810%) (2) | | | 12/25/46 | | | | 2,782,928 | | | | 2,707,029 | |
| |
WaMu Mortgage Pass-Through Certificates Trust (05-AR11-A1A) | | | | | |
| | | |
0.73% (1 mo. USD LIBOR + 0.640%) (2) | | | 08/25/45 | | | | 9,290,302 | | | | 9,325,742 | |
| |
Washington Mutual Alternative Mortgage Pass-Through Certificates (02-AR1-1A1) | | | | | |
| | | |
3.03% (4) | | | 11/25/30 | | | | 59,872 | | | | 61,613 | |
| |
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-1-3A2) | | | | | |
| | | |
5.75% (7) | | | 02/25/36 | | | | 692,952 | | | | 687,339 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES —
NON-AGENCY (Continued) | |
| |
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-5-1A1) | | | | | |
| | | |
0.69% (1 mo. USD LIBOR + 0.600%) (2),(7) | | | 07/25/36 | | | $ | 1,383,072 | | | $ | 947,917 | |
| |
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-AR10-A2A) | | | | | |
| | | |
0.43% (1 mo. USD LIBOR + 0.340%) (2) | | | 12/25/36 | | | | 2,157,777 | | | | 2,119,473 | |
| |
Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OA3-5A) | | | | | |
| | | |
1.49% (11th District Cost of Funds + 1.250%) (2),(7) | | | 04/25/47 | | | | 1,092,336 | | | | 1,072,166 | |
| |
Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OC2-A3) | | | | | |
| | | |
0.40% (1 mo. USD LIBOR + 0.310%) (2) | | | 06/25/37 | | | | 2,956,320 | | | | 2,928,006 | |
| |
Washington Mutual Asset-Backed Certificates (06-HE1-2A4) | | | | | |
| | | |
0.65% (1 mo. USD LIBOR + 0.560%) (2) | | | 04/25/36 | | | | 3,184,727 | | | | 3,077,755 | |
| |
Washington Mutual Asset-Backed Certificates (07-HE2-2A1) | | | | | |
| | | |
0.19% (1 mo. USD LIBOR + 0.100%) (2) | | | 02/25/37 | | | | 16,456,824 | | | | 6,502,284 | |
| |
Wells Fargo Home Equity Asset-Backed Securities (07-1-A3) | | | | | |
| | | |
0.73% (1 mo. USD LIBOR + 0.640%) (2) | | | 03/25/37 | | | | 5,521,000 | | | | 5,131,840 | |
| |
Wells Fargo Mortgage-Backed Securities Trust (06-AR11-A6) | | | | | |
| | | |
2.81% (4),(7) | | | 08/25/36 | | | | 1,292,312 | | | | 1,263,444 | |
Wells Fargo Mortgage-Backed Securities Trust (07-AR4-A1) | | | | | | | | | | | | |
| | | |
2.64% (4),(7) | | | 08/25/37 | | | | 71,138 | | | | 69,070 | |
| | | | | | | | | | | | |
| |
Total Residential Mortgage-Backed
Securities — Non-Agency | | | | | |
| |
(Cost: $1,198,355,604) | | | | 1,307,080,269 | |
| | | | | |
|
| U.S. TREASURY SECURITIES — 27.5% | |
| |
U.S. Treasury Bond | | | | | |
| | | |
2.00% | | | 08/15/51 | | | | 60,280,000 | | | | 61,163,623 | |
| |
U.S. Treasury Note | | | | | |
| | | |
0.25% | | | 09/30/23 | | | | 1,009,000 | | | | 1,005,059 | |
| | | |
0.38% | | | 10/31/23 | | | | 701,405,000 | | | | 699,790,590 | |
| | | |
0.75% | | | 08/31/26 | | | | 57,700,000 | | | | 56,543,746 | |
| | | |
0.88% | | | 09/30/26 | | | | 378,801,000 | | | | 373,660,500 | |
See accompanying Notes to Financial Statements.
93
TCW Total Return Bond Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| U.S. TREASURY SECURITIES(Continued) | |
| | | |
1.13% | | | 10/31/26 | | | $ | 205,010,000 | | | $ | 204,365,367 | |
| | | | | | | | | | | | |
| | |
Total U.S. Treasury Securities | | | | | | | | | |
| | |
(Cost: $1,397,681,949) | | | | | | | | 1,396,528,885 | |
| | | | | | | | | | | | |
| |
Total Fixed Income Securities | | | | | |
| | |
(Cost: $6,165,843,675) | | | | | | | | 6,320,742,162 | |
| | | | | | | | | | | | |
|
| |
| | | | | | Shares | | | | |
|
| MONEY MARKET INVESTMENTS — 13.9% | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (9) | | | | 708,105,530 | | | | 708,105,530 | |
| | | | | | | | | | | | |
| | |
Total Money Market Investments | | | | | | | | | |
| | |
(Cost: $708,105,530) | | | | | | | | 708,105,530 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
SHORT TERM INVESTMENTS — 6.4% | |
|
| U.S. Treasury Securities — 6.4% | |
| |
U.S. Treasury Bill | | | | | |
| | | |
0.06% (10) | | | 01/06/22 | | | $ | 75,000,000 | | | $ | 74,991,383 | |
| | | |
0.05% (10) | | | 02/10/22 | | | | 100,000,000 | | | | 99,985,972 | |
| | | |
0.05% (10) | | | 01/20/22 | | | | 150,000,000 | | | | 149,981,670 | |
| | | | | | | | | | | | |
| | |
Total U.S. Treasury Securities | | | | | | | | | |
| | |
(Cost: $324,969,284) | | | | | | | | 324,959,025 | |
| | | | | | | | | | | | |
| |
Total Short Term Investments | | | | | |
| | |
(Cost: $324,969,284) | | | | | | | | 324,959,025 | |
| | | | | | | | | | | | |
| | |
Total Investments (144.7%) | | | | | | | | | |
| | |
(Cost: $7,198,918,489) | | | | | | | | 7,353,806,717 | |
| |
Liabilities In Excess Of Other Assets (-44.7%) | | | | (2,270,044,753 | ) |
| | | | | | | | | | | | |
| | |
Net Assets (100.0%) | | | | | | | $ | 5,083,761,964 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Futures Contracts | |
| | | | | |
Number of
Contracts | | Type | | Expiration
Date | | | Notional | | | Market
Value | | | Net Unrealized
Appreciation
(Depreciation) | |
Long Futures | | | | | | | | | | | | | | | | | | |
| 666 | | 10-Year U.S. Ultra Treasury Note Futures | | | 12/21/21 | | | $ | 96,721,427 | | | $ | 96,590,812 | | | $ | (130,615 | ) |
| 2,983 | | U.S. Ultra Long Bond Futures | | | 12/21/21 | | | | 586,730,263 | | | | 585,879,844 | | | | (850,419 | ) |
| 197 | | 2-Year U.S. Treasury Note Futures | | | 12/31/21 | | | | 43,204,941 | | | | 43,192,250 | | | | (12,691 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 726,656,631 | | | $ | 725,662,906 | | | $ | (993,725 | ) |
| | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
94
TCW Total Return Bond Fund
October 31, 2021
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. |
| SOFR | | Secured Overnight Financing Rate. |
| TAC | | Target Amortization Class. |
| (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 October 31, 2021, the value of these securities amounted to $1,329,364,877 or 26.2% 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 October 31, 2021. |
| (3) | | This security is purchased on a when-issued, delayed-delivery or forward commitment basis. |
| (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 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 October 31, 2021. |
| (10) | | Rate shown represents yield-to-maturity. |
See accompanying Notes to Financial Statements.
95
TCW Total Return Bond Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Residential Mortgage-Backed Securities — Agency | | | 50.4 | % |
U.S. Treasury Securities | | | 33.9 | |
Residential Mortgage-Backed Securities — Non-Agency | | | 25.7 | |
Money Market Investments | | | 13.9 | |
Asset-Backed Securities | | | 10.5 | |
Commercial Mortgage-Backed Securities — Non-Agency | | | 9.8 | |
Commercial Mortgage-Backed Securities — Agency | | | 0.5 | |
Other* | | | (44.7 | ) |
| | | | |
Total | | | 100.0 | % |
| | | | |
| * | Includes futures, pending trades, interest receivable and accrued expenses payable. |
See accompanying Notes to Financial Statements.
96
TCW Total Return Bond Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | $ | — | | | $ | 534,101,588 | | | $ | — | | | $ | 534,101,588 | |
Commercial Mortgage-Backed Securities — Agency | | | — | | | | 23,030,844 | | | | — | | | | 23,030,844 | |
Commercial Mortgage-Backed Securities — Non-Agency | | | — | | | | 496,796,624 | | | | — | | | | 496,796,624 | |
Residential Mortgage-Backed Securities — Agency | | | — | | | | 2,563,203,952 | | | | — | | | | 2,563,203,952 | |
Residential Mortgage-Backed Securities — Non-Agency | | | — | | | | 1,304,328,593 | | | | 2,751,676 | | | | 1,307,080,269 | |
U.S. Treasury Securities | | | 1,396,528,885 | | | | — | | | | — | | | | 1,396,528,885 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income Securities | | | 1,396,528,885 | | | | 4,921,461,601 | | | | 2,751,676 | | | | 6,320,742,162 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 708,105,530 | | | | — | | | | — | | | | 708,105,530 | |
Short-Term Investments | | | 324,959,025 | | | | — | | | | — | | | | 324,959,025 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 2,429,593,440 | | | $ | 4,921,461,601 | | | $ | 2,751,676 | | | $ | 7,353,806,717 | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | $ | (993,725 | ) | | $ | — | | | $ | — | | | $ | (993,725 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (993,725 | ) | | $ | — | | | $ | — | | | $ | (993,725 | ) |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
97
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2021 |
| | | | | | | | | | | | |
| | | TCW
Core Fixed
Income Fund | | | TCW
Enhanced
Commodity
Strategy Fund (1) | | | TCW
Global
Bond Fund | |
ASSETS | | | | | | | | | | | | |
Investments, at Value (2) | | $ | 2,268,809,292 | | | $ | 2,897,968 | | | $ | 37,494,790 | |
Investment in Affiliated Issuers, at Value | | | — | | | | — | | | | 1,142,121 | (3) |
Cash | | | — | | | | 885 | | | | 3 | |
Receivable for Securities Sold | | | — | | | | — | | | | 186,219 | |
Receivable for Sale of When-Issued Securities | | | 476,654,741 | | | | — | | | | 5,829,767 | |
Receivable for Fund Shares Sold | | | 2,129,727 | | | | 100,000 | | | | 18 | |
Interest and Dividends Receivable | | | 5,093,570 | | | | 10,763 | | | | 243,783 | |
Receivable from Investment Advisor | | | 116,368 | | | | 42,013 | | | | 40,497 | |
Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | — | | | | — | | | | 36,781 | |
Receivable for Daily Variation Margin on Open Financial Futures Contracts | | | 3,636 | | | | — | | | | 4,653 | |
Cash Collateral Held for Brokers | | | 5,106,752 | | | | — | | | | 92,994 | |
Open Swap Agreements, at Value | | | — | | | | 3,758 | | | | — | |
Prepaid Expenses | | | 44,470 | | | | 25,558 | | | | 6,292 | |
| | | | | | | | | | | | |
Total Assets | | | 2,757,958,556 | | | | 3,080,945 | | | | 45,077,918 | |
| | | | | | | | | | | | |
LIABILITIES | | | | | | | | | | | | |
Distributions Payable | | | 2,165,720 | | | | — | | | | 52,483 | |
Payable for Securities Purchased | | | 236,246,812 | | | | 28,848 | | | | 235,119 | |
Payable for Purchase of When-Issued Securities | | | 819,378,740 | | | | — | | | | 9,546,499 | |
Payable for Fund Shares Redeemed | | | 1,523,684 | | | | — | | | | 246 | |
Accrued Directors’ Fees and Expenses | | | 10,134 | | | | 10,134 | | | | 10,134 | |
Deferred Accrued Directors’ Fees and Expenses | | | 1,170 | | | | 1,170 | | | | 1,170 | |
Accrued Management Fees | | | 575,148 | | | | 1,211 | | | | 15,073 | |
Accrued Distribution Fees | | | 47,689 | | | | 200 | | | | 2,297 | |
Payable for Daily Variation Margin on Open Centrally Cleared Swap Contracts | | | 56,269 | | | | — | | | | — | |
Options Written, at Value | | | 1,801,594 | (4) | | | — | | | | — | |
Open Swap Agreements, at Value | | | — | | | | 14,147 | | | | — | |
Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | — | | | | — | | | | 37,723 | |
Transfer Agent Fees Payable | | | 261,853 | | | | 8,540 | | | | 4,834 | |
Administration Fee Payable | | | 147,045 | | | | 39,481 | | | | 15,797 | |
Audit Fees Payable | | | 51,051 | | | | 31,101 | | | | 33,015 | |
Accounting Fees Payable | | | 88,629 | | | | 33,963 | | | | 2,887 | |
Custodian Fees Payable | | | 50,968 | | | | 12,536 | | | | 43,971 | |
Legal Fees Payable | | | 2,959 | | | | 15 | | | | 322 | |
Other Accrued Expenses | | | 47,168 | | | | 5,710 | | | | 2,120 | |
| | | | | | | | | | | | |
Total Liabilities | | | 1,062,456,633 | | | | 187,056 | | | | 10,003,690 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 1,695,501,923 | | | $ | 2,893,889 | | | $ | 35,074,228 | |
| | | | | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | |
Paid-in Capital | | $ | 1,670,561,140 | | | $ | 1,966,637 | | | $ | 35,698,581 | |
Accumulated Earnings (Loss) | | | 24,940,783 | | | | 927,252 | | | | (624,353 | ) |
| | | | | | | | | | | | |
NET ASSETS | | $ | 1,695,501,923 | | | $ | 2,893,889 | | | $ | 35,074,228 | |
| | | | | | | | | | | | |
NET ASSETS ATTRIBUTABLE TO: | | | | | | | | | | | | |
I Class Share | | $ | 1,471,072,496 | | | $ | 1,982,639 | | | $ | 24,331,849 | |
| | | | | | | | | | | | |
N Class Share | | $ | 223,562,090 | | | $ | 911,250 | | | $ | 10,742,379 | |
| | | | | | | | | | | | |
Plan Class Share | | $ | 867,337 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | |
CAPITAL SHARES OUTSTANDING: (5) | | | | | | | | | | | | |
I Class Share | | | 127,259,893 | | | | 313,946 | | | | 2,391,169 | |
| | | | | | | | | | | | |
N Class Share | | | 19,382,679 | | | | 144,381 | | | | 1,056,105 | |
| | | | | | | | | | | | |
Plan Class Share | | | 74,681 | | | | — | | | | — | |
| | | | | | | | | | | | |
NET ASSET VALUE PER SHARE: (6) | | | | | | | | | | | | |
I Class Share | | $ | 11.56 | | | $ | 6.32 | | | $ | 10.18 | |
| | | | | | | | | | | | |
N Class Share | | $ | 11.53 | | | $ | 6.31 | | | $ | 10.17 | |
| | | | | | | | | | | | |
Plan Class Share | | $ | 11.61 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | |
| (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 October 31, 2021 was $2,236,836,150, $2,883,368 and $37,615,585, respectively. |
| (3) | The identified cost for the TCW Global Bond Fund at October 31, 2021 was $1,181,286. |
| (4) | Premium received $815,522. |
| (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.
98
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2021 |
| | | | | | | | | | | | |
| | |
TCW
High Yield
Bond Fund | | | TCW
Short Term
Bond Fund | | | TCW
Total Return
Bond Fund | |
ASSETS | | | | | | | | | | | | |
Investments, at Value (1) | | $ | 111,102,957 | | | $ | 22,485,161 | | | $ | 7,353,806,717 | |
Cash | | | 910,117 | | | | 2,393 | | | | 167,329 | |
Receivable for Securities Sold | | | 1,039,700 | | | | 25,000 | | | | 12,011,946 | |
Receivable for Sale of When-Issued Securities | | | 111,375 | | | | 3,291,753 | | | | 3,078,274,308 | |
Receivable for Fund Shares Sold | | | 172,864 | | | | 25 | | | | 14,925,552 | |
Interest and Dividends Receivable | | | 1,049,396 | | | | 76,876 | | | | 8,467,949 | |
Receivable from Investment Advisor | | | 52,244 | | | | 36,672 | | | | 419,517 | |
Receivable for Daily Variation Margin on Open Financial Futures Contracts | | | — | | | | — | | | | 2,339,853 | |
Cash Collateral Held for Brokers | | | 289,000 | | | | 38,000 | | | | 45,947,000 | |
Prepaid Expenses | | | 13,224 | | | | 8,870 | | | | 126,191 | |
| | | | | | | | | | | | |
Total Assets | | | 114,740,877 | | | | 25,964,750 | | | | 10,516,486,362 | |
| | | | | | | | | | | | |
LIABILITIES | | | | | | | | | | | | |
Distributions Payable | | | 319,748 | | | | 21,012 | | | | 8,622,435 | |
Payable for Securities Purchased | | | 2,552,001 | | | | 1,471,735 | | | | 904,072,742 | |
Payable for Purchase of When-Issued Securities | | | 325,000 | | | | 6,294,334 | | | | 4,502,452,502 | |
Payable for Fund Shares Redeemed | | | 67,767 | | | | 2,809 | | | | 11,940,154 | |
Accrued Directors’ Fees and Expenses | | | 10,134 | | | | 10,134 | | | | 10,134 | |
Deferred Accrued Directors’ Fees and Expenses | | | 1,170 | | | | 1,170 | | | | 1,170 | |
Accrued Management Fees | | | 42,816 | | | | 4,938 | | | | 2,254,179 | |
Accrued Distribution Fees | | | 3,270 | | | | — | | | | 184,063 | |
Payable for Daily Variation Margin on Open Financial Futures Contracts | | | 4,449 | | | | 3,375 | | | | — | |
Transfer Agent Fees Payable | | | 25,794 | | | | 2,413 | | | | 1,518,019 | |
Administration Fee Payable | | | 22,980 | | | | 14,561 | | | | 642,228 | |
Audit Fees Payable | | | 23,716 | | | | 52,489 | | | | 139,970 | |
Accounting Fees Payable | | | 27,708 | | | | 2,107 | | | | 410,655 | |
Custodian Fees Payable | | | 36,756 | | | | 18,423 | | | | 68,890 | |
Legal Fees Payable | | | 437 | | | | 294 | | | | 15,719 | |
Other Accrued Expenses | | | 6,127 | | | | 3,508 | | | | 391,538 | |
| | | | | | | | | | | | |
Total Liabilities | | | 3,469,873 | | | | 7,903,302 | | | | 5,432,724,398 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 111,271,004 | | | $ | 18,061,448 | | | $ | 5,083,761,964 | |
| | | | | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | |
Paid-in Capital | | $ | 107,667,572 | | | $ | 18,335,060 | | | $ | 4,964,188,736 | |
Accumulated Earnings (Loss) | | | 3,603,432 | | | | (273,612 | ) | | | 119,573,228 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 111,271,004 | | | $ | 18,061,448 | | | $ | 5,083,761,964 | |
| | | | | | | | | | | | |
NET ASSETS ATTRIBUTABLE TO: | | | | | | | | | | | | |
I Class Share | | $ | 96,223,465 | | | $ | 18,061,448 | | | $ | 4,264,582,972 | |
| | | | | | | | | | | | |
N Class Share | | $ | 15,047,539 | | | $ | — | | | $ | 818,608,237 | |
| | | | | | | | | | | | |
Plan Class Share | | $ | — | | | $ | — | | | $ | 570,755 | |
| | | | | | | | | | | | |
CAPITAL SHARES OUTSTANDING: (2) | | | | | | | | | | | | |
I Class Share | | | 13,960,691 | | | | 2,100,846 | | | | 420,644,947 | |
| | | | | | | | | | | | |
N Class Share | | | 2,169,954 | | | | — | | | | 78,289,210 | |
| | | | | | | | | | | | |
Plan Class Share | | | — | | | | — | | | | 55,997 | |
| | | | | | | | | | | | |
NET ASSET VALUE PER SHARE: (3) | | | | | | | | | | | | |
I Class Share | | $ | 6.89 | | | $ | 8.60 | | | $ | 10.14 | |
| | | | | | | | | | | | |
N Class Share | | $ | 6.93 | | | $ | — | | | $ | 10.46 | |
| | | | | | | | | | | | |
Plan Class Share | | $ | — | | | $ | — | | | $ | 10.19 | |
| | | | | | | | | | | | |
| (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 October 31, 2021 was $109,631,476, $22,738,631 and $7,198,918,489, 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.
99
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2021 |
| | | | | | | | | | | | |
| | | TCW
Core Fixed
Income Fund | | | TCW
Enhanced
Commodity
Strategy Fund (1) | | | TCW
Global
Bond Fund | |
INVESTMENT INCOME | | | | | | | | | | | | |
Income: | | | | | | | | | | | | |
Dividends | | $ | — | | | $ | — | | | $ | 17,371 | |
Dividends from Investment in Affiliated Issuers | | $ | — | | | $ | — | | | $ | 38,094 | |
Interest | | | 23,689,570 | | | | 24,126 | | | | 813,000 | (2) |
| | | | | | | | | | | | |
Total | | | 23,689,570 | | | | 24,126 | | | | 868,465 | |
| | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | |
Management Fees | | | 6,629,615 | | | | 9,489 | | | | 169,921 | |
Accounting Services Fees | | | 97,461 | | | | 36,628 | | | | 3,163 | |
Administration Fees | | | 159,548 | | | | 38,306 | | | | 17,109 | |
Transfer Agent Fees: | | | | | | | | | | | | |
I Class | | | 1,013,472 | | | | 8,414 | | | | 9,144 | |
N Class | | | 243,611 | | | | 9,637 | | | | 9,430 | |
Plan Class | | | 7,606 | | | | — | | | | — | |
Custodian Fees | | | 51,463 | | | | 12,590 | | | | 45,240 | |
Professional Fees | | | 92,814 | | | | 50,241 | | | | 55,926 | |
Directors’ Fees and Expenses | | | 43,054 | | | | 43,054 | | | | 43,054 | |
Registration Fees: | | | | | | | | | | | | |
I Class | | | 60,288 | | | | 6,898 | | | | 17,969 | |
N Class | | | 23,431 | | | | 6,897 | | | | 16,486 | |
Plan Class | | | 20,844 | | | | — | | | | — | |
Distribution Fees: | | | | | | | | | | | | |
N Class | | | 584,358 | | | | 1,536 | | | | 28,077 | |
Compliance Expense | | | 18,984 | | | | 18,984 | | | | 18,984 | |
Shareholder Reporting Expense | | | 7,412 | | | | 911 | | | | 1,751 | |
Other | | | 128,736 | | | | 8,684 | | | | 10,387 | |
| | | | | | | | | | | | |
Total | | | 9,182,697 | | | | 252,269 | | | | 446,641 | |
| | | | | | | | | | | | |
Less Expenses Borne by Investment Advisor: | | | | | | | | | | | | |
I Class | | | 304,108 | | | | 143,232 | | | | 130,811 | |
N Class | | | 344,500 | | | | 97,828 | | | | 93,758 | |
Plan Class | | | 28,431 | | | | — | | | | — | |
| | | | | | | | | | | | |
Net Expenses | | | 8,505,658 | | | | 11,209 | | | | 222,072 | |
| | | | | | | | | | | | |
Net Investment Income | | | 15,183,912 | | | | 12,917 | | | | 646,393 | |
| | | | | | | | | | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | |
Investments | | | (2,972,743 | ) | | | 2,357 | | | | (35,945 | ) (3) |
Investments in Affiliated Issuers | | | — | | | | — | | | | (3,337 | ) |
Foreign Currency | | | (134,656 | ) | | | — | | | | (12,300 | ) |
Foreign Currency Forward Contracts | | | 2,547,763 | | | | — | | | | (301,162 | ) |
Futures Contracts | | | (142,510 | ) | | | — | | | | 38,048 | |
Options Written | | | (113,706 | ) | | | — | | | | — | |
Swap Agreements | | | (2,049 | ) | | | 560,914 | | | | — | |
Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | |
Investments | | | (10,537,281 | ) | | | (590 | ) | | | (885,884 | ) |
Foreign Currency | | | — | | | | — | | | | (1,952 | ) |
Foreign Currency Forward Contracts | | | — | | | | — | | | | (17,483 | ) |
Futures contracts | | | 182,127 | | | | — | | | | (21,036 | ) |
Investments in Affiliated Issuers | | | — | | | | — | | | | (34,416 | ) |
Options Written | | | (986,072 | ) | | | — | | | | — | |
Swap Agreements | | | (937,432 | ) | | | 13,772 | | | | — | |
| | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | | | (13,096,559 | ) | | | 576,453 | | | | (1,275,467 | ) |
| | | | | | | | | | | | |
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 2,087,353 | | | $ | 589,370 | | | $ | (629,074 | ) |
| | | | | | | | | | | | |
| (1) | Consolidated Statement of Operations (See Note 2). |
| (2) | Net of foreign taxes withheld of $8,402 for the TCW Global Bond Fund. |
| (3) | Net of capital gain withholding taxes of $1,711 for the TCW Global Bond Fund. |
See accompanying Notes to Financial Statements.
100
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2021 |
| | | | | | | | | | | | |
| | | TCW
High Yield
Bond Fund | | | TCW
Short Term
Bond Fund | | |
TCW
Total Return
Bond Fund | |
INVESTMENT INCOME | | | | | | | | | | | | |
Income: | | | | | | | | | | | | |
Interest | | $ | 4,598,331 | | | $ | 349,807 | | | $ | 182,095,102 | |
| | | | | | | | | | | | |
Total | | | 4,598,331 | | | | 349,807 | | | | 182,095,102 | |
| | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | |
Management Fees | | | 529,042 | | | | 32,264 | | | | 28,580,213 | |
Accounting Services Fees | | | 30,996 | | | | 2,183 | | | | 449,724 | |
Administration Fees | | | 25,791 | | | | 15,708 | | | | 699,625 | |
Transfer Agent Fees: | | | | | | | | | | | | |
I Class | | | 86,576 | | | | 11,874 | | | | 4,722,590 | |
N Class | | | 25,387 | | | | — | | | | 1,561,982 | |
Plan Class | | | — | | | | — | | | | 7,713 | |
Custodian Fees | | | 40,704 | | | | 18,126 | | | | 70,820 | |
Professional Fees | | | 41,068 | | | | 82,925 | | | | 305,633 | |
Directors’ Fees and Expenses | | | 43,054 | | | | 43,054 | | | | 43,054 | |
Registration Fees: | | | | | | | | | | | | |
I Class | | | 32,277 | | | | 23,062 | | | | 134,543 | |
N Class | | | 21,229 | | | | — | | | | 65,268 | |
Plan Class | | | — | | | | — | | | | 23,106 | |
Distribution Fees: | | | | | | | | | | | | |
N Class | | | 45,825 | | | | — | | | | 3,209,275 | |
Compliance Expense | | | 18,984 | | | | 18,984 | | | | 18,984 | |
Shareholder Reporting Expense | | | 4,652 | | | | — | | | | 12,350 | |
Other | | | 16,976 | | | | 7,021 | | | | 862,987 | |
| | | | | | | | | | | | |
Total | | | 962,561 | | | | 255,201 | | | | 40,767,867 | |
| | | | | | | | | | | | |
Less Expenses Borne by Investment Advisor: | | | | | | | | | | | | |
I Class | | | 206,993 | | | | 214,642 | | | | 1,691,125 | |
N Class | | | 63,155 | | | | — | | | | 1,379,370 | |
Plan Class | | | — | | | | — | | | | 30,783 | |
| | | | | | | | | | | | |
Net Expenses | | | 692,413 | | | | 40,559 | | | | 37,666,589 | |
| | | | | | | | | | | | |
Net Investment Income | | | 3,905,918 | | | | 309,248 | | | | 144,428,513 | |
| | | | | | | | | | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | |
Investments | | | 2,688,229 | | | | (19,473 | ) | | | (57,696,139 | ) |
Foreign Currency | | | — | | | | (518 | ) | | | (628,211 | ) |
Foreign Currency Forward Contracts | | | — | | | | 15,925 | | | | 11,829,897 | |
Futures Contracts | | | 472,806 | | | | (2,676 | ) | | | (53,193,435 | ) |
Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | |
Investments | | | 973,150 | | | | (250,420 | ) | | | (110,504,473 | ) |
Futures contracts | | | (188,957 | ) | | | 21,186 | | | | 21,492,449 | |
| | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 3,945,228 | | | | (235,976 | ) | | | (188,699,912 | ) |
| | | | | | | | | | | | |
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 7,851,146 | | | $ | 73,272 | | | $ | (44,271,399 | ) |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
101
TCW Funds, Inc.
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | TCW
Core Fixed Income
Fund | | | TCW
Enhanced Commodity Strategy
Fund (1) | |
| | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 15,183,912 | | | $ | 22,527,062 | | | $ | 12,917 | | | $ | 25,591 | |
Net Realized Gain (Loss) on Investments, Futures Contracts, Options Written, Swap Contracts and Foreign Currency Transactions | | | (817,901 | ) | | | 57,143,948 | | | | 563,271 | | | | (54,101 | ) |
Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts, Options Written and Swap Contracts | | | (12,278,658 | ) | | | 8,993,955 | | | | 13,182 | | | | (50,424 | ) |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Operations | | | 2,087,353 | | | | 88,664,965 | | | | 589,370 | | | | (78,934 | ) |
| | | | | | | | | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | |
Distributions to Shareholders | | | (54,874,147 | ) | | | (27,086,856 | ) | | | (31,504 | ) | | | (43,907 | ) |
Return of Capital | | | (6,135,591 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions to Shareholders | | | (61,009,738 | ) | | | (27,086,856 | ) | | | (31,504 | ) | | | (43,907 | ) |
| | | | | | | | | | | | | | | | |
NET CAPITAL SHARE TRANSACTIONS | |
I Class | | | 176,664,657 | | | | 347,782,943 | | | | 952,173 | | | | 26,314 | |
N Class | | | (9,836,433 | ) | | | (9,637,861 | ) | | | 218,346 | | | | 17,593 | |
Plan Class | | | 870,109 | | | | 101 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Increase in Net Assets Resulting from Net Capital Shares Transactions | | | 167,698,333 | | | | 338,145,183 | | | | 1,170,519 | | | | 43,907 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | 108,775,948 | | | | 399,723,292 | | | | 1,728,385 | | | | (78,934 | ) |
NET ASSETS | |
Beginning of year | | | 1,586,725,975 | | | | 1,187,002,683 | | | | 1,165,504 | | | | 1,244,438 | |
| | | | | | | | | | | | | | | | |
End of year | | $ | 1,695,501,923 | | | $ | 1,586,725,975 | | | $ | 2,893,889 | | | $ | 1,165,504 | |
| | | | | | | | | | | | | | | | |
| (1) | Consolidated Statement of Changes in Net Assets (See Note 2). |
See accompanying Notes to Financial Statements.
102
TCW Funds, Inc.
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | TCW
Global Bond
Fund | | | TCW
High Yield Bond
Fund | |
| | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 646,393 | | | $ | 450,380 | | | $ | 3,905,918 | | | $ | 1,709,701 | |
Net Realized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions | | | (314,696 | ) | | | 566,505 | | | | 3,161,035 | | | | 713,940 | |
Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts and Foreign Currency Transactions | | | (960,771 | ) | | | 486,874 | | | | 784,193 | | | | 593,891 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Operations | | | (629,074 | ) | | | 1,503,759 | | | | 7,851,146 | | | | 3,017,532 | |
| | | | | | | | | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | |
Distributions to Shareholders | | | (1,403,091 | ) | | | (702,102 | ) | | | (4,114,958 | ) | | | (1,907,838 | ) |
Return of Capital | | | (207,034 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions to Shareholders | | | (1,610,125 | ) | | | (702,102 | ) | | | (4,114,958 | ) | | | (1,907,838 | ) |
| | | | | | | | | | | | | | | | |
NET CAPITAL SHARE TRANSACTIONS | |
I Class | | | 15,202,934 | | | | 1,042,393 | | | | 7,118,045 | | | | 65,450,989 | |
N Class | | | 316,428 | | | | 2,284,473 | | | | (3,378,540 | ) | | | 7,748,174 | |
| | | | | | | | | | | | | | | | |
Increase in Net Assets Resulting from Net Capital Shares Transactions | | | 15,519,362 | | | | 3,326,866 | | | | 3,739,505 | | | | 73,199,163 | |
| | | | | | | | | | | | | | | | |
Increase in Net Assets | | | 13,280,163 | | | | 4,128,523 | | | | 7,475,693 | | | | 74,308,857 | |
NET ASSETS | |
Beginning of year | | | 21,794,065 | | | | 17,665,542 | | | | 103,795,311 | | | | 29,486,454 | |
| | | | | | | | | | | | | | | | |
End of year | | $ | 35,074,228 | | | $ | 21,794,065 | | | $ | 111,271,004 | | | $ | 103,795,311 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
103
TCW Funds, Inc.
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | TCW
Short Term
Bond Fund | | | TCW
Total Return
Bond Fund | |
| | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 309,248 | | | $ | 148,622 | | | $ | 144,428,513 | | | $ | 160,233,200 | |
Net Realized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions | | | (6,742 | ) | | | 20,495 | | | | (99,687,888 | ) | | | 267,020,758 | |
Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts | | | (229,234 | ) | | | 3,923 | | | | (89,012,024 | ) | | | 2,380,352 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Operations | | | 73,272 | | | | 173,040 | | | | (44,271,399 | ) | | | 429,634,310 | |
| | | | | | | | | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | |
Distributions to Shareholders | | | (116,060 | ) | | | (95,527 | ) | | | (180,514,941 | ) | | | (195,474,335 | ) |
Return of Capital | | | — | | | | (23,540 | ) | | | (7,936,807 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions to Shareholders | | | (116,060 | ) | | | (119,067 | ) | | | (188,451,748 | ) | | | (195,474,335 | ) |
| | | | | | | | | | | | | | | | |
NET CAPITAL SHARE TRANSACTIONS | |
I Class | | | 10,406,189 | | | | 2,000,194 | | | | (1,286,832,084 | ) | | | 631,409,495 | |
N Class | | | — | | | | — | | | | (979,184,016 | ) | | | 854,720,881 | |
Plan Class | | | — | | | | — | | | | 595,978 | | | | 101 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | | | 10,406,189 | | | | 2,000,194 | | | | (2,265,420,122 | ) | | | 1,486,130,477 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | 10,363,401 | | | | 2,054,167 | | | | (2,498,143,269 | ) | | | 1,720,290,452 | |
NET ASSETS | |
Beginning of year | | | 7,698,047 | | | | 5,643,880 | | | | 7,581,905,233 | | | | 5,861,614,781 | |
| | | | | | | | | | | | | | | | |
End of year | | $ | 18,061,448 | | | $ | 7,698,047 | | | $ | 5,083,761,964 | | | $ | 7,581,905,233 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
104
TCW Funds, Inc.
Notes to Financial Statements | October 31, 2021 |
Note 1 — Organization
TCW Funds, Inc. (the “Company”), a Maryland corporation, 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 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 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”). |
105
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 1 — Organization (Continued)
| | |
TCW Fund | | Investment Objectives and Principal Investment
Strategies |
| 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. At least 50% of the Fund’s net assets will be invested 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. |
106
TCW Funds, Inc.
October 31, 2021
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. The net assets of the Subsidiary at October 31, 2021 were $252,596 or 8.73% of the Parent’s consolidated net assets. Intercompany balances and transactions have been eliminated in consolidation.
Net Asset Value: The net asset value (“NAV”) per share of each class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that class on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on 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, swap agreements and forward currency contracts, 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.
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
107
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 as 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 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
108
TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized as Level 2 of the fair value hierarchy; otherwise, they would be categorized as 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 as 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 as 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 as 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 as 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 as 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 as 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 as 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 as Level 2; otherwise, the fair values are categorized as Level 3.
Options and Swaptions contracts. Exchange-listed options contracts are traded on securities exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange-listed options contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. Options and swaptions contracts traded over-the-counter (“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-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC options and swaptions contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, issued by non-public entities are categorized as 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 as Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
109
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Short-term investments. Short-term investments are valued using market price quotations, and are categorized as 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 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 as 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 as Level 1 of the fair value hierarchy.
The summary of the inputs used as of October 31, 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) | | | (20,916 | ) | | | 21,179 | | | | 11,087 | | | | (847,211 | ) |
Realized Gain (Loss) | | | (1,927 | ) | | | 213 | | | | 19,379 | | | | 358,817 | |
Change in Unrealized Appreciation (Depreciation) | | | 118,444 | | | | (63,944 | ) | | | (7,195 | ) | | | (14,930 | ) |
Purchases | | | 5,000,000 | | | | 19 | | | | 211,618 | | | | 6,013 | |
Sales | | | (306,887 | ) | | | (232 | ) | | | (74,146 | ) | | | (365,548 | ) |
Transfers in to Level 3 | | | 1,252,310 | (1) | | | — | | | | — | | | | — | |
Transfers out of Level 3 | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Balance as of October 31, 2021 | | $ | 6,041,024 | | | $ | 65,382 | | | $ | 198,068 | | | $ | 2,751,676 | |
| | | | | | | | | | | | | | | | |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at October 31, 2021 | | $ | 118,444 | | | $ | (63,944 | ) | | $ | (6,084 | ) | | $ | (15,582 | ) |
| | | | | | | | | | | | | | | | |
| (1) | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
Significant unobservable valuation inputs for Level 3 investments as of October 31, 2021 are as follows:
| | | | | | | | | | | | |
Description | | Fair Value at
10/31/2021 | | | Valuation
Techniques | | Unobservable
Input | | Price or Price
Range | | Average
Weighted
Price |
TCW Core Fixed Income Fund |
Corporate Bonds | | $ | 1,275,231 | | | Third-party Vendor | | Vendor Prices | | $94.250 | | $94.250 |
Asset-Backed Securities | | | 4,765,793 | | | Third-party Vendor | | Vendor Prices | | $98.922 | | $98.922 |
TCW Global Bond Fund |
Residential Mortgage-Backed Securities — Non-Agency | | $ | 65,382 | | | Third-party Vendor | | Vendor Prices | | $5.223 | | $5.223 |
TCW High Yield Bond Fund |
Common Stock | | $ | 0 | | | Third-party Vendor | | Vendor Prices | | $0 | | $0 |
Corporate Bonds | | $ | 198,068 | | | Third-party Vendor | | Vendor Prices | | $94.250 | | $94.250 |
TCW Total Return Bond Fund |
Residential Mortgage-Backed Securities — Non-Agency | | $ | 4,831 | | | Third-party Vendor | | Vendor Prices | | $7.340 | | $7.340 |
Residential Mortgage-Backed Securities — Non-Agency (Interest Only, Collateral Strip Rate Securities) | | $ | 2,746,845 | | | Third-party Vendor | | Vendor Prices | | $0.608–2.288 | | $1.515 |
110
TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
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
111
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 year ended October 31, 2021, the following Funds had derivatives and transactions in derivatives, grouped in the following risk categories:
TCW Core Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Credit
Risk | | | Commodity
Risk | | | Foreign
Currency Risk | | | Interest Rate
Risk | | | Total | |
Statement of Assets and Liabilities: | | | | | | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | | | | | | | | | | | | | | | | |
Investments (1) | | $ | — | | | $ | — | | | $ | — | | | $ | 1,969,434 | | | $ | 1,969,434 | |
Swap Agreements | | | — | | | | — | | | | — | | | | 79,063 | | | | 79,063 | |
Futures Contracts (4) | | | — | | | | — | | | | — | | | | 203,384 | | | | 203,384 | |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | — | | | $ | — | | | $ | 2,251,881 | | | $ | 2,251,881 | |
| | | | | | | | | | | | | | | | | | | | |
Liability Derivatives | |
Written Options | | $ | — | | | $ | — | | | $ | — | | | $ | (1,801,594 | ) | | $ | (1,801,594 | ) |
Swap Agreements | | | — | | | | — | | | | — | | | | (1,016,495 | ) | | | (1,016,495 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | — | | | $ | — | | | $ | (2,818,089 | ) | | $ | (2,818,089 | ) |
| | | | | | | | | | | | | | | | | | | | |
Statement of Operations: | |
Net Realized Gain (Loss) | |
Forward Contracts | | $ | — | | | $ | — | | | $ | 2,547,763 | | | $ | — | | | $ | 2,547,763 | |
Futures Contracts | | | — | | | | — | | | | — | | | | (142,510 | ) | | | (142,510 | ) |
Investments (2) | | | — | | | | — | | | | — | | | | 117,596 | | | | 117,596 | |
Written Options | | | — | | | | — | | | | — | | | | (113,706 | ) | | | (113,706 | ) |
Swap Agreements | | | — | | | | — | | | | — | | | | (2,049 | ) | | | (2,049 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | $ | — | | | $ | — | | | $ | 2,547,763 | | | $ | (140,669 | ) | | $ | 2,407,094 | |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | |
Futures Contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 182,127 | | | $ | 182,127 | |
Investments (3) | | | — | | | | — | | | | — | | | | 865,402 | | | | 865,402 | |
Written Options | | | — | | | | — | | | | — | | | | (986,072 | ) | | | (986,072 | ) |
Swap Agreements | | | — | | | | — | | | | — | | | | (937,432 | ) | | | (937,432 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | $ | — | | | $ | — | | | $ | — | | | $ | (875,975 | ) | | $ | (875,975 | ) |
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts or Notional Amounts (5) | |
Forward Currency Contracts | | $ | — | | | $ | — | | | $ | 36,446,707 | | | $ | — | | | $ | 36,446,707 | |
Options Purchased | | | — | | | | — | | | | — | | | | 1,082 | | | | 1,082 | |
Written Options | | | — | | | | — | | | | — | | | | 1,968 | | | | 1,968 | |
Futures Contracts | | | — | | | | — | | | | — | | | | 139 | | | | 139 | |
Swaptions Purchased | | $ | — | | | $ | — | | | $ | — | | | $ | 6,580,000. | | | $ | 6,580,000 | |
Swap Agreements | | $ | — | | | $ | — | | | $ | — | | | $ | 117,472,500 | | | $ | 117,472,500 | |
112
TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
TCW Enhanced Commodity Strategy Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Credit
Risk | | | Commodity
Risk | | | Foreign
Currency
Risk | | | Interest
Rate Risk | | | Total | |
Statement of Assets and Liabilities: | | | | | | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | | | | | | | | | | | | | | | | |
Swap Agreements | | $ | — | | | $ | 3,758 | | | $ | — | | | $ | — | | | $ | 3,758 | |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | 3,758 | | | $ | — | | | $ | — | | | $ | 3,758 | |
| | | | | | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | | | | | |
Swap Agreements | | $ | — | | | $ | (14,147 | ) | | $ | — | | | $ | — | | | $ | (14,147 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | (14,147 | ) | | $ | — | | | $ | — | | | $ | (14,147 | ) |
| | | | | | | | | | | | | | | | | | | | |
Statement of Operations: | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | | | | | | | | | | | | | | | | | | | |
Swap Agreements | | $ | — | | | $ | 560,914 | | | $ | — | | | $ | — | | | $ | 560,914 | |
| | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | $ | — | | | $ | 560,914 | | | $ | — | | | $ | — | | | $ | 560,914 | |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | |
Swap Agreements | | $ | — | | | $ | 13,772 | | | $ | — | | | $ | — | | | $ | 13,772 | |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | $ | — | | | $ | 13,772 | | | $ | — | | | $ | — | | | $ | 13,772 | |
| | | | | | | | | | | | | | | | | | | | |
Notional Amounts (5) | |
Swap Agreements | | $ | — | | | $ | 1,639,616 | | | $ | — | | | $ | — | | | $ | 1,639,616 | |
TCW Global Bond Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Credit
Risk | | | Commodity
Risk | | | Foreign
Currency Risk | | | Interest
Rate Risk | | | Total | |
Statement of Assets and Liabilities: | | | | | | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | |
Futures Contracts (4) | | $ | — | | | $ | — | | | $ | — | | | $ | 20,374 | | | $ | 20,374 | |
Forward Contracts | | | — | | | | — | | | | 36,781 | | | | — | | | | 36,781 | |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | — | | | $ | 36,781 | | | $ | 20,374 | | | $ | 57,155 | |
| | | | | | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | |
Forward Contracts (4) | | $ | — | | | $ | — | | | $ | (37,723 | ) | | $ | — | | | $ | (37,723 | ) |
Futures Contracts | | | — | | | | — | | | | — | | | | (42,321 | ) | | | (42,321 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | — | | | $ | (37,723 | ) | | $ | (42,321 | ) | | $ | (80,044 | ) |
| | | | | | | | | | | | | | | | | | | | |
Statement of Operations: | | | | | |
Net Realized Gain (Loss) | | | | | |
Forward Contracts | | $ | — | | | $ | — | | | $ | (301,162 | ) | | $ | — | | | $ | (301,162 | ) |
Futures Contracts | | | — | | | | — | | | | — | | | | 38,048 | | | | 38,048 | |
| | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | $ | — | | | $ | — | | | $ | (301,162 | ) | | $ | 38,048 | | | $ | (263,114 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | | | | |
Forward Contracts | | $ | — | | | $ | — | | | $ | (17,483 | ) | | $ | — | | | $ | (17,483 | ) |
Futures Contracts | | | — | | | | — | | | | — | | | | (21,036 | ) | | | (21,036 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | $ | — | | | $ | — | | | $ | (17,483 | ) | | $ | (21,036 | ) | | $ | (38,519 | ) |
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts or Notional Amounts (5) | | | | | |
Forward Currency Contracts | | $ | — | | | $ | — | | | $ | 17,446,831 | | | $ | — | | | $ | 17,446,831 | |
Futures Contracts | | | — | | | | — | | | | — | | | | 20 | | | | 20 | |
113
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW High Yield Bond Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Credit Risk | | | Commodity
Risk | | | Foreign
Currency
Risk | | | Interest
Rate
Risk | | | Total | |
Statement of Assets and Liabilities: | | | | | | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | |
Futures Contracts (4) | | $ | — | | | $ | — | | | $ | — | | | $ | 20,791 | | | $ | 20,791 | |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | — | | | $ | — | | | $ | 20,791 | | | $ | 20,791 | |
| | | | | | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | |
Futures Contracts (4) | | $ | — | | | $ | — | | | $ | — | | | $ | (18,711 | ) | | $ | (18,711 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | — | | | $ | — | | | $ | (18,711 | ) | | $ | (18,711 | ) |
| | | | | | | | | | | | | | | | | | | | |
Statement of Operations: | | | | | |
Net Realized Gain (Loss) | | | | | |
Futures Contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 472,806 | | | $ | 472,806 | |
| | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | $ | — | | | $ | — | | | $ | — | | | $ | 472,806 | | | $ | 472,806 | |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | | | | |
Futures Contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (188,957 | ) | | $ | (188,957 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | $ | — | | | $ | — | | | $ | — | | | $ | (188,957 | ) | | $ | (188,957 | ) |
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts (5) | | | | | |
Futures Contracts | | | — | | | | — | | | | — | | | | 31 | | | | 31 | |
TCW Short Term Bond Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Credit
Risk | | | Commodity
Risk | | | Foreign
Currency
Risk | | | Interest
Rate
Risk | | | Total | |
Statement of Assets and Liabilities: | | | | | | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | |
Futures Contracts (4) | | $ | — | | | $ | — | | | $ | — | | | $ | 27,861 | | | $ | 27,861 | |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | — | | | $ | — | | | $ | 27,861 | | | $ | 27,861 | |
| | | | | | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | |
Futures Contracts (4) | | $ | — | | | $ | — | | | $ | — | | | $ | (4,473 | ) | | $ | (4,473 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | — | | | $ | — | | | $ | (4,473 | ) | | $ | (4,473 | ) |
| | | | | | | | | | | | | | | | | | | | |
Statement of Operations: | | | | | |
Net Realized Gain (Loss) | | | | | |
Forward Contracts | | $ | — | | | $ | — | | | $ | 15,925 | | | $ | — | | | $ | 15,925 | |
Futures Contracts | | | — | | | | — | | | | — | | | | (2,676 | ) | | | (2,676 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | $ | — | | | $ | — | | | $ | 15,925 | | | $ | (2,676 | ) | | $ | 13,249 | |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | | | | |
Futures Contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 21,186 | | | $ | 21,186 | |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | $ | — | | | $ | — | | | $ | — | | | $ | 21,186 | | | $ | 21,186 | |
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts or Notional Amounts (5) | | | | | |
Forward Currency Contracts | | $ | — | | | $ | — | | | $ | 216,731 | | | $ | — | | | $ | 216,731 | |
Futures Contracts | | | — | | | | — | | | | — | | | | 9 | | | | 9 | |
114
TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
TCW Total Return Bond Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Credit
Risk | | | Commodity
Risk | | | Foreign
Currency Risk | | | Interest Rate
Risk | | | Total | |
Statement of Assets and Liabilities: | | | | | | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | |
Futures Contracts (4) | | $ | — | | | $ | — | | | $ | — | | | $ | (993,725 | ) | | $ | (993,725 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | — | | | $ | — | | | $ | (993,725 | ) | | $ | (993,725 | ) |
| | | | | | | | | | | | | | | | | | | | |
Statement of Operations: | |
Net Realized Gain (Loss) | | | | | |
Forward Contracts | | $ | — | | | $ | — | | | $ | 11,829,897 | | | $ | — | | | $ | 11,829,897 | |
Futures Contracts (4) | | | — | | | | — | | | | — | | | | (53,196,435 | ) | | | (53,196,435 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | $ | — | | | $ | — | | | $ | 11,829,897 | | | $ | (53,196,435 | ) | | $ | (41,366,538 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | | | | |
Futures Contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 21,492,449 | | | $ | 21,492,449 | |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | $ | — | | | $ | — | | | $ | — | | | $ | 21,492,449 | | | $ | 21,492,449 | |
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts or Notional Amounts (5) | | | | | |
Forward Currency Contracts | | $ | — | | | $ | — | | | $ | 169,278,156 | | | $ | — | | | $ | 169,278,156 | |
Futures Contracts | | | — | | | | — | | | | — | | | | 3,417 | | | | 3,417 | |
| (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) | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin on October 31, 2021 is reported within the Statement of Assets and Liabilities. |
| (5) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the year ended October 31, 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 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
115
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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, 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
116
TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
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 October 31, 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. | | $ | 202,371 | | | $ | — | | | $ | 202,371 | | | $ | (202,371 | )(2) | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 202,371 | | | $ | — | | | $ | 202,371 | | | $ | (202,371 | )(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 | | $ | 3,758 | | | $ | (14,147 | ) | | $ | (10,389 | ) | | $ | — | | | $ | (10,389 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 3,758 | | | $ | (14,147 | ) | | $ | (10,389 | ) | | $ | — | | | $ | (10,389 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
117
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
| | | | | | | | | | | | | | | | | | | | |
TCW Global Bond Fund | |
Counterparty | | Gross
Assets
Subject to
Master
Agreements | | | Gross
Liabilities
Subject to
Master
Agreements | | | Net Assets
(Liabilities)
Subject to
Master
Agreements | | | Collateral
Pledged
(Received) | | | Net
Amount (1) | |
Citibank N.A. | | $ | 4,864 | | | $ | (2,239 | ) | | $ | 2,625 | | | $ | — | | | $ | 2,625 | |
Goldman Sachs & Co. | | | 11,910 | | | | (12,077 | ) | | | (167 | ) | | | — | | | | (167 | ) |
State Street Bank & Trust Co. | | | 20,007 | | | | (23,407 | ) | | | (3,400 | ) | | | — | | | | (3,400 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 36,781 | | | $ | (37,723 | ) | | $ | (942 | ) | | $ | — | | | $ | (942 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (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 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
118
TCW Funds, Inc.
October 31, 2021
Note 3 — Portfolio Investments (Continued)
securities pay interest on a semi-annual basis, equal to a fixed percentage of the inflation-adjusted principal amount.
If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation- related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if inflation were to rise at a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds.
While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to declines in values. If interest rates rise due to reasons other than inflation (for example, due to changes in currency exchange rates), investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.
When-Issued, Delayed-Delivery, To Be Announced (“TBA”) and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, TBA or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of 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
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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 year ended October 31, 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 the 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 October 31, 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 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 year ended October 31, 2021.
Securities 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 year ended October 31, 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
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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 October 31, 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.
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 year ended October 31, 2021 to help manage interest rate duration of those Funds. Futures contracts outstanding at October 31, 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
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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.
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
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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.
The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. See “Swap Agreements” below. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. During the year ended October 31, 2021, the TCW Core Fixed Income Fund held written swaptions.
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.
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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 year ended October 31, 2021, the TCW Core Fixed Income Fund entered into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk); 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, and so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment portfolio, the greater the change in value.
Mortgage-Backed 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.
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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.
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.
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Note 4 — Risk Considerations (Continued)
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 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.
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: The London Interbank Offer Rate (“LIBOR”) historically has been and currently 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 July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. It is expected that market participants will transition to the use of different alternative reference or benchmark rates. However, although regulators have encouraged the development and adoption of alternative rates such as the Secured Overnight Financing Rate (“SOFR”), there is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including investment companies such as the Funds. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain how such changes would be implemented and the effects such changes would have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.
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 outbreak of the novel coronavirus (“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.
The World Health Organization declared in March 2020 that the COVID-19 outbreak officially constitutes a “pandemic.” 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, imposed and in some cases 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
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Note 4 — Risk Considerations (Continued)
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.
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 ongoing COVID-19 crisis and any other public health emergency that may arise in the future could have a significant adverse impact on our investments and result in significant investment losses.
Bank Loan Risk: There is a risk of investing in corporate loans made by commercial banks and other financial institutions or institutional investors to companies that need capital to grow or restructure, which includes interest rate risk, liquidity risk and prepayment risk. A Fund may also be subject to the credit risk of other financial institutions and the risks associated with insufficient collateral securing a bank loan, limited available public information about a bank loan, delayed settlement, and less protection for holders of bank loans as compared to holders of registered securities. Bank loans are not registered and otherwise may not be treated as securities under the federal securities laws, meaning investors in loans have less protection against improper practices than investors in securities that are registered under or are otherwise subject to the protections of the securities laws.
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 October 31, 2021, the components of distributable earnings on a tax basis were as follows:
| | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Gain | | | Total
Distributable
Earnings | |
TCW Enhanced Commodity Strategy Fund | | $ | 562,329 | | | $ | — | | | $ | 562,329 | |
TCW High Yield Bond Fund | | | 2,254,610 | | | | 406,774 | | | | 2,661,384 | |
TCW Short Term Bond Fund | | | 43,732 | | | | — | | | | 43,732 | |
At the end of the previous fiscal year ended 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 | |
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Note 5 — Federal Income Taxes (Continued)
Permanent differences incurred during the year ended October 31, 2021, resulting from differences in book and tax accounting, have been reclassified at year-end between undistributed net investment income (loss), undistributed (accumulated) net realized gain (loss) and paid-in capital as follows, with no impact to the net asset value per share:
| | | | | | | | | | | | |
| | | Undistributed
Net
Investment
Income (Loss) | | | Undistributed
(Accumulated)
Net Realized
Gain (Loss) | | | Paid-in
Capital | |
TCW Core Fixed Income Fund | | $ | 4,573,612 | | | $ | (4,568,301 | ) | | $ | (5,311 | ) |
TCW Enhanced Commodity Strategy Fund | | | 572,603 | | | | (2,425 | ) | | | (570,178 | ) |
TCW Global Bond Fund | | | (322,808 | ) | | | 322,250 | | | | 558 | |
TCW High Yield Bond Fund | | | 453,292 | | | | (1,239,062 | ) | | | 785,770 | |
TCW Short Term Bond Fund | | | 21,825 | | | | (16,857 | ) | | | (4,968 | ) |
TCW Total Return Bond Fund | | | 31,612,241 | | | | (31,208,860 | ) | | | (403,381 | ) |
During the year ended October 31, 2021, 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 | | $ | 44,348,481 | | | $ | 10,525,666 | | | $ | 6,135,591 | | | $ | 61,009,738 | |
TCW Enhanced Commodity Strategy Fund | | | 29,411 | | | | 2,093 | | | | — | | | | 31,504 | |
TCW Global Bond Fund | | | 1,103,630 | | | | 299,461 | | | | 207,034 | | | | 1,610,125 | |
TCW High Yield Bond Fund | | | 4,114,958 | | | | — | | | | — | | | | 4,114,958 | |
TCW Short Term Bond Fund | | | 116,060 | | | | — | | | | — | | | | 116,060 | |
TCW Total Return Bond Fund | | | 143,133,613 | | | | 37,381,328 | | | | 7,936,807 | | | | 188,451,748 | |
During the previous 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 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, 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 | | $ | 37,692,541 | | | $ | (10,586,038 | ) | | $ | 27,106,503 | | | $ | 2,239,901,195 | |
TCW Enhanced Commodity Strategy Fund | | | 23,156 | | | | (8,559 | ) | | | 14,597 | | | | 2,883,371 | |
TCW Global Bond Fund | | | 895,338 | | | | (1,458,318 | ) | | | (562,980 | ) | | | 39,199,891 | |
TCW High Yield Bond Fund | | | 2,387,036 | | | | (1,125,240 | ) | | | 1,261,796 | | | | 109,841,161 | |
TCW Short Term Bond Fund | | | 94,743 | | | | (122,628 | ) | | | (27,885 | ) | | | 22,513,046 | |
TCW Total Return Bond Fund | | | 302,692,268 | | | | (99,043,884 | ) | | | 203,648,384 | | | | 7,150,158,333 | |
128
TCW Funds, Inc.
October 31, 2021
Note 5 — Federal Income Taxes (Continued)
At October 31, 2021, the following Funds had net realized loss carryforwards for federal income tax purposes:
| | | | | | | | | | | | |
| | | No Expiration | |
| | | Short-Term
Capital Losses | | | Long-Term
Capital Losses | | | Total | |
TCW Short Term Bond Fund | | $ | 55,095 | | | $ | 213,354 | | | $ | 268,449 | |
TCW Total Return Bond Fund | | | 75,452,721 | | | | — | | | | 75,452,721 | |
The Funds did not have any unrecognized tax benefits at October 31, 2021, nor were there any increases or decreases in unrecognized tax benefits for the year ended October 31, 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 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 Statements of Operations. Directors may elect to defer receipt of their fees in
129
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 6 — Fund Management Fees and Other Expenses (Continued)
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 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the year ended October 31, 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 | | $ | 289,543,975 | | | $ | 235,813,737 | | | $ | 8,114,256,636 | | | $ | 7,927,691,407 | |
TCW Enhanced Commodity Strategy Fund | | | 994,522 | | | | 236,776 | | | | 87,872 | | | | 2,891 | |
TCW Global Bond Fund | | | 33,087,499 | | | | 18,360,290 | | | | 74,931,273 | | | | 72,501,896 | |
TCW High Yield Bond Fund | | | 99,522,557 | | | | 88,732,796 | | | | — | | | | — | |
TCW Short Term Bond Fund | | | 5,334,243 | | | | 1,835,428 | | | | 25,194,464 | | | | 21,500,528 | |
TCW Total Return Bond Fund | | | 1,206,714,796 | | | | 807,340,997 | | | | 38,979,885,920 | | | | 39,877,570,227 | |
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
| | | | | | | | | | | | | | | | |
| TCW Core Fixed Income Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 40,059,152 | | | $ | 468,851,971 | | | | 52,707,857 | | | $ | 623,559,707 | |
Shares Issued upon Reinvestment of Dividends | | | 4,179,662 | | | | 49,203,339 | | | | 1,870,022 | | | | 21,920,091 | |
Shares Redeemed | | | (29,229,681 | ) | | | (341,390,653 | ) | | | (25,332,375 | ) | | | (297,696,855 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 15,009,133 | | | $ | 176,664,657 | | | | 29,245,504 | | | $ | 347,782,943 | |
| | | | | | | | | | | | | | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 3,576,675 | | | $ | 41,843,125 | | | | 6,245,822 | | | $ | 72,926,666 | |
Shares Issued upon Reinvestment of Dividends | | | 568,214 | | | | 6,678,123 | | | | 317,229 | | | | 3,699,131 | |
Shares Redeemed | | | (5,004,587 | ) | | | (58,357,681 | ) | | | (7,425,673 | ) | | | (86,263,658 | ) |
| | | | | | | | | | | | | | | | |
Net Decrease | | | (859,698 | ) | | $ | (9,836,433 | ) | | | (862,622 | ) | | $ | (9,637,861 | ) |
| | | | | | | | | | | | | | | | |
| Plan Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 75,065 | | | $ | 874,695 | | | | 9 | | | $ | 100 | |
Shares Issued upon Reinvestment of Dividends | | | 337 | | | | 3,924 | | | | — | (1) | | | 1 | |
Shares Redeemed | | | (730 | ) | | | (8,510 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net Increase | | | 74,672 | | | $ | 870,109 | | | | 9 | | | $ | 101 | |
| | | | | | | | | | | | | | | | |
130
TCW Funds, Inc.
October 31, 2021
Note 9 — Capital Share Transactions (Continued)
| | | | | | | | | | | | | | | | |
| TCW Enhanced Commodity Strategy Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 153,532 | | | $ | 947,024 | | | | — | | | $ | — | |
Shares Issued upon Reinvestment of Dividends | | | 3,538 | | | | 18,500 | | | | 6,298 | | | | 26,314 | |
Shares Redeemed | | | (2,235 | ) | | | (13,351 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net Increase | | | 154,835 | | | $ | 952,173 | | | | 6,298 | | | $ | 26,314 | |
| | | | | | | | | | | | | | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 73,674 | | | $ | 461,830 | | | | — | | | $ | — | |
Shares Issued upon Reinvestment of Dividends | | | 2,470 | | | | 13,004 | | | | 4,223 | | | | 17,593 | |
Shares Redeemed | | | (40,284 | ) | | | (256,488 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net Increase | | | 35,860 | | | $ | 218,346 | | | | 4,223 | | | $ | 17,593 | |
| | | | | | | | | | | | | | | | |
| | |
| TCW Global Bond Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 1,544,800 | | | $ | 16,933,404 | | | | 72,459 | | | $ | 763,424 | |
Shares Issued upon Reinvestment of Dividends | | | 103,067 | | | | 1,097,918 | | | | 36,988 | | | | 373,807 | |
Shares Redeemed | | | (271,622 | ) | | | (2,828,388 | ) | | | (9,427 | ) | | | (94,838 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 1,376,245 | | | $ | 15,202,934 | | | | 100,020 | | | $ | 1,042,393 | |
| | | | | | | | | | | | | | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 245,971 | | | $ | 2,628,308 | | | | 226,745 | | | $ | 2,353,170 | |
Shares Issued upon Reinvestment of Dividends | | | 45,955 | | | | 489,935 | | | | 33,347 | | | | 337,539 | |
Shares Redeemed | | | (265,154 | ) | | | (2,801,815 | ) | | | (38,171 | ) | | | (406,236 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 26,772 | | | $ | 316,428 | | | | 221,921 | | | $ | 2,284,473 | |
| | | | | | | | | | | | | | | | |
| | |
| TCW High Yield Bond Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 7,898,749 | | | $ | 54,409,602 | | | | 12,579,884 | | | $ | 82,671,859 | |
Shares Issued upon Reinvestment of Dividends | | | 483,371 | | | | 3,322,825 | | | | 196,895 | | | | 1,287,679 | |
Shares Redeemed | | | (7,331,570 | ) | | | (50,614,382 | ) | | | (2,879,180 | ) | | | (18,508,549 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 1,050,550 | | | $ | 7,118,045 | | | | 9,897,599 | | | $ | 65,450,989 | |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 1,243,245 | | | $ | 8,611,914 | | | | 2,944,513 | | | $ | 19,425,304 | |
Shares Issued upon Reinvestment of Dividends | | | 86,314 | | | | 596,820 | | | | 55,222 | | | | 362,371 | |
Shares Redeemed | | | (1,816,274 | ) | | | (12,587,274 | ) | | | (1,861,336 | ) | | | (12,039,501 | ) |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) | | | (486,715 | ) | | $ | (3,378,540 | ) | | | 1,138,399 | | | $ | 7,748,174 | |
| | | | | | | | | | | | | | | | |
| | |
| TCW Short Term Bond Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 1,738,075 | | | $ | 14,995,761 | | | | 1,544,093 | | | $ | 13,181,895 | |
Shares Issued upon Reinvestment of Dividends | | | 11,244 | | | | 96,996 | | | | 15,279 | | | | 130,949 | |
Shares Redeemed | | | (543,340 | ) | | | (4,686,568 | ) | | | (1,321,794 | ) | | | (11,312,650 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 1,205,979 | | | $ | 10,406,189 | | | | 237,578 | | | $ | 2,000,194 | |
| | | | | | | | | | | | | | | | |
131
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 9 — Capital Share Transactions (Continued)
| | | | | | | | | | | | | | | | |
| TCW Total Return Bond Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 188,016,709 | | | $ | 1,933,064,305 | | | | 290,749,088 | | | $ | 2,998,972,723 | |
Shares Issued upon Reinvestment of Dividends | | | 8,526,674 | | | | 87,801,346 | | | | 10,128,418 | | | | 104,175,795 | |
Shares Redeemed | | | (324,676,223 | ) | | | (3,307,697,735 | ) | | | (238,483,907 | ) | | | (2,471,739,023 | ) |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) | | | (128,132,840 | ) | | $ | (1,286,832,084 | ) | | | 62,393,599 | | | $ | 631,409,495 | |
| | | | | | | | | | | | | | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 28,822,122 | | | $ | 305,072,756 | | | | 112,795,737 | | | $ | 1,223,148,641 | |
Shares Issued upon Reinvestment of Dividends | | | 3,127,881 | | | | 33,277,305 | | | | 2,580,140 | | | | 27,324,613 | |
Shares Redeemed | | | (124,781,438 | ) | | | (1,317,534,077 | ) | | | (37,125,969 | ) | | | (395,752,373 | ) |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) | | | (92,831,435 | ) | | $ | (979,184,016 | ) | | | 78,249,908 | | | $ | 854,720,881 | |
| | | | | | | | | | | | | | | | |
| Plan Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 122,910 | | | $ | 1,278,533 | | | | 10 | | | $ | 100 | |
Shares Issued upon Reinvestment of Dividends | | | 1,263 | | | | 13,045 | | | | — | (1) | | | 1 | |
Shares Redeemed | | | (68,186 | ) | | | (695,600 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net Increase | | | 55,987 | | | $ | 595,978 | | | | 10 | | | $ | 101 | |
| | | | | | | | | | | | | | | | |
| (1) | Amount Rounds to less than 1. |
Note 10 — Affiliate Ownership
As of October 31, 2021, affiliates of the Funds and Advisor owned 92.7%, and 52.4% of the net assets of the TCW Enhanced Commodity Strategy Fund and the TCW Global Bond 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. Restricted securities held by the Funds at October 31, 2021 are listed below:
| | | | | | | | | | | | | | | | |
| TCW Core Fixed Income Fund | | | | | | | | | | | | |
Issuer Description | | Acquisition
Date | | | Acquisition
Cost | | | Aggregate
Value | | | Percentage
of Net Assets | |
Ruby Pipeline LLC, 8.00%, due 04/01/22 | | | 4/4/13 | | | $ | 1,361,840 | | | $ | 1,275,231 | | | | 0.08 | % |
| | | | | | | | | | | | | | | | |
| | | | |
| 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), 0.78%, due 09/15/39 | | | 7/15/16 | | | $ | 543 | | | $ | 42 | | | | 0.00 | % |
| | | | | | | | | | | | | | | | |
| | | | |
| 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), 1.55%, due 04/11/37 | | | 3/26/15 | | | $ | 0 | | | $ | 10,778 | | | | 0.03 | % |
| | | | | | | | | | | | | | | | |
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TCW Funds, Inc.
October 31, 2021
Note 11 — Restricted Securities (Continued)
| | | | | | | | | | | | | | |
| | | | |
| TCW High Yield Bond Fund | | | | | | | | | | | |
Issuer Description | | Acquisition
Date | | Acquisition
Cost | | | Aggregate
Value | | | Percentage
of Net Assets | |
Ruby Pipeline LLC, 8.00%, due 04/01/22 | | 2/11/21-2/17/21 | | $ | 203,843 | | | $ | 198,068 | | | | 0.18 | % |
| | | | | | | | | | | | | | |
| | | | |
| 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 | | $ | 6,675 | | | $ | 400 | | | | 0.00 | % |
WFRBS Commercial Mortgage Trust (12-C8-XA) (I/O), 1.78%, due 08/15/45 | | 3/31/21 | | | 9,257 | | | | 3,163 | | | | 0.02 | % |
| | | | | | | | | | | | | | |
| | | | $ | 15,932 | | | $ | 3,563 | | | | 0.02 | % |
| | | | | | | | | | | | | | |
Note 12 — Committed Line Of Credit
The Funds have entered into a $100,000,000 committed revolving line of credit agreement with 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 year ended October 31, 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 — 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 14 — New Accounting Pronouncement
In January 2021, the Financial Accounting Standards Board issued Accounting Standards Update No. 2021-01 (“ASU 2021-01”), “Reference Rate Reform (Topic 848)”. ASU 2021-01 is an update of ASU 2020-04, which is in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR; regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential
133
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 14 — New Accounting Pronouncement (Continued)
burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The ASU 2021-01 update clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. The amendments in this update are effective immediately through December 31, 2022, for all entities. Management is currently evaluating the implications, if any, of the additional requirements and its impact on the Portfolio’s financial statements.
134
TCW Core Fixed Income Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 11.98 | | | $ | 11.41 | | | $ | 10.52 | | | $ | 10.99 | | | $ | 11.28 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.11 | | | | 0.20 | | | | 0.30 | | | | 0.25 | | | | 0.22 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.09 | ) | | | 0.61 | | | | 0.89 | | | | (0.45 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.02 | | | | 0.81 | | | | 1.19 | | | | (0.20 | ) | | | 0.07 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.14 | ) | | | (0.24 | ) | | | (0.30 | ) | | | (0.27 | ) | | | (0.23 | ) |
Distributions from Return of Capital | | | (0.04 | ) | | | — | | | | — | | | | — | | | | — | |
Distributions from Net Realized Gain | | | (0.26 | ) | | | — | | | | — | | | | — | | | | (0.13 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.44 | ) | | | (0.24 | ) | | | (0.30 | ) | | | (0.27 | ) | | | (0.36 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 11.56 | | | $ | 11.98 | | | $ | 11.41 | | | $ | 10.52 | | | $ | 10.99 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 0.19 | % | | | 7.14 | % | | | 11.48 | % | | | (1.87 | %) | | | 0.68 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 1,471,072 | | | $ | 1,344,787 | | | $ | 946,896 | | | $ | 975,741 | | | $ | 1,379,196 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 0.51 | % | | | 0.51 | % | | | 0.51 | % | | | 0.51 | % | | | 0.51 | % |
| | | | | |
After Expense Reimbursement | | | 0.49 | % | | | 0.49 | % | | | 0.49 | % | | | 0.49 | % | | | 0.49 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 0.94 | % | | | 1.66 | % | | | 2.69 | % | | | 2.34 | % | | | 1.96 | % |
| | | | | |
Portfolio Turnover Rate | | | 469.87 | % | | | 371.22 | % | | | 214.76 | % | | | 267.96 | % | | | 287.39 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
135
TCW Core Fixed Income Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 11.95 | | | $ | 11.38 | | | $ | 10.49 | | | $ | 10.96 | | | $ | 11.25 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.09 | | | | 0.18 | | | | 0.27 | | | | 0.23 | | | | 0.19 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.09 | ) | | | 0.60 | | | | 0.90 | | | | (0.46 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.00 | | | | 0.78 | | | | 1.17 | | | | (0.23 | ) | | | 0.04 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.12 | ) | | | (0.21 | ) | | | (0.28 | ) | | | (0.24 | ) | | | (0.20 | ) |
Distributions from Return of Capital | | | (0.04 | ) | | | — | | | | — | | | | — | | | | — | |
Distributions from Net Realized Gain | | | (0.26 | ) | | | — | | | | — | | | | — | | | | (0.13 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.42 | ) | | | (0.21 | ) | | | (0.28 | ) | | | (0.24 | ) | | | (0.33 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 11.53 | | | $ | 11.95 | | | $ | 11.38 | | | $ | 10.49 | | | $ | 10.96 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 0.00 | % | | | 6.92 | % | | | 11.27 | % | | | (2.10 | )% | | | 0.41 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 223,562 | | | $ | 241,938 | | | $ | 240,107 | | | $ | 270,477 | | | $ | 356,930 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 0.80 | % | | | 0.80 | % | | | 0.81 | % | | | 0.81 | % | | | 0.79 | % |
| | | | | |
After Expense Reimbursement | | | 0.65 | % | | | 0.67 | % | | | 0.70 | % | | | 0.72 | % | | | 0.75 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 0.78 | % | | | 1.53 | % | | | 2.48 | % | | | 2.12 | % | | | 1.69 | % |
| | | | | |
Portfolio Turnover Rate | | | 469.87 | % | | | 371.22 | % | | | 214.76 | % | | | 267.96 | % | | | 287.39 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
136
TCW Core Fixed Income Fund
Financial Highlights — Plan Class
| | | | | | | | |
| | | Year Ended
October 31,
2021 | | | February 28,
2020 (Commencement of Operations) through October 31, 2020 | |
Net Asset Value per Share, Beginning of year | | $ | 12.06 | | | $ | 11.72 | |
| | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.11 | | | | 0.18 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.11 | ) | | | 0.29 | |
| | | | | | | | |
Total from Investment Operations | | | 0.00 | | | | 0.47 | |
| | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.14 | ) | | | (0.13 | ) |
Distributions from Return of Capital | | | (0.05 | ) | | | — | |
Distributions from Net Realized Gain | | | (0.26 | ) | | | — | |
| | | | | | | | |
Total distributions | | | (0.45 | ) | | | (0.13 | ) |
| | | | | | | | |
Net Asset Value per Share, End of year | | $ | 11.61 | | | $ | 12.06 | |
| | | | | | | | |
Total Return | | | (0.01 | %) | | | 3.98 | % (2) |
|
Ratios/Supplemental Data: | |
| | |
Net assets, end of year (in thousands) | | $ | 867 | | | $ | 0.00 | (3) |
|
Ratio of Expenses to Average Net Assets: | |
| | |
Before Expense Reimbursement | | | 7.54 | % | | | 14,703.31 | % (4) |
| | |
After Expense Reimbursement | | | 0.44 | % | | | 0.44 | % (4) |
| | |
Ratio of Net Investment Income to Average Net Assets | | | 0.97 | % | | | 2.20 | % (4) |
| | |
Portfolio Turnover Rate | | | 469.87 | % | | | 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. |
See accompanying Notes to Financial Statements.
137
TCW Enhanced Commodity Strategy Fund
Consolidated Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 4.36 | | | $ | 4.84 | | | $ | 5.01 | | | $ | 5.20 | | | $ | 5.15 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.05 | | | | 0.10 | | | | 0.17 | | | | 0.11 | | | | 0.12 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 2.02 | | | | (0.41 | ) | | | (0.20 | ) | | | (0.20 | ) | | | 0.10 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 2.07 | | | | (0.31 | ) | | | (0.03 | ) | | | (0.09 | ) | | | 0.22 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.09 | ) | | | (0.15 | ) | | | (0.14 | ) | | | (0.10 | ) | | | (0.11 | ) |
Distributions from Net Realized Gain | | | (0.02 | ) | | | (0.02 | ) | | | — | | | | — | | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.11 | ) | | | (0.17 | ) | | | (0.14 | ) | | | (0.10 | ) | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 6.32 | | | $ | 4.36 | | | $ | 4.84 | | | $ | 5.01 | | | $ | 5.20 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 48.18 | % | | | (5.82 | )% | | | (0.96 | )% | | | (1.96 | )% | | | 4.55 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 1,983 | | | $ | 693 | | | $ | 740 | | | $ | 1,208 | | | $ | 758 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 15.84 | % | | | 16.92 | % | | | 17.82 | % | | | 11.53 | % | | | 16.65 | % |
| | | | | |
After Expense Reimbursement | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 0.84 | % | | | 2.29 | % | | | 3.45 | % | | | 2.06 | % | | | 2.31 | % |
| | | | | |
Portfolio Turnover Rate | | | 32.09 | % | | | 54.50 | % | | | 122.23 | % | | | 75.52 | % | | | 0.00 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
138
TCW Enhanced Commodity Strategy Fund
Consolidated Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 4.35 | | | $ | 4.84 | | | $ | 5.01 | | | $ | 5.21 | | | $ | 5.15 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.04 | | | | 0.10 | | | | 0.17 | | | | 0.11 | | | | 0.12 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 2.03 | | | | (0.42 | ) | | | (0.20 | ) | | | (0.21 | ) | | | 0.11 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 2.07 | | | | (0.32 | ) | | | (0.03 | ) | | | (0.10 | ) | | | 0.23 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.09 | ) | | | (0.15 | ) | | | (0.14 | ) | | | (0.10 | ) | | | (0.11 | ) |
Distributions from Net Realized Gain | | | (0.02 | ) | | | (0.02 | ) | | | — | | | | — | | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.11 | ) | | | (0.17 | ) | | | (0.14 | ) | | | (0.10 | ) | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 6.31 | | | $ | 4.35 | | | $ | 4.84 | | | $ | 5.01 | | | $ | 5.21 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 48.21 | % | | | (5.90 | )% | | | (1.16 | )% | | | (1.96 | )% | | | 4.55 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 911 | | | $ | 472 | | | $ | 504 | | | $ | 507 | | | $ | 517 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 16.76 | % | | | 17.60 | % | | | 19.14 | % | | | 12.59 | % | | | 18.01 | % |
| | | | | |
After Expense Reimbursement | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 0.82 | % | | | 2.24 | % | | | 3.57 | % | | | 2.02 | % | | | 2.26 | % |
| | | | | |
Portfolio Turnover Rate | | | 32.09 | % | | | 54.50 | % | | | 122.23 | % | | | 75.52 | % | | | 0.00 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
139
TCW Global Bond Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 10.66 | | | $ | 10.26 | | | $ | 9.45 | | | $ | 9.75 | | | $ | 9.88 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.20 | | | | 0.25 | | | | 0.24 | | | | 0.19 | | | | 0.17 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.20 | ) | | | 0.54 | | | | 0.73 | | | | (0.43 | ) | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.00 | | | | 0.79 | | | | 0.97 | | | | (0.24 | ) | | | 0.10 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.20 | ) | | | (0.15 | ) | | | (0.16 | ) | | | (0.05 | ) | | | (0.16 | ) |
Distributions from Return of Capital | | | (0.06 | ) | | | — | | | | — | | | | — | | | | — | |
Distributions from Net Realized Gain | | | (0.22 | ) | | | (0.24 | ) | | | — | | | | (0.01 | ) | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.48 | ) | | | (0.39 | ) | | | (0.16 | ) | | | (0.06 | ) | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 10.18 | | | $ | 10.66 | | | $ | 10.26 | | | $ | 9.45 | | | $ | 9.75 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | (0.18 | %) | | | 7.99 | % | | | 10.42 | % | | | (2.54 | %) | | | 1.07 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 24,332 | | | $ | 10,822 | | | $ | 9,384 | | | $ | 8,505 | | | $ | 8,714 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 1.15 | % | | | 1.66 | % | | | 1.79 | % | | | 1.63 | % | | | 1.60 | % |
| | | | | |
After Expense Reimbursement | | | 0.60 | % | | | 0.60 | % | | | 0.66 | % | | | 1.00 | % | | | 1.04 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 1.87 | % | | | 2.40 | % | | | 2.48 | % | | | 1.99 | % | | | 1.75 | % |
| | | | | |
Portfolio Turnover Rate | | | 245.94 | % | | | 228.14 | % | | | 83.18 | % | | | 102.42 | % | | | 90.08 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
140
TCW Global Bond Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 10.66 | | | $ | 10.26 | | | $ | 9.45 | | | $ | 9.75 | | | $ | 9.88 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.19 | | | | 0.24 | | | | 0.24 | | | | 0.19 | | | | 0.17 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.21 | ) | | | 0.55 | | | | 0.72 | | | | (0.43 | ) | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.02 | ) | | | 0.79 | | | | 0.96 | | | | (0.24 | ) | | | 0.10 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.19 | ) | | | (0.15 | ) | | | (0.15 | ) | | | (0.05 | ) | | | (0.16 | ) |
Distributions from Return of Capital | | | (0.06 | ) | | | — | | | | — | | | | — | | | | — | |
Distributions from Net Realized Gain | | | (0.22 | ) | | | (0.24 | ) | | | — | | | | (0.01 | ) | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.47 | ) | | | (0.39 | ) | | | (0.15 | ) | | | (0.06 | ) | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 10.17 | | | $ | 10.66 | | | $ | 10.26 | | | $ | 9.45 | | | $ | 9.75 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | (0.38 | )% | | | 7.93 | % | | | 10.32 | % | | | (2.54 | )% | | | 1.07 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 10,742 | | | $ | 10,972 | | | $ | 8,282 | | | $ | 7,476 | | | $ | 7,679 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 1.53 | % | | | 1.94 | % | | | 2.09 | % | | | 1.92 | % | | | 1.89 | % |
| | | | | |
After Expense Reimbursement | | | 0.70 | % | | | 0.70 | % | | | 0.74 | % | | | 1.00 | % | | | 1.04 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 1.77 | % | | | 2.29 | % | | | 2.39 | % | | | 1.99 | % | | | 1.75 | % |
| | | | | |
Portfolio Turnover Rate | | | 245.94 | % | | | 228.14 | % | | | 83.18 | % | | | 102.42 | % | | | 90.08 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
141
TCW High Yield Bond Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 6.66 | | | $ | 6.49 | | | $ | 6.15 | | | $ | 6.37 | | | $ | 6.23 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.23 | | | | 0.24 | | | | 0.27 | | | | 0.26 | | | | 0.24 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 0.24 | | | | 0.19 | | | | 0.36 | | | | (0.17 | ) | | | 0.18 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.47 | | | | 0.43 | | | | 0.63 | | | | 0.09 | | | | 0.42 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.24 | ) | | | (0.26 | ) | | | (0.29 | ) | | | (0.31 | ) | | | (0.28 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 6.89 | | | $ | 6.66 | | | $ | 6.49 | | | $ | 6.15 | | | $ | 6.37 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 7.18 | % | | | 6.88 | % | | | 10.44 | % | | | 1.40 | % | | | 6.80 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 96,223 | | | $ | 85,990 | | | $ | 19,563 | | | $ | 7,749 | | | $ | 14,195 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 0.76 | % | | | 0.97 | % | | | 1.68 | % | | | 1.50 | % | | | 1.22 | % |
| | | | | |
After Expense Reimbursement | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 3.36 | % | | | 3.67 | % | | | 4.18 | % | | | 4.13 | % | | | 3.85 | % |
| | | | | |
Portfolio Turnover Rate | | | 82.13 | % | | | 111.34 | % | | | 121.56 | % | | | 104.21 | % | | | 179.87 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
142
TCW High Yield Bond Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 6.70 | | | $ | 6.54 | | | $ | 6.19 | | | $ | 6.42 | | | $ | 6.28 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.22 | | | | 0.23 | | | | 0.25 | | | | 0.25 | | | | 0.23 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 0.23 | | | | 0.18 | | | | 0.38 | | | | (0.18 | ) | | | 0.18 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.45 | | | | 0.41 | | | | 0.63 | | | | 0.07 | | | | 0.41 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.22 | ) | | | (0.25 | ) | | | (0.28 | ) | | | (0.30 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 6.93 | | | $ | 6.70 | | | $ | 6.54 | | | $ | 6.19 | | | $ | 6.42 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 7.05 | % | | | 6.61 | % | | | 10.16 | % | | | 1.04 | % | | | 6.59 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 15,048 | | | $ | 17,805 | | | $ | 9,923 | | | $ | 5,041 | | | $ | 6,934 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 1.14 | % | | | 1.47 | % | | | 2.05 | % | | | 1.98 | % | | | 1.65 | % |
| | | | | |
After Expense Reimbursement | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 3.11 | % | | | 3.46 | % | | | 3.96 | % | | | 3.90 | % | | | 3.60 | % |
| | | | | |
Portfolio Turnover Rate | | | 82.13 | % | | | 111.34 | % | | | 121.56 | % | | | 104.21 | % | | | 179.87 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
143
TCW Short Term Bond Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 8.60 | | | $ | 8.59 | | | $ | 8.54 | | | $ | 8.62 | | | $ | 8.70 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.29 | | | | 0.16 | | | | 0.25 | | | | 0.15 | | | | 0.08 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.19 | ) | | | (0.01 | ) | | | 0.07 | | | | (0.04 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.10 | | | | 0.15 | | | | 0.32 | | | | 0.11 | | | | 0.07 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.10 | ) | | | (0.11 | ) | | | (0.27 | ) | | | (0.19 | ) | | | (0.15 | ) |
Distributions from Return of Capital | | | — | | | | (0.03 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.10 | ) | | | (0.14 | ) | | | (0.27 | ) | | | (0.19 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 8.60 | | | $ | 8.60 | | | $ | 8.59 | | | $ | 8.54 | | | $ | 8.62 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 1.16 | % | | | 1.70 | % | | | 3.83 | % | | | 1.26 | % | | | 0.75 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 18,061 | | | $ | 7,698 | | | $ | 5,644 | | | $ | 7,280 | | | $ | 7,951 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 2.77 | % | | | 2.77 | % | | | 3.37 | % | | | 2.28 | % | | | 1.65 | % |
| | | | | |
After Expense Reimbursement | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 3.35 | % | | | 1.83 | % | | | 2.94 | % | | | 1.70 | % | | | 0.96 | % |
| | | | | |
Portfolio Turnover Rate | | | 369.54 | % | | | 191.22 | % | | | 248.19 | % | | | 199.55 | % | | | 131.31 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
144
TCW Total Return Bond Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 10.46 | | | $ | 10.07 | | | $ | 9.46 | | | $ | 9.98 | | | $ | 10.33 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.21 | | | | 0.26 | | | | 0.34 | | | | 0.31 | | | | 0.27 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.25 | ) | | | 0.44 | | | | 0.68 | | | | (0.48 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.04 | ) | | | 0.70 | | | | 1.02 | | | | (0.17 | ) | | | 0.07 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.20 | ) | | | (0.31 | ) | | | (0.41 | ) | | | (0.35 | ) | | | (0.26 | ) |
Distributions from Return of Capital | | | (0.01 | ) | | | — | | | | — | | | | — | | | | — | |
Distributions from Net Realized Gain | | | (0.07 | ) | | | — | | | | — | | | | — | | | | (0.16 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.28 | ) | | | (0.31 | ) | | | (0.41 | ) | | | (0.35 | ) | | | (0.42 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 10.14 | | | $ | 10.46 | | | $ | 10.07 | | | $ | 9.46 | | | $ | 9.98 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | (0.40 | %) | | | 7.08 | % | | | 10.82 | % | | | (1.67 | %) | | | 0.72 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 4,264,583 | | | $ | 5,737,736 | | | $ | 4,898,103 | | | $ | 5,587,668 | | | $ | 7,103,832 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 0.52 | % | | | 0.55 | % | | | 0.62 | % | | | 0.62 | % | | | 0.61 | % |
| | | | | |
After Expense Reimbursement | | | 0.49 | % | | | 0.49 | % | | | 0.49 | % | | | 0.49 | % | | | 0.49 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 2.07 | % | | | 2.50 | % | | | 3.47 | % | | | 3.20 | % | | | 2.73 | % |
| | | | | |
Portfolio Turnover Rate | | | 493.39 | % | | | 269.04 | % | | | 177.80 | % | | | 241.76 | % | | | 287.55 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
145
TCW Total Return Bond Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 10.78 | | | $ | 10.37 | | | $ | 9.76 | | | $ | 10.29 | | | $ | 10.65 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.19 | | | | 0.23 | | | | 0.32 | | | | 0.29 | | | | 0.25 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.25 | ) | | | 0.47 | | | | 0.69 | | | | (0.49 | ) | | | (0.21 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.06 | ) | | | 0.70 | | | | 1.01 | | | | (0.20 | ) | | | 0.04 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.18 | ) | | | (0.29 | ) | | | (0.40 | ) | | | (0.33 | ) | | | (0.24 | ) |
Distributions from Return of Capital | | | (0.01 | ) | | | — | | | | — | | | | — | | | | — | |
Distributions from Net Realized Gain | | | (0.07 | ) | | | — | | | | — | | | | — | | | | (0.16 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.26 | ) | | | (0.29 | ) | | | (0.40 | ) | | | (0.33 | ) | | | (0.40 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 10.46 | | | $ | 10.78 | | | $ | 10.37 | | | $ | 9.76 | | | $ | 10.29 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | (0.58 | )% | | | 6.86 | % | | | 10.46 | % | | | (1.96 | )% | | | 0.41 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 818,608 | | | $ | 1,844,170 | | | $ | 963,512 | | | $ | 1,121,741 | | | $ | 1,902,308 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 0.81 | % | | | 0.79 | % | | | 0.88 | % | | | 0.88 | % | | | 0.88 | % |
| | | | | |
After Expense Reimbursement | | | 0.70 | % | | | 0.73 | % | | | 0.79 | % | | | 0.79 | % | | | 0.79 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 1.83 | % | | | 2.21 | % | | | 3.16 | % | | | 2.89 | % | | | 2.42 | % |
| | | | | |
Portfolio Turnover Rate | | | 493.39 | % | | | 269.04 | % | | | 177.80 | % | | | 241.76 | % | | | 287.55 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
146
TCW Total Return Bond Fund
Financial Highlights — Plan Class
| | | | | | | | |
| | | Year Ended
October 31,
2021 | | | February 28,
2020 (Commencement of Operations) through October 31, 2020 | |
Net Asset Value per Share, Beginning of year | | $ | 10.50 | | | $ | 10.33 | |
| | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.22 | | | | 0.20 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.24 | ) | | | 0.13 | |
| | | | | | | | |
Total from Investment Operations | | | (0.02 | ) | | | 0.33 | |
| | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.21 | ) | | | (0.16 | ) |
Distributions from Return of Capital | | | (0.01 | ) | | | — | |
Distributions from Net Realized Gain | | | (0.07 | ) | | | — | |
| | | | | | | | |
Total distributions | | | (0.29 | ) | | | (0.16 | ) |
| | | | | | | | |
Net Asset Value per Share, End of year | | $ | 10.19 | | | $ | 10.50 | |
| | | | | | | | |
Total Return | | | (0.25 | %) | | | 3.22 | % (2) |
|
Ratios/Supplemental Data: | |
| | |
Net assets, end of year (in thousands) | | $ | 571 | | | $ | 0.00 | (3) |
|
Ratio of Expenses to Average Net Assets: | |
| | |
Before Expense Reimbursement | | | 6.69 | % | | | 14,761.71 | % (4) |
| | |
After Expense Reimbursement | | | 0.44 | % | | | 0.44 | % (4) |
| | |
Ratio of Net Investment Income to Average Net Assets | | | 2.13 | % | | | 2.84 | % (4) |
| | |
Portfolio Turnover Rate | | | 493.39 | % | | | 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. |
See accompanying Notes to Financial Statements.
147
TCW Funds, Inc.
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of
TCW Funds, Inc.
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of TCW Core Fixed Income Fund, TCW Global Bond Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund, and TCW Total Return Bond Fund and the consolidated statement of assets and liabilities of TCW Enhanced Commodity Strategy Fund (collectively, the “TCW Fixed Income Funds”) (six of eighteen funds comprising the TCW Funds, Inc.), including the schedules of investments of TCW Core Fixed Income Fund, TCW Global Bond Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund, and TCW Total Return Bond Fund and the consolidated schedule of investments of TCW Enhanced Commodity Strategy Fund, as of October 31, 2021, and the related statements of operations for TCW Core Fixed Income Fund, TCW Global Bond Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund, and TCW Total Return Bond Fund and the related consolidated statement of operations for TCW Enhanced Commodity Strategy Fund for the year then ended, the statements of changes in net assets for TCW Core Fixed Income Fund, TCW Global Bond Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund, and TCW Total Return Bond Fund and the consolidated statements of changes in net assets for TCW Enhanced Commodity Strategy Fund for each of the two years in the period then ended, the financial highlights for TCW Core Fixed Income Fund, TCW Global Bond Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund, and TCW Total Return Bond Fund and the consolidated financial highlights for TCW Enhanced Commodity Strategy Fund for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights for TCW Core Fixed Income Fund, TCW Global Bond Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund, and TCW Total Return Bond Fund and the consolidated financial statements and consolidated financial highlights for TCW Enhanced Commodity Strategy Fund present fairly, in all material respects, the financial position of each of the respective TCW Fixed Income Funds as of October 31, 2021, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the TCW Fixed Income Funds’ management. Our responsibility is to express an opinion on the TCW Fixed Income Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The TCW Fixed Income Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the TCW Fixed Income Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Los Angeles, California
December 21, 2021
We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.
148
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 May 1, 2021 to October 31, 2021 (184 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
May 1, 2021 | | | Ending
Account Value
October 31, 2021 | | | Annualized
Expense Ratio | | | Expenses Paid
During Period
(May 1, 2021 to
October 31, 2021) | |
| TCW Core Fixed Income Fund | | | | | | | | | | | | | | | | |
| | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,009.50 | | | | 0.49 | % | | $ | 2.48 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,022.74 | | | | 0.49 | % | | | 2.50 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,007.70 | | | | 0.65 | % | | $ | 3.29 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,021.93 | | | | 0.65 | % | | | 3.31 | |
| | | | |
Plan Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,008.90 | | | | 0.44 | % | | $ | 2.23 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,023.00 | | | | 0.44 | % | | | 2.24 | |
| | | | |
| TCW Enhanced Commodity Strategy Fund | | | | | | | | | | | | | | | | |
| | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,160.80 | | | | 0.70 | % | | $ | 3.81 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,021.68 | | | | 0.70 | % | | | 3.57 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,158.70 | | | | 0.75 | % | | $ | 4.08 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,021.42 | | | | 0.75 | % | | | 3.82 | |
149
TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
| | | | | | | | | | | | | | | | |
TCW Funds, Inc. | | Beginning
Account Value
May 1, 2021 | | | Ending
Account Value
October 31, 2021 | | | Annualized
Expense Ratio | | | Expenses Paid
During Period
(May 1, 2021 to
October 31, 2021) | |
| TCW Global Bond Fund | | | | | | | | | | | | | | | | |
| | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 986.00 | | | | 0.60 | % (1) | | $ | 3.00 | (1) |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,022.18 | | | | 0.60 | % (1) | | | 3.06 | (1) |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 984.60 | | | | 0.70 | % (1) | | $ | 3.50 | (1) |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,021.68 | | | | 0.70 | % (1) | | | 3.57 | (1) |
| | | | |
| TCW High Yield Bond Fund | | | | | | | | | | | | | | | | |
| | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,020.40 | | | | 0.55 | % | | $ | 2.80 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,022.43 | | | | 0.55 | % | | | 2.80 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,020.60 | | | | 0.80 | % | | $ | 4.07 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,021.17 | | | | 0.80 | % | | | 4.08 | |
| | | | |
| TCW Short Term Bond Fund | | | | | | | | | | | | | | | | |
| | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,000.90 | | | | 0.44 | % | | $ | 2.22 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,022.99 | | | | 0.44 | % | | | 2.24 | |
| | | | |
| TCW Total Return Bond Fund | | | | | | | | | | | | | | | | |
| | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,011.40 | | | | 0.49 | % | | $ | 2.48 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,022.74 | | | | 0.49 | % | | | 2.50 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,011.10 | | | | 0.70 | % | | $ | 3.55 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,021.68 | | | | 0.70 | % | | | 3.57 | |
| | | | |
Plan Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,011.60 | | | | 0.44 | % | | $ | 2.23 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,023.00 | | | | 0.44 | % | | | 2.24 | |
| (1) | Does not include expenses of the underlying affiliated investments. |
150
Privacy Policy
The TCW Group, Inc. and Subsidiaries
TCW Investment Management Company LLC
TCW Asset Management Company LLC
Metropolitan West Asset Management, LLC
| | |
TCW Funds, Inc. TCW Strategic Income Fund, Inc. Metropolitan West Funds Sepulveda Management LLC | | TCW Direct Lending LLC TCW Direct Lending VII LLC TCW Direct Lending VIII LLC |
Effective May 2021
WHAT YOU SHOULD KNOW
At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.
We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.
We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial information,” issued by the United States Securities and Exchange Commission.
OUR PRIVACY POLICY
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC, TCW Direct Lending VII LLC, and TCW Direct Lending VIII LLC (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.
In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic, and procedural safeguards to protect your nonpublic personal and financial information.
CATEGORIES OF INFORMATION WE COLLECT
We may collect the following types of nonpublic personal and financial information about you from the following sources:
| | ◾ | Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications. |
| | ◾ | Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties. |
| | ◾ | Information about your account balances and financial transactions and other personal and financial information, from consumer credit reporting agencies or other nonaffiliated third parties, to verify information received from you or others. |
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CATEGORIES OF INFORMATION WE DISCLOSE TO NONAFFILIATED THIRD PARTIES
We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations.
We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry.
We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions.
CATEGORIES OF INFORMATION WE DISCLOSE TO OUR AFFILIATED ENTITIES
| | ◾ | We may disclose your name, address and account and other identifying numbers, account balances, information about your pending or past transactions and other personal financial information to our affiliated entities for any purpose. |
| | ◾ | We regularly disclose your name, address and account and other identifying numbers, account balances and information about your pending or past transactions to our affiliates to execute, process and confirm securities transactions or mutual fund transactions for you, to administer and service your account and commingled investment vehicles in which you are invested, or to market our products and services to you. |
INFORMATION ABOUT FORMER CUSTOMERS
We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.
QUESTIONS
Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.
REMINDER ABOUT TCW’S FINANCIAL PRODUCTS
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC, TCW Direct Lending VII LLC, and TCW Direct Lending VIII LLC.
| | ◾ | Are not guaranteed by a bank; |
| | ◾ | Are not obligations of The TCW Group, Inc. or of its subsidiaries; |
| | ◾ | Are not insured by the Federal Deposit Insurance Corporation; and |
| | ◾ | Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon. |
| | |
THE TCW GROUP, INC. TCW FUNDS, INC. TCW STRATEGIC INCOME FUND, INC. METROPOLITAN WEST FUNDS | | SEPULVEDA MANAGEMENT LLC TCW DIRECT LENDING LLC TCW DIRECT LENDING VII LLC TCW DIRECT LENDING VIII LLC |
Attention: Privacy Officer | 865 South Figueroa Street, Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com
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Investment Management and Advisory Agreement Disclosure (Unaudited)
Renewal of Investment Advisory and Management Agreement
TCW Funds, Inc. (the “Corporation”) and TCW Investment Management Company LLC (the “Advisor”) are parties to an Investment Advisory and Management Agreement (“Agreement”), pursuant to which the Advisor is responsible for managing the investments of each separate investment series (each, a “Fund” and collectively, the “Funds”) of the Corporation. Unless terminated by either party, the Agreement continues in effect from year to year provided that the continuance is specifically approved at least annually by the vote of the holders of at least a majority of the outstanding shares of the Funds, or by the Board of Directors of the Corporation (the “Board”), and, in either event, by a majority of the Directors who are not “interested persons” of the Corporation, as such term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “Independent Directors”), casting votes in person at a meeting called for that purpose.
On September 20, 2021, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2022 through February 5, 2023. The Board met by videoconference to approve that renewal, notwithstanding the in-person approval requirement that normally applies under the Investment Company Act, as permitted by relief provided by the Securities and Exchange Commission in light of the COVID-19 pandemic. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Directors) upon the recommendation of the Independent Directors. The Independent Directors also met by telephone in a working session on August 24, 2021 to hear presentations by representatives of the Advisor, to ask related questions, to review and discuss materials provided by the Advisor for their consideration, and to meet separately with their independent legal counsel. On September 20, 2021 they also met separately with their independent legal counsel to review and discuss supplemental information that had been requested on their behalf by their independent legal counsel and presented by the Advisor. The information, material facts, and conclusions that formed the basis for the Independent Directors’ recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed — During the course of each year, the Directors receive a wide variety of materials relating to the services provided by the Advisor, including reports on the Advisor’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Advisor to the Funds. In addition, the Board reviewed information furnished to the Independent Directors in response to a detailed request sent to the Advisor on their behalf. The information in the Advisor’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Advisor to its institutional clients, financial and profitability information regarding the Advisor, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Directors also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to those of appropriate peer groups of mutual funds selected by Broadridge. After reviewing this information, the Directors requested additional financial, profitability and service information from the Advisor, which the Advisor provided and the Directors considered.
Review process — The Directors’ determinations were made on the basis of each Director’s business judgment after consideration of all the information presented. The Independent Directors were advised by
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Investment Management and Advisory Agreement Disclosure (Unaudited) (Continued)
their independent legal counsel throughout the renewal process and received and reviewed advice from their independent legal counsel regarding legal and industry standards applicable to the renewal of the Agreement, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Directors also discussed the renewal of the Agreement with the Advisor’s representatives and in private sessions at which no representatives of the Advisor were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Directors did not identify any single piece of information or particular factor that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.
2. Nature, extent, and quality of services provided by the Advisor
The Board and the Independent Directors considered the depth and quality of the Advisor’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Advisor; and the ability of its organizational structure to address the fluctuations in assets that had been experienced over the past several years. The Board and the Independent Directors considered the ability of the Advisor to attract and retain well-qualified investment professionals, noting in particular the Advisor’s hiring of professionals in various areas over the past several years, continued upgrading of resources in its middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Board and the Independent Directors also considered that the Advisor made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, portfolio accounting, and legal matters. They noted the substantial additional resources made available by The TCW Group, Inc., the parent company of the Advisor. The Board and the Independent Directors examined and discussed a detailed description of the extensive additional services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Advisor’s institutional and sub-advised clients, as well as the Advisor’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Advisor and the Independent Directors. The Advisor explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Directors and their meetings, regulatory filings, and various operational personnel, and the related costs.
The Board and the Independent Directors concluded that the nature, extent, and quality of the services provided by the Advisor are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.
3. Investment results
The Board and the Independent Directors considered the investment results of each Fund in light of its investment objective(s) and principal investment strategies. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2021. The Board and the Independent Directors reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with Broadridge. In reviewing each Fund’s relative performance, the Board and the
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Independent Directors took into account each Fund’s investment strategies, distinct characteristics, asset size and diversification.
The Board and the Independent Directors noted that most Funds’ performance was satisfactory over the relevant periods. The Board and the Independent Directors noted that the investment performance of most of the Funds was generally close to or above the median performance of the applicable peer group during the three-year period emphasized by Broadridge in the supplemental materials, but seven Funds ranked in the fourth or fifth quintile of their peer groups for that three-year period. For those Funds that lagged peer group averages, they noted that the Advisor had discussed with the Board the reasons for the underperformance and the actions taken or to be taken by the Advisor to address the underperformance, and they indicated that they would continue to monitor portfolio investment performance on a regular basis and discuss with the Advisor from time to time any instances of long-term underperformance as appropriate. It was observed that the relative performance of several of those Funds had improved during the most recent one-year period. In addition, the Board and the Independent Directors noted that the performance of some Funds for periods when they lagged their peer group averages remained satisfactory when assessed on a risk-adjusted basis because performance quintiles do not necessarily reflect the degree of risk employed by peer funds to achieve their returns. The Board also considered the Advisor’s assessment of the Funds’ performance during the recent period of significant market volatility.
With respect to the fixed income Funds, the Board and the Independent Directors recognized the Advisor’s deliberate strategy to manage risk in light of its critical view of the fixed income securities markets and overall investment market conditions at present and in the near term. For that reason, the Board and the Independent Directors believed that relative performance also should be considered in light of future market conditions expected by the Advisor. The Board and the Independent Directors noted the Advisor’s view that longer-term performance can be more meaningful for active fixed income funds than shorter-term performance because fixed income market cycles are generally longer than three years.
For the U.S. fixed income Funds, the Board and the Independent Directors noted the conservative profile of these Funds, which generally experienced less volatility compared to various other funds in the applicable peer group (except for the relative volatility of Total Return Bond Fund, which is a mortgage-focused Fund). They also noted the Advisor’s conservative posture for these Funds with respect to credit and interest rate risks.
For the Total Return Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the first quintile for the ten-year period, second quintile for the five-year period, first quintile for the three-year period and fourth quintile for the one-year period.
For the Core Fixed Income Fund, the Board and the Independent Directors noted that the Fund’s performance was in the third quintile for the ten- and five-year periods, second quintile for the three-year period and fourth quintile for the one-year period.
For the High Yield Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the ten- and five-year periods, first quintile for the three-year period and fifth quintile for the one-year period.
For the Global Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the five-year period, first quintile for the three-year period and second quintile for the one-year period.
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Investment Management and Advisory Agreement Disclosure (Unaudited) (Continued)
For the Short Term Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the fifth quintile for the ten-, five- and three-year periods and fourth quintile for the one-year period. The Board and the Independent Directors took into account the Advisor’s discussions of the poor relative performance, including that the Fund is generally being managed with lower interest rate risk and credit risk as compared to the peer group funds.
For the Enhanced Commodity Strategy Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the ten-, five- and three-year periods and third quintile for the one-year period.
With respect to the U.S. equity Funds, the Board and the Independent Directors noted that the performance of the Funds for most of the various periods reviewed ranked in the first, second or third quintiles.
The Select Equities Fund ranked in the second quintile for the ten- and five-year periods, first quintile for the three-year period and fourth quintile for the one-year period.
The Relative Value Dividend Appreciation Fund ranked in the third quintile for the ten-year period, fourth quintile for the five-year period, third quintile for the three-year period and first quintile for the one-year period. The Relative Value Large Cap Fund ranked in the third quintile for the ten-year and five-year periods, fourth quintile for the three-year period and second quintile for the one-year period. The Relative Value Mid Cap Fund ranked in the second quintile for the ten-year period, first quintile for the five-year period, fourth quintile for the three-year period and first quintile for the one-year period. The Board and the Independent Directors noted the Advisor’s explanation that the diversification tool used to mitigate risk of the Relative Value Funds weighed on three-year performance of the Relative Value Large Cap Fund and Relative Value Mid Cap Fund in a momentum-driven market. The Board and the Independent Directors also took into account the improved performance of the Relative Value Large Cap Fund and Relative Value Mid Cap Fund over the one-year period.
The New America Premier Equities Fund ranked in the first quintile for the five-year period, third quintile for the three-year period and fourth quintile for the one-year period.
The Global Real Estate Fund ranked in the first quintile for the five-, three- and one-year periods.
The Artificial Intelligence Equity Fund ranked in the fourth quintile for the three-year period and third quintile for the one-year period. The Board and the Independent Directors considered the Advisor’s explanation that the peer funds had greater exposure to the information technology sector, making the peer group less useful in comparing relative performance than if those funds’ principal investment strategies were more closely aligned with the Fund’s investment focus. The Board and the Independent Directors noted that the Fund’s total return performance was only 0.6% below that of the benchmark for the three-year period. The Board and the Independent Directors also noted the relatively short operating history of the Fund and determined to continue to closely monitor its performance.
For the asset allocation Fund, the Board and the Independent Directors noted that the Conservative Allocation Fund’s performance was in the first quintile for the ten-, five- and three-year periods and second quintile for the one-year period.
With respect to the international and emerging markets Funds, the Board and the Independent Directors noted that the performance of a majority of these Funds ranked in the first, second or third quintiles over many of the various time periods reviewed. The Emerging Markets Income Fund ranked in the second
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quintile for the ten- and five-year periods, third quintile for the three-year period and first quintile for the one-year period. The Emerging Markets Local Currency Income Fund ranked in the second quintile for the ten-year period, third quintile for the five-year period and the fourth quintile for the three- and one-year periods. The Emerging Markets Multi-Asset Opportunities Fund ranked in the second quintile for the five-year period and fourth quintile for the three- and one-year periods. The Developing Markets Equity Fund ranked in the third quintile for the five-year period, fourth quintile for the three-year period and third quintile for the one-year period. The Board and the Independent Directors considered the Advisor’s discussion of performance, including that the challenging international and emerging market conditions in recent years weighed on performance for some Funds.
The Board and the Independent Directors concluded that the Advisor was implementing each Fund’s investment objective(s) and that the Advisor’s record in managing the Funds indicated that its continued management should benefit each Fund and its shareholders over the long term.
4. Advisory fees and total expenses
The Board and the Independent Directors compared the management fees (which Broadridge defines to include the advisory fee and the administrative fee) and total expenses of each Fund (each as a percentage of average net assets) with the median management fee and operating expense level of the other mutual funds in the relevant Broadridge peer groups. These comparisons assisted the Board and the Independent Directors by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board and the Independent Directors observed that each Fund’s management fee, after giving effect to applicable waivers and/or reimbursements, was below or near the median of the peer group funds on a current basis, with the exception of the Emerging Markets Income Fund, the Emerging Markets Local Currency Income Fund, the Emerging Markets Multi-Asset Opportunities Fund and the Conservative Allocation Fund. They also observed that each Fund’s total expenses, after giving effect to applicable waivers and/or reimbursements, were below or at the median of the peer group funds. The Board and the Independent Directors also noted the contractual expense limitations to which the Advisor has agreed with respect to each Fund and that the Advisor historically has absorbed any expenses in excess of these limits. The Board and the Independent Directors noted that for several Funds, their below-median management fee and total expenses were in part due to substantial waiver and/or reimbursement pursuant to the contractual expense limitations. The Board and the Independent Directors concluded that the competitive fees charged by the Advisor, and competitive expense ratios, should continue to benefit each Fund and its shareholders.
The Board and the Independent Directors also reviewed information regarding the advisory fees charged by the Advisor to its institutional and sub-advisory clients with similar investment mandates. The Board and the Independent Directors concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the more extensive services provided by the Advisor to the Funds and the Advisor’s significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, daily pricing, valuation and liquidity responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.
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Investment Management and Advisory Agreement Disclosure (Unaudited) (Continued)
5. The Advisor’s costs, level of profits, and economies of scale
The Board and the Independent Directors reviewed information regarding the Advisor’s costs of providing services to the Funds, as well as the resulting level of profits to the Advisor. They reviewed the Advisor’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Advisor’s largest operating cost. The Board and the Independent Directors recognized that the Advisor should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board and the Independent Directors also reviewed a comparison of the Advisor’s profitability with respect to the Funds to the profitability of certain unaffiliated publicly traded asset managers, which the Advisor believed supported its view that the Advisor’s profitability was reasonable. Based on their review, the Board and the Independent Directors concluded that they were satisfied that the Advisor’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Board and the Independent Directors considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Advisor’s view that the advisory fees compare favorably to peer group fees and expenses and remain competitive even at higher asset levels and that the relatively low advisory fees reflect the potential economies of scale. The Board and the Independent Directors recognized the benefits of the Advisor’s substantial past and ongoing investment in the advisory business, such as successfully recruiting and retaining key professional talent, systems and technology upgrades, added resources dedicated to legal, compliance and cybersecurity programs, and improvements to the overall firm infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Board and the Independent Directors further noted the Advisor’s past and current subsidies of the operating expenses of newer and smaller Funds and the Advisor’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Directors also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients in addition to mutual funds. The Board and the Independent Directors considered the risk borne by the Advisor that the Funds’ net assets and thus the Advisor’s fees might decline in the event of redemptions and that smaller Funds might not grow to become profitable. The Board and the Independent Directors concluded that the Advisor was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.
6. Ancillary benefits
The Board and the Independent Directors also considered ancillary benefits received or to be received by the Advisor and its affiliates as a result of the relationship of the Advisor with the Funds, including compensation for certain compliance support services. The Board and the Independent Directors noted that, in addition to the fees the Advisor receives under the Agreement, the Advisor receives additional benefits in connection with management of the Funds in the form of reports, research and other services from brokers and their affiliates in return for brokerage commissions paid to such brokers. The Board and the Independent Directors concluded that any potential benefits received or to be derived by the Advisor from its relationships with the Funds are reasonably related to the services provided by the Advisor to the Funds.
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7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Directors concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Advisor by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
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Supplemental Information
Proxy Voting Guidelines
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board 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.
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Tax Information Notice (Unaudited)
On account of the year ended October 31, 2021, the following Funds paid a capital gain distribution within the meaning of Section 852 (b) (3) (c) of the Code. Each Fund also designates as a capital gain distribution a portion of earnings and profits paid to shareholders in redemption of their shares.
| | | | |
Fund | | Amounts per
Share | |
TCW High Yield Bond Fund | | $ | 0.03 | |
This information is given to meet certain requirements of the Code and should not be used by shareholders for preparing their income tax returns. In February 2022, shareholders will receive Form 1099-DIV which will show the actual distribution received and include their share of qualified dividends during the calendar year of 2021. Shareholders are advised to check with their tax advisors for information on the treatment of these amounts on their individual tax returns.
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Directors and Officers of the Company
A board of six directors is responsible for overseeing the operations of the Company, which consists of 18 Funds at October 31, 2021. The directors of the Company, and their business addresses and their principal occupation for the last five years are set forth below.
Independent Directors
| | | | | | |
Name, and Year of Birth (1) | | Term of Office and Length of Time Served | | Principal Occupation(s) During Past 5 Years | | Other Directorships held by Director |
| Samuel P. Bell (1936) | | Mr. Bell has served as a director of TCW Funds, Inc. since October 2002. | | Private Investor. | | Point.360 (post production services); TCW Strategic Income Fund, Inc. (closed-end fund). |
Patrick C. Haden (1953) Chairman of the Board | | Mr. Haden has served as a director of TCW Funds, Inc. since May 2001. | | President (since 2003), Wilson Ave. Consulting (business consulting firm); Senior Advisor to President (July 2016 – June 2017) and Athletic Director (August 2010 – June 2016), University of Southern California. | | Tetra Tech, Inc. (environmental consulting); Auto Club (affiliate of AAA); Metropolitan West Funds (mutual funds); TCW Strategic Income Fund, Inc. (closed end fund). |
| Peter McMillan (1957) | | Mr. McMillan has served as a director of TCW Funds, Inc. since August 2010. | | Co-founder (since 2019), Pacific Oak Capital Advisors (investment advisory firm); Co-founder, Managing Partner and Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Executive Vice President (2005 – 2019), KBS Capital Advisors (a manager of real estate investment trusts). | | Pacific Oak Strategic Opportunity REIT (real estate investments); Pacific Oak Strategic Opportunity REIT II (real estate investments); Keppel Pacific Oak U.S. REIT (real estate investments); Pacific Oak Residential Trust (real estate investments); Metropolitan West Funds (mutual fund); TCW DL VII Financing LLC (business development company): TCW Strategic Income Fund, Inc. (closed-end fund). |
| Victoria B. Rogers (1961) | | Ms. Rogers has served as a director of the TCW Funds, Inc. since October 2011. | | President and Chief Executive Officer (since 1996), The Rose Hills Foundation (charitable foundation). | | Norton Simon Museum (art museum); Stanford University (university); Causeway Capital Management Trust (mutual fund; 6 portfolios); Causeway ETML Trust (mutual fund); The Rose Hills Foundation (charitable foundation); TCW Strategic Income Fund, Inc. (closed-end fund). |
| Andrew Tarica (1959) | | Mr. Tarica has served as a director of the TCW Funds, Inc. since March 2012. | | Chief Executive Officer (since February 2001), Meadowbrook Capital Management (asset management company); and Employee (since 2003), Cowen Prime Services (broker dealer). | | Metropolitan West Funds (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Direct Lending VII, LLC (business development company). |
| (1) | The address of each Independent Director is c/o Morgan Lewis, & Bockius LLP, Counsel to the Independent Directors of TCW Funds, Inc., 300 South Grand Avenue, Los Angeles, CA 90071. |
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Interested Director
This director is an “interested person” of the Company as defined in the 1940 Act because he is a director and officer of the Advisor, and shareholder and director of The TCW Group, Inc., the parent company of the Advisor.
| | | | | | |
Name and Year of Birth (1) | | Term of Office and Length of Time Served | | Principal Occupation(s)
During Past 5 Years | | Other Directorships
held by Director |
| Marc I. Stern (1944) | | Mr. Stern has served as a director since inception of TCW Funds, Inc. in September 1992. | | Chairman (since January 2016), TCW LLC; Chairman (since February 2013), The TCW Group Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and Metropolitan West Asset Management, LLC. | | N/A |
The officers of the Company who are not directors of the Company are:
| | | | |
| Name and Year of Birth (1) | | Position(s) Held with Company | | Principal Occupation(s) During Past 5 Years (2) |
David Lippman (1958) President and Chief Executive Officer | | Mr. Lippman has served as President and Chief Executive Officer of TCW Funds, Inc. since February 2021. | | President and Chief Executive Officer, The TCW Group, Inc. (since August 2012), TCW LLC (since October 2015), the Advisor (since February 2013) and TCW Asset Management Company LLC (since February 2013); Chief Executive Officer, Metropolitan West Asset Management LLC (since February 2013); President and Principal Executive Officer, Metropolitan West Funds (since January 2008). |
Lisa Eisen (1963) Tax Officer | | Ms. Eisen has served as Tax Officer of TCW Funds, Inc. since December 2016. | | Tax Officer (since December 2016), Metropolitan West Funds and TCW Strategic Income Fund, Inc.; Managing Director and Director of Tax (since August 2016), TCW LLC; Vice President of Corporate Tax and Payroll for Health Net, Inc. (1998 – July 2016). |
Meredith S. Jackson (1959) Senior Vice President, General Counsel and Secretary | | Ms. Jackson has served as Senior Vice President since January 2016 and General Counsel and Secretary of TCW Funds, Inc. since February 2013. | | Executive Vice President, General Counsel and Secretary (since January 2016), TCW LLC; Executive Vice President, General Counsel and Secretary (since February 2013), TCW Investment Management Company LLC, The TCW Group Inc., TCW Asset Management Company LLC, and Metropolitan West Asset Management, LLC; Senior Vice President, General Counsel and Secretary (since February 2013), TCW Strategic Income Fund, Inc., Vice President and Secretary (since February 2013), Metropolitan West Funds. |
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Directors and Officers of the Company (Continued)
| | | | |
| Name and Year of Birth (1) | | Position(s) Held with Company | | Principal Occupation(s) During Past 5 Years (2) |
Gladys Xiques (1973) Chief Compliance Officer and AML Officer | | Ms. Xiques has served as Chief Compliance Officer and AML Officer of TCW Funds, Inc. since January 2021. | | Chief Compliance Officer and AML Officer (since January 2021), TCW Strategic Income Fund, Inc. and Metropolitan West Funds; Managing Director and Global Chief Compliance Officer (since January 2021), TCW LLC, TCW Investment Management Company LLC, Metropolitan West Asset Management, LLC and TCW Asset Management Company LLC; Global Chief Compliance Officer (since January 2021), The TCW Group, Inc.; Senior Vice President (February 2015 – December 2020), TCW LLC, TCW Investment Management Company LLC, Metropolitan West Asset Management, LLC and TCW Asset Management Company LLC; Director and Compliance Counsel (March 2010 – January 2015), Kohlberg Kravis Roberts & Co. L.P. |
Richard M. Villa (1964) Treasurer Principal Financial and Accounting Officer | | Mr. Villa has served as Treasurer and Principal Financial and Accounting Officer of TCW Funds, Inc. since February 2014. | | Executive Vice President, Chief Financial Officer and Assistant Secretary (since January 2016), TCW LLC; Treasurer and Principal Financial and Accounting Officer (since February 2014), TCW Strategic Income Fund, Inc.; Executive Vice President and Chief Financial Officer and Assistant Secretary (since July 2008), TCW Investment Management Company LLC, the TCW Group, Inc., TCW Asset Management Company LLC. |
| (1) | The address of the Interested Director and each officer is c/o the TCW Group, Inc., 865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017. |
| (2) | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
In addition, Eric Chan, Managing Director of Fund Operations for the Advisor, TCW Asset Management Company LLC, TCW LLC (since 2009), and Metropolitan West Asset Management, LLC (since November 2006), is Assistant Treasurer of the Company (since June 2019) and Metropolitan West Funds (since 2010). Mr. Chan is a Certified Public Accountant. Patrick W. Dennis, Senior Vice President, Associate General Counsel and Assistant Secretary of TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC, TCW LLC, the Advisor (since February 2013), is Vice President and Assistant Secretary of the Company and Metropolitan West Funds (since 2013).
The SAI (Statement of Additional Information) has additional information regarding the Board of Directors. A copy is available without charge by calling 1-800-FUND-TCW (1-800-386-3829) to obtain a hard copy or by going to the SEC website at http://www.sec.gov.
164
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
FUNDarFI1021
OCTOBER 31
A N N U A L
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 Funds’ 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 Funds’ 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 Funds, or contact your financial intermediary, if you invest though a financial intermediary, to inform the Funds 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.
TCW Funds, Inc.
Table of Contents
|
| |
| The Letter to Shareholders and/or Management Discussions contained in this Annual Report are the opinions of each Fund’s portfolio managers and are not the opinions of TCW Funds, Inc. or its Board of Directors. Various matters discussed in the Letter to Shareholders and/or Management Discussions constitute forward-looking statements within the meaning of the federal securities laws. Actual results and the timing of certain events could differ materially from those projected or contemplated by these forward-looking statements due to a number of factors, including general economic conditions, overall availability of securities for investment by a Fund, the level of volatility in the securities markets and in the share price of a Fund, and other risk factors discussed in the SEC filings of TCW Funds, Inc. The data presented in the Letter to Shareholders and/or Management Discussions represents past performance and cannot be used to predict future results. |
| | |
To Our Valued Shareholders | | |
| | |
| | David B. Lippman President, Chief Executive Officer and Director |
Dear Valued Investors,
I am pleased to present the 2021 annual report for the TCW Funds, Inc. covering the 12-month period ended October 31, 2021. I would like to express our appreciation for your continued investment in the TCW Funds as well as to welcome new shareholders to our fund family. As of October 31, 2021, the TCW Funds held total net assets of approximately $16.4 billion.
This report contains information and portfolio management discussions of our TCW International Funds.
The International Markets
Emerging Markets (EM) has been under pressure this year, driven by a volatility in U.S. Treasury markets, inflation fears, and a slowdown in Chinese growth. Our 2021 growth forecasts have consistently reflected a slowdown in the second half versus the first half, particularly as China comes off its peak. Looking ahead, the economic recovery will likely remain uneven across Emerging Markets, with export-oriented economies benefiting from the recovery in Developed Markets (DM) demand. Similarly, many tourism-dependent EMs will likely continue to benefit from the general lifting of travel restrictions and the global reopening. In general, the service sector will now likely lead the last leg of recovery in most countries. We project EM growth to outperform DM economies in 2021 and 2022, but by a smaller differential compared to historical trends. We also believe the growth differential between EM and DM will widen again in 2023-2024 as the impulse of the extraordinary (and unsustainable) stimulus in DMs wears off and as public health conditions gradually normalize, allowing EMs much higher potential growth rate to reassert itself.
We believe that the recent weakness has created value in Emerging Markets, both on an absolute and relative basis. EM equities are in line with long-term valuation averages, which compare favorably to U.S. and global equity indices that remain significantly above their historical median
valuations. After the recent pullback, MSCI EM index retraced to the low end of its relative valuation vs the S&P index. EM sovereign spreads of approximately 360 basis points (bps) are around 60bps wide to long-term averages. For corporates, Spread/Leverage for EM corporates is nearly 4 times greater than U.S. corporates — this is the highest reading for this relationship since the global financial crisis. For local currency, real rates in EM local markets have risen faster than in the developed world (the spread between real rates in EM versus DM is currently at fifteen-year highs) — and the GBI-EM GD index has underperformed the EMBI GD index year-to-date by over 650bps. Moreover, average yields on hard and local currency debt range from 5-5.5%. In an environment where approximately 60% of global fixed income trading is below 2%, EM debt appears to be one of the only carry opportunities left within fixed income.
We continue to monitor risks of even slower-than-expected Chinese growth and more persistent inflation, where the Fed may be perceived as being behind the curve. While we remain constructive on the asset class, driven by our views of a growth recovery, peaking inflation, supportive oil dynamics and attractive valuations, we are mindful that differentiation is key, particularly in light of Fed hawkishness, concerns surrounding Chinese growth, inflationary pressures and various idiosyncratic developments in individual countries. We anticipate wide dispersion between sovereigns, driven by political developments, fiscal dynamics, vaccine dissemination and/or commodity sensitivity.
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.
1
| | |
Letter to Shareholders (Continued) | | |
I look forward to further correspondence with you through our semi-annual report next year.
Sincerely,
David B. Lippman
President, Chief Executive Officer and Director
2
TCW Developing Markets Equity Fund
Management Discussions
For the year ended October 31, 2021, the TCW Developing Markets Equity Fund (the “Fund”) returned 18.36% and 18.29% on its I Class and N Class shares, respectively. The Fund’s benchmark, the MSCI Emerging Markets Net Total Return Index (“Index”), returned 16.96% over the same period.
Outperformance during the period was driven by the portfolio’s exposure to Healthcare, Internet, Electric Vehicle batteries and semiconductors. Underweight positioning and stock selection in commodities and financials also drove relative outperformance.
Several of the key themes expressed within the portfolio include: 1) Internet platforms in China, 2) GreenTech and semiconductors in China as they move towards self-sufficiency, 3) drug manufacturing services, and 4) modern retail penetration with a focus on pharmacy, grocery and pet retail. We are overweight Europe and Latin America versus underweight the Asia and Middle East/Africa regions. Our larger overweights are in semi-conductors (as mentioned above), media and entertainment, and healthcare, which we believe to be the next major sector as the composition of the benchmark evolves. We continue to maintain a sizable underweight to financials.
Emerging Markets (EM) has been under pressure this year, driven by a volatility in U.S. Treasury markets, inflation fears, and a slowdown in Chinese growth. Our 2021 growth forecasts have consistently reflected a slowdown in the second half versus the first half, particularly as China comes off its peak. Looking ahead, the economic recovery will likely remain uneven across Emerging Markets, with export-oriented economies benefiting from the recovery in Developed Markets (DM) demand. Similarly, many tourism-dependent EMs will likely continue to benefit from the general lifting of travel restrictions and the global reopening. In general, the service sector will now likely lead the last leg of recovery in most countries. We project EM growth to outperform DM economies in 2021 and 2022, but by a smaller differential compared to historical trends. We also believe the growth differential between EM and DM will widen again in 2023-2024 as the impulse of the extraordinary (and unsustainable) stimulus in DMs wears off and as public health conditions gradually normalize, allowing EMs much higher potential growth rate to reassert itself.
EM equity valuations are in line with long-term valuation averages, which compares favorably to U.S. and global equity indices that remain significantly above their historical median valuations. After the recent pullback, MSCI EM retraced to the low end of its relative valuation versus the S&P.
We continue to monitor risks of even slower-than-expected Chinese growth and more persistent inflation, where the Fed may be perceived as being behind the curve. While we remain constructive on the asset class, driven by our views of a growth recovery, peaking inflation, supportive oil dynamics and attractive valuations, we are mindful that differentiation is key, particularly in light of Fed hawkishness, concerns surrounding Chinese growth, inflationary pressures and various idiosyncratic developments in individual countries. We anticipate wide dispersion, driven by political developments, fiscal dynamics, vaccine dissemination and/or commodity sensitivity.
3
TCW Developing Markets Equity Fund
Management Discussions (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr Return | | | 3 Yr Return | | | 5 Yr Return | | | 10 Yr Return | | | Inception
to Date | |
TCW Developing Markets Equity Fund | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: 07/01/2015) | | | 18.36 | % | | | 14.82 | % | | | 9.65 | % | | | — | | | | 5.96 | % |
Class N (Inception: 07/01/2015) | | | 18.29 | % | | | 14.76 | % | | | 9.62 | % | | | — | | | | 5.94 | % |
MSCI Emerging Markets Net Total Return Index | | | 16.96 | % | | | 12.30 | % | | | 9.39 | % | | | — | | | | 6.67 | % |
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
4
TCW Emerging Markets Income Fund
Management Discussions
For the year ended October 31, 2021, the TCW Emerging Markets Income Fund (the “Fund”) returned 4.04%, 3.97% and 4.12% net of fees on its I Class, N Class and P Class shares respectively. Performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the J.P.Morgan EMBI Global Diversified Index (“EMBI”), returned 4.41% over the same period.
Underperformance for the year stems from the portfolio’s exposure to Chinese property, which was under pressure due to shifts in the regulatory environment. While we had been actively monitoring the Chinese government’s regulatory shifts, in hindsight we missed how quickly the perception of the company and the sector would unravel, and ultimately exited the portfolio’s exposure to the sector. On the other hand, overweight positioning to select oil exporters helped mitigate the underperformance.
Emerging Markets (EM) valuations appear attractive to us versus Developed Markets (DM) credit. Sovereign spreads of approximately 360 basis points (bps) are around 60bps wide to long-term averages. For corporates, Spread/Leverage for EM corporates is nearly 4 times greater than U.S. corporates — this is the highest reading for this relationship since the global financial crisis. For local currency, real rates in EM local markets have risen faster than in the developed world (the spread between real rates in EM versus DM is currently at fifteen-year highs) — and the J.P.Morgan GBI-EM Global Diversified Index (“GBI-EM GD”) has underperformed the EMBI year-to-date by over 650bps. However, we would like to see growth concerns abate before adding EM Forward Exchange exposure more meaningfully.
We continue to monitor risks of even slower-than-expected Chinese growth and more persistent inflation, where the Fed may be perceived as being behind the curve. While we remain constructive on the asset class, driven by our views of a growth recovery, peaking inflation, supportive oil dynamics and attractive valuations, we are mindful that differentiation is key in a universe of over 70 countries, particularly in light of Fed hawkishness, concerns surrounding Chinese growth, and various idiosyncratic developments in individual countries. We anticipate wide dispersion between sovereigns, driven by political developments, fiscal dynamics, vaccine dissemination and/or commodity sensitivity.
5
TCW Emerging Markets Income Fund
Management Discussions (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr Return | | | 3 Yr Return | | | 5 Yr Return | | | 10 Yr Return | | | Inception
to Date | | | Inception
Index | |
TCW Emerging Markets Income Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: 09/01/1996) | | | 4.04 | % | | | 5.34 | % | | | 3.73 | % | | | 4.72 | % | | | 8.50 | %(2) | | | 8.56 | % |
Class N (Inception: 03/01/2004) | | | 3.97 | % | | | 5.23 | % | | | 3.54 | % | | | 4.48 | % | | | 6.93 | % | | | 6.95 | % |
Class P (Inception: 02/28/2020) | | | 4.12 | % | | | — | | | | — | | | | — | | | | 0.85 | % | | | 1.95 | % |
JPMorgan EMBI Global Diversified Index | | | 4.41 | % | | | 6.43 | % | | | 4.15 | % | | | 5.35 | % | | | | | | | | |
6
TCW Emerging Markets Income Fund
Management Discussions (Continued)
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
| (2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity 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 predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
7
TCW Emerging Markets Local Currency Income Fund
Management Discussions
For the year ended October 31, 2021, the TCW Emerging Markets Local Currency Income Fund (the “Fund”) returned 1.34% and 1.30% net of fees on its I Class and N class shares, respectively. Performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the J.P.Morgan GBI-EM Global Diversified Index (“GBI-EM GD”), returned 0.84% over the same period.
Outperformance was driven by our emphasis on high carry, lower volatility off-index exposure (including Egypt, Ukraine and Serbia), as well as a focus on high real rates. Defensive positioning in Turkey also contributed to relative outperformance.
Looking ahead, we see value in Emerging Markets (EM) local currency, as real rates in EM local markets have risen faster than in the developed world (the spread between real rates in EM versus DM is currently at a fifteen-year high) — and the GBI-EM GD has underperformed the J.P.Morgan EMBI Global Diversified Index (“EMBI”) year-to-date by over 650 basis points. Rising fiscal and current account deficits in the U.S. have traditionally put downward pressure on the dollar, all other things being equal. However, we would like to see growth concerns in the rest of the world abate before adding EM Foreign Exchange risk more meaningfully.
We continue to monitor risks of even slower-than-expected Chinese growth and more persistent inflation, where the Fed may be perceived as being behind the curve. While we remain constructive on the asset class, driven by our views of a growth recovery, peaking inflation, supportive oil dynamics and attractive valuations, we are mindful that differentiation is key, particularly in light of Fed hawkishness, concerns surrounding Chinese growth, and various idiosyncratic developments in individual countries. We anticipate wide dispersion between sovereigns, driven by political developments, fiscal dynamics, vaccine dissemination and/or commodity sensitivity.
8
TCW Emerging Markets Local Currency Income Fund
Management Discussions (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr Return | | | 3 Yr Return | | | 5 Yr Return | | | 10 Yr Return | | | Inception
to Date | |
TCW Emerging Markets Local Currency Income Fund | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: 12/15/2010) | | | 1.34 | % | | | 3.14 | % | | | 1.48 | % | | | 0.61 | % | | | 0.94 | % |
Class N (Inception: 12/15/2010) | | | 1.30 | % | | | 3.08 | % | | | 1.45 | % | | | 0.57 | % | | | 0.91 | % |
JPMorgan GBI-EM Global Diversified Index | | | 0.84 | % | | | 3.89 | % | | | 1.96 | % | | | 0.37 | % | | | 0.73 | % |
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
9
TCW Emerging Markets Multi-Asset Opportunities Fund
Management Discussions
For the year ended October 31, 2021, the TCW Emerging Markets Multi-Asset Opportunities Fund (the “Fund”) returned 12.30% and 12.06% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s blended benchmark, 50% J.P.Morgan EMBI Global Diversified Index (“EMBI”) and 50% MSCI Daily Total Return Net Emerging Markets Index (“MSCI EM”) returned 10.71% over the same period.
Outperformance for the year was driven by overweight positioning to equities at the expense of fixed income, as well as security selection in the equity sleeve.
Several of the key themes expressed within the equity sleeve of the portfolio include: 1) Internet platforms in China, 2) GreenTech and semiconductors in China as they move towards self-sufficiency, 3) drug manufacturing services, and 4) modern retail penetration with a focus on pharmacy, grocery and pet retail. We are overweight Europe and Latin America versus underweight the Asia and the Middle East/Africa regions. Our larger overweights are in semi-conductors (as mentioned above), media and entertainment, and healthcare, which we believe to be the next major sector as the composition of the benchmark evolves. We continue to maintain a sizable underweight to financials.
The portfolio’s fixed income exposure is primarily invested in dollar-denominated debt, with an emphasis on high yield and commodities.
Emerging Markets (EM) has been under pressure this year, driven by a volatility in U.S. Treasury markets, inflation fears, and a slowdown in Chinese growth. Our 2021 growth forecasts have consistently reflected a slowdown in the second half versus the first half, particularly as China comes off its peak. Looking ahead, the economic recovery will likely remain uneven across Emerging Markets, with export-oriented economies benefiting from the recovery in Developed Markets (DM) demand. Similarly, many tourism-dependent EMs will likely continue to benefit from the general lifting of travel restrictions and the global reopening. In general, the service sector will now likely lead the last leg of recovery in most countries. We project EM growth to outperform DM economies in 2021 and 2022, but by a smaller differential compared to historical trends. We also believe the growth differential between EM and DM will widen again in 2023-2024 as the impulse of the extraordinary (and unsustainable) stimulus in DMs wears off and as public health conditions gradually normalize, allowing EMs much higher potential growth rate to reassert itself.
EM equity valuations are in line with long-term valuation averages, which favorably compare to U.S. and global equity indices that remain significantly above their historical median valuations. After the recent pullback, MSCI EM retraced to the low end of its relative valuation versus the S&P. Sovereign spreads of approximately 360 basis points (bps) are around 60bps wide to long-term averages. For corporates, Spread/Leverage for EM corporates is nearly 4 times greater than U.S. corporates – this is the highest reading for this relationship since the global financial crisis. For local currency, real rates in EM local markets have risen faster than in the developed world (the spread between real rates in EM versus DM is currently at fifteen-year highs) — and the J.P.Morgan GBI-EM Global Diversified Index (“GBI-EM GD”) has underperformed the EMBI year-to-date by over 650bps. However, we would like to see growth concerns abate before adding EM Foreign Exchange exposure more meaningfully.
We continue to monitor risks of even slower-than-expected Chinese growth and more persistent inflation, where the Fed may be perceived as being behind the curve. While we remain constructive on the asset class, driven by our views of a growth recovery, peaking inflation, supportive oil dynamics and attractive valuations, we are mindful that differentiation is key, particularly in light of Fed hawkishness, concerns
10
TCW Emerging Markets Multi-Asset Opportunities Fund
Management Discussions (Continued)
surrounding Chinese growth, and various idiosyncratic developments in individual countries. We anticipate wide dispersion, driven by political developments, fiscal dynamics, vaccine dissemination and/or commodity sensitivity.
| | | | | | | | | | | | | | | | | | | | |
| | | Annualized Total Return as of October 31, 2021(1) | |
| | | 1 Yr Return | | | 3 Yr Return | | | 5 Yr Return | | | 10 Yr Return | | | Inception
to Date | |
TCW EM Multi-Asset Opportunities Fund | | | | | | | | | | | | | | | | | | | | |
Class I (Inception: 07/01/2013) | | | 12.30 | % | | | 11.04 | % | | | 7.78 | % | | | — | | | | 5.73 | % |
Class N (Inception: 07/01/2013) | | | 12.06 | % | | | 10.79 | % | | | 7.64 | % | | | — | | | | 5.60 | % |
50% JPM EMBI Global Diversified Index/50%
MSCI Daily Total Return Net Emerging Markets Index | | | 10.71 | % | | | 9.57 | % | | | 6.94 | % | | | — | | | | 5.92 | % |
| (1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
11
TCW Developing Markets Equity Fund
Schedule of Investments
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
COMMON STOCK — 96.9% of Net Assets | |
|
| Argentina — 3.6% (Cost: $168,064) | |
| | |
MercadoLibre, Inc. (1) | | | 180 | | | $ | 266,584 | |
| | | | | | | | |
|
| Brazil — 5.4% | |
| | |
Even Construtora e Incorporadora S.A. | | | 42,000 | | | | 46,344 | |
| | |
Iochpe - Maxion S.A. (1) | | | 24,400 | | | | 72,633 | |
| | |
JBS S.A. | | | 10,300 | | | | 71,353 | |
| | |
Pet Center Comercio e Participacoes S.A. | | | 17,000 | | | | 56,606 | |
| | |
Petroleo Brasileiro S.A. (SP ADR) | | | 6,400 | | | | 62,848 | |
| | |
Raia Drogasil S.A. | | | 21,600 | | | | 89,090 | |
| | | | | | | | |
|
Total Brazil | |
| |
(Cost: $424,548) | | | | 398,874 | |
| | | | | | | | |
|
| China — 30.0% | |
| | |
China Hongqiao Group, Ltd. | | | 59,000 | | | | 65,564 | |
| | |
Contemporary Amperex Technology Co., Ltd. | | | 3,000 | | | | 300,516 | |
| | |
COSCO SHIPPING Holdings Co., Ltd. — Class H(1) | | | 47,000 | | | | 72,812 | |
| | |
Geely Automobile Holdings, Ltd. | | | 22,000 | | | | 76,368 | |
| | |
Kunlun Energy Co., Ltd. | | | 70,000 | | | | 63,766 | |
| | |
LONGi Green Energy Technology Co., Ltd. | | | 2,882 | | | | 43,942 | |
| | |
Meituan — Class B (1) | | | 6,100 | | | | 207,613 | |
| | |
NIO, Inc. (ADR) (1) | | | 1,900 | | | | 74,879 | |
| | |
Orient Overseas International, Ltd. | | | 3,500 | | | | 64,363 | |
| | |
SITC International Holdings Co., Ltd. | | | 26,000 | | | | 87,892 | |
| | |
Tencent Holdings, Ltd. | | | 9,100 | | | | 553,654 | |
| | |
Tongwei Co., Ltd. | | | 10,500 | | | | 93,753 | |
| | |
WuXi AppTec Co., Ltd. — Class H | | | 10,556 | | | | 225,425 | |
| | |
Wuxi Biologics Cayman, Inc. (1) | | | 15,000 | | | | 227,247 | |
| | |
Yunnan Energy New Material Co., Ltd. | | | 1,600 | | | | 72,970 | |
| | | | | | | | |
|
Total China | |
| |
(Cost: $1,603,930) | | | | 2,230,764 | |
| | | | | | | | |
|
| Egypt — 1.7% (Cost: $114,682) | |
| | |
Commercial International Bank Egypt SAE (1) | | | 39,666 | | | | 129,129 | |
| | | | | | | | |
|
| France — 1.6% (Cost: $52,076) | |
| | |
Hermes International | | | 75 | | | | 119,222 | |
| | | | | | | | |
|
| Greece — 1.0% (Cost: $73,432) | |
| | |
OPAP S.A. | | | 4,650 | | | | 72,699 | |
| | | | | | | | |
|
| India — 7.6% | |
| | |
Apollo Hospitals Enterprise, Ltd. | | | 1,900 | | | | 108,970 | |
| | |
Avenue Supermarts, Ltd. (1) | | | 3,570 | | | | 220,789 | |
| | |
Hindustan Petroleum Corp., Ltd. | | | 20,700 | | | | 86,189 | |
| | |
Reliance Industries, Ltd. | | | 4,107 | | | | 139,578 | |
| | |
Reliance Industries, Ltd. | | | 273 | | | | 6,965 | |
| | | | | | | | |
|
Total India | |
| |
(Cost: $331,507) | | | | 562,491 | |
| | | | | | | | |
|
| Indonesia — 1.4% (Cost: $71,979) | |
| | |
PP Persero Tbk PT (1) | | | 1,200,000 | | | | 102,312 | |
| | | | | | | | |
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| Kazakhstan — 1.0% (Cost: $40,094) | |
| | |
Kaspi.KZ JSC (GDR) | | | 500 | | | $ | 72,500 | |
| | | | | | | | |
|
| Malaysia — 2.0% (Cost: $122,538) | |
| | |
Greatech Technology BHD (1) | | | 85,000 | | | | 147,814 | |
| | | | | | | | |
|
| Russia — 5.8% | |
| | |
Gazprom PJSC (SP ADR) | | | 8,900 | | | | 87,665 | |
| | |
Magnitogorsk Iron & Steel Works PJSC | | | 79,000 | | | | 73,678 | |
| | |
Sistema PJSFC | | | 175,000 | | | | 66,694 | |
| | |
Yandex N.V. (1) | | | 2,500 | | | | 207,100 | |
| | | | | | | | |
|
Total Russia | |
| |
(Cost: $338,715) | | | | 435,137 | |
| | | | | | | | |
|
| Singapore — 2.3% (Cost: $87,573) | |
| | |
Sea, Ltd. (ADR) (1) | | | 500 | | | | 171,785 | |
| | | | | | | | |
|
| South Africa — 0.9% (Cost: $76,774) | |
| | |
Exxaro Resources, Ltd. | | | 6,000 | | | | 66,020 | |
| | | | | | | | |
|
| South Korea — 13.3% | |
| | |
Boditech Med, Inc. | | | 3,750 | | | | 51,784 | |
| | |
E-Mart, Inc. | | | 500 | | | | 71,976 | |
| | |
Halla Holdings Corp. | | | 1,900 | | | | 82,991 | |
| | |
HDC Holdings Co., Ltd. | | | 6,800 | | | | 61,532 | |
| | |
Hyundai Construction Equipment Co., Ltd. (1) | | | 1,050 | | | | 36,343 | |
| | |
Kakao Corp. | | | 750 | | | | 80,688 | |
| | |
KT Corp. (SP ADR) (1) | | | 5,400 | | | | 69,174 | |
| | |
NAVER Corp. | | | 500 | | | | 173,841 | |
| | |
PSK, Inc. | | | 1,205 | | | | 39,922 | |
| | |
Samsung Biologics Co., Ltd. (1) | | | 225 | | | | 167,622 | |
| | |
SK IE Technology Co., Ltd. (1) | | | 400 | | | | 56,924 | |
| | |
TES Co., Ltd. | | | 1,600 | | | | 36,594 | |
| | |
Vidente Co., Ltd. (1) | | | 4,700 | | | | 58,435 | |
| | | | | | | | |
|
Total South Korea | |
| |
(Cost: $907,522) | | | | 987,826 | |
| | | | | | | | |
|
| Taiwan — 15.8% | |
| | |
Alchip Technologies, Ltd. | | | 3,000 | | | | 111,436 | |
| | |
ASPEED Technology, Inc. | | | 800 | | | | 80,251 | |
| | |
Chailease Holding Co., Ltd. | | | 10,038 | | | | 96,139 | |
| | |
eMemory Technology, Inc. | | | 1,000 | | | | 83,065 | |
| | |
Kinsus Interconnect Technology Corp. | | | 15,000 | | | | 132,009 | |
| | |
Phison Electronics Corp. | | | 4,900 | | | | 69,091 | |
| | |
Silergy Corp. | | | 500 | | | | 82,603 | |
| | |
Taiwan Semiconductor Manufacturing Co., Ltd. | | | 22,500 | | | | 477,457 | |
| | |
TSEC Corp. (1) | | | 33,000 | | | | 39,626 | |
| | | | | | | | |
|
Total Taiwan | |
| |
(Cost: $699,365) | | | | 1,171,677 | |
| | | | | | | | |
|
| Turkey — 0.9% (Cost: $76,411) | |
| | |
Turkiye Sise ve Cam Fabrikalari A.S. | | | 71,000 | | | | 63,947 | |
| | | | | | | | |
|
| United Kingdom — 1.8% (Cost: $66,145) | |
| | |
Genus PLC | | | 1,750 | | | | 132,919 | �� |
| | | | | | | | |
See accompanying Notes to Financial Statements.
12
TCW Developing Markets Equity Fund
October 31, 2021
| | | | | | | | |
| Issues | | Shares | | | Value | |
|
| Uruguay — 0.8% (Cost: $78,660) | |
| | |
Dlocal, Ltd. (1) | | | 1,300 | | | $ | 63,063 | |
| | | | | | | | |
|
Total Common Stock | |
| |
(Cost: $5,334,015) | | | | 7,194,763 | |
| | | | | | | | |
|
PREFERRED STOCK — 1.3% | |
|
| Brazil — 1.3% | |
| | |
Braskem S.A., 5.85% | | | 5,800 | | | | 56,035 | |
| | |
Usinas Siderurgicas de Minas Gerais S.A., 5.42% | | | 18,500 | | | | 43,485 | |
| | | | | | | | |
|
Total Brazil | |
| |
(Cost: $150,335) | | | | 99,520 | |
| | | | | | | | |
|
Total Preferred Stock | |
| |
(Cost: $150,335) | | | | 99,520 | |
| | | | | | | | |
|
| MONEY MARKET INVESTMENTS — 2.2% | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (2) | | | 160,708 | | | | 160,708 | |
| | | | | | | | |
|
Total Money Market Investments | |
| |
(Cost: $160,708) | | | | 160,708 | |
| | | | | | | | |
| |
Total Investments (100.4%) | | | | | |
| |
(Cost: $5,645,058) | | | | 7,454,991 | |
| |
Liabilities In Excess Of Other Assets (-0.4%) | | | | (28,327 | ) |
| | | | | | | | |
| |
Total Net Assets (100.0%) | | | $ | 7,426,664 | |
| | | | | | | | |
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. |
| PJSC | | Private Joint-Stock Company. |
| 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 October 31, 2021. |
See accompanying Notes to Financial Statements.
13
TCW Developing Markets Equity Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Auto Components | | | 1.1 | % |
Automobiles | | | 2.0 | |
Banks | | | 1.7 | |
Biotechnology | | | 1.8 | |
Chemicals | | | 2.3 | |
Construction & Engineering | | | 1.4 | |
Consumer Finance | | | 1.0 | |
Containers & Packaging | | | 1.0 | |
Diversified Financial Services | | | 1.3 | |
Diversified Telecommunication Services | | | 0.9 | |
Electrical Equipment | | | 4.0 | |
Electronic Equipment, Instruments & Components | | | 0.8 | |
Entertainment | | | 2.3 | |
Food & Staples Retailing | | | 5.2 | |
Food Products | | | 2.3 | |
Gas Utilities | | | 0.8 | |
Health Care Equipment & Supplies | | | 0.7 | |
Health Care Providers & Services | | | 1.5 | |
Hotels, Restaurants & Leisure | | | 1.0 | |
Household Durables | | | 0.6 | |
IT Services | | | 0.8 | |
Industrial Conglomerates | | | 0.9 | |
Interactive Media & Services | | | 13.6 | |
Internet & Direct Marketing Retail | | | 6.4 | |
Life Sciences Tools & Services | | | 8.4 | |
Machinery | | | 1.5 | |
Marine | | | 3.1 | |
Metals & Mining | | | 2.5 | |
Oil, Gas & Consumable Fuels | | | 5.9 | |
Semiconductors & Semiconductor Equipment | | | 18.1 | |
Specialty Retail | | | 0.8 | |
Textiles, Apparel & Luxury Goods | | | 1.6 | |
Wireless Telecommunication Services | | | 0.9 | |
Money Market Investments | | | 2.2 | |
| | | | |
Total | | | 100.4 | % |
| | | | |
See accompanying Notes to Financial Statements.
14
TCW Developing Markets Equity Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | | | | | | | | | | | | | | | |
Auto Components | | $ | — | | | $ | 82,991 | | | $ | — | | | $ | 82,991 | |
Automobiles | | | 74,879 | | | | 76,368 | | | | — | | | | 151,247 | |
Banks | | | — | | | | 129,129 | | | | — | | | | 129,129 | |
Biotechnology | | | — | | | | 132,919 | | | | — | | | | 132,919 | |
Chemicals | | | — | | | | 118,456 | | | | — | | | | 118,456 | |
Construction & Engineering | | | — | | | | 102,312 | | | | — | | | | 102,312 | |
Consumer Finance | | | 72,500 | | | | — | | | | — | | | | 72,500 | |
Containers & Packaging | | | — | | | | 72,970 | | | | — | | | | 72,970 | |
Diversified Financial Services | | | — | | | | 96,139 | | | | — | | | | 96,139 | |
Diversified Telecommunication Services | | | 69,174 | | | | — | | | | — | | | | 69,174 | |
Electrical Equipment | | | — | | | | 300,516 | | | | — | | | | 300,516 | |
Electronic Equipment, Instruments & Components | | | — | | | | 58,435 | | | | — | | | | 58,435 | |
Entertainment | | | 171,785 | | | | — | | | | — | | | | 171,785 | |
Food & Staples Retailing | | | 89,090 | | | | 292,765 | | | | — | | | | 381,855 | |
Food Products | | | 71,353 | | | | 93,753 | | | | — | | | | 165,106 | |
Gas Utilities | | | — | | | | 63,766 | | | | — | | | | 63,766 | |
Health Care Equipment & Supplies | | | — | | | | 51,784 | | | | — | | | | 51,784 | |
Health Care Providers & Services | | | — | | | | 108,970 | | | | — | | | | 108,970 | |
Hotels, Restaurants & Leisure | | | — | | | | 72,699 | | | | — | | | | 72,699 | |
Household Durables | | | 46,344 | | | | — | | | | — | | | | 46,344 | |
IT Services | | | 63,063 | | | | — | | | | — | | | | 63,063 | |
Industrial Conglomerates | | | 63,947 | | | | — | | | | — | | | | 63,947 | |
Interactive Media & Services | | | 207,100 | | | | 808,183 | | | | — | | | | 1,015,283 | |
Internet & Direct Marketing Retail | | | 266,584 | | | | 207,613 | | | | — | | | | 474,197 | |
Life Sciences Tools & Services | | | — | | | | 620,294 | | | | — | | | | 620,294 | |
Machinery | | | 72,633 | | | | 36,343 | | | | — | | | | 108,976 | |
Marine | | | — | | | | 225,067 | | | | — | | | | 225,067 | |
Metals & Mining | | | — | | | | 139,242 | | | | — | | | | 139,242 | |
Oil, Gas & Consumable Fuels | | | 216,533 | | | | 232,732 | | | | — | | | | 449,265 | |
Semiconductors & Semiconductor Equipment | | | — | | | | 1,343,810 | | | | — | | | | 1,343,810 | |
Specialty Retail | | | 56,606 | | | | — | | | | — | | | | 56,606 | |
Textiles, Apparel & Luxury Goods | | | — | | | | 119,222 | | | | — | | | | 119,222 | |
Wireless Telecommunication Services | | | — | | | | 66,694 | | | | — | | | | 66,694 | |
| | | | | | | | | | | | | | | | |
Total Common Stock | | | 1,541,591 | | | | 5,653,172 | | | | — | | | | 7,194,763 | |
| | | | | | | | | | | | | | | | |
Preferred Stock | | | | | | | | | | | | | | | | |
Chemicals | | | 56,035 | | | | — | | | | — | | | | 56,035 | |
Metals & Mining | | | 43,485 | | | | — | | | | — | | | | 43,485 | |
| | | | | | | | | | | | | | | | |
Total Preferred Stock | | | 99,520 | | | | — | | | | — | | | | 99,520 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 160,708 | | | | — | | | | — | | | | 160,708 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 1,801,819 | | | $ | 5,653,172 | | | $ | — | | | $ | 7,454,991 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
15
TCW Emerging Markets Income Fund
Schedule of Investments
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
FIXED INCOME SECURITIES — 96.9% of Net Assets | |
|
| Angola — 3.0% | |
|
Angolan Government International Bond | |
| | | |
8.25% (1) | | | 05/09/28 | | | $ | 60,999,000 | | | $ | 61,564,461 | |
| | | |
9.13% (1) | | | 11/26/49 | | | | 63,160,000 | | | | 61,896,800 | |
| | | |
9.38% (1) | | | 05/08/48 | | | | 72,405,000 | | | | 72,296,392 | |
| | | |
9.50% (2) | | | 11/12/25 | | | | 18,020,000 | | | | 19,533,950 | |
| | | | | | | | | | | | |
| | |
Total Angola | | | | | | | | | |
| | |
(Cost: $202,434,817) | | | | | | | | 215,291,603 | |
| | | | | | | | | | | | |
|
| Argentina — 1.1% | |
|
Argentine Republic Government International Bond | |
| | | |
1.00% | | | 07/09/29 | | | | 29,722,397 | | | | 10,863,536 | |
| | | |
1.13% | | | 07/09/35 | | | | 157,680,077 | | | | 48,912,360 | |
| | | |
2.00% | | | 01/09/38 | | | | 22,415,476 | | | | 8,246,653 | |
| | | |
2.50% | | | 07/09/41 | | | | 45,084,524 | | | | 15,554,161 | |
| | | | | | | | | | | | |
| | |
Total Argentina | | | | | | | | | |
| | |
(Cost: $112,917,576) | | | | | | | | 83,576,710 | |
| | | | | | | | | | | | |
|
| Bahrain — 3.7% | |
|
Bahrain Government International Bond | |
| | | |
5.25% (1) | | | 01/25/33 | | | | 106,668,000 | | | | 102,411,947 | |
| | | |
5.45% (2) | | | 09/16/32 | | | | 23,575,000 | | | | 23,123,539 | |
| | | |
5.63% (1) | | | 09/30/31 | | | | 34,368,000 | | | | 34,326,758 | |
| | | |
6.00% (2) | | | 09/19/44 | | | | 47,290,000 | | | | 43,922,952 | |
| | | |
7.50% (2) | | | 09/20/47 | | | | 45,817,000 | | | | 47,551,082 | |
|
Oil and Gas Holding Co. BSCC (The) | |
| | | |
7.50% (2) | | | 10/25/27 | | | | 15,355,000 | | | | 16,897,985 | |
| | | | | | | | | | | | |
| | |
Total Bahrain | | | | | | | | | |
| | |
(Cost: $273,824,985) | | | | | | | | 268,234,263 | |
| | | | | | | | | | | | |
|
| Brazil — 2.1% | |
|
CSN Resources S.A. | |
| | | |
4.63% (1) | | | 06/10/31 | | | | 34,764,000 | | | | 33,891,423 | |
|
Light Servicos de Eletricidade S.A. / Light Energia S.A. | |
| | | |
4.38% (1) | | | 06/18/26 | | | | 21,400,000 | | | | 20,931,340 | |
|
MC Brazil Downstream Trading Sarl | |
| | | |
7.25% (1) | | | 06/30/31 | | | | 69,808,000 | | | | 68,150,060 | |
|
MV24 Capital B.V. | |
| | | |
6.75% (1) | | | 06/01/34 | | | | 25,571,291 | | | | 26,525,101 | |
| | | | | | | | | | | | |
| | |
Total Brazil | | | | | | | | | |
| | |
(Cost: $152,868,301) | | | | | | | | 149,497,924 | |
| | | | | | | | | | | | |
|
| Chile — 3.4% | |
|
AES Andes S.A. | |
| | | |
7.13% (USD 5-year Swap rate +
4.644%) (1)(3) | | | 03/26/79 | | | | 36,101,000 | | | | 37,834,931 | |
|
Chile Government International Bond | |
| | | |
2.55% | | | 01/27/32 | | | | 115,035,000 | | | | 113,777,668 | |
| | | |
2.55% | | | 07/27/33 | | | | 18,097,000 | | | | 17,509,933 | |
| | | |
3.10% | | | 05/07/41 | | | | 22,580,000 | | | | 21,986,146 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Chile (Continued) | |
|
Empresa de los Ferrocarriles del Estado | |
| | | |
3.83% (1) | | | 09/14/61 | | | $ | 43,350,000 | | | $ | 41,925,302 | |
|
VTR Comunicaciones SpA | |
| | | |
4.38% (1) | | | 04/15/29 | | | | 16,456,000 | | | | 16,651,826 | |
| | | | | | | | | | | | |
| | |
Total Chile | | | | | | | | | |
| | |
(Cost: $254,809,138) | | | | | | | | 249,685,806 | |
| | | | | | | | | | | | |
|
| China — 0.1% | |
|
Kaisa Group Holdings, Ltd. | |
| | | |
9.75% (2) | | | 09/28/23 | | | | 13,120,000 | | | | 4,198,400 | |
| | | |
10.88% (2) | | | 07/23/23 | | | | 5,730,000 | | | | 1,776,300 | |
|
Ronshine China Holdings, Ltd. | |
| | | |
7.35% (2) | | | 12/15/23 | | | | 6,250,000 | | | | 2,751,956 | |
| | | | | | | | | | | | |
| | |
Total China | | | | | | | | | |
| | |
(Cost: $25,574,263) | | | | | | | | 8,726,656 | |
| | | | | | | | | | | | |
|
| Colombia — 4.5% | |
|
AI Candelaria Spain SLU | |
| | | |
5.75% (1) | | | 06/15/33 | | | | 37,195,000 | | | | 36,453,332 | |
|
Banco Davivienda S.A. | |
| | | |
6.65% (U.S. 10-year Treasury Constant Maturity Rate + 5.097%) (1)(3)(4) | | | 04/23/31 | | | | 8,519,000 | | | | 8,916,986 | |
|
Banco GNB Sudameris S.A. | |
| | | |
7.50% (U.S. 5-year Treasury Constant Maturity Rate + 6.660%) (1)(3) | | | 04/16/31 | | | | 20,750,000 | | | | 21,109,390 | |
|
Colombia Government International Bond | |
| | | |
3.13% | | | 04/15/31 | | | | 86,410,000 | | | | 81,147,631 | |
| | | |
4.13% | | | 02/22/42 | | | | 115,555,000 | | | | 104,922,785 | |
| | | |
5.20% | | | 05/15/49 | | | | 27,280,000 | | | | 27,498,240 | |
|
Ecopetrol S.A. | |
| | | |
5.88% | | | 11/02/51 | | | | 25,525,000 | | | | 25,372,743 | |
|
Gran Tierra Energy International Holdings, Ltd. | |
| | | |
6.25% (2) | | | 02/15/25 | | | | 14,397,000 | | | | 13,343,572 | |
|
Gran Tierra Energy, Inc. | |
| | | |
7.75% (2) | | | 05/23/27 | | | | 12,093,000 | | | | 11,244,071 | |
| | | | | | | | | | | | |
| | |
Total Colombia | | | | | | | | | |
| | |
(Cost: $344,554,879) | | | | | | | | 330,008,750 | |
| | | | | | | | | | | | |
|
| Costa Rica — 1.3% | |
|
Costa Rica Government International Bond | |
| | | |
5.63% (2) | | | 04/30/43 | | | | 22,835,000 | | | | 20,471,578 | |
| | | |
7.00% (2) | | | 04/04/44 | | | | 37,278,000 | | | | 37,255,633 | |
| | | |
7.16% (2) | | | 03/12/45 | | | | 5,427,000 | | | | 5,497,904 | |
|
Instituto Costarricense de Electricidad | |
| | | |
6.75% (1) | | | 10/07/31 | | | | 28,774,000 | | | | 29,097,707 | |
| | | | | | | | | | | | |
| | |
Total Costa Rica | | | | | | | | | |
| | |
(Cost: $91,691,860) | | | | | | | | 92,322,822 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
16
TCW Emerging Markets Income Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Dominican Republic — 3.7% | |
|
Dominican Republic International Bond | |
| | | |
4.50% (1) | | | 01/30/30 | | | $ | 57,656,000 | | | $ | 58,688,043 | |
| | | |
4.88% (1) | | | 09/23/32 | | | | 96,945,000 | | | | 98,852,635 | |
| | | |
5.30% (1) | | | 01/21/41 | | | | 73,620,000 | | | | 73,450,674 | |
| | | |
5.88% (1) | | | 01/30/60 | | | | 41,750,000 | | | | 41,019,375 | |
| | | | | | | | | | | | |
| | |
Total Dominican Republic | | | | | | | | | |
| | |
(Cost: $267,715,011) | | | | | | | | 272,010,727 | |
| | | | | | | | | | | | |
|
| Ecuador — 1.9% | |
|
Ecuador Government International Bond | |
| | | |
1.00% (1) | | | 07/31/35 | | | | 118,559,289 | | | | 78,694,914 | |
| | | |
5.00% (2) | | | 07/31/30 | | | | 71,806,647 | | | | 59,829,298 | |
| | | | | | | | | | | | |
| | |
Total Ecuador | | | | | | | | | |
| | |
(Cost: $135,076,916) | | | | | | | | 138,524,212 | |
| | | | | | | | | | | | |
|
| Egypt — 3.6% | |
|
Egypt Government International Bond | |
| | | |
7.05% (1) | | | 01/15/32 | | | | 88,535,000 | | | | 83,288,062 | |
| | | |
7.63% (1) | | | 05/29/32 | | | | 55,429,000 | | | | 53,751,774 | |
| | | |
8.50% (2) | | | 01/31/47 | | | | 89,727,000 | | | | 83,162,214 | |
| | | |
8.70% (1) | | | 03/01/49 | | | | 40,972,000 | | | | 38,328,486 | |
| | | | | | | | | | | | |
| | |
Total Egypt | | | | | | | | | |
| | |
(Cost: $279,717,744) | | | | | | | | 258,530,536 | |
| | | | | | | | | | | | |
|
| El Salvador — 1.4% | |
|
El Salvador Government International Bond | |
| | | |
5.88% (2) | | | 01/30/25 | | | | 11,990,000 | | | | 9,564,123 | |
| | | |
6.38% (2) | | | 01/18/27 | | | | 43,614,000 | | | | 33,800,850 | |
| | | |
7.63% (2) | | | 02/01/41 | | | | 36,263,000 | | | | 26,627,921 | |
| | | |
8.25% (2) | | | 04/10/32 | | | | 28,295,000 | | | | 22,178,442 | |
| | | |
8.63% (2) | | | 02/28/29 | | | | 8,750,000 | | | | 7,048,125 | |
| | | | | | | | | | | | |
| | |
Total El Salvador | | | | | | | | | |
| | |
(Cost: $127,190,386) | | | | | | | | 99,219,461 | |
| | | | | | | | | | | | |
|
| Gabon — 0.7% (Cost: $47,905,108) | |
|
Gabon Government International Bond | |
| | | |
6.63% (2) | | | 02/06/31 | | | | 47,713,000 | | | | 47,612,803 | |
| | | | | | | | | | | | |
|
| Ghana — 1.5% | |
|
Ghana Government International Bond | |
| | | |
7.88% (2) | | | 02/11/35 | | | | 43,049,000 | | | | 36,739,179 | |
| | | |
8.88% (2) | | | 05/07/42 | | | | 40,315,000 | | | | 35,138,554 | |
| | | |
8.95% (1) | | | 03/26/51 | | | | 40,568,000 | | | | 34,915,498 | |
| | | | | | | | | | | | |
| | |
Total Ghana | | | | | | | | | |
| | |
(Cost: $124,028,354) | | | | | | | | 106,793,231 | |
| | | | | | | | | | | | |
|
| Guatemala — 1.4% | |
|
Banco Industrial S.A. | |
| | | |
4.88% (U.S. 5-year Treasury Constant Maturity Rate + 4.442%) (1)(3) | | | 01/29/31 | | | | 20,895,000 | | | | 20,987,419 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Guatemala (Continued) | |
|
Guatemala Government Bond | |
| | | |
3.70% (1) | | | 10/07/33 | | | $ | 28,470,000 | | | $ | 28,423,736 | |
| | | |
4.65% (1) | | | 10/07/41 | | | | 24,250,000 | | | | 24,795,625 | |
| | | |
5.38% (1) | | | 04/24/32 | | | | 24,329,000 | | | | 27,292,272 | |
| | | | | | | | | | | | |
| | |
Total Guatemala | | | | | | | | | |
| | |
(Cost: $100,108,658) | | | | | | | | 101,499,052 | |
| | | | | | | | | | | | |
| | |
| Hungary — 1.4% | | | | | | | |
|
Hungary Government International Bond | |
| | | |
2.13% (1) | | | 09/22/31 | | | | 34,286,000 | | | | 33,595,994 | |
| | | |
3.13% (1) | | | 09/21/51 | | | | 70,358,000 | | | | 68,730,092 | |
| | | | | | | | | | | | |
| | |
Total Hungary | | | | | | | | | |
| | |
(Cost: $101,839,917) | | | | | | | | 102,326,086 | |
| | | | | | | | | | | | |
|
| India — 1.9% | |
|
Adani Green Energy, Ltd. | |
| | | |
4.38% (1) | | | 09/08/24 | | | | 14,440,000 | | | | 14,629,164 | |
|
Cliffton, Ltd. | |
| | | |
6.25% (1) | | | 10/25/25 | | | | 29,025,000 | | | | 29,034,085 | |
|
India Green Power Holdings | |
| | | |
4.00% (1) | | | 02/22/27 | | | | 24,420,000 | | | | 24,572,625 | |
|
JSW Steel, Ltd. | |
| | | |
3.95% (1) | | | 04/05/27 | | | | 16,936,000 | | | | 17,096,892 | |
| | | |
5.05% (1) | | | 04/05/32 | | | | 10,351,000 | | | | 10,455,545 | |
|
Network i2i, Ltd. | |
| | | |
5.65% (U.S. 5-year Treasury Constant Maturity Rate + 4.274%) (2)(3)(4) | | | 01/15/25 | | | | 23,435,000 | | | | 24,855,161 | |
|
ReNew Wind Energy AP2 / ReNew Power Pvt, Ltd. other 9 Subsidiaries | |
| | | |
4.50% (1) | | | 07/14/28 | | | | 14,632,000 | | | | 14,883,462 | |
| | | | | | | | | | | | |
| | |
Total India | | | | | | | | | |
| | |
(Cost: $132,989,546) | | | | | | | | 135,526,934 | |
| | | | | | | | | | | | |
|
| Indonesia — 3.7% | |
|
Freeport-McMoRan, Inc. | |
| | | |
4.63% | | | 08/01/30 | | | | 19,010,000 | | | | 20,578,325 | |
|
Indonesia Asahan Aluminium Persero PT | |
| | | |
4.75% (1) | | | 05/15/25 | | | | 36,140,000 | | | | 38,859,535 | |
| | | |
5.45% (1) | | | 05/15/30 | | | | 35,250,000 | | | | 40,383,458 | |
| | | |
6.53% (1) | | | 11/15/28 | | | | 37,763,000 | | | | 45,561,437 | |
|
Perusahaan Penerbit SBSN Indonesia III | |
| | | |
2.55% (2) | | | 06/09/31 | | | | 42,525,000 | | | | 42,746,130 | |
| | | |
3.55% (1) | | | 06/09/51 | | | | 42,825,000 | | | | 43,043,407 | |
| | | |
3.80% (1) | | | 06/23/50 | | | | 35,499,000 | | | | 36,705,966 | |
| | | | | | | | | | | | |
| | |
Total Indonesia | | | | | | | | | |
| | |
(Cost: $263,151,306) | | | | | | | | 267,878,258 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
17
TCW Emerging Markets Income Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Iraq — 1.3% (Cost: $92,142,447) | |
|
Iraq International Bond | |
| | | |
5.80% (2) | | | 01/15/28 | | | $ | 95,845,750 | | | $ | 93,815,258 | |
| | | | | | | | | | | | |
|
| Israel — 1.6% | |
|
Energean Israel Finance, Ltd. | |
| | | |
5.88% (1) | | | 03/30/31 | | | | 67,957,700 | | | | 69,028,034 | |
|
Leviathan Bond, Ltd. | |
| | | |
6.50% (1) | | | 06/30/27 | | | | 14,799,000 | | | | 16,204,905 | |
| | | |
6.75% (1) | | | 06/30/30 | | | | 27,384,240 | | | | 30,174,009 | |
| | | | | | | | | | | | |
| | |
Total Israel | | | | | | | | | |
| | |
(Cost: $113,701,083) | | | | | | | | 115,406,948 | |
| | | | | | | | | | | | |
|
| Ivory Coast — 1.0% | |
|
Ivory Coast Government International Bond | |
| | | |
4.88% (1) | | | 01/30/32 | | | EUR | 52,501,000 | | | | 59,559,841 | |
| | | |
6.88% (1) | | | 10/17/40 | | | EUR | 12,197,000 | | | | 14,831,199 | |
| | | | | | | | | | | | |
| | |
Total Ivory Coast | | | | | | | | | |
| | |
(Cost: $77,324,914) | | | | | | | | 74,391,040 | |
| | | | | | | | | | | | |
|
| Kazakhstan — 1.9% | |
|
KazMunayGas National Co. JSC | |
| | | |
3.50% (1) | | | 04/14/33 | | | $ | 66,045,000 | | | | 68,647,173 | |
| | | |
5.75% (2) | | | 04/19/47 | | | | 56,395,000 | | | | 68,198,473 | |
| | | | | | | | | | | | |
| | |
Total Kazakhstan | | | | | | | | | |
| | |
(Cost: $134,089,237) | | | | | | | | 136,845,646 | |
| | | | | | | | | | | | |
|
| Lebanon — 0.3% (Cost: $38,908,367) | |
|
Lebanon Government International Bond | |
| | | |
8.25% (5) | | | 05/17/34 | | | | 139,956,000 | | | | 21,693,180 | |
| | | | | | | | | | | | |
|
| Mexico — 7.0% | |
|
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 | | | | 14,216,280 | |
| | | |
7.50% (U.S. 10-year Treasury Constant Maturity Rate + 5.470%) (1)(3)(4) | | | 06/27/29 | | | | 20,074,000 | | | | 22,082,303 | |
|
Braskem Idesa SAPI | |
| | | |
6.99% (1) | | | 02/20/32 | | | | 31,170,000 | | | | 31,949,250 | |
|
Cemex SAB de CV | |
| | | |
5.13% (U.S. 5-year Treasury Constant Maturity Rate + 4.534%) (1)(3)(4) | | | 06/08/26 | | | | 48,275,000 | | | | 49,941,646 | |
|
Electricidad Firme de Mexico Holdings SA de CV | |
| | | |
4.90% (1) | | | 11/20/26 | | | | 24,805,000 | | | | 24,259,290 | |
|
Mexico Government International Bond | |
| | | |
4.28% | | | 08/14/41 | | | | 44,306,000 | | | | 46,295,339 | |
|
Nemak SAB de CV | |
| | | |
3.63% (1) | | | 06/28/31 | | | | 29,835,000 | | | | 27,988,214 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Mexico (Continued) | |
|
Petroleos Mexicanos | |
| | | |
5.95% | | | 01/28/31 | | | $ | 119,215,000 | | | $ | 117,307,560 | |
| | | |
6.63% | | | 06/15/35 | | | | 145,536,000 | | | | 140,951,616 | |
| | | |
6.75% | | | 09/21/47 | | | | 36,155,000 | | | | 31,997,175 | |
| | | | | | | | | | | | |
| | |
Total Mexico | | | | | | | | | |
| | |
(Cost: $494,879,349) | | | | | | | | 506,988,673 | |
| | | | | | | | | | | | |
|
| Morocco — 0.9% (Cost: $64,533,690) | |
|
OCP S.A. | |
| | | |
5.13% (1) | | | 06/23/51 | | | | 64,259,000 | | | | 62,796,144 | |
| | | | | | | | | | | | |
|
| Nigeria — 3.5% | |
|
Nigeria Government International Bond | |
| | | |
6.13% (1) | | | 09/28/28 | | | | 31,001,000 | | | | 30,829,564 | |
| | | |
7.38% (1) | | | 09/28/33 | | | | 15,812,000 | | | | 15,693,410 | |
| | | |
7.63% (2) | | | 11/28/47 | | | | 71,444,000 | | | | 66,948,744 | |
| | | |
7.70% (1) | | | 02/23/38 | | | | 95,695,000 | | | | 92,624,530 | |
| | | |
7.88% (2) | | | 02/16/32 | | | | 24,663,000 | | | | 25,203,120 | |
| | | |
8.25% (1) | | | 09/28/51 | | | | 21,550,000 | | | | 21,256,273 | |
| | | | | | | | | | | | |
| | |
Total Nigeria | | | | | | | | | |
| | |
(Cost: $257,005,539) | | | | | | | | 252,555,641 | |
| | | | | | | | | | | | |
|
| Oman — 3.1% | |
|
Oman Government International Bond | |
| | | |
5.63% (2) | | | 01/17/28 | | | | 24,429,000 | | | | 25,833,668 | |
| | | |
6.00% (2) | | | 08/01/29 | | | | 42,315,000 | | | | 45,464,040 | |
| | | |
6.25% (1) | | | 01/25/31 | | | | 55,904,000 | | | | 60,650,250 | |
| | | |
6.50% (2) | | | 03/08/47 | | | | 33,225,000 | | | | 32,906,638 | |
|
OQ SAOC | |
| | | |
5.13% (2) | | | 05/06/28 | | | | 62,142,000 | | | | 63,773,227 | |
| | | | | | | | | | | | |
| | |
Total Oman | | | | | | | | | |
| | |
(Cost: $216,492,309) | | | | | | | | 228,627,823 | |
| | | | | | | | | | | | |
|
| Pakistan — 1.9% | |
|
Pakistan Government International Bond | |
| | | |
6.00% (1) | | | 04/08/26 | | | | 24,775,000 | | | | 24,960,812 | |
| | | |
6.88% (2) | | | 12/05/27 | | | | 22,588,000 | | | | 23,155,241 | |
| | | |
7.38% (1) | | | 04/08/31 | | | | 45,485,000 | | | | 46,284,945 | |
| | | |
8.88% (1) | | | 04/08/51 | | | | 43,220,000 | | | | 43,522,540 | |
| | | | | | | | | | | | |
| | |
Total Pakistan | | | | | | | | | |
| | |
(Cost: $139,254,343) | | | | | | | | 137,923,538 | |
| | | | | | | | | | | | |
|
| Panama — 3.3% | |
|
C&W Senior Financing DAC | |
| | | |
6.88% (1) | | | 09/15/27 | | | | 24,809,000 | | | | 26,173,495 | |
|
Panama Government International Bond | |
| | | |
2.25% | | | 09/29/32 | | | | 112,055,000 | | | | 105,734,118 | |
| | | |
3.16% | | | 01/23/30 | | | | 71,264,000 | | | | 73,709,780 | |
| | | |
3.87% | | | 07/23/60 | | | | 37,665,000 | | | | 37,620,555 | |
| | | | | | | | | | | | |
| | |
Total Panama | | | | | | | | | |
| | |
(Cost: $246,863,211) | | | | | | | | 243,237,948 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
18
TCW Emerging Markets Income Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Paraguay — 1.2% | |
|
Banco Continental SAECA | |
| | | |
2.75% (1) | | | 12/10/25 | | | $ | 11,900,000 | | | $ | 11,748,275 | |
|
Paraguay Government International Bond | |
| | | |
5.40% (1) | | | 03/30/50 | | | | 10,215,000 | | | | 11,568,488 | |
| | | |
5.60% (2) | | | 03/13/48 | | | | 39,657,000 | | | | 45,308,122 | |
|
Republic Of Paraguay Sr Unsecured | |
| | | |
2.74% (2) | | | 01/29/33 | | | | 16,080,000 | | | | 15,497,100 | |
| | | | | | | | | | | | |
| | |
Total Paraguay | | | | | | | | | |
| | |
(Cost: $79,427,967) | | | | | | | | 84,121,985 | |
| | | | | | | | | | | | |
|
| Peru — 3.1% | |
|
Cia de Minas Buenaventura SAA | |
| | | |
5.50% (1) | | | 07/23/26 | | | | 35,358,000 | | | | 35,060,993 | |
|
Nexa Resources S.A. | |
| | | |
5.38% (2) | | | 05/04/27 | | | | 12,938,000 | | | | 13,763,056 | |
| | | |
6.50% (2) | | | 01/18/28 | | | | 11,686,000 | | | | 13,008,855 | |
|
Peruvian Government International Bond | |
| | | |
2.78% | | | 01/23/31 | | | | 40,785,000 | | | | 40,638,174 | |
| | | |
3.00% | | | 01/15/34 | | | | 39,150,000 | | | | 38,817,225 | |
| | | |
3.30% | | | 03/11/41 | | | | 46,535,000 | | | | 45,852,332 | |
| | | |
3.55% | | | 03/10/51 | | | | 40,100,000 | | | | 40,438,243 | |
| | | | | | | | | | | | |
| | |
Total Peru | | | | | | | | | |
| | |
(Cost: $228,558,840) | | | | | | | | 227,578,878 | |
| | | | | | | | | | | | |
|
| Philippines — 1.2% | |
|
Philippine Government International Bond | |
| | | |
1.95% | | | 01/06/32 | | | | 45,765,000 | | | | 44,433,239 | |
| | | |
3.20% | | | 07/06/46 | | | | 40,105,000 | | | | 40,488,203 | |
| | | | | | | | | | | | |
| | |
Total Philippines | | | | | | | | | |
| | |
(Cost: $84,672,623) | | | | | | | | 84,921,442 | |
| | | | | | | | | | | | |
|
| Qatar — 3.7% | |
|
Qatar Government International Bond | |
| | | |
3.75% (1) | | | 04/16/30 | | | | 46,369,000 | | | | 51,835,905 | |
|
Qatar Petroleum | |
| | | |
2.25% (1) | | | 07/12/31 | | | | 107,350,000 | | | | 106,008,125 | |
| | | |
3.13% (1) | | | 07/12/41 | | | | 45,715,000 | | | | 46,336,724 | |
| | | |
3.30% (1) | | | 07/12/51 | | | | 60,585,000 | | | | 61,911,812 | |
| | | | | | | | | | | | |
| | |
Total Qatar | | | | | | | | | |
| | |
(Cost: $266,124,747) | | | | | | | | 266,092,566 | |
| | | | | | | | | | | | |
|
| Romania — 1.0% (Cost: $73,102,717) | |
|
Romanian Government International Bond | |
| | | |
3.00% (1) | | | 02/14/31 | | | | 72,714,000 | | | | 73,284,260 | |
| | | | | | | | | | | | |
|
| Saudi Arabia — 3.9% | |
|
Saudi Government International Bond | |
| | | |
2.25% (1) | | | 02/02/33 | | | | 170,448,000 | | | | 164,771,911 | |
| | | |
2.75% (2) | | | 02/03/32 | | | | 37,475,000 | | | | 38,294,766 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Saudi Arabia (Continued) | |
| | | |
3.75% (2) | | | 01/21/55 | | | $ | 76,907,000 | | | $ | 80,752,350 | |
| | | | | | | | | | | | |
| | |
Total Saudi Arabia | | | | | | | | | |
| | |
(Cost: $284,251,362) | | | | | | | | 283,819,027 | |
| | | | | | | | | | | | |
|
| Senegal — 0.5% (Cost: $36,652,862) | |
|
Senegal Government International Bond | |
| | | |
5.38% (1) | | | 06/08/37 | | | EUR | 30,005,000 | | | | 33,464,549 | |
| | | | | | | | | | | | |
|
| South Africa — 3.1% | |
|
Eskom Holdings SOC, Ltd. | |
| | | |
6.35% (2) | | | 08/10/28 | | | $ | 11,450,000 | | | | 12,360,633 | |
| | | |
7.13% (2) | | | 02/11/25 | | | | 21,410,000 | | | | 22,328,489 | |
| | | |
8.45% (2) | | | 08/10/28 | | | | 24,828,000 | | | | 27,281,751 | |
|
Sasol Financing USA LLC | |
| | | |
5.50% | | | 03/18/31 | | | | 36,750,000 | | | | 37,848,825 | |
|
South Africa Government Bond | |
| | | |
5.75% | | | 09/30/49 | | | | 62,150,000 | | | | 59,359,465 | |
| | | |
8.88% | | | 02/28/35 | | | ZAR | 1,197,000,000 | | | | 69,504,750 | |
| | | | | | | | | | | | |
| | |
Total South Africa | | | | | | | | | |
| | |
(Cost: $238,320,345) | | | | | | | | 228,683,913 | |
| | | | | | | | | | | | |
|
| Sri Lanka — 0.4% | |
|
Sri Lanka Government Bond | |
| | | |
6.75% (2) | | | 04/18/28 | | | $ | 36,568,000 | | | | 23,074,042 | |
|
Sri Lanka Government International Bond | |
| | | |
6.20% (2) | | | 05/11/27 | | | | 14,675,000 | | | | 9,299,548 | |
| | | | | | | | | | | | |
| | |
Total Sri Lanka | | | | | | | | | |
| | |
(Cost: $36,927,349) | | | | | | | | 32,373,590 | |
| | | | | | | | | | | | |
|
| Thailand — 0.6% | |
|
Bangkok Bank PCL | |
| | | |
5.00% (U.S. 5-year Treasury Constant Maturity Rate + 4.729%) (1)(3)(4) | | | 09/23/25 | | | | 21,255,000 | | | | 22,009,553 | |
|
Krung Thai Bank PCL | |
| | | |
4.40% (U.S. 5-year Treasury Constant Maturity Rate + 3.530%) (2)(3)(4) | | | 03/25/26 | | | | 20,757,000 | | | | 20,734,167 | |
| | | | | | | | | | | | |
| | |
Total Thailand | | | | | | | | | |
| | |
(Cost: $42,217,603) | | | | | | | | 42,743,720 | |
| | | | | | | | | | | | |
|
| Turkey — 2.6% | |
|
Akbank TAS | |
| | | |
6.80% (USD 5-year Swap rate + 6.015%) (1)(3) | | | 06/22/31 | | | | 22,537,000 | | | | 21,952,447 | |
|
Turkey Government International Bond | |
| | | |
4.75% | | | 01/26/26 | | | | 55,170,000 | | | | 52,991,337 | |
See accompanying Notes to Financial Statements.
19
TCW Emerging Markets Income Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Turkey (Continued) | |
| | | |
4.88% | | | 10/09/26 | | | $ | 75,960,000 | | | $ | 72,291,132 | |
| | | |
5.88% | | | 06/26/31 | | | | 24,215,000 | | | | 22,524,793 | |
| | | |
6.13% | | | 10/24/28 | | | | 21,456,000 | | | | 21,088,512 | |
| | | | | | | | | | | | |
| | |
Total Turkey | | | | | | | | | |
| | |
(Cost: $194,272,147) | | | | | | | | 190,848,221 | |
| | | | | | | | | | | | |
|
| Ukraine — 4.1% | |
|
Metinvest B.V. | |
| | | |
7.75% (2) | | | 10/17/29 | | | | 14,650,000 | | | | 15,991,940 | |
|
Ukraine Government International Bond | |
| | | |
0.00% (2)(6) | | | 05/31/40 | | | | 86,205,000 | | | | 91,329,241 | |
| | | |
7.25% (2) | | | 03/15/33 | | | | 67,378,000 | | | | 68,786,874 | |
| | | |
7.38% (2) | | | 09/25/32 | | | | 40,525,000 | | | | 41,773,170 | |
| | | |
7.75% (2) | | | 09/01/27 | | | | 71,181,000 | | | | 76,797,181 | |
| | | | | | | | | | | | |
| | |
Total Ukraine | | | | | | | | | |
| | |
(Cost: $275,286,510) | | | | | | | | 294,678,406 | |
| | | | | | | | | | | | |
|
| United Arab Emirates — 3.1% | |
|
Abu Dhabi Government International Bond | |
| | | |
1.63% (2) | | | 06/02/28 | | | | 56,050,000 | | | | 55,337,100 | |
|
DP World Salaam | |
| | | |
6.00% (U.S. 5-year Treasury Constant Maturity Rate + 5.750%) (2)(3)(4) | | | 10/01/25 | | | | 30,724,000 | | | | 33,646,928 | |
|
Galaxy Pipeline Assets Bidco, Ltd. | |
| | | |
2.63% (1) | | | 03/31/36 | | | | 82,565,000 | | | | 80,699,031 | |
| | | |
2.94% (1) | | | 09/30/40 | | | | 31,115,000 | | | | 30,656,789 | |
|
UAE International Government Bond | |
| | | |
2.88% (1) | | | 10/19/41 | | | | 28,750,000 | | | | 28,408,594 | |
| | | | | | | | | | | | |
| | |
Total United Arab Emirates | | | | | | | | | |
| | |
(Cost: $228,247,616) | | | | | | | | 228,748,442 | |
| | | | | | | | | | | | |
|
| Uruguay — 1.2% | |
|
Uruguay Government International Bond | |
| | | |
4.38% | | | 01/23/31 | | | | 36,488,034 | | | | 42,232,345 | |
| | | |
4.98% | | | 04/20/55 | | | | 35,449,527 | | | | 45,584,547 | |
| | | | | | | | | | | | |
| | |
Total Uruguay | | | | | | | | | |
| | |
(Cost: $77,795,008) | | | | | | | | 87,816,892 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Venezuela — 0.2% | |
|
Venezuela Government International Bond | |
| | | |
8.25% (2)(5)(7) | | | 10/13/24 | | | $ | 60,057,200 | | | $ | 6,306,006 | |
| | | |
9.25% (5)(7) | | | 09/15/27 | | | | 60,955,000 | | | | 6,400,275 | |
| | | |
9.25% (2)(5)(7) | | | 05/07/28 | | | | 49,048,000 | | | | 5,211,350 | |
| | | | | | | | | | | | |
| | |
Total Venezuela | | | | | | | | | |
| | |
(Cost: $55,533,009) | | | | | | | | 17,917,631 | |
| | | | | | | | | | | | |
|
| Vietnam — 0.3% (Cost: $18,446,275) | |
|
Mong Duong Finance Holdings B.V. | |
| | | |
5.13% (1) | | | 05/07/29 | | | | 18,720,000 | | | | 18,673,060 | |
| | | | | | | | | | | | |
|
| Zambia — 0.5% | |
|
Zambia Government International Bond | |
| | | |
5.38% (2) | | | 09/20/22 | | | | 33,775,000 | | | | 25,520,390 | |
| | | |
8.97% (2) | | | 07/30/27 | | | | 17,400,000 | | | | 13,765,140 | |
| | | | | | | | | | | | |
| | |
Total Zambia | | | | | | | | | |
| | |
(Cost: $37,992,288) | | | | | | | | 39,285,530 | |
| | | | | | | | | | | | |
| | |
Total Fixed Income Securities | | | | | | | | | |
| | |
(Cost: $7,171,422,522) | | | | | | | | 7,036,599,785 | |
| | | | | | | | | | | | |
|
| MONEY MARKET INVESTMENTS (3.3% ) | |
| | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (8) | | | | 241,246,515 | | | | 241,246,515 | |
| | | | | | | | | |
| |
Total Money Market Investments | | | | | |
| | |
(Cost: $241,246,515) | | | | | | | | 241,246,515 | |
| | | | | |
| |
Total Investments (100.2%) | | | | | |
| | |
(Cost: $7,412,669,037) | | | | | | | | 7,277,846,300 | |
| |
| Liabilities in Excess of Other Assets (-0.2%) | | | (14,367,379) | |
| | | | | |
| |
| Total Net Assets (100.0%) | | | $7,263,478,921 | |
| | | | | |
See accompanying Notes to Financial Statements.
20
TCW Emerging Markets Income Fund
October 31, 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 (9) | | | | | | | | | | | | | | | |
BNP Paribas S.A. | | | ZAR | | | | 331,839,935 | | | | 01/21/22 | | | $ | 21,871,000 | | | $ | 21,609,677 | | | $ | (261,323 | ) |
Goldman Sachs & Co. | | | ZAR | | | | 191,125,950 | | | | 01/21/22 | | | | 12,435,000 | | | | 12,446,272 | | | | 11,272 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 34,306,000 | | | $ | 34,055,949 | | | $ | (250,051 | ) |
| | | | | | | | | | | | | | | | | | | | |
| SELL (10) | | | | | | | | | | | | | | | |
Citibank N.A. | | | ZAR | | | | 1,075,998,100 | | | | 01/21/22 | | | $ | 73,000,000 | | | $ | 70,069,842 | | | $ | 2,930,158 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Futures Contracts | |
| | | | | |
Number of
Contracts | | Type | | Expiration
Date | | | Notional | | | Market
Value | | | Net Unrealized
Appreciation
(Depreciation) | |
Short Futures | |
| 497 | | U.S. Ultra Long Bond Futures | | | 12/21/21 | | | $ | (80,707,062 | ) | | $ | (79,939,344 | ) | | $ | 767,718 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Credit Default Swaps — Buy Protection | |
Notional
Amount (11) | | | Expiration
Date | | | Counterparty | | Reference Entity | | Fixed
Deal
Pay Rate | | | Payment
Frequency | | Unrealized
Appreciation
(Depreciation) | | | Premium
Paid
(Received) | | | Value (12) | |
| | OTC Swaps | |
| $ | 85,900,000 | | | | 12/20/26 | | | Morgan Stanley & Co. | | Chile Government International Bond 3.24 02/06/2028 | | | 1.0 | % | | Quarterly | | $ | 597,414 | | | | $(1,052,770) | | | | $(455,356) | |
| | 61,385,000 | | | | 12/20/26 | | | Barclays Capital Inc. | | Federal Republic of Brazil
4.25 01/07/2025 | | | 1.0 | % | | Quarterly | | | 1,383,649 | | | | 2,868,281 | | | | 4,251,930 | |
| | 43,375,000 | | | | 12/20/26 | | | Goldman Sachs International | | United Mexican States
4.15 03/28/2027 | | | 1.0 | % | | Quarterly | | | 152,772 | | | | (68,165) | | | | 84,607 | |
| | 115,375,000 | | | | 12/20/26 | | | Barclays Capital Inc. | | United Mexican States
4.15 03/28/2027 | | | 1.0 | % | | Quarterly | | | 473,775 | | | | (248,724) | | | | 225,051 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 2,607,610 | | | | $ 1,498,622 | | | | $ 4,106,232 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
21
TCW Emerging Markets Income Fund
Schedule of Investments (Continued)
Notes to the Schedule of Investments:
| (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 October 31, 2021, the value of these securities amounted to $3,406,088,554 or 46.9% 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 October 31, 2021, the value of these securities amounted to $1,878,338,330 or 25.9% of net assets. |
| (3) | | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 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. |
| (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) | | Rate disclosed is the 7-day net yield as of October 31, 2021. |
| (9) | | Fund sells foreign currency, buys U.S. Dollar. |
| (10) | | Fund buys foreign currency, sells U.S. Dollar. |
| (11) | | The value of a credit default swap agreement serves as an indicator of the current status of the payments/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing 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. |
| (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. |
See accompanying Notes to Financial Statements.
22
TCW Emerging Markets Income Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Auto Parts & Equipment | | | 0.4 | % |
Banks | | | 2.3 | |
Building Materials | | | 0.7 | |
Chemicals | | | 1.8 | |
Commercial Services | | | 0.5 | |
Electric | | | 3.4 | |
Engineering & Construction | | | 0.4 | |
Foreign Government Bonds | | | 66.4 | |
Iron & Steel | | | 1.1 | |
Media | | | 0.2 | |
Mining | | | 2.8 | |
Oil & Gas | | | 13.2 | |
Pipelines | | | 2.0 | |
Real Estate | | | 0.1 | |
Telecommunications | | | 0.7 | |
Transportation | | | 0.9 | |
Money Market Investments | | | 3.3 | |
| | | | |
Total | | | 100.2 | % |
| | | | |
See accompanying Notes to Financial Statements.
23
TCW Emerging Markets Income Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | | | | | | | | | | | | | | | |
Auto Parts & Equipment | | $ | — | | | $ | 27,988,214 | | | $ | — | | | $ | 27,988,214 | |
Banks | | | — | | | | 163,756,820 | | | | — | | | | 163,756,820 | |
Building Materials | | | — | | | | 49,941,646 | | | | — | | | | 49,941,646 | |
Chemicals | | | — | | | | 132,594,219 | | | | — | | | | 132,594,219 | |
Commercial Services | | | — | | | | 33,646,928 | | | | — | | | | 33,646,928 | |
Electric | | | — | | | | 246,852,452 | | | | — | | | | 246,852,452 | |
Engineering & Construction | | | — | | | | 29,034,085 | | | | — | | | | 29,034,085 | |
Foreign Government Bonds | | | — | | | | 4,802,002,374 | | | | 17,917,631 | | | | 4,819,920,005 | |
Iron & Steel | | | — | | | | 77,435,800 | | | | — | | | | 77,435,800 | |
Media | | | — | | | | 16,651,826 | | | | — | | | | 16,651,826 | |
Mining | | | — | | | | 207,215,659 | | | | — | | | | 207,215,659 | |
Oil & Gas | | | — | | | | 955,547,264 | | | | — | | | | 955,547,264 | |
Pipelines | | | — | | | | 147,809,152 | | | | — | | | | 147,809,152 | |
Real Estate | | | — | | | | 8,726,656 | | | | — | | | | 8,726,656 | |
Telecommunications | | | — | | | | 51,028,656 | | | | — | | | | 51,028,656 | |
Transportation | | | — | | | | 68,450,403 | | | | — | | | | 68,450,403 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income Securities | | | — | | | | 7,018,682,154 | | | | 17,917,631 | | | | 7,036,599,785 | |
Money Market Investments | | | 241,246,515 | | | | — | | | | — | | | | 241,246,515 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 241,246,515 | | | $ | 7,018,682,154 | | | $ | 17,917,631 | | | $ | 7,277,846,300 | |
| | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | | | | | | | | | | | | |
Forward Currency Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | | — | | | | 2,941,430 | | | | — | | | | 2,941,430 | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | 767,718 | | | | — | | | | — | | | | 767,718 | |
Swap Agreements | | | | | | | | | | | | | | | | |
Credit Risk | | | — | | | | 4,561,588 | | | | — | | | | 4,561,588 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 242,014,233 | | | $ | 7,026,185,172 | | | $ | 17,917,631 | | | $ | 7,286,117,036 | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Forward Currency Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | $ | — | | | $ | (261,323 | ) | | $ | — | | | $ | (261,323 | ) |
Swap Agreements | | | | | | | | | | | | | | | | |
Credit Risk | | | — | | | | (455,356 | ) | | | — | | | | (455,356 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | (716,679 | ) | | $ | — | | | $ | (716,679 | ) |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
24
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments | October 31, 2021 |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
FIXED INCOME SECURITIES — 95.9% of Net Assets | |
|
| Brazil — 8.8% | |
| |
Brazil Letras do Tesouro Nacional Bills | | | | | |
| | | |
0.00% (1) | | | 01/01/23 | | | BRL | 31,865,000 | | | $ | 4,956,627 | |
| |
Brazil Notas do Tesouro Nacional, Series F | | | | | |
| | | |
10.00% | | | 01/01/23 | | | BRL | 70,954,000 | | | | 12,316,555 | |
| | | |
10.00% | | | 01/01/25 | | | BRL | 22,913,000 | | | | 3,848,427 | |
| | | | | | | | | | | | |
| | | |
Total Brazil | | | | | | | | | | | | |
| | |
(Cost: $23,758,621) | | | | | | | | 21,121,609 | |
| | | | | | | | | | | | |
|
| Chile — 1.4% | |
| |
Bonos de la Tesoreria de la Republica | | | | | |
| | | |
1.50% | | | 03/01/26 | | | CLP | 895,536,220 | | | | 1,077,981 | |
| | | |
2.00% | | | 03/01/35 | | | CLP | 106,250,060 | | | | 118,852 | |
| |
Bonos de la Tesoreria de la Republica en pesos | | | | | |
| | | |
2.50% | | | 03/01/25 | | | CLP | 245,000,000 | | | | 274,600 | |
| | | |
4.70% (2)(3) | | | 09/01/30 | | | CLP | 345,000,000 | | | | 387,528 | |
| | | |
5.00% | | | 03/01/35 | | | CLP | 295,000,000 | | | | 322,731 | |
| | | |
5.00% (2)(3) | | | 10/01/28 | | | CLP | 1,090,000,000 | | | | 1,268,321 | |
| | | | | | | | | | | | |
| | | |
Total Chile | | | | | | | | | | | | |
| | |
(Cost: $4,203,361) | | | | | | | | 3,450,013 | |
| | | | | | | | | | | | |
|
| China — 9.5% | |
| |
Agricultural Development Bank of China | | | | | |
| | | |
2.25% | | | 04/22/25 | | | CNY | 34,500,000 | | | | 5,254,185 | |
| |
China Development Bank | | | | | |
| | | |
3.23% | | | 01/10/25 | | | CNY | 33,990,000 | | | | 5,360,382 | |
| | | |
4.88% | | | 02/09/28 | | | CNY | 7,450,000 | | | | 1,269,480 | |
| |
China Government Bond | | | | | |
| | | |
2.85% | | | 06/04/27 | | | CNY | 17,400,000 | | | | 2,711,170 | |
| | | |
3.27% | | | 11/19/30 | | | CNY | 41,490,000 | | | | 6,622,567 | |
| | | |
3.28% | | | 12/03/27 | | | CNY | 9,600,000 | | | | 1,533,726 | |
| | | | | | | | | | | | |
| | | |
Total China | | | | | | | | | | | | |
| | |
(Cost: $22,007,875) | | | | | | | | 22,751,510 | |
| | | | | | | | | | | | |
|
| Colombia — 4.4% | |
| |
Colombian TES (Treasury) Bond, Series B | | | | | |
| | | |
6.00% | | | 04/28/28 | | | COP | 4,024,400,000 | | | | 972,964 | |
| | | |
6.25% | | | 11/26/25 | | | COP | 8,089,300,000 | | | | 2,085,531 | |
| | | |
7.00% | | | 06/30/32 | | | COP | 9,611,900,000 | | | | 2,338,985 | |
| | | |
7.50% | | | 08/26/26 | | | COP | 14,720,600,000 | | | | 3,928,995 | |
| |
Empresas Publicas de Medellin ESP | | | | | |
| | | |
8.38% (3) | | | 11/08/27 | | | COP | 5,000,000,000 | | | | 1,253,297 | |
| | | | | | | | | | | | |
| | | |
Total Colombia | | | | | | | | | | | | |
| | |
(Cost: $11,686,342) | | | | | | | | 10,579,772 | |
| | | | | | | | | | | | |
|
| Czech Republic — 3.8% | |
| |
Czech Republic Government Bond | | | | | |
| | | |
0.95% (2) | | | 05/15/30 | | | CZK | 20,380,000 | | | | 797,841 | |
| | | |
1.00% (2) | | | 06/26/26 | | | CZK | 92,530,000 | | | | 3,848,056 | |
| | | |
2.00% | | | 10/13/33 | | | CZK | 59,280,000 | | | | 2,496,057 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Czech Republic (Continued) | |
| | | |
2.40% (2) | | | 09/17/25 | | | CZK | 25,000,000 | | | $ | 1,110,511 | |
| | | |
2.50% (2) | | | 08/25/28 | | | CZK | 19,370,000 | | | | 860,555 | |
| | | | | | | | | | | | |
| | | |
Total Czech Republic | | | | | | | | | | | | |
| | |
(Cost: $9,962,458) | | | | | | | | 9,113,020 | |
| | | | | | | | | | | | |
|
| Egypt — 2.4% | |
|
Egypt Government Bond | |
| | | |
14.06% | | | 01/12/26 | | | EGP | 46,024,000 | | | | 2,884,849 | |
| | | |
14.48% | | | 04/06/26 | | | EGP | 43,200,000 | | | | 2,744,113 | |
| | | | | | | | | | | | |
| | | |
Total Egypt | | | | | | | | | | | | |
| | |
(Cost: $5,686,550) | | | | | | | | 5,628,962 | |
| | | | | | | | | | | | |
|
| Hungary — 3.8% | |
| |
Hungary Government Bond | | | | | |
| | | |
1.00% | | | 11/26/25 | | | HUF | 623,520,000 | | | | 1,860,938 | |
| | | |
1.50% | | | 08/23/23 | | | HUF | 535,590,000 | | | | 1,716,910 | |
| | | |
2.75% | | | 12/22/26 | | | HUF | 365,000,000 | | | | 1,141,186 | |
| | | |
3.00% | | | 10/27/27 | | | HUF | 520,940,000 | | | | 1,631,067 | |
| | | |
3.00% | | | 10/27/38 | | | HUF | 108,420,000 | | | | 297,439 | |
| | | |
3.25% | | | 10/22/31 | | | HUF | 435,450,000 | | | | 1,337,856 | |
| | | |
6.00% | | | 11/24/23 | | | HUF | 281,930,000 | | | | 980,382 | |
| | | | | | | | | | | | |
| | | |
Total Hungary | | | | | | | | | | | | |
| | |
(Cost: $9,918,979) | | | | | | | | 8,965,778 | |
| | | | | | | | | | | | |
|
| Indonesia — 10.1% | |
| |
Indonesia Treasury Bond | | | | | |
| | | |
6.13% | | | 05/15/28 | | | IDR | 21,800,000,000 | | | | 1,575,662 | |
| | | |
6.50% | | | 06/15/25 | | | IDR | 24,183,000,000 | | | | 1,799,963 | |
| | | |
6.50% | | | 02/15/31 | | | IDR | 33,630,000,000 | | | | 2,427,152 | |
| | | |
6.63% | | | 05/15/33 | | | IDR | 3,330,000,000 | | | | 236,808 | |
| | | |
7.00% | | | 09/15/30 | | | IDR | 16,343,000,000 | | | | 1,215,848 | |
| | | |
7.50% | | | 08/15/32 | | | IDR | 48,226,000,000 | | | | 3,655,883 | |
| | | |
7.50% | | | 06/15/35 | | | IDR | 37,870,000,000 | | | | 2,832,064 | |
| | | |
7.50% | | | 05/15/38 | | | IDR | 2,100,000,000 | | | | 155,267 | |
| | | |
8.38% | | | 03/15/24 | | | IDR | 26,383,000,000 | | | | 2,035,406 | |
| | | |
8.38% | | | 09/15/26 | | | IDR | 35,554,000,000 | | | | 2,844,571 | |
| | | |
8.38% | | | 03/15/34 | | | IDR | 21,033,000,000 | | | | 1,679,819 | |
| | | |
9.00% | | | 03/15/29 | | | IDR | 45,392,000,000 | | | | 3,751,829 | |
| | | | | | | | | | | | |
| | | |
Total Indonesia | | | | | | | | | | | | |
| | |
(Cost: $22,199,310) | | | | | | | | 24,210,272 | |
| | | | | | | | | | | | |
|
| Kazakhstan — 0.5% (Cost: $1,057,798) | |
| |
Development Bank of Kazakhstan | | | | | |
| | | |
10.95% (3) | | | 05/06/26 | | | KZT | 455,000,000 | | | | 1,071,269 | |
| | | | | | | | | | | | |
|
| Malaysia — 5.9% | |
| |
Malaysia Government Bond | | | | | |
| | | |
3.48% | | | 03/15/23 | | | MYR | 2,840,000 | | | | 697,107 | |
| | | |
3.76% | | | 05/22/40 | | | MYR | 3,750,000 | | | | 853,091 | |
| | | |
3.89% | | | 08/15/29 | | | MYR | 6,750,000 | | | | 1,658,567 | |
| | | |
3.90% | | | 11/16/27 | | | MYR | 18,090,000 | | | | 4,488,591 | |
See accompanying Notes to Financial Statements.
25
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Malaysia (Continued) | |
| | | |
3.90% | | | 11/30/26 | | | MYR | 4,400,000 | | | $ | 1,097,135 | |
| | | |
3.96% | | | 09/15/25 | | | MYR | 10,750,000 | | | | 2,686,770 | |
| | | |
4.18% | | | 07/15/24 | | | MYR | 5,630,000 | | | | 1,410,831 | |
| |
Malaysia Government Investment Issue | | | | | |
| | | |
3.47% | | | 10/15/30 | | | MYR | 5,670,000 | | | | 1,343,493 | |
| | | | | | | | | | | | |
| | | |
Total Malaysia | | | | | | | | | | | | |
| | |
(Cost: $14,402,082) | | | | | | | | 14,235,585 | |
| | | | | | | | | | | | |
|
| Mexico — 10.1% | |
| |
Mexico Government Bond (BONOS) | | | | | |
| | | |
5.75% | | | 03/05/26 | | | MXN | 53,599,600 | | | | 2,463,812 | |
| | | |
6.50% | | | 06/09/22 | | | MXN | 23,090,200 | | | | 1,127,682 | |
| | | |
7.50% | | | 06/03/27 | | | MXN | 85,416,800 | | | | 4,174,168 | |
| | | |
7.75% | | | 05/29/31 | | | MXN | 68,676,400 | | | | 3,390,193 | |
| | | |
8.50% | | | 05/31/29 | | | MXN | 75,630,000 | | | | 3,897,285 | |
| | | |
8.50% | | | 11/18/38 | | | MXN | 53,299,900 | | | | 2,739,686 | |
| | | |
10.00% | | | 12/05/24 | | | MXN | 101,676,000 | | | | 5,354,657 | |
| | | |
10.00% | | | 11/20/36 | | | MXN | 16,200,000 | | | | 948,673 | |
| | | | | | | | | | | | |
| | | |
Total Mexico | | | | | | | | | | | | |
| | |
(Cost: $25,891,100) | | | | | | | | 24,096,156 | |
| | | | | | | | | | | | |
|
| Peru — 2.0% | |
| |
Peruvian Government International Bond | | | | | |
| | | |
5.94% | | | 02/12/29 | | | PEN | 1,570,000 | | | | 406,989 | |
| | | |
6.15% | | | 08/12/32 | | | PEN | 6,631,000 | | | | 1,687,636 | |
| | | |
6.35% (2) | | | 08/12/28 | | | PEN | 5,280,000 | | | | 1,406,269 | |
| | | |
6.95% (2) | | | 08/12/31 | | | PEN | 5,036,000 | | | | 1,368,573 | |
| | | | | | | | | | | | |
| | | |
Total Peru | | | | | | | | | | | | |
| | |
(Cost: $5,912,368) | | | | | | | | 4,869,467 | |
| | | | | | | | | | | | |
|
| Poland — 5.4% | |
| |
Republic of Poland Government Bond | | | | | |
| | | |
1.25% | | | 10/25/30 | | | PLN | 16,840,000 | | | | 3,737,473 | |
| | | |
2.50% | | | 04/25/24 | | | PLN | 9,332,000 | | | | 2,366,327 | |
| | | |
2.50% | | | 07/25/26 | | | PLN | 9,060,000 | | | | 2,293,334 | |
| | | |
2.50% | | | 07/25/27 | | | PLN | 7,350,000 | | | | 1,852,690 | |
| | | |
2.75% | | | 10/25/29 | | | PLN | 6,130,000 | | | | 1,550,394 | |
| | | |
4.00% | | | 10/25/23 | | | PLN | 4,500,000 | | | | 1,172,902 | |
| | | | | | | | | | | | |
| | | |
Total Poland | | | | | | | | | | | | |
| | |
(Cost: $14,123,447) | | | | | | | | 12,973,120 | |
| | | | | | | | | | | | |
|
| Romania — 3.4% | |
| |
Romania Government Bond | | | | | |
| | | |
3.25% | | | 06/24/26 | | | RON | 4,800,000 | | | | 1,065,584 | |
| | | |
3.25% | | | 04/29/24 | | | RON | 13,820,000 | | | | 3,177,909 | |
| | | |
3.65% | | | 07/28/25 | | | RON | 1,045,000 | | | | 238,906 | |
| | | |
4.25% | | | 06/28/23 | | | RON | 2,255,000 | | | | 531,261 | |
| | | |
4.75% | | | 02/24/25 | | | RON | 3,110,000 | | | | 737,292 | |
| | | |
5.00% | | | 02/12/29 | | | RON | 4,070,000 | | | | 965,903 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Romania (Continued) | |
| | | |
5.85% | | | 04/26/23 | | | RON | 6,340,000 | | | $ | 1,527,007 | |
| | | | | | | | | | | | |
| | | |
Total Romania | | | | | | | | | | | | |
| | |
(Cost: $8,505,483) | | | | | | | | 8,243,862 | |
| | | | | | | | | | | | |
|
| Russia — 7.3% | |
| |
Russian Federal Bond — OFZ | | | | | |
| | | |
4.50% | | | 07/16/25 | | | RUB | 375,200,000 | | | | 4,666,124 | |
| | | |
6.00% | | | 10/06/27 | | | RUB | 231,600,000 | | | | 2,937,378 | |
| | | |
7.40% | | | 12/07/22 | | | RUB | 241,400,000 | | | | 3,373,621 | |
| | | |
7.65% | | | 04/10/30 | | | RUB | 185,146,000 | | | | 2,547,800 | |
| | | |
7.70% | | | 03/23/33 | | | RUB | 209,400,000 | | | | 2,888,938 | |
| | | |
7.70% | | | 03/16/39 | | | RUB | 77,300,000 | | | | 1,061,331 | |
| | | | | | | | | | | | |
| | | |
Total Russia | | | | | | | | | | | | |
| | |
(Cost: $17,789,502) | | | | | | | | 17,475,192 | |
| | | | | | | | | | | | |
|
| Serbia — 0.3% (Cost: $733,028) | |
| |
Serbia Treasury Bond | | | | | |
| | | |
4.50% | | | 08/20/32 | | | RSD | 69,840,000 | | | | 714,903 | |
| | | | | | | | | | | | |
|
| South Africa — 9.9% | |
| |
South Africa Government Bond | | | | | |
| | | |
6.25% | | | 03/31/36 | | | ZAR | 74,577,526 | | | | 3,373,821 | |
| | | |
7.00% | | | 02/28/31 | | | ZAR | 43,100,000 | | | | 2,334,205 | |
| | | |
8.00% | | | 01/31/30 | | | ZAR | 146,300,000 | | | | 8,743,350 | |
| | | |
8.25% | | | 03/31/32 | | | ZAR | 91,635,000 | | | | 5,290,132 | |
| | | |
8.50% | | | 01/31/37 | | | ZAR | 73,436,941 | | | | 4,021,416 | |
| | | | | | | | | | | | |
| | | |
Total South Africa | | | | | | | | | | | | |
| | |
(Cost: $23,133,372) | | | | | | | | 23,762,924 | |
| | | | | | | | | | | | |
|
| Thailand — 5.9% | |
| |
Thailand Government Bond | | | | | |
| | | |
0.75% | | | 06/17/24 | | | THB | 15,100,000 | | | | 454,319 | |
| | | |
1.59% | | | 12/17/35 | | | THB | 34,500,000 | | | | 933,378 | |
| | | |
1.60% | | | 12/17/29 | | | THB | 78,500,000 | | | | 2,347,763 | |
| | | |
2.00% | | | 12/17/31 | | | THB | 103,673,000 | | | | 3,128,384 | |
| | | |
2.13% | | | 12/17/26 | | | THB | 17,700,000 | | | | 557,503 | |
| | | |
2.88% | | | 12/17/28 | | | THB | 119,372,000 | | | | 3,923,906 | |
| | | |
3.30% | | | 06/17/38 | | | THB | 80,656,000 | | | | 2,651,637 | |
| | | | | | | | | | | | |
| | | |
Total Thailand | | | | | | | | | | | | |
| | |
(Cost: $14,812,747) | | | | | | | | 13,996,890 | |
| | | | | | | | | | | | |
|
| Ukraine — 0.5% (Cost: $1,257,444) | |
| |
Ukraine Government International Bond | | | | | |
| | | |
15.84% (2) | | | 02/26/25 | | | UAH | 30,894,000 | | | | 1,284,899 | |
| | | | | | | | | | | | |
|
| Uruguay — 0.5% (Cost: $1,279,190) | |
| |
Uruguay Government International Bond | | | | | |
| | | |
3.88% | | | 07/02/40 | | | UYU | 49,717,140 | | | | 1,279,346 | |
| | | | | | | | | | | | |
| |
Total Fixed Income Securities | | | | | |
| | |
(Cost: $238,321,057) | | | | | | | | 229,824,549 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
26
TCW Emerging Markets Local Currency Income Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | | | |
Shares | | | Value | |
|
| MONEY MARKET INVESTMENTS — 0.7% | |
| | | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (4) | | | | | | | 1,742,697 | | | $ | 1,742,697 | |
| | | | | | | | | | | | |
| |
Total Money Market Investments | | | | | |
| | |
(Cost: $1,742,697) | | | | | | | | 1,742,697 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
SHORT-TERM INVESTMENTS — 0.8% | |
|
FOREIGN GOVERNMENT BONDS — (0.8% ) | |
|
| Egypt — 0.8% (Cost: $1,886,746) | |
| |
Egypt Treasury Bills | | | | | |
| | | |
0.00% (1) | | | 12/07/21 | | | EGP | 30,000,000 | | | $ | 1,886,124 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
| |
(Cost: $1,886,746) | | | | 1,886,124 | |
| | | | | | | | | | | | |
| | |
Total Investments (97.4%) | | | | | | | | | |
| |
(Cost: $241,950,500) | | | | 233,453,370 | |
| |
Excess of Other Assets Over Liabilities (2.6%) | | | | 6,111,955 | |
| | | | | | | | | | | | |
| |
Total Net Assets (100.0%) | | | $ | 239,565,325 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| 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. | | | CLP | | | | 510,012,000 | | | | 01/31/22 | | | $ | 627,090 | | | $ | 621,901 | | | $ | (5,189 | ) |
Bank of America, N.A. | | | PLN | | | | 41,391,935 | | | | 12/01/21 | | | | 10,786,158 | | | | 10,376,322 | | | | (409,836 | ) |
Bank of America, N.A. | | | RUB | | | | 88,045,755 | | | | 01/13/22 | | | | 1,211,000 | | | | 1,222,790 | | | | 11,790 | |
Barclays Capital | | | CZK | | | | 13,952,250 | | | | 11/04/21 | | | | 650,000 | | | | 628,936 | | | | (21,064 | ) |
Barclays Capital | | | EUR | | | | 2,093,564 | | | | 01/04/22 | | | | 2,424,061 | | | | 2,426,937 | | | | 2,876 | |
Barclays Capital | | | MYR | | | | 29,669,735 | | | | 11/19/21 | | | | 6,958,072 | | | | 7,159,248 | | | | 201,176 | |
Barclays Capital | | | RUB | | | | 87,470,900 | | | | 01/13/22 | | | | 1,210,000 | | | | 1,214,807 | | | | 4,807 | |
Barclays Capital | | | THB | | | | 384,833,788 | | | | 12/01/21 | | | | 11,774,000 | | | | 11,594,285 | | | | (179,715 | ) |
Barclays Capital | | | TRY | | | | 31,348,800 | | | | 03/29/22 | | | | 3,110,000 | | | | 3,024,269 | | | | (85,731 | ) |
BNP Paribas S.A. | | | BRL | | | | 3,485,684 | | | | 01/03/22 | | | | 604,000 | | | | 610,351 | | | | 6,351 | |
BNP Paribas S.A. | | | HUF | | | | 376,286,650 | | | | 11/04/21 | | | | 1,257,794 | | | | 1,209,951 | | | | (47,843 | ) |
BNP Paribas S.A. | | | IDR | | | | 16,307,031,000 | | | | 11/01/21 | | | | 1,113,175 | | | | 1,151,017 | | | | 37,842 | |
BNP Paribas S.A. | | | ZAR | | | | 11,012,229 | | | | 01/03/22 | | | | 727,480 | | | | 718,868 | | | | (8,612 | ) |
Citibank N.A. | | | IDR | | | | 12,576,499,000 | | | | 11/01/21 | | | | 885,731 | | | | 887,700 | | | | 1,969 | |
Citibank N.A. | | | RUB | | | | 180,372,825 | | | | 01/13/22 | | | | 2,430,000 | | | | 2,505,041 | | | | 75,041 | |
JPMorgan Chase Bank | | | BRL | | | | 3,109,453 | | | | 01/03/22 | | | | 557,000 | | | | 544,472 | | | | (12,528 | ) |
JPMorgan Chase Bank | | | HUF | | | | 755,837,658 | | | | 11/04/21 | | | | 2,514,430 | | | | 2,430,399 | | | | (84,031 | ) |
JPMorgan Chase Bank | | | IDR | | | | 38,079,900,000 | | | | 11/01/21 | | | | 2,610,000 | | | | 2,687,835 | | | | 77,835 | |
JPMorgan Chase Bank | | | TRY | | | | 12,855,229 | | | | 03/29/22 | | | | 1,320,720 | | | | 1,240,165 | | | | (80,555 | ) |
Morgan Stanley & Co. | | | CLP | | | | 401,103,000 | | | | 01/31/22 | | | | 492,634 | | | | 489,098 | | | | (3,536 | ) |
Morgan Stanley & Co. | | | CNH | | | | 10,414,836 | | | | 12/20/21 | | | | 1,597,000 | | | | 1,620,546 | | | | 23,546 | |
Morgan Stanley & Co. | | | IDR | | | | 17,102,140,000 | | | | 11/01/21 | | | | 1,204,461 | | | | 1,207,139 | | | | 2,678 | |
Morgan Stanley & Co. | | | PLN | | | | 10,588,320 | | | | 12/01/21 | | | | 2,736,000 | | | | 2,654,329 | | | | (81,671 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 58,800,806 | | | $ | 58,226,406 | | | $ | (574,400 | ) |
| | | | | | | | | | | | | |
| SELL (6) | | | | | | | | | | | | | | | |
Bank of America, N.A. | | | HUF | | | | 373,895,050 | | | | 11/04/21 | | | $ | 1,199,381 | | | $ | 1,202,261 | | | $ | (2,880 | ) |
Bank of America, N.A. | | | RUB | | | | 125,541,930 | | | | 01/13/22 | | | | 1,714,000 | | | | 1,743,542 | | | | (29,542 | ) |
Bank of America, N.A. | | | THB | | | | 72,536,041 | | | | 12/01/21 | | | | 2,171,608 | | | | 2,185,369 | | | | (13,761 | ) |
Bank of America, N.A. | | | TRY | | | | 13,648,028 | | | | 03/29/22 | | | | 1,357,000 | | | | 1,316,647 | | | | 40,353 | |
Bank of America, N.A. | | | ZAR | | | | 37,385,793 | | | | 01/03/22 | | | | 2,430,000 | | | | 2,440,509 | | | | (10,509 | ) |
Barclays Capital | | | EUR | | | | 2,093,564 | | | | 01/04/22 | | | | 2,430,000 | | | | 2,426,936 | | | | 3,064 | |
See accompanying Notes to Financial Statements.
27
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Currency Contracts (Continued) | |
| | | | | | |
| 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 | | | MYR | | | | 4,328,575 | | | | 11/19/21 | | | $ | 1,030,000 | | | $ | 1,044,477 | | | $ | (14,477 | ) |
BNP Paribas S.A. | | | HUF | | | | 758,229,258 | | | | 11/04/21 | | | | 2,434,123 | | | | 2,438,089 | | | | (3,966 | ) |
BNP Paribas S.A. | | | IDR | | | | 16,307,031,000 | | | | 11/01/21 | | | | 1,148,463 | | | | 1,151,016 | | | | (2,553 | ) |
BNP Paribas S.A. | | | PLN | | | | 17,430,434 | | | | 12/01/21 | | | | 4,475,311 | | | | 4,369,542 | | | | 105,769 | |
Citibank N.A. | | | IDR | | | | 12,576,499,000 | | | | 11/01/21 | | | | 863,000 | | | | 887,701 | | | | (24,701 | ) |
Goldman Sachs & Co. | | | THB | | | | 19,877,703 | | | | 12/01/21 | | | | 595,230 | | | | 598,876 | | | | (3,646 | ) |
JPMorgan Chase Bank | | | IDR | | | | 38,079,900,000 | | | | 11/01/21 | | | | 2,681,872 | | | | 2,687,835 | | | | (5,963 | ) |
JPMorgan Chase Bank | | | THB | | | | 61,583,815 | | | | 12/01/21 | | | | 1,851,915 | | | | 1,855,399 | | | | (3,484 | ) |
Morgan Stanley & Co. | | | BRL | | | | 19,595,402 | | | | 01/03/22 | | | | 3,547,000 | | | | 3,431,198 | | | | 115,802 | |
Morgan Stanley & Co. | | | IDR | | | | 17,102,140,000 | | | | 11/01/21 | | | | 1,210,000 | | | | 1,207,139 | | | | 2,861 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 31,138,903 | | | $ | 30,986,536 | | | $ | 152,367 | |
| | | | | | | | | | | | | |
Notes to the Schedule of Investments:
| CNH | | Chinese Yuan Renminbi. |
| (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 October 31, 2021, the value of these securities amounted to $12,341,359 or 5.2% 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 October 31, 2021, the value of these securities amounted to $3,989,221 or 1.7% 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 October 31, 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.
28
TCW Emerging Markets Local Currency Income Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Banks | | | 5.4 | % |
Electric | | | 0.5 | |
Foreign Government Bonds | | | 90.0 | |
Short-Term Investments | | | 0.8 | |
Money Market Investments | | | 0.7 | |
| | | | |
Total | | | 97.4 | % |
| | | | |
See accompanying Notes to Financial Statements.
29
TCW Emerging Markets Local Currency Income Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | $ | — | | | $ | 12,955,316 | | | $ | — | | | $ | 12,955,316 | |
Electric | | | — | | | | 1,253,297 | | | | — | | | | 1,253,297 | |
Foreign Government Bonds | | | — | | | | 215,615,936 | | | | — | | | | 215,615,936 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income Securities | | | — | | | | 229,824,549 | | | | — | | | | 229,824,549 | |
| | | | | | | | | | | | | | | | |
Money Market Investments | | | 1,742,697 | | | | — | | | | — | | | | 1,742,697 | |
Short-Term Investments | | | — | | | | 1,886,124 | | | | — | | | | 1,886,124 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | 1,742,697 | | | | 231,710,673 | | | | — | | | | 233,453,370 | |
| | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | | | | | | | | | | | | |
Forward Currency Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | | — | | | | 713,760 | | | | — | | | | 713,760 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 1,742,697 | | | $ | 232,424,433 | | | $ | — | | | $ | 234,167,130 | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Forward Currency Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | $ | — | | | $ | (1,135,793 | ) | | $ | — | | | $ | (1,135,793 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | (1,135,793 | ) | | $ | — | | | $ | (1,135,793 | ) |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
30
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments | October 31, 2021 |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
FIXED INCOME SECURITIES — 34.4% of Net Assets | |
|
| Angola — 0.9% | |
| |
Angolan Government International Bond | | | | | |
| | | |
8.25% (1) | | | 05/09/28 | | | $ | 225,000 | | | $ | 227,086 | |
| | | |
9.13% (1) | | | 11/26/49 | | | | 200,000 | | | | 196,000 | |
| | | |
9.38% (1) | | | 05/08/48 | | | | 350,000 | | | | 349,475 | |
| | | | | | | | | | | | |
| | |
Total Angola | | | | | | | | | |
| | |
(Cost: $721,613) | | | | | | | | 772,561 | |
| | | | | | | | | | | | |
|
| Argentina — 0.4% | |
| |
Argentine Republic Government International Bond | | | | | |
| | | |
0.50% | | | 07/09/30 | | | | 63,026 | | | | 21,744 | |
| | | |
1.00% | | | 07/09/29 | | | | 181,555 | | | | 66,358 | |
| | | |
1.13% | | | 07/09/35 | | | | 708,054 | | | | 219,639 | |
| | | |
2.00% | | | 01/09/38 | | | | 92,754 | | | | 34,124 | |
| | | |
2.50% | | | 07/09/41 | | | | 27,246 | | | | 9,400 | |
| | | | | | | | | | | | |
| | |
Total Argentina | | | | | | | | | |
| | |
(Cost: $519,227) | | | | | | | | 351,265 | |
| | | | | | | | | | | | |
|
| Bahrain — 1.3% | |
| |
Bahrain Government International Bond | | | | | |
| | | |
5.25% (1) | | | 01/25/33 | | | | 200,000 | | | | 192,020 | |
| | | |
6.00% (2) | | | 09/19/44 | | | | 200,000 | | | | 185,760 | |
| | | |
7.50% (2) | | | 09/20/47 | | | | 650,000 | | | | 674,601 | |
| | | | | | | | | | | | |
| | |
Total Bahrain | | | | | | | | | |
| | |
(Cost: $1,058,619) | | | | | | | | 1,052,381 | |
| | | | | | | | | | | | |
|
| Brazil — 0.9% | |
| |
CSN Resources S.A. | | | | | |
| | | |
4.63% (1) | | | 06/10/31 | | | | 200,000 | | | | 194,980 | |
| |
Light Servicos de Eletricidade S.A. / Light Energia S.A. | | | | | |
| | | |
4.38% (1) | | | 06/18/26 | | | | 200,000 | | | | 195,620 | |
| |
MC Brazil Downstream Trading Sarl | | | | | |
| | | |
7.25% (1) | | | 06/30/31 | | | | 200,000 | | | | 195,250 | |
| |
MV24 Capital B.V. | | | | | |
| | | |
6.75% (1) | | | 06/01/34 | | | | 186,754 | | | | 193,720 | |
| | | | | | | | | | | | |
| | |
Total Brazil | | | | | | | | | |
| | |
(Cost: $803,832) | | | | | | | | 779,570 | |
| | | | | | | | | | | | |
|
| Chile — 1.0% | |
| |
AES Andes S.A. | | | | | |
| | | |
7.13% (USD 5-year Swap rate + 4.644%) (1)(3) | | | 03/26/79 | | | | 200,000 | | | | 209,606 | |
| |
Chile Government International Bond | | | | | |
| | | |
2.55% | | | 01/27/32 | | | | 325,000 | | | | 321,448 | |
| |
Empresa de los Ferrocarriles del Estado | | | | | |
| | | |
3.83% (1) | | | 09/14/61 | | | | 265,000 | | | | 256,291 | |
| | | | | | | | | | | | |
| | |
Total Chile | | | | | | | | | |
| | |
(Cost: $798,789) | | | | | | | | 787,345 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Colombia — 1.8% | |
| |
AI Candelaria Spain SLU | | | | | |
| | | |
5.75% (1) | | | 06/15/33 | | | $ | 250,000 | | | $ | 245,015 | |
| |
Banco GNB Sudameris S.A. | | | | | |
| | | |
7.50% (U.S. 5-year Treasury Constant Maturity Rate + 6.660%) (1)(3) | | | 04/16/31 | | | | 150,000 | | | | 152,598 | |
| |
Colombia Government International Bond | | | | | |
| | | |
4.13% | | | 02/22/42 | | | | 350,000 | | | | 317,796 | |
| | | |
5.20% | | | 05/15/49 | | | | 400,000 | | | | 403,200 | |
| |
Ecopetrol S.A. | | | | | |
| | | |
5.88% | | | 11/02/51 | | | | 200,000 | | | | 198,807 | |
| |
Gran Tierra Energy, Inc. | | | | | |
| | | |
7.75% (2) | | | 05/23/27 | | | | 200,000 | | | | 185,960 | |
| | | | | | | | | | | | |
| | |
Total Colombia | | | | | | | | | |
| | |
(Cost: $1,561,167) | | | | | | | | 1,503,376 | |
| | | | | | | | | | | | |
|
| Costa Rica — 0.5% | |
| |
Costa Rica Government International Bond | | | | | |
| | | |
7.00% (2) | | | 04/04/44 | | | | 200,000 | | | | 199,880 | |
| |
Instituto Costarricense de Electricidad | | | | | |
| | | |
6.75% (1) | | | 10/07/31 | | | | 200,000 | | | | 202,250 | |
| | | | | | | | | | | | |
| | |
Total Costa Rica | | | | | | | | | |
| | |
(Cost: $400,186) | | | | | | | | 402,130 | |
| | | | | | | | | | | | |
|
| Dominican Republic — 1.3% | |
| |
Dominican Republic International Bond | | | | | |
| | | |
4.50% (1) | | | 01/30/30 | | | | 200,000 | | | | 203,580 | |
| | | |
4.88% (1) | | | 09/23/32 | | | | 895,000 | | | | 912,611 | |
| | | | | | | | | | | | |
| | |
Total Dominican Republic | | | | | | | | | |
| | |
(Cost: $1,112,623) | | | | | | | | 1,116,191 | |
| | | | | | | | | | | | |
|
| Ecuador — 0.7% | |
| |
Ecuador Government International Bond | | | | | |
| | | |
1.00% (1) | | | 07/31/35 | | | | 604,964 | | | | 401,551 | |
| | | |
5.00% (2) | | | 07/31/30 | | | | 194,000 | | | | 161,641 | |
| | | | | | | | | | | | |
| | |
Total Ecuador | | | | | | | | | |
| | |
(Cost: $550,565) | | | | | | | | 563,192 | |
| | | | | | | | | | | | |
|
| Egypt — 1.2% | |
| |
Egypt Government International Bond | | | | | |
| | | |
7.05% (1) | | | 01/15/32 | | | | 600,000 | | | | 564,442 | |
| | | |
8.50% (2) | | | 01/31/47 | | | | 475,000 | | | | 440,247 | |
| | | | | | | | | | | | |
| | |
Total Egypt | | | | | | | | | |
| | |
(Cost: $1,130,561) | | | | | | | | 1,004,689 | |
| | | | | | | | | | | | |
|
| El Salvador — 0.5% | |
| |
El Salvador Government International Bond | | | | | |
| | | |
5.88% (2) | | | 01/30/25 | | | | 50,000 | | | | 39,884 | |
| | | |
6.38% (2) | | | 01/18/27 | | | | 135,000 | | | | 104,625 | |
| | | |
7.63% (2) | | | 02/01/41 | | | | 150,000 | | | | 110,145 | |
See accompanying Notes to Financial Statements.
31
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| El Salvador (Continued) | |
| | | |
8.25% (2) | | | 04/10/32 | | | $ | 245,000 | | | $ | 192,038 | |
| | | | | | | | | | | | |
| | |
Total El Salvador | | | | | | | | | |
| | |
(Cost: $562,297) | | | | | | | | 446,692 | |
| | | | | | | | | | | | |
|
| Gabon — 0.2% (Cost: $203,168) | |
| |
Gabon Government International Bond | | | | | |
| | | |
6.63% (2) | | | 02/06/31 | | | | 200,000 | | | | 199,580 | |
| | | | | | | | | | | | |
|
| Ghana — 0.2% (Cost: $203,978) | |
| |
Ghana Government International Bond | | | | | |
| | | |
8.95% (1) | | | 03/26/51 | | | | 200,000 | | | | 172,133 | |
| | | | | | | | | | | | |
|
| Guatemala — 0.4% | |
| |
Banco Industrial S.A. | | | | | |
| | | |
4.88% (U.S. 5-year Treasury Constant Maturity Rate + 4.442%) (1)(3) | | | 01/29/31 | | | | 150,000 | | | | 150,663 | |
|
Guatemala Government Bond | |
| | | |
4.65% (1) | | | 10/07/41 | | | | 200,000 | | | | 204,500 | |
| | | | | | | | | | | | |
| | |
Total Guatemala | | | | | | | | | |
| | |
(Cost: $344,916) | | | | | | | | 355,163 | |
| | | | | | | | | | | | |
|
| Hungary — 0.5% (Cost: $393,258) | |
| |
Hungary Government International Bond | | | | | |
| | | |
2.13% (1) | | | 09/22/31 | | | | 400,000 | | | | 391,950 | |
| | | | | | | | | | | | |
|
| India — 1.0% | |
| |
Cliffton, Ltd. | | | | | |
| | | |
6.25% (1) | | | 10/25/25 | | | | 250,000 | | | | 250,078 | |
|
JSW Steel, Ltd. | |
| | | |
5.05% (1) | | | 04/05/32 | | | | 200,000 | | | | 202,020 | |
|
Network i2i, Ltd. | |
| | | |
5.65% (U.S. 5-year Treasury Constant Maturity Rate + 4.274%) (2)(3)(4) | | | 01/15/25 | | | | 200,000 | | | | 212,120 | |
|
ReNew Wind Energy AP2 / ReNew Power Pvt, Ltd. other 9 Subsidiaries | |
| | | |
4.50% (1) | | | 07/14/28 | | | | 200,000 | | | | 203,437 | |
| | | | | | | | | | | | |
|
Total India | |
| |
(Cost: $835,791) | | | | 867,655 | |
| | | | | | | | | | | | |
|
| Indonesia — 1.4% | |
| |
Freeport-McMoRan, Inc. | | | | | |
| | | |
4.63% | | | 08/01/30 | | | | 50,000 | | | | 54,125 | |
| |
Indonesia Asahan Aluminium Persero PT | | | | | |
| | | |
4.75% (1) | | | 05/15/25 | | | | 225,000 | | | | 241,931 | |
| | | |
6.53% (1) | | | 11/15/28 | | | | 250,000 | | | | 301,628 | |
| |
Perusahaan Penerbit SBSN Indonesia III | | | | | |
| | | |
2.55% (2) | | | 06/09/31 | | | | 400,000 | | | | 402,080 | |
| | | |
3.55% (1) | | | 06/09/51 | | | | 200,000 | | | | 201,020 | |
| | | | | | | | | | | | |
| |
Total Indonesia | | | | | |
| | | |
(Cost: $1,201,708) | | | | | | | | | | | 1,200,784 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Iraq — 0.5% (Cost: $390,006) | |
|
Iraq International Bond | |
| | | |
5.80% (2) | | | 01/15/28 | | | $ | 406,250 | | | $ | 397,644 | |
| | | | | | | | | | | | |
|
| Israel — 0.6% | |
|
Energean Israel Finance, Ltd. | |
| | | |
5.88% (1) | | | 03/30/31 | | | | 359,300 | | | | 364,959 | |
|
Leviathan Bond, Ltd. | |
| | | |
6.75% (1) | | | 06/30/30 | | | | 99,000 | | | | 109,086 | |
| | | | | | | | | | | | |
|
Total Israel | |
| |
(Cost: $475,379) | | | | 474,045 | |
| | | | | | | | | | | | |
|
| Ivory Coast — 0.3% | |
| |
Ivory Coast Government International Bond | | | | | |
| | | |
4.88% (1) | | | 01/30/32 | | | EUR | 120,000 | | | | 136,134 | |
| | | |
6.88% (1) | | | 10/17/40 | | | EUR | 100,000 | | | | 121,597 | |
| | | | | | | | | | | | |
| |
Total Ivory Coast | | | | | |
| | | |
(Cost: $277,842) | | | | | | | | | | | 257,731 | |
| | | | | | | | | | | | |
|
| Kazakhstan — 0.5% | |
|
KazMunayGas National Co. JSC | |
| | | |
3.50% (1) | | | 04/14/33 | | | $ | 200,000 | | | | 207,880 | |
| | | |
5.75% (2) | | | 04/19/47 | | | | 200,000 | | | | 241,860 | |
| | | | | | | | | | | | |
| |
Total Kazakhstan | | | | | |
| | | |
(Cost: $422,874) | | | | | | | | | | | 449,740 | |
| | | | | | | | | | | | |
|
| Lebanon — 0.2% (Cost: $239,513) | |
|
Lebanon Government International Bond | |
| | | |
8.25% (5) | | | 05/17/34 | | | | 870,000 | | | | 134,850 | |
| | | | | | | | | | | | |
|
| 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 | | | | 202,800 | |
| |
Braskem Idesa SAPI | | | | | |
| | | |
6.99% (1) | | | 02/20/32 | | | | 200,000 | | | | 205,000 | |
| |
Cemex SAB de CV | | | | | |
| | | |
5.13% (U.S. 5-year Treasury Constant Maturity Rate + 4.534%) (1)(3)(4) | | | 07/11/31 | | | | 200,000 | | | | 206,905 | |
| |
Electricidad Firme de Mexico Holdings SA de CV | | | | | |
| | | |
4.90% (1) | | | 11/20/26 | | | | 200,000 | | | | 195,600 | |
| |
Mexico Government International Bond | | | | | |
| | | |
4.28% | | | 08/14/41 | | | | 200,000 | | | | 208,980 | |
| |
Petroleos Mexicanos | | | | | |
| | | |
5.95% | | | 01/28/31 | | | | 555,000 | | | | 546,120 | |
| | | |
6.63% | | | 06/15/35 | | | | 434,000 | | | | 420,329 | |
| | | |
6.75% | | | 09/21/47 | | | | 130,000 | | | | 115,050 | |
| | | | | | | | | | | | |
|
Total Mexico | |
| |
(Cost: $2,058,204) | | | | 2,100,784 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
32
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Morocco — 0.2% (Cost: $199,500) | |
| |
OCP S.A. | | | | | |
| | | |
5.13% (1) | | | 06/23/51 | | | $ | 200,000 | | | $ | 195,447 | |
| | | | | | | | | | | | |
|
| Nigeria — 1.3% | |
| |
Nigeria Government International Bond | | | | | |
| | | |
6.13% (1) | | | 09/28/28 | | | | 400,000 | | | | 397,788 | |
| | | |
7.63% (2) | | | 11/28/47 | | | | 200,000 | | | | 187,416 | |
| | | |
7.70% (1) | | | 02/23/38 | | | | 550,000 | | | | 532,353 | |
| | | | | | | | | | | | |
|
Total Nigeria | |
| |
(Cost: $1,098,051) | | | | 1,117,557 | |
| | | | | | | | | | | | |
|
| Oman — 1.1% | |
| |
Oman Government International Bond | | | | | |
| | | |
6.00% (2) | | | 08/01/29 | | | | 250,000 | | | | 268,605 | |
| | | |
6.50% (2) | | | 03/08/47 | | | | 200,000 | | | | 198,083 | |
| |
OQ SAOC | | | | | |
| | | |
5.13% (2) | | | 05/06/28 | | | | 400,000 | | | | 410,500 | |
| | | | | | | | | | | | |
|
Total Oman | |
| |
(Cost: $846,908) | | | | 877,188 | |
| | | | | | | | | | | | |
|
| Pakistan — 0.5% | |
| |
Pakistan Government International Bond | | | | | |
| | | |
6.88% (2) | | | 12/05/27 | | | | 235,000 | | | | 240,901 | |
| | | |
8.88% (1) | | | 04/08/51 | | | | 200,000 | | | | 201,400 | |
| | | | | | | | | | | | |
|
Total Pakistan | |
| |
(Cost: $455,856) | | | | 442,301 | |
| | | | | | | | | | | | |
|
| Panama — 1.2% | |
| |
Panama Government International Bond | | | | | |
| | | |
2.25% | | | 09/29/32 | | | | 400,000 | | | | 377,436 | |
| | | |
3.16% | | | 01/23/30 | | | | 400,000 | | | | 413,728 | |
| | | |
3.87% | | | 07/23/60 | | | | 200,000 | | | | 199,764 | |
| | | | | | | | | | | | |
|
Total Panama | |
| |
(Cost: $1,029,794) | | | | 990,928 | |
| | | | | | | | | | | | |
|
| Paraguay — 0.6% (Cost: $417,043) | |
| |
Paraguay Government International Bond | | | | | |
| | | |
5.60% (2) | | | 03/13/48 | | | | 400,000 | | | | 457,000 | |
| | | | | | | | | | | | |
|
| Peru — 1.1% | |
| |
Cia de Minas Buenaventura SAA | | | | | |
| | | |
5.50% (1) | | | 07/23/26 | | | | 200,000 | | | | 198,320 | |
| |
Nexa Resources S.A. | | | | | |
| | | |
5.38% (2) | | | 05/04/27 | | | | 200,000 | | | | 212,754 | |
|
Peruvian Government International Bond | |
| | | |
3.00% | | | 01/15/34 | | | | 300,000 | | | | 297,450 | |
| | | |
3.30% | | | 03/11/41 | | | | 240,000 | | | | 236,479 | |
| | | | | | | | | | | | |
|
Total Peru | |
| |
(Cost: $945,994) | | | | 945,003 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Philippines — 0.5% | |
| |
Philippine Government International Bond | | | | | |
| | | |
1.95% | | | 01/06/32 | | | $ | 200,000 | | | $ | 194,180 | |
| | | |
3.20% | | | 07/06/46 | | | | 200,000 | | | | 201,911 | |
| | | | | | | | | | | | |
|
Total Philippines | |
| |
(Cost: $402,418) | | | | 396,091 | |
| | | | | | | | | | | | |
|
| Qatar — 1.1% | |
|
Qatar Petroleum | |
| | | |
2.25% (1) | | | 07/12/31 | | | | 400,000 | | | | 395,000 | |
| | | |
3.13% (1) | | | 07/12/41 | | | | 325,000 | | | | 329,420 | |
| | | |
3.30% (1) | | | 07/12/51 | | | | 200,000 | | | | 204,380 | |
| | | | | | | | | | | | |
|
Total Qatar | |
| |
(Cost: $931,195) | | | | 928,800 | |
| | | | | | | | | | | | |
|
| Romania — 0.4% (Cost: $300,274) | |
|
Romanian Government International Bond | |
| | | |
3.00% (1) | | | 02/14/31 | | | | 298,000 | | | | 300,337 | |
| | | | | | | | | | | | |
|
| Saudi Arabia — 1.4% | |
|
Saudi Government International Bond | |
| | | |
2.25% (1) | | | 02/02/33 | | | | 525,000 | | | | 507,517 | |
| | | |
2.75% (2) | | | 02/03/32 | | | | 250,000 | | | | 255,469 | |
| | | |
3.75% (2) | | | 01/21/55 | | | | 375,000 | | | | 393,750 | |
| | | | | | | | | | | | |
|
Total Saudi Arabia | |
| |
(Cost: $1,153,819) | | | | 1,156,736 | |
| | | | | | | | | | | | |
|
| Senegal — 0.2% (Cost: $195,206) | |
|
Senegal Government International Bond | |
| | | |
5.38% (1) | | | 06/08/37 | | | EUR | 160,000 | | | | 178,448 | |
| | | | | | | | | | | | |
|
| South Africa — 1.1% | |
|
Eskom Holdings SOC, Ltd. | |
| | | |
8.45% (2) | | | 08/10/28 | | | $ | 200,000 | | | | 219,766 | |
|
South Africa Government Bond | |
| | | |
5.75% | | | 09/30/49 | | | | 400,000 | | | | 382,040 | |
| | | |
8.88% | | | 02/28/35 | | | ZAR | 5,350,000 | | | | 310,652 | |
| | | | | | | | | | | | |
|
Total South Africa | |
| |
(Cost: $975,066) | | | | 912,458 | |
| | | | | | | | | | | | |
|
| Sri Lanka — 0.2% (Cost: $119,739) | |
|
Sri Lanka Government International Bond | |
| | | |
6.20% (2) | | | 05/11/27 | | | $ | 200,000 | | | | 126,740 | |
| | | | | | | | | | | | |
|
| Thailand — 0.2% (Cost: $200,500) | |
|
Krung Thai Bank PCL | |
| | | |
4.40% (U.S. 5-year Treasury Constant Maturity Rate + 3.530%) (2)(3)(4) | | | 12/31/99 | | | | 200,000 | | | | 199,780 | |
| | | | | | | | | | | | |
|
| Turkey — 1.0% | |
|
Turkey Government International Bond | |
| | | |
4.88% | | | 10/09/26 | | | | 200,000 | | | | 190,340 | |
See accompanying Notes to Financial Statements.
33
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| Turkey (Continued) | |
| | | |
5.88% | | | 06/26/31 | | | $ | 360,000 | | | $ | 334,872 | |
| | | |
6.13% | | | 10/24/28 | | | | 325,000 | | | | 319,434 | |
| | | | | | | | | | | | |
|
Total Turkey | |
| |
(Cost: $872,364) | | | | 844,646 | |
| | | | | | | | | | | | |
|
| Ukraine — 1.4% | |
|
Ukraine Government International Bond | |
| | | |
1.26% (2)(6) | | | 05/31/40 | | | | 554,000 | | | | 586,931 | |
| | | |
7.25% (2) | | | 03/15/33 | | | | 200,000 | | | | 204,182 | |
| | | |
7.38% (2) | | | 09/25/32 | | | | 220,000 | | | | 226,776 | |
| | | |
7.75% (2) | | | 09/01/27 | | | | 100,000 | | | | 107,890 | |
| | | | | | | | | | | | |
|
Total Ukraine | |
| |
(Cost: $950,051) | | | | 1,125,779 | |
| | | | | | | | | | | | |
|
| United Arab Emirates — 1.2% | |
|
Abu Dhabi Government International Bond | |
| | | |
1.63% (2) | | | 06/02/28 | | | | 200,000 | | | | 197,456 | |
|
Galaxy Pipeline Assets Bidco, Ltd. | |
| | | |
2.63% (1) | | | 03/31/36 | | | | 400,000 | | | | 390,960 | |
| | | |
2.94% (1) | | | 09/30/40 | | | | 200,000 | | | | 197,055 | |
|
UAE International Government Bond | |
| | | |
2.88% (1) | | | 10/19/41 | | | | 200,000 | | | | 197,625 | |
| | | | | | | | | | | | |
|
Total United Arab Emirates | |
| |
(Cost: $981,763) | | | | 983,096 | |
| | | | | | | | | | | | |
|
| Uruguay — 0.5% | |
|
Uruguay Government International Bond | |
| | | |
4.38% | | | 01/23/31 | | | | 230,829 | | | | 267,168 | |
| | | |
4.98% | | | 04/20/55 | | | | 105,830 | | | | 136,087 | |
| | | | | | | | | | | | |
|
Total Uruguay | |
| |
(Cost: $367,082) | | | | 403,255 | |
| | | | | | | | | | | | |
|
| Venezuela — 0.2% | |
|
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 | | | | 83,619 | |
| | | | | | | | | | | | |
|
Total Venezuela | |
| |
(Cost: $413,469) | | | | 141,369 | |
| | | | | | | | | | | | |
|
| Zambia — 0.2% (Cost: $145,800) | |
|
Zambia Government International Bond | |
| | | |
5.38% (2) | | | 09/20/22 | | | | 200,000 | | | | 151,120 | |
| | | | | | | | | | | | |
|
Total Fixed Income Securities | |
| |
(Cost: $29,268,008) | | | | 28,655,530 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
| | | | Shares | | | | |
|
COMMON STOCK — 63.3% | |
|
| Argentina — 2.2% (Cost: $808,221) | |
| | |
MercadoLibre, Inc. (8) | | | | 1,230 | | | | 1,821,655 | |
| | | | | | | | | | | | |
| | | |
| Brazil — 3.1% | | | | | | | | | |
| | | |
Even Construtora e Incorporadora S.A. | | | | | | | 300,000 | | | | 331,027 | |
| | | | | | | | | | | | |
| Issues | | |
Shares | | | Value | |
| | | |
| Brazil (Continued) | | | | | | | | | |
Iochpe — Maxion S.A. (8) | | | | | | | 136,400 | | | $ | 406,030 | |
| | | |
JBS S.A. | | | | | | | 73,900 | | | | 511,938 | |
| | | |
Pet Center Comercio e Participacoes S.A. (8) | | | | | | | 108,000 | | | | 359,617 | |
| | | |
Petroleo Brasileiro S.A. (SP ADR) | | | | | | | 46,500 | | | | 456,630 | |
| | | |
Raia Drogasil S.A. | | | | | | | 125,500 | | | | 517,629 | |
| | | | | | | | | | | | |
| | | |
Total Brazil | | | | | | | | | | | | |
| | | |
(Cost: $2,763,985) | | | | | | | | | | | 2,582,871 | |
| | | | | | | | | | | | |
| | | |
| China — 19.4% | | | | | | | | | |
| | | |
China Hongqiao Group, Ltd. | | | | | | | 340,000 | | | | 377,828 | |
| | | |
Contemporary Amperex Technology Co., Ltd. | | | | | | | 28,184 | | | | 2,823,249 | |
| | | |
COSCO SHIPPING Holdings Co., Ltd. — Class H (8) | | | | | | | 335,500 | | | | 519,755 | |
| | | |
Kunlun Energy Co., Ltd. | | | | | | | 512,000 | | | | 466,406 | |
| | | |
LONGi Green Energy Technology Co., Ltd. | | | | | | | 19,680 | | | | 300,060 | |
Meituan — Class B (8) | | | | | | | 51,000 | | | | 1,735,783 | |
| | | |
NIO, Inc. (ADR) (8) | | | | | | | 6,900 | | | | 271,929 | |
| | | |
Orient Overseas International, Ltd. | | | | | | | 25,500 | | | | 468,927 | |
| | | |
SITC International Holdings Co., Ltd. | | | | | | | 228,000 | | | | 770,747 | |
| | | |
Tencent Holdings, Ltd. | | | | | | | 65,412 | | | | 3,979,740 | |
| | | |
Tongwei Co., Ltd. | | | | | | | 67,500 | | | | 602,695 | |
| | | |
WuXi AppTec Co., Ltd. — Class H | | | | | | | 76,268 | | | | 1,628,714 | |
| | | |
Wuxi Biologics Cayman, Inc. (8) | | | | | | | 117,000 | | | | 1,772,524 | |
| | | |
Yunnan Energy New Material Co., Ltd. | | | | | | | 10,000 | | | | 456,060 | |
| | | | | | | | | | | | |
| | | |
Total China | | | | | | | | | | | | |
| | | |
(Cost: $10,294,642) | | | | | | | | | | | 16,174,417 | |
| | | | | | | | | | | | |
| | | |
| Egypt — 0.7% (Cost: $539,646) | | | | | | | | | |
| | | |
Commercial International Bank Egypt SAE (8) | | | | | | | 186,666 | | | | 607,673 | |
| | | | | | | | | | | | |
| | | |
| France — 1.2% (Cost: $399,975) | | | | | | | | | |
| | | |
Hermes International | | | | | | | 600 | | | | 953,779 | |
| | | | | | | | | | | | |
| |
| Greece — 0.6% (Cost: $522,710) | | | | |
| | | |
OPAP S.A. | | | | | | | 33,100 | | | | 517,492 | |
| | | | | | | | | | | | |
| | | |
| India — 5.7% | | | | | | | | | |
| | | |
Apollo Hospitals Enterprise, Ltd. | | | | | | | 15,200 | | | | 871,761 | |
| | | |
Avenue Supermarts, Ltd. (8) | | | | | | | 36,330 | | | | 2,246,851 | |
| | | |
Hindustan Petroleum Corp., Ltd. | | | | | | | 149,000 | | | | 620,399 | |
| | | |
Reliance Industries, Ltd. | | | | | | | 3,214 | | | | 81,999 | |
| | | |
Reliance Industries, Ltd. | | | | | | | 28,315 | | | | 962,295 | |
| | | | | | | | | | | | |
| | | |
Total India | | | | | | | | | | | | |
| | | |
(Cost: $2,740,511) | | | | | | | | | | | 4,783,305 | |
| | | | | | | | | | | | |
| |
| Indonesia — 1.0% (Cost: $557,838) | | | | |
| | | |
PP Persero Tbk PT (8) | | | | | | | 9,300,000 | | | | 792,918 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
34
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2021
| | | | | | | | | | | | |
| Issues | | | | |
Shares | | | Value | |
| |
| Malaysia — 1.3% (Cost: $1,026,052) | | | | |
| | | |
Greatech Technology BHD (8) | | | | | | | 626,000 | | | $ | 1,088,605 | |
| | | | | | | | | | | | |
| | | |
| Russia — 4.5% | | | | | | | | | |
| | | |
Gazprom PJSC (SP ADR) | | | | | | | 64,000 | | | | 630,400 | |
| | | |
Magnitogorsk Iron & Steel Works PJSC | | | | | | | 580,000 | | | | 540,929 | |
| | | |
Sistema PJSFC | | | | | | | 1,450,000 | | | | 552,605 | |
| | | |
Yandex N.V. (8) | | | | | | | 24,400 | | | | 2,021,296 | |
| | | | | | | | | | | | |
| | | |
Total Russia | | | | | | | | | | | | |
| | | |
(Cost: $2,557,064) | | | | | | | | | | | 3,745,230 | |
| | | | | | | | | | | | |
| |
| Singapore — 2.0% (Cost: $810,762) | | | | |
| | | |
Sea, Ltd. (ADR) (8) | | | | | | | 4,900 | | | | 1,683,493 | |
| | | | | | | | | | | | |
| |
| South Africa — 0.6% (Cost: $550,188) | | | | |
| | | |
Exxaro Resources, Ltd. | | | | | | | 43,000 | | | | 473,141 | |
| | | | | | | | | | | | |
| | | |
| South Korea — 8.8% | | | | | | | | | |
| | | |
Boditech Med, Inc. | | | | | | | 26,660 | | | | 368,146 | |
| | | |
E-Mart, Inc. | | | | | | | 3,500 | | | | 503,832 | |
| | | |
Halla Holdings Corp. | | | | | | | 15,500 | | | | 677,027 | |
| | | |
HDC Holdings Co., Ltd. | | | | | | | 50,000 | | | | 452,443 | |
| | | |
Hyundai Construction Equipment Co., Ltd. (8) | | | | | | | 7,500 | | | | 259,594 | |
| | | |
Kakao Corp. (8) | | | | | | | 5,550 | | | | 597,094 | |
| | | |
KT Corp. (SP ADR) | | | | | | | 38,800 | | | | 497,028 | |
| | | |
NAVER Corp. | | | | | | | 3,600 | | | | 1,251,657 | |
| | | |
PSK, Inc. | | | | | | | 8,590 | | | | 284,588 | |
| | | |
Samsung Biologics Co., Ltd. (8) | | | | | | | 1,650 | | | | 1,229,230 | |
| | | |
SK IE Technology Co., Ltd. (8) | | | | | | | 2,500 | | | | 355,772 | |
| | | |
TES Co., Ltd. | | | | | | | 11,500 | | | | 263,020 | |
| | | |
Vidente Co., Ltd. (8) | | | | | | | 50,000 | | | | 621,652 | |
| | | | | | | | | | | | |
| | | |
Total South Korea | | | | | | | | | | | | |
| | | |
(Cost: $6,754,314) | | | | | | | | | | | 7,361,083 | |
| | | | | | | | | | | | |
| | | |
| Taiwan — 10.3% | | | | | | | | | |
| | | |
Alchip Technologies, Ltd. | | | | | | | 21,600 | | | | 802,336 | |
| | | |
ASPEED Technology, Inc. | | | | | | | 8,200 | | | | 822,576 | |
| | | |
Chailease Holding Co., Ltd. | | | | | | | 95,718 | | | | 916,744 | |
| | | |
eMemory Technology, Inc. | | | | | | | 5,700 | | | | 473,473 | |
| | | |
Kinsus Interconnect Technology Corp. | | | | | | | 81,000 | | | | 712,847 | |
| | | |
Phison Electronics Corp. | | | | | | | 35,300 | | | | 497,740 | |
| | | | | | | | | | | | |
| Issues | | |
Shares | | | Value | |
| | | |
| Taiwan (Continued) | | | | | | | | | |
| | | |
Silergy Corp. | | | | | | | 4,200 | | | $ | 693,862 | |
| | | |
Taiwan Semiconductor Manufacturing Co., Ltd. | | | | | | | 159,000 | | | | 3,374,026 | |
| | | |
TSEC Corp. (8) | | | | | | | 240,000 | | | | 288,192 | |
| | | | | | | | | | | | |
| | | |
Total Taiwan | | | | | | | | | | | | |
| | | |
(Cost: $4,851,631) | | | | | | | | | | | 8,581,796 | |
| | | | | | | | | | | | |
| | | |
| Turkey — 0.6% (Cost: $547,794) | | | | | | | | | |
| | | |
Turkiye Sise ve Cam Fabrikalari A.S. | | | | | | | 509,000 | | | | 458,437 | |
| | | | | | | | | | | | |
| |
| United Kingdom — 0.9% (Cost: $376,878) | | | | |
| | | |
Genus PLC | | | | | | | 10,300 | | | | 782,322 | |
| | | | | | | | | | | | |
| |
| Uruguay — 0.4% (Cost: $413,305) | | | | |
| | | |
Dlocal, Ltd. (8) | | | | | | | 7,000 | | | | 339,570 | |
| | | | | | | | | | | | |
| | | |
Total Common Stock | | | | | | | | | | | | |
| | | |
(Cost: $36,515,516) | | | | | | | | | | | 52,747,787 | |
| | | | | | | | | | | | |
| | | |
| PREFERRED STOCK — 0.8% | | | | | | | | | |
| | | |
Brazil — 0.8% | | | | | | | | | | | | |
| | | |
Braskem S.A., 5.85% | | | | | | | 41,800 | | | | 403,837 | |
| | | |
Usinas Siderurgicas de Minas Gerais S.A., 5.42% | | | | | | | 130,000 | | | | 305,570 | |
| | | | | | | | | | | | |
| | | |
Total Brazil | | | | | | | | | | | | |
| | | |
(Cost: $1,070,061) | | | | | | | | | | | 709,407 | |
| | | | | | | | | | | | |
| | | |
Total Preferred Stock | | | | | | | | | | | | |
| | | |
(Cost: $1,070,061) | | | | | | | | | | | 709,407 | |
| | | | | | | | | | | | |
|
| MONEY MARKET INVESTMENTS — 1.7% | |
| | | |
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.03% (9) | | | | | | | 1,431,131 | | | | 1,431,131 | |
| | | | | | | | | | | | |
| | | |
Total Money Market Investments | | | | | | | | | | | | |
| | | |
(Cost: $1,431,131) | | | | | | | | | | | 1,431,131 | |
| | | | | | | | | | | | |
| | | |
Total Investments (100.2%) | | | | | | | | | | | | |
| | | |
(Cost: $68,284,716) | | | | | | | | | | | 83,543,855 | |
| |
Liabilities in Excess of Other Assets (-0.2%) | | | | (188,013 | ) |
| | | | | | | | | | | | |
| | | |
Total Net Assets (100.0%) | | | | | | | | | | $ | 83,355,842 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Currency Contracts | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Counterparty | | Contracts to
Deliver | | | Units of
Currency | | | Settlement
Date | | | In Exchange for
U.S. Dollars | | | Contracts
at Value | | | Unrealized
Appreciation
(Depreciation) | |
| BUY (10) | | | | | | | | | | | | | | | | | | |
BNP Paribas S.A. | | | ZAR | | | | 1,304,844 | | | | 01/21/22 | | | $ | 86,000 | | | $ | 84,973 | | | $ | (1,027 | ) |
Goldman Sachs & Co. | | | ZAR | | | | 1,152,750 | | | | 01/21/22 | | | | 75,000 | | | | 75,068 | | | | 68 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 161,000 | | | $ | 160,041 | | | $ | (959 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
35
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Currency Contracts (Continued) | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Counterparty | | Contracts to
Deliver | | | Units of
Currency | | | Settlement
Date | | | In Exchange for
U.S. Dollars | | | Contracts
at Value | | | Unrealized
Appreciation
(Depreciation) | |
| SELL (11) | | | | | | | | | | | | | | | | | | |
Citibank N.A. | | | ZAR | | | | 4,790,403 | | | | 01/21/22 | | | $ | 325,000 | | | $ | 311,955 | | | $ | 13,045 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Futures Contracts | |
| | | | | |
Number of
Contracts | | Type | | Expiration
Date | | | Notional | | | Market
Value | | | Net
Unrealized
Appreciation
(Depreciation) | |
Short Futures | | | | | | | | | | | | | | | | | | |
| 2 | | U.S. Ultra Long Bond Futures | | | 12/21/21 | | | $ | (324,777 | ) | | $ | (321,688 | ) | | $ | 3,089 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Credit Default Swaps — Buy Protection | |
| | | | | | | |
Notional
Amount (12) | | | Expiration
Date | | | Counterparty & Reference Entity | | Fixed
Deal
Pay Rate | | | Payment
Frequency | | Unrealized
Appreciation/
(Depreciation) | | | Premium
Paid
(Received) | | | Value (13) | |
| | OTC Swaps | | | | | | | | | | | | | | | | | | | | | |
| $ | 375,000 | | | | 12/20/26 | | | | Morgan Stanley & Co. | | | Chile Government International Bond 3.24 02/06/2028 | | | 1.0 | % | | Quarterly | | $ | 2,500 | | | $ | (4,488 | ) | | $ | (1,988 | ) |
| | 200,000 | | | | 12/20/26 | | | | Barclays Capital Inc. | | | Federal Republic of Brazil 4.25 01/07/2025 | | | 1.0 | % | | Quarterly | | | 4,727 | | | | 9,126 | | | | 13,853 | |
| | 450,000 | | | | 12/20/26 | | | | Barclays Capital Inc. | | | United Mexican States 4.15 03/28/2027 | | | 1.0 | % | | Quarterly | | | 1,825 | | | | (947 | ) | | | 878 | |
| | 150,000 | | | | 12/20/26 | | |
| Goldman Sachs
International |
| | United Mexican States 4.15 03/28/2027 | | | 1.0 | % | | Quarterly | | | 523 | | | | (230 | ) | | | 293 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 9,575 | | | $ | 3,461 | | | $ | 13,036 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
36
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2021
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. |
| PJSC | | Private Joint-Stock Company. |
| (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 October 31, 2021, the value of these securities amounted to $13,187,466 or 15.8% 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 October 31, 2021, the value of these securities amounted to $8,476,803 or 10.2% of net assets. |
| (3) | | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 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. |
| (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) | | Rate disclosed is the 7-day net yield as of October 31, 2021. |
| (10) | | Fund buys foreign currency, sells U.S. Dollar. |
| (11) | | Fund sells foreign currency, buys U.S. Dollar. |
| (12) | | The maximum potential amount the Fund could be required to make as seller of credit protection or receive as buyer of protection if a credit event occurred as defined under the terms of that particular swap agreement. |
| (13) | | 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.
37
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Sector | October 31, 2021 |
| | | | |
| Sector | | Percentage of
Net Assets | |
Agriculture | | | 1.7 | % |
Apparel | | | 1.1 | |
Auto Manufacturers | | | 0.3 | |
Auto Parts & Equipment | | | 0.5 | |
Banks | | | 1.6 | |
Biotechnology | | | 1.5 | |
Building Materials | | | 0.2 | |
Chemicals | | | 2.5 | |
Coal | | | 0.6 | |
Commercial Services | | | 0.4 | |
Computers | | | 0.6 | |
Distribution &Wholesale | | | 0.8 | |
Diversified Financial Services | | | 1.1 | |
Electric | | | 1.5 | |
Electrical Components & Equipment | | | 3.4 | |
Electronics | | | 1.7 | |
Energy-Alternate Sources | | | 0.7 | |
Engineering & Construction | | | 1.3 | |
Entertainment | | | 0.6 | |
Food | | | 3.3 | |
Foreign Government Bonds | | | 22.8 | |
Health Care-Products | | | 0.4 | |
Health Care-Services | | | 5.1 | |
Home Builders | | | 0.4 | |
Housewares | | | 0.5 | |
Internet | | | 15.7 | |
Iron & Steel | | | 1.5 | |
Machinery-Construction & Mining | | | 0.3 | |
Machinery-Diversified | | | 1.3 | |
Mining | | | 1.7 | |
Oil & Gas | | | 8.6 | |
Pipelines | | | 1.0 | |
Retail | | | 1.7 | |
Semiconductors | | | 7.2 | |
Telecommunications | | | 2.3 | |
Transportation | | | 2.6 | |
Money Market Investments | | | 1.7 | |
| | | | |
Total | | | 100.2 | % |
| | | | |
See accompanying Notes to Financial Statements.
38
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Country | October 31, 2021 |
| | | | |
| Country | | Percentage of
Net Assets | |
Angola | | | 0.9 | % |
Argentina | | | 2.6 | |
Bahrain | | | 1.3 | |
Brazil | | | 4.9 | |
Chile | | | 0.9 | |
China | | | 19.5 | |
Colombia | | | 1.8 | |
Costa Rica | | | 0.5 | |
Dominican Republic | | | 1.3 | |
Ecuador | | | 0.7 | |
Egypt | | | 1.9 | |
El Salvador | | | 0.5 | |
France | | | 1.1 | |
Gabon | | | 0.2 | |
Ghana | | | 0.2 | |
Greece | | | 0.6 | |
Guatemala | | | 0.4 | |
Hungary | | | 0.5 | |
India | | | 6.8 | |
Indonesia | | | 2.4 | |
Iraq | | | 0.5 | |
Israel | | | 0.6 | |
Ivory Coast | | | 0.3 | |
Kazakhstan | | | 0.5 | |
Lebanon | | | 0.2 | |
Malaysia | | | 1.3 | |
Mexico | | | 2.5 | |
Morocco | | | 0.2 | |
Nigeria | | | 1.3 | |
Oman | | | 1.1 | |
Pakistan | | | 0.5 | |
Panama | | | 1.2 | |
Paraguay | | | 0.5 | |
Peru | | | 1.1 | |
Philippines | | | 0.5 | |
Qatar | | | 1.1 | |
Romania | | | 0.4 | |
Russia | | | 4.5 | |
Saudi Arabia | | | 1.4 | |
Senegal | | | 0.2 | |
Singapore | | | 2.0 | |
South Africa | | | 1.7 | |
South Korea | | | 8.8 | |
Sri Lanka | | | 0.2 | |
Taiwan | | | 10.3 | |
Thailand | | | 0.2 | |
Turkey | | | 1.6 | |
See accompanying Notes to Financial Statements.
39
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Country (Continued) | October 31, 2021 |
| | | | |
| Country | | Percentage of
Net Assets | |
Ukraine | | | 1.4 | |
United Arab Emirates | | | 1.2 | |
United Kingdom | | | 0.9 | |
United States | | | 1.7 | |
Uruguay | | | 0.9 | |
Venezuela | | | 0.2 | |
Zambia | | | 0.2 | |
| | | | |
Total | | | 100.2 | % |
| | | | |
See accompanying Notes to Financial Statements.
40
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary | October 31, 2021 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 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 | | $ | — | | | $ | 705,841 | | | $ | — | | | $ | 705,841 | |
Building Materials | | | — | | | | 206,905 | | | | — | | | | 206,905 | |
Chemicals | | | — | | | | 400,447 | | | | — | | | | 400,447 | |
Electric | | | — | | | | 1,226,279 | | | | — | | | | 1,226,279 | |
Engineering & Construction | | | — | | | | 250,078 | | | | — | | | | 250,078 | |
Foreign Government Bonds | | | — | | | | 18,899,091 | | | | 141,369 | | | | 19,040,460 | |
Iron & Steel | | | — | | | | 397,000 | | | | — | | | | 397,000 | |
Mining | | | — | | | | 1,008,758 | | | | — | | | | 1,008,758 | |
Oil & Gas | | | — | | | | 3,924,601 | | | | — | | | | 3,924,601 | |
Pipelines | | | — | | | | 833,030 | | | | — | | | | 833,030 | |
Telecommunications | | | — | | | | 212,120 | | | | — | | | | 212,120 | |
Transportation | | | — | | | | 450,011 | | | | — | | | | 450,011 | |
| | | | | | | | | | | | | | | | |
Total Fixed Income Securities | | | — | | | | 28,514,161 | | | | 141,369 | | | | 28,655,530 | |
| | | | | | | | | | | | | | | | |
Preferred Stock | | | | | | | | | | | | | | | | |
Chemicals | | | 403,837 | | | | — | | | | — | | | | 403,837 | |
Iron & Steel | | | 305,570 | | | | — | | | | — | | | | 305,570 | |
| | | | | | | | | | | | | | | | |
Total Preferred Stock | | | 709,407 | | | | — | | | | — | | | | 709,407 | |
| | | | | | | | | | | | | | | | |
Common Stock | | | | | | | | | | | | | | | | |
Agriculture | | | — | | | | 1,385,017 | | | | — | | | | 1,385,017 | |
Apparel | | | — | | | | 953,779 | | | | — | | | | 953,779 | |
Auto Manufacturers | | | 271,929 | | | | — | | | | — | | | | 271,929 | |
Auto Parts & Equipment | | | 406,030 | | | | — | | | | — | | | | 406,030 | |
Banks | | | — | | | | 607,673 | | | | — | | | | 607,673 | |
Biotechnology | | | — | | | | 1,229,230 | | | | — | | | | 1,229,230 | |
Chemicals | | | — | | | | 1,264,275 | | | | — | | | | 1,264,275 | |
Coal | | | 473,141 | | | | — | | | | — | | | | 473,141 | |
Commercial Services | | | 339,570 | | | | — | | | | — | | | | 339,570 | |
Computers | | | — | | | | 497,740 | | | | — | | | | 497,740 | |
Distribution &Wholesale | | | — | | | | 677,027 | | | | — | | | | 677,027 | |
Diversified Financial Services | | | — | | | | 916,744 | | | | — | | | | 916,744 | |
Electrical Components & Equipment | | | — | | | | 2,823,249 | | | | — | | | | 2,823,249 | |
Electronics | | | — | | | | 1,406,709 | | | | — | | | | 1,406,709 | |
Energy-Alternate Sources | | | — | | | | 588,252 | | | | — | | | | 588,252 | |
Engineering & Construction | | | — | | | | 792,918 | | | | — | | | | 792,918 | |
Entertainment | | | — | | | | 517,492 | | | | — | | | | 517,492 | |
Food | | | 511,938 | | | | 2,246,851 | | | | — | | | | 2,758,789 | |
Health Care-Products | | | — | | | | 368,146 | | | | — | | | | 368,146 | |
Health Care-Services | | | — | | | | 4,272,999 | | | | — | | | | 4,272,999 | |
Home Builders | | | 331,027 | | | | — | | | | — | | | | 331,027 | |
Housewares | | | 458,437 | | | | — | | | | — | | | | 458,437 | |
Internet | | | 5,526,444 | | | | 7,564,274 | | | | — | | | | 13,090,718 | |
Iron & Steel | | | — | | | | 540,929 | | | | — | | | | 540,929 | |
Machinery-Construction & Mining | | | — | | | | 259,594 | | | | — | | | | 259,594 | |
Machinery-Diversified | | | — | | | | 1,088,605 | | | | — | | | | 1,088,605 | |
See accompanying Notes to Financial Statements.
41
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary (Continued) | October 31, 2021 |
| | | | | | | | | | | | | | | | |
Description | | Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1) | | | Other
Significant
Observable
Inputs
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Total | |
Mining | | $ | — | | | $ | 377,828 | | | $ | — | | | $ | 377,828 | |
Oil & Gas | | | 1,087,030 | | | | 2,131,099 | | | | — | | | | 3,218,129 | |
Retail | | | 877,246 | | | | 503,832 | | | | — | | | | 1,381,078 | |
Semiconductors | | | — | | | | 6,020,019 | | | | — | | | | 6,020,019 | |
Telecommunications | | | 497,028 | | | | 1,174,257 | | | | — | | | | 1,671,285 | |
Transportation | | | — | | | | 1,759,429 | | | | — | | | | 1,759,429 | |
| | | | | | | | | | | | | | | | |
Total Common Stock | | | 10,779,820 | | | | 41,967,967 | | | | — | | | | 52,747,787 | |
Money Market Investments | | | 1,431,131 | | | | — | | | | — | | | | 1,431,131 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 12,920,358 | | | $ | 70,482,128 | | | $ | 141,369 | | | $ | 83,543,855 | |
| | | | | | | | | | | | | | | | |
Asset Derivatives | | | | | | | | | | | | | | | | |
Forward Currency Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | | — | | | | 13,113 | | | | — | | | | 13,113 | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | 3,089 | | | | — | | | | — | | | | 3,089 | |
Swap Agreements | | | | | | | | | | | | | | | | |
Credit Risk | | | — | | | | 15,024 | | | | — | | | | 15,024 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 12,923,447 | | | $ | 70,510,265 | | | $ | 141,369 | | | $ | 83,575,081 | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Forward Currency Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | $ | — | | | $ | (1,027 | ) | | $ | — | | | $ | (1,027 | ) |
Swap Agreements | | | | | | | | | | | | | | | | |
Credit Risk | | | — | | | | (1,988 | ) | | | — | | | | (1,988 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | (3,015 | ) | | $ | — | | | $ | (3,015 | ) |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
42
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 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) | | $ | 7,454,991 | | | $ | 7,277,846,300 | | | $ | 233,453,370 | | | $ | 83,543,855 | |
Foreign Currency, at Value (2) | | | 35,749 | | | | — | | | | 3,533,108 | | | | 882,898 | |
Cash | | | — | | | | 2,430,044 | | | | — | | | | — | |
Receivable for Securities Sold | | | 84,662 | | | | 158,834,723 | | | | 626,478 | | | | 1,097,190 | |
Receivable for Fund Shares Sold | | | — | | | | 10,120,560 | | | | 240,880 | | | | 105,250 | |
Interest and Dividends Receivable | | | 729 | | | | 87,982,498 | | | | 4,032,696 | | | | 345,580 | |
Receivable from Investment Advisor | | | 37,518 | | | | 345,085 | | | | 60,081 | | | | 44,001 | |
Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | — | | | | 2,941,430 | | | | 713,760 | | | | 13,113 | |
Cash Collateral Held for Brokers | | | — | | | | 12,770,006 | | | | 310,000 | | | | 18,000 | |
Open Swap Agreements, at Value | | | — | | | | 4,561,588 | | | | — | | | | 15,024 | |
Prepaid Expenses | | | 13,847 | | | | 142,505 | | | | 32,983 | | | | 15,184 | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 7,627,496 | | | | 7,557,974,739 | | | | 243,003,356 | | | | 86,080,095 | |
| | | | | | | | | | | | | | | | |
LIABILITIES | |
Distributions Payable | | | — | | | | 27,313,855 | | | | 604,461 | | | | — | |
Payable for Securities Purchased | | | 77,190 | | | | 241,594,968 | | | | 958,379 | | | | 2,124,349 | |
Payable for Fund Shares Redeemed | | | — | | | | 8,450,745 | | | | 155,004 | | | | 108,639 | |
Accrued Capital Gain Withholding Taxes | | | 24,516 | | | | — | | | | 128,532 | | | | 217,710 | |
Accrued Directors’ Fees and Expenses | | | 10,134 | | | | 10,134 | | | | 10,134 | | | | 10,134 | |
Deferred Accrued Directors’ Fees and Expenses | | | 1,170 | | | | 1,170 | | | | 1,170 | | | | 1,170 | |
Accrued Management Fees | | | 4,967 | | | | 4,699,256 | | | | 154,119 | | | | 63,411 | |
Accrued Distribution Fees | | | 479 | | | | 116,377 | | | | 8,469 | | | | 1,624 | |
Interest Payable on Swap Agreements | | | — | | | | 357,041 | | | | — | | | | 1,371 | |
Payable for Daily Variation Margin on Open Financial Futures Contracts | | | — | | | | 170,847 | | | | — | | | | 682 | |
Open Swap Agreements, at Value | | | — | | | | 455,356 | | | | — | | | | 1,988 | |
Collateral Pledged by Brokers | | | — | | | | 8,440,000 | | | | — | | | | — | |
Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | — | | | | 261,323 | | | | 1,135,793 | | | | 1,027 | |
Transfer Agent Fees Payable | | | 3,056 | | | | 875,247 | | | | 29,234 | | | | 15,394 | |
Administration Fee Payable | | | 13,106 | | | | 594,954 | | | | 33,038 | | | | 22,052 | |
Audit Fees Payable | | | 21,534 | | | | 43,423 | | | | 25,674 | | | | 30,464 | |
Accounting Fees Payable | | | 2,028 | | | | 376,380 | | | | 14,096 | | | | 6,947 | |
Custodian Fees Payable | | | 37,510 | | | | 248,512 | | | | 165,474 | | | | 106,610 | |
Legal Fees Payable | | | 295 | | | | 12,454 | | | | 729 | | | | 460 | |
Other Accrued Expenses | | | 4,847 | | | | 473,776 | | | | 13,725 | | | | 10,221 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 200,832 | | | | 294,495,818 | | | | 3,438,031 | | | | 2,724,253 | |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 7,426,664 | | | $ | 7,263,478,921 | | | $ | 239,565,325 | | | $ | 83,355,842 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
43
TCW Funds, Inc.
Statements of Assets and Liabilities (Continued) | October 31, 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 | | $ | 5,295,317 | | | $ | 8,302,425,389 | | | $ | 279,724,126 | | | $ | 65,802,391 | |
Accumulated Earnings (Loss) | | | 2,131,347 | | | | (1,038,946,468 | ) | | | (40,158,801 | ) | | | 17,553,451 | |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 7,426,664 | | | $ | 7,263,478,921 | | | $ | 239,565,325 | | | $ | 83,355,842 | |
| | | | | | | | | | | | | | | | |
NET ASSETS ATTRIBUTABLE TO: | |
I Class Share | | $ | 5,133,184 | | | $ | 4,720,488,546 | | | $ | 200,018,937 | | | $ | 75,793,392 | |
| | | | | | | | | | | | | | | | |
N Class Share | | $ | 2,293,480 | | | $ | 546,887,123 | | | $ | 39,546,388 | | | $ | 7,562,450 | |
| | | | | | | | | | | | | | | | |
Plan Class Share | | $ | — | | | $ | 1,996,103,252 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
CAPITAL SHARES OUTSTANDING: (3) | |
I Class Share | | | 366,204 | | | | 599,800,333 | | | | 23,628,326 | | | | 5,661,536 | |
| | | | | | | | | | | | | | | | |
N Class Share | | | 163,870 | | | | 53,845,917 | | | | 4,683,092 | | | | 568,662 | |
| | | | | | | | | | | | | | | | |
Plan Class Share | | | — | | | | 253,814,591 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
NET ASSET VALUE PER SHARE: (4) | |
I Class Share | | $ | 14.02 | | | $ | 7.87 | | | $ | 8.47 | | | $ | 13.39 | |
| | | | | | | | | | | | | | | | |
N Class Share | | $ | 14.00 | | | $ | 10.16 | | | $ | 8.44 | | | $ | 13.30 | |
| | | | | | | | | | | | | | | | |
Plan Class Share | | $ | — | | | $ | 7.86 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| (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 October 31, 2021 was $5,645,058, $7,412,669,037, $241,950,500 and $68,284,716, respectively. |
| (2) | The identified cost for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund at October 31, 2021 was $35,748, $3,526,774 and $882,899, 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.
44
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 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 | |
Income: | |
Dividends | | $ | 118,909 | (1) | | $ | — | | | $ | — | | | $ | 882,096 | (1) |
Interest | | | — | | | | 387,996,143 | (2) | | | 12,482,397 | (2) | | | 1,651,266 | (2) |
| | | | | | | | | | | | | | | | |
Total | | | 118,909 | | | | 387,996,143 | | | | 12,482,397 | | | | 2,533,362 | |
| | | | | | | | | | | | | | | | |
Expenses: | |
Management Fees | | | 58,846 | | | | 56,970,430 | | | | 1,879,444 | | | | 853,241 | |
Accounting Services Fees | | | 2,121 | | | | 419,369 | | | | 14,283 | | | | 7,639 | |
Administration Fees | | | 14,175 | | | | 652,736 | | | | 35,308 | | | | 23,890 | |
Transfer Agent Fees: | |
I Class | | | 6,192 | | | | 4,002,924 | | | | 117,321 | | | | 62,750 | |
N Class | | | 6,138 | | | | 334,080 | | | | 39,079 | | | | 16,809 | |
Plan Class | | | — | | | | 156,297 | | | | — | | | | — | |
Custodian Fees | | | 42,388 | | | | 249,862 | | | | 169,208 | | | | 113,069 | |
Professional Fees | | | 32,644 | | | | 134,462 | | | | 43,155 | | | | 46,701 | |
Directors’ Fees and Expenses | | | 43,054 | | | | 43,054 | | | | 43,054 | | | | 43,054 | |
Registration Fees: | |
I Class | | | 16,972 | | | | 141,763 | | | | 23,876 | | | | 18,020 | |
N Class | | | 16,972 | | | | 25,683 | | | | 20,826 | | | | 17,601 | |
Plan Class | | | — | | | | 33,187 | | | | — | | | | — | |
Distribution Fees: | |
N Class | | | 5,623 | | | | 997,608 | | | | 84,976 | | | | 22,133 | |
Compliance Expense | | | 18,984 | | | | 18,984 | | | | 18,984 | | | | 18,984 | |
Shareholder Reporting Expense | | | 1,210 | | | | 12,279 | | | | 4,536 | | | | 3,903 | |
Tax Agent Fees | | | 3,205 | | | | — | | | | — | | | | — | |
Other | | | 12,308 | | | | 1,013,756 | | | | 35,440 | | | | 20,767 | |
| | | | | | | | | | | | | | | | |
Total | | | 280,832 | | | | 65,206,474 | | | | 2,529,490 | | | | 1,268,561 | |
| | | | | | | | | | | | | | | | |
Less Expenses Borne by Investment Advisor: | | | | | | | | | | | | | | | | |
I Class | | | 128,809 | | | | 251,148 | | | | 238,837 | | | | 246,825 | |
N Class | | | 72,303 | | | | 699,034 | | | | 143,706 | | | | 56,017 | |
Plan Class | | | — | | | | 439,157 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 79,720 | | | | 63,817,135 | | | | 2,146,947 | | | | 965,719 | |
| | | | | | | | | | | | | | | | |
Net Investment Income | | | 39,189 | | | | 324,179,008 | | | | 10,335,450 | | | | 1,567,643 | |
| | | | | | | | | | | | | | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | |
Investments | | | 1,075,988 | (3) | | | 97,195,985 | | | | (4,728,058 | ) (3) | | | 13,414,022 | (3) |
Foreign Currency | | | (17,059 | ) | | | (606,013 | ) | | | (23,455 | ) | | | (143,176 | ) |
Foreign Currency Forward Contracts | | | — | | | | 3,161,000 | | | | (282,503 | ) | | | 13,338 | |
Futures Contracts | | | — | | | | (232,241 | ) | | | — | | | | (863 | ) |
Options Written | | | — | | | | 533,445 | | | | 14,549 | | | | 1,922 | |
Swap Agreements | | | — | | | | (5,313,947 | ) | | | — | | | | (19,255 | ) |
Change in Unrealized Appreciation (Depreciation) on: | |
Investments | | | 27,734 | (4) | | | (166,327,669 | ) | | | (4,001,856 | ) (4) | | | (3,384,880 | ) (4) |
Foreign Currency | | | 19 | | | | (109,166 | ) | | | (55,044 | ) | | | 2,162 | |
Foreign Currency Forward Contracts | | | — | | | | 2,680,107 | | | | 252,040 | | | | 12,086 | |
Futures contracts | | | — | | | | 767,718 | | | | — | | | | 3,089 | |
Swap Agreements | | | — | | | | 2,607,610 | | | | — | | | | 9,575 | |
| | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | | | 1,086,682 | | | | (65,643,171 | ) | | | (8,824,327 | ) | | | 9,908,020 | |
| | | | | | | | | | | | | | | | |
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 1,125,871 | | | $ | 258,535,837 | | | $ | 1,511,123 | | | $ | 11,475,663 | |
| | | | | | | | | | | | | | | | |
| (1) | Net of foreign taxes withheld. Total amounts withheld for the TCW Developing Markets Equity Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund were $11,541 and $96,235. |
| (2) | Net of foreign taxes withheld of $117,969, $637,135 and $1,444 for the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
| (3) | Net of capital gain withholding taxes of $17,079, $138,860 and $262,810 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 $24,516, $85,467 and $217,710 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.
45
TCW Funds, Inc.
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | TCW
Developing Markets Equity
Fund | | | TCW
Emerging Markets Income
Fund | |
| | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | |
OPERATIONS | |
Net Investment Income | | $ | 39,189 | | | $ | 8,578 | | | $ | 324,179,008 | | | $ | 308,612,314 | |
Net Realized Gain (Loss) on Investments, Futures Contracts, Options Written, Swap Agreements and Foreign Currency Transactions | | | 1,058,929 | | | | 44,923 | | | | 94,738,229 | | | | (338,193,361 | ) |
Change in Unrealized Appreciation (Depreciation) on Investments, Futures Agreements, Foreign Currency Transactions and Swap Agreements | | | 27,753 | | | | 917,665 | | | | (160,381,400 | ) | | | (105,419,880 | ) |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Operations | | | 1,125,871 | | | | 971,166 | | | | 258,535,837 | | | | (135,000,927 | ) |
| | | | | | | | | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | |
Distributions to Shareholders | | | (8,519 | ) | | | (48,424 | ) | | | (343,231,435 | ) | | | (264,163,379 | ) |
Return of Capital | | | — | | | | — | | | | (15,575,053 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions to Shareholders | | | (8,519 | ) | | | (48,424 | ) | | | (358,806,488 | ) | | | (264,163,379 | ) |
| | | | | | | | | | | | | | | | |
NET CAPITAL SHARE TRANSACTIONS | |
I Class | | | 33,504 | | | | (411,831 | ) | | | (1,136,294,277 | ) | | | 573,962,838 | |
N Class | | | 100,948 | | | | 17,677 | | | | 298,150,055 | | | | (41,759,889 | ) |
Plan Class | | | — | | | | — | | | | 1,573,919,777 | | | | 505,891,393 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | | | 134,452 | | | | (394,154 | ) | | | 735,775,555 | | | | 1,038,094,342 | |
| | | | | | | | | | | | | | | | |
Increase in Net Assets | | | 1,251,804 | | | | 528,588 | | | | 635,504,904 | | | | 638,930,036 | |
NET ASSETS | |
Beginning of year | | | 6,174,860 | | | | 5,646,272 | | | | 6,627,974,017 | | | | 5,989,043,981 | |
| | | | | | | | | | | | | | | | |
End of year | | $ | 7,426,664 | | | $ | 6,174,860 | | | $ | 7,263,478,921 | | | $ | 6,627,974,017 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
46
TCW Funds, Inc.
Statements of Changes in Net Assets (Continued)
| | | | | | | | | | | | | | | | |
| | | TCW
Emerging Markets Local
Currency Income Fund | | | TCW
Emerging Markets Multi-Asset
Opportunities Fund | |
| | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | | | Year Ended
October 31,
2021 | | | Year Ended
October 31,
2020 | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 10,335,450 | | | $ | 11,510,009 | | | $ | 1,567,643 | | | $ | 1,843,526 | |
Net Realized Gain (Loss) on Investments, Futures Contracts, Options Written, Swap Agreements and Foreign Currency Transactions | | | (5,019,467 | ) | | | (13,373,717 | ) | | | 13,265,988 | | | | (2,586,133 | ) |
Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts, Foreign Currency Transactions and Swap Agreements | | | (3,804,860 | ) | | | (14,775,718 | ) | | | (3,357,968 | ) | | | 9,209,533 | |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Operations | | | 1,511,123 | | | | (16,639,426 | ) | | | 11,475,663 | | | | 8,466,926 | |
| | | | | | | | | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | | | | | | | | | |
Distributions to Shareholders | | | (6,333,475 | ) | | | (2,682,634 | ) | | | (1,350,163 | ) | | | (3,149,794 | ) |
Return of Capital | | | — | | | | (1,042,577 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions to Shareholders | | | (6,333,475 | ) | | | (3,725,211 | ) | | | (1,350,163 | ) | | | (3,149,794 | ) |
| | | | | | | | | | | | | | | | |
NET CAPITAL SHARE TRANSACTIONS | |
I Class | | | 10,863,518 | | | | (9,987,358 | ) | | | (17,784,910 | ) | | | (8,000,705 | ) |
N Class | | | 15,515,390 | | | | (618,188 | ) | | | (2,174,933 | ) | | | (3,340,090 | ) |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | | | 26,378,908 | | | | (10,605,546 | ) | | | (19,959,843 | ) | | | (11,340,795 | ) |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | 21,556,556 | | | | (30,970,183 | ) | | | (9,834,343 | ) | | | (6,023,663 | ) |
NET ASSETS | |
Beginning of year | | | 218,008,769 | | | | 248,978,952 | | | | 93,190,185 | | | | 99,213,848 | |
| | | | | | | | | | | | | | | | |
End of year | | $ | 239,565,325 | | | $ | 218,008,769 | | | $ | 83,355,842 | | | $ | 93,190,185 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
47
TCW Funds, Inc.
Notes to Financial Statements
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 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 of companies or 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, a developing market country. The Fund may invest up to 20% of its net assets, plus any borrowings for investment purposes, in derivative instruments. |
| 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. |
48
TCW Funds, Inc.
October 31, 2021
Note 1 — Organization (Continued)
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, swap agreements and forward currency contracts, 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 Board and under the general oversight of the Board.
Fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Funds disclose investments in their financial statements in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements based on inputs. Inputs that go into fair value measurement refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs
49
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 as Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
Fair Value Measurements: Descriptions of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized as 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 as 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 as Level 3.
50
TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
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 as Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are generally categorized as Level 2 of the fair value hierarchy; if a discount is applied and significant, they are categorized as Level 3. Restricted securities held in non-public entities are categorized as 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 as 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 as 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 as Level 1.
Money market funds. Money market funds are open-end mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported NAV, they are categorized as Level 1 of the fair value hierarchy.
Options and Swaptions contracts. Exchange-listed options contracts are traded on securities exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange-listed options contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. Options and swaptions contracts traded over-the-counter (“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-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC options and swaptions contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, issued by non-public entities are categorized as 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 as Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
Short-term investments. Short-term investments are valued using market price quotations, and are categorized as Level 1 or Level 2 of the fair value hierarchy.
U.S. and foreign government and agency securities. Government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. and foreign government and agency securities are normally categorized as 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 October 31, 2021 in valuing the Funds’ investments is listed after the Schedule of Investments for each Fund.
51
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
| | | | | | | | |
| | | TCW
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) | | | 2,187,062 | | | | 17,696 | |
Purchases | | | — | | | | — | |
Sales | | | — | | | | — | |
Transfers in to Level 3 | | | — | | | | — | |
Transfers out of Level 3 | | | — | | | | — | |
| | | | | | | | |
Balance as of October 31, 2021 | | $ | 17,917,631 | | | $ | 141,369 | |
| | | | | | | | |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at October 31, 2021 | | $ | 2,187,062 | | | $ | 17,696 | |
| | | | | | | | |
Significant unobservable valuation inputs for Level 3 investments as of October 31, 2021 are as follows:
| | | | | | | | | | | | |
Description | | Fair Value at
10/31/2021 | | | Valuation Techniques | | Unobservable
Input | | Price or Price
Range | | Average
Weighted
Price |
TCW Emerging Markets Income Fund |
Government Issues | | | $ 17,917,631 | | | Third-party Vendor | | Vendor Prices | | $10.500–$10.625 | | $10.536 |
TCW Emerging Markets Multi-Asset Opportunities Fund |
Government Issues | | | $ 141,369 | | | Third-party Vendor | | Vendor Prices | | $10.500–$10.625 | | $10.574 |
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.
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
52
TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
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.
53
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
For the year ended October 31, 2021, the following Funds had derivatives and transactions in derivatives, grouped in the following risk categories:
TCW Emerging Markets Income Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Credit Risk | | | Commodity
Risk | | | Foreign
Currency
Risk | | | Interest
Rate
Risk | | | Total | |
Statement of Assets and Liabilities: | | | | | | | | | | | | | | | | | | | | |
Asset Derivatives | |
Swap Agreements | | $ | 4,561,588 | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,561,588 | |
Futures Contracts (1) | | | — | | | | — | | | | — | | | | 767,718 | | | | 767,718 | |
Forward Contracts | | | — | | | | — | | | | 2,941,430 | | | | — | | | | 2,941,430 | |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | 4,561,588 | | | $ | — | | | $ | 2,941,430 | | | $ | 767,718 | | | $ | 8,270,736 | |
| | | | | | | | | | | | | | | | | | | | |
Liability Derivatives | |
Forward Contracts | | $ | — | | | $ | — | | | $ | (261,323 | ) | | $ | — | | | $ | (261,323 | ) |
Swap Agreements | | | (455,356 | ) | | | — | | | | — | | | | — | | | | (455,356 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | (455,356 | ) | | $ | — | | | $ | (261,323 | ) | | $ | — | | | $ | (716,679 | ) |
| | | | | | | | | | | | | | | | | | | | |
Statement of Operations: | |
Net Realized Gain (Loss) | |
Forward Contracts | | $ | — | | | $ | — | | | $ | 3,161,000 | | | $ | — | | | $ | 3,161,000 | |
Futures Contracts | | | — | | | | — | | | | — | | | | (232,241 | ) | | | (232,241 | ) |
Investments (2) | | | — | | | | — | | | | (2,162,131 | ) | | | (3,996,619 | ) | | | (6,158,750 | ) |
Options Written | | | — | | | | — | | | | 533,445 | | | | — | | | | 533,445 | |
Swap Agreements | | | (5,313,947 | ) | | | — | | | | — | | | | — | | | | (5,313,947 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | $ | (5,313,947 | ) | | $ | — | | | $ | 1,532,314 | | | $ | (4,228,860 | ) | | $ | (8,010,493 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | |
Forward Contracts | | $ | — | | | $ | — | | | $ | 2,680,107 | | | $ | — | | | $ | 2,680,107 | |
Futures Contracts | | | — | | | | — | | | | — | | | | 767,718 | | | | 767,718 | |
Investments (3) | | | — | | | | — | | | | (116,440 | ) | | | — | | | | (116,440 | ) |
Swap Agreements | | | 2,607,610 | | | | — | | | | — | | | | — | | | | 2,607,610 | |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | $ | 2,607,610 | | | $ | — | | | $ | 2,563,667 | | | $ | 767,718 | | | $ | 5,938,995 | |
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts or Notional Amounts (4) | |
Forward Currency Contracts | | | $ — | | | | $ — | | | | $95,543,133 | | | | $ — | | | | $95,543,133 | |
Options Purchased | | | $ — | | | | $ — | | | | $177,629,667 | | | | $20,910 | | | | $177,650,577 | |
Options Written | | | $ — | | | | $ — | | | | $87,450,000 | | | | $ — | | | | $87,450,000 | |
Futures Contracts | | | — | | | | — | | | | — | | | | 747 | | | | 747 | |
Swap Agreements | | | $368,453,333 | | | | $ — | | | | $ — | | | | $ — | | | | $368,453,333 | |
54
TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Local Currency Income Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Credit Risk | | | Commodity
Risk | | | Foreign
Currency
Risk | | | Interest
Rate
Risk | | | Total | |
Statement of Assets and Liabilities: | | | | | | | | | | | | | | | | | | | | |
Asset Derivatives | |
Forward Contracts | | $ | — | | | $ | — | | | $ | 713,760 | | | $ | — | | | $ | 713,760 | |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | — | | | $ | 713,760 | | | $ | — | | | $ | 713,760 | |
| | | | | | | | | | | | | | | | | | | | |
Liability Derivatives | |
Forward Contracts | | $ | — | | | $ | — | | | $ | (1,135,793 | ) | | $ | — | | | $ | (1,135,793 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | — | | | $ | — | | | $ | (1,135,793 | ) | | $ | — | | | $ | (1,135,793 | ) |
| | | | | | | | | | | | | | | | | | | | |
Statement of Operations: | |
Net Realized Gain (Loss) | |
Forward Contracts | | $ | — | | | $ | — | | | $ | (282,503 | ) | | $ | — | | | $ | (282,503 | ) |
Investments (2) | | | — | | | | — | | | | (96,867 | ) | | | — | | | | (96,867 | ) |
Options Written | | | — | | | | — | | | | 14,549 | | | | — | | | | 14,549 | |
| | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | $ | — | | | $ | — | | | $ | (364,821 | ) | | $ | — | | | $ | (364,821 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | |
Forward Contracts | | $ | — | | | $ | — | | | $ | 252,040 | | | $ | — | | | $ | 252,040 | |
Investments (3) | | | — | | | | — | | | | (7,686 | ) | | | — | | | | (7,686 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | $ | — | | | $ | — | | | $ | 244,354 | | | $ | — | | | $ | 244,354 | |
| | | | | | | | | | | | | | | | | | | | |
Notional Amounts (4) | |
Forward Currency Contracts | | | $ — | | | | $ — | | | | $93,406,747 | | | | $ — | | | | $93,406,747 | |
Options Purchased | | | $ — | | | | $ — | | | | $9,488,333 | | | | $ — | | | | $9,488,333 | |
Options Written | | | $ — | | | | $ — | | | | $2,385,000 | | | | $ — | | | | $2,385,000 | |
TCW Emerging Markets Multi-Asset Opportunities Fund
| | | | | | | | | | | | | | | | | | | | |
| | | Credit Risk | | | Commodity
Risk | | | Foreign
Currency
Risk | | | Interest
Rate
Risk | | | Total | |
Statement of Assets and Liabilities: | | | | | | | | | | | | | | | | | | | | |
Asset Derivatives | |
Swap Agreements | | $ | 15,024 | | | $ | — | | | $ | — | | | $ | — | | | $ | 15,024 | |
Futures Contracts (1) | | | — | | | | — | | | | — | | | | 3,089 | | | | 3,089 | |
Forward Contracts | | | — | | | | — | | | | 13,113 | | | | — | | | | 13,113 | |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | 15,024 | | | $ | — | | | $ | 13,113 | | | $ | 3,089 | | | $ | 31,226 | |
| | | | | | | | | | | | | | | | | | | | |
Liability Derivatives | |
Forward Contracts | | $ | — | | | $ | — | | | $ | (1,027 | ) | | $ | — | | | $ | (1,027 | ) |
Swap Agreements | | | (1,988 | ) | | | — | | | | — | | | | — | | | | (1,988 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Value | | $ | (1,988 | ) | | $ | — | | | $ | (1,027 | ) | | $ | — | | | $ | (3,015 | ) |
| | | | | | | | | | | | | | | | | | | | |
55
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Multi-Asset Opportunities Fund (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | Credit Risk | | | Commodity
Risk | | | Foreign
Currency
Risk | | | Interest
Rate
Risk | | | Total | |
Statement of Operations: | |
Net Realized Gain (Loss) | |
Forward Contracts | | $ | — | | | $ | — | | | $ | 13,338 | | | $ | — | | | $ | 13,338 | |
Futures Contracts | | | — | | | | — | | | | — | | | | (863 | ) | | | (863 | ) |
Investments (2) | | | — | | | | — | | | | (8,389 | ) | | | (21,762 | ) | | | (30,151 | ) |
Options Written | | | — | | | | — | | | | 1,922 | | | | — | | | | 1,922 | |
Swap Agreements | | | (19,255 | ) | | | — | | | | — | | | | — | | | | (19,255 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | $ | (19,255 | ) | | $ | — | | | $ | 6,871 | | | $ | (22,625 | ) | | $ | (35,009 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | |
Forward Contracts | | $ | — | | | $ | — | | | $ | 12,086 | | | $ | — | | | $ | 12,086 | |
Futures Contracts | | | — | | | | — | | | | — | | | | 3,089 | | | | 3,089 | |
Investments (3) | | | — | | | | — | | | | (521 | ) | | | — | | | | (521 | ) |
Swap Agreements | | | 9,575 | | | | — | | | | — | | | | — | | | | 9,575 | |
| | | | | | | | | | | | | | | | | | | | |
Net Change in Appreciation (Depreciation) | | $ | 9,575 | | | $ | — | | | $ | 11,565 | | | $ | 3,089 | | | $ | 24,229 | |
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts or Notional Amounts (4) | |
Forward Currency Contracts | | | $ — | | | | $ — | | | | $424,455 | | | | $ — | | | | $424,455 | |
Options Purchased | | | $ — | | | | $ — | | | | $736,667 | | | | $116 | | | | $736,783 | |
Options Written | | | $ — | | | | $ — | | | | $315,000 | | | | $ — | | | | $315,000 | |
Futures Contracts | | | $ — | | | | $ — | | | | $ — | | | | $3 | | | | $3 | |
Swap Agreements | | | $1,425,556 | | | | $ — | | | | $ — | | | | $ — | | | | $1,425,556 | |
| (1) | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin on October 31, 2021 is reported within the Statement of Assets and Liabilities. |
| (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 year ended October 31, 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 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.
56
TCW Funds, Inc.
October 31, 2021
Note 2 — Significant Accounting Policies (Continued)
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, 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
57
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 October 31, 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) | |
Barclays Capital Inc. | | $ | 4,476,981 | | | $ | | | | $ | 4,476,981 | | | $ | (4,476,981 | ) (2) | | $ | — | |
BNP Paribas S.A. | | | — | | | | (261,323 | ) | | | (261,323 | ) | | | — | | | | (261,323 | ) |
Citibank N.A | | | 2,930,158 | | | | — | | | | 2,930,158 | | | | (2,500,000 | ) | | | 430,158 | |
Goldman Sachs & Co. | | | 95,879 | | | | — | | | | 95,879 | | | | — | | | | 95,879 | |
Morgan Stanley & Co. | | | — | | | | (455,356 | ) | | | (455,356 | ) | | | 455,356 | (2) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 7,503,018 | | | $ | (716,679 | ) | | $ | 6,786,339 | | | $ | (6,521,625 | ) | | $ | 264,714 | |
| | | | | | | | | | | | | | | | | | | | |
| (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. |
58
TCW Funds, Inc.
October 31, 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. | | $ | 52,143 | | | $ | (471,717 | ) | | $ | (419,574 | ) | | $ | 310,000 | | | $ | (109,574 | ) |
Barclays Capital | | | 211,923 | | | | (300,987 | ) | | | (89,064 | ) | | | — | | | | (89,064 | ) |
BNP Paribas S.A. | | | 149,962 | | | | (62,974 | ) | | | 86,988 | | | | — | | | | 86,988 | |
Citibank N.A. | | | 77,010 | | | | (24,701 | ) | | | 52,309 | | | | — | | | | 52,309 | |
Goldman Sachs & Co. | | | — | | | | (3,646 | ) | | | (3,646 | ) | | | — | | | | (3,646 | ) |
JPMorgan Chase Bank | | | 77,835 | | | | (186,561 | ) | | | (108,726 | ) | | | — | | | | (108,726 | ) |
Morgan Stanley & Co. | | | 144,887 | | | | (85,207 | ) | | | 59,680 | | | | — | | | | 59,680 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 713,760 | | | $ | (1,135,793 | ) | | $ | (422,033 | ) | | $ | 310,000 | | | $ | (112,033 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
TCW Emerging Markets Multi-Asset Opportunities Fund
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Gross Assets
Subject to Master
Agreements | | | Gross Liabilities
Subject to Master
Agreements | | | Net Assets
(Liabilities)
Subject to Master
Agreements | | | Collateral
Pledged
(Received) | | | Net
Amount (1) | |
Barclays Capital Inc. | | $ | 14,731 | | | $ | — | | | $ | 14,731 | | | $ | — | | | $ | 14,731 | |
BNP Paribas S.A. | | | — | | | | (1,027 | ) | | | (1,027 | ) | | | — | | | | (1,027 | ) |
Citibank N.A. | | | 13,045 | | | | — | | | | 13,045 | | | | — | | | | 13,045 | |
Goldman Sachs & Co. | | | 361 | | | | — | | | | 361 | | | | — | | | | 361 | |
Morgan Stanley & Co. | | | — | | | | (1,988 | ) | | | (1,988 | ) | | | — | | | | (1,988 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 28,137 | | | $ | (3,015 | ) | | $ | 25,122 | | | $ | — | | | $ | 25,122 | |
| | | | | | | | | | | | | | | | | | | | |
| (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
59
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 3 — Portfolio Investments (Continued)
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 the 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 October 31, 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 October 31, 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 year ended October 31, 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 October 31, 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
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Note 3 — Portfolio Investments (Continued)
a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk. Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by a Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of a Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it.
When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts outstanding at October 31, 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
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 3 — Portfolio Investments (Continued)
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 year ended October 31, 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
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October 31, 2021
Note 3 — Portfolio Investments (Continued)
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 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 year ended October 31, 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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Notes to Financial Statements (Continued)
Note 4 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, and 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: The London Interbank Offer Rate (“LIBOR”) historically has been and currently 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 July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. It is expected that market participants will transition to the use of different alternative reference or benchmark rates. However, although regulators have encouraged the development and adoption of alternative rates such as the Secured Overnight Financing Rate (“SOFR”), there is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including investment companies such as the Funds. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain how such changes would be implemented and the effects such changes would have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.
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.
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Note 4 — Risk Considerations (Continued)
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which a Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions.
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 currencies have 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 outbreak of the novel coronavirus (“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.
The World Health Organization declared in March 2020 that the COVID-19 outbreak officially constitutes a “pandemic.” 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, imposed and in some cases 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.
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. Even if COVID-19’s spread is substantially contained, it will be difficult to assess what the longer-term impacts of an extended period of unprecedented economic dislocation and disruption will be on future economic developments, the health of certain markets, industries and businesses, and commercial and consumer behavior. The ongoing COVID-19 crisis and any other public health emergency that may arise in the future could have a significant adverse impact on our investments and result in significant investment losses.
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 4 — Risk Considerations (Continued)
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 October 31, 2021, the components of distributable earnings on a tax basis were as follows:
| | | | | | | | | | | | |
| | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Gain | | | Total
Distributable
Earnings | |
TCW Developing Markets Equity Fund | | $ | 257,955 | | | $ | 173,036 | | | $ | 430,991 | |
TCW Emerging Markets Local Currency Income Fund | | | 2,194,800 | | | | — | | | | 2,194,800 | |
TCW Emerging Markets Multi-Asset Opportunities Fund | | | 3,715,182 | | | | — | | | | 3,715,182 | |
At the end of the previous fiscal year ended 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 | |
Permanent differences incurred during the year ended October 31, 2021, resulting from differences in book and tax accounting, have been reclassified at year-end between undistributed net investment income (loss), undistributed (accumulated) net realized gain (loss) and paid-in capital as follows, with no impact to the net asset value per share:
| | | | | | | | | | | | |
| | | Undistributed
Net Investment
Income (Loss) | | | Undistributed
Accumulated
Net Realized
Gain (Loss) | | | Paid-in
Capital | |
TCW Developing Markets Equity Fund | | $ | 158,328 | | | $ | (158,328 | ) | | $ | — | |
TCW Emerging Markets Income Fund | | | (17,985,876 | ) | | | 17,985,876 | | | | — | |
TCW Emerging Markets Local Currency Income Fund | | | (2,524,469 | ) | | | 2,524,469 | | | | — | |
TCW Emerging Markets Multi-Asset Opportunities Fund | | | 1,633,359 | | | | (1,633,359 | ) | | | — | |
During the year ended October 31, 2021, the tax character of distributions paid was as follows:
| | | | | | | | | | | | | | | | |
| | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return of
Capital Gain | | | Total
Distributions | |
TCW Developing Markets Equity Fund | | $ | 8,519 | | | $ | — | | | $ | — | | | $ | 8,519 | |
TCW Emerging Markets Income Fund | | | 343,231,435 | | | | — | | | | 15,575,053 | | | | 358,806,488 | |
TCW Emerging Markets Local Currency Income Fund | | | 6,333,475 | | | | — | | | | — | | | | 6,333,475 | |
TCW Emerging Markets Multi-Asset Opportunities Fund | | | 1,350,163 | | | | — | | | | — | | | | 1,350,163 | |
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Note 5 — Federal Income Taxes (Continued)
During the previous fiscal year ended October 31, 2020, the tax character of distributions paid was as follows:
| | | | | | | | | | | | | | | | |
| | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return of
Capital Gain | | | 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 | |
At October 31, 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 | | $ | 1,990,118 | | | $ | (266,023 | ) | | $ | 1,724,095 | | | $ | 5,730,898 | |
TCW Emerging Markets Income Fund | | | 128,827,735 | | | | (271,095,168 | ) | | | (142,267,433 | ) | | | 7,420,113,733 | |
TCW Emerging Markets Local Currency Income Fund | | | 4,231,483 | | | | (17,568,583 | ) | | | (13,337,100 | ) | | | 246,790,470 | |
TCW Emerging Markets Multi-Asset Opportunities Fund | | | 17,326,287 | | | | (2,934,538 | ) | | | 14,391,749 | | | | 69,152,106 | |
At October 31, 2021, the following Funds had net realized loss carryforwards for federal income tax purposes:
| | | | | | | | | | | | |
| | | Short-Term
Capital Losses | | | Long-Term
Capital Losses | | | Total | |
TCW Emerging Markets Income Fund | | $ | 619,871,302 | | | $ | 249,351,683 | | | $ | 869,222,985 | |
TCW Emerging Markets Local Currency Income Fund | | | 16,455,568 | | | | 11,909,838 | | | | 28,365,406 | |
TCW Emerging Markets Multi-Asset Opportunities Fund | | | 334,987 | | | | — | | | | 334,987 | |
The Funds did not have any unrecognized tax benefits at October 31, 2021, nor were there any increases or decreases in unrecognized tax benefits for the year ended October 31, 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) |
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Note 6 — Fund Management Fees and Other Expenses (Continued)
| | | | |
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 Statements 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 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the year ended October 31, 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 | | $ | 12,418,742 | | | $ | 12,367,220 | | | $ | — | | | $ | — | |
TCW Emerging Markets Income Fund | | | 11,463,762,105 | | | | 10,861,786,381 | | | | — | | | | — | |
TCW Emerging Markets Local Currency Income Fund | | | 309,450,193 | | | | 268,831,270 | | | | — | | | | — | |
TCW Emerging Markets Multi-Asset Opportunities Fund | | | 151,658,670 | | | | 172,767,227 | | | | — | | | | — | |
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Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
| | | | | | | | | | | | | | | | |
| TCW Developing Markets Equity Fund | | Year Ended
October 31, 2021 | | | 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 | | | 2,321 | | | $ | 33,504 | | | | (37,382 | ) | | $ | (411,831 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 7,241 | | | $ | 106,426 | | | | 1,216 | | | $ | 13,132 | |
Shares Issued upon Reinvestment of Dividends | | | 192 | | | | 2,515 | | | | 1,249 | | | | 13,514 | |
Shares Redeemed | | | (576 | ) | | | (7,993 | ) | | | (790 | ) | | | (8,969 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 6,857 | | | $ | 100,948 | | | | 1,675 | | | $ | 17,677 | |
| | | | | | | | | | | | | | | | |
| | |
| TCW Emerging Markets Income Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 254,514,594 | | | $ | 2,100,119,594 | | | | 407,216,881 | | | $ | 3,219,444,990 | |
Shares Issued upon Reinvestment of Dividends | | | 23,224,316 | | | | 190,016,307 | | | | 20,069,095 | | | | 158,869,516 | |
Shares Redeemed | | | (418,769,744 | ) | | | (3,426,430,178 | ) | | | (367,301,484 | ) | | | (2,804,351,668 | ) |
| | | | | | | | | | | | | | | | |
Net Decrease | | | (141,030,834 | ) | | $ | (1,136,294,277 | ) | | | 59,984,492 | | | $ | 573,962,838 | |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 36,286,835 | | | $ | 382,971,050 | | | | 9,014,340 | | | $ | 91,463,896 | |
Shares Issued upon Reinvestment of Dividends | | | 1,636,920 | | | | 17,253,734 | | | | 1,156,277 | | | | 11,834,869 | |
Shares Redeemed | | | (9,637,238 | ) | | | (102,074,729 | ) | | | (14,496,727 | ) | | | (145,058,654 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 28,286,517 | | | $ | 298,150,055 | | | | (4,326,110 | ) | | $ | (41,759,889 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| Plan Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 236,700,946 | | | $ | 1,937,124,302 | | | | 62,628,616 | | | $ | 513,316,199 | |
Shares Issued upon Reinvestment of Dividends | | | 3,381,925 | | | | 27,630,384 | | | | 233,613 | | | | 1,854,887 | |
Shares Redeemed | | | (47,977,217 | ) | | | (390,834,909 | ) | | | (1,153,292 | ) | | | (9,279,693 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 192,105,654 | | | $ | 1,573,919,777 | | | | 61,708,937 | | | $ | 505,891,393 | |
| | | | | | | | | | | | | | | | |
| | |
TCW Emerging Markets Local Currency Income
Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 8,138,840 | | | $ | 73,470,198 | | | | 10,025,553 | | | $ | 88,383,393 | |
Shares Issued upon Reinvestment of Dividends | | | 537,045 | | | | 4,790,678 | | | | 333,736 | | | | 3,073,757 | |
Shares Redeemed | | | (7,538,724 | ) | | | (67,397,358 | ) | | | (11,958,101 | ) | | | (101,444,508 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 1,137,161 | | | $ | 10,863,518 | | | | (1,598,812 | ) | | $ | (9,987,358 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 2,843,918 | | | $ | 25,653,168 | | | | 2,073,557 | | | $ | 17,751,724 | |
Shares Issued upon Reinvestment of Dividends | | | 88,058 | | | | 782,686 | | | | 42,664 | | | | 392,147 | |
Shares Redeemed | | | (1,212,557 | ) | | | (10,920,464 | ) | | | (2,212,200 | ) | | | (18,762,059 | ) |
| | | | | | | | | | | | | | | | |
Net Increase | | | 1,719,419 | | | $ | 15,515,390 | | | | (95,979 | ) | | $ | (618,188 | ) |
| | | | | | | | | | | | | | | | |
69
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 9 — Capital Share Transactions (Continued)
| | | | | | | | | | | | | | | | |
TCW Emerging Markets Multi-Asset
Opportunities Fund | | Year Ended
October 31, 2021 | | | Year Ended
October 31, 2020 | |
| I Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 378,772 | | | $ | 5,137,434 | | | | 400,006 | | | $ | 4,508,190 | |
Shares Issued upon Reinvestment of Dividends | | | 94,826 | | | | 1,236,530 | | | | 242,396 | | | | 2,799,681 | |
Shares Redeemed | | | (1,789,062 | ) | | | (24,158,874 | ) | | | (1,397,688 | ) | | | (15,308,576 | ) |
| | | | | | | | | | | | | | | | |
Net Decrease | | | (1,315,464 | ) | | $ | (17,784,910 | ) | | | (755,286 | ) | | $ | (8,000,705 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| N Class | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Sold | | | 151,065 | | | $ | 2,009,132 | | | | 145,525 | | | $ | 1,639,723 | |
Shares Issued upon Reinvestment of Dividends | | | 8,747 | | | | 113,452 | | | | 29,582 | | | | 340,484 | |
Shares Redeemed | | | (323,857 | ) | | | (4,297,517 | ) | | | (490,864 | ) | | | (5,320,297 | ) |
| | | | | | | | | | | | | | | | |
Net Decrease | | | (164,045 | ) | | $ | (2,174,933 | ) | | | (315,757 | ) | | $ | (3,340,090 | ) |
| | | | | | | | | | | | | | | | |
Note 10 — Affiliate Ownership
As of October 31, 2021, affiliates of the Funds and Advisor owned 97.59% and 9.03% 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 October 31, 2021.
Note 12 — Committed Line Of Credit
The Funds have entered into a $100,000,000 committed revolving line of credit agreement with 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 year ended October 31, 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 — 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
70
TCW Funds, Inc.
October 31, 2021
Note 13 — Indemnifications (Continued)
the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
Note 14 — New Accounting Pronouncement
In January 2021, the Financial Accounting Standards Board issued Accounting Standards Update No. 2021-01 (“ASU 2021-01”), “Reference Rate Reform (Topic 848).” ASU 2021-01 is an update of ASU 2020-04, which is in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR; regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The ASU 2021-01 update clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. The amendments in this update are effective immediately through December 31, 2022, for all entities. Management is currently evaluating the implications, if any, of the additional requirements and its impact on the Portfolio’s financial statements.
71
TCW Developing Markets Equity Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 11.86 | | | $ | 10.14 | | | $ | 9.39 | | | $ | 11.17 | | | $ | 9.10 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (1) | | | 0.08 | | | | 0.02 | | | | 0.10 | | | | 0.06 | | | | 0.07 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 2.10 | | | | 1.79 | | | | 0.69 | | | | (1.78 | ) | | | 2.09 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 2.18 | | | | 1.81 | | | | 0.79 | | | | (1.72 | ) | | | 2.16 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.02 | ) | | | (0.09 | ) | | | (0.04 | ) | | | (0.06 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 14.02 | | | $ | 11.86 | | | $ | 10.14 | | | $ | 9.39 | | | $ | 11.17 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 18.36 | % | | | 17.90 | % | | | 8.46 | % | | | (15.51 | )% | | | 23.96 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 5,133 | | | $ | 4,314 | | | $ | 4,071 | | | $ | 3,750 | | | $ | 4,433 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 3.57 | % | | | 4.06 | % | | | 4.88 | % | | | 3.45 | % | | | 3.94 | % |
| | | | | |
After Expense Reimbursement | | | 1.04 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 0.57 | % | | | 0.15 | % | | | 1.03 | % | | | 0.49 | % | | | 0.77 | % |
| | | | | |
Portfolio Turnover Rate | | | 175.10 | % | | | 148.22 | % | | | 207.48 | % | | | 163.33 | % | | | 194.58 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
72
TCW Developing Markets Equity Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 11.85 | | | $ | 10.14 | | | $ | 9.39 | | | $ | 11.17 | | | $ | 9.10 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (1) | | | 0.06 | | | | 0.02 | | | | 0.10 | | | | 0.06 | | | | 0.07 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 2.11 | | | | 1.78 | | | | 0.69 | | | | (1.78 | ) | | | 2.09 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 2.17 | | | | 1.80 | | | | 0.79 | | | | (1.72 | ) | | | 2.16 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
Distributions from Net Investment Income | | | (0.02 | ) | | | (0.09 | ) | | | (0.04 | ) | | | (0.06 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 14.00 | | | $ | 11.85 | | | $ | 10.14 | | | $ | 9.39 | | | $ | 11.17 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 18.29 | % | | | 17.80 | % | | | 8.46 | % | | | (15.51 | )% | | | 23.96 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 2,293 | | | $ | 1,861 | | | $ | 1,575 | | | $ | 1,468 | | | $ | 1,722 | |
| | | | | |
Ratio of Expenses to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Before Expense Reimbursement | | | 4.39 | % | | | 5.17 | % | | | 6.11 | % | | | 4.51 | % | | | 5.08 | % |
| | | | | |
After Expense Reimbursement | | | 1.18 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 0.45 | % | | | 0.16 | % | | | 1.03 | % | | | 0.49 | % | | | 0.77 | % |
| | | | | |
Portfolio Turnover Rate | | | 175.10 | % | | | 148.22 | % | | | 207.48 | % | | | 163.33 | % | | | 194.58 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
73
TCW Emerging Markets Income Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 7.93 | | | $ | 8.33 | | | $ | 7.77 | | | $ | 8.54 | | | $ | 8.34 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.35 | | | | 0.39 | | | | 0.46 | | | | 0.43 | | | | 0.55 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.02 | ) | | | (0.46 | ) | | | 0.54 | | | | (0.83 | ) | | | 0.09 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.33 | | | | (0.07 | ) | | | 1.00 | | | | (0.40 | ) | | | 0.64 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.37 | ) | | | (0.33 | ) | | | (0.44 | ) | | | (0.37 | ) | | | (0.44 | ) |
Distributions from Return of Capital | | | (0.02 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.39 | ) | | | (0.33 | ) | | | (0.44 | ) | | | (0.37 | ) | | | (0.44 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 7.87 | | | $ | 7.93 | | | $ | 8.33 | | | $ | 7.77 | | | $ | 8.54 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 4.04 | % | | | (0.69 | )% | | | 13.13 | % | | | (4.85 | )% | | | 7.95 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 4,720,489 | | | $ | 5,877,348 | | | $ | 5,668,552 | | | $ | 4,365,456 | | | $ | 3,039,671 | |
| | | | | |
Ratio of Expenses to Average Net Assets | | | 0.85 | % | | | 0.85 | % | | | 0.84 | % | | | 0.86 | % | | | 0.87 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 4.23 | % | | | 4.95 | % | | | 5.62 | % | | | 5.33 | % | | | 6.56 | % |
| | | | | |
Portfolio Turnover Rate | | | 150.31 | % | | | 135.46 | % | | | 136.47 | % | | | 149.50 | % | | | 212.16 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
74
TCW Emerging Markets Income Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 10.23 | | | $ | 10.72 | | | $ | 10.00 | | | $ | 11.00 | | | $ | 10.75 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.44 | | | | 0.49 | | | | 0.57 | | | | 0.53 | | | | 0.68 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.03 | ) | | | (0.57 | ) | | | 0.69 | | | | (1.08 | ) | | | 0.12 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.41 | | | | (0.08 | ) | | | 1.26 | | | | (0.55 | ) | | | 0.80 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.46 | ) | | | (0.41 | ) | | | (0.54 | ) | | | (0.45 | ) | | | (0.55 | ) |
Distributions from Return of Capital | | | (0.02 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.48 | ) | | | (0.41 | ) | | | (0.54 | ) | | | (0.45 | ) | | | (0.55 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 10.16 | | | $ | 10.23 | | | $ | 10.72 | | | $ | 10.00 | | | $ | 11.00 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 3.97 | % | | | (0.69 | )% | | | 12.85 | % | | | (5.16 | )% | | | 7.67 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 546,887 | | | $ | 261,520 | | | $ | 320,492 | | | $ | 342,660 | | | $ | 510,877 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 1.13 | % | | | 1.14 | % | | | 1.14 | % | | | 1.16 | % | | | 1.15 | % |
| | | | | |
After Expense Reimbursement | | | 0.95 | % | | | 0.98 | % | | | 1.05 | % | | | 1.10 | % | | | 1.13 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 4.20 | % | | | 4.82 | % | | | 5.41 | % | | | 5.03 | % | | | 6.30 | % |
| | | | | |
Portfolio Turnover Rate | | | 150.31 | % | | | 135.46 | % | | | 136.47 | % | | | 149.50 | % | | | 212.16 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
75
TCW Emerging Markets Income Fund
Financial Highlights — Plan Class
| | | | | | | | |
| | | Year Ended
October 31,
2021 | | | March 2, 2020
(Commencement
of Operations)
through
October 31, 2020 | |
Net Asset Value per Share, Beginning of year | | $ | 7.93 | | | $ | 8.34 | |
| | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.36 | | | | 0.26 | |
Net Realized and Unrealized Loss on Investments | | | (0.04 | ) | | | (0.48 | ) |
| | | | | | | | |
Total from Investment Operations | | | 0.32 | | | | (0.22 | ) |
| | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.37 | ) | | | (0.19 | ) |
Distributions from Return of Capital | | | (0.02 | ) | | | — | |
| | | | | | | | |
Total Distributions | | | (0.39 | ) | | | (0.19 | ) |
| | | | | | | | |
Net Asset Value per Share, End of year | | $ | 7.86 | | | $ | 7.93 | |
| | | | | | | | |
Total Return | | | 4.12 | % | | | (2.59 | )% (2) |
|
Ratios/Supplemental Data: | |
| | |
Net assets, end of year (in thousands) | | $ | 1,996,103 | | | $ | 489,106 | |
|
Ratio of Expenses to Average Net Assets: | |
| | |
Before Expense Reimbursement | | | 0.80 | % | | | 0.79 | % (3) |
| | |
After Expense Reimbursement | | | 0.77 | % | | | 0.77 | % (3) |
| | |
Ratio of Net Investment Income to Average Net Assets | | | 4.43 | % | | | 4.96 | % (3) |
| | |
Portfolio Turnover Rate | | | 150.31 | % | | | 135.46 | % (2) |
| (1) | Computed using average shares outstanding throughout the period. |
| (2) | For the period March 2, 2020 (Commencement of Operations) through October 31, 2020. |
See accompanying Notes to Financial Statements.
76
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 8.57 | | | $ | 9.17 | | | $ | 8.14 | | | $ | 9.30 | | | $ | 9.13 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.37 | | | | 0.42 | | | | 0.58 | | | | 0.53 | | | | 0.64 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.25 | ) | | | (0.89 | ) | | | 0.57 | | | | (1.19 | ) | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.12 | | | | (0.47 | ) | | | 1.15 | | | | (0.66 | ) | | | 0.58 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.22 | ) | | | (0.09 | ) | | | (0.12 | ) | | | (0.23 | ) | | | (0.41 | ) |
Distributions from Return of Capital | | | — | | | | (0.04 | ) | | | — | | | | (0.27 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.22 | ) | | | (0.13 | ) | | | (0.12 | ) | | | (0.50 | ) | | | (0.41 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 8.47 | | | $ | 8.57 | | | $ | 9.17 | | | $ | 8.14 | | | $ | 9.30 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 1.34 | % | | | (5.26 | )% | | | 14.26 | % | | | (7.74 | )% | | | 6.33 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 200,019 | | | $ | 192,679 | | | $ | 220,968 | | | $ | 264,754 | | | $ | 138,068 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 0.96 | % | | | 0.97 | % | | | 1.03 | % | | | 0.95 | % | | | 1.03 | % |
| | | | | |
After Expense Reimbursement | | | 0.85 | % | | | 0.85 | % | | | 0.88 | % | | | N/A | | | | 0.99 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 4.14 | % | | | 4.90 | % | | | 6.66 | % | | | 5.90 | % | | | 6.83 | % |
| | | | | |
Portfolio Turnover Rate | | | 117.18 | % | | | 135.99 | % | | | 127.74 | % | | | 185.72 | % | | | 137.44 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
77
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 8.55 | | | $ | 9.15 | | | $ | 8.13 | | | $ | 9.29 | | | $ | 9.12 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.36 | | | | 0.42 | | | | 0.57 | | | | 0.51 | | | | 0.64 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | (0.25 | ) | | | (0.89 | ) | | | 0.57 | | | | (1.17 | ) | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.11 | | | | (0.47 | ) | | | 1.14 | | | | (0.66 | ) | | | 0.58 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.22 | ) | | | (0.09 | ) | | | (0.12 | ) | | | (0.23 | ) | | | (0.41 | ) |
Distributions from Return of Capital | | | — | | | | (0.04 | ) | | | — | | | | (0.27 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.22 | ) | | | (0.13 | ) | | | (0.12 | ) | | | (0.50 | ) | | | (0.41 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 8.44 | | | $ | 8.55 | | | $ | 9.15 | | | $ | 8.13 | | | $ | 9.29 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 1.30 | % | | | (5.28 | )% | | | 14.14 | % | | | (7.75 | )% | | | 6.33 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 39,546 | | | $ | 25,329 | | | $ | 28,011 | | | $ | 47,664 | | | $ | 34,807 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 1.32 | % | | | 1.35 | % | | | 1.40 | % | | | 1.32 | % | | | 1.35 | % |
| | | | | |
After Expense Reimbursement | | | 0.90 | % | | | 0.90 | % | | | 0.92 | % | | | 0.99 | % | | | 0.99 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 4.05 | % | | | 4.84 | % | | | 6.63 | % | | | 5.78 | % | | | 6.88 | % |
| | | | | |
Portfolio Turnover Rate | | | 117.18 | % | | | 135.99 | % | | | 127.74 | % | | | 185.72 | % | | | 137.44 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
78
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — I Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 12.09 | | | $ | 11.31 | | | $ | 10.39 | | | $ | 11.70 | | | $ | 10.39 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.22 | | | | 0.22 | | | | 0.38 | | | | 0.25 | | | | 0.31 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 1.26 | | | | 0.93 | | | | 0.69 | | | | (1.30 | ) | | | 1.38 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.48 | | | | 1.15 | | | | 1.07 | | | | (1.05 | ) | | | 1.69 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.18 | ) | | | (0.37 | ) | | | (0.15 | ) | | | (0.26 | ) | | | (0.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 13.39 | | | $ | 12.09 | | | $ | 11.31 | | | $ | 10.39 | | | $ | 11.70 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 12.30 | % | | | 10.34 | % | | | 10.50 | % | | | (9.23 | )% | | | 17.05 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 75,793 | | | $ | 84,387 | | | $ | 87,430 | | | $ | 43,338 | | | $ | 42,041 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 1.29 | % | | | 1.28 | % | | | 1.31 | % | | | 1.34 | % | | | 1.54 | % |
| | | | | |
After Expense Reimbursement | | | 1.00 | % | | | 1.00 | % | | | 1.02 | % | | | 1.23 | % | | | 1.23 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 1.67 | % | | | 2.01 | % | | | 3.51 | % | | | 2.13 | % | | | 2.95 | % |
| | | | | |
Portfolio Turnover Rate | | | 165.68 | % | | | 164.55 | % | | | 188.64 | % | | | 160.85 | % | | | 197.48 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
79
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — N Class
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
Net Asset Value per Share, Beginning of year | | $ | 12.01 | | | $ | 11.24 | | | $ | 10.35 | | | $ | 11.66 | | | $ | 10.35 | |
| | | | | | | | | | | | | | | | | | | | |
Income (Loss) from Investment Operations: | |
Net Investment Income (1) | | | 0.20 | | | | 0.20 | | | | 0.28 | | | | 0.26 | | | | 0.32 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 1.25 | | | | 0.92 | | | | 0.76 | | | | (1.31 | ) | | | 1.37 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.45 | | | | 1.12 | | | | 1.04 | | | | (1.05 | ) | | | 1.69 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | |
Distributions from Net Investment Income | | | (0.16 | ) | | | (0.35 | ) | | | (0.15 | ) | | | (0.26 | ) | | | (0.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Share, End of year | | $ | 13.30 | | | $ | 12.01 | | | $ | 11.24 | | | $ | 10.35 | | | $ | 11.66 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 12.06 | % | | | 10.08 | % | | | 10.25 | % | | | (9.26 | )% | | | 17.10 | % |
|
Ratios/Supplemental Data: | |
| | | | | |
Net Assets, End of year (in thousands) | | $ | 7,562 | | | $ | 8,803 | | | $ | 11,784 | | | $ | 74,677 | | | $ | 40,064 | |
|
Ratio of Expenses to Average Net Assets: | |
| | | | | |
Before Expense Reimbursement | | | 1.83 | % | | | 1.80 | % | | | 1.65 | % | | | 1.67 | % | | | 1.96 | % |
| | | | | |
After Expense Reimbursement | | | 1.20 | % | | | 1.20 | % | | | 1.21 | % | | | 1.23 | % | | | 1.23 | % |
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | 1.47 | % | | | 1.80 | % | | | 2.64 | % | | | 2.25 | % | | | 2.95 | % |
| | | | | |
Portfolio Turnover Rate | | | 165.68 | % | | | 164.55 | % | | | 188.64 | % | | | 160.85 | % | | | 197.48 | % |
| (1) | Computed using average shares outstanding throughout the period. |
See accompanying Notes to Financial Statements.
80
TCW Funds, Inc.
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of
TCW Funds, Inc.
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of TCW Developing Markets Equity Fund, TCW Emerging Markets Income Fund, TCW Emerging Markets Local Currency Income Fund, and TCW Emerging Markets Multi-Asset Opportunities Fund (collectively, the “TCW International Funds”) (four of eighteen funds comprising TCW Funds, Inc.), including the schedules of investments, as of October 31, 2021, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended for the TCW International Funds, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the respective TCW International Funds as of October 31, 2021, the results of their operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended for the TCW International Funds, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the TCW International Funds’ management. Our responsibility is to express an opinion on the TCW International Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The TCW International Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the TCW International Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Los Angeles, California
December 21, 2021
We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.
81
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 May 1, 2021 to October 31, 2021 (184 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
May 1, 2021 | | | Ending
Account Value
October 31, 2021 | | | Annualized
Expense Ratio | | | Expenses Paid
During Period
(May 1, 2021 to
October 31, 2021) | |
| TCW Developing Markets Equity Fund | | | | | | | | | | | | | | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 990.10 | | | | 0.95 | % | | $ | 4.77 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.42 | | | | 0.95 | % | | | 4.84 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 989.40 | | | | 1.15 | % | | $ | 5.77 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,019.41 | | | | 1.15 | % | | | 5.85 | |
| | | | |
| TCW Emerging Markets Income Fund | | | | | | | | | | | | | | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 988.10 | | | | 0.87 | % | | $ | 4.36 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.82 | | | | 0.87 | % | | | 4.43 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 987.60 | | | | 0.95 | % | | $ | 4.76 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.42 | | | | 0.95 | % | | | 4.84 | |
| | | | |
Plan Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 988.50 | | | | 0.77 | % | | $ | 3.86 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,021.30 | | | | 0.77 | % | | | 3.92 | |
82
TCW Funds, Inc.
| | | | | | | | | | | | | | | | |
TCW Funds, Inc. | | Beginning
Account Value
May 1, 2021 | | | Ending
Account Value
October 31, 2021 | | | Annualized
Expense Ratio | | | Expenses Paid
During Period
(May 1, 2021 to
October 31, 2021) | |
| TCW Emerging Markets Local Currency Income Fund | | | | | | | | | | | | | | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 968.20 | | | | 0.85 | % | | $ | 4.22 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.92 | | | | 0.85 | % | | | 4.33 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 967.90 | | | | 0.90 | % | | $ | 4.46 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.67 | | | | 0.90 | % | | | 4.58 | |
| | | | |
| TCW Emerging Markets Multi-Asset Opportunities Fund | | | | | | | | | | | | | | | | |
I Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 997.00 | | | | 1.00 | % | | $ | 5.03 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,020.16 | | | | 1.00 | % | | | 5.09 | |
| | | | |
N Class Shares | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 995.50 | | | | 1.20 | % | | $ | 6.04 | |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,019.16 | | | | 1.20 | % | | | 6.11 | |
83
Privacy Policy
The TCW Group, Inc. and Subsidiaries
TCW Investment Management Company LLC
TCW Asset Management Company LLC
Metropolitan West Asset Management, LLC
| | |
TCW Funds, Inc. TCW Strategic Income Fund, Inc. Metropolitan West Funds Sepulveda Management LLC | | TCW Direct Lending LLC TCW Direct Lending VII LLC TCW Direct Lending VIII LLC |
Effective May 2021
WHAT YOU SHOULD KNOW
At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.
We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.
We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial information,” issued by the United States Securities and Exchange Commission.
OUR PRIVACY POLICY
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC, TCW Direct Lending VII LLC, and TCW Direct Lending VIII LLC (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.
In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic, and procedural safeguards to protect your nonpublic personal and financial information.
CATEGORIES OF INFORMATION WE COLLECT
We may collect the following types of nonpublic personal and financial information about you from the following sources:
| | ◾ | Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications. |
| | ◾ | Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties. |
| | ◾ | Information about your account balances and financial transactions and other personal and financial information, from consumer credit reporting agencies or other nonaffiliated third parties, to verify information received from you or others. |
84
CATEGORIES OF INFORMATION WE DISCLOSE TO NONAFFILIATED THIRD PARTIES
We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations.
We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry.
We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions.
CATEGORIES OF INFORMATION WE DISCLOSE TO OUR AFFILIATED ENTITIES
| | ◾ | We may disclose your name, address and account and other identifying numbers, account balances, information about your pending or past transactions and other personal financial information to our affiliated entities for any purpose. |
| | ◾ | We regularly disclose your name, address and account and other identifying numbers, account balances and information about your pending or past transactions to our affiliates to execute, process and confirm securities transactions or mutual fund transactions for you, to administer and service your account and commingled investment vehicles in which you are invested, or to market our products and services to you. |
INFORMATION ABOUT FORMER CUSTOMERS
We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.
QUESTIONS
Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.
REMINDER ABOUT TCW’S FINANCIAL PRODUCTS
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC, TCW Direct Lending VII LLC, and TCW Direct Lending VIII LLC.
| | ◾ | Are not guaranteed by a bank; |
| | ◾ | Are not obligations of The TCW Group, Inc. or of its subsidiaries; |
| | ◾ | Are not insured by the Federal Deposit Insurance Corporation; and |
| | ◾ | Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon. |
| | |
THE TCW GROUP, INC. TCW FUNDS, INC. TCW STRATEGIC INCOME FUND, INC. METROPOLITAN WEST FUNDS | | SEPULVEDA MANAGEMENT LLC TCW DIRECT LENDING LLC TCW DIRECT LENDING VII LLC TCW DIRECT LENDING VIII LLC |
Attention: Privacy Officer | 865 South Figueroa Street, Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com
85
TCW Funds, Inc.
Investment Management and Advisory Agreement Disclosure (Unaudited)
Renewal of Investment Advisory and Management Agreement
TCW Funds, Inc. (the “Corporation”) and TCW Investment Management Company LLC (the “Advisor”) are parties to an Investment Advisory and Management Agreement (“Agreement”), pursuant to which the Advisor is responsible for managing the investments of each separate investment series (each, a “Fund” and collectively, the “Funds”) of the Corporation. Unless terminated by either party, the Agreement continues in effect from year to year provided that the continuance is specifically approved at least annually by the vote of the holders of at least a majority of the outstanding shares of the Funds, or by the Board of Directors of the Corporation (the “Board”), and, in either event, by a majority of the Directors who are not “interested persons” of the Corporation, as such term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “Independent Directors”), casting votes in person at a meeting called for that purpose.
On September 20, 2021, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2022 through February 5, 2023. The Board met by videoconference to approve that renewal, notwithstanding the in-person approval requirement that normally applies under the Investment Company Act, as permitted by relief provided by the Securities and Exchange Commission in light of the COVID-19 pandemic. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Directors) upon the recommendation of the Independent Directors. The Independent Directors also met by telephone in a working session on August 24, 2021 to hear presentations by representatives of the Advisor, to ask related questions, to review and discuss materials provided by the Advisor for their consideration, and to meet separately with their independent legal counsel. On September 20, 2021 they also met separately with their independent legal counsel to review and discuss supplemental information that had been requested on their behalf by their independent legal counsel and presented by the Advisor. The information, material facts, and conclusions that formed the basis for the Independent Directors’ recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed — During the course of each year, the Directors receive a wide variety of materials relating to the services provided by the Advisor, including reports on the Advisor’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Advisor to the Funds. In addition, the Board reviewed information furnished to the Independent Directors in response to a detailed request sent to the Advisor on their behalf. The information in the Advisor’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Advisor to its institutional clients, financial and profitability information regarding the Advisor, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Directors also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to those of appropriate peer groups of mutual funds selected by Broadridge. After reviewing this information, the Directors requested additional financial, profitability and service information from the Advisor, which the Advisor provided and the Directors considered.
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Review process — The Directors’ determinations were made on the basis of each Director’s business judgment after consideration of all the information presented. The Independent Directors were advised by their independent legal counsel throughout the renewal process and received and reviewed advice from their independent legal counsel regarding legal and industry standards applicable to the renewal of the Agreement, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Directors also discussed the renewal of the Agreement with the Advisor’s representatives and in private sessions at which no representatives of the Advisor were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Directors did not identify any single piece of information or particular factor that, in isolation, was the controlling factor. Each Independent Director may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and the Independent Directors.
2. Nature, extent, and quality of services provided by the Advisor
The Board and the Independent Directors considered the depth and quality of the Advisor’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Advisor; and the ability of its organizational structure to address the fluctuations in assets that had been experienced over the past several years. The Board and the Independent Directors considered the ability of the Advisor to attract and retain well-qualified investment professionals, noting in particular the Advisor’s hiring of professionals in various areas over the past several years, continued upgrading of resources in its middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Board and the Independent Directors also considered that the Advisor made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, portfolio accounting, and legal matters. They noted the substantial additional resources made available by The TCW Group, Inc., the parent company of the Advisor. The Board and the Independent Directors examined and discussed a detailed description of the extensive additional services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Advisor’s institutional and sub-advised clients, as well as the Advisor’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Advisor and the Independent Directors. The Advisor explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Directors and their meetings, regulatory filings, and various operational personnel, and the related costs.
The Board and the Independent Directors concluded that the nature, extent, and quality of the services provided by the Advisor are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.
3. Investment results
The Board and the Independent Directors considered the investment results of each Fund in light of its investment objective(s) and principal investment strategies. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2021. The Board and the Independent Directors
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reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with Broadridge. In reviewing each Fund’s relative performance, the Board and the Independent Directors took into account each Fund’s investment strategies, distinct characteristics, asset size and diversification.
The Board and the Independent Directors noted that most Funds’ performance was satisfactory over the relevant periods. The Board and the Independent Directors noted that the investment performance of most of the Funds was generally close to or above the median performance of the applicable peer group during the three-year period emphasized by Broadridge in the supplemental materials, but seven Funds ranked in the fourth or fifth quintile of their peer groups for that three-year period. For those Funds that lagged peer group averages, they noted that the Advisor had discussed with the Board the reasons for the underperformance and the actions taken or to be taken by the Advisor to address the underperformance, and they indicated that they would continue to monitor portfolio investment performance on a regular basis and discuss with the Advisor from time to time any instances of long-term underperformance as appropriate. It was observed that the relative performance of several of those Funds had improved during the most recent one-year period. In addition, the Board and the Independent Directors noted that the performance of some Funds for periods when they lagged their peer group averages remained satisfactory when assessed on a risk-adjusted basis because performance quintiles do not necessarily reflect the degree of risk employed by peer funds to achieve their returns. The Board also considered the Advisor’s assessment of the Funds’ performance during the recent period of significant market volatility.
With respect to the fixed income Funds, the Board and the Independent Directors recognized the Advisor’s deliberate strategy to manage risk in light of its critical view of the fixed income securities markets and overall investment market conditions at present and in the near term. For that reason, the Board and the Independent Directors believed that relative performance also should be considered in light of future market conditions expected by the Advisor. The Board and the Independent Directors noted the Advisor’s view that longer-term performance can be more meaningful for active fixed income funds than shorter-term performance because fixed income market cycles are generally longer than three years.
For the U.S. fixed income Funds, the Board and the Independent Directors noted the conservative profile of these Funds, which generally experienced less volatility compared to various other funds in the applicable peer group (except for the relative volatility of Total Return Bond Fund, which is a mortgage-focused Fund). They also noted the Advisor’s conservative posture for these Funds with respect to credit and interest rate risks.
For the Total Return Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the first quintile for the ten-year period, second quintile for the five-year period, first quintile for the three-year period and fourth quintile for the one-year period.
For the Core Fixed Income Fund, the Board and the Independent Directors noted that the Fund’s performance was in the third quintile for the ten- and five-year periods, second quintile for the three-year period and fourth quintile for the one-year period.
For the High Yield Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the ten- and five-year periods, first quintile for the three-year period and fifth quintile for the one-year period.
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For the Global Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the five-year period, first quintile for the three-year period and second quintile for the one-year period.
For the Short Term Bond Fund, the Board and the Independent Directors noted that the Fund’s performance was in the fifth quintile for the ten-, five- and three-year periods and fourth quintile for the one-year period. The Board and the Independent Directors took into account the Advisor’s discussions of the poor relative performance, including that the Fund is generally being managed with lower interest rate risk and credit risk as compared to the peer group funds.
For the Enhanced Commodity Strategy Fund, the Board and the Independent Directors noted that the Fund’s performance was in the second quintile for the ten-, five- and three-year periods and third quintile for the one-year period.
With respect to the U.S. equity Funds, the Board and the Independent Directors noted that the performance of the Funds for most of the various periods reviewed ranked in the first, second or third quintiles.
The Select Equities Fund ranked in the second quintile for the ten- and five-year periods, first quintile for the three-year period and fourth quintile for the one-year period.
The Relative Value Dividend Appreciation Fund ranked in the third quintile for the ten-year period, fourth quintile for the five-year period, third quintile for the three-year period and first quintile for the one-year period. The Relative Value Large Cap Fund ranked in the third quintile for the ten-year and five-year periods, fourth quintile for the three-year period and second quintile for the one-year period. The Relative Value Mid Cap Fund ranked in the second quintile for the ten-year period, first quintile for the five-year period, fourth quintile for the three-year period and first quintile for the one-year period. The Board and the Independent Directors noted the Advisor’s explanation that the diversification tool used to mitigate risk of the Relative Value Funds weighed on three-year performance of the Relative Value Large Cap Fund and Relative Value Mid Cap Fund in a momentum-driven market. The Board and the Independent Directors also took into account the improved performance of the Relative Value Large Cap Fund and Relative Value Mid Cap Fund over the one-year period.
The New America Premier Equities Fund ranked in the first quintile for the five-year period, third quintile for the three-year period and fourth quintile for the one-year period.
The Global Real Estate Fund ranked in the first quintile for the five-, three- and one-year periods.
The Artificial Intelligence Equity Fund ranked in the fourth quintile for the three-year period and third quintile for the one-year period. The Board and the Independent Directors considered the Advisor’s explanation that the peer funds had greater exposure to the information technology sector, making the peer group less useful in comparing relative performance than if those funds’ principal investment strategies were more closely aligned with the Fund’s investment focus. The Board and the Independent Directors noted that the Fund’s total return performance was only 0.6% below that of the benchmark for the three-year period. The Board and the Independent Directors also noted the relatively short operating history of the Fund and determined to continue to closely monitor its performance.
For the asset allocation Fund, the Board and the Independent Directors noted that the Conservative Allocation Fund’s performance was in the first quintile for the ten-, five- and three-year periods and second quintile for the one-year period.
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Investment Management and Advisory Agreement Disclosure (Unaudited) (Continued)
With respect to the international and emerging markets Funds, the Board and the Independent Directors noted that the performance of a majority of these Funds ranked in the first, second or third quintiles over many of the various time periods reviewed. The Emerging Markets Income Fund ranked in the second quintile for the ten- and five-year periods, third quintile for the three-year period and first quintile for the one-year period. The Emerging Markets Local Currency Income Fund ranked in the second quintile for the ten-year period, third quintile for the five-year period and the fourth quintile for the three- and one-year periods. The Emerging Markets Multi-Asset Opportunities Fund ranked in the second quintile for the five-year period and fourth quintile for the three- and one-year periods. The Developing Markets Equity Fund ranked in the third quintile for the five-year period, fourth quintile for the three-year period and third quintile for the one-year period. The Board and the Independent Directors considered the Advisor’s discussion of performance, including that the challenging international and emerging market conditions in recent years weighed on performance for some Funds.
The Board and the Independent Directors concluded that the Advisor was implementing each Fund’s investment objective(s) and that the Advisor’s record in managing the Funds indicated that its continued management should benefit each Fund and its shareholders over the long term.
4. Advisory fees and total expenses
The Board and the Independent Directors compared the management fees (which Broadridge defines to include the advisory fee and the administrative fee) and total expenses of each Fund (each as a percentage of average net assets) with the median management fee and operating expense level of the other mutual funds in the relevant Broadridge peer groups. These comparisons assisted the Board and the Independent Directors by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board and the Independent Directors observed that each Fund’s management fee, after giving effect to applicable waivers and/or reimbursements, was below or near the median of the peer group funds on a current basis, with the exception of the Emerging Markets Income Fund, the Emerging Markets Local Currency Income Fund, the Emerging Markets Multi-Asset Opportunities Fund and the Conservative Allocation Fund. They also observed that each Fund’s total expenses, after giving effect to applicable waivers and/or reimbursements, were below or at the median of the peer group funds. The Board and the Independent Directors also noted the contractual expense limitations to which the Advisor has agreed with respect to each Fund and that the Advisor historically has absorbed any expenses in excess of these limits. The Board and the Independent Directors noted that for several Funds, their below-median management fee and total expenses were in part due to substantial waiver and/or reimbursement pursuant to the contractual expense limitations. The Board and the Independent Directors concluded that the competitive fees charged by the Advisor, and competitive expense ratios, should continue to benefit each Fund and its shareholders.
The Board and the Independent Directors also reviewed information regarding the advisory fees charged by the Advisor to its institutional and sub-advisory clients with similar investment mandates. The Board and the Independent Directors concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the more extensive services provided by the Advisor to the Funds and the Advisor’s significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, daily pricing, valuation and
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liquidity responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.
5. The Advisor’s costs, level of profits, and economies of scale
The Board and the Independent Directors reviewed information regarding the Advisor’s costs of providing services to the Funds, as well as the resulting level of profits to the Advisor. They reviewed the Advisor’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Advisor’s largest operating cost. The Board and the Independent Directors recognized that the Advisor should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board and the Independent Directors also reviewed a comparison of the Advisor’s profitability with respect to the Funds to the profitability of certain unaffiliated publicly traded asset managers, which the Advisor believed supported its view that the Advisor’s profitability was reasonable. Based on their review, the Board and the Independent Directors concluded that they were satisfied that the Advisor’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Board and the Independent Directors considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Advisor’s view that the advisory fees compare favorably to peer group fees and expenses and remain competitive even at higher asset levels and that the relatively low advisory fees reflect the potential economies of scale. The Board and the Independent Directors recognized the benefits of the Advisor’s substantial past and ongoing investment in the advisory business, such as successfully recruiting and retaining key professional talent, systems and technology upgrades, added resources dedicated to legal, compliance and cybersecurity programs, and improvements to the overall firm infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Board and the Independent Directors further noted the Advisor’s past and current subsidies of the operating expenses of newer and smaller Funds and the Advisor’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Directors also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients in addition to mutual funds. The Board and the Independent Directors considered the risk borne by the Advisor that the Funds’ net assets and thus the Advisor’s fees might decline in the event of redemptions and that smaller Funds might not grow to become profitable. The Board and the Independent Directors concluded that the Advisor was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.
6. Ancillary benefits
The Board and the Independent Directors also considered ancillary benefits received or to be received by the Advisor and its affiliates as a result of the relationship of the Advisor with the Funds, including compensation for certain compliance support services. The Board and the Independent Directors noted that, in addition to the fees the Advisor receives under the Agreement, the Advisor receives additional benefits in connection with management of the Funds in the form of reports, research and other services from brokers and their affiliates in return for brokerage commissions paid to such brokers. The Board and
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the Independent Directors concluded that any potential benefits received or to be derived by the Advisor from its relationships with the Funds are reasonably related to the services provided by the Advisor to the Funds.
7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Directors concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Advisor by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
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Supplemental Information
Proxy Voting Guidelines
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board 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.
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Tax Information Notice (Unaudited)
On account of the year ended October 31, 2021, the following Funds paid a capital gain distribution within
the meaning of Section 852 (b) (3) (c) of the Code. Each Fund also designates as a capital gain distribution
a portion of earnings and profits paid to shareholders in redemption of their shares.
| | | | |
Fund | | Amounts per
Share | |
TCW Developing Markets Equity Fund | | $ | 0.33 | |
Under Section 854(b)(2) of the Code, the Funds hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the fiscal year ended October 31, 2021:
| | | | |
Fund | | Qualified
Dividend Income | |
TCW Developing Markets Equity Fund | | $ | 43,066 | |
TCW Emerging Markets Multi-Asset Opportunities Fund | | $ | 324,442 | |
The following Funds paid foreign taxes during the year ended October 31, 2021 that are available as income tax credits:
| | | | |
Fund | | Foreign Tax Credit | |
TCW Developing Markets Equity Fund | | $ | 24,328 | |
TCW Emerging Markets Income Fund | | $ | 117,969 | |
TCW Emerging Markets Local Currency Income Fund | | $ | 562,461 | |
TCW Emerging Markets Multi-Asset Opportunities Fund | | $ | 357,143 | |
This information is given to meet certain requirements of the Code and should not be used by shareholders for preparing their income tax returns. In February 2022, shareholders will receive Form 1099-DIV which will show the actual distribution received and include their share of qualified dividends during the calendar year of 2021. Shareholders are advised to check with their tax advisors for information on the treatment of these amounts on their individual tax returns.
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Directors and Officers of the Company
A board of six directors is responsible for overseeing the operations of the Company, which consists of 18 Funds at October 31, 2021. The directors of the Company, and their business addresses and their principal occupation for the last five years are set forth below.
Independent Directors
| | | | | | |
Name, and Year of Birth (1) | | Term of Office and Length of Time Served | | Principal Occupation(s) During Past 5 Years | | Other Directorships held by Director |
| Samuel P. Bell (1936) | | Mr. Bell has served as a director of TCW Funds, Inc. since October 2002. | | Private Investor. | | Point.360 (post production services); TCW Strategic Income Fund, Inc. (closed-end fund). |
Patrick C. Haden (1953) Chairman of the Board | | Mr. Haden has served as a director of TCW Funds, Inc. since May 2001. | | President (since 2003), Wilson Ave. Consulting (business consulting firm); Senior Advisor to President (July 2016 – June 2017) and Athletic Director (August 2010 – June 2016), University of Southern California. | | Tetra Tech, Inc. (environmental consulting); Auto Club (affiliate of AAA); Metropolitan West Funds (mutual funds); TCW Strategic Income Fund, Inc. (closed end fund). |
| Peter McMillan (1957) | | Mr. McMillan has served as a director of TCW Funds, Inc. since August 2010. | | Co-founder (since 2019), Pacific Oak Capital Advisors (investment advisory firm); Co-founder, Managing Partner and Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Executive Vice President (2005 – 2019), KBS Capital Advisors (a manager of real estate investment trusts). | | Pacific Oak Strategic Opportunity REIT (real estate investments); Pacific Oak Strategic Opportunity REIT II (real estate investments); Keppel Pacific Oak U.S. REIT (real estate investments); Pacific Oak Residential Trust (real estate investments); Metropolitan West Funds (mutual fund); TCW DL VII Financing LLC (business development company): TCW Strategic Income Fund, Inc. (closed-end fund). |
| Victoria B. Rogers (1961) | | Ms. Rogers has served as a director of the TCW Funds, Inc. since October 2011. | | President and Chief Executive Officer (since 1996), The Rose Hills Foundation (charitable foundation). | | Norton Simon Museum (art museum); Stanford University (university); Causeway Capital Management Trust (mutual fund; 6 portfolios); Causeway ETML Trust (mutual fund); The Rose Hills Foundation (charitable foundation); TCW Strategic Income Fund, Inc. (closed-end fund). |
| Andrew Tarica (1959) | | Mr. Tarica has served as a director of the TCW Funds, Inc. since March 2012. | | Chief Executive Officer (since February 2001), Meadowbrook Capital Management (asset management company); and Employee (since 2003), Cowen Prime Services (broker dealer). | | Metropolitan West Funds (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Direct Lending VII, LLC (business development company). |
| (1) | The address of each Independent Director is c/o Morgan Lewis, & Bockius LLP, Counsel to the Independent Directors of TCW Funds, Inc., 300 South Grand Avenue, Los Angeles, CA 90071. |
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Directors and Officers of the Company (Continued)
Interested Director
This director is an “interested person” of the Company as defined in the 1940 Act because he is a director and officer of the Advisor, and shareholder and director of The TCW Group, Inc., the parent company of the Advisor.
| | | | | | |
Name and Year of Birth (1) | | Term of Office and Length of Time Served | | Principal Occupation(s)
During Past 5 Years | | Other Directorships held by Director |
| Marc I. Stern (1944) | | Mr. Stern has served as a director since inception of TCW Funds, Inc. in September 1992. | | Chairman (since January 2016), TCW LLC; Chairman (since February 2013), The TCW Group Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and Metropolitan West Asset Management, LLC. | | N/A |
The officers of the Company who are not directors of the Company are:
| | | | |
| Name and Year of Birth (1) | | Position(s) Held with Company | | Principal Occupation(s) During Past 5 Years (2) |
David Lippman (1958) President and Chief Executive Officer | | Mr. Lippman has served as President and Chief Executive Officer of TCW Funds, Inc. since February 2021. | | President and Chief Executive Officer, The TCW Group, Inc. (since August 2012), TCW LLC (since October 2015), the Advisor (since February 2013) and TCW Asset Management Company LLC (since February 2013); Chief Executive Officer, Metropolitan West Asset Management LLC (since February 2013); President and Principal Executive Officer, Metropolitan West Funds (since January 2008). |
Lisa Eisen (1963) Tax Officer | | Ms. Eisen has served as Tax Officer of TCW Funds, Inc. since December 2016. | | Tax Officer (since December 2016), Metropolitan West Funds and TCW Strategic Income Fund, Inc.; Managing Director and Director of Tax (since August 2016), TCW LLC; Vice President of Corporate Tax and Payroll for Health Net, Inc. (1998 – July 2016). |
Meredith S. Jackson (1959) Senior Vice President, General Counsel and Secretary | | Ms. Jackson has served as Senior Vice President since January 2016 and General Counsel and Secretary of TCW Funds, Inc. since February 2013. | | Executive Vice President, General Counsel and Secretary (since January 2016), TCW LLC; Executive Vice President, General Counsel and Secretary (since February 2013), TCW Investment Management Company LLC, The TCW Group Inc., TCW Asset Management Company LLC, and Metropolitan West Asset Management, LLC; Senior Vice President, General Counsel and Secretary (since February 2013), TCW Strategic Income Fund, Inc., Vice President and Secretary (since February 2013), Metropolitan West Funds. |
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| | | | |
| Name and Year of Birth (1) | | Position(s) Held with Company | | Principal Occupation(s) During Past 5 Years (2) |
Gladys Xiques (1973) Chief Compliance Officer and AML Officer | | Ms. Xiques has served as Chief Compliance Officer and AML Officer of TCW Funds, Inc. since January 2021. | | Chief Compliance Officer and AML Officer (since January 2021), TCW Strategic Income Fund, Inc. and Metropolitan West Funds; Managing Director and Global Chief Compliance Officer (since January 2021), TCW LLC, TCW Investment Management Company LLC, Metropolitan West Asset Management, LLC and TCW Asset Management Company LLC; Global Chief Compliance Officer (since January 2021), The TCW Group, Inc.; Senior Vice President (February 2015 – December 2020), TCW LLC, TCW Investment Management Company LLC, Metropolitan West Asset Management, LLC and TCW Asset Management Company LLC; Director and Compliance Counsel (March 2010 – January 2015), Kohlberg Kravis Roberts & Co. L.P. |
Richard M. Villa (1964) Treasurer Principal Financial and Accounting Officer | | Mr. Villa has served as Treasurer and Principal Financial and Accounting Officer of TCW Funds, Inc. since February 2014. | | Executive Vice President, Chief Financial Officer and Assistant Secretary (since January 2016), TCW LLC; Treasurer and Principal Financial and Accounting Officer (since February 2014), TCW Strategic Income Fund, Inc.; Executive Vice President and Chief Financial Officer and Assistant Secretary (since July 2008), TCW Investment Management Company LLC, the TCW Group, Inc., TCW Asset Management Company LLC. |
| (1) | The address of the Interested Director and each officer is c/o the TCW Group, Inc., 865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017. |
| (2) | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
In addition, Eric Chan, Managing Director of Fund Operations for the Advisor, TCW Asset Management Company LLC, TCW LLC (since 2009), and Metropolitan West Asset Management, LLC (since November 2006), is Assistant Treasurer of the Company (since June 2019) and Metropolitan West Funds (since 2010). Mr. Chan is a Certified Public Accountant. Patrick W. Dennis, Senior Vice President, Associate General Counsel and Assistant Secretary of TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC, TCW LLC, the Advisor (since February 2013), is Vice President and Assistant Secretary of the Company and Metropolitan West Funds (since 2013).
The SAI (Statement of Additional Information) has additional information regarding the Board of Directors. A copy is available without charge by calling 1-800-FUND-TCW (1-800-386-3829) to obtain a hard copy or by going to the SEC website at http://www.sec.gov.
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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
FUNDarINT1021
| (a) | The Registrant has adopted a code of ethics that applies to its principal executive officer and principal financial officer or persons performing similar functions. |
| (b) | No disclosures are required by this Item 2(b). |
| (c) | The Registrant has made no material changes to its code of ethics. |
| (d) | The Registrant has not granted any waivers from any provisions of its code of ethics during the period covered by this Form N-CSR. |
| (f) | A copy of the Registrant’s code of ethics is filed as Exhibit 13(a)(1) to this Form N-CSR. |
| Item 3. | Audit Committee Financial Expert. |
| (a)(1) | The Registrant’s Board of Directors (the “Board”) has determined that the Registrant has two members serving on the Registrant’s Audit Committee that possess the attributes identified in Form N-CSR to qualify as an “audit committee financial expert.” |
| (a)(2) | The audit committee financial experts are Samuel P. Bell and Victoria B. Rogers. Each has been deemed to be “independent” as that term is defined in Form N-CSR. |
| Item 4. | Principal Accountant Fees and Services. |
The firm of Deloitte & Touche LLP (“Deloitte”) serves as the independent registered public accounting firm for the Registrant.
For the fiscal years ended October 31, 2021 and October 31, 2020, the aggregate fees billed for professional services rendered by Deloitte for the audit of the Registrant’s annual financial statements or for services that are normally provided by Deloitte in connection with statutory and regulatory filings or engagements were:
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2021 | | 2020 |
| $525,298 | | $525,298 |
For the fiscal years October 31, 2021 and October 31, 2020, the aggregate fees billed for assurance and related services rendered by Deloitte that are reasonably related to the performance of the audit or review of the Registrant’s financial statements and that are not reported under Audit Fees above were:
For the fiscal years ended October 31, 2021 and October 31, 2020, the aggregate fees billed for tax compliance, tax advice and tax planning by Deloitte were:
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2021 | | 2020 |
| $106,292 | | $104,215 |
For the fiscal years ended October 31, 2021 and October 31, 2020, the aggregate fees billed by Deloitte to the Registrant for all services other than services reported under Audit Fees, Audit-Related Fees, and Tax Fees were:
Fees were for Passive Foreign Investment Company analysis.
| (e)(1) | The Registrant’s Audit Committee approves each specific service the auditor will perform for the Registrant. Accordingly, the Audit Committee has not established pre-approval policies or procedures for services that the auditor may perform for the Registrant. |
| (e)(2) | None of the services described in each of paragraphs (b) through (d) of this Item were approved by the Registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
| (g) | For the fiscal years ended October 31, 2021 and October 31, 2020, aggregate non-audit fees billed by Deloitte for services rendered to the Registrant were: |
| | |
2021 | | 2020 |
| $120,202 | | $115,083 |
For the twelve month periods ended October 31, 2021 and October 31, 2020, aggregate non-audit fees billed by Deloitte for services rendered to the Registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant were $709,570 and $886,027, respectively.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
| (a) | The Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form N-CSR. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Directors.
| Item 11. | Controls and Procedures. |
| (a) | The Chief Executive Officer and Principal Financial and Accounting Officer have concluded, as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective, as of such date, 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.
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.
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| (Registrant) | | TCW Funds, Inc. |
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| By (Signature and Title) | | |
| | /s/ David B. Lippman David B. Lippman President and Chief Executive Officer |
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| Date | | December 29, 2021 |
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| 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. |
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| By (Signature and Title) | | |
| | /s/ David B. Lippman David B. Lippman President and Chief Executive Officer |
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| Date | | December 29, 2021 |
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| By (Signature and Title) | | |
| | /s/ Richard M. Villa Richard M. Villa Treasurer and Principal Financial and Accounting Officer |
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| Date | | December 29, 2021 |
