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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-7170
TCW Funds, Inc.
(Exact name of registrant as specified in charter)
865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017
(Address of principal executive offices)
Patrick W. Dennis, Esq.
Assistant Secretary
865 South Figueroa Street, Suite 1800
Los Angeles, CA 90017
(Name and address of agent for service)
Registrant’s telephone number, including area code: (213) 244-0000
Date of fiscal year end: October 31
Date of reporting period: October 31, 2015
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Item 1. | Report to Shareholders. |
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OCTOBER201531
ANNUAL
R E P O R T
TCW EQUITY FUNDS
TCW Concentrated Value Fund
TCW Global Real Estate Fund
TCW Growth Equities Fund
TCW High Dividend Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
TCW Small Cap Growth Fund
TCW SMID Cap Growth Fund
ASSET ALLOCATION FUND
TCW Conservative Allocation Fund
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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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|
David S. DeVito | ||
President, Chief Executive Officer and Director |
Dear Valued Investors,
It is my pleasure to present the 2015 annual report for the TCW Funds, Inc. covering the 12-month period ended October 31, 2015. I would like to express our appreciation for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of October 31, 2015, the TCW Funds held total net assets of approximately $18 billion.
This report contains information and portfolio management discussions of our TCW Equity Funds and our TCW Allocation Fund.
The U.S. Stock Market
Although U.S. stocks rose 5.2% (S&P 500 Index) over the course of the year, the equity market experienced a significant spike in volatility, with stocks marking their first “correction” in nearly four years given their 12.4% decline from late May to late August. The macroeconomic uncertainty resulting from China’s continued economic slowdown and surprise currency devaluation, coupled with dramatic declines in emerging markets currencies and stocks, stoked global growth concerns and tempered U.S. corporate earnings growth expectations. Indeed, there was noteworthy divergence between the returns of growth and value stocks, with the former outpacing the latter by over 9% (Russell 1000 Growth Index vs. Russell 1000 Value Index) during the year given the greater exposure of value names to cyclically sensitive industries such as energy, materials, and industrials. At the same time, the U.S. Fed’s mixed signals about the timing and trajectory of potential interest rate hikes served to undermine investors’ confidence in the U.S. economy’s growth prospects and
the resilience of corporate earnings. Despite these significant headwinds, the positive performance of U.S. stocks during the year underscores the strong fundamentals of many U.S. companies.
Looking Ahead
To the extent an eventual hike in interest rates by the Fed is accompanied by well-anchored inflation expectations and a reasonable U.S. economic growth backdrop, we remain constructive on the earnings growth prospects for U.S. stocks. Consensus figures (Bloomberg) presently point to an expectation of high single-digit earnings growth in calendar year 2016, with stocks trading at around 16 times earnings, which appears to be a fair valuation. While we do not dismiss the potential for renewed stock market volatility as investors grapple with the implications of higher interest rates, we believe that U.S. company fundamentals generally remain strong, and our equity funds continue to identify attractive investment opportunities.
We know that you have many choices when it comes to the management of your financial assets. On behalf of everyone at TCW, I would like to thank you for making the TCW Funds part of your long-term investment plan. We truly value our relationship with you. If you have any questions or require further information, I invite you to visit our website at www.tcw.com, or call our shareholder services department at 800-386-3829.
I wish you all the best in the coming new year and I look forward to further correspondence with you through our semi-annual report in 2016.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
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TCW Concentrated Value Fund
For the year ended October 31, 2015, the TCW Concentrated Value Fund (“the Fund) rose 0.79% and 0.80% for its I Class and N Class, respectively. The performance of the Fund’s classes varies because of its differing expenses. During the same period, the Russell 1000 Value index rose 0.53%.
As was the case last year, the Fund generated all of its excess performance from stock selection and was partially offset by negative contribution to sector allocation. The materials sector within the portfolio was the best performing sector over the past year. All three stocks in this sector outperformed the benchmark as Sealed Air was up 36.8%; Ecolab was up 9.5%; and Air Products was up 5.5%. Sealed Air was the best performing stock in the Fund over the past year as cost reductions and margin expansion boosted earnings far more than expectations during each of the their quarterly reports. The next best performing sector within the Fund was the industrials sector. Four stocks within the sector were standout performers over the past year. Roper Technologies was up 18.1%; Transdigm was up 17.5%; American Airlines was up 12.8% and Honeywell was up 9.5%. American Airlines outperformed the benchmark because low oil prices contributed greatly to its cost structure plus the stock from a valuation perspective was and is still very attractive. For the other three stocks mentioned above, great execution led to stellar earnings results throughout the year. Although the energy sector was the worst performing sector over the past year, the Fund actually benefited from a relative performance perspective as every stock in this sector held by the Fund outperformed that sector in the benchmark. For the second year in a row, consumer discretion was the worst performing sector in the Fund. Our investments in Wynn Resorts and PVH Corp. were the main reasons. In the case of Wynn Resorts, the stock was down 27.2% as the gaming industry mainly in Macau showed much lower comps and traffic than anybody would have imagined. In the case of PVH Corp, the drag on its European operations due to foreign exchange hurt overall results for the year. Their quarterly reports from an actual and guidance perspective suggested the stock should have performed much better than it did so we continue to hold and think the valuation is compelling. Healthcare, which was the best performing sector last year, was the second worst this year. Much of the negative attribution came late during the year due to the controversy over drug pricing that arose in early September.
The main theme that stayed with the markets throughout 2015 was when and whether the Federal Reserve would raise interest rates for the first time since June 2006. The Fed liftoff, as it has been commonly referred to, was expected to happen no later than June 2015 according to the pundits, but various factors prohibited the Fed from moving. The markets were then convinced that September 2015 was going to be the date but China slowed more dramatically than expected and the Fed decided to wait again. As of this writing the first rate hike has still not happened although many feel now it will happen in December 2015. There is a lot of data that will come out between now and then but last Friday’s jobs report of 271,000 only puts more pressure for the Fed to act in December. Only time will tell for sure but there has been a definite overhang on the market as result of the Federal Reserve inaction to date.
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TCW Concentrated Value Fund
Management Discussions (Continued)
The portfolio owns high quality stocks and we believe it is prudent to be patient. The objective is to create a portfolio that has a good risk/reward profile and to remain balanced that is poised to do well in both up markets as well as down markets. We remain confident that investing in attractively valued companies with strong management teams that are expected to increase their return on invested capital and free cash flow generation will yield favorable long term results.
Annualized Total Return as of October 31, 2015(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception Class N(2) | Inception Class I | |||||||||||||||||||
TCW Concentrated Value Fund | ||||||||||||||||||||||||
Class I (Inception: 11/1/2004) | 0.79 | % | 17.55 | % | 12.62 | % | 5.19 | % | — | 5.79 | % | |||||||||||||
Class N (Inception: 7/20/1998) | 0.80 | % | 17.54 | % | 12.43 | % | 5.00 | % | 5.62 | % | — | |||||||||||||
Russell 1000 Value | 0.53 | % | 14.52 | % | 13.26 | % | 6.75 | % | 6.05 | % | 7.21 | % |
(1) | 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 before the Fund’s registration became effective. The predecessor entity was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If that entity had been registered under the 1940 Act, the performance may have been lower. |
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TCW Conservative Allocation Fund
Management Discussions
For the year ended October 31, 2015, the TCW Conservative Allocation Fund (the “Fund”) posted a gain of 3.88% for the I Class and 3.31% 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% Barclays Capital Aggregate Bond Index returned 3.48% over the same period.
The Fund posted positive returns over the past year with a majority of the returns coming from U.S. equities. The strongest returns came from TCW Select Equities Fund, ProShares Ultra Short Euro and ProShares Ultra Short MSCI Emerging Markets Equities ETF’s. These investments were up over 10% over the past year outpacing the return of 5.2% for the S&P 500. At the asset allocation level, the decision to over overweight U.S. equities, especially Large Cap Growth relative to the blended index was a key contributor to relative performance.
As of October, the allocation for the Fund was 44% in equities, 53% in fixed income and 2% in ETF’s, giving the Fund a 4% overweight in equities and 7% underweight in fixed income relative to its blended index. Over the past 12 months, the Fund has gradually reduced the allocations to U.S. equities especially the allocations to mid-cap funds as we feel that some profit taking is best. For the fixed income allocations we remain concentrated within high grade debt favoring MBS. The Fund has had no allocation to either High Yield or Emerging Market Debt over the past year. Within fixed income allocation, the Fund has steadily decreased the duration of our fixed income holdings in anticipation of higher interest rates.
Over the past year, U.S. equity markets continue to climb reaching all-time highs. The key drivers for these higher returns have been stronger than expected economic data along with strong corporate earnings growth. In additional central banks globally maintain an accommodative monetary policies which it keeping global interest rates low. With the employment landscape improving, the housing sector continuing to show strength, consumer confidence rebounding, low interest rates globally, and expanding GDP growth; we feel confident the recovery will continue to expand and lead to a favorable backdrop for the equity markets.
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TCW Conservative Allocation Fund
Management Discussions (Continued)
Annualized Total Return as of October 31, 2015(1) | ||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | Inception Class N | Inception Class I | ||||||||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||||||
Class I (Inception: 11/16/2006) | 3.88 | % | 6.63 | % | 6.36 | % | — | 5.52 | % | |||||||||||
Class N (Inception: 11/16/2006) | 3.31 | % | 6.09 | % | 5.99 | % | 5.31 | % | — | |||||||||||
40% S&P 500 and 60% Barclays Capital Aggregate Bond | 3.48 | % | 7.40 | % | 7.62 | % | 5.85 | % | 5.85 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
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TCW Global Real Estate Fund
Management Discussions
For the period from December 1, 2014 (commencement of operations) through October 31, 2015, the TCW Global Real Estate Fund (the “Fund”) generated negative returns of 0.62% and 0.72% 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 positive return of 1.96% over the same period.
The year for global real estate equities was volatile. Although the benchmark ended up for the period, many sectors within the REIT market were hit hard (i.e., those with longer lease durations and thus greater interest rate sensitivity – such as healthcare). August was particularly tumultuous, as the specter for a rate hike loomed large over the space. While the US economy seems to be humming along, it appears that international growth is slowing. A backdrop of decelerating economic growth is actually far more damaging to real estate fundamentals than the prospect of rising interest rates, and we believe that this has been the main overhang on the space, especially late in the period.
On an attribution basis, the Fund’s underperformance relative to its benchmark during the period was primarily a result of negative stock selection, offset by a slight positive contribution from sector allocation. At the end of the period, the Fund’s largest sector weighting was in the Retail REIT sector, followed by an overweight in the Mortgage REIT sector. Specifically, the Fund’s overweight in Mortgage REITs hurt performance due to the higher than average interest rate sensitivity of the sector (down 33.70%). The Fund was underweight Residential REITs, which hurt performance due to the strong returns of that group (up 9.08%). From a stock selection perspective, notable detractors included WP Glimcher, Global Logistic Properties, and Nippon Prologis REIT. These three stocks accounted for the entirety of the Fund’s underperformance relative to the S&P Global REIT benchmark. Conversely, positive contributors to the Fund’s performance included Deutsche Wohnen AG, Macerich Company, and Lennar Corporation.
Overall for this period, we were encouraged by the quick recovery in September and October in the REIT markets and believe that the fears of a rapid and significant rate hike by the Fed are overblown. The fundamentals of the real estate market remain favorable and companies are still enjoying robust growth in funds from operations. As a result of high yields and stable cash flows, Global REITs still offer a good risk adjusted returns in an increasingly uncertain world. Our philosophy has been to invest in high quality businesses run by capable management teams that can generate strong returns over the long-run. While we are disappointed by our underperformance this period, we are confident that our approach is well-supported from a historical standpoint and remain committed to our process. Markets can be disruptive over a short term; we remain ready to take advantage of opportunities as they arise. We thank you for your continued support and trust.
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TCW Global Real Estate Fund
Management Discussions (Continued)
Cumulative Return(1) | ||||||||
Inception Class N | Inception Class I | |||||||
TCW Global Real Estate Fund | ||||||||
Class I (Inception: 12/1/2014) | — | (0.62 | )% | |||||
Class N (Inception: 12/1/2014) | (0.72 | )% | — | |||||
S&P Global REIT | 1.96 | % | 1.96 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
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TCW Growth Equities Fund
Management Discussions
For the year ended October 31, 2015, the TCW Growth Equities Fund (the “Fund”) posted negative returns of 5.26% and 5.13% 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 Growth Index, returned 4.94% over the same period.
After a solid start in the beginning of 2015, our strategies struggled in the second half of the year as the global equity markets faced significant volatility. In particular, the investment environment in recent months has been overshadowed by a dismal macroeconomic picture in China and emerging markets, as well as anxiety around the FOMC’s (Federal Open Market Committee) monetary policy in the U.S. Although the Fed held interest rates unchanged in September, citing concerns about the global economy, the anticipated shift in the Fed’s stance from quantitative easing to tightening is causing a strain on global currency and credit markets. While the U.S. economy continues on the path of recovery and growth, it is not immune to a potential global slowdown. A stronger U.S. dollar, weakening overseas economies and declining exports are hitting U.S. companies, in particular those focused on energy and manufacturing.
On an attribution basis, the Fund’s underperformance during the period was primarily a result of negative stock selection in the information technology, consumer discretionary and industrials sectors. Stock selection was positive in the energy and financials sectors. At the end of the period, the Fund’s largest sector weighting was information technology, followed by healthcare. The Fund is overweight versus the Russell Midcap Growth Index in both sectors. Notable detractors included Twitter, Stratasys and FireEye in information technology, Wynn Resorts and Kate Spade & Co. in consumer discretionary, Kansas City Southern industrials, Blue Buffalo Pet Products and United Natural Foods in consumer staples and Illumina in healthcare. On the other hand, contributors of note were names such as MarketAxess Holdings in financials, Under Armour in consumer discretionary, Monster Beverage, Constellation Brands and WhiteWave Foods in consumer staples, athenahealth and BioMarin Pharmaceutical in healthcare, ServiceNow in information technology and Middleby Corporation in industrials.
Over the year, we have continued to consolidate the portfolio by buying more of our higher-conviction holdings. As a result, the Fund holds 46 names compared to 52 names at this time in 2014. With respect to our portfolio strategy, we are optimistic about the portfolio’s positioning and growth prospects. We believe small- and mid-cap stocks should fare relatively better due to their low international exposure. Over the long run, we believe high quality growth names will outperform in an economic recovery.
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TCW Growth Equities Fund
Management Discussions (Continued)
Annualized Total Return as of October 31, 2015(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception Class N | Inception Class I | |||||||||||||||||||
TCW Growth Equities Fund | ||||||||||||||||||||||||
Class I (Inception: 3/1/2004) | (5.26 | )% | 11.85 | % | 7.71 | % | 6.76 | % | — | 7.01 | % | |||||||||||||
Class N (Inception: 3/1/2004) | (5.13 | )% | 11.88 | % | 7.72 | % | 6.73 | % | 6.98 | % | — | |||||||||||||
Russell Midcap Growth | 4.94 | % | 17.22 | % | 14.10 | % | 9.08 | % | 9.08 | % | 9.08 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
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TCW High Dividend Equities Fund
Management Discussions
For the period from December 1, 2014 (commencement of operations) through October 31, 2015, the TCW High Dividend Equities Fund (the “Fund”) generated negative returns of 7.66% and 7.76% 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 3000 Value Index, decreased by 1.58% over the same period.
For most of the year, the market’s performance was relatively benign due to low unemployment, moderate earnings growth and mild inflation. There were pockets of weakness, most notably in the energy sector, but volatility was generally low and valuation levels elevated. During the second quarter, headlines began to change as international growth slowed and oil began to decline at an even more precipitous pace. By the middle of the third quarter, markets had entered a temporary panic phase, with the VIX index spiking to over 40 in late August. This period of panic was short lived and was promptly followed by a massive rally in most markets in October, all aggregating into a relatively flat return for the year. Against this backdrop, investors within the high-yielding dividend sectors where we invest were whipsawed, as concerns over a Fed rate hike became more pronounced.
On an attribution basis, the Fund’s underperformance relative to its benchmark index during the period was primarily a result of negative stock selection offset by a slight positive contribution from sector allocation. At the end of the period, the Fund’s largest sector weighting was in the Financials sector, followed by Information Technology. The Fund was underweight Energy and Materials, which helped, but only marginally. Unfortunately, the holdings that we did have in the Energy and Financial sectors were higher yielding entities, which resulted in considerably greater declines than the respective sectors indices, given the focus by investors on interest rates. The Alerian MLP Index and the S&P BDC Index for example, were down 24.93% and 7.36% respectively for the period from December 1, 2014 to October 30, 2015. From a stock selection perspective, notable detractors included WP Glimcher, Copa Holdings and Wal-Mart Stores. These three stocks contributed to nearly half of the Fund’s decline as investors sought to reduce their weights in out of favor B-quality REITs, emerging market exposed companies and low-end retailers. Conversely, positive contributors to the Fund’s performance included Williams Companies, Altria Group, and Ares Capital. Despite a negative return over the period for Williams, we were able to capture gains as we sold on the announcement of an acquisition.
In conclusion, it was a rough start for the Fund as high dividend stocks fell out of favor and our stock selection and timing was poor. Our philosophy has been to invest in boring and out of favor yet high quality businesses run by capable management teams that we believe are temporarily undervalued. We believe that our approach and investment discipline have solid underpinnings and intend to remain true to our style. In the short term, markets can be very disruptive and it seems that our style is currently out of favor. Still, we continue to be ready to take advantage of opportunities as they arise; we will remain focused in our search for value. We thank you for your continued support and trust.
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TCW High Dividend Equities Fund
Management Discussions (Continued)
Cumulative Return(1) | ||||||||
Inception Class N | Inception Class I | |||||||
TCW High Dividend Equities Fund | ||||||||
Class I (Inception: 12/1/2014) | — | (7.66 | )% | |||||
Class N (Inception: 12/1/2014) | (7.76 | )% | — | |||||
Russell 3000 Value Index | (1.58 | )% | (1.58 | )% |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
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TCW Relative Value Dividend Appreciation Fund
Management Discussions
For the year ended October 31, 2015, the TCW Relative Value Dividend Appreciation Fund (the “Fund”) gained 0.40% and 0.10% 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 Russell 1000 Value Index, returned 0.53% over the same period.
Market Outlook
While Dr. Janet Yellen acknowledged that an argument could have been made for a rate hike in September, she explained that the current low inflation environment allowed the Fed to wait and determine the potential ripple effects of global uncertainties. At its most recent October meeting, the Fed, as expected, left rates alone. However, December was named as a possible lift-off date with the odds increasing to 80% further bolstered by October’s employment report showing 271,000 job gains, the unemployment rate dropping to 5.0%, and the underemployment rate dropping to 9.8%. The mitigating factor is that the labor force participation rate remains low albeit not accounting for Medicare eligible workers who may be opting out of the system. In addition, Fed members noted top line inflation continues to be suppressed by declines in energy prices and non-energy import prices vis a vis the strong dollar; these detracting factors should not be considered persistent.
Aided by strong hiring and relatively low mortgage rates, the housing market has rejuvenated and continues to be supportive of economic growth. For the seventh consecutive month ending September 30, existing home sales have sold at a 5+ million seasonally adjusted annual rate (SAAR) unit basis putting home buying on pace for its best year in nearly ten years. Housing starts, likewise, have been solidly running at a 1+ million SAAR pace for seven consecutive months ending October 31, and the National Association of Home Builders/Wells Fargo index showed builder sentiment increased to the highest level since the housing boom of a decade ago. Auto sales continue to be strong accelerating to an 18+ million units SAAR (as of October 31), the best pace since July 2005. This strength may be in part due to resumed job growth along with much lower gas prices. The national average price for gas is hovering at $2.20/gallon, according to AAA, down from a high of $3.70 in April 2014. This savings, combined with heating oil down by more than $1.00 over the past year, should have a positive impact on almost all consumer spending in the coming months.
Third quarter earnings are estimated to be in negative territory though subsequent quarters are forecasted to show a gradual recovery into 2016. Year-over-year earnings comparisons for energy companies, which currently show declines of 50-80%, will become more favorable as we move through the fourth quarter of 2015 and into the first quarter of 2016 and should stop weighing on total corporate profit margins. In fact, the declines in commodity prices should have an outsized positive effect on the majority of corporate and consumer users. The second stage of the corporate earnings cycle will rest on the ability of companies to sustain profit margins until employment and wage growth rise to the point where increased demand (higher sales) offsets ensuing wage margin pressure. In the meantime, lower energy costs will be a positive stimulus.
Fund Review
Over the course of the one-year period ending October 31, the Fund benefited from its relative sector weights in Energy and Utilities while those in Information Technology, Health Care, and Financials detracted from performance. The strategy’s top ten conviction-weighted holdings outperformed the portfolio benchmark over the period returning +7.6%, on average, led by Cisco Systems, Pfizer, General Electric, and Microsoft. The Fund’s Telecommunication Services stocks outperformed led by Deutsche Telekom while its Materials stocks also performed admirably led by Avery Dennison and Packaging Corp of America. Other positive performers include Maxim Integrated Products, Home Depot, Mondelez, and
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TCW Relative Value Dividend Appreciation Fund
Management Discussions (Continued)
Travelers. Mondelez was completely sold as it appreciated to the point of meeting none of the valuation criteria. On the downside, Seagate Technology in Information Technology was the worst relative performer during the one-year period. As a group, the portfolio’s Consumer Discretionary names were the worst relative performers due in large part to Gap along with a recent new position in Coach, and Time. Navient, State Street, and Ameriprise Financial were the largest laggards among the Financials while the portfolio’s Energy stocks, the hardest hit market-wide over the course of the one-year period, detracted; the portfolio’s holdings as a whole underperformed with ENSCO, Nabors Industries and Chevron being the largest decliners. Other notable detractors include Avon and Tyco Int’l. Navient, ENSCO, and Avon were each completely sold during the period.
Annualized Total Return as of October 31, 2015(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception Class N | Inception Class I | |||||||||||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||||||||||
Class I (Inception: 11/1/2004) | 0.40 | % | 13.96 | % | 13.55 | % | 6.72 | % | — | 6.99 | % | |||||||||||||
Class N (Inception: 9/19/1986) | 0.10 | % | 13.65 | % | 13.22 | % | 6.40 | % | 9.21 | % | — | |||||||||||||
Russell 1000 Value | 0.53 | % | 14.52 | % | 13.26 | % | 6.75 | % | 10.23 | % | 7.21 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
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TCW Relative Value Large Cap Fund
Management Discussions
For the year ended October 31, 2015, the TCW Relative Value Large Cap Fund (the “Fund”) gained 0.50% and 0.20% 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 0.53% over the same period.
Market Outlook
While Dr. Janet Yellen acknowledged that an argument could have been made for a rate hike in September, she explained that the current low inflation environment allowed the Fed to wait and determine the potential ripple effects of global uncertainties. At its most recent October meeting, the Fed, as expected, left rates alone. However, December was named as a possible lift-off date with the odds increasing to 80% further bolstered by October’s employment report showing 271,000 job gains, the unemployment rate dropping to 5.0%, and the underemployment rate dropping to 9.8%. The mitigating factor is that the labor force participation rate remains low albeit not accounting for Medicare eligible workers who may be opting out of the system. In addition, Fed members noted top line inflation continues to be suppressed by declines in energy prices and non-energy import prices vis a vis the strong dollar; these detracting factors should not be considered persistent.
Aided by strong hiring and relatively low mortgage rates, the housing market has rejuvenated and continues to be supportive of economic growth. For the seventh consecutive month ending September 30, existing home sales have sold at a 5+ million seasonally adjusted annual rate (SAAR) unit basis putting home buying on pace for its best year in nearly ten years. Housing starts, likewise, have been solidly running at a 1+ million SAAR pace for seven consecutive months ending October 31, and the National Association of Home Builders/Wells Fargo index showed builder sentiment increased to the highest level since the housing boom of a decade ago. Auto sales continue to be strong accelerating to an 18+ million units SAAR (as of October 31), the best pace since July 2005. This strength may be in part due to resumed job growth along with much lower gas prices. The national average price for gas is hovering at $2.20/gallon, according to AAA, down from a high of $3.70 in April 2014. This savings, combined with heating oil down by more than $1.00 over the past year, should have a positive impact on almost all consumer spending in the coming months.
Third quarter earnings are estimated to be in negative territory though subsequent quarters are forecasted to show a gradual recovery into 2016. Year-over-year earnings comparisons for energy companies, which currently show declines of 50-80%, will become more favorable as we move through the fourth quarter of 2015 and into the first quarter of 2016 and should stop weighing on total corporate profit margins. In fact, the declines in commodity prices should have an outsized positive effect on the majority of corporate and consumer users. The second stage of the corporate earnings cycle will rest on the ability of companies to sustain profit margins until employment and wage growth rise to the point where increased demand (higher sales) offsets ensuing wage margin pressure. In the meantime, lower energy costs will be a positive stimulus.
Fund Review
Over the course of the one-year period ending October 31, the Fund benefited from its relative sector weights in Energy and Consumer Discretionary while those in Financials and Materials detracted from performance. The strategy’s top ten conviction-weighted holdings outperformed the portfolio benchmark over the period returning +12.5%, on average, led by Sealed Air, Cisco Systems, and General Electric. The Fund’s Health Care stocks outperformed led by Mylan, Cigna, and Catamaran while its Consumer Staples stocks performed admirably led by Mondelez, Sysco, and PepsiCo. Other positive performers include Home Depot, Comcast, J.C. Penney, and Travelers. Both Mylan and Mondelez were completely sold as they
14
Table of Contents
TCW Relative Value Large Cap Fund
Management Discussions (Continued)
appreciated to the point of meeting none of the valuation criteria while Catamaran was acquired by UnitedHealth Group. On the downside, the portfolio’s Consumer Discretionary names underperformed due in large part to Gap and Dana Holding. Energy stocks were the hardest hit market-wide over the course of the one-year period; the portfolio’s holdings as a whole underperformed the group with Chesapeake Energy, Nabors Industries, and ENSCO being the largest detractors. ENSCO was completely sold during the period. Western Digital was largely responsible for the loss suffered among the portfolio’s Information Technology names while Terex and Tyco lagged in Industrials. Other notable detractors include Allegheny Technologies and Navient with the latter being completely sold in September.
Annualized Total Return as of October 31, 2015(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception Class N | Inception Class I | |||||||||||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||||||||||
Class I (Inception: 1/2/2004) | 0.50 | % | 15.05 | % | 13.27 | % | 6.37 | % | — | 7.38 | % | |||||||||||||
Class N (Inception: 1/2/1998) | 0.20 | % | 14.74 | % | 12.98 | % | 6.15 | % | 6.13 | % | — | |||||||||||||
Russell 1000 Value | 0.53 | % | 14.52 | % | 13.26 | % | 6.75 | % | 6.70 | % | 7.32 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
15
Table of Contents
TCW Relative Value Mid Cap Fund
Management Discussions
For the year ended October 31, 2015, the TCW Relative Value Mid Cap Fund (the “Fund”) posted negative returns of 4.58% and 4.78% 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, gained 0.47% over the same period.
Market Outlook
While Dr. Janet Yellen acknowledged that an argument could have been made for a rate hike in September, she explained that the current low inflation environment allowed the Fed to wait and determine the potential ripple effects of global uncertainties. At its most recent October meeting, the Fed, as expected, left rates alone. However, December was named as a possible lift-off date with the odds increasing to 80% further bolstered by October’s employment report showing 271,000 job gains, the unemployment rate dropping to 5.0%, and the underemployment rate dropping to 9.8%. The mitigating factor is that the labor force participation rate remains low albeit not accounting for Medicare eligible workers who may be opting out of the system. In addition, Fed members noted top line inflation continues to be suppressed by declines in energy prices and non-energy import prices vis a vis the strong dollar; these detracting factors should not be considered persistent.
Aided by strong hiring and relatively low mortgage rates, the housing market has rejuvenated and continues to be supportive of economic growth. For the seventh consecutive month ending September 30, existing home sales have sold at a 5+ million seasonally adjusted annual rate (SAAR) unit basis putting home buying on pace for its best year in nearly ten years. Housing starts, likewise, have been solidly running at a 1+ million SAAR pace for seven consecutive months ending October 31, and the National Association of Home Builders/Wells Fargo index showed builder sentiment increased to the highest level since the housing boom of a decade ago. Auto sales continue to be strong accelerating to an 18+ million units SAAR (as of October 31), the best pace since July 2005. This strength may be in part due to resumed job growth along with much lower gas prices. The national average price for gas is hovering at $2.20/gallon, according to AAA, down from a high of $3.70 in April 2014. This savings, combined with heating oil down by more than $1.00 over the past year, should have a positive impact on almost all consumer spending in the coming months.
Third quarter earnings are estimated to be in negative territory though subsequent quarters are forecasted to show a gradual recovery into 2016. Year-over-year earnings comparisons for energy companies, which currently show declines of 50-80%, will become more favorable as we move through the fourth quarter of 2015 and into the first quarter of 2016 and should stop weighing on total corporate profit margins. In fact, the declines in commodity prices should have an outsized positive effect on the majority of corporate and consumer users. The second stage of the corporate earnings cycle will rest on the ability of companies to sustain profit margins until employment and wage growth rise to the point where increased demand (higher sales) offsets ensuing wage margin pressure. In the meantime, lower energy costs will be a positive stimulus.
Fund Review
Over the course of the one-year period ending October 31, the Fund benefited from its relative sector weights in Utilities, Information Technology, and Energy while those in Health Care, Consumer Staples, and Materials detracted from performance. The strategy’s top ten conviction-weighted holdings outperformed the portfolio benchmark over the period returning +12.2%, on average, led by Maxim Integrated Products, Sealed Air, Cigna, and Synovus Financial. The Fund’s Health Care stocks were the best relative performers led by Cigna, Mylan, and Alere. Maxim Integrated Products along with Freescale Semiconductor and Broadcom performed admirably in the Information Technology space while other notable positive performers include First Niagara Financial, Arch Capital, and J.C. Penney. Mylan was completely sold as it appreciated to the point of meeting none of the valuation criteria while Broadcom agreed to be acquired by Avago Technologies. On the downside, the portfolio’s Industrials names were the worst relative performers due in large part to Joy Global, SPX, Terex, and Kennametal. All four positions were negatively affected by macro environmental issues; Joy Global was completely sold. RCS Capital,
16
Table of Contents
TCW Relative Value Mid Cap Fund
Management Discussions (Continued)
Navient, and Invesco were the largest detractors among the Financials though the aforementioned First Niagara Financial and Arch Capital helped offset much of the loss. Gap, Beazer Homes, and Dana Holding were largely responsible for the loss suffered in Consumer Discretionary while hard disk drive manufacturers Seagate Technology and Western Digital struggled in Information Technology.
Annualized Total Return as of October 31, 2015(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception Class N | Inception Class I(2) | |||||||||||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||||||||||
Class I (Inception: 11/1/1996) | (4.58 | )% | 12.21 | % | 11.19 | % | 6.29 | % | — | 10.31 | % | |||||||||||||
Class N (Inception: 11/1/2000) | (4.78 | )% | 11.92 | % | 10.88 | % | 5.98 | % | 7.44 | % | — | |||||||||||||
Russell Midcap Value | 0.47 | % | 15.92 | % | 13.64 | % | 8.39 | % | 9.85 | % | 10.60 | % |
(1) | 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 before the Fund’s registration became effective. The predecessor entity was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If that entity had been registered under the 1940 Act, the performance may have been lower. |
17
Table of Contents
TCW Select Equities Fund
Management Discussions
For the year ended October 31, 2015, the TCW Select Equities Fund (the “Fund”) posted a net gain of 14.54% and 14.22% 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 9.18% over the same period.
Fiscal 2015 began with questions whether the equity market rally over the past several years could sustain its momentum without any form of Quantitative Easing from the Fed for the first time since 2007. In November, the PBoC unexpectedly cut rates for the first time in two years and the ECB, in an effort to fight disinflation, formally endorsed an ~€1 trillion balance sheet expansion. OPEC’s decision to leave production unchanged exacerbated the downward pressure on oil prices, and Russia, which drives almost half of its budget revenue from oil and natural gas taxes, was forced to raise its key interest rate 650bps to 17% in an effort to limit the effects of a falling ruble. In January, the Swiss National Bank removed the 1.20 floor of the EUR/CHF exchange rate, resulting in currency market volatility and the Swiss Franc rallied ~30% versus the Euro. In June, the ECB elected to not raise the level of emergency funding to Greece, and the country became the first developed economy to default on a loan with the IMF. Led by the surprise devaluation of the Chinese yuan and fears that China’s slowing growth would have negative implications for a recovering U.S. economy, U.S. equities retreated in August and September. In the U.S., while the latest non-seasonally adjusted jobless claims fell to their lowest level since 1973, concern remained whether the U.S. economy was robust enough to weather the first Fed tightening in nine years. Despite the fact that the UST 10 year yield moved higher into the September FOMC meeting (and seemingly gave clearance for the Fed to finally move off of the zero-bound), the FOMC elected not to raise rates in September. After initially selling off, equity markets rallied sharply in October and the S&P 500 Index return of +8.4% marked the best monthly gain since October 2011.
Net of expenses, the Fund outperformed for the year primarily as a result of positive security selection results, particularly in the information technology, consumer discretionary and health care sectors. Our biggest stock contributor during the year came from the consumer discretionary sector: Starbucks Corporation rallied on the heels of impressive global comps, new product innovation and continued domestic and international store growth. BioMarin Pharmaceutical Inc. moved higher as sales for key products Naglazyme, Vimizim and Kuvan beat sales expectations for the year. Equinix Inc., the largest network neutral co-location data center provider in the world, rallied due to strong revenues per cabinet, decreasing customer churn and solid higher-margin interconnection revenues. In the information technology sector, shares of salesforce.com and Mobileye N.V. were also positive contributors during the fiscal year.
Our biggest stock detractors during the year came from the health care, consumer staples, energy and information technology sectors. Illumina, Inc. underperformed after the company negatively pre-announced forward revenue guidance due to some weakness in its instrument sales business as well as weaker-than-expected sales in the Asia-Pacific region. Mead Johnson Nutrition Company underperformed due to disappointing sales, particularly in the China region. In the energy sector, shares of Oceaneering international and Schlumberger Limited retreated due to offshore deep water contracting concerns and the 43% drop in the price of crude oil over the last twelve months. In the information technology sector, shares of Splunk Inc. also underperformed during the period.
18
Table of Contents
TCW Select Equities Fund
Management Discussions (Continued)
Annualized Total Return as of October 31, 2015(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception Class N | Inception Class I(2) | |||||||||||||||||||
TCW Select Equities Fund | ||||||||||||||||||||||||
Class I (Inception: 7/1/1991) | 14.54 | % | 17.48 | % | 14.98 | % | 8.21 | % | — | 10.16 | % | |||||||||||||
Class N (Inception: 3/1/1999) | 14.22 | % | 17.16 | % | 14.67 | % | 7.91 | % | 4.10 | % | — | |||||||||||||
Russell 1000 Growth | 9.18 | % | 17.94 | % | 15.30 | % | 9.09 | % | 5.78 | % | 8.97 | % |
(1) | 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 before the Fund’s registration became effective. The predecessor entity was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If that entity had been registered under the 1940 Act, the performance may have been lower. |
19
Table of Contents
TCW Small Cap Growth Fund
Management Discussions
For the year ended October 31, 2015, the TCW Small Cap Growth Fund (the “Fund”) posted negative returns 4.26% and 4.48 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 2000 Growth Index, gained 3.52% over the same period.
After a solid start in the beginning of 2015, our strategies struggled in the second half of the year as the global equity markets faced significant volatility. In particular, the investment environment in recent months has been overshadowed by a dismal macroeconomic picture in China and emerging markets, as well as anxiety around the FOMC’s (Federal Open Market Committee) monetary policy in the U.S. Although the Fed held interest rates unchanged in September, citing concerns about the global economy, the anticipated shift in the Fed’s stance from quantitative easing to tightening is causing a strain on global currency and credit markets. While the U.S. economy continues on the path of recovery and growth, it is not immune to a potential global slowdown. A stronger U.S. dollar, weakening overseas economies and declining exports are hitting U.S. companies, in particular those focused on energy and manufacturing.
On an attribution basis, the Fund’s underperformance was primarily a result of negative stock selection in the consumer discretionary, information technology and industrials sectors. Stock selection was positive in energy and financials. At the end of the period, the Fund’s largest sector weighting was the information technology sector, followed by healthcare and consumer discretionary. The Fund is overweight versus the Russell 2000 Growth Index in both information technology and consumer discretionary but is underweight versus the index in healthcare. Notable detractors included La Quinta Holdings and Kate Spade & Co. in consumer discretionary, Shutterstock, FARO Technologies, FireEye and Stratasys in information technology, Power Solutions in industrials, Horizon Pharma in healthcare and Lifeway Foods in consumer staples. Conversely, contributors of note were names such as Wisdomtree Investments and MarketAxess Holdings in financials, LHC Group in healthcare, EPAM Systems, Imperva and Qualys in information technology, John Bean Technologies in industrials and Core-Mark Holding in consumer discretionary.
The Fund holds 72 names compared to 61 names at this time in 2014. With respect to our portfolio strategy, we are optimistic about the portfolio’s positioning and growth prospects. We believe small- and mid-cap stocks should fare relatively better due to their low international exposure. Over the long run, we believe high quality growth names will outperform in an economic recovery.
20
Table of Contents
TCW Small Cap Growth Fund
Management Discussions (Continued)
Annualized Total Return as of October 31, 2015(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception Class N | Inception Class I(2) | |||||||||||||||||||
TCW Small Cap Growth Fund | ||||||||||||||||||||||||
Class I (Inception: 12/1/1989) | (4.26 | )% | 11.03 | % | 6.65 | % | 8.25 | % | — | 8.90 | % | |||||||||||||
Class N (Inception: 3/1/1999) | (4.48 | )% | 10.73 | % | 6.36 | % | 7.92 | % | 3.66 | % | — | |||||||||||||
Russell 2000 Growth | 3.52 | % | 16.16 | % | 13.56 | % | 8.67 | % | 6.48 | % | 7.67 | % |
(1) | 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 before the Fund’s registration became effective. The predecessor entity was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If that entity had been registered under the 1940 Act, the performance may have been lower. |
21
Table of Contents
TCW SMID Cap Growth Fund
Management Discussions
For the year ended October 31, 2015, the TCW SMID Cap Growth Fund (the “Fund”) returned a negative 8.13% on its I Class and N Class shares. The Fund’s benchmark, the Russell 2500 Growth Index, gained 4.17% over the same period.
After a solid start in the beginning of 2015, our strategies struggled in the second half of the year as the global equity markets faced significant volatility. In particular, the investment environment in recent months has been overshadowed by a dismal macroeconomic picture in China and emerging markets, as well as anxiety around the FOMC’s (Federal Open Market Committee) monetary policy in the U.S. Although the Fed held interest rates unchanged in September, citing concerns about the global economy, the anticipated shift in the Fed’s stance from quantitative easing to tightening is causing a strain on global currency and credit markets. While the U.S. economy continues on the path of recovery and growth, it is not immune to a potential global slowdown. A stronger U.S. dollar, weakening overseas economies and declining exports are hitting U.S. companies, in particular those focused on energy and manufacturing.
On an attribution basis, the Fund’s underperformance was primarily a result of negative stock selection in the consumer discretionary and information technology sectors. Stock selection was positive in energy and financials. At the end of the period, the Fund’s largest sector weighting was the information technology sector, followed by consumer discretionary. The Fund is overweight versus the Russell 2500 Growth Index in both sectors. Notable detractors included Wynn Resorts and La Quinta in consumer discretionary, FARO Technologies and Stratasys in information technology, Kansas City Southern in industrials and Cepheid in healthcare. Conversely, contributors of note were names such as Wisdomtree Investments and MarketAxess Holdings in financials, Health Net and athenahealth in healthcare, Under Armour in consumer discretionary, WhiteWave Foods in consumer staples, NVIDIA Corporation and Tyler Technologies in information technology and Middleby Corporation in industrials.
Over the year, we have continued to consolidate the portfolio by buying more of our higher-conviction holdings. As a result, the Fund holds 57 names compared to 61 names at this time in 2014. With respect to our portfolio strategy, we are optimistic about the portfolio’s positioning and growth prospects. We believe small- and mid-cap stocks should fare relatively better due to their low international exposure. Over the long run, we believe high quality growth names will outperform in an economic recovery.
22
Table of Contents
TCW SMID Cap Growth Fund
Management Discussions (Continued)
Annualized Total Return as of October 31, 2015(1) | ||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | Inception Class N | Inception Class I | ||||||||||||||||
TCW SMID Cap Growth Fund | ||||||||||||||||||||
Class I (Inception: 11/1/2010) | (8.13 | )% | 10.36 | % | 6.64 | % | — | 6.63 | % | |||||||||||
Class N (Inception: 11/1/2010) | (8.13 | )% | 10.32 | % | 6.64 | % | 6.63 | % | — | |||||||||||
Russell 2500 Growth | 4.17 | % | 16.48 | % | 14.25 | % | 14.24 | % | 14.24 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
23
Table of Contents
Schedule of Investments
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (5.3% of Net Assets) | ||||||||
2,255 | Honeywell International, Inc. | $ | 232,896 | |||||
1,540 | TransDigm Group, Inc. (1) | 338,569 | ||||||
|
| |||||||
Total Aerospace & Defense | 571,465 | |||||||
|
| |||||||
Airlines (3.3%) | ||||||||
7,635 | American Airlines Group, Inc. | 352,890 | ||||||
|
| |||||||
Banks (13.8%) | ||||||||
3,905 | JPMorgan Chase & Co. | 250,896 | ||||||
3,445 | M&T Bank Corp. | 412,883 | ||||||
7,025 | US Bancorp | 296,315 | ||||||
9,885 | Wells Fargo & Co. | 535,174 | ||||||
|
| |||||||
Total Banks | 1,495,268 | |||||||
|
| |||||||
Beverages (2.8%) | ||||||||
2,550 | Anheuser-Busch InBev NV (Belgium) (SP ADR) | 304,292 | ||||||
|
| |||||||
Biotechnology (5.7%) | ||||||||
1,920 | Amgen, Inc. | 303,705 | ||||||
2,525 | Celgene Corp. (1) | 309,843 | ||||||
|
| |||||||
Total Biotechnology | 613,548 | |||||||
|
| |||||||
Capital Markets (3.0%) | ||||||||
1,740 | Goldman Sachs Group, Inc. (The) | 326,250 | ||||||
|
| |||||||
Chemicals (5.3%) | ||||||||
1,955 | Air Products & Chemicals, Inc. | 271,706 | ||||||
2,510 | Ecolab, Inc. | 302,078 | ||||||
|
| |||||||
Total Chemicals | 573,784 | |||||||
|
| |||||||
Containers & Packaging (3.4%) | ||||||||
7,600 | Sealed Air Corp. | 373,312 | ||||||
|
| |||||||
Energy Equipment & Services (0.6%) | ||||||||
905 | Schlumberger, Ltd. | 70,735 | ||||||
|
| |||||||
Food & Staples Retailing (3.0%) | ||||||||
3,295 | CVS Health Corp. | 325,480 | ||||||
|
| |||||||
Food Products (5.9%) | ||||||||
4,485 | Mead Johnson Nutrition Co. | 367,770 | ||||||
5,990 | Mondelez International, Inc. | 276,498 | ||||||
|
| |||||||
Total Food Products | 644,268 | |||||||
|
| |||||||
Health Care Providers & Services (2.7%) | ||||||||
1,630 | McKesson Corp. | 291,444 | ||||||
|
|
See accompanying notes to financial statements.
24
Table of Contents
TCW Concentrated Value Fund
October 31, 2015
Number of Shares | Common Stock | Value | ||||||
Hotels, Restaurants & Leisure (2.5%) | ||||||||
5,500 | Las Vegas Sands Corp. | $ | 272,305 | |||||
|
| |||||||
Industrial Conglomerates (2.3%) | ||||||||
1,370 | Roper Technologies, Inc. | 255,300 | ||||||
|
| |||||||
Insurance (2.7%) | ||||||||
2,585 | ACE, Ltd. (Switzerland) | 293,501 | ||||||
|
| |||||||
Life Sciences Tools & Services (2.7%) | ||||||||
2,250 | Thermo Fisher Scientific, Inc. | 294,255 | ||||||
|
| |||||||
Machinery (2.3%) | ||||||||
3,195 | IDEX Corp. | 245,248 | ||||||
|
| |||||||
Multiline Retail (5.3%) | ||||||||
4,420 | Dollar General Corp. | 299,543 | ||||||
4,265 | Dollar Tree, Inc. (1) | 279,315 | ||||||
|
| |||||||
Total Multiline Retail | 578,858 | |||||||
|
| |||||||
Oil, Gas & Consumable Fuels (4.2%) | ||||||||
2,180 | EOG Resources, Inc. | 187,153 | ||||||
6,795 | Williams Companies, Inc. (The) | 267,995 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 455,148 | |||||||
|
| |||||||
Pharmaceuticals (6.2%) | ||||||||
5,300 | AbbVie, Inc. | 315,615 | ||||||
1,142 | Allergan PLC (Ireland) (1) | 352,273 | ||||||
|
| |||||||
Total Pharmaceuticals | 667,888 | |||||||
|
| |||||||
Road & Rail (3.1%) | ||||||||
3,810 | Union Pacific Corp. | 340,423 | ||||||
|
| |||||||
Specialty Retail (2.5%) | ||||||||
1,350 | Advance Auto Parts, Inc. | 267,881 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (3.1%) | ||||||||
2,785 | Apple, Inc. | 332,808 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.6%) | ||||||||
1,860 | PVH Corp. | 169,167 | ||||||
|
| |||||||
Total Common Stock (Cost: $9,461,745) (93.3%) | 10,115,518 | |||||||
|
|
See accompanying notes to financial statements.
25
Table of Contents
TCW Concentrated Value Fund
Schedule of Investments (Continued)
Number of Shares | Master Limited Partnership | Value | ||||||
Oil, Gas & Consumable Fuels (6.1%) | ||||||||
4,961 | EQT Midstream Partners LP | $ | 367,312 | |||||
4,528 | Magellan Midstream Partners LP | 288,932 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 656,244 | |||||||
|
| |||||||
Total Master Limited Partnership (Cost: $766,676) (6.1%) | 656,244 | |||||||
|
| |||||||
Total Investments (Cost: $10,228,421) (99.4%) | 10,771,762 | |||||||
Excess of Other Assets over Liabilities (0.6%) | 68,176 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 10,839,938 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
SP ADR - Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights.
See accompanying notes to financial statements.
26
Table of Contents
TCW Concentrated Value Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 5.3 | % | ||
Airlines | 3.3 | |||
Banks | 13.8 | |||
Beverages | 2.8 | |||
Biotechnology | 5.7 | |||
Capital Markets | 3.0 | |||
Chemicals | 5.3 | |||
Containers & Packaging | 3.4 | |||
Energy Equipment & Services | 0.6 | |||
Food & Staples Retailing | 3.0 | |||
Food Products | 5.9 | |||
Health Care Providers & Services | 2.7 | |||
Hotels, Restaurants & Leisure | 2.5 | |||
Industrial Conglomerates | 2.3 | |||
Insurance | 2.7 | |||
Life Sciences Tools & Services | 2.7 | |||
Machinery | 2.3 | |||
Multiline Retail | 5.3 | |||
Oil, Gas & Consumable Fuels | 10.3 | |||
Pharmaceuticals | 6.2 | |||
Road & Rail | 3.1 | |||
Specialty Retail | 2.5 | |||
Technology Hardware, Storage & Peripherals | 3.1 | |||
Textiles, Apparel & Luxury Goods | 1.6 | |||
|
| |||
Total | 99.4 | % | ||
|
|
See accompanying notes to financial statements.
27
Table of Contents
TCW Conservative Allocation Fund
Schedule of Investments
Number of Shares | Affiliated Investment Companies | Value | ||||||
Diversified U.S. Equity Funds (43.1% of Net Assets) | ||||||||
134,167 | TCW Global Real Estate Fund — I Class (1) | $ | 1,302,763 | |||||
66,589 | TCW Growth Equities Fund — I Class (1)(2) | 742,466 | ||||||
166,698 | TCW High Dividend Equities Fund — I Class (1) | 1,498,619 | ||||||
185,015 | TCW Relative Value Large Cap Fund — I Class (1) | 4,068,489 | ||||||
24,980 | TCW Relative Value Mid Cap Fund — I Class (1) | 560,291 | ||||||
244,346 | TCW Select Equities Fund — I Class (1) | 7,244,846 | ||||||
|
| |||||||
Total Diversified U.S. Equity Funds | 15,417,474 | |||||||
|
| |||||||
Diversified U.S. Fixed Income Funds (51.8%) | ||||||||
688,594 | Metropolitan West Total Return Bond Fund — I Class (1) | 7,450,584 | ||||||
1,079,823 | TCW Total Return Bond Fund — I Class (1) | 11,100,581 | ||||||
|
| |||||||
Total Diversified U.S. Fixed Income Funds | 18,551,165 | |||||||
|
| |||||||
Total Affiliated Investment Companies (Cost: $29,961,216) (94.9%) | 33,968,639 | |||||||
|
| |||||||
Non — Affiliated Investment Companies | ||||||||
Exchange-Traded Fund (2.1%) | ||||||||
34,930 | ProShares UltraShort MSCI Emerging Markets (2) | 752,043 | ||||||
|
| |||||||
Total Non — Affiliated Investment Companies (Cost: $895,230) (2.1%) | 752,043 | |||||||
|
| |||||||
Total Investments (Cost: $30,856,446) (97.0%) | 34,720,682 | |||||||
Excess of Other Assets over Liabilities (3.0%) | 1,064,118 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 35,784,800 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Affiliated issuer. |
(2) | Non-income producing security. |
See accompanying notes to financial statements.
28
Table of Contents
TCW Conservative Allocation Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Diversified U.S. Equity Funds | 43.1 | % | ||
Diversified U.S. Fixed Income Funds | 51.8 | |||
Exchange-Traded Funds | 2.1 | |||
|
| |||
Total | 97.0 | % | ||
|
|
See accompanying notes to financial statements.
29
Table of Contents
Schedule of Investments
Number of Shares | Common Stock | Value | ||||||
Australia (5.5% of Net Assets) | ||||||||
49,158 | Scentre Group | $ | 144,257 | |||||
16,722 | Westfield Corp. | 121,380 | ||||||
|
| |||||||
Total Australia (Cost: $262,938) | 265,637 | |||||||
|
| |||||||
China (3.9%) | ||||||||
29,000 | China Overseas Land & Investment, Ltd. | 93,672 | ||||||
9,666 | China Overseas Property Holdings, Ltd. (1) | 1,647 | ||||||
15,832 | Link REIT (The) | 94,597 | ||||||
|
| |||||||
Total China (Cost: $189,395) | 189,916 | |||||||
|
| |||||||
France (5.8%) | ||||||||
2,056 | Klepierre | 97,815 | ||||||
641 | Unibail — Rodamco SE | 179,221 | ||||||
|
| |||||||
Total France (Cost: $266,415) | 277,036 | |||||||
|
| |||||||
Germany (Cost: $104,094) (2.3%) | ||||||||
3,971 | Deutsche Wohnen AG | 112,448 | ||||||
|
| |||||||
Japan (8.4%) | ||||||||
5,000 | Mitsubishi Estate Co., Ltd. | 107,228 | ||||||
4,000 | Mitsui Fudosan Co., Ltd. | 108,850 | ||||||
70 | Mori Hills REIT Investment Corp. | 86,605 | ||||||
57 | Nippon Prologis REIT, Inc. | 100,235 | ||||||
|
| |||||||
Total Japan (Cost: $429,835) | 402,918 | |||||||
|
| |||||||
Singapore (Cost: $90,610) (1.7%) | ||||||||
51,543 | Global Logistic Properties, Ltd. | 82,461 | ||||||
|
| |||||||
United Kingdom (Cost: $158,858) (3.4%) | ||||||||
12,357 | British Land Co. PLC (The) | 165,819 | ||||||
|
| |||||||
United States (63.8%) | ||||||||
2,430 | American Capital Agency Corp. | 43,327 | ||||||
714 | AvalonBay Communities, Inc. | 124,829 | ||||||
861 | Boston Properties, Inc. | 108,357 | ||||||
7,619 | Chimera Investment Corp. | 107,276 | ||||||
6,672 | Colony Capital, Inc. | 135,708 | ||||||
1,415 | Digital Realty Trust, Inc. | 104,653 | ||||||
251 | Equinix, Inc. | 74,467 | ||||||
1,716 | Equity Residential | 132,681 | ||||||
915 | First Industrial Realty Trust, Inc. | 19,837 | ||||||
3,397 | Gaming and Leisure Properties, Inc. | 99,090 | ||||||
3,528 | General Growth Properties, Inc. | �� | 102,136 | |||||
3,216 | HCP, Inc. | 119,635 | ||||||
2,679 | Hospitality Properties Trust | 71,904 | ||||||
6,386 | Host Hotels & Resorts, Inc. | 110,669 | ||||||
2,843 | Lennar Corp. | 142,349 |
See accompanying notes to financial statements.
30
Table of Contents
TCW Global Real Estate Fund
October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
United States (Continued) | ||||||||
1,220 | Macerich Co. (The) | $ | 103,383 | |||||
4,931 | MDC Holdings, Inc. | 128,157 | ||||||
6,682 | MFA Financial, Inc. | 46,239 | ||||||
3,043 | Prologis, Inc. | 130,027 | ||||||
670 | Public Storage | 153,738 | ||||||
1,239 | Simon Property Group, Inc. | 249,609 | ||||||
3,895 | Toll Brothers, Inc. (1) | 140,103 | ||||||
2,902 | Ventas, Inc. | 155,895 | ||||||
13,033 | VEREIT, Inc. | 107,653 | ||||||
1,072 | Vornado Realty Trust | 107,790 | ||||||
2,042 | Welltower, Inc. | 132,465 | ||||||
11,301 | WP Glimcher, Inc. | 131,318 | ||||||
|
| |||||||
Total United States (Cost: $3,118,060) | 3,083,295 | |||||||
|
| |||||||
Total Common Stock (Cost: $4,620,205) (94.8%) | 4,579,530 | |||||||
|
| |||||||
Preferred Stock | ||||||||
United States (1.7%) | ||||||||
1,728 | NorthStar Realty Finance Corp., 8.75% | 41,559 | ||||||
1,591 | Public Storage, 6% | 41,827 | ||||||
|
| |||||||
Total United States (Cost: $86,004) | 83,386 | |||||||
|
| |||||||
Total Preferred Stock (Cost: $86,004) (1.7%) | 83,386 | |||||||
|
| |||||||
Money Market Investments | ||||||||
173,014 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (2) | 173,014 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $173,014) (3.6%) | 173,014 | |||||||
|
| |||||||
Total Investments (Cost: $4,879,223) (100.1%) | 4,835,930 | |||||||
Liabilities in Excess of Other Assets (-0.1%) | (5,804 | ) | ||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 4,830,126 | ||||||
|
|
Written Options — Exchange Traded | ||||||||||||
Number of Contracts | Description | Premiums (Received) | Value | |||||||||
24 | American Capital Agency Corp., Call, Strike Price $19, Expires 11/20/2015 | $ | (755 | ) | $ | (144 | ) | |||||
11 | Digital Realty Trust, Inc., Call, Strike Price $75, Expires 11/20/2015 | (698 | ) | (825 | ) | |||||||
2 | Equinix, Inc., Call, Strike Price $300, Expires 11/20/2015 | (1,478 | ) | (1,000 | ) | |||||||
3 | Public Storage, Call, Strike Price $230, Expires 11/20/2015 | (1,233 | ) | (900 | ) | |||||||
|
|
|
| |||||||||
$ | (4,164 | ) | $ | (2,869 | ) | |||||||
|
|
|
|
Notes to the Schedule of Investments:
REIT | - Real Estate Investment Trust. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
See accompanying notes to financial statements.
31
Table of Contents
TCW Global Real Estate Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Building-Residential/Commercial | 8.6 | % | ||
Casino Services | 2.1 | |||
Real Estate Management/Services | 4.5 | |||
Real Estate Operations/Development | 5.9 | |||
REITS-Apartments | 5.3 | |||
REITS-Diversified | 15.4 | |||
REITS-Health Care | 8.4 | |||
REITS-Hotels | 3.8 | |||
REITS-Mortgage | 7.7 | |||
REITS-Office Property | 4.4 | |||
REITS-Regional Malls | 9.4 | |||
REITS-Shopping Centers | 10.2 | |||
REITS-Storage | 4.1 | |||
REITS-Warehouse/Industrial | 5.2 | |||
Web Hosting/Design | 1.5 | |||
Money Market Investments | 3.6 | |||
|
| |||
Total | 100.1 | % | ||
|
|
See accompanying notes to financial statements.
32
Table of Contents
Schedule of Investments | October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (1.8% of Net Assets) | ||||||||
5,493 | HEICO Corp. | $ | 277,067 | |||||
|
| |||||||
Banks (2.5%) | ||||||||
3,305 | M&T Bank Corp. | 396,104 | ||||||
|
| |||||||
Beverages (7.0%) | ||||||||
1,530 | Boston Beer Co., Inc. (1) | 335,973 | ||||||
3,270 | Constellation Brands, Inc. | 440,796 | ||||||
2,300 | Monster Beverage Corp. (1) | 313,536 | ||||||
|
| |||||||
Total Beverages | 1,090,305 | |||||||
|
| |||||||
Biotechnology (6.0%) | ||||||||
4,140 | Alkermes PLC (Ireland) (1) | 297,748 | ||||||
2,245 | BioMarin Pharmaceutical, Inc. (1) | 262,755 | ||||||
3,230 | Incyte Corp. (1) | 379,622 | ||||||
|
| |||||||
Total Biotechnology | 940,125 | |||||||
|
| |||||||
Capital Markets (2.4%) | ||||||||
19,630 | WisdomTree Investments, Inc. | 377,485 | ||||||
|
| |||||||
Diversified Consumer Services (2.3%) | ||||||||
3,635 | MarketAxess Holdings, Inc. | 368,262 | ||||||
|
| |||||||
Electrical Equipment (1.9%) | ||||||||
2,765 | Rockwell Automation, Inc. | 301,827 | ||||||
|
| |||||||
Energy Equipment & Services (1.5%) | ||||||||
2,030 | Core Laboratories NV (Netherlands) | 236,150 | ||||||
|
| |||||||
Food & Staples Retailing (5.4%) | ||||||||
3,851 | Pricesmart, Inc. | 331,109 | ||||||
10,075 | United Natural Foods, Inc. (1) | 508,284 | ||||||
|
| |||||||
Total Food & Staples Retailing | 839,393 | |||||||
|
| |||||||
Food Products (6.1%) | ||||||||
13,230 | Blue Buffalo Pet Products, Inc. (1) | 237,346 | ||||||
5,705 | Hain Celestial Group, Inc. (The) (1) | 284,394 | ||||||
5,685 | Keurig Green Mountain, Inc. | 288,514 | ||||||
3,654 | WhiteWave Foods Co. (The) (1) | 149,741 | ||||||
|
| |||||||
Total Food Products | 959,995 | |||||||
|
| |||||||
Health Care Equipment & Supplies (3.3%) | ||||||||
520 | Intuitive Surgical, Inc. (1) | 258,232 | ||||||
4,255 | West Pharmaceutical Services, Inc. | 255,343 | ||||||
|
| |||||||
Total Health Care Equipment & Supplies | 513,575 | |||||||
|
| |||||||
Health Care Providers & Services (2.9%) | ||||||||
15,995 | Diplomat Pharmacy, Inc. (1) | 449,619 | ||||||
|
|
See accompanying notes to financial statements.
33
Table of Contents
TCW Growth Equities Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||
Health Care Technology (5.1%) | ||||||||
2,950 | athenahealth, Inc. (1) | $ | 449,728 | |||||
5,205 | Cerner Corp. (1) | 345,039 | ||||||
|
| |||||||
Total Health Care Technology | 794,767 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (3.8%) | ||||||||
12,320 | Habit Restaurants, Inc. (The) (1) | 294,202 | ||||||
4,275 | Wynn Resorts, Ltd. | 299,036 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 593,238 | |||||||
|
| |||||||
Internet & Catalog Retail (2.4%) | ||||||||
4,450 | TripAdvisor, Inc. (1) | 372,821 | ||||||
|
| |||||||
Internet Software & Services (7.3%) | ||||||||
16,905 | Cornerstone OnDemand, Inc. (1) | 532,508 | ||||||
21,775 | Twitter, Inc. (1) | 619,716 | ||||||
|
| |||||||
Total Internet Software & Services | 1,152,224 | |||||||
|
| |||||||
Leisure Products (1.8%) | ||||||||
2,535 | Polaris Industries, Inc. | 284,782 | ||||||
|
| |||||||
Life Sciences Tools & Services (2.1%) | ||||||||
2,301 | Illumina, Inc. (1) | 329,687 | ||||||
|
| |||||||
Machinery (6.4%) | ||||||||
4,910 | Graco, Inc. | 360,394 | ||||||
2,845 | Middleby Corp. (The) (1) | 332,695 | ||||||
3,790 | Wabtec Corp. | 314,077 | ||||||
|
| |||||||
Total Machinery | 1,007,166 | |||||||
|
| |||||||
Road & Rail (1.5%) | ||||||||
2,845 | Kansas City Southern | 235,452 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (1.0%) | ||||||||
3,408 | ARM Holdings PLC (United Kingdom) (SP ADR) | 161,641 | ||||||
|
| |||||||
Software (12.9%) | ||||||||
3,925 | ANSYS, Inc. (1) | 374,092 | ||||||
12,860 | FireEye, Inc. (1) | 336,289 | ||||||
3,115 | Mobileye NV (Netherlands) (1) | 141,795 | ||||||
4,470 | ServiceNow, Inc. (1) | 364,975 | ||||||
6,485 | Splunk, Inc. (1) | 364,198 | ||||||
5,495 | Workday, Inc. (1) | 433,940 | ||||||
|
| |||||||
Total Software | 2,015,289 | |||||||
|
| |||||||
Specialty Retail (3.0%) | ||||||||
3,055 | CarMax, Inc. (1) | 180,276 | ||||||
6,575 | Dick’s Sporting Goods, Inc. | 292,916 | ||||||
|
| |||||||
Total Specialty Retail | 473,192 | |||||||
|
|
See accompanying notes to financial statements.
34
Table of Contents
TCW Growth Equities Fund
October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
Technology Hardware, Storage & Peripherals (2.2%) | ||||||||
13,770 | Stratasys, Ltd. (Israel) (1) | $ | 351,135 | |||||
|
| |||||||
Textiles, Apparel & Luxury Goods (5.5%) | ||||||||
17,580 | Kate Spade & Co. (1) | 315,913 | ||||||
5,725 | Under Armour, Inc. (1) | 544,333 | ||||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 860,246 | |||||||
|
| |||||||
Total Common Stock (Cost: $12,472,987) (98.1%) | 15,381,547 | |||||||
|
| |||||||
Money Market Investments | ||||||||
354,615 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (2) | 354,615 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $354,615) (2.3%) | 354,615 | |||||||
|
| |||||||
Total Investments (Cost: $12,827,602) (100.4%) | 15,736,162 | |||||||
Liabilities in Excess of Other Assets (-0.4%) | (55,947 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 15,680,215 | ||||||
|
|
Notes to the Schedule of Investments:
SP ADR - Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights.
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
See accompanying notes to financial statements.
35
Table of Contents
TCW Growth Equities Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 1.8 | % | ||
Banks | 2.5 | |||
Beverages | 7.0 | |||
Biotechnology | 6.0 | |||
Capital Markets | 2.4 | |||
Diversified Consumer Services | 2.3 | |||
Electrical Equipment | 1.9 | |||
Energy Equipment & Services | 1.5 | |||
Food & Staples Retailing | 5.4 | |||
Food Products | 6.1 | |||
Health Care Equipment & Supplies | 3.3 | |||
Health Care Providers & Services | 2.9 | |||
Health Care Technology | 5.1 | |||
Hotels, Restaurants & Leisure | 3.8 | |||
Internet & Catalog Retail | 2.4 | |||
Internet Software & Services | 7.3 | |||
Leisure Products | 1.8 | |||
Life Sciences Tools & Services | 2.1 | |||
Machinery | 6.4 | |||
Road & Rail | 1.5 | |||
Semiconductors & Semiconductor Equipment | 1.0 | |||
Software | 12.9 | |||
Specialty Retail | 3.0 | |||
Technology Hardware, Storage & Peripherals | 2.2 | |||
Textiles, Apparel & Luxury Goods | 5.5 | |||
Money Market Investments | 2.3 | |||
|
| |||
Total | 100.4 | % | ||
|
|
See accompanying notes to financial statements.
36
Table of Contents
TCW High Dividend Equities Fund
Schedule of Investments | October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
Banks (15.0% of Net Assets) | ||||||||
1,885 | M&T Bank Corp. | $ | 225,917 | |||||
5,235 | US Bancorp | 220,812 | ||||||
4,155 | Wells Fargo & Co. | 224,952 | ||||||
|
| |||||||
Total Banks | 671,681 | |||||||
|
| |||||||
Beverages (3.8%) | ||||||||
4,065 | Coca-Cola Co. (The) | 172,153 | ||||||
|
| |||||||
Biotechnology (1.3%) | ||||||||
360 | Amgen, Inc. | 56,945 | ||||||
|
| |||||||
Capital Markets (8.0%) | ||||||||
7,735 | Ares Capital Corp. | 117,804 | ||||||
4,000 | Golub Capital BDC, Inc. | 65,480 | ||||||
6,610 | TPG Specialty Lending, Inc. | 112,370 | ||||||
5,765 | TriplePoint Venture Growth BDC Corp. | 62,550 | ||||||
|
| |||||||
Total Capital Markets | 358,204 | |||||||
|
| |||||||
Chemicals (1.1%) | ||||||||
425 | �� | Praxair, Inc. | 47,213 | |||||
|
| |||||||
Commercial Services & Supplies (3.0%) | ||||||||
2,140 | Healthcare Services Group, Inc. | 79,737 | ||||||
995 | Waste Management, Inc. | 53,491 | ||||||
|
| |||||||
Total Commercial Services & Supplies | 133,228 | |||||||
|
| |||||||
Communications Equipment (4.3%) | ||||||||
3,210 | QUALCOMM, Inc. | 190,738 | ||||||
|
| |||||||
Diversified Consumer Services (2.3%) | ||||||||
2,760 | H&R Block, Inc. | 102,838 | ||||||
|
| |||||||
Diversified Telecommunication Services (3.9%) | ||||||||
3,745 | Verizon Communications, Inc. | 175,566 | ||||||
|
| |||||||
Food & Staples Retailing (5.2%) | ||||||||
4,040 | Wal-Mart Stores, Inc. | 231,250 | ||||||
|
| |||||||
Household Durables (4.7%) | ||||||||
8,160 | MDC Holdings, Inc. | 212,078 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (1.8%) | ||||||||
5,870 | NRG Yield, Inc. | 80,595 | ||||||
|
| |||||||
Insurance (2.0%) | ||||||||
785 | ACE, Ltd. (Switzerland) | 89,129 | ||||||
|
| |||||||
IT Services (3.5%) | ||||||||
1,125 | International Business Machines Corp. | 157,590 | ||||||
|
|
See accompanying notes to financial statements.
37
Table of Contents
TCW High Dividend Equities Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||
Oil, Gas & Consumable Fuels (5.6%) | ||||||||
1,925 | Kinder Morgan, Inc. | $ | 52,649 | |||||
1,310 | Occidental Petroleum Corp. | 97,647 | ||||||
825 | Targa Resources Corp. | 47,149 | ||||||
1,335 | Williams Cos., Inc. (The) | 52,652 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 250,097 | |||||||
|
| |||||||
Pharmaceuticals (4.8%) | ||||||||
2,070 | Merck & Co., Inc. | 113,146 | ||||||
1,505 | Teva Pharmaceutical Industries, Ltd. (Israel) (SP ADR) | 89,081 | ||||||
1,418 | Theravance, Inc. | 12,450 | ||||||
|
| |||||||
Total Pharmaceuticals | 214,677 | |||||||
|
| |||||||
REIT (11.8%) | ||||||||
9,965 | Colony Capital, Inc. | 202,688 | ||||||
5,105 | Gaming and Leisure Properties, Inc. | 148,913 | ||||||
15,385 | WP Glimcher, Inc. | 178,774 | ||||||
|
| |||||||
Total REIT | 530,375 | |||||||
|
| |||||||
Road & Rail (1.1%) | ||||||||
575 | Union Pacific Corp. | 51,376 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (1.1%) | ||||||||
400 | Apple, Inc. | 47,800 | ||||||
|
| |||||||
Tobacco (1.9%) | ||||||||
1,435 | Altria Group, Inc. | 86,775 | ||||||
|
| |||||||
Total Common Stock (Cost: $4,184,970) (86.2%) | 3,860,308 | |||||||
|
| |||||||
Preferred Stock | ||||||||
Banks (1.8%) | ||||||||
3,085 | Bank of America Corp., 6.5% | 81,197 | ||||||
|
| |||||||
Diversified Telecommunication Services (1.0%) | ||||||||
460 | Frontier Communications Corp., 11.125% | 45,600 | ||||||
|
| |||||||
REIT (2.5%) | ||||||||
1,680 | NorthStar Realty Finance Corp., 8.75% | 40,404 | ||||||
2,800 | Public Storage, 5.75% | 71,988 | ||||||
|
| |||||||
Total REIT | 112,392 | |||||||
|
| |||||||
Total Preferred Stock (Cost: $237,460) (5.3%) | 239,189 | |||||||
|
|
See accompanying notes to financial statements.
38
Table of Contents
TCW High Dividend Equities Fund
October 31, 2015 |
Number of Shares | Master Limited Partnership | Value | ||||||
Oil, Gas & Consumable Fuels (1.3%) | ||||||||
3,680 | Plains GP Holdings LP | $ | 57,224 | |||||
|
| |||||||
Total Master Limited Partnership (Cost: $71,017) (1.3%) | 57,224 | |||||||
|
| |||||||
Money Market Investments | ||||||||
286,842 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (1) | 286,842 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $286,842) (6.4%) | 286,842 | |||||||
|
| |||||||
Total Investments (Cost: $4,780,289) (99.2%) | 4,443,563 | |||||||
Excess of Other Assets over Liabilities (0.8%) | 34,032 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 4,477,595 | ||||||
|
|
Written Options — Exchange Traded | ||||||||||||
Number of Contracts | Description | Premiums (Received) | Value | |||||||||
19 | Kinder Morgan, Inc., Call, Strike Price $25, Expires 12/18/2015 | $ | (4,597 | ) | $ | (4,864 | ) | |||||
7 | Altria Group, Inc., Call, Strike Price $61, Expires 11/20/2015 | (756 | ) | (560 | ) | |||||||
|
|
|
| |||||||||
$ | (5,353 | ) | $ | (5,424 | ) | |||||||
|
|
|
|
Notes to the Schedule of Investments:
BDC - Business Development Company.
REIT - Real Estate Investment Trust.
SP ADR - Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights.
(1) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
See accompanying notes to financial statements.
39
Table of Contents
TCW High Dividend Equities Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Banks | 16.8 | % | ||
Beverages | 3.8 | |||
Biotechnology | 1.3 | |||
Capital Markets | 8.0 | |||
Chemicals | 1.1 | |||
Commercial Services & Supplies | 3.0 | |||
Communications Equipment | 4.3 | |||
Diversified Consumer Services | 2.3 | |||
Diversified Telecommunication Services | 4.9 | |||
Food & Staples Retailing | 5.2 | |||
Household Durables | 4.7 | |||
Independent Power and Renewable Electricity Producers | 1.8 | |||
Insurance | 2.0 | |||
IT Services | 3.5 | |||
Oil, Gas & Consumable Fuels | 6.9 | |||
Pharmaceuticals | 4.8 | |||
REIT | 14.3 | |||
Road & Rail | 1.1 | |||
Technology Hardware, Storage & Peripherals | 1.1 | |||
Tobacco | 1.9 | |||
Money Market Investments | 6.4 | |||
|
| |||
Total | 99.2 | % | ||
|
|
See accompanying notes to financial statements.
40
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments | October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (2.0% of Net Assets) | ||||||||
503,885 | Textron, Inc. | $ | 21,248,830 | |||||
|
| |||||||
Air Freight & Logistics (2.2%) | ||||||||
147,480 | FedEx Corp. | 23,014,254 | ||||||
|
| |||||||
Banks (7.6%) | ||||||||
640,000 | Citigroup, Inc. | 34,028,800 | ||||||
577,804 | JPMorgan Chase & Co. | 37,123,907 | ||||||
297,100 | Zions Bancorp. | 8,547,567 | ||||||
|
| |||||||
Total Banks | 79,700,274 | |||||||
|
| |||||||
Beverages (2.8%) | ||||||||
285,345 | PepsiCo, Inc. | 29,159,406 | ||||||
|
| |||||||
Biotechnology (1.5%) | ||||||||
142,200 | Gilead Sciences, Inc. | 15,376,086 | ||||||
|
| |||||||
Capital Markets (5.8%) | ||||||||
246,371 | Ameriprise Financial, Inc. | 28,421,359 | ||||||
470,900 | State Street Corp. | 32,492,100 | ||||||
|
| |||||||
Total Capital Markets | 60,913,459 | |||||||
|
| |||||||
Chemicals (1.7%) | ||||||||
283,965 | Du Pont (E.I.) de Nemours & Co. | 18,003,381 | ||||||
|
| |||||||
Commercial Services & Supplies (2.7%) | ||||||||
345,614 | ADT Corp. (The) | 11,419,087 | ||||||
466,505 | Tyco International PLC (Ireland) | 16,999,442 | ||||||
|
| |||||||
Total Commercial Services & Supplies | 28,418,529 | |||||||
|
| |||||||
Communications Equipment (2.9%) | ||||||||
1,060,785 | Cisco Systems, Inc. | 30,603,647 | ||||||
|
| |||||||
Containers & Packaging (0.9%) | ||||||||
144,798 | Avery Dennison Corp. | 9,407,526 | ||||||
|
| |||||||
Diversified Financial Services (1.5%) | ||||||||
64,002 | Intercontinental Exchange, Inc. | 16,154,105 | ||||||
|
| |||||||
Diversified Telecommunication Services (4.1%) | ||||||||
499,160 | AT&T, Inc. | 16,726,852 | ||||||
1,426,900 | Deutsche Telekom AG (Germany) (SP ADR) | 26,625,954 | ||||||
|
| |||||||
Total Diversified Telecommunication Services | 43,352,806 | |||||||
|
| |||||||
Electric Utilities (1.1%) | ||||||||
197,000 | American Electric Power Co., Inc. | 11,160,050 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.2%) | ||||||||
673,195 | Corning, Inc. | 12,521,427 | ||||||
|
|
See accompanying notes to financial statements.
41
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||
Energy Equipment & Services (3.4%) | ||||||||
262,300 | Baker Hughes, Inc. | $ | 13,817,964 | |||||
913,892 | Nabors Industries, Ltd. | 9,175,476 | ||||||
162,200 | Schlumberger, Ltd. | 12,677,552 | ||||||
|
| |||||||
Total Energy Equipment & Services | 35,670,992 | |||||||
|
| |||||||
Food & Staples Retailing (2.1%) | ||||||||
528,200 | Sysco Corp. | 21,788,250 | ||||||
|
| |||||||
Food Products (1.3%) | ||||||||
280,100 | Campbell Soup Co. | 14,226,279 | ||||||
|
| |||||||
Health Care Providers & Services (1.7%) | ||||||||
264,950 | Quest Diagnostics, Inc | 18,003,352 | ||||||
|
| |||||||
Household Durables (1.6%) | ||||||||
328,771 | Lennar Corp. | 16,461,564 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.8%) | ||||||||
792,571 | AES Corp. (The) | 8,678,652 | ||||||
|
| |||||||
Industrial Conglomerates (6.8%) | ||||||||
1,565,550 | General Electric Co. | 45,275,706 | ||||||
997,291 | Koninklijke Philips Electronics NV (Netherlands) (NYRS) | 26,867,020 | ||||||
|
| |||||||
Total Industrial Conglomerates | 72,142,726 | |||||||
|
| |||||||
Insurance (6.7%) | ||||||||
329,900 | Allstate Corp. (The) | 20,414,212 | ||||||
425,880 | MetLife, Inc. | 21,455,834 | ||||||
256,500 | Travelers Cos., Inc. (The) | 28,956,285 | ||||||
|
| |||||||
Total Insurance | 70,826,331 | |||||||
|
| |||||||
Machinery (1.2%) | ||||||||
226,032 | Pentair PLC (United Kingdom) | 12,639,709 | ||||||
|
| |||||||
Media (5.7%) | ||||||||
502,362 | Comcast Corp. | 31,457,908 | ||||||
778,000 | Regal Entertainment Group | 15,077,640 | ||||||
752,336 | Time, Inc. | 13,978,403 | ||||||
|
| |||||||
Total Media | 60,513,951 | |||||||
|
| |||||||
Multiline Retail (0.6%) | ||||||||
704,900 | J.C. Penney Co., Inc. (1) | 6,463,933 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.9%) | ||||||||
341,760 | Chevron Corp. | 31,059,149 | ||||||
|
| |||||||
Pharmaceuticals (7.2%) | ||||||||
215,800 | Johnson & Johnson | 21,802,274 | ||||||
426,870 | Merck & Co., Inc. | 23,332,714 |
See accompanying notes to financial statements.
42
Table of Contents
TCW Relative Value Dividend Appreciation Fund
October 31, 2015
Number of Shares | Common Stock | Value | ||||||
Pharmaceuticals (Continued) | ||||||||
924,900 | Pfizer, Inc. | $ | 31,280,118 | |||||
|
| |||||||
Total Pharmaceuticals | 76,415,106 | |||||||
|
| |||||||
REIT (2.0%) | ||||||||
576,500 | Kimco Realty Corp. | 15,432,905 | ||||||
165,700 | Liberty Property Trust | 5,637,114 | ||||||
|
| |||||||
Total REIT | 21,070,019 | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (6.4%) | ||||||||
587,200 | Cypress Semiconductor Corp. | 6,189,088 | ||||||
669,436 | Intel Corp. | 22,667,103 | ||||||
632,960 | Maxim Integrated Products, Inc. | 25,938,701 | ||||||
268,700 | Microchip Technology, Inc. | 12,975,523 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 67,770,415 | |||||||
|
| |||||||
Software (3.4%) | ||||||||
675,675 | Microsoft Corp. | 35,567,532 | ||||||
|
| |||||||
Specialty Retail (3.6%) | ||||||||
700,165 | Gap, Inc. (The) | 19,058,491 | ||||||
149,914 | Home Depot, Inc. (The) | 18,535,367 | ||||||
|
| |||||||
Total Specialty Retail | 37,593,858 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (1.9%) | ||||||||
524,665 | Seagate Technology PLC (Netherlands) | 19,968,750 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.1%) | ||||||||
366,700 | Coach, Inc. | 11,441,040 | ||||||
|
| |||||||
Thrifts & Mortgage Finance (1.5%) | ||||||||
965,400 | New York Community Bancorp, Inc. | 15,948,408 | ||||||
|
| |||||||
Total Common Stock (Cost: $847,122,021) (99.9%) | 1,053,283,796 | |||||||
|
| |||||||
Total Investments (Cost: $847,122,021) (99.9%) | 1,053,283,796 | |||||||
Excess of Other Assets over Liabilities (0.1%) | 954,247 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 1,054,238,043 | ||||||
|
|
Notes to the Schedule of Investments:
NYRS - New York Registry Shares.
REIT - Real Estate Investment Trust.
SP ADR - Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights.
(1) | Non-income producing security. |
See accompanying notes to financial statements.
43
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.0 | % | ||
Air Freight & Logistics | 2.2 | |||
Banks | 7.6 | |||
Beverages | 2.8 | |||
Biotechnology | 1.5 | |||
Capital Markets | 5.8 | |||
Chemicals | 1.7 | |||
Commercial Services & Supplies | 2.7 | |||
Communications Equipment | 2.9 | |||
Containers & Packaging | 0.9 | |||
Diversified Financial Services | 1.5 | |||
Diversified Telecommunication Services | 4.1 | |||
Electric Utilities | 1.1 | |||
Electronic Equipment, Instruments & Components | 1.2 | |||
Energy Equipment & Services | 3.4 | |||
Food & Staples Retailing | 2.1 | |||
Food Products | 1.3 | |||
Health Care Providers & Services | 1.7 | |||
Household Durables | 1.6 | |||
Independent Power and Renewable Electricity Producers | 0.8 | |||
Industrial Conglomerates | 6.8 | |||
Insurance | 6.7 | |||
Machinery | 1.2 | |||
Media | 5.7 | |||
Multiline Retail | 0.6 | |||
Oil, Gas & Consumable Fuels | 2.9 | |||
Pharmaceuticals | 7.2 | |||
REIT | 2.0 | |||
Semiconductors & Semiconductor Equipment | 6.4 | |||
Software | 3.4 | |||
Specialty Retail | 3.6 | |||
Technology Hardware, Storage & Peripherals | 1.9 | |||
Textiles, Apparel & Luxury Goods | 1.1 | |||
Thrifts & Mortgage Finance | 1.5 | |||
|
| |||
Total | 99.9 | % | ||
|
|
See accompanying notes to financial statements.
44
Table of Contents
TCW Relative Value Large Cap Fund
Schedule of Investments | October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (3.3% of Net Assets) | ||||||||
544,410 | Textron, Inc. | $ | 22,957,770 | |||||
|
| |||||||
Auto Components (2.0%) | ||||||||
824,670 | Dana Holding Corp. | 13,854,456 | ||||||
|
| |||||||
Banks (8.2%) | ||||||||
454,500 | Citigroup, Inc. | 24,165,765 | ||||||
380,958 | JPMorgan Chase & Co. | 24,476,551 | ||||||
282,000 | Zions Bancorp. | 8,113,140 | ||||||
|
| |||||||
Total Banks | 56,755,456 | |||||||
|
| |||||||
Beverages (2.9%) | ||||||||
195,700 | PepsiCo, Inc. | 19,998,583 | ||||||
|
| |||||||
Biotechnology (1.7%) | ||||||||
107,100 | Gilead Sciences, Inc. (1) | 11,580,723 | ||||||
|
| |||||||
Capital Markets (5.8%) | ||||||||
174,326 | Ameriprise Financial, Inc. | 20,110,247 | ||||||
286,100 | State Street Corp. | 19,740,900 | ||||||
|
| |||||||
Total Capital Markets | 39,851,147 | |||||||
|
| |||||||
Commercial Services & Supplies (2.8%) | ||||||||
266,805 | ADT Corp. (The) | 8,815,237 | ||||||
298,815 | Tyco International PLC (Ireland) | 10,888,819 | ||||||
|
| |||||||
Total Commercial Services & Supplies | 19,704,056 | |||||||
|
| |||||||
Communications Equipment (3.0%) | ||||||||
711,090 | Cisco Systems, Inc. | 20,514,947 | ||||||
|
| |||||||
Containers & Packaging (3.0%) | ||||||||
426,981 | Sealed Air Corp. | 20,973,307 | ||||||
|
| |||||||
Diversified Financial Services (1.8%) | ||||||||
48,374 | Intercontinental Exchange, Inc. | 12,209,598 | ||||||
|
| |||||||
Diversified Telecommunication Services (1.4%) | ||||||||
288,500 | AT&T, Inc. | 9,667,635 | ||||||
|
| |||||||
Electric Utilities (1.3%) | ||||||||
154,550 | American Electric Power Co., Inc. | 8,755,258 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.6%) | ||||||||
602,590 | Corning, Inc. | 11,208,174 | ||||||
|
| |||||||
Energy Equipment & Services (2.8%) | ||||||||
239,850 | Baker Hughes, Inc. | 12,635,298 | ||||||
653,025 | Nabors Industries, Ltd. | 6,556,371 | ||||||
|
| |||||||
Total Energy Equipment & Services | 19,191,669 | |||||||
|
|
See accompanying notes to financial statements.
45
Table of Contents
TCW Relative Value Large Cap Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||
Food & Staples Retailing (2.1%) | ||||||||
358,600 | Sysco Corp. | $ | 14,792,250 | |||||
|
| |||||||
Health Care Providers & Services (4.6%) | ||||||||
130,484 | Anthem, Inc. | 18,156,849 | ||||||
103,906 | Cigna Corp. | 13,927,560 | ||||||
|
| |||||||
Total Health Care Providers & Services | 32,084,409 | |||||||
|
| |||||||
Household Durables (2.7%) | ||||||||
370,663 | Lennar Corp. | 18,559,096 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (1.8%) | ||||||||
1,122,000 | AES Corp. (The) | 12,285,900 | ||||||
|
| |||||||
Industrial Conglomerates (4.5%) | ||||||||
1,083,050 | General Electric Co. | 31,321,806 | ||||||
|
| |||||||
Insurance (5.5%) | ||||||||
396,884 | Hartford Financial Services Group, Inc. | 18,359,854 | ||||||
178,070 | Travelers Cos., Inc. (The) | 20,102,322 | ||||||
|
| |||||||
Total Insurance | 38,462,176 | |||||||
|
| |||||||
Machinery (2.7%) | ||||||||
161,467 | Pentair PLC (United Kingdom) | 9,029,234 | ||||||
469,230 | Terex Corp. | 9,412,754 | ||||||
|
| |||||||
Total Machinery | 18,441,988 | |||||||
|
| |||||||
Media (4.4%) | ||||||||
483,855 | Comcast Corp. | 30,299,000 | ||||||
|
| |||||||
Metals & Mining (0.9%) | ||||||||
416,090 | Allegheny Technologies, Inc. | 6,116,523 | ||||||
|
| |||||||
Multiline Retail (2.0%) | ||||||||
1,525,400 | J.C. Penney Co., Inc. (1) | 13,987,918 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.4%) | ||||||||
865,200 | Chesapeake Energy Corp. | 6,168,876 | ||||||
195,200 | Chevron Corp. | 17,739,776 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 23,908,652 | |||||||
|
| |||||||
Pharmaceuticals (6.6%) | ||||||||
121,050 | Johnson & Johnson | 12,229,681 | ||||||
265,250 | Merck & Co., Inc. | 14,498,565 | ||||||
566,650 | Pfizer, Inc. | 19,164,103 | ||||||
|
| |||||||
Total Pharmaceuticals | 45,892,349 | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (3.9%) | ||||||||
668,975 | Applied Materials, Inc. | 11,218,711 | ||||||
390,800 | Cypress Semiconductor Corp. | 4,119,032 |
See accompanying notes to financial statements.
46
Table of Contents
TCW Relative Value Large Cap Fund
October 31, 2015
Number of Shares | Common Stock | Value | ||||||
Semiconductors & Semiconductor Equipment (Continued) | ||||||||
352,139 | Intel Corp. | $ | 11,923,426 | |||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 27,261,169 | |||||||
|
| |||||||
Software (3.5%) | ||||||||
466,590 | Microsoft Corp. | 24,561,298 | ||||||
|
| |||||||
Specialty Retail (4.7%) | ||||||||
519,620 | Gap, Inc. (The) | 14,144,056 | ||||||
150,700 | Home Depot, Inc. (The) | 18,632,548 | ||||||
|
| |||||||
Total Specialty Retail | 32,776,604 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (2.7%) | ||||||||
181,500 | NetApp, Inc. | 6,171,000 | ||||||
189,340 | Western Digital Corp. | 12,651,699 | ||||||
|
| |||||||
Total Technology Hardware, Storage & Peripherals | 18,822,699 | |||||||
|
| |||||||
Total Common Stock (Cost: $482,475,996) (97.6%) | 676,796,616 | |||||||
|
| |||||||
Money Market Investments | ||||||||
18,597,330 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (2) | 18,597,330 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $18,597,330) (2.7%) | 18,597,330 | |||||||
|
| |||||||
Total Investments (Cost: $501,073,326) (100.3%) | 695,393,946 | |||||||
Liabilities in Excess of Other Assets (-0.3%) | (2,353,199 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 693,040,747 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
See accompanying notes to financial statements.
47
Table of Contents
TCW Relative Value Large Cap Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.3 | % | ||
Auto Components | 2.0 | |||
Banks | 8.2 | |||
Beverages | 2.9 | |||
Biotechnology | 1.7 | |||
Capital Markets | 5.8 | |||
Commercial Services & Supplies | 2.8 | |||
Communications Equipment | 3.0 | |||
Containers & Packaging | 3.0 | |||
Diversified Financial Services | 1.8 | |||
Diversified Telecommunication Services | 1.4 | |||
Electric Utilities | 1.3 | |||
Electronic Equipment, Instruments & Components | 1.6 | |||
Energy Equipment & Services | 2.8 | |||
Food & Staples Retailing | 2.1 | |||
Health Care Providers & Services | 4.6 | |||
Household Durables | 2.7 | |||
Independent Power and Renewable Electricity Producers | 1.8 | |||
Industrial Conglomerates | 4.5 | |||
Insurance | 5.5 | |||
Machinery | 2.7 | |||
Media | 4.4 | |||
Metals & Mining | 0.9 | |||
Multiline Retail | 2.0 | |||
Oil, Gas & Consumable Fuels | 3.4 | |||
Pharmaceuticals | 6.6 | |||
Semiconductors & Semiconductor Equipment | 3.9 | |||
Software | 3.5 | |||
Specialty Retail | 4.7 | |||
Technology Hardware, Storage & Peripherals | 2.7 | |||
Money Market Investments | 2.7 | |||
|
| |||
Total | 100.3 | % | ||
|
|
See accompanying notes to financial statements.
48
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments | October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (2.4% of Net Assets) | ||||||||
65,145 | Textron, Inc. | $ | 2,747,165 | |||||
|
| |||||||
Auto Components (3.6%) | ||||||||
156,350 | Dana Holding Corp. | 2,626,680 | ||||||
24,715 | Tenneco, Inc. (1) | 1,398,622 | ||||||
|
| |||||||
Total Auto Components | 4,025,302 | |||||||
|
| |||||||
Banks (9.9%) | ||||||||
29,866 | Comerica, Inc. | 1,296,185 | ||||||
190,493 | KeyCorp | 2,365,923 | ||||||
82,665 | Popular, Inc. | 2,444,404 | ||||||
86,629 | Synovus Financial Corp. | 2,740,075 | ||||||
67,300 | Umpqua Holdings Corp. | 1,123,910 | ||||||
40,000 | Zions Bancorp. | 1,150,800 | ||||||
|
| |||||||
Total Banks | 11,121,297 | |||||||
|
| |||||||
Capital Markets (5.5%) | ||||||||
77,400 | E*TRADE Financial Corp. (1) | 2,206,674 | ||||||
31,000 | Evercore Partners, Inc. | 1,674,000 | ||||||
68,788 | Invesco, Ltd. | 2,281,698 | ||||||
|
| |||||||
Total Capital Markets | 6,162,372 | |||||||
|
| |||||||
Chemicals (1.6%) | ||||||||
42,300 | Axiall Corp. | 856,575 | ||||||
14,138 | Celanese Corp. — Series A | 1,004,505 | ||||||
|
| |||||||
Total Chemicals | 1,861,080 | |||||||
|
| |||||||
Communications Equipment (3.4%) | ||||||||
181,200 | Brocade Communications Systems, Inc. | 1,888,104 | ||||||
139,560 | Polycom, Inc. (1) | 1,923,137 | ||||||
|
| |||||||
Total Communications Equipment | 3,811,241 | |||||||
|
| |||||||
Construction & Engineering (1.8%) | ||||||||
51,433 | Jacobs Engineering Group, Inc. (1) | 2,064,521 | ||||||
|
| |||||||
Consumer Finance (0.7%) | ||||||||
109,747 | SLM Corp. (1) | 774,814 | ||||||
|
| |||||||
Containers & Packaging (2.8%) | ||||||||
64,809 | Sealed Air Corp. | 3,183,418 | ||||||
|
| |||||||
Diversified Telecommunication Services (0.6%) | ||||||||
107,479 | Windstream Holdings, Inc. | 699,688 | ||||||
|
| |||||||
Energy Equipment & Services (2.6%) | ||||||||
33,320 | Atwood Oceanics, Inc. | 551,446 | ||||||
132,699 | Nabors Industries, Ltd. | 1,332,298 |
See accompanying notes to financial statements.
49
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||
Energy Equipment & Services (Continued) | ||||||||
183,572 | Newpark Resources, Inc. (1) | $ | 1,039,017 | |||||
|
| |||||||
Total Energy Equipment & Services | 2,922,761 | |||||||
|
| |||||||
Food & Staples Retailing (1.5%) | ||||||||
42,100 | Sysco Corp. | 1,736,625 | ||||||
|
| |||||||
Food Products (1.4%) | ||||||||
32,200 | Campbell Soup Co. | 1,635,438 | ||||||
|
| |||||||
Health Care Providers & Services (4.6%) | ||||||||
18,755 | Cigna Corp. | 2,513,920 | ||||||
39,200 | Quest Diagnostics, Inc. | 2,663,640 | ||||||
|
| |||||||
Total Health Care Providers & Services | 5,177,560 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.1%) | ||||||||
36,336 | International Speedway Corp. | 1,260,496 | ||||||
|
| |||||||
Household Durables (6.5%) | ||||||||
102,655 | Beazer Homes USA, Inc. (1) | 1,461,807 | ||||||
113,760 | KB Home | 1,490,256 | ||||||
40,320 | Lennar Corp. | 2,018,822 | ||||||
67,315 | Toll Brothers, Inc. (1) | 2,421,321 | ||||||
|
| |||||||
Total Household Durables | 7,392,206 | |||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (1.8%) | ||||||||
190,100 | AES Corp. (The) | 2,081,595 | ||||||
|
| |||||||
Insurance (3.8%) | ||||||||
28,886 | Arch Capital Group, Ltd. (1) | 2,163,273 | ||||||
76,205 | Assured Guaranty, Ltd. | 2,091,065 | ||||||
|
| |||||||
Total Insurance | 4,254,338 | |||||||
|
| |||||||
IT Services (1.1%) | ||||||||
10,000 | DST Systems, Inc. | 1,221,500 | ||||||
|
| |||||||
Machinery (5.3%) | ||||||||
24,609 | Dover Corp. | 1,585,558 | ||||||
45,000 | Kennametal, Inc. | 1,265,400 | ||||||
46,455 | SPX Corp. | 569,074 | ||||||
38,155 | SPX FLOW, Inc. (1) | 1,293,454 | ||||||
65,198 | Terex Corp. | 1,307,872 | ||||||
|
| |||||||
Total Machinery | 6,021,358 | |||||||
|
| |||||||
Metals & Mining (4.2%) | ||||||||
73,071 | Allegheny Technologies, Inc. | 1,074,144 | ||||||
121,407 | Commercial Metals Co. | 1,744,618 | ||||||
62,440 | Worthington Industries, Inc. | 1,916,908 | ||||||
|
| |||||||
Total Metals & Mining | 4,735,670 | |||||||
|
|
See accompanying notes to financial statements.
50
Table of Contents
TCW Relative Value Mid Cap Fund
October 31, 2015
Number of Shares | Common Stock | Value | ||||||
Multi-Utilities (1.2%) | ||||||||
39,900 | Avista Corp. | $ | 1,350,615 | |||||
|
| |||||||
Multiline Retail (3.2%) | ||||||||
389,340 | J.C. Penney Co., Inc. (1) | 3,570,248 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.5%) | ||||||||
143,300 | Chesapeake Energy Corp. | 1,021,729 | ||||||
44,800 | Newfield Exploration Co. (1) | 1,800,512 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 2,822,241 | |||||||
|
| |||||||
Real Estate Management & Development (1.1%) | ||||||||
7,575 | Jones Lang LaSalle, Inc. | 1,262,828 | ||||||
|
| |||||||
REIT (5.1%) | ||||||||
45,908 | Geo Group, Inc. (The) | 1,481,451 | ||||||
68,445 | Kimco Realty Corp. | 1,832,273 | ||||||
41,765 | Liberty Property Trust | 1,420,845 | ||||||
15,375 | Welltower, Inc. | 997,376 | ||||||
|
| |||||||
Total REIT | 5,731,945 | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (8.2%) | ||||||||
90,900 | Cypress Semiconductor Corp. | 958,086 | ||||||
63,700 | Freescale Semiconductor, Ltd. (1) | 2,133,313 | ||||||
20,410 | Lam Research Corp. | 1,563,202 | ||||||
75,246 | Maxim Integrated Products, Inc. | 3,083,581 | ||||||
77,348 | Teradyne, Inc. | 1,509,833 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 9,248,015 | |||||||
|
| |||||||
Specialty Retail (2.5%) | ||||||||
12,935 | Asbury Automotive Group, Inc. (1) | 1,024,452 | ||||||
65,000 | Gap, Inc. (The) | 1,769,300 | ||||||
|
| |||||||
Total Specialty Retail | 2,793,752 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (4.8%) | ||||||||
30,100 | NetApp, Inc. | 1,023,400 | ||||||
46,855 | Seagate Technology PLC (Netherlands) | 1,783,301 | ||||||
38,680 | Western Digital Corp. | 2,584,598 | ||||||
|
| |||||||
Total Technology Hardware, Storage & Peripherals | 5,391,299 | |||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.7%) | ||||||||
62,343 | Coach, Inc. | 1,945,102 | ||||||
|
| |||||||
Thrifts & Mortgage Finance (3.4%) | ||||||||
119,930 | EverBank Financial Corp. | 2,069,992 | ||||||
170,225 | First Niagara Financial Group, Inc. | 1,761,828 | ||||||
|
| |||||||
Total Thrifts & Mortgage Finance | 3,831,820 | |||||||
|
| |||||||
Total Common Stock (Cost: $98,458,735) (99.9%) | 112,838,310 | |||||||
|
|
See accompanying notes to financial statements.
51
Table of Contents
TCW Relative Value Mid Cap Fund
Schedule of Investments (Continued)
Number of Shares | Money Market Investments | Value | ||||||
$ | 238,801 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (2) | $ | 238,801 | ||||
|
| |||||||
Total Money Market Investments (Cost: $238,801) (0.2%) | 238,801 | |||||||
|
| |||||||
Total Investments (Cost: $98,697,536) (100.1%) | 113,077,111 | |||||||
Liabilities in Excess of Other Assets (-0.1%) | (161,976 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 112,915,135 | ||||||
|
|
Notes to the Schedule of Investments:
REIT | - Real Estate Investment Trust. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
See accompanying notes to financial statements.
52
Table of Contents
TCW Relative Value Mid Cap Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.4 | % | ||
Auto Components | 3.6 | |||
Banks | 9.9 | |||
Capital Markets | 5.5 | |||
Chemicals | 1.6 | |||
Communications Equipment | 3.4 | |||
Construction & Engineering | 1.8 | |||
Consumer Finance | 0.7 | |||
Containers & Packaging | 2.8 | |||
Diversified Telecommunication Services | 0.6 | |||
Energy Equipment & Services | 2.6 | |||
Food & Staples Retailing | 1.5 | |||
Food Products | 1.4 | |||
Health Care Providers & Services | 4.6 | |||
Hotels, Restaurants & Leisure | 1.1 | |||
Household Durables | 6.5 | |||
Independent Power and Renewable Electricity Producers | 1.8 | |||
Insurance | 3.8 | |||
IT Services | 1.1 | |||
Machinery | 5.3 | |||
Metals & Mining | 4.2 | |||
Multi-Utilities | 1.2 | |||
Multiline Retail | 3.2 | |||
Oil, Gas & Consumable Fuels | 2.5 | |||
Real Estate Management & Development | 1.1 | |||
REIT | 5.1 | |||
Semiconductors & Semiconductor Equipment | 8.2 | |||
Specialty Retail | 2.5 | |||
Technology Hardware, Storage & Peripherals | 4.8 | |||
Textiles, Apparel & Luxury Goods | 1.7 | |||
Thrifts & Mortgage Finance | 3.4 | |||
Money Market Investments | 0.2 | |||
|
| |||
Total | 100.1 | % | ||
|
|
See accompanying notes to financial statements.
53
Table of Contents
Schedule of Investments | October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
Beverages (2.1% of Net Assets) | ||||||||
299,700 | Monster Beverage Corp. (1) | $ | 40,855,104 | |||||
|
| |||||||
Biotechnology (9.2%) | ||||||||
353,672 | Alexion Pharmaceuticals, Inc. (1) | 62,246,272 | ||||||
345,813 | BioMarin Pharmaceutical, Inc. (1) | 40,473,953 | ||||||
598,080 | Celgene Corp. (1) | 73,390,397 | ||||||
|
| |||||||
Total Biotechnology | 176,110,622 | |||||||
|
| |||||||
Capital Markets (1.9%) | ||||||||
1,184,270 | Charles Schwab Corp. (The) | 36,143,920 | ||||||
|
| |||||||
Food & Staples Retailing (4.6%) | ||||||||
307,844 | Costco Wholesale Corp. | 48,676,293 | ||||||
389,200 | CVS Health Corp. | 38,445,176 | ||||||
|
| |||||||
Total Food & Staples Retailing | 87,121,469 | |||||||
|
| |||||||
Food Products (1.9%) | ||||||||
452,195 | Mead Johnson Nutrition Co. | 37,079,990 | ||||||
|
| |||||||
Health Care Technology (7.0%) | ||||||||
378,162 | athenahealth, Inc. (1) | 57,650,797 | ||||||
1,141,067 | Cerner Corp. (1) | 75,641,331 | ||||||
|
| |||||||
Total Health Care Technology | 133,292,128 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (6.3%) | ||||||||
74,285 | Chipotle Mexican Grill, Inc. (1) | 47,559,486 | ||||||
1,152,830 | Starbucks Corp. | 72,132,573 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 119,692,059 | |||||||
|
| |||||||
Insurance (3.4%) | ||||||||
579,090 | ACE, Ltd. (Switzerland) | 65,749,879 | ||||||
|
| |||||||
Internet & Catalog Retail (7.5%) | ||||||||
84,575 | Amazon.com, Inc. (1) | 52,935,493 | ||||||
61,255 | Priceline Group, Inc. (The) (1) | 89,079,471 | ||||||
|
| |||||||
Total Internet & Catalog Retail | 142,014,964 | |||||||
|
| |||||||
Internet Software & Services (16.3%) | ||||||||
157,529 | Alphabet, Inc. Class C (1) | 111,973,189 | ||||||
183,176 | Equinix, Inc. | 54,344,656 | ||||||
775,155 | Facebook, Inc. (1) | 79,042,555 | ||||||
270,715 | LinkedIn Corp. (1) | 65,207,122 | ||||||
|
| |||||||
Total Internet Software & Services | 310,567,522 | |||||||
|
| |||||||
IT Services (4.9%) | ||||||||
1,191,804 | Visa, Inc. | 92,460,154 | ||||||
|
|
See accompanying notes to financial statements.
54
Table of Contents
TCW Select Equities Fund
October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
Life Sciences Tools & Services (2.4%) | ||||||||
317,635 | Illumina, Inc. (1) | $ | 45,510,743 | |||||
|
| |||||||
Pharmaceuticals (2.8%) | ||||||||
171,799 | Allergan PLC (Ireland) (1) | 52,994,837 | ||||||
|
| |||||||
REIT (5.1%) | ||||||||
944,072 | American Tower Corp. | 96,512,481 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.4%) | ||||||||
950,445 | ARM Holdings PLC (United Kingdom) (SP ADR) | 45,079,606 | ||||||
|
| |||||||
Software (13.8%) | ||||||||
1,071,730 | Mobileye NV (Netherlands) (1) | 48,785,150 | ||||||
1,406,598 | Salesforce.com, Inc. (1) | 109,306,730 | ||||||
785,405 | ServiceNow, Inc. (1) | 64,128,318 | ||||||
711,105 | Splunk, Inc. (1) | 39,935,657 | ||||||
|
| |||||||
Total Software | 262,155,855 | |||||||
|
| |||||||
Specialty Retail (1.7%) | ||||||||
393,595 | Tiffany & Co. | 32,447,972 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (2.1%) | ||||||||
412,700 | Under Armour, Inc. (1) | 39,239,516 | ||||||
|
| |||||||
Total Common Stock (Cost: $1,086,269,123) (95.4%) | 1,815,028,821 | |||||||
|
| |||||||
Money Market Investments | ||||||||
103,304,601 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (2) | 103,304,601 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $103,304,601) (5.4%) | 103,304,601 | |||||||
|
| |||||||
Total Investments (Cost: $1,189,573,724) (100.8%) | 1,918,333,422 | |||||||
Liabilities in Excess of Other Assets (-0.8%) | (15,217,169 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 1,903,116,253 | ||||||
|
|
Notes to the Schedule of Investments:
REIT | - Real Estate Investment Trust. |
SP ADR - Sponsored | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
See accompanying notes to financial statements.
55
Table of Contents
TCW Select Equities Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Beverages | 2.1 | % | ||
Biotechnology | 9.2 | |||
Capital Markets | 1.9 | |||
Food & Staples Retailing | 4.6 | |||
Food Products | 1.9 | |||
Health Care Technology | 7.0 | |||
Hotels, Restaurants & Leisure | 6.3 | |||
Insurance | 3.4 | |||
Internet & Catalog Retail | 7.5 | |||
Internet Software & Services | 16.3 | |||
IT Services | 4.9 | |||
Life Sciences Tools & Services | 2.4 | |||
Pharmaceuticals | 2.8 | |||
REIT | 5.1 | |||
Semiconductors & Semiconductor Equipment | 2.4 | |||
Software | 13.8 | |||
Specialty Retail | 1.7 | |||
Textiles, Apparel & Luxury Goods | 2.1 | |||
Money Market Investments | 5.4 | |||
|
| |||
Total | 100.8 | % | ||
|
|
See accompanying notes to financial statements.
56
Table of Contents
Schedule of Investments | October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (1.5% of Net Assets) | ||||||||
34,210 | HEICO Corp. | $ | 1,725,552 | |||||
|
| |||||||
Auto Components (3.1%) | ||||||||
39,600 | Dorman Products, Inc. (1) | 1,848,528 | ||||||
34,800 | Gentherm, Inc. (1) | 1,710,768 | ||||||
|
| |||||||
Total Auto Components | 3,559,296 | |||||||
|
| |||||||
Banks (2.4%) | ||||||||
30,344 | PacWest Bancorp | 1,366,694 | ||||||
34,200 | ServisFirst Bancshares, Inc. | 1,449,396 | ||||||
|
| |||||||
Total Banks | 2,816,090 | |||||||
|
| |||||||
Beverages (1.9%) | ||||||||
10,300 | Boston Beer Co., Inc. (1) | 2,261,777 | ||||||
|
| |||||||
Biotechnology (4.7%) | ||||||||
72,490 | Cepheid, Inc. (1) | 2,421,166 | ||||||
28,300 | Eagle Pharmaceuticals, Inc. (1) | 1,802,993 | ||||||
13,600 | Ophthotech Corp. (1) | 679,048 | ||||||
5,725 | Ultragenyx Pharmaceutical, Inc. (1) | 568,779 | ||||||
|
| |||||||
Total Biotechnology | 5,471,986 | |||||||
|
| |||||||
Building Products (0.5%) | ||||||||
15,000 | Trex Co., Inc. (1) | 586,050 | ||||||
|
| |||||||
Capital Markets (4.3%) | ||||||||
76,000 | Financial Engines, Inc. | 2,444,160 | ||||||
133,200 | WisdomTree Investments, Inc. | 2,561,436 | ||||||
|
| |||||||
Total Capital Markets | 5,005,596 | |||||||
|
| |||||||
Commercial Services & Supplies (1.2%) | ||||||||
37,600 | Healthcare Services Group, Inc. | 1,400,976 | ||||||
|
| |||||||
Communications Equipment (0.5%) | ||||||||
9,000 | Arista Networks, Inc. (1) | 580,590 | ||||||
|
| |||||||
Distributors (1.8%) | ||||||||
25,100 | Core-Mark Holding Co., Inc. | 2,040,379 | ||||||
|
| |||||||
Diversified Consumer Services (1.7%) | ||||||||
20,015 | MarketAxess Holdings, Inc. | 2,027,720 | ||||||
|
| |||||||
Electrical Equipment (0.9%) | ||||||||
58,520 | Power Solutions International, Inc. (1) | 1,055,701 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (2.8%) | ||||||||
42,845 | Cognex Corp. | 1,610,972 | ||||||
49,389 | FARO Technologies, Inc. (1) | 1,668,854 | ||||||
|
| |||||||
Total Electronic Equipment, Instruments & Components | 3,279,826 | |||||||
|
|
See accompanying notes to financial statements.
57
Table of Contents
TCW Small Cap Growth Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||
Energy Equipment & Services (1.6%) | ||||||||
15,800 | Core Laboratories NV (Netherlands) | $ | 1,838,014 | |||||
|
| |||||||
Food & Staples Retailing (3.7%) | ||||||||
15,290 | Pricesmart, Inc. | 1,314,634 | ||||||
58,600 | United Natural Foods, Inc. (1) | 2,956,370 | ||||||
|
| |||||||
Total Food & Staples Retailing | 4,271,004 | |||||||
|
| |||||||
Food Products (2.6%) | ||||||||
68,480 | Blue Buffalo Pet Products, Inc. (1) | 1,228,531 | ||||||
83,400 | Freshpet, Inc. (1) | 813,150 | ||||||
84,629 | Lifeway Foods, Inc. (1) | 960,539 | ||||||
|
| |||||||
Total Food Products | 3,002,220 | |||||||
|
| |||||||
Health Care Equipment & Supplies (5.2%) | ||||||||
69,200 | AtriCure, Inc. (1) | 1,281,930 | ||||||
4,100 | Atrion Corp. | 1,512,900 | ||||||
47,900 | LDR Holding Corp. (1) | 1,211,870 | ||||||
33,900 | West Pharmaceutical Services, Inc. | 2,034,339 | ||||||
|
| |||||||
Total Health Care Equipment & Supplies | 6,041,039 | |||||||
|
| |||||||
Health Care Providers & Services (4.9%) | ||||||||
93,800 | Diplomat Pharmacy, Inc. (1) | 2,636,718 | ||||||
45,000 | LHC Group, Inc. (1) | 2,027,925 | ||||||
35,000 | Surgical Care Affiliates, Inc. (1) | 1,036,350 | ||||||
|
| |||||||
Total Health Care Providers & Services | 5,700,993 | |||||||
|
| |||||||
Health Care Technology (2.2%) | ||||||||
13,000 | athenahealth, Inc. (1) | 1,981,850 | ||||||
24,000 | Veeva Systems, Inc. (1) | 608,880 | ||||||
|
| |||||||
Total Health Care Technology | 2,590,730 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure (6.4%) | ||||||||
44,000 | BJ’s Restaurants, Inc. (1) | 1,888,920 | ||||||
36,500 | Bojangles’, Inc. (1) | 606,995 | ||||||
79,700 | Habit Restaurants, Inc. (The) (1) | 1,903,236 | ||||||
203,000 | La Quinta Holdings, Inc. (1) | 3,075,450 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 7,474,601 | |||||||
|
| |||||||
Internet & Catalog Retail (1.0%) | ||||||||
27,400 | Wayfair, Inc. (1) | 1,158,198 | ||||||
|
| |||||||
Internet Software & Services (10.0%) | ||||||||
35,150 | Benefitfocus, Inc. (1) | 1,123,394 | ||||||
86,040 | Cornerstone OnDemand, Inc. (1) | 2,710,260 | ||||||
44,400 | Demandware, Inc. (1) | 2,517,480 | ||||||
39,300 | Envestnet, Inc. (1) | 1,173,498 | ||||||
55,200 | Marketo, Inc. (1) | 1,624,536 |
See accompanying notes to financial statements.
58
Table of Contents
TCW Small Cap Growth Fund
October 31, 2015
Number of Shares | Common Stock | Value | ||||||
Internet Software & Services (Continued) | ||||||||
40,600 | Shutterstock, Inc. (1) | $ | 1,156,288 | |||||
18,390 | SPS Commerce, Inc. (1) | 1,320,770 | ||||||
|
| |||||||
Total Internet Software & Services | 11,626,226 | |||||||
|
| |||||||
IT Services (1.5%) | ||||||||
22,800 | EPAM Systems, Inc. (1) | 1,763,580 | ||||||
|
| |||||||
Life Sciences Tools & Services (1.6%) | ||||||||
43,700 | INC Research Holdings, Inc. (1) | 1,822,727 | ||||||
|
| |||||||
Machinery (5.2%) | ||||||||
29,300 | CLARCOR, Inc. | 1,460,898 | ||||||
55,650 | John Bean Technologies Corp. | 2,496,459 | ||||||
30,000 | RBC Bearings, Inc. (1) | 2,051,700 | ||||||
|
| |||||||
Total Machinery | 6,009,057 | |||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.0%) | ||||||||
43,350 | RSP Permian, Inc. (1) | 1,188,657 | ||||||
|
| |||||||
Pharmaceuticals (2.2%) | ||||||||
61,800 | Depomed, Inc. (1) | 1,081,500 | ||||||
93,100 | Horizon Pharma PLC (Ireland) (1) | 1,463,532 | ||||||
|
| |||||||
Total Pharmaceuticals | 2,545,032 | |||||||
|
| |||||||
Professional Services (1.7%) | ||||||||
42,400 | WageWorks, Inc. (1) | 2,036,048 | ||||||
�� |
|
| ||||||
Real Estate Management & Development (1.1%) | ||||||||
35,275 | RE/MAX Holdings, Inc. | 1,328,809 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (1.3%) | ||||||||
31,588 | Mellanox Technologies, Ltd. (1) | 1,488,111 | ||||||
|
| |||||||
Software (8.2%) | ||||||||
82,700 | FireEye, Inc. (1) | 2,162,605 | ||||||
10,400 | Imperva, Inc. (1) | 734,448 | ||||||
22,050 | Proofpoint, Inc. (1) | 1,553,202 | ||||||
31,550 | Qualys, Inc. (1) | 1,114,346 | ||||||
39,950 | Splunk, Inc. (1) | 2,243,592 | ||||||
8,570 | Ultimate Software Group, Inc. (The) (1) | 1,751,279 | ||||||
|
| |||||||
Total Software | 9,559,472 | |||||||
|
| |||||||
Specialty Retail (5.2%) | ||||||||
23,200 | Asbury Automotive Group, Inc. (1) | 1,837,440 | ||||||
37,850 | Dick’s Sporting Goods, Inc. | 1,686,218 | ||||||
37,880 | Five Below, Inc. (1) | 1,300,799 | ||||||
118,400 | Sportsman’s Warehouse Holdings, Inc. (1) | 1,273,984 | ||||||
|
| |||||||
Total Specialty Retail | 6,098,441 | |||||||
|
|
See accompanying notes to financial statements.
59
Table of Contents
TCW Small Cap Growth Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||
Technology Hardware, Storage & Peripherals (2.4%) | ||||||||
24,560 | Nimble Storage, Inc. (1) | $ | 555,056 | |||||
87,400 | Stratasys, Ltd. (Israel) (1) | 2,228,700 | ||||||
|
| |||||||
Total Technology Hardware, Storage & Peripherals | 2,783,756 | |||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (2.9%) | ||||||||
105,300 | Kate Spade & Co. (1) | 1,892,241 | ||||||
41,670 | Steven Madden, Ltd. (1) | 1,452,200 | ||||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 3,344,441 | |||||||
|
| |||||||
Total Common Stock (Cost: $102,430,119) (99.2%) | 115,482,695 | |||||||
|
| |||||||
Money Market Investments | ||||||||
2,328,636 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (2) | 2,328,636 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $2,328,636) (2.0%) | 2,328,636 | |||||||
|
| |||||||
Total Investments (Cost: $104,758,755) (101.2%) | 117,811,331 | |||||||
Liabilities in Excess of Other Assets (-1.2%) | (1,375,664 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 116,435,667 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
See accompanying notes to financial statements.
60
Table of Contents
TCW Small Cap Growth Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 1.5 | % | ||
Auto Components | 3.1 | |||
Banks | 2.4 | |||
Beverages | 1.9 | |||
Biotechnology | 4.7 | |||
Building Products | 0.5 | |||
Capital Markets | 4.3 | |||
Commercial Services & Supplies | 1.2 | |||
Communications Equipment | 0.5 | |||
Distributors | 1.8 | |||
Diversified Consumer Services | 1.7 | |||
Electrical Equipment | 0.9 | |||
Electronic Equipment, Instruments & Components | 2.8 | |||
Energy Equipment & Services | 1.6 | |||
Food & Staples Retailing | 3.7 | |||
Food Products | 2.6 | |||
Health Care Equipment & Supplies | 5.2 | |||
Health Care Providers & Services | 4.9 | |||
Health Care Technology | 2.2 | |||
Hotels, Restaurants & Leisure | 6.4 | |||
Internet & Catalog Retail | 1.0 | |||
Internet Software & Services | 10.0 | |||
IT Services | 1.5 | |||
Life Sciences Tools & Services | 1.6 | |||
Machinery | 5.2 | |||
Oil, Gas & Consumable Fuels | 1.0 | |||
Pharmaceuticals | 2.2 | |||
Professional Services | 1.7 | |||
Real Estate Management & Development | 1.1 | |||
Semiconductors & Semiconductor Equipment | 1.3 | |||
Software | 8.2 | |||
Specialty Retail | 5.2 | |||
Technology Hardware, Storage & Peripherals | 2.4 | |||
Textiles, Apparel & Luxury Goods | 2.9 | |||
Money Market Investments | 2.0 | |||
|
| |||
Total | 101.2 | % | ||
|
|
See accompanying notes to financial statements.
61
Table of Contents
Schedule of Investments
Number of Shares | Common Stock | Value | ||||||
Aerospace & Defense (3.1% of Net Assets) | ||||||||
11,950 | BE Aerospace, Inc. | $ | 561,053 | |||||
9,050 | HEICO Corp. | 456,482 | ||||||
|
| |||||||
Total Aerospace & Defense | 1,017,535 | |||||||
|
| |||||||
Auto Components (1.5%) | ||||||||
10,650 | Dorman Products, Inc. (1) | 497,142 | ||||||
|
| |||||||
Banks (2.1%) | ||||||||
5,520 | SVB Financial Group (1) | 673,826 | ||||||
|
| |||||||
Beverages (2.0%) | ||||||||
3,025 | Boston Beer Co., Inc. (1) | 664,260 | ||||||
|
| |||||||
Biotechnology (5.9%) | ||||||||
8,800 | Alkermes PLC (Ireland) (1) | 632,896 | ||||||
20,265 | Cepheid, Inc. (1) | 676,851 | ||||||
5,160 | Incyte Corp. (1) | 606,455 | ||||||
|
| |||||||
Total Biotechnology | 1,916,202 | |||||||
|
| |||||||
Capital Markets (4.1%) | ||||||||
14,400 | Financial Engines, Inc. | 463,104 | ||||||
44,350 | WisdomTree Investments, Inc. | 852,851 | ||||||
|
| |||||||
Total Capital Markets | 1,315,955 | |||||||
|
| |||||||
Diversified Consumer Services (1.5%) | ||||||||
4,900 | MarketAxess Holdings, Inc. | 496,419 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (3.0%) | ||||||||
10,990 | Cognex Corp. (1) | 413,224 | ||||||
16,220 | FARO Technologies, Inc. (1) | 548,074 | ||||||
|
| |||||||
Total Electronic Equipment, Instruments & Components | 961,298 | |||||||
|
| |||||||
Energy Equipment & Services (1.5%) | ||||||||
4,225 | Core Laboratories NV (Netherlands) | 491,494 | ||||||
|
| |||||||
Food & Staples Retailing (3.2%) | ||||||||
6,220 | Pricesmart, Inc. | 534,795 | ||||||
10,055 | United Natural Foods, Inc. (1) | 507,275 | ||||||
|
| |||||||
Total Food & Staples Retailing | 1,042,070 | |||||||
|
| |||||||
Food Products (4.3%) | ||||||||
18,150 | Blue Buffalo Pet Products, Inc. (1) | 325,611 | ||||||
11,850 | Keurig Green Mountain, Inc. | 601,387 | ||||||
11,400 | WhiteWave Foods Co. (The) (1) | 467,172 | ||||||
|
| |||||||
Total Food Products | 1,394,170 | |||||||
|
|
See accompanying notes to financial statements.
62
Table of Contents
TCW SMID Cap Growth Fund
October 31, 2015
Number of Shares | Common Stock | Value | ||||||
Health Care Equipment & Supplies (3.3%) | ||||||||
1,100 | Intuitive Surgical, Inc. (1) | $ | 546,260 | |||||
9,025 | West Pharmaceutical Services, Inc. | 541,590 | ||||||
|
| |||||||
Total Health Care Equipment & Supplies | 1,087,850 | |||||||
|
| |||||||
Health Care Providers & Services (3.4%) | ||||||||
27,110 | Diplomat Pharmacy, Inc. (1) | 762,062 | ||||||
5,190 | Health Net, Inc. (1) | 333,510 | ||||||
|
| |||||||
Total Health Care Providers & Services | 1,095,572 | |||||||
|
| |||||||
Health Care Technology (2.4%) | ||||||||
5,050 | athenahealth, Inc. (1) | 769,873 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (7.2%) | ||||||||
12,050 | Aramark | 365,717 | ||||||
19,650 | Habit Restaurants, Inc. (The) (1) | 469,242 | ||||||
56,560 | La Quinta Holdings, Inc. (1) | 856,884 | ||||||
9,000 | Wynn Resorts, Ltd. | 629,550 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 2,321,393 | |||||||
|
| |||||||
Internet & Catalog Retail (3.5%) | ||||||||
9,700 | TripAdvisor, Inc. (1) | 812,666 | ||||||
7,435 | Wayfair, Inc. (1) | 314,277 | ||||||
|
| |||||||
Total Internet & Catalog Retail | 1,126,943 | |||||||
|
| |||||||
Internet Software & Services (5.6%) | ||||||||
28,350 | Cornerstone OnDemand, Inc. (1) | 893,025 | ||||||
32,735 | Twitter, Inc. (1) | 931,638 | ||||||
|
| |||||||
Total Internet Software & Services | 1,824,663 | |||||||
|
| |||||||
Leisure Products (1.4%) | ||||||||
3,950 | Polaris Industries, Inc. | 443,743 | ||||||
|
| |||||||
Life Sciences Tools & Services (3.7%) | ||||||||
4,800 | Illumina, Inc. (1) | 687,744 | ||||||
12,585 | INC Research Holdings, Inc. (1) | 524,920 | ||||||
|
| |||||||
Total Life Sciences Tools & Services | 1,212,664 | |||||||
|
| |||||||
Machinery (6.7%) | ||||||||
9,725 | CLARCOR, Inc. | 484,888 | ||||||
4,510 | Graco, Inc. | 331,034 | ||||||
4,550 | Middleby Corp. (The) (1) | 532,077 | ||||||
2,835 | WABCO Holdings, Inc. (1) | 318,172 | ||||||
6,185 | Wabtec Corp. | 512,551 | ||||||
|
| |||||||
Total Machinery | 2,178,722 | |||||||
|
|
See accompanying notes to financial statements.
63
Table of Contents
TCW SMID Cap Growth Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||
Pharmaceuticals (0.9%) | ||||||||
18,750 | Horizon Pharma PLC (Ireland) (1) | $ | 294,750 | |||||
|
| |||||||
Professional Services (1.9%) | ||||||||
12,735 | WageWorks, Inc. (1) | 611,535 | ||||||
|
| |||||||
Road & Rail (1.1%) | ||||||||
4,465 | Kansas City Southern | 369,523 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.3%) | ||||||||
26,300 | NVIDIA Corp. | 746,131 | ||||||
|
| |||||||
Software (12.4%) | ||||||||
6,250 | ANSYS, Inc. (1) | 595,688 | ||||||
26,250 | FireEye, Inc. (1) | 686,437 | ||||||
6,490 | Mobileye NV (Netherlands) (1) | 295,425 | ||||||
7,160 | ServiceNow, Inc. (1) | 584,614 | ||||||
10,765 | Splunk, Inc. (1) | 604,562 | ||||||
2,900 | Tyler Technologies, Inc. (1) | 494,044 | ||||||
9,545 | Workday, Inc. (1) | 753,769 | ||||||
|
| |||||||
Total Software | 4,014,539 | |||||||
|
| |||||||
Specialty Retail (4.4%) | ||||||||
6,750 | Asbury Automotive Group, Inc. (1) | 534,600 | ||||||
10,325 | Dick’s Sporting Goods, Inc. | 459,979 | ||||||
17,150 | DSW, Inc. | 427,721 | ||||||
|
| |||||||
Total Specialty Retail | 1,422,300 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (2.3%) | ||||||||
29,285 | Stratasys, Ltd. (Israel) (1) | 746,768 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (3.7%) | ||||||||
28,035 | Kate Spade & Co. (1) | 503,789 | ||||||
7,210 | Under Armour, Inc. (1) | 685,527 | ||||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 1,189,316 | |||||||
|
| |||||||
Total Common Stock (Cost: $27,050,370) (98.4%) | 31,926,656 | |||||||
|
| |||||||
Money Market Investments | ||||||||
845,025 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (2) | 845,025 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $845,025) (2.6%) | 845,025 | |||||||
|
| |||||||
Total Investments (Cost: $27,895,395) (101.0%) | 32,771,681 | |||||||
Liabilities in Excess of Other Assets (-1.0%) | (328,889 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 32,442,792 | ||||||
|
|
Notes to the Schedule of Investments:
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
See accompanying notes to financial statements.
64
Table of Contents
TCW SMID Cap Growth Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.1 | % | ||
Auto Components | 1.5 | |||
Banks | 2.1 | |||
Beverages | 2.0 | |||
Biotechnology | 5.9 | |||
Capital Markets | 4.1 | |||
Diversified Consumer Services | 1.5 | |||
Electronic Equipment, Instruments & Components | 3.0 | |||
Energy Equipment & Services | 1.5 | |||
Food & Staples Retailing | 3.2 | |||
Food Products | 4.3 | |||
Health Care Equipment & Supplies | 3.3 | |||
Health Care Providers & Services | 3.4 | |||
Health Care Technology | 2.4 | |||
Hotels, Restaurants & Leisure | 7.2 | |||
Internet & Catalog Retail | 3.5 | |||
Internet Software & Services | 5.6 | |||
Leisure Products | 1.4 | |||
Life Sciences Tools & Services | 3.7 | |||
Machinery | 6.7 | |||
Pharmaceuticals | 0.9 | |||
Professional Services | 1.9 | |||
Road & Rail | 1.1 | |||
Semiconductors & Semiconductor Equipment | 2.3 | |||
Software | 12.4 | |||
Specialty Retail | 4.4 | |||
Technology Hardware, Storage & Peripherals | 2.3 | |||
Textiles, Apparel & Luxury Goods | 3.7 | |||
Money Market Investments | 2.6 | |||
|
| |||
Total | 101.0 | % | ||
|
|
See accompanying notes to financial statements.
65
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
TCW Concentrated Value Fund | TCW Conservative Allocation Fund | TCW Global Real Estate Fund | TCW Growth Equities Fund | |||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||
ASSETS | ||||||||||||||||
Investments, at Value (1) | $ | 10,771 | $ | 752 | $ | 4,836 | $ | 15,737 | ||||||||
Investment in Affiliated Issuers, at Value | — | 33,969 | (2) | — | — | |||||||||||
Cash | — | 1,032 | — | (3) | — | |||||||||||
Receivable for Securities Sold | 242 | — | — | — | ||||||||||||
Receivable for Fund Shares Sold | 40 | 12 | — | 2 | ||||||||||||
Interest and Dividends Receivable | 15 | 31 | 6 | 5 | ||||||||||||
Foreign Tax Reclaims Receivable | 1 | — | — | (3) | — | |||||||||||
Receivable from Investment Advisor | 9 | — | — | (3) | 3 | |||||||||||
Prepaid Expenses | 17 | 20 | 10 | 11 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 11,095 | 35,816 | 4,852 | 15,758 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Payable for Securities Purchased | — | 10 | — | — | ||||||||||||
Payable for Fund Shares Redeemed | — | — | — | 29 | ||||||||||||
Disbursements in Excess of Available Cash | 214 | — | — | — | ||||||||||||
Accrued Directors’ Fees and Expenses | 9 | 9 | 9 | 9 | ||||||||||||
Accrued Compliance Expense | — | (3) | — | (3) | — | (3) | — | (3) | ||||||||
Accrued Management Fees | 6 | — | 3 | 14 | ||||||||||||
Accrued Distribution Fees | — | (3) | — | (3) | — | (3) | 1 | |||||||||
Options Written, at Value | — | — | 3 | (4) | — | |||||||||||
Other Accrued Expenses | 26 | 12 | 7 | 25 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 255 | 31 | 22 | 78 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 10,840 | $ | 35,785 | $ | 4,830 | $ | 15,680 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in Capital | $ | 16,605 | $ | 31,012 | $ | 4,868 | $ | 9,912 | ||||||||
Accumulated Net Realized Gain (Loss) on | ||||||||||||||||
Investments, Options Written and Foreign | ||||||||||||||||
Currency | (6,374 | ) | 671 | 5 | 2,998 | |||||||||||
Unrealized Appreciation (Depreciation) of | ||||||||||||||||
Investments and Options Written | 543 | 3,865 | (42 | ) | 2,909 | |||||||||||
Undistributed Net Investment Income (Loss) | 66 | 237 | (1 | ) | (139 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 10,840 | $ | 35,785 | $ | 4,830 | $ | 15,680 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||
I Class Share | $ | 9,386 | $ | 33,909 | $ | 4,320 | $ | 12,176 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 1,454 | $ | 1,876 | $ | 510 | $ | 3,504 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (5) | ||||||||||||||||
I Class Share | 482,528 | 2,712,818 | 445,093 | 1,091,801 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 75,535 | 150,801 | 52,593 | 316,382 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (6) | ||||||||||||||||
I Class Share | $ | 19.45 | $ | 12.50 | $ | 9.71 | $ | 11.15 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 19.25 | $ | 12.44 | $ | 9.70 | $ | 11.08 | ||||||||
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Concentrated Value Fund, the TCW Conservative Allocation Fund, the TCW Global Real Estate Fund and the TCW Growth Equities Fund at October 31, 2015 was $10,228, $895, $4,879 and $12,828, respectively. |
(2) | The identified cost for investments in affiliated issuers for the TCW Conservative Allocation Fund was $29,961. |
(3) | Amount rounds to less than $1. |
(4) | Premium received $4. |
(5) | The number of authorized shares, with a par value of $0.001 per share, for the TCW Concentrated Value Fund, the TCW Conservative Allocation Fund and the TCW Global Real Estate Fund is 2,000,000,000 for each of the I Class and N Class shares, and the TCW Growth Equities Fund is 4,000,000,000 for each of the I Class and N Class shares. |
(6) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
66
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2015 |
TCW High Dividend Equities Fund | TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | |||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||
ASSETS | ||||||||||||||||
Investments, at Value (1) | $ | 4,443 | $ | 1,053,284 | $ | 695,394 | $ | 113,078 | ||||||||
Receivable for Securities Sold | 167 | 4,223 | — | 452 | ||||||||||||
Receivable for Fund Shares Sold | — | 945 | 536 | 74 | ||||||||||||
Interest and Dividends Receivable | 9 | 852 | 575 | 36 | ||||||||||||
Receivable from Investment Advisor | 1 | — | — | 1 | ||||||||||||
Prepaid Expenses | 10 | 40 | 32 | 21 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 4,630 | 1,059,344 | 696,537 | 113,662 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Payable for Securities Purchased | 128 | 1,241 | — | 532 | ||||||||||||
Payable for Fund Shares Redeemed | — | 1,501 | 2,878 | 77 | ||||||||||||
Disbursements in Excess of Available Cash | — | 1,269 | — | — | ||||||||||||
Accrued Directors’ Fees and Expenses | 9 | 9 | 9 | 9 | ||||||||||||
Accrued Compliance Expense | — | (2) | 2 | 1 | — | (2) | ||||||||||
Accrued Management Fees | 2 | 657 | 438 | 78 | ||||||||||||
Accrued Distribution Fees | — | (2) | 182 | 5 | 4 | |||||||||||
Options Written, at Value | 5 | (3) | — | — | — | |||||||||||
Other Accrued Expenses | 8 | 245 | 165 | 47 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 152 | 5,106 | 3,496 | 747 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 4,478 | $ | 1,054,238 | $ | 693,041 | $ | 112,915 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in Capital | $ | 5,049 | $ | 941,047 | $ | 467,623 | $ | 92,226 | ||||||||
Accumulated Net Realized Gain (Loss) on | ||||||||||||||||
Investments and Options Written | (237 | ) | (92,971 | ) | 24,763 | 6,229 | ||||||||||
Unrealized Appreciation (Depreciation) of | ||||||||||||||||
Investments and Written Options | (337 | ) | 206,162 | 194,321 | 14,380 | |||||||||||
Undistributed Net Investment Income | 3 | — | 6,334 | 80 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 4,478 | $ | 1,054,238 | $ | 693,041 | $ | 112,915 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||
I Class Share | $ | 3,969 | $ | 175,694 | $ | 667,957 | $ | 93,356 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 509 | $ | 878,544 | $ | 25,084 | $ | 19,559 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (4) | ||||||||||||||||
I Class Share | 441,836 | 10,654,696 | 30,374,554 | 4,161,387 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | 56,604 | 52,409,559 | 1,144,669 | 893,104 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (5) | ||||||||||||||||
I Class Share | $ | 8.98 | $ | 16.49 | $ | 21.99 | $ | 22.43 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class Share | $ | 8.98 | $ | 16.76 | $ | 21.91 | $ | 21.90 | ||||||||
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW High Dividend Equities Fund, the TCW Relative Value Dividend Appreciation Fund, the TCW Relative Value Large Cap Fund and the TCW Relative Value Mid Cap Fund at October 31, 2015 was $4,780, $847,122, $501,073 and $98,698, respectively. |
(2) | Amount rounds to less than $1. |
(3) | Premium received $5. |
(4) | The number of authorized shares, with a par value of $0.001 per share, for the TCW High Dividend Equities Fund, the TCW Relative Value Dividend Appreciation Fund and the TCW Relative Value Large Cap Fund is 2,000,000,000 for each of the I and N class shares, and the TCW Relative Value Mid Cap Fund is 4,000,000,000 for each of the I and N class shares. |
(5) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
67
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2015 |
TCW Select Equities Fund | TCW Small Cap Growth Fund | TCW SMID Cap Growth Fund | ||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||
ASSETS | ||||||||||||
Investments, at Value (1) | $ | 1,918,334 | $ | 117,812 | $ | 32,771 | ||||||
Receivable for Securities Sold | 14,556 | 103 | — | |||||||||
Receivable for Fund Shares Sold | 5,719 | 23 | — | |||||||||
Interest and Dividends Receivable | 2,265 | 13 | 5 | |||||||||
Receivable from Investment Advisor | — | — | 14 | |||||||||
Prepaid Expenses | 61 | 12 | 18 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,940,935 | 117,963 | 32,808 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Payable for Securities Purchased | 32,859 | 979 | 297 | |||||||||
Payable for Fund Shares Redeemed | 3,374 | 373 | — | |||||||||
Accrued Directors’ Fees and Expenses | 9 | 9 | 9 | |||||||||
Accrued Compliance Expense | 3 | 2 | — | (2) | ||||||||
Accrued Management Fees | 1,152 | 104 | 28 | |||||||||
Accrued Distribution Fees | 54 | 5 | 5 | |||||||||
Other Accrued Expenses | 368 | 55 | 26 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 37,819 | 1,527 | 365 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,903,116 | $ | 116,436 | $ | 32,443 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 1,037,196 | $ | 82,769 | $ | 26,274 | ||||||
Accumulated Net Realized Gain on Investments | 137,161 | 20,614 | 1,631 | |||||||||
Unrealized Appreciation of Investments | 728,760 | 13,053 | 4,876 | |||||||||
Undistributed Net Investment Loss | (1 | ) | — | (338 | ) | |||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,903,116 | $ | 116,436 | $ | 32,443 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 1,629,090 | $ | 92,601 | $ | 10,598 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 274,026 | $ | 23,835 | $ | 21,845 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (3) | ||||||||||||
I Class Share | 54,945,695 | 3,459,505 | 793,215 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 9,817,530 | 954,798 | 1,634,475 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (4) | ||||||||||||
I Class Share | $ | 29.65 | $ | 26.77 | $ | 13.36 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 27.91 | $ | 24.96 | $ | 13.36 | ||||||
|
|
|
|
|
|
(1) | The identified cost for the TCW Select Equities Fund, the TCW Small Cap Growth Fund and the TCW SMID Cap Growth Fund at October 31, 2015 was $1,189,574, $104,759 and $27,895, respectively. |
(2) | Amount rounds to less than $1. |
(3) | The number of authorized shares, with a par value of $0.001 per share, for the TCW Select Equities Fund is 1,667,000,000 for each of the I Class and N Class shares, for the TCW Small Cap Growth Fund is 1,666,000,000 each of the I Class and N Class shares and for the TCW SMID Cap Growth Fund is 2,000,000,000 for each of the I Class and N Class shares. |
(4) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
68
Table of Contents
TCW Funds, Inc.
Year Ended October 31, 2015 |
TCW Concentrated Value Fund | TCW Conservative Allocation Fund | TCW Global Real Estate Fund (1) | TCW Growth Equities Fund | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Income: | ||||||||||||||||
Dividends | $ | 222 | (2) | $ | — | (3) | $ | 77 | (2) | $ | 135 | (2) | ||||
Dividends from Investment in Affiliated Issuers | — | 415 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 222 | 415 | 77 | 135 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management Fees | 84 | — | 16 | 227 | ||||||||||||
Accounting Services Fees | 3 | 5 | 2 | 5 | ||||||||||||
Administration Fees | 2 | 3 | 1 | 2 | ||||||||||||
Transfer Agent Fees: | ||||||||||||||||
I Class | 4 | 3 | — | (3) | 5 | |||||||||||
N Class | 3 | 1 | — | (3) | 5 | |||||||||||
Custodian Fees | 18 | 5 | 11 | 11 | ||||||||||||
Professional Fees | 26 | 17 | 28 | 27 | ||||||||||||
Directors’ Fees and Expenses | 27 | 26 | 24 | 26 | ||||||||||||
Registration Fees: | ||||||||||||||||
I Class | 17 | 16 | 16 | 17 | ||||||||||||
N Class | 16 | 16 | 16 | 17 | ||||||||||||
Distribution Fees: | ||||||||||||||||
N Class | 5 | 4 | 1 | 11 | ||||||||||||
Compliance Expense | — | (3) | 1 | — | (3) | 1 | ||||||||||
Shareholder Reporting Expense | 2 | 1 | 7 | 5 | ||||||||||||
Other | 2 | 3 | 4 | 3 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 209 | 101 | 126 | 362 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
I Class | 40 | — | 61 | 48 | ||||||||||||
N Class | 28 | 11 | 36 | 40 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 141 | 90 | 29 | 274 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 81 | 325 | 48 | (139 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investments | 2,083 | 213 | (3 | ) | 4,059 | |||||||||||
Investments in Affiliated Issuers | — | 36 | — | — | ||||||||||||
Realized Gain Distributed from | ||||||||||||||||
Affiliated Issuers | — | 610 | — | — | ||||||||||||
Foreign Currency | — | — | (3 | ) | — | |||||||||||
Options Written | — | — | 9 | — | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | (1,946 | ) | (1 | ) | (43 | ) | (4,755 | ) | ||||||||
Investments in Affiliated Issuers | — | (5 | ) | — | — | |||||||||||
Options Written | — | — | 1 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 137 | 853 | (39 | ) | (696 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 218 | $ | 1,178 | $ | 9 | $ | (835 | ) | |||||||
|
|
|
|
|
|
|
|
(1) | For the period December 1, 2014 (Commencement of Operations) through October 31, 2015. |
(2) | Net of foreign taxes withheld of $3, $2 and $1 for the TCW Concentrated Value Fund, the TCW Global Real Estate Fund and the TCW Growth Equities Fund, respectively. |
(3) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
69
Table of Contents
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2015 |
TCW High Dividend Equities Fund (1) | TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Income: | ||||||||||||||||
Dividends | $ | 138 | (2) | $ | 29,779 | (2) | $ | 14,374 | (2) | $ | 2,216 | (2) | ||||
|
|
|
|
|
|
|
| |||||||||
Total | 138 | 29,779 | 14,374 | 2,216 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Management Fees | 22 | 8,362 | 5,344 | 1,079 | ||||||||||||
Accounting Services Fees | 2 | 109 | 70 | 16 | ||||||||||||
Administration Fees | 1 | 65 | 42 | 9 | ||||||||||||
Transfer Agent Fees: | ||||||||||||||||
I Class | — | (3) | 118 | 554 | 58 | |||||||||||
N Class | — | (3) | 922 | 23 | 22 | |||||||||||
Custodian Fees | 8 | 21 | 18 | 10 | ||||||||||||
Professional Fees | 28 | 44 | 37 | 29 | ||||||||||||
Directors’ Fees and Expenses | 23 | 26 | 26 | 26 | ||||||||||||
Registration Fees: | ||||||||||||||||
I Class | 16 | 25 | 25 | 20 | ||||||||||||
N Class | 16 | 39 | 18 | 19 | ||||||||||||
Distribution Fees: | ||||||||||||||||
N Class | 1 | 2,307 | 67 | 65 | ||||||||||||
Compliance Expense | — | (3) | 8 | 15 | 3 | |||||||||||
Shareholder Reporting Expense | 7 | 7 | 5 | 8 | ||||||||||||
Other | 4 | 134 | 79 | 23 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 128 | 12,187 | 6,323 | 1,387 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||
I Class | 60 | — | — | — | ||||||||||||
N Class | 30 | — | 11 | 25 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 38 | 12,187 | 6,312 | 1,362 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income | 100 | 17,592 | 8,062 | 854 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investments | (247 | ) | 64,155 | 53,805 | 15,816 | |||||||||||
Options Written | 10 | — | — | — | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | (337 | ) | (78,953 | ) | (57,453 | ) | (22,175 | ) | ||||||||
Options Written | — | (3) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Options Written | (574 | ) | (14,798 | ) | (3,648 | ) | (6,359 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (474 | ) | $ | 2,794 | $ | 4,414 | $ | (5,505 | ) | ||||||
|
|
|
|
|
|
|
|
(1) | For the period December 1, 2014 (Commencement of Operations) through October 31, 2015. |
(2) | Net of foreign taxes withheld of $0, $13, $8 and $1 for the TCW High Dividend Equities Fund, the TCW Relative Value Dividend Appreciation Fund, the TCW Relative Value Large Cap Fund and the TCW Relative Value Mid Cap Fund, respectively. |
(3) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
70
Table of Contents
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2015 |
TCW Select Equities Fund | TCW Small Cap Growth Fund | TCW SMID Cap Growth Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Dividends | $ | 14,062 | $ | 433 | (1) | $ | 174 | (1) | ||||
|
|
|
|
|
| |||||||
Total | 14,062 | 433 | 174 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 13,209 | 1,489 | 458 | |||||||||
Accounting Services Fees | 164 | 16 | 7 | |||||||||
Administration Fees | 99 | 9 | 4 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 1,345 | 56 | 2 | |||||||||
N Class | 197 | 30 | 1 | |||||||||
Custodian Fees | 32 | 22 | 13 | |||||||||
Professional Fees | 53 | 30 | 29 | |||||||||
Directors’ Fees and Expenses | 26 | 26 | 26 | |||||||||
Registration Fees: | ||||||||||||
I Class | 32 | 19 | 17 | |||||||||
N Class | 24 | 18 | 17 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 533 | 74 | 60 | |||||||||
Compliance Expense | 36 | 1 | 1 | |||||||||
Shareholder Reporting Expense | 10 | 9 | 5 | |||||||||
Other | 232 | 37 | 4 | |||||||||
|
|
|
|
|
| |||||||
Total | 15,992 | 1,836 | 644 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | — | — | 16 | |||||||||
N Class | — | 38 | 78 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 15,992 | 1,798 | 550 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Loss | (1,930 | ) | (1,365 | ) | (376 | ) | ||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain on: | ||||||||||||
Investments | 162,929 | 29,359 | 2,150 | |||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 82,304 | (30,338 | ) | (5,298 | ) | |||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 245,233 | (979 | ) | (3,148 | ) | |||||||
|
|
|
|
|
| |||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 243,303 | $ | (2,344 | ) | $ | (3,524 | ) | ||||
| �� |
|
|
|
|
(1) | Net of foreign taxes withheld of $7 and $2 for the TCW Small Cap Growth Fund and the TCW SMID Cap Growth Fund, respectively. |
See accompanying notes to financial statements.
71
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Concentrated Value Fund | TCW Conservative Allocation Fund | |||||||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 81 | $ | 49 | $ | 325 | $ | 292 | ||||||||
Net Realized Gain on Investments | 2,083 | 1,056 | 859 | 552 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | (1,946 | ) | 743 | (6 | ) | 1,137 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 218 | 1,848 | 1,178 | 1,981 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (42 | ) | (36 | ) | (332 | ) | (512 | ) | ||||||||
N Class | (9 | ) | (4 | ) | (4 | ) | (13 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (158 | ) | — | |||||||||||
N Class | — | — | (4 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (51 | ) | (40 | ) | (498 | ) | (525 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (720 | ) | 751 | 2,508 | 2,213 | |||||||||||
N Class | (381 | ) | 666 | 1,044 | (284 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (1,101 | ) | 1,417 | 3,552 | 1,929 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (934 | ) | 3,225 | 4,232 | 3,385 | |||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 11,774 | 8,549 | 31,553 | 28,168 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 10,840 | $ | 11,774 | $ | 35,785 | $ | 31,553 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income | $ | 66 | $ | 35 | $ | 237 | $ | 109 |
See accompanying notes to financial statements.
72
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Global Real Estate Fund | TCW Growth Equities Fund | |||||||||||
December 1, 2014 (Commencement of Operations) through October 31, 2015 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
OPERATIONS | ||||||||||||
Net Investment Income (Loss) | $ | 48 | $ | (139 | ) | $ | (174 | ) | ||||
Net Realized Gain on Investments, Options Written and Foreign Currency Transactions | 3 | 4,059 | 3,066 | |||||||||
Change in Unrealized Depreciation on Investments and Options Written | (42 | ) | (4,755 | ) | (1,084 | ) | ||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets Resulting from Operations | 9 | (835 | ) | 1,808 | ||||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||
Distributions from Net Investment Income: | ||||||||||||
I Class | (35 | ) | — | — | ||||||||
N Class | (12 | ) | — | — | ||||||||
Distributions from Net Realized Gain: | ||||||||||||
I Class | — | (2,007 | ) | (8,090 | ) | |||||||
N Class | — | (502 | ) | (2,308 | ) | |||||||
|
|
|
|
|
| |||||||
Total Distributions to Shareholders | (47 | ) | (2,509 | ) | (10,398 | ) | ||||||
|
|
|
|
|
| |||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||
I Class | 4,343 | (7,005 | ) | 4,634 | ||||||||
N Class | 525 | (1,169 | ) | 897 | ||||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 4,868 | (8,174 | ) | 5,531 | ||||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets | 4,830 | (11,518 | ) | (3,059 | ) | |||||||
NET ASSETS | ||||||||||||
Beginning of Year | — | 27,198 | 30,257 | |||||||||
|
|
|
|
|
| |||||||
End of Year | $ | 4,830 | $ | 15,680 | $ | 27,198 | ||||||
|
|
|
|
|
| |||||||
Undistributed Net Investment Income (Loss) | $ | (1 | ) | $ | (139 | ) | $ | — |
See accompanying notes to financial statements.
73
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW High Dividend Equities Fund | TCW Relative Value Dividend Appreciation Fund | |||||||||||
December 1, 2014 (Commencement of operations) through October 31, 2015 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
OPERATIONS | ||||||||||||
Net Investment Income | $ | 100 | $ | 17,592 | $ | 16,460 | ||||||
Net Realized Gain (Loss) on Investments and Options Written | (237 | ) | 64,155 | 75,270 | ||||||||
Change in Unrealized Appreciation (Depreciation) on Investments and Options Written | (337 | ) | (78,953 | ) | 40,524 | |||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets Resulting from Operations | (474 | ) | 2,794 | 132,254 | ||||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||
Distributions from Net Investment Income: | ||||||||||||
I Class | (83 | ) | (3,223 | ) | (3,214 | ) | ||||||
N Class | (14 | ) | (13,035 | ) | (12,413 | ) | ||||||
|
|
|
|
|
| |||||||
Total Distributions to Shareholders | (97 | ) | (16,258 | ) | (15,627 | ) | ||||||
|
|
|
|
|
| |||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||
I Class | 4,479 | (17,193 | ) | 702 | ||||||||
N Class | 570 | (80,902 | ) | (15,193 | ) | |||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 5,049 | (98,095 | ) | (14,491 | ) | |||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets | 4,478 | (111,559 | ) | 102,136 | ||||||||
NET ASSETS | ||||||||||||
Beginning of Year | — | 1,165,797 | 1,063,661 | |||||||||
|
|
|
|
|
| |||||||
End of Year | $ | 4,478 | $ | 1,054,238 | $ | 1,165,797 | ||||||
|
|
|
|
|
| |||||||
Undistributed Net Investment Income | $ | 3 | $ | — | $ | — |
See accompanying notes to financial statements.
74
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | |||||||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 8,062 | $ | 6,893 | $ | 854 | $ | 617 | ||||||||
Net Realized Gain on Investments | 53,805 | 33,964 | 15,816 | 20,011 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | (57,453 | ) | 54,700 | (22,175 | ) | (5,406 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 4,414 | 95,557 | (5,505 | ) | 15,222 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (6,775 | ) | (6,862 | ) | (506 | ) | (520 | ) | ||||||||
N Class | (214 | ) | (802 | ) | (90 | ) | (98 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (13,135 | ) | (9,698 | ) | ||||||||||
N Class | — | — | (3,290 | ) | (3,696 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (6,989 | ) | (7,664 | ) | (17,021 | ) | (14,012 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (30,072 | ) | 78,398 | (3,473 | ) | (4,460 | ) | |||||||||
N Class | (4,385 | ) | (55,337 | ) | (4,367 | ) | (8,482 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (34,457 | ) | 23,061 | (7,840 | ) | (12,942 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (37,032 | ) | 110,954 | (30,366 | ) | (11,732 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 730,073 | 619,119 | 143,281 | 155,013 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 693,041 | $ | 730,073 | $ | 112,915 | $ | 143,281 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income | $ | 6,334 | $ | 5,419 | $ | 80 | $ | 97 |
See accompanying notes to financial statements.
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TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Select Equities Fund | TCW Small Cap Growth Fund | |||||||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Loss | $ | (1,930 | ) | $ | (2,982 | ) | $ | (1,365 | ) | $ | (2,151 | ) | ||||
Net Realized Gain on Investments | 162,929 | 72,793 | 29,359 | 42,235 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | 82,304 | 114,136 | (30,338 | ) | (22,398 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 243,303 | 183,947 | (2,344 | ) | 17,686 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | — | (79 | ) | — | — | |||||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (50,376 | ) | (42,602 | ) | (22,038 | ) | (20,781 | ) | ||||||||
N Class | (7,121 | ) | (13,105 | ) | (5,353 | ) | (17,176 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (57,497 | ) | (55,786 | ) | (27,391 | ) | (37,957 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (144,323 | ) | 176,067 | (24,331 | ) | (15,300 | ) | |||||||||
N Class | 23,002 | (169,232 | ) | (2,591 | ) | (77,622 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (121,321 | ) | 6,835 | (26,922 | ) | (92,922 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 64,485 | 134,996 | (56,657 | ) | (113,193 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 1,838,631 | 1,703,635 | 173,093 | 286,286 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 1,903,116 | $ | 1,838,631 | $ | 116,436 | $ | 173,093 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | (1 | ) | $ | 62 | $ | — | $ | 1 |
See accompanying notes to financial statements.
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TCW Funds, Inc.
Statements of Changes in Net Assets
TCW SMID Cap Growth Fund | ||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | |||||||
Dollar Amounts in Thousands | ||||||||
OPERATIONS | ||||||||
Net Investment Loss | $ | (376 | ) | $ | (428 | ) | ||
Net Realized Gain on Investments | 2,150 | 6,062 | ||||||
Change in Unrealized Depreciation on Investments | (5,298 | ) | (3,213 | ) | ||||
|
|
|
| |||||
Increase (Decrease) in Net Assets Resulting from Operations | (3,524 | ) | 2,421 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Distributions from Net Realized Gain: | ||||||||
I Class | (736 | ) | — | |||||
N Class | (750 | ) | — | |||||
|
|
|
| |||||
Total Distributions to Shareholders | (1,486 | ) | — | |||||
|
|
|
| |||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||
I Class | (15,665 | ) | (3,952 | ) | ||||
N Class | 710 | (222 | ) | |||||
|
|
|
| |||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (14,955 | ) | (4,174 | ) | ||||
|
|
|
| |||||
Decrease in Net Assets | (19,965 | ) | (1,753 | ) | ||||
NET ASSETS | ||||||||
Beginning of Year | 52,408 | 54,161 | ||||||
|
|
|
| |||||
End of Year | $ | 32,443 | $ | 52,408 | ||||
|
|
|
| |||||
Undistributed Net Investment Loss | $ | (338 | ) | $ | (382 | ) |
See accompanying notes to financial statements.
77
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TCW Funds, Inc.
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 23 no-load mutual funds (each series a “Fund” and collectively the “Funds”). TCW Investment Management Company (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940. Each Fund has distinct investment objectives. The following are the objectives for the 11 U.S. Equity Funds that are covered in this report:
TCW Fund | Investment Objective | |
Diversified U.S. Equity Funds | ||
TCW Concentrated Value Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets in publicly traded equity securities of companies with market capitalizations of greater than $3 billion dollars at the time of acquisition. | |
TCW Global Real Estate Fund | Seeks to maximize total return from current income and long-term capital growth by investing at least 80% of its net assets in equity securities of real estate investment trusts (“REITs”) and real estate companies. | |
TCW Growth Equities Fund | Seeks long-term capital appreciation by investing at least 80% of the value of its net assets in equity securities issued by companies with market capitalizations, at the time of acquisition, within the capitalization range of the companies comprising Russell Mid Cap Growth Index. | |
TCW High Dividend Equities Fund | Seeks high total return from current income and capital appreciation by investing at least 80% of the value of its net assets in equity securities listed on U.S. financial markets. | |
TCW Relative Value Dividend Appreciation Fund | Seeks to realize a high level of dividend income consistent with prudent investment management, with capital appreciation as a secondary objective, by investing at least 80% of the value of its net assets in equity securities of companies that have a record of paying dividends. | |
TCW Relative Value Large Cap Fund | Seeks capital appreciation, with a secondary goal of current income, by investing at least 80% of the value of its net assets in equity securities of companies with a market capitalization of greater than $1 billion at the time of purchase. | |
TCW Relative Value Mid Cap Fund | Seeks to provide long-term capital appreciation by investing at least 65% of the value of its net assets in equity securities issued by companies with market capitalizations at the time of acquisition, within the capitalization ranges of the companies comprising the Russell Mid Cap Value Index. |
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TCW Funds, Inc.
October 31, 2015 |
Note 1 — Organization (Continued)
TCW Fund | Investment Objective | |
TCW Select Equities Fund | Seeks to provide long-term capital appreciation by investing primarily in equity securities of mid- and large-capitalization companies. | |
TCW Small Cap Growth Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets in equity securities issued by companies with market capitalizations, at the time of acquisition, within the capitalization range of the companies comprising the Russell 2000 Growth Index | |
TCW SMID Cap Growth Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets in equity securities issued by companies with market capitalizations at the time of acquisition, within the capitalization range of companies comprising the Russell 2500 Growth Index. | |
Fund of Funds | ||
TCW Conservative Allocation Fund | Seeks to provide current income and, secondarily, long-term capital appreciation by investing in a combination of fixed income funds and equity funds that utilize diverse investment styles such as growth and/or value investing. The Fund invests between 20% and 60% of its net assets in equity funds and between 40% and 80% in fixed income funds. The Fund also invests in ETFs and ETNs. |
All Funds offer two classes of shares: I Class and N Class. The Classes are substantially the same except that the N Class shares are subject to a distribution fee.
The TCW Conservative Allocation Fund invests in other TCW Funds and in Metropolitan West Funds which are affiliated funds.
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies which are in conformity with accounting principles generally accepted in the United States of America and which are consistently followed by the Funds in the preparation of their financial statements.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes. Each Fund is considered an investment company under the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) No. 946, Financial Services — Investment Companies.
Net Asset Value: The net asset value per share (“NAV”) of each class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that class on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market are valued using official closing prices as reported by NASDAQ. All other securities for which over-the-counter (“OTC”) market
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
quotations are readily available, including short-term securities, are valued with prices furnished by independent pricing services or by broker dealers. Options are valued at the last reported sales price or the mean of the current bid and asked prices if there are no sales in the trading period. Open-end mutual funds are valued based on the NAV as reported by those mutual fund companies.
The Company has adopted, after the approval by the Company’s Board of Directors, a fair valuation methodology for foreign equity securities (exclusive of certain Latin American and Canadian equity securities). This methodology is designed to address the effect of movements in the U.S. market on the securities traded on foreign exchanges that have been closed for a period of time due to time zone difference. The utilization of the fair value model may result in the adjustment of prices taking into account fluctuations in the U.S. market. The fair value model is utilized each trading day and not dependent on certain thresholds or triggers.
Securities for which market quotations are not readily available, including circumstances under which the prices received are not reflective of a security’s market value, are valued by the Advisor in good faith under procedures established by and under the general supervision of the Company’s Board of Directors.
Fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under the accounting principles generally accepted in the United States of America (“GAAP”), the Funds disclose investments in their financial statements a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value based on inputs. Inputs that go into fair value measurement refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below
Level 1 — | quoted prices in active markets for identical investments | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent
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TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
Fair Value Measurements: A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities: Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are generally categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Certain foreign securities that are fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets and are categorized in Level 2 of the fair value hierarchy.
Exchange-traded funds. Exchange-traded funds are generally valued based on quoted prices from the applicable exchange. They are categorized in Level 1 of the fair value hierarchy.
Master Limited Partnerships. Master Limited Partnerships are generally valued based on quoted prices from the applicable exchange. They are categorized in Level 1 of the fair value hierarchy.
Mutual Funds. Open-end Mutual funds are valued using the net asset value as reported by the fund companies. As such, they are categorized in Level 1.
Options contracts. Exchange listed option contracts traded on securities exchanges are fair valued using quoted prices from the applicable exchange; as such, they are categorized in Level 1. Option contracts traded OTC are fair valued based on pricing models and incorporate various inputs such as interest rate, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-money contracts on a given strike price. To the extent that these inputs are observable and timely, the fair value of OTC option contracts would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
Restricted securities. Restricted securities held in non-public entities, including illiquid Rule 144A securities, are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on observability of the inputs.
The Funds, with the exception of the TCW Global Real Estate Fund, categorized their investments at Level 1, with the corresponding industries as represented in the Schedule of Investments, as of October 31, 2015.
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
The following is a summary of the inputs used of as of October 31, 2015 in valuing the TCW Global Real Estate Fund.
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Household Durables | $ | 410,609 | $ | — | $ | — | $ | 410,609 | ||||||||
Internet Software & Services | 74,466 | — | — | 74,466 | ||||||||||||
REIT | 2,598,220 | 989,929 | — | 3,588,149 | ||||||||||||
Real Estate Management & Development | 1,646 | 504,660 | — | 506,306 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 3,084,941 | 1,494,589 | — | 4,579,530 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
REIT | 83,386 | — | — | 83,386 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 83,386 | — | — | 83,386 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 173,014 | — | — | 173,014 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,341,341 | $ | 1,494,589 | $ | — | $ | 4,835,930 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Written Options | ||||||||||||||||
Equity Risk | $ | (2,869 | ) | $ | — | $ | — | $ | (2,869 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,869 | ) | $ | — | $ | — | $ | (2,869 | ) | ||||||
|
|
|
|
|
|
|
|
The Funds held no investments or other financial instruments at October 31, 2015 for which fair value was calculated using Level 3 inputs.
The Funds did not have any transfers in and out of Level 1 and Level 2 of the fair value hierarchy for the year ended October 31, 2015.
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification. Distributions received from real estate investment trust securities may include return of capital. Such distributions reduce the cost basis of those investments. Distributions received, if any, in excess of the cost basis of a security is recognized as capital gain.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) the market value of foreign securities, and other assets and liabilities stated in foreign currencies, are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of
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TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
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. 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, 2015, the TCW Global Real Estate Fund and the TCW High Dividend Equities Fund had the following derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Notional Amounts or Shares/Units):
Equity Risk | Total | |||||||
TCW Global Real Estate Fund | ||||||||
Statements of Asset and Liabilities: | ||||||||
Liability Derivatives | ||||||||
Written Options | $ | (3 | ) | $ | (3 | ) | ||
|
|
|
| |||||
Total Value | $ | (3 | ) | $ | (3 | ) | ||
|
|
|
| |||||
Statement of Operations: | ||||||||
Realized Gain (Loss) on | ||||||||
Investments (1) | $ | (1 | ) | $ | (1 | ) | ||
Written Options | 9 | 9 | ||||||
|
|
|
| |||||
Total Realized Gain | $ | 8 | $ | 8 | ||||
|
|
|
| |||||
Change in Unrealized Appreciation on: | ||||||||
Written Options | $ | 1 | $ | 1 | ||||
|
|
|
| |||||
Total Change in Unrealized Appreciation | $ | 1 | $ | 1 | ||||
|
|
|
| |||||
Number of Contracts (2) | ||||||||
Purchased Options | 6 | 6 | ||||||
Written Options | 31 | 31 |
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Equity Risk | Total | |||||||
TCW High Dividend Equities Fund | ||||||||
Statements of Asset and Liabilities: | ||||||||
Liability Derivatives | ||||||||
Written Options | $ | (5 | ) | $ | (5 | ) | ||
|
|
|
| |||||
Total Value | $ | (5 | ) | $ | (5 | ) | ||
|
|
|
| |||||
Statement of Operations: | ||||||||
Realized Gain on | ||||||||
Written Options | $ | 10 | $ | 10 | ||||
|
|
|
| |||||
Total Realized Gain | $ | 10 | $ | 10 | ||||
|
|
|
| |||||
Change in Unrealized Appreciation on: | ||||||||
Written Options | $ | — | (3) | $ | — | (3) | ||
|
|
|
| |||||
Total Change in Unrealized Appreciation | $ | — | $ | — | ||||
|
|
|
| |||||
Number of Contracts (2) | ||||||||
Written Options | 10 | 10 |
(1) | Represents realized loss for purchased options. |
(2) | Amount disclosed represents average number of contracts, which is representative of the volume traded for the year ended October 31, 2015. |
(3) | Amount rounds to less than $1. |
Options: The Funds may purchase and sell put and call options on an index of securities to enhance investment performance and to protect against changes in market prices. The Funds may also enter into currency options to hedge against currency fluctuations.
A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If a Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund ultimately wants to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit a Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses. Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to
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TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. During the year ended October 31, 2015, the TCW Global Real Estate Fund and the TCW High Dividend Equities Fund had written options. Open written options are listed on the Schedule of Investments.
Transactions in written option contracts for the year ended October 31, 2015, were as follows:
TCW Global Real Estate Fund | Call Contracts | Call Premiums | ||||||
Options outstanding at December 1, 2014 (Commencement of Operations) | — | $ | — | |||||
Options written | 163 | 14,742 | ||||||
Options terminated in closing purchase transactions | (1 | ) | (364 | ) | ||||
Options exercised | (7 | ) | (1,269 | ) | ||||
Options expired | (115 | ) | (8,945 | ) | ||||
|
|
|
| |||||
Options outstanding at October 31, 2015 | 40 | $ | 4,164 | |||||
|
|
|
| |||||
TCW High Dividend Equities Fund | Call Contracts | Call Premiums | ||||||
Options outstanding at December 1, 2014 (Commencement of Operations) | — | $ | — | |||||
Options written | 87 | 26,536 | ||||||
Options terminated in closing purchase transactions | (15 | ) | (5,834 | ) | ||||
Options exercised | (24 | ) | (10,935 | ) | ||||
Options expired | (22 | ) | (4,414 | ) | ||||
|
|
|
| |||||
Options outstanding at October 31, 2015 | 26 | $ | 5,353 | |||||
|
|
|
|
When-Issued, Delayed-Delivery and Forward Commitment Transactions: The Funds, with the exception of the TCW Conservative Allocation Fund, may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If the Fund’s counterparty fails to deliver a security purchased on a when issued, delayed delivery or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate with market conditions. In addition, because a Fund is not required to pay for when-issued, delayed-delivery or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not maintain liquid assets equal to the face amount of the contract. To guard against the deemed leverage, the Fund monitors the obligations under these transactions and ensures that the Fund has sufficient liquid assets to cover them.
Repurchase Agreements: The Funds may enter into Repurchase Agreements, under the terms of a Master Repurchase Agreement (“MRA”). The MRA permits each Fund, under certain circumstances including an
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Funds receive securities as collateral with a market value in excess of the repurchase price to be received by the Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund recognizes a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty. There were no repurchase agreements outstanding as of October 31, 2015.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral In short-term investments. The Funds did not lend any securities during the year ended October 31, 2015.
Allocation of Operating Activity for Multiple Classes Investment income, common expenses and realized and unrealized gains and losses are allocated among the classes of shares of the Funds based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of the class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class specific fees and expenses will result in differences in net investment income for each class, and in turn differences in dividends paid by each class.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Global Real Estate Fund, the TCW High Dividend Equities Fund and the TCW Relative Value Dividend Appreciation Fund declare and pay, or reinvest, dividends from net investment income quarterly. The other Equity Funds and TCW Conservative Allocation Fund declare and pay, or reinvest, dividends from net investment income annually. Capital gains realized by a Fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for foreign currency transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax 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. Such distributions reduce the cost basis of the respective securities. Distributions, if any, in excess of the cost basis of a security are recognized as capital gain.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
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Note 3 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of the Funds’ investment portfolio, the greater the change in value.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower-rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties.
Investment Style Risk: Certain Funds may also be subject to investment style risk. The Advisor’s investment styles may be out of favor at times or may not produce the best results over short or longer time periods and may increase the volatility of a Fund’s share price.
Equity Risk: Equity securities may include common stock, preferred stock or other securities representing an ownership interest of the right to acquire an ownership interest in an issuer. Equity risk is the risk that stocks and other equity securities generally fluctuate in value more than bonds and can decline in value over short or extended periods. The value of stocks and other equity securities will be affected by changes in a company’s financial condition and in overall market, economic and political conditions.
The exposure to credit and counterparty risks with respect to these financial assets is reflected in fair value recorded in the Funds’ Statements of Assets and Liabilities.
For complete information on the various risks involved, please refer to the Funds’ prospectus and the Statement of Additional Information which can be obtained on the Funds’ website (www.tcw.com) or by calling the customer service.
Note 4 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
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Notes to Financial Statements (Continued)
Note 4 — Federal Income Taxes (Continued)
For the years ended October 31, 2015 and 2014, the Fund below realized on a tax basis, the following net realized loss on security transactions (amounts in thousands):
Net Realized Loss | ||||||||
2015 | 2014 | |||||||
TCW High Dividend Equities Fund | $ | 226 | $ | — |
At October 31, 2015, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Concentrated Value Fund | $ | 59 | $ | — | $ | 59 | ||||||
TCW Conservative Allocation Fund | 238 | 729 | 967 | |||||||||
TCW Global Real Estate Fund | 6 | 1 | 7 | |||||||||
TCW Growth Equities Fund | — | 3,201 | 3,201 | |||||||||
TCW High Dividend Equities Fund | 3 | — | 3 | |||||||||
TCW Relative Value Large Cap Fund | 6,336 | 26,895 | 33,231 | |||||||||
TCW Relative Value Mid Cap Fund | 80 | 13,512 | 13,592 | |||||||||
TCW Select Equities Fund | 12,885 | 124,880 | 137,765 | |||||||||
TCW Small Cap Growth Fund | — | 21,447 | 21,447 | |||||||||
TCW SMID Cap Growth Fund | — | 1,881 | 1,881 |
For the prior fiscal year ended October 31, 2014, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Concentrated Value Fund | $ | 35 | $ | — | $ | 35 | ||||||
TCW Conservative Allocation Fund | 109 | 240 | 349 | |||||||||
TCW Growth Equities Fund | 499 | 2,009 | 2,508 | |||||||||
TCW Relative Value Large Cap Fund | 5,420 | — | 5,420 | |||||||||
TCW Relative Value Mid Cap Fund | — | 16,422 | 16,422 | |||||||||
TCW Select Equities Fund | 3,368 | 54,121 | 57,489 | |||||||||
TCW Small Cap Growth Fund | 5,596 | 18,863 | 24,459 | |||||||||
TCW SMID Cap Growth Fund | — | 1,486 | 1,486 |
Permanent differences incurred during the year ended October 31, 2015, 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 (amounts in thousands):
Undistributed Net Investment Income (Loss) | Undistributed (Accumulated) Net Realized Gain (Loss) | Paid-in Capital | ||||||||||
TCW Concentrated Value Fund | $ | 1 | $ | (1 | ) | $ | — | |||||
TCW Conservative Allocation Fund | 139 | (228 | ) | 89 | ||||||||
TCW Global Real Estate Fund | (2 | ) | 2 | — | (1) | |||||||
TCW Growth Equities Fund | — | (1) | (964 | ) | 964 | |||||||
TCW High Dividend Equities Fund | — | (1) | — | (1) | — | (1) | ||||||
TCW Relative Value Dividend Appreciation Fund | (1,334 | ) | 1,814 | (480 | ) | |||||||
TCW Relative Value Large Cap Fund | (158 | ) | (2,929 | ) | 3,087 | |||||||
TCW Relative Value Midcap Fund | (275 | ) | 4,351 | (4,076 | ) | |||||||
TCW Select Equities Fund | 1,867 | (23,764 | ) | 21,897 | ||||||||
TCW Small Cap Growth Fund | 1,364 | (4,651 | ) | 3,287 | ||||||||
TCW SMID Cap Growth Fund | 420 | (433 | ) | 13 |
(1) | Amount rounds to less than 1 |
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October 31, 2015 |
Note 4 — Federal Income Taxes (Continued)
During the year ended October 31, 2015, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Concentrated Value Fund | $ | 51 | $ | — | $ | 51 | ||||||
TCW Conservative Allocation Fund | 336 | 162 | 498 | |||||||||
TCW Global Real Estate Fund | 47 | — | 47 | |||||||||
TCW Growth Equities Fund | 499 | 2,010 | 2,509 | |||||||||
TCW High Dividend Equities Fund | 97 | — | 97 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 16,258 | — | 16,258 | |||||||||
TCW Relative Value Large Cap Fund | 6,989 | — | 6,989 | |||||||||
TCW Relative Value Mid Cap Fund | 596 | 16,425 | 17,021 | |||||||||
TCW Select Equities Fund | 3,370 | 54,127 | 57,497 | |||||||||
TCW Small Cap Growth Fund | 8,498 | 18,893 | 27,391 | |||||||||
TCW SMID Cap Growth Fund | — | 1,486 | 1,486 |
During the prior fiscal year ended October 31, 2014, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Concentrated Value Fund | $ | 40 | $ | — | $ | 40 | ||||||
TCW Conservative Allocation Fund | 525 | — | 525 | |||||||||
TCW Growth Equities Fund | 2,263 | 8,135 | 10,398 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 15,627 | — | 15,627 | |||||||||
TCW Relative Value Large Cap Fund | 7,664 | — | 7,664 | |||||||||
TCW Relative Value Mid Cap Fund | 1,122 | 12,890 | 14,012 | |||||||||
TCW Select Equities Fund | 1,245 | 54,541 | 55,786 | |||||||||
TCW Small Cap Growth Fund | — | 37,957 | 37,957 |
At October 31, 2015, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows (amounts in thousands):
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Concentrated Value Fund | $ | 886 | $ | (353 | ) | $ | 533 | $ | 10,238 | |||||||
TCW Conservative Allocation Fund | 4,328 | (521 | ) | 3,807 | 30,914 | |||||||||||
TCW Global Real Estate Fund | 126 | (170 | ) | (44 | ) | 4,880 | ||||||||||
TCW Growth Equities Fund | 3,708 | (1,000 | ) | 2,708 | 13,029 | |||||||||||
TCW High Dividend Equities Fund | 42 | (390 | ) | (348 | ) | 4,791 | ||||||||||
TCW Relative Value Dividend Appreciation Fund | 228,551 | (19,843 | ) | 208,708 | 844,576 | |||||||||||
TCW Relative Value Large Cap Fund | 211,170 | (18,983 | ) | 192,187 | 503,207 | |||||||||||
TCW Relative Value Midcap Fund | 22,890 | (9,717 | ) | 13,173 | 99,905 | |||||||||||
TCW Select Equities Fund | 730,113 | (1,957 | ) | 728,156 | 1,190,178 | |||||||||||
TCW Small Cap Growth Fund | 21,362 | (9,140 | ) | 12,222 | 105,590 | |||||||||||
TCW SMID Cap Growth Fund | 6,262 | (1,636 | ) | 4,626 | 28,145 |
At October 31, 2015, the following Funds had net realized loss carryforwards for federal income tax purposes. These losses were incurred in taxable years prior to December 22, 2010 (amounts in thousands).
Expiring in 2016 | Expiring in 2017 | |||||||
TCW Concentrated Value Fund | $ | — | $ | 6,357 | ||||
TCW Relative Value Dividend Appreciation Fund | — | 95,517 | ||||||
TCW Relative Value Midcap Fund (1) | 690 | — |
(1) | Utilization of the loss subject to limitations under Section 382 of the Internal Revenue Code. |
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Notes to Financial Statements (Continued)
Note 4 — Federal Income Taxes (Continued)
Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in the pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
The following Fund had net realized loss that will be carried forward indefinitely for federal income tax purposes (amounts in thousands):
Short-Term Capital Losses | ||||
TCW High Dividend Equities Fund | $ | 226 |
The Funds did not have any unrecognized tax benefits at October 31, 2015, nor were there any increases or decreases in unrecognized tax benefits for the year ended October 31, 2015. The Funds are subject to examination by the U.S. Federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively
Note 5 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net asset value:
TCW Concentrated Value Fund | 0.65% | |||
TCW Global Real Estate Fund | 0.80% | |||
TCW Growth Equities Fund | 1.00% | |||
TCW High Dividend Equities Fund | 0.65% | |||
TCW Relative Value Dividend Appreciation Fund | 0.75% | |||
TCW Relative Value Large Cap Fund | 0.75% | |||
TCW Relative Value Mid Cap Fund | 0.80% | |||
TCW Select Equities Fund | 0.75% | |||
TCW Small Cap Growth Fund | 1.00% | |||
TCW SMID Cap Growth Fund | 1.00% |
The TCW Conservative Allocation Fund does not pay management fees to the Advisor; however, the Fund pays management fees to the Advisor indirectly, as a shareholder in the affiliated funds.
In addition to the management fees, the Funds reimburse, with approval by the Company’s Board of Directors, a portion of the Advisor’s costs associated with operating the Funds’ Rule 38a-1 compliance program. These amounts are included in the Statements of Operations.
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Note 5 — Fund Management Fees and Other Expenses (Continued)
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets:
TCW Concentrated Value Fund | ||||
I Class | 1.09% | (1) | ||
N Class | 1.09% | (1) | ||
TCW Conservative Allocation Fund | ||||
I Class | 0.85% | (1) | ||
N Class | 0.85% | (1) | ||
TCW Global Real Estate Fund | ||||
I Class | 1.46% | (1) | ||
N Class | 1.46% | (1) | ||
TCW Growth Equities Fund | ||||
I Class | 1.20% | (1) | ||
N Class | 1.20% | (1) | ||
TCW High Dividend Equities Fund | ||||
I Class | 1.18% | (1) | ||
N Class | 1.18% | (1) | ||
TCW Relative Value Dividend Appreciation Fund | ||||
I Class | 1.17% | (2) | ||
N Class | 1.17% | (2) | ||
TCW Relative Value Large Cap Fund | ||||
I Class | 1.16% | (2) | ||
N Class | 1.16% | (2) | ||
TCW Relative Value Mid Cap Fund | ||||
I Class | 1.21% | (1) | ||
N Class | 1.21% | (1) | ||
TCW Select Equities Fund | ||||
I Class | 1.17% | (2) | ||
N Class | 1.17% | (2) | ||
TCW Small Cap Growth Fund | ||||
I Class | 1.36% | (2) | ||
N Class | 1.36% | (2) | ||
TCW SMID Cap Growth Fund | ||||
I Class | 1.20% | (1) | ||
N Class | 1.20% | (1) |
(1) | These limitations are based on an agreement between the Advisor and the Company. |
(2) | Limitations based on average expense ratio as reported by Lipper, Inc., which is subject to change on a monthly basis. This ratio was in effect as of October 31, 2015. These limitations are voluntary and terminable in a six month notice. |
The amount borne by the Advisor during a fiscal year when the operating expenses of a Fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop below the expense limitation in the subsequent years. The Advisor can only recapture expenses within a given fiscal year for that year’s operating expenses.
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which are shown on the Statement of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Deferred compensation is included within Directors’ fees and expenses in the Statements of Assets and Liabilities.
Note 6 — Distribution Plan
TCW Funds Distributors (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to
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Notes to Financial Statements (Continued)
Note 6 — Distribution Plan (Continued)
Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 7 — Transactions with Affiliates
The summary of TCW Conservative Allocation Fund transactions in the affiliated funds for the year ended October 31, 2015 is as follows:
Name of Affiliated Fund | Number of Shares Held Beginning of Year | Gross Additions | Gross Reductions | Number of Shares Held End of Year | Value at End of Year (In Thousands) | Dividends and Interest Income Received (In Thousands) | Distributions Received from Net Realized Gain (In thousands) | |||||||||||||||||||||
Metropolitan West Total Return Bond Fund—I Class | 554,686 | 202,787 | (68,879 | ) | 688,594 | $ | 7,451 | $ | 117 | $ | 15 | |||||||||||||||||
TCW Global Real Estate Fund—I Class | — | 147,980 | (13,813 | ) | 134,167 | 1,303 | 21 | — | ||||||||||||||||||||
TCW Growth Equities Fund—I Class | 115,248 | 34,120 | (82,779 | ) | 66,589 | 742 | — | 155 | ||||||||||||||||||||
TCW High Dividend Equities Fund—I Class | — | 183,736 | (17,038 | ) | 166,698 | 1,499 | 24 | — | ||||||||||||||||||||
TCW Relative Value Large Cap Fund—I Class | 223,994 | 42,288 | (81,267 | ) | 185,015 | 4,068 | 48 | — | ||||||||||||||||||||
TCW Relative Value Mid Cap Fund—I Class | 60,457 | 18,062 | (53,539 | ) | 24,980 | 560 | 7 | 184 | ||||||||||||||||||||
TCW Select Equities Fund—I Class | 268,965 | 58,305 | (82,924 | ) | 244,346 | 7,245 | — | 224 | ||||||||||||||||||||
TCW Total Return Bond Fund—I Class | 814,503 | 366,959 | (101,639 | ) | 1,079,823 | 11,101 | 198 | 32 | ||||||||||||||||||||
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|
|
|
| |||||||||||||||||||||||
Total | $ | 33,969 | $ | 415 | $ | 610 | ||||||||||||||||||||||
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|
|
|
|
The ownership percentage of TCW Conservative Allocation Fund in each of the affiliated underlying funds at October 31, 2015 is as follows:
Name of Affiliated Fund | Ownership Percentage (1) | |||
Metropolitan West Total Return Bond Fund | 0.01% | |||
TCW Global Real Estate Fund | 26.97% | |||
TCW Growth Equities Fund | 4.74% | |||
TCW High Dividend Equities Fund | 33.47% | |||
TCW Relative Value Large Cap Fund | 0.59% | |||
TCW Relative Value Mid Cap Fund | 0.50% | |||
TCW Select Equities Fund | 0.38% | |||
TCW Total Return Bond Fund | 0.13% |
(1) | Percentage ownership based on total net assets of the underlying fund. |
The financial statements of the Metropolitan West Total Return Bond Fund and the TCW Total Return Bond Fund are available by calling 800-FUND-TCW (800-386-3829) or by going to the SEC website at www.sec.gov. Financial statements for the remaining underlying funds are included in this report.
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October 31, 2015 |
Note 8 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the year ended October 31, 2015, were as follows (amounts in thousands):
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Concentrated Value Fund | $ | 10,404 | $ | 11,156 | $ | — | $ | — | ||||||||
TCW Conservative Allocation Fund | 13,218 | 9,776 | — | — | ||||||||||||
TCW Global Real Estate Fund | 5,191 | 482 | — | — | ||||||||||||
TCW Growth Equities Fund | 12,824 | 23,740 | — | — | ||||||||||||
TCW High Dividend Equities Fund | 7,682 | 2,931 | — | — | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 197,551 | 263,264 | — | — | ||||||||||||
TCW Relative Value Large Cap Fund | 149,902 | 189,569 | — | — | ||||||||||||
TCW Relative Value Midcap Fund | 30,697 | 54,076 | — | — | ||||||||||||
TCW Select Equities Fund | 470,402 | 671,867 | — | — | ||||||||||||
TCW Small Cap Growth Fund | 117,279 | 172,482 | — | — | ||||||||||||
TCW SMID Cap Growth Fund | 25,724 | 42,507 | — | — |
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Concentrated Value Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 248,452 | $ | 4,959 | 136,189 | $ | 2,464 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,992 | 41 | 2,110 | 36 | ||||||||||||
Shares Redeemed | (282,615 | ) | (5,720 | ) | (99,718 | ) | (1,749 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (32,171 | ) | $ | (720 | ) | 38,581 | $ | 751 | ||||||||
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| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 123,883 | $ | 2,456 | 60,228 | $ | 1,087 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 453 | 9 | 251 | 4 | ||||||||||||
Shares Redeemed | (142,926 | ) | (2,846 | ) | (24,415 | ) | (425 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (18,590 | ) | $ | (381 | ) | 36,064 | $ | 666 | ||||||||
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| |||||||||
TCW Conservative Allocation Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 458,599 | $ | 5,727 | 638,319 | $ | 7,515 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 39,547 | 484 | 41,922 | 491 | ||||||||||||
Shares Redeemed | (297,993 | ) | (3,703 | ) | (493,402 | ) | (5,793 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Net Increase | 200,153 | $ | 2,508 | 186,839 | $ | 2,213 | ||||||||||
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|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 359,303 | $ | 4,480 | 7,837 | $ | 92 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 632 | 8 | 1,083 | 13 | ||||||||||||
Shares Redeemed | (275,435 | ) | (3,444 | ) | (32,810 | ) | (389 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 84,500 | $ | 1,044 | (23,890 | ) | $ | (284 | ) | ||||||||
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Notes to Financial Statements (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW Global Real Estate Fund | December 1, 2014 (Commencement of Operations) through October 31, 2015 | |||||||||||||||
I Class | Shares | Amount (in thousands) | ||||||||||||||
Shares Sold | 458,267 | $ | 4,477 | |||||||||||||
Shares Issued upon Reinvestment of Dividends | 3,584 | 35 | ||||||||||||||
Shares Redeemed | (16,758) | (169) | ||||||||||||||
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|
| |||||||||||||
Net Increase | 445,093 | $ | 4,343 | |||||||||||||
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|
| |||||||||||||
N Class | Shares | Amount (in thousands) | ||||||||||||||
Shares Sold | 51,405 | $ | 514 | |||||||||||||
Shares Issued upon Reinvestment of Dividends | 1,188 | 11 | ||||||||||||||
Shares Redeemed | — | — | ||||||||||||||
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| |||||||||||||
Net Increase | 52,593 | $ | 525 | |||||||||||||
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| |||||||||||||
TCW Growth Equities Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 96,539 | $ | 1,198 | 340,335 | $ | 4,739 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 160,008 | 1,920 | 592,022 | 7,643 | ||||||||||||
Shares Redeemed | (834,043) | (10,123) | (529,465) | (7,748) | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (577,496) | $ | (7,005) | 402,892 | $ | 4,634 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 29,125 | $ | 353 | 70,713 | $ | 945 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 41,507 | 494 | 176,825 | 2,269 | ||||||||||||
Shares Redeemed | (164,135) | (2,016) | (176,507) | (2,317) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (93,503) | $ | (1,169) | 71,031 | $ | 897 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW High Dividend Equities Fund | December 1, 2014 (Commencement of Operations) through October 31, 2015 | |||||||||||||||
I Class | Shares | Amount (in thousands) | ||||||||||||||
Shares Sold | 452,841 | $ | 4,598 | |||||||||||||
Shares Issued upon Reinvestment of Dividends | 6,033 | 57 | ||||||||||||||
Shares Redeemed | (17,038) | (176) | ||||||||||||||
|
|
|
| |||||||||||||
Net Increase | 441,836 | $ | 4,479 | |||||||||||||
|
|
|
| |||||||||||||
N Class | Shares | Amount (in thousands) | ||||||||||||||
Shares Sold | 59,709 | $ | 598 | |||||||||||||
Shares Issued upon Reinvestment of Dividends | 1,477 | 14 | ||||||||||||||
Shares Redeemed | (4,582) | (42) | ||||||||||||||
|
|
|
| |||||||||||||
Net Increase | 56,604 | $ | 570 | |||||||||||||
|
|
|
|
94
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 9 — Capital Share Transactions (Continued)
TCW Relative Value Dividend Appreciation Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,575,298 | $ | 26,538 | 3,552,551 | $ | 56,549 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 183,083 | 3,014 | 183,900 | 2,981 | ||||||||||||
Shares Redeemed | (2,794,008) | (46,745) | (3,708,625) | (58,828) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (1,035,627) | $ | (17,193) | 27,826 | $ | 702 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 8,160,662 | $ | 139,279 | 14,048,501 | $ | 225,770 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 769,641 | 12,885 | 741,128 | 12,266 | ||||||||||||
Shares Redeemed | (13,622,511) | (233,066) | (15,532,451) | (253,229) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (4,692,208) | $ | (80,902) | (742,822) | $ | (15,193) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Large Cap Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 5,555,127 | $ | 125,156 | 9,430,786 | $ | 198,832 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 290,398 | 6,627 | 329,438 | 6,730 | ||||||||||||
Shares Redeemed | (7,174,838) | (161,855) | (5,982,918) | (127,164) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (1,329,313) | $ | (30,072) | 3,777,306 | $ | 78,398 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 189,992 | $ | 4,291 | 1,394,553 | $ | 29,254 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 9,147 | 208 | 38,905 | 795 | ||||||||||||
Shares Redeemed | (396,847) | (8,884) | (3,972,849) | (85,386) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (197,708) | $ | (4,385) | (2,539,391) | $ | (55,337) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Midcap Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 338,696 | $ | 8,340 | 843,826 | $ | 22,252 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 547,757 | 13,217 | 385,371 | 9,842 | ||||||||||||
Shares Redeemed | (1,038,994) | (25,030) | (1,363,414) | (36,554) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (152,541) | $ | (3,473) | (134,217) | $ | (4,460) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 53,145 | $ | 1,279 | 157,263 | $ | 4,077 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 136,665 | 3,227 | 146,281 | 3,667 | ||||||||||||
Shares Redeemed | (387,910) | (8,873) | (626,900) | (16,226) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (198,100) | $ | (4,367) | (323,356) | $ | (8,482) | ||||||||||
|
|
|
|
|
|
|
|
95
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW Select Equities Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 15,387,856 | $ | 425,189 | 24,192,812 | $ | 612,787 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 749,179 | 19,883 | 768,879 | 19,314 | ||||||||||||
Shares Redeemed | (21,518,847) | (589,395) | (18,003,954) | (456,034) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (5,381,812) | $ | (144,323) | 6,957,737 | $ | 176,067 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,438,725 | $ | 90,685 | 2,177,573 | $ | 52,057 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 273,878 | 6,858 | 533,793 | 12,710 | ||||||||||||
Shares Redeemed | (2,890,875) | (74,541) | (9,738,846) | (233,999) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 821,728 | $ | 23,002 | (7,027,480) | $ | (169,232) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Small Cap Growth Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 400,913 | $ | 11,955 | 1,484,889 | $ | 47,783 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 741,101 | 21,432 | 594,180 | 20,000 | ||||||||||||
Shares Redeemed | (1,918,943) | (57,718) | (2,472,858) | (83,083) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (776,929) | $ | (24,331) | (393,789) | $ | (15,300) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 109,577 | $ | 3,096 | 292,175 | $ | 9,222 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 190,980 | 5,160 | 516,641 | 16,460 | ||||||||||||
Shares Redeemed | (388,399) | (10,847) | (3,321,176) | (103,304) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (87,842) | $ | (2,591) | (2,512,360) | $ | (77,622) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW SMID Cap Growth Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 25,944 | $ | 387 | 218,062 | $ | 3,238 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 47,296 | 696 | — | — | ||||||||||||
Shares Redeemed | (1,185,485) | (16,748) | (488,310) | (7,190) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,112,245) | $ | (15,665) | (270,248) | $ | (3,952) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 325 | $ | 5 | 4,943 | $ | 76 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 50,973 | 750 | — | — | ||||||||||||
Shares Redeemed | (2,987) | (45) | (20,537) | (298) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 48,311 | $ | 710 | (15,594) | $ | (222) | ||||||||||
|
|
|
|
|
|
|
|
96
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 10 — Restricted Securities
The Funds are permitted to invest in securities that are subject to legal or contractual restrictions on resale. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities at October 31, 2015, other than those determined to be liquid under the Funds’ policies and procedures.
Note 11 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by any Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act of 1933, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
Note 12 — Recently Issued Accounting Pronouncements
In June 2014, FASB issued Accounting Standards Update No. 2014-11, Transfers & Servicing (Topic 860): “Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures” (“ASU 2014-11”) to improve the financial reporting of repurchase agreements and other similar transactions. ASU 2014-11 includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. ASU 2014-11 is effective for annual reporting periods beginning after December 15, 2014 and interim periods beginning after December 15, 2015. Management is currently evaluating the implications of these changes and their impact on the financial statements.
97
Table of Contents
TCW Concentrated Value Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 19.37 | $ | 16.02 | $ | 12.20 | $ | 10.83 | $ | 10.99 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.09 | 0.08 | 0.05 | 0.04 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.04 | 3.34 | 3.86 | 1.36 | (0.17 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.16 | 3.43 | 3.94 | 1.41 | (0.13 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.08 | ) | (0.12 | ) | (0.04 | ) | (0.03 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 19.45 | $ | 19.37 | $ | 16.02 | $ | 12.20 | $ | 10.83 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 0.79% | 21.46% | 32.67% | 12.94% | (1.23)% | |||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 9,386 | $ | 9,970 | $ | 7,628 | $ | 7,007 | $ | 22,496 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.46 | % | 1.60 | % | 1.95 | % | 1.19 | % | 0.96 | % | ||||||||||
After Expense Reimbursement | 1.09 | % | 1.11 | % | 1.14 | % | 1.19 | % | N/A | |||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.62 | % | 0.52 | % | 0.56 | % | 0.43 | % | 0.31 | % | ||||||||||
Portfolio Turnover Rate | 83.02 | % | 39.65 | % | 39.65 | % | 24.99 | % | 38.18 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
98
Table of Contents
TCW Concentrated Value Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 19.17 | $ | 15.85 | $ | 12.11 | $ | 10.71 | $ | 10.95 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.09 | 0.08 | 0.05 | 0.00 | (2) | ||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.04 | 3.31 | 3.82 | 1.35 | (0.24 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.16 | 3.40 | 3.90 | 1.40 | (0.24 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.08 | ) | (0.16 | ) | — | (0.00 | )(2) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 19.25 | $ | 19.17 | $ | 15.85 | $ | 12.11 | $ | 10.71 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 0.80 | % | 21.50 | % | 32.61 | % | 13.07 | % | (2.19 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 1,454 | $ | 1,804 | $ | 921 | $ | 861 | $ | 861 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 2.39 | % | 3.66 | % | 4.15 | % | 3.29 | % | 1.18 | % | ||||||||||
After Expense Reimbursement | 1.09 | % | 1.11 | % | 1.14 | % | 1.18 | % | N/A | |||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.63 | % | 0.50 | % | 0.58 | % | 0.45 | % | 0.01 | % | ||||||||||
Portfolio Turnover Rate | 83.02 | % | 39.65 | % | 39.65 | % | 24.99 | % | 38.18 | % |
(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.
99
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 12.24 | $ | 11.66 | $ | 10.91 | $ | 10.51 | $ | 10.79 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.13 | 0.11 | 0.22 | 0.32 | 0.21 | |||||||||||||||
Net Realized and Unrealized Gain on Investments | 0.33 | 0.67 | 0.79 | 0.51 | 0.17 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.46 | 0.78 | 1.01 | 0.83 | 0.38 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.14 | ) | (0.20 | ) | (0.26 | ) | (0.20 | ) | (0.19 | ) | ||||||||||
Distributions from Net Realized Gain | (0.06 | ) | — | — | (0.23 | ) | (0.47 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.20 | ) | (0.20 | ) | (0.26 | ) | (0.43 | ) | (0.66 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 12.50 | $ | 12.24 | $ | 11.66 | $ | 10.91 | $ | 10.51 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 3.88 | % | 6.66 | % | 9.42 | % | 8.35 | % | 3.63 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 33,909 | $ | 30,746 | $ | 27,121 | $ | 14,705 | $ | 11,356 | ||||||||||
Ratio of Expenses to Average Net Assets: (2) | ||||||||||||||||||||
Before Expense Reimbursement | 0.25 | % | 0.29 | % | 0.40 | % | 0.67 | % | 1.08 | % | ||||||||||
After Expense Reimbursement | N/A | N/A | N/A | N/A | 0.85 | % | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.01 | % | 0.94 | % | 1.96 | % | 2.98 | % | 1.97 | % | ||||||||||
Portfolio Turnover Rate | 30.24 | % | 40.56 | % | 57.98 | % | 59.12 | % | 93.92 | % |
(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.
100
Table of Contents
TCW Conservative Allocation Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 12.17 | $ | 11.61 | $ | 10.89 | $ | 10.51 | $ | 10.79 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.04 | 0.05 | 0.18 | 0.29 | 0.21 | |||||||||||||||
Net Realized and Unrealized Gain on Investments | 0.35 | 0.66 | 0.78 | 0.52 | 0.17 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.39 | 0.71 | 0.96 | 0.81 | 0.38 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.15 | ) | (0.24 | ) | (0.20 | ) | (0.19 | ) | ||||||||||
Distributions from Net Realized Gain | (0.06 | ) | — | — | (0.23 | ) | (0.47 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.12 | ) | (0.15 | ) | (0.24 | ) | (0.43 | ) | (0.66 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 12.44 | $ | 12.17 | $ | 11.61 | $ | 10.89 | $ | 10.51 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 3.31 | % | 6.07 | % | 8.97 | % | 8.09 | % | 3.63 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 1,876 | $ | 807 | $ | 1,047 | $ | 815 | $ | 1,149 | ||||||||||
Ratio of Expenses to Average Net Assets: (2) | ||||||||||||||||||||
Before Expense Reimbursement | 1.61 | % | 3.20 | % | 2.84 | % | 2.70 | % | 3.76 | % | ||||||||||
After Expense Reimbursement | 0.84 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.36 | % | 0.41 | % | 1.58 | % | 2.72 | % | 1.95 | % | ||||||||||
Portfolio Turnover Rate | 30.24 | % | 40.56 | % | 57.98 | % | 59.12 | % | 93.92 | % |
(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.
101
Table of Contents
TCW Global Real Estate Fund
Financial Highlights — I Class
December 1, 2014 (Commencement of Operations through October 31, 2015 | ||||
Net Asset Value per Share, Beginning of Year | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net Investment Income (1) | 0.21 | |||
Net Realized and Unrealized Loss on Investments | (0.27 | ) | ||
|
| |||
Total from Investment Operations | (0.06 | ) | ||
|
| |||
Less Distributions: | ||||
Distributions from Net Investment Income | (0.23 | ) | ||
|
| |||
Net Asset Value per Share, End of Year | $ | 9.71 | ||
|
| |||
Total Return | (0.62 | )% (2) | ||
Ratios/Supplemental Data: | ||||
Net Assets, End of Year (in thousands) | $ | 4,320 | ||
Ratio of Expenses to Average Net Assets: | ||||
Before Expense Reimbursement | 5.28 | % (3) | ||
After Expense Reimbursement | 1.43 | % (3) | ||
Ratio of Net Investment Income to Average Net Assets | 2.27 | % (3) | ||
Portfolio Turnover Rate | 23.58 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 1, 2014 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
102
Table of Contents
TCW Global Real Estate Fund
Financial Highlights — N Class
December 1, 2014 (Commencement of Operations through October 31, 2015 | ||||
Net Asset Value per Share, Beginning of Year | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net Investment Income (1) | 0.24 | |||
Net Realized and Unrealized Loss on Investments | (0.31 | ) | ||
|
| |||
Total from Investment Operations | (0.07 | ) | ||
|
| |||
Less Distributions: | ||||
Distributions from Net Investment Income | (0.23 | ) | ||
|
| |||
Net Asset Value per Share, End of Year | $ | 9.70 | ||
|
| |||
Total Return | (0.72 | )% (2) | ||
Ratios/Supplemental Data: | ||||
Net Assets, End of Year (in thousands) | $ | 510 | ||
Ratio of Expenses to Average Net Assets: | ||||
Before Expense Reimbursement | 9.21 | % (3) | ||
After Expense Reimbursement | 1.43 | % (3) | ||
Ratio of Net Investment Income to Average Net Assets | 2.58 | % (3) | ||
Portfolio Turnover Rate | 23.58 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 1, 2014 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
103
Table of Contents
TCW Growth Equities Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 13.10 | $ | 18.86 | $ | 13.87 | $ | 14.66 | $ | 13.95 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Loss (1) | (0.08 | ) | (0.08 | ) | (0.05 | ) | (0.08 | ) | (0.11 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.51 | ) | 1.32 | 5.24 | (0.15 | ) | 0.82 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.59 | ) | 1.24 | 5.19 | (0.23 | ) | 0.71 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | — | — | (0.02 | ) | — | — | ||||||||||||||
Distributions from Net Realized Gain | (1.36 | ) | (7.00 | ) | (0.18 | ) | (0.56 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (1.36 | ) | (7.00 | ) | (0.20 | ) | (0.56 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 11.15 | $ | 13.10 | $ | 18.86 | $ | 13.87 | $ | 14.66 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (5.26 | )% | 7.06 | % | 37.96 | % | (1.43 | )% | 5.09 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 12,176 | $ | 21,863 | $ | 23,891 | $ | 66,951 | $ | 91,091 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.47 | % | 1.42 | % | 1.32 | % | 1.21 | % | 1.20 | % | ||||||||||
After Expense Reimbursement | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | ||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.61 | )% | (0.61 | )% | (0.35 | )% | (0.54 | )% | (0.72 | )% | ||||||||||
Portfolio Turnover Rate | 58.06 | % | 49.03 | % | 78.65 | % | 48.75 | % | 50.74 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
104
Table of Contents
TCW Growth Equities Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 13.01 | $ | 18.79 | $ | 13.82 | $ | 14.61 | $ | 13.90 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Loss (1) | (0.08 | ) | (0.08 | ) | (0.06 | ) | (0.08 | ) | (0.11 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.49 | ) | 1.30 | 5.23 | (0.15 | ) | 0.82 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.57 | ) | 1.22 | 5.17 | (0.23 | ) | 0.71 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | — | — | (0.02 | ) | — | — | ||||||||||||||
Distributions from Net Realized Gain | (1.36 | ) | (7.00 | ) | (0.18 | ) | (0.56 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (1.36 | ) | (7.00 | ) | (0.20 | ) | (0.56 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 11.08 | $ | 13.01 | $ | 18.79 | $ | 13.82 | $ | 14.61 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (5.13 | )% | 7.02 | % | 37.93 | % | (1.44 | )% | 5.11 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 3,504 | $ | 5,335 | $ | 6,366 | $ | 9,865 | $ | 9,493 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 2.09 | % | 2.01 | % | 1.93 | % | 1.73 | % | 1.73 | % | ||||||||||
After Expense Reimbursement | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | ||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.62 | )% | (0.61 | )% | (0.36 | )% | (0.53 | )% | (0.73 | )% | ||||||||||
Portfolio Turnover Rate | 58.06 | % | 49.03 | % | 78.65 | % | 48.75 | % | 50.74 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
105
Table of Contents
TCW High Dividend Equities Fund
Financial Highlights — I Class
December 1, 2014 (Commencement of Operations through October 31, 2015 | ||||
Net Asset Value per Share, Beginning of Year | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net Investment Income (1) | 0.27 | |||
Net Realized and Unrealized Loss on Investments | (1.03 | ) | ||
|
| |||
Total from Investment Operations | (0.76 | ) | ||
|
| |||
Less Distributions: | ||||
Distributions from Net Investment Income | (0.26 | ) | ||
|
| |||
Net Asset Value per Share, End of Year | $ | 8.98 | ||
|
| |||
Total Return | (7.66 | )% (2) | ||
Ratios/Supplemental Data: | ||||
Net Assets, End of Year (in thousands) | $ | 3,969 | ||
Ratio of Expenses to Average Net Assets: | ||||
Before Expense Reimbursement | 3.28 | % (3) | ||
After Expense Reimbursement | 1.17 | % (3) | ||
Ratio of Net Investment Income to Average Net Assets | 2.94 | % (3) | ||
Portfolio Turnover Rate | 89.39 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 1, 2014 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
106
Table of Contents
TCW High Dividend Equities Fund
Financial Highlights — N Class
December 1, 2014 (Commencement of Operations through October 31, 2015 | ||||
Net Asset Value per Share, Beginning of Year | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net Investment Income(1) | 0.28 | |||
Net Realized and Unrealized Loss on Investments | (1.04 | ) | ||
|
| |||
Total from Investment Operations | (0.76 | ) | ||
|
| |||
Less Distributions: | ||||
Distributions from Net Investment Income | (0.26 | ) | ||
|
| |||
Net Asset Value per Share, End of Year | $ | 8.98 | ||
|
| |||
Total Return | (7.76 | )% (2) | ||
Ratios/Supplemental Data: | ||||
Net Assets, End of Year (in thousands) | $ | 509 | ||
Ratio of Expenses to Average Net Assets: | ||||
Before Expense Reimbursement | 7.30 | % (3) | ||
After Expense Reimbursement | 1.17 | % (3) | ||
Ratio of Net Investment Income to Average Net Assets | 3.05 | % (3) | ||
Portfolio Turnover Rate | 89.39 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 1, 2014 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
107
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 16.71 | $ | 15.11 | $ | 11.77 | $ | 10.18 | $ | 9.60 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.30 | 0.27 | 0.25 | 0.22 | 0.18 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.24 | ) | 1.61 | 3.36 | 1.60 | 0.59 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.06 | 1.88 | 3.61 | 1.82 | 0.77 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.28 | ) | (0.28 | ) | (0.27 | ) | (0.23 | ) | (0.19 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 16.49 | $ | 16.71 | $ | 15.11 | $ | 11.77 | $ | 10.18 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 0.40 | % | 12.49 | % | 31.06 | % | 18.03 | % | 8.05 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 175,694 | $ | 195,400 | $ | 176,226 | $ | 99,787 | $ | 54,367 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.86 | % | 0.86 | % | 0.82 | % | 0.85 | % | 0.86 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.81 | % | 1.67 | % | 1.86 | % | 1.95 | % | 1.76 | % | ||||||||||
Portfolio Turnover Rate | 17.95 | % | 17.33 | % | 18.37 | % | 23.15 | % | 37.51 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
108
Table of Contents
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 16.99 | $ | 15.34 | $ | 11.92 | $ | 10.29 | $ | 9.68 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.26 | 0.23 | 0.22 | 0.19 | 0.15 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.25 | ) | 1.63 | 3.41 | 1.62 | 0.60 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.01 | 1.86 | 3.63 | 1.81 | 0.75 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.24 | ) | (0.21 | ) | (0.21 | ) | (0.18 | ) | (0.14 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 16.76 | $ | 16.99 | $ | 15.34 | $ | 11.92 | $ | 10.29 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 0.10 | % | 12.19 | % | 30.71 | % | 17.68 | % | 7.73 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 878,544 | $ | 970,397 | $ | 887,435 | $ | 601,397 | $ | 514,153 | ||||||||||
Ratio of Expenses to Average Net Assets | 1.14 | % | 1.14 | % | 1.11 | % | 1.14 | % | 1.17 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.53 | % | 1.40 | % | 1.60 | % | 1.70 | % | 1.45 | % | ||||||||||
Portfolio Turnover Rate | 17.95 | % | 17.33 | % | 18.37 | % | 23.15 | % | 37.51 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
109
Table of Contents
TCW Relative Value Large Cap Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 22.09 | $ | 19.47 | $ | 14.91 | $ | 13.05 | $ | 12.42 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.26 | 0.21 | 0.19 | 0.16 | 0.12 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.14 | ) | 2.65 | 4.53 | 1.82 | 0.65 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.12 | 2.86 | 4.72 | 1.98 | 0.77 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.22 | ) | (0.24 | ) | (0.16 | ) | (0.12 | ) | (0.14 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 21.99 | $ | 22.09 | $ | 19.47 | $ | 14.91 | $ | 13.05 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 0.50 | % | 14.79 | % | 31.99 | % | 15.33 | % | 6.16 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 667,957 | $ | 700,484 | $ | 543,669 | $ | 741,996 | $ | 396,729 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.88 | % | 0.88 | % | 0.87 | % | 0.89 | % | 0.92 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.14 | % | 1.02 | % | 1.13 | % | 1.14 | % | 0.90 | % | ||||||||||
Portfolio Turnover Rate | 21.60 | % | 18.77 | % | 37.33 | % | 19.71 | % | 26.76 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
110
Table of Contents
TCW Relative Value Large Cap Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 22.04 | $ | 19.44 | $ | 14.89 | $ | 13.00 | $ | 12.38 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.19 | 0.16 | 0.15 | 0.13 | 0.09 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.14 | ) | 2.65 | 4.52 | 1.83 | 0.64 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.05 | 2.81 | 4.67 | 1.96 | 0.73 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.18 | ) | (0.21 | ) | (0.12 | ) | (0.07 | ) | (0.11 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 21.91 | $ | 22.04 | $ | 19.44 | $ | 14.89 | $ | 13.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 0.20 | % | 14.52 | % | 31.64 | % | 15.11 | % | 5.88 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 25,084 | $ | 29,589 | $ | 75,450 | $ | 50,212 | $ | 50,341 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.20 | % | 1.12 | % | 1.13 | % | 1.14 | % | 1.18 | % | ||||||||||
After Expense Reimbursement | 1.16 | % | N/A | N/A | N/A | N/A | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.86 | % | 0.77 | % | 0.83 | % | 0.92 | % | 0.65 | % | ||||||||||
Portfolio Turnover Rate | 21.60 | % | 18.77 | % | 37.33 | % | 19.71 | % | 26.76 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
111
Table of Contents
TCW Relative Value Mid Cap Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 26.62 | $ | 26.56 | $ | 20.10 | $ | 17.43 | $ | 16.94 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.13 | 0.16 | 0.15 | 0.12 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.16 | ) | 2.70 | 6.48 | 2.63 | 0.51 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.99 | ) | 2.83 | 6.64 | 2.78 | 0.63 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.12 | ) | (0.14 | ) | (0.17 | ) | (0.11 | ) | (0.14 | ) | ||||||||||
Distributions from Net Realized Gain | (3.08 | ) | (2.63 | ) | (0.01 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (3.20 | ) | (2.77 | ) | (0.18 | ) | (0.11 | ) | (0.14 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 22.43 | $ | 26.62 | $ | 26.56 | $ | 20.10 | $ | 17.43 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (4.58 | )% | 11.09 | % | 33.30 | % | 16.04 | % | 3.67 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 93,356 | $ | 114,823 | $ | 118,138 | $ | 95,698 | $ | 99,211 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.96 | % | 0.95 | % | 0.94 | % | 1.01 | % | 0.99 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.68 | % | 0.49 | % | 0.68 | % | 0.79 | % | 0.66 | % | ||||||||||
Portfolio Turnover Rate | 23.15 | % | 21.67 | % | 28.91 | % | 32.87 | % | 89.67 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
112
Table of Contents
TCW Relative Value Mid Cap Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 26.08 | $ | 26.07 | $ | 19.74 | $ | 17.06 | $ | 16.61 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.10 | 0.06 | 0.09 | 0.10 | 0.05 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.12 | ) | 2.65 | 6.37 | 2.59 | 0.50 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (1.02 | ) | 2.71 | 6.46 | 2.69 | 0.55 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.07 | ) | (0.12 | ) | (0.01 | ) | (0.10 | ) | ||||||||||
Distributions from Net Realized Gain | (3.08 | ) | (2.63 | ) | (0.01 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (3.16 | ) | (2.70 | ) | (0.13 | ) | (0.01 | ) | (0.10 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 21.90 | $ | 26.08 | $ | 26.07 | $ | 19.74 | $ | 17.06 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (4.78 | )% | 10.80 | % | 32.90 | % | 15.75 | % | 3.26 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 19,559 | $ | 28,458 | $ | 36,875 | $ | 32,292 | $ | 33,247 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.30 | % | 1.27 | % | 1.32 | % | 1.40 | % | 1.48 | % | ||||||||||
After Expense Reimbursement | 1.21 | % | 1.20 | % | 1.23 | % | 1.27 | % | 1.35 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.44 | % | 0.23 | % | 0.40 | % | 0.53 | % | 0.27 | % | ||||||||||
Portfolio Turnover Rate | 23.15 | % | 21.67 | % | 28.91 | % | 32.87 | % | 89.67 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
113
Table of Contents
TCW Select Equities Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 26.71 | $ | 24.84 | $ | 19.81 | $ | 18.17 | $ | 16.18 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.02 | ) | (0.03 | ) | 0.03 | (0.00 | ) (2) | (0.04 | ) | |||||||||||
Net Realized and Unrealized Gain on Investments | 3.80 | 2.71 | 5.34 | 1.86 | 2.03 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 3.78 | 2.68 | 5.37 | 1.86 | 1.99 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | — | (0.00 | ) (2) | (0.05 | ) | — | — | |||||||||||||
Distributions from Net Realized Gain | (0.84 | ) | (0.81 | ) | (0.29 | ) | (0.22 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.84 | ) | (0.81 | ) | (0.34 | ) | (0.22 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 29.65 | $ | 26.71 | $ | 24.84 | $ | 19.81 | $ | 18.17 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 14.54 | % | 11.01 | % | 27.53 | % | 10.37 | % | 12.30 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 1,629,090 | $ | 1,611,400 | $ | 1,325,609 | $ | 802,524 | $ | 432,203 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.88 | % | 0.86 | % | 0.83 | % | 0.86 | % | 0.90 | % | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.08 | )% | (0.11 | )% | 0.15 | % | (0.01 | )% | (0.23 | )% | ||||||||||
Portfolio Turnover Rate | 27.19 | % | 25.79 | % | 24.55 | % | 19.74 | % | 28.13 | % |
(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.
114
Table of Contents
TCW Select Equities Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 25.26 | $ | 23.59 | $ | 18.84 | $ | 17.34 | $ | 15.48 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Loss (1) | (0.09 | ) | (0.10 | ) | (0.02 | ) | (0.06 | ) | (0.09 | ) | ||||||||||
Net Realized and Unrealized Gain on Investments | 3.58 | 2.58 | 5.06 | 1.78 | 1.95 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 3.49 | 2.48 | 5.04 | 1.72 | 1.86 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Realized Gain | (0.84 | ) | (0.81 | ) | (0.29 | ) | (0.22 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 27.91 | $ | 25.26 | $ | 23.59 | $ | 18.84 | $ | 17.34 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 14.22 | % | 10.73 | % | 27.14 | % | 10.06 | % | 12.02 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 274,026 | $ | 227,231 | $ | 378,026 | $ | 292,448 | $ | 182,151 | ||||||||||
Ratio of Expenses to Average Net Assets | 1.14 | % | 1.13 | % | 1.10 | % | 1.14 | % | 1.20 | % | ||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.33 | )% | (0.40 | )% | (0.10 | )% | (0.31 | )% | (0.55 | )% | ||||||||||
Portfolio Turnover Rate | 27.19 | % | 25.79 | % | 24.55 | % | 19.74 | % | 28.13 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
115
Table of Contents
TCW Small Cap Growth Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 33.15 | $ | 35.69 | $ | 26.74 | $ | 27.84 | $ | 26.52 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Loss (1) | (0.27 | ) | (0.32 | ) | (0.20 | ) | (0.24 | ) | (0.26 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.74 | ) | 2.93 | 9.15 | (0.86 | ) | 1.58 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (1.01 | ) | 2.61 | 8.95 | (1.10 | ) | 1.32 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Realized Gain | (5.37 | ) | (5.15 | ) | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 26.77 | $ | 33.15 | $ | 35.69 | $ | 26.74 | $ | 27.84 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (4.26 | )% | 7.22 | % | 33.32 | % | (3.95 | )% | 4.98 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 92,601 | $ | 140,438 | $ | 165,248 | $ | 828,435 | $ | 956,904 | ||||||||||
Ratio of Expenses to Average Net Assets | 1.17 | % | 1.20 | % | 1.18 | % | 1.16 | % | 1.22 | % | ||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.88 | )% | (0.97 | )% | (0.71 | )% | (0.89 | )% | (0.88 | )% | ||||||||||
Portfolio Turnover Rate | 81.19 | % | 75.51 | % | 84.46 | % | 79.27 | % | 93.47 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
116
Table of Contents
TCW Small Cap Growth Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 31.32 | $ | 34.05 | $ | 25.60 | $ | 26.73 | $ | 25.53 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Loss (1) | (0.31 | ) | (0.37 | ) | (0.29 | ) | (0.31 | ) | (0.32 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.68 | ) | 2.79 | 8.74 | (0.82 | ) | 1.52 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.99 | ) | 2.42 | 8.45 | (1.13 | ) | 1.20 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Realized Gain | (5.37 | ) | (5.15 | ) | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 24.96 | $ | 31.32 | $ | 34.05 | $ | 25.60 | $ | 26.73 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (4.48 | )% | 6.98 | % | 32.85 | % | (4.23 | )% | 4.70 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 23,835 | $ | 32,655 | $ | 121,038 | $ | 186,245 | $ | 237,982 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.50 | % | 1.46 | % | 1.47 | % | 1.44 | % | 1.49 | % | ||||||||||
After Expense Reimbursement | 1.37 | % | 1.41 | % | 1.46 | % | N/A | N/A | ||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (1.08 | )% | (1.17 | )% | (1.02 | )% | (1.16 | )% | (1.14 | )% | ||||||||||
Portfolio Turnover Rate | 81.19 | % | 75.51 | % | 84.46 | % | 79.27 | % | 93.47 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
117
Table of Contents
TCW SMID Cap Growth Fund
Financial Highlights — I Class
Year Ended October 31, | November 1, 2010 (Commencement of Operations) through October 31, 2011 | |||||||||||||||||||
2015 | 2014 | 2013 | 2012 | |||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 15.01 | $ | 14.34 | $ | 10.26 | $ | 10.42 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Loss (1) | (0.12 | ) | (0.11 | ) | (0.09 | ) | (0.08 | ) | (0.10 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.06 | ) | 0.78 | 4.17 | (0.08 | ) | 0.52 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (1.18 | ) | 0.67 | 4.08 | (0.16 | ) | 0.42 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Realized Gain | (0.47 | ) | — | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 13.36 | $ | 15.01 | $ | 14.34 | $ | 10.26 | $ | 10.42 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (8.13 | )% | 4.67 | % | 39.77 | % | (1.54 | )% | 4.20 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 10,598 | $ | 28,598 | $ | 31,193 | $ | 22,084 | $ | 23,057 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.27 | % | 1.23 | % | 1.34 | % | 1.36 | % | 2.16 | % | ||||||||||
After Expense Reimbursement | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | ||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.81 | )% | (0.78 | )% | (0.72 | )% | (0.75 | )% | (0.96 | )% | ||||||||||
Portfolio Turnover Rate | 58.72 | % | 66.58 | % | 72.89 | % | 78.76 | % | 89.56 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
118
Table of Contents
TCW SMID Cap Growth Fund
Financial Highlights — N Class
Year Ended October 31, | November 1, 2010 (Commencement of Operations) through October 31, 2011 | |||||||||||||||||||
2015 | 2014 | 2013 | 2012 | |||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 15.01 | $ | 14.34 | $ | 10.27 | $ | 10.42 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Loss (1) | (0.12 | ) | (0.12 | ) | (0.09 | ) | (0.08 | ) | (0.10 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.06 | ) | 0.79 | 4.16 | (0.07 | ) | 0.52 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (1.18 | ) | 0.67 | 4.07 | (0.15 | ) | 0.42 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Realized Gain | (0.47 | ) | — | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 13.36 | $ | 15.01 | $ | 14.34 | $ | 10.27 | $ | 10.42 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (8.13 | )% | 4.67 | % | 39.63 | % | (1.44 | )% | 4.20 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 21,845 | $ | 23,810 | $ | 22,968 | $ | 17,116 | $ | 22,927 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.52 | % | 1.51 | % | 1.61 | % | 1.64 | % | 2.23 | % | ||||||||||
After Expense Reimbursement | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | 1.20 | % | ||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.83 | )% | (0.79 | )% | (0.72 | )% | (0.76 | )% | (0.96 | )% | ||||||||||
Portfolio Turnover Rate | 58.72 | % | 66.58 | % | 72.89 | % | 78.76 | % | 89.56 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
119
Table of Contents
TCW Funds, Inc.
|
To the Board of Directors and Shareholders of
TCW Funds, Inc.
Los Angeles, California
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of TCW Concentrated Value Fund, TCW Conservative Allocation Fund, TCW Global Real Estate Fund, TCW Growth Equities Fund, TCW High Dividend Equities Fund, TCW Relative Value Dividend Appreciation Fund, TCW Relative Value Large Cap Fund, TCW Relative Value Mid Cap Fund, TCW Select Equities Fund, TCW Small Cap Growth Fund, and TCW SMID Cap Growth Fund (collectively, the “TCW Equity and Allocation Funds”) (eleven of twenty-three funds comprising TCW Funds, Inc.) as of October 31, 2015, and the related statements of operations for the periods then ended, the statements of changes in net assets for each of the respective stated periods then ended, and the financial highlights for each of the respective stated periods then ended. These financial statements and financial highlights are the responsibility of the TCW Equity and Allocation Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Accounting Oversight Board (United States). 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. The TCW Equity and Allocation Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the TCW Equity and Allocation Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principle used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2015, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material aspects, the financial position of each of the respective TCW Equity and Allocation Funds as of October 31, 2015, the results of their operations for the periods then ended, the changes in their net assets for each of the respective stated periods then ended, and the financial highlights for each of the respective stated periods then ended, in conformity with accounting principles generally accepted in the United States of America.
Los Angeles, California
December 21, 2015
120
Table of Contents
TCW Funds, Inc.
Shareholder Expenses (Unaudited)
As a shareholder of a Fund, you incur ongoing operational costs of the Fund, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2015 to October 31, 2015 (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, 2015 | Ending Account Value October 31, 2015 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2015 to October 31, 2015) | ||||||||||||
TCW Concentrated Value Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 973.50 | 1.08 | % | $ | 5.37 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.76 | 1.08 | % | 5.50 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 973.70 | 1.08 | % | $ | 5.37 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.76 | 1.08 | % | 5.50 | |||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.80 | 0.22 | % (1) | $ | 1.11 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,024.10 | 0.22 | % (1) | 1.12 | (1) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 997.60 | 0.84 | % (1) | $ | 4.23 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.97 | 0.84 | % (1) | 4.28 | (1) | ||||||||||
TCW Global Real Estate Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 972.20 | 1.42 | % | $ | 7.06 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.05 | 1.42 | % | 7.22 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 971.20 | 1.42 | % | $ | 7.06 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.05 | 1.42 | % | 7.22 |
121
Table of Contents
TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value May 1, 2015 | Ending Account Value October 31, 2015 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2015 to October 31, 2015) | ||||||||||||
TCW Growth Equities Fund |
| |||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 905.00 | 1.20 | % | $ | 5.76 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.16 | 1.20 | % | 6.11 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 906.00 | 1.20 | % | $ | 5.76 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.16 | 1.20 | % | 6.11 | |||||||||||
TCW High Dividend Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 884.30 | 1.17 | % | $ | 5.56 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.31 | 1.17 | % | 5.95 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 883.30 | 1.17 | % | $ | 5.55 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.31 | 1.17 | % | 5.95 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 969.90 | 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 | $ | 968.10 | 1.14 | % | $ | 5.66 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.46 | 1.14 | % | 5.80 | |||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 959.40 | 0.87 | % | $ | 4.30 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.82 | 0.87 | % | 4.43 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 958.00 | 1.15 | % | $ | 5.68 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.41 | 1.15 | % | 5.85 | |||||||||||
TCW Relative Value Midcap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 907.70 | 0.97 | % | $ | 4.66 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.32 | 0.97 | % | 4.94 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 906.80 | 1.20 | % | $ | 5.77 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.16 | 1.20 | % | 6.11 | |||||||||||
TCW Select Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,086.50 | 0.87 | % | $ | 4.58 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.82 | 0.87 | % | 4.43 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,084.70 | 1.11 | % | $ | 5.83 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.61 | 1.11 | % | 5.65 |
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|
TCW Funds, Inc. | Beginning Account Value May 1, 2015 | Ending Account Value October 31, 2015 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2015 to October 31, 2015) | ||||||||||||
TCW Small Cap Growth Fund |
| |||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 884.10 | 1.16 | % | $ | 5.51 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.36 | 1.16 | % | 5.90 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 882.90 | 1.36 | % | $ | 6.45 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.35 | 1.36 | % | 6.92 | |||||||||||
TCW SMID Cap Growth Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 884.80 | 1.20 | % | $ | 5.70 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.16 | 1.20 | % | 6.11 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 884.80 | 1.20 | % | $ | 5.70 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.16 | 1.20 | % | 6.11 |
(1) | Does not included Expenses of the underlying affiliated investments. |
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TCW Funds, Inc.
Our Privacy Policy
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Alternative Funds, TCW Strategic Income Fund, Inc. and the Metropolitan West Funds (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.
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.
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. |
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. |
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• | 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 Alternative Funds, TCW Strategic Income Fund, Inc. and the Metropolitan West Funds:
• | 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 ALTERNATIVE FUNDS
TCW STRATEGIC INCOME FUND, INC.
METROPOLITAN WEST FUNDS
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 |
email: privacy@tcw.com
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Investments Management and Advisory Agreement
TCW Funds, Inc. (the “Corporation”) and TCW Investment Management Company (the “Advisor”) are parties to an Investment Advisory and Management Agreement (“Current 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. The Current Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by the Board of Directors of the Corporation (the “Board”), including the directors who are not “interested persons” of either the Corporation or the Advisor (the “Independent Directors”). The Current Agreement terminates automatically in the event of its assignment.
At a meeting held on September 21, 2015, the Board, including the Independent Directors, approved the continuation of the Current Agreement with respect to each Fund for an additional one-year term from when it otherwise would expire.
Continuation of the Current Agreement
The Advisor provided materials to the Board in advance of meetings held on September 8, 2015 and September 21, 2015 (the “Current Agreement Materials”) for their evaluation of the Current Agreement in response to information requested by the Independent Directors, who were advised by counsel to the Independent Directors with respect to these and other relevant matters. The Independent Directors also took into account information received by them during the past year at their regular board meetings. In addition, the Independent Directors met separately with counsel to the Independent Directors to consider the information provided. As a result of those meetings, the Board (including a majority of the Independent Directors voting separately) approved the continuation of the Current Agreement based on the recommendation of the Independent Directors. In deciding to recommend the renewal of the Current Agreement with respect to each Fund, the Independent Directors did not identify any single or particular piece of information 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.
Nature, Extent, and Quality of Services The Independent Directors considered the general nature, extent, and quality of services provided or expected to be provided to the Funds by the Advisor. The Independent Directors evaluated the Advisor’s experience in serving as manager of the Funds, and considered the benefits to shareholders of investing in a fund complex that is served by a large investment management organization where it and its affiliates also serve a variety of other investment advisory clients, including separate accounts, other pooled investment vehicles, registered investment companies and commingled funds. The Independent Directors also considered the ability of the Advisor to provide appropriate levels of support and resources to the Funds.
In addition, the Independent Directors took note of the background and experience of the senior management and portfolio management personnel of the Advisor and that the Advisor provides and is expected to continue to provide substantial expertise and attention as well as resources and infrastructure to the Funds . The Independent Directors considered the ability of the Advisor to attract and retain qualified business professionals and its compensation program, noting in particular the Advisor’s recent addition of professionals in various areas over the past several years, including new analysts to the equity research team, and to back office operations, fund administration, and other areas, as well as systems and infrastructure enhancements. The Independent Directors also considered the breadth of the compliance programs of the Advisor, as well as the compliance operations of the Advisor with respect to the Funds.
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Investments Management and Advisory Agreement (Continued)
The Independent Directors concluded that they were satisfied with the nature, extent and quality of the services provided and anticipated to be provided to the Funds by the Advisor under the Current Agreements.
Investment Performance The Independent Directors reviewed information about each Fund’s historical performance, including materials prepared by the Advisor and a Report prepared by Broadridge/Lipper, an independent third party consultant, which provided a comparative analysis of the performance of each Fund with the performance of similar funds over one, three, five and ten year periods, as applicable. The Independent Directors noted that investment performance of most of the Funds was generally consistent with or above the median performance of the applicable Lipper peer group during most periods covered in the Report. They noted, however, that the investment performance of the TCW Select Equities Fund, TCW Small Cap Growth Fund, TCW Growth Equities Fund, TCW SMID Cap Growth Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund and TCW International Small Cap Fund were each in the fourth or fifth quintile of the applicable Lipper peer group for one or more periods covered in the Report. The Independent Directors noted the recent underperformance of these Funds and reviewed the actions taken by the Advisor to address such underperformance. The Independent Directors concluded that the Advisor should continue to provide investment advisory and management services to the Funds. The Independent Directors 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.
Advisory Fees and Profitability The Independent Directors considered information in the materials prepared by Lipper and the Advisor regarding the advisory fees charged to the Funds, advisory fees paid by other funds in the Funds’ respective peer groups, and advisory fees paid to the Advisor under advisory contracts with respect to other institutional clients. The Independent Directors noted that the investment advisory fees charged by the Advisor to many of the Funds were near or below the medians of their respective Lipper peer groups. They also noted, however, that the investment advisory fees of the TCW Total Return Bond Fund, TCW Select Equities Fund, TCW Relative Value Dividend Appreciation Fund, TCW Relative Value Large Cap Fund, TCW Small Cap Growth Fund, TCW SMID Cap Growth Fund, TCW Growth Equities Fund, TCW Emerging Markets Income Fund, TCW Emerging Markets Local Currency Income Fund and TCW Conservative Allocation Fund were above the medians of their respective Lipper peer groups. The Independent Directors reviewed the related materials prepared the Advisor. The Independent Directors also noted that the advisory fees charged by the Advisor to many of the Funds are higher than the advisory fees charged by the Advisor to certain institutional separate accounts with similar strategies managed by the Advisor, but that the services provided the Funds are more extensive than the services provided to institutional separate accounts.
The Independent Directors noted that the total expenses of the Funds are near or below median expenses of the other funds in their respective peer groups. They considered that the Advisor has agreed to reduce its investment advisory fee or pay the operating expenses of each Fund in order to maintain the overall expense ratios of the Funds at competitive levels, that the Advisor had entered into contractual expense limitation agreements with respect to certain Funds and the amounts paid or waived by the Advisor pursuant to expense limitations. The Independent Directors also considered the costs of services to be provided to the Funds by the Advisor and profits to be realized by the Advisor and its affiliates from their relationship with the Funds. Recognizing the difficulty in evaluating a manager’s profitability with respect to the funds it manages in the context of a manager with multiple lines of business, and noting that other
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profitability methodologies might also be reasonable, the Independent Directors concluded that the profits of the Advisor from its relationship with the Funds were reasonable. Based on these various considerations, the Independent Directors concluded that the contractual management fees of the Funds under the Current Agreement are fair and bear a reasonable relationship to the services rendered.
Expenses and Economies of Scale The Independent Directors considered the potential of the Advisor and the Funds to achieve economies of scale as the Funds’ portfolios grow in size. The Independent Directors noted that the Advisor has agreed to contractual expense limitation agreements, which are designed to maintain the overall expense ratio of each of the Funds at a competitive level. The Independent Directors were satisfied with the explanation for Funds with total expense ratios exceeding their peer group medians, such as the small size of the Fund or an expense ratio relatively near the median level. The Independent Directors also received information about the extent to which the Advisor has shared economies of scale through the reinvestment of profits into the advisory business of the Advisor and its affiliates, which benefits the Funds. The Independent Directors also considered the relative advantages and disadvantages of an advisory fee with breakpoints compared to a flat advisory fee supplemented by advisory fee waivers and/or expense reimbursements. The Independent Directors concluded that the current fee arrangements were appropriate given the current size and structure of the Funds and adequately reflected any economies of scale.
Ancillary Benefits The Independent Directors considered ancillary benefits 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 Independent Directors noted that, in addition to the fees the Advisor receives under the Current 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 Independent Directors concluded that any potential benefits 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.
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 Current 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 the Fund, and that the renewal of the Current Agreement was in the best interests of each Fund and its shareholders.
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Supplemental Information
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board of Directors of the Company has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Company’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Advisor, on behalf of the Company, prepares and file Form N-PX with the SEC not later than August 31 of each year, which includes the Company’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Company’s proxy voting record for the most recent twelve-month period ended June 30 is available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for the Company’s proxy voting record, it will send the information disclosed in the Company’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Company also discloses its proxy voting record on its website as soon as is reasonably practicable after its report on Form N-PX is filed with the SEC.
Availability of Quarterly Portfolio Schedule
The Company files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. The Form N-Q is available by calling 800-FUND-TCW (800-386-3829) to obtain a hard copy. You may also obtain the Company’s Form N-Q:
1. | By going to the SEC website at http://www.sec.gov.; or |
2. | By visiting the SEC’s Public Reference Room in Washington, D.C. and photocopying it (Phone 1-800-SEC-0330 for information on the operation of the SEC’s Public Reference Room). |
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Tax Information Notice (Unaudited)
On account of the year ended October 31, 2015, the following Funds paid a capital gain distribution within the meaning 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 Conservative Allocation Fund | $ | 0.29 | ||
TCW Global Real Estate Fund | $ | 0.00 | (1) | |
TCW Growth Equities Fund | $ | 2.96 | ||
TCW Relative Value Large Cap Fund | $ | 0.95 | ||
TCW Relative Value Mid Cap Fund | $ | 3.02 | ||
TCW Select Equities Fund | $ | 2.23 | ||
TCW Small Cap Growth Fund | $ | 5.61 | ||
TCW SMID Cap Growth Fund | $ | 0.96 |
(1) | Less than $0.01 per share. |
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, 2015:
Fund | Qualified Dividend Income | |||
TCW Concentrated Value Fund | $ | 51 | ||
TCW Conservative Allocation Fund | $ | 74 | ||
TCW Global Real Estate Fund | $ | 4 | ||
TCW Growth Equities Fund | $ | 145 | ||
TCW Relative Value Dividend Appreciation Fund | $ | 16,258 | ||
TCW Relative Value Large Cap Fund | $ | 6,989 | ||
TCW Relative Value Mid Cap Fund | $ | 596 | ||
TCW Select Equities Fund | $ | 4,470 | ||
TCW Small Cap Growth Fund | $ | 703 |
The following are dividend received deduction percentages for the Funds’ corporate shareholders:
Fund | Dividends Received Deductions | |||
TCW Concentrated Value Fund | 100% | |||
TCW Conservative Allocation Fund | 8.37% | |||
TCW Global Real Estate Fund | 4.69% | |||
TCW Growth Equities Fund | 26.93% | |||
TCW High Dividend Equities Fund | 89.06% | |||
TCW Relative Value Dividend Appreciation Fund | 100% | |||
TCW Relative Value Large Cap Fund | 100% | |||
TCW Relative Value Mid Cap Fund | 100% | |||
TCW Select Equities Fund | 76.35% | |||
TCW Small Cap Growth Fund | 7.16% |
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 2016, 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 2015. 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 ten directors is responsible for overseeing the operations of the Company, which consists of 23 funds at October 31, 2015. 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) | Indefinite term; 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). | |||
John A. Gavin (1931) | Indefinite term; Mr. Gavin has served as a director of TCW Funds, Inc. since May 2001. | Founder and Chairman of Gamma Holdings (international capital consulting firm). | TCW Strategic Income Fund, Inc. (closed-end fund); Hotchkis and Wiley Funds (mutual fund with 5 series). | |||
Patrick C. Haden (1953) Chairman | Indefinite term; Mr. Haden has served as a director of TCW Funds, Inc. since May 2001. | Athletic Director, University of Southern California. Prior to August 2010, General Partner, Riordan, Lewis & Haden (private equity firm). | Tetra Tech, Inc. (environmental consulting); The Rose Hills Foundation (foundation); UniHealth Foundation (charitable foundation); Metropolitan West Funds (mutual fund with 9 series); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund with 4 series). | |||
Janet E. Kerr (1954) | Indefinite term; Ms. Kerr has served as a director of TCW Funds, Inc. since August 2010. | Professor Emeritus and Founder of Geoffrey H. Palmer Center for Entrepreneurship and the Law, Pepperdine University School of Law. | La-Z-Boy Furniture Incorporated (residential furniture producer); Tilly’s (a retailer of apparel and accessories); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Peter McMillan (1957) | Indefinite term; Mr. McMillan has served as a director of TCW Funds, Inc. since August 2010. | Co-Founder, Managing Partner and CIO, Temescal Canyon Partners (investment advisory firm); Co-founder and Managing Partner, Willowbrook Capital Group, LLC (investment advisory firm); Co-founder and Executive Vice President of KBS Capital Advisors (a manager of real estate investment trusts). | KBS Real Estate Investment Trusts (real estate investments); KBS Strategic Opportunity REIT (real estate investments); Metropolitan West Funds (mutual funds with 9 series); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund with 4 series). | |||
Charles A. Parker (1934) | Indefinite term; Mr. Parker has served as a director of the TCW Funds, Inc. since April 2003. | Private Investor. | Burridge Center for Research in Security Prices (University of Colorado); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Victoria B. Rogers (1961) | Indefinite term; Ms. Roger has served as a director of the TCW Funds, Inc. since October 2011. | President, The Rose Hills Foundation. | Causeway Capital Management Trust (mutual fund with 5 series); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Andrew Tarica (1959) | Indefinite term; Mr. Tarica has served as a director of the TCW Funds, Inc. since March 2012. | Chief Executive Officer, Meadowbrook Capital Management (asset management company); Employee, Cowen & Co. (broker-dealer). | Metropolitan West Funds (mutual fund with 9 series); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund with 4 series). |
(1) | The address of each Independent Director is c/o Morgan, Lewis, & Bockius LLP, Counsel to the Independent Directors, 355 South Grand Avenue, Los Angeles, CA 90071. |
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Interested Directors
Each of these directors are “interested persons” of the Company as defined in the 1940 Act because they are directors and officers of the Advisor, and shareholders and directors of The TCW Group, Inc., the parent company of the Advisor.
Name and Year of Birth (2) | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Other Directorships held by Director | |||
Marc I. Stern (1944) | Indefinite term; Mr. Stern has served as a director since inception of TCW Funds, Inc. in September 1992. | Chairman, The TCW Group, Inc. Prior to February 2013, Chief Executive Officer and Chairman, the Adviser; Vice Chairman and Chief Executive Officer, The TCW Group, Inc. and TCW Asset Management Company; and Vice Chairman, Trust Company of the West. | Qualcomm Incorporated (wireless communications) | |||
David S. DeVito (1962) | Indefinite term; Mr. DeVito has served as a director since January 2014. | Executive Vice President and Chief Operating Officer, the Advisor, The TCW Group, Inc., Trust Company of the West and TCW Asset Management Company; President and Chief Executive Officer, the Company, TCW Alternative Funds and TCW Strategic Income Fund, Inc. | TCW Strategic Income Fund, Inc. (closed-end fund) |
The officers of the Company who are not directors of the Company are:
Name and Year of Birth(2) | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Peter A. Brown (1955) | Senior Vice President | Managing Director, the Advisor, The TCW Group, Inc., Trust Company of the West and TCW Asset Management Company; Senior Vice President, TCW Strategic Income Fund, Inc. | ||
Meredith S. Jackson (1959) | Senior Vice President, General Counsel and Secretary | Executive Vice President, General Counsel and Secretary, the Advisor, The TCW Group Inc., Trust Company of the West, TCW Asset Management Company and Metropolitan West Asset Management; Senior Vice President, General Counsel and Secretary, TCW Strategic Income Fund, Inc., TCW Alternative Funds and Metropolitan West Funds. Previously, Partner and Chair of the Debt Finance Practice Group, Irell & Manella (law firm) (1999 – January 2013). |
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Directors and Officers of the Company (Continued)
Name and Address (2) | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Jeffrey Engelsman (1967) | Chief Compliance Officer | Managing Director, Global Chief Compliance Officer, the Advisor, The TCW Group, Inc., Trust Company of the West and TCW Asset Management Company; Chief Compliance Officer, TCW Strategic Income Fund, Inc. and TCW Alternative Funds. Previously, Managing Director of New York Life Investment Management Company and Chief Compliance Officer of MainStay Group of Funds. | ||
Richard Villa (1964) | Treasurer and Chief Financial Officer | Managing Director and Chief Financial Officer, the Advisor, The TCW Group, Inc., Trust Company of the West; TCW Asset Management Company and Metropolitan West Asset Management; Treasurer and Chief Financial Officer, TCW Strategic Income Fund, Inc. and TCW Alternative Funds. |
(1) | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
(2) | Address is 865 South Figueroa Street, 18th Floor, Los Angeles, California 90017 |
In addition, George N. Winn, Senior Vice President of Trust Company of the West, TCW Asset Management Company and the Advisor, is the Assistant Treasurer of the Company; and Patrick W. Dennis, Senior Vice President and Associate General Counsel of Trust Company of the West, TCW Asset Management Company and the Advisor, is Assistant Secretary of the Company.
The SAI (Statement of Additional Information) has additional information regarding the Board of Directors. A copy is available 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
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company
865 South Figueroa Street
Los Angeles, California 90017
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 E. Michigan Street
Milwaukee, Wisconsin 53202
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
Deloitte & Touche, LLP
555 West 5th Street
Los Angeles, California 90013
CUSTODIAN & ADMINISTRATOR
State Street Bank & Trust Company
One Lincoln Street
Boston, Massachusetts 02111
DISTRIBUTOR
TCW Funds Distributors
865 South Figueroa Street
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
David S. DeVito
Director
John A. Gavin
Director
Janet E. Kerr
Director
Peter McMillan
Director
Charles A. Parker
Director
Victoria B. Rogers
Director
Marc I. Stern
Director
Andrew Tarica
Director
OFFICERS
David S. DeVito
President and Chief Executive Officer
Meredith S. Jackson
Senior Vice President,
General Counsel and Secretary
Richard M. Villa
Treasurer and Chief Financial Officer
Jeffrey A. Engelsman
Chief Compliance Officer
Peter A. Brown
Senior Vice President
Patrick W. Dennis
Assistant Secretary
George N. Winn
Assistant Treasurer
TCW FUNDS
EQUITY FUNDS
TCW Concentrated Value Fund
TCW Global Real Estate Fund
TCW Growth Equities Fund
TCW High Dividend Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
TCW Small Cap Growth Fund
TCW SMID Cap Growth Fund
TCW ALLOCATION FUND
TCW Conservative Allocation Fund
FIXED INCOME FUNDS
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund
TCW Global Bond Fund
TCW High Yield Bond Fund
TCW Short Term Bond Fund
TCW Total Return Bond Fund
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
TCW Emerging Markets Income Fund
TCW Emerging Markets Local Currency Income Fund
TCW Emerging Markets Multi-Asset Opportunities Fund
TCW International Growth Fund
TCW International Small Cap Fund
FUNDarEQ1015
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201 OCTOBER531
ANNUAL
R E P O R T
U.S. FIXED INCOME FUNDS
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund
TCW Global Bond Fund
TCW High Yield Bond Fund
TCW Short Term Bond Fund
TCW Total Return Bond Fund
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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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David S. DeVito President, Chief Executive Officer and Director |
Dear Valued Investors,
It is my pleasure to present the 2015 annual report for the TCW Funds, Inc. covering the 12-month period ended October 31, 2015. I would like to express our appreciation for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of October 31, 2015, the TCW Funds held total net assets of approximately $18 billion.
This report contains information and portfolio management discussions of our TCW Fixed Income Funds.
Economic Review and Market Environment
As 2015 has played out, two themes have been consistent: (1) uncertainty about when and how the Federal Reserve (Fed) would begin raising interest rates, and (2) wariness of the potential impact of global instability on domestic markets. From the latter, a startling devaluation of the Chinese Yuan and further collapse of the Chinese stock market in August stoked fears of slower growth in China than was represented by official estimates, bringing an overdue U.S. equity market correction and roiling commodity markets. The potential for waning demand from China as the largest importer of oil, iron ore, and industrial metals caused many of those sectors to tumble. The benchmark West Texas Intermediate crude oil fell 42% on the year, ending near $46 per barrel, copper reached five-year lows and declined over 24%, and iron ore sagged an additional 29% this year after being down over 40% from the end of 2013. Expectations for the Fed’s first rate hike declined alongside these developments and ebbed further on stubbornly low U.S. inflation. The September Federal Open Market Committee (FOMC) meeting came and went without a rate change, but the Fed’s statement was surprisingly dovish with new expressions of concern over external risks to domestic growth. Also surprising was the market’s negative reaction to the decision not to hike, which illustrates a fundamental change from past years when more easing was always well received by markets. This was met with a change in tone as Fed member speeches leading up to and including the FOMC meeting in October reinforced the likelihood of a rate hike by the end of 2015. The FOMC meeting followed the October release of nonfarm payrolls, which showed a substantial and broad-based increase in jobs created along
with an increase in wages that surpassed market expectations. As a result, the market expectations of a hike in interest rates by the Fed at its December meeting increased to more than 70% and a roughly 20 basis point increase in the policy sensitive 2-Year U.S. Treasury yield over levels seen last October.
Despite what appears to be more clarity from the Fed regarding the timing of the first rate hike, the end of the fiscal year was marked by increased uncertainty and volatility as a result of concerns over the impact of slowing global growth, doubts about the strength of the U.S. economy, and the unknown impact of a rate hike on increasingly unstable markets and challenging liquidity conditions. Over the past few months, intermediate and long U.S. Treasury yields fell significantly, led by the 10-Year U.S. Treasury as these concerns drove a flight-to-quality. However, front-end yields ended the fiscal year higher due to market expectations that the Fed will begin the process of normalizing monetary policy with an initial 25 basis point hike in December. The overall effect of a flatter yield curve supported a nearly 2% return in the Barclay’s Aggregate Index, with most non-government fixed income sectors underperforming government debt for the year. On a relative basis, spreads widened most among corporate issues in a reverse of sentiment following what had been record-setting levels of issuance through mid- year. Beyond investment grade, the reaction was considerably harsher as high yield corporates trailed duration-matched U.S. Treasuries by 425 basis points with broad-based weakness and particularly sharp declines in energy and metals & mining sectors due primarily to slower global growth. Also beyond the scope of the investment grade index, emerging market debt fell as contagion from China reached across to other developing economies. Commercial MBS (CMBS) generated a 2.6% return for the year and delivered nearly 33 basis points of outperformance versus Treasuries, while asset-backed securities (ABS), overwhelmingly floating rate in nature and thus limited in interest rate duration, produced excess returns of more than 40 basis points for the year.
The Economy and Market Ahead
Heightened volatility surrounding global developments during the year and the Fed’s lack of clarity on policy decisions
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Letter to Shareholders (Continued) |
weighed on increasingly unstable markets and tested liquidity conditions. Though widening in non-government fixed income sectors was modest (with the exception of high yield), there was evidence late in the third quarter of more extreme idiosyncratic volatility than usual, which is a typical end of cycle dynamic. A declining equity buffer is indicative of tightening financial conditions and there are a variety of potential catalysts — slower growth or capital outflows from emerging economies, currency movements, rising defaults among oil and gas companies — that could drive spreads significantly wider in the bond markets in the upcoming year.
The turbulent action in markets that dominated the latter part of the year is, in our view, more likely the beginning rather than the end of volatility which could produce challenging conditions as investors may be forced to raise liquidity. While these stresses may lead to increased Treasury prices as investors reallocate into higher quality, expectations are that U.S. Treasury rates will rise over time as slowing emerging market economies reduce their accumulation of Treasury bonds and liquidate existing holdings. Additionally, as the massive Fed intervention of the last several years unwinds, U.S. Treasury rates should trend higher from what have arguably been artificially low levels.
While it looks as if the Fed will begin to hike rates in December, this initial move may not bring clarity to the U.S. economic outlook or reduce uncertainty as more evidence is required to prove that inflation is on track to achieve its target of 2% or that productivity in the U.S. economy is recovering. That said, overall U.S. economic growth has improved throughout much of 2015. While the data was mixed this year, unemployment at 5% is half of the post-crisis high and consumer spending remains strong. However, the global environment of central bank accommodation that continues to drive rates in developed markets lower than the U.S. and the prospect of a stronger dollar will weigh on U.S. growth and focus attention on the pace at which the Fed will be able to raise rates in 2016, if at all, as a Presidential election plays out.
Data sources for the discussion above include Bloomberg, Barclays, and Merrill Lynch.
Three TCW Fixed Income Funds Receive 2015 Lipper Fund Awards
On March 31, 2015, three TCW fixed income funds from the TCW fund family were honored in the 2015 Lipper Fund Awards:
• | The TCW Total Return Bond Fund (TGLMX/TGMNX) was named best U.S. mortgage fund for the three-, five- and ten-year periods. |
• | The TCW Core Fixed Income Fund (TGCFX/TGFNX) was named best core bond fund for the ten-year period. |
• | The TCW Enhanced Commodity Strategy Fund (TGGWX/TGABX) was named best commodities fund for the three-year period. |
The Lipper Fund Awards honor funds that have excelled in delivering consistently strong risk-adjusted performance relative to peers. The Lipper Fund Awards take place in 23 countries throughout Asia, Europe, MENA and the Americas. The awards are part of the broader Thomson Reuters Awards for Excellence program, which recognizes the world’s top analysts, brokerages, buy-side firms, funds and investor relations teams.
We know that you have many choices when it comes to the management of your financial assets. On behalf of everyone at TCW, I would like to thank you for making the TCW Funds part of your long-term investment plan. We truly value our relationship with you. If you have any questions or require further information, I invite you to visit our website at www.tcw.com, or call our shareholder services department at 800-386-3829.
I wish you all the best in the coming new year and I look forward to further correspondence with you through our semi-annual report in 2016.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
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Management Discussions
The TCW Core Fixed Income Fund (the “Fund”) returned 1.25% and 1.00% on its I Class and N Class shares, respectively, for the year ended October 31, 2015. The performance of the Fund’s classes varies because of differing expenses. The Barclays Aggregate Index, the Fund’s benchmark, returned 1.96% for the same period.
The underperformance was partly due to the defensive duration position which weighed on returns as U.S. Treasury rates fell. Also weighing on performance was exposure within the Fund to government guaranteed student loan ABS. Student loans issued under the Federal Family Education Loan Program (FFELP) weakened during the third quarter after Moody’s warned of potential downgrades to loans that could fail to repay by their final maturity dates as a result of new income based repayment plans. Although principal and interest payments remain guaranteed by the full faith and credit of the U.S. government, uncertainty surrounding the potential downgrade pushed spreads wider and limited trading in the sector. In addition, the small allocation to energy names, specifically in the pipeline sector, detracted from relative performance. However, the lag was more than offset by the relative underweight to investment grade corporates and sovereign credit which lagged duration matched U.S. Treasuries by roughly 210 and 330 bps, respectively, over the course of the year.
Given expectations for increased volatility, further spread widening, tight liquidity conditions, and an eventual rise in U.S. Treasury rates, the Fund maintains a defensive and cautious profile. Duration remains shorter than the Index, but will gradually move toward neutral as rates edge higher, while the allocation among non-government fixed income sectors is conservative, with a focus on preserving liquidity to take advantage of dislocations when they happen, and enhancing risk-adjusted yields by being a liquidity provider. The relative underweight to U.S. Government debt is taken up by an overweight to mortgage and asset-backed securities which continue to offer attractive protection from the excesses in credit markets given high quality and higher yields than Treasuries. However, certain parts of the market such as non-agency MBS, agency CMBS, senior tranches of CLOs, and certain student loan ABS are potentially susceptible to widening liquidity premiums, even if fundamentals are not in doubt, and careful attention to the overall liquidity profile is warranted. The extension risk to affected FFELP student loans is likely to be modest, especially since bonds are all uncapped floating rate securities, making them a potentially compelling buying opportunity once the uncertainty surrounding rating agency action has dissipated.
Investment grade credit exposure in the Fund continues to represent a relative underweight versus the benchmark and favors financials over industrials. Recent widening in investment grade credit has made the sector look relatively more attractive than it did only a quarter ago. As such, investment grade corporate exposure is a candidate for increased exposure, while still maintaining a defensive posture overall relative to the benchmark. Increases to exposures will be at a measured pace as there is likely to be more volatility and even wider spreads going forward. While yield compensation has improved on a relative basis, it has not altered the Fund’s conservative risk posture, meaning that expectations remain for further repricing and yet better entry points ahead.
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TCW Core Fixed Income Fund
Management Discussions (Continued)
Annualized Performance through October 31, 2015(1) | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Since Inception(2) | ||||||||||||||||
TGCFX (Inception: January 1, 1990) | 1.25 | % | 1.62 | % | 3.47 | % | 6.00 | % | 6.36 | % | ||||||||||
Barclays Aggregate Index | 1.96 | % | 1.65 | % | 3.03 | % | 4.72 | % | 6.32 | % | ||||||||||
TGFNX (Inception: March 1, 1999) | 1.00 | % | 1.30 | % | 3.14 | % | 5.68 | % | 5.50 | % | ||||||||||
Barclays Aggregate Index | 1.96 | % | 1.65 | % | 3.03 | % | 4.72 | % | 5.20 | % |
(1) | 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 before the Fund’s registration became effective. The predecessor entity was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If that entity had been registered under the 1940 Act, the performance may have been lower. |
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TCW Enhanced Commodity Strategy Fund
Management Discussions
The TCW Enhanced Commodity Strategy Fund (the “Fund”) fell by 25.47% and 25.36% on its I Class and N Class shares, respectively, for the year ended October 31, 2015. The performance of the Fund’s classes varies because of differing expenses. The Bloomberg Commodities Index, the Fund’s benchmark, declined by 25.71% for the same period.
Relative outperformance was due to issue selection among the Fund’s commercial MBS and non-agency MBS holdings as prices moved higher on continued improvements in fundamentals such as increased prepayment activity and declining delinquencies. Meanwhile, the Fund’s and Index’s overall negative performance was driven primarily by the exposure to the commodity complex, which suffered substantial losses this year due to a combination of oversupply and dwindling global demand. In particular, the potential for waning demand from China as the largest importer of oil, iron ore, and industrial metals caused many of those sectors to tumble as well with copper prices near six-year lows, gold at a five-year low, and the benchmark West Texas Intermediate crude oil down 42% on the year, ending near $46 per barrel. A further factor behind the commodity sell-off this year has been the renewed strength of the U.S. dollar, as expectations that the Fed will raise interest rates this year fueled dollar strength to nearly a 12-year high.
Given expectations for increased volatility, further spread widening, tight liquidity conditions, and an eventual rise in U.S. Treasury rates, the Fund maintains a defensive and cautious profile. Duration remains short at approximately 0.48 years, and the allocation among non-government fixed income sectors is conservative, with a focus on preserving liquidity to take advantage of dislocations when they happen, and enhance risk-adjusted yields by being a liquidity provider. Mortgage and asset-backed securities continue to offer attractive protection from the excesses in credit markets given high quality and higher yields than Treasuries. However, certain parts of the market such as non-agency MBS, agency CMBS, and certain student loan ABS are potentially susceptible to widening liquidity premiums, even if fundamentals are not in doubt, and careful attention to the overall liquidity profile is warranted.
Corporate credit remains focused on financials given limited re-leveraging risk and reasonable yield premiums, while the allocation to industrials is focused on asset heavy companies with stable cash flows and strong balance sheets. Recent widening in investment grade credit has made the sector look relatively more attractive than it did only a quarter ago. As such, investment grade corporate exposure is a candidate for increased exposure, while still maintaining a defensive posture overall. Increases to exposures will be at a measured pace as there is likely to be more volatility and even wider spreads going forward, particularly for commodities as concerns about China are also likely to linger and weigh on overall sentiment. The market will continue to have to adjust to an environment of lower growth and commodity prices. Additionally while yield compensation has improved on a relative basis, it has not altered the Fund’s conservative risk posture, meaning that expectations remain for further repricing and yet better entry points ahead.
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TCW Enhanced Commodity Strategy Fund
Management Discussions (Continued)
Annualized Performance through October 31, 2015(1) | ||||||||||||
1 Year | 3 Year | Since Inception | ||||||||||
TGGWX (Inception: April 1, 2011) | (25.47 | )% | (13.31 | )% | (11.28 | )% | ||||||
TGGFX (Inception: April 1, 2011) | (25.36 | )% | (13.28 | )% | (11.25 | )% | ||||||
Bloomberg Commodities Index(2) | (25.71 | )% | (15.04 | )% | (13.41 | )% |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
(2) | Formerly the Dow Jones UBS Commodity Total Return Index. Rebranded July 1, 2014. |
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TCW Global Bond Fund
Management Discussions
The TCW Global Bond Fund (the “Fund”) fell 2.96% for both I Class and N Class shares for the year ended October 31, 2015. The Barclays Global Aggregate Index, the Fund’s benchmark, declined by 3.07% for the same period.
On an absolute basis, the negative return was largely driven by sovereign credits held in the Fund as prices declined during the period. However, the Fund’s allocation to these issues, and to lagging corporate bonds, remained underweight that of the Index, which contributed to outperformance as these sectors lagged duration matched US Treasuries by approximately 210 and 330 bps, respectively, over the course of the year. Performance was also supported by the large overweight to U.S. assets and smaller overweight to high-quality emerging markets like Romania due to their outperformance in global markets during the period. Meanwhile, the defensive duration position detracted as U.S. Treasury and other developed government bond rates fell. Additionally, while U.S. structured products largely outpaced other sectors during the year, exposure within the Fund to government guaranteed student loan ABS weighed on performance. Student loans issued under the Federal Family Education Loan Program (FFELP) weakened during the third quarter after Moody’s warned of potential downgrades to loans that could fail to repay by their final maturity dates as a result of new income based repayment plans. Although principal and interest payments remain guaranteed by the full faith and credit of the U.S. government, uncertainty surrounding the potential downgrade pushed spreads wider and limited trading in the sector.
Given expectations for increased volatility, further spread widening, tight liquidity conditions, and an eventual rise in U.S. Treasury rates, the Fund maintains a defensive and cautious profile. Duration remains shorter than the Index, but will gradually move toward neutral as rates edge higher, while the allocation among non-government fixed income sectors is conservative, with a focus on preserving liquidity to take advantage of dislocations when they happen, and enhance risk-adjusted yields by being a liquidity provider. In terms of country exposure, the Fund maintains a modest allocation to global developed markets (such as Japan, Italy, and the U.K.), largely through sovereign debt, though the largest relative overweight is U.S. exposure. The Fund’s domestic holdings focus on structured products such as mortgage and asset-backed securities, which continue to offer attractive protection from the excesses in credit markets given high quality and higher yields than Treasuries. However, certain parts of the market such as non-agency MBS, agency CMBS, senior tranches of CLOs, and certain student loan ABS are potentially susceptible to widening liquidity premiums, even if fundamentals are not in doubt, and careful attention to the overall liquidity profile is warranted. The extension risk to affected FFELP student loans is likely to be modest, especially since bonds are all uncapped floating rate securities, making them a potentially compelling buying opportunity once the uncertainty surrounding rating agency action has dissipated.
Finally, corporate credit exposure in the Fund continues to represent a relative underweight versus the benchmark and favors financials over industrials. Recent widening in investment grade, high yield, and EM credit has made these sectors look relatively more attractive than they did only a quarter ago. As such, investment grade corporate exposure is a candidate for increased exposure, while still maintaining a defensive posture overall relative to the benchmark. Increases to exposures will be at a measured pace, particularly in high yield and EM, as there is likely to be more volatility and even wider spreads going forward. While yield compensation has improved on a relative basis, it has not altered the Fund’s conservative risk posture, meaning that expectations remain for further repricing and yet better entry points ahead.
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TCW Global Bond Fund
Management Discussions (Continued)
Annualized Performance through October 31, 2015(1) | ||||||||||||
1 Year | 3 Year | Since Inception | ||||||||||
TGGBX (Inception: December 1, 2011) | -2.96 | % | -1.08 | % | 2.25 | % | ||||||
Barclays Global Aggregate Index | -3.07 | % | -1.47 | % | 0.20 | % | ||||||
TGGFX (Inception: December 1, 2011) | -2.96 | % | -1.08 | % | 2.25 | % | ||||||
Barclays Global Aggregate Index | -3.07 | % | -1.47 | % | 0.20 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
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TCW High Yield Bond Fund
Management Discussions
The TCW High Yield Bond Fund (the “Fund”) gained 1.74% and 1.34% for its I Class and N Class shares, respectively, for the year ended October 31, 2015. The performance of the Fund’s classes varies because of differing expenses. The Citigroup High Yield Cash Pay Index, the Fund’s benchmarked, lost 2.66% over the same period.
Sector positioning was favorable to returns, as the Fund had a relative underweight to the basic industry sector, specifically the aforementioned category of underperforming metals & mining. Also contributing to outperformance was a focus within energy on midstream credits which did not fare as poorly as E&P credits, a significant negative to the Index. In addition, security selection in electric utilities was particularly additive to performance, as was the focus on Tier I and II credits as higher quality credit outperformed significantly. Meanwhile, the defensive duration position weighed on returns as U.S. Treasury rates fell.
Given expectations for increased volatility, further spread widening, tight liquidity conditions, and an eventual rise in US Treasury rates, the Fund maintains a defensive and cautious profile with a duration profile shorter than that of the Index. Bank loans and other floating rate debt remain an element of this strategy, with bank loans also bearing a benefit of somewhat higher quality. Additionally, by ensuring that the Fund remains up-in-quality and defensively positioned with adequate liquidity, the portfolio is poised to undertake opportunistic trades as volatility increases and the opportunity set gets larger. Industry weights reflect continuing defensiveness with spread duration underweights to cyclicals, basic industries and capital goods, on the view that there will be better entry points on valuations as the credit cycle continues to age. Towards the end of the year, E&P exposure was reduced to roughly half the index weight as “lower prices for longer” will likely lead to increased pressure on energy credits. Although less susceptible to energy prices, the midstream overweight was also reduced significantly. Large overweights include utilities, packaging, communications and healthcare. The majority of these sectors are defensive and less cyclical in nature, which should outperform during a rise in volatility. The recent new issues in the communications sectors created an attractive opportunity to increase exposure in several fundamentally sound credits which priced cheaply to clear the market. Risks to our portfolio positioning include stabilization in China, a rebound in risk appetite for CCC issuers and a faster than anticipated rebound in oil and gas prices.
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TCW High Yield Bond Fund
Management Discussions (Continued)
Annualized Performance through October 31, 2015(1) | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Since Inception(2) | ||||||||||||||||
TGHYX (Inception: February 1, 1989) | 1.74 | % | 4.46 | % | 5.06 | % | 6.29 | % | 7.35 | % | ||||||||||
Citigroup High Yield Cash Pay Capped Index | -2.66 | % | 3.61 | % | 5.87 | % | 6.98 | % | 7.99 | % | ||||||||||
TGHNX (Inception: March 31, 1999) | 1.34 | % | 4.21 | % | 4.89 | % | 6.07 | % | 5.30 | % | ||||||||||
Citigroup High Yield Cash Pay Capped Index | -2.66 | % | 3.61 | % | 5.87 | % | 6.98 | % | 6.58 | % |
(1) | 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 before the Fund’s registration became effective. The predecessor entity was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If that entity had been registered under the 1940 Act, the performance may have been lower. |
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TCW Short Term Bond Fund
Management Discussions
The TCW Short Term Bond Fund (the “Fund”) returned 0.25% for the year period ended October 31, 2015. The Citigroup 1-Year Treasury Index, the Fund’s benchmark, returned 0.26% for the same period.
Returns benefitted from the broad sector exposure in the Fund. Specifically, the allocation to residential and commercial mortgage backed securities (“MBS”) contributed to performance with agency CMBS outpacing duration matched U.S. Treasuries by approximately 56 bps over the year, while non-agency MBS prices moved higher on continued improvements in fundamentals such as increased prepayment activity and declining delinquencies. Meanwhile, the allocation to corporate credit resulted in a small drag as the sector significantly lagged U.S. Treasuries during the year.
Given expectations for increased volatility, further spread widening, tight liquidity conditions, and an eventual rise in U.S. Treasury rates, the Fund maintains a defensive and cautious profile. Duration remains shorter than the Index, but will gradually move toward neutral as rates edge higher, while the allocation among non-government fixed income sectors is conservative, with a focus on preserving liquidity to take advantage of dislocations when they happen, and enhance risk-adjusted yields by being a liquidity provider. The relative underweight to U.S. Government debt is taken up by an overweight to residential and commercial mortgage backed securities which continue to offer attractive protection from the excesses in credit markets given high quality and higher yields than Treasuries. However, certain parts of the market such as non-agency MBS and agency CMBS are potentially susceptible to widening liquidity premiums, even if fundamentals are not in doubt, and careful attention to the overall liquidity profile is warranted. Agency MBS holdings remain focused on lower coupon, low loan balance pools and short well-structured collateralized mortgage obligations (CMOs) given relatively stable duration profiles.
Investment grade credit exposure in the Fund continues to favor financials over industrials, with a modest allocation to high yield issues. Recent widening in investment grade credit has made the sector look relatively more attractive than it did only a quarter ago. As such, investment grade corporate exposure is a candidate for increased exposure, while still maintaining a defensive posture overall. Increases to exposures will be at a measured pace as there is likely to be more volatility and even wider spreads going forward. While yield compensation has improved on a relative basis, it has not altered the Fund’s conservative risk posture, meaning that expectations remain for further repricing and yet better entry points ahead.
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TCW Short Term Bond Fund
Management Discussions (Continued)
Annualized Performance through October 31, 2015(1) | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Since Inception(2) | ||||||||||||||||
TGSMX (Inception: February 1, 1990) | 0.25 | % | 0.52 | % | 1.03 | % | 2.25 | % | 4.22 | % | ||||||||||
Citigroup 1-Year Treasury Index | 0.26 | % | 0.29 | % | 0.34 | % | 1.85 | % | 3.80 | % |
(1) | 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 before the Fund’s registration became effective. The predecessor entity was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If that entity had been registered under the 1940 Act, the performance may have been lower. |
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TCW Total Return Bond Fund
Management Discussions
The TCW Total Return Bond Fund (the “Fund”) returned 2.24% and 1.83% on its I Class and N Class shares, respectively, for the year ended October 31, 2015. The performance of the Fund’s classes varies because of differing expenses. The Barclays Aggregate Index, the Fund’s benchmark, returned 1.96% for the same period.
Outperformance was driven in part by the lack of exposure to corporates and sovereign credit which lagged duration matched U.S. Treasuries by roughly 210 and 330 bps, respectively, for the year, significantly weighing on the Index. Also contributing to outperformance was the relative overweight to residential mortgage backed securities (“MBS”). Non-agency MBS (not held in the Index) benefited from solid demand and continued improvements in the underlying collateral, particularly alt-A and sub-prime backed issues, while agency MBS outpaced the Index by nearly 40 bps on a duration adjusted basis. Meanwhile, the defensive duration position detracted as U.S. Treasury rates fell, and exposure within the Fund to government guaranteed student loan ABS weighed on performance. Student loans issued under the Federal Family Education Loan Program (FFELP) weakened during the third quarter after Moody’s warned of potential downgrades to loans that could fail to repay by their final maturity dates as a result of new income based repayment plans. Although principal and interest payments remain guaranteed by the full faith and credit of the U.S. government, uncertainty surrounding the potential downgrade pushed spreads wider and limited trading in the sector.
Given expectations for increased volatility, further spread widening, tight liquidity conditions, and an eventual rise in U.S. Treasury rates, the Fund maintains a defensive and cautious profile. Duration remains shorter than the Index, but will gradually move toward neutral as rates edge higher, while the allocation among non-government fixed income sectors is conservative, with a focus on preserving liquidity to take advantage of dislocations when they happen, and enhance risk-adjusted yields by being a liquidity provider. The relative underweight to US Government debt is taken up by an overweight to mortgage and asset-backed securities which continue to offer attractive protection from the excesses in credit markets given high quality and higher yields than Treasuries. However, certain parts of the market such as non-agency MBS, agency CMBS, senior tranches of CLOs, and certain student loan ABS are potentially susceptible to widening liquidity premiums, even if fundamentals are not in doubt, and careful attention to the overall liquidity profile is warranted. The extension risk to affected FFELP student loans is likely to be modest, especially since bonds are all uncapped floating rate securities, making them a potentially compelling buying opportunity once the uncertainty surrounding rating agency action has dissipated.
Finally, agency mortgages continue to represent a core position of the Fund, with an ongoing underweight to premium coupon issues given potential prepayment risk, as well as potential extension risk associated with a rising rate environment as refinance activity diminishes and maturities lengthen in duration. While TBAs (to-be-announced securities) have been used to express much of this exposure due to their relative attractiveness and liquidity, the value opportunity in TBAs has begun to diminish, making low pay-up specified pools more attractive. As a result, some of the TBA exposure was replaced with specified pools with desirable collateral characteristics during the third quarter. Additionally, the Fund maintains an allocation to collateralized mortgage obligations (CMOs) including floating rate issues which help protect against rising interest rates.
14
Table of Contents
TCW Total Return Bond Fund
Management Discussions (Continued)
Annualized Performance through October 31, 2015(1) | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Since Inception | ||||||||||||||||
TGLMX (Inception: June 17, 1993) | 2.24 | % | 3.33 | % | 5.09 | % | 7.00 | % | 6.87 | % | ||||||||||
Barclays Aggregate Index | 1.96 | % | 1.65 | % | 3.03 | % | 4.72 | % | 5.60 | % | ||||||||||
TGMNX (Inception: March 1, 1999) | 1.83 | % | 3.01 | % | 4.78 | % | 6.68 | % | 6.46 | % | ||||||||||
Barclays Aggregate Index | 1.96 | % | 1.65 | % | 3.03 | % | 4.72 | % | 5.20 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
15
Table of Contents
Principal Amount | Fixed Income Securities | Value | ||||||
Corporate Bonds (19.2% of Net Assets) | ||||||||
Airlines (0.6%) | ||||||||
$ | 2,245,962 | America West Airlines, Inc. Pass-Through Certificates, (01-1), | $ | 2,441,091 | ||||
47,192 | Continental Airlines, Inc. Pass-Through Certificates, (00-2-A1), | 51,424 | ||||||
1,027,497 | Continental Airlines, Inc. Pass-Through Certificates, (07-1-A), | 1,145,659 | ||||||
747,850 | Continental Airlines, Inc. Pass-Through Certificates, (09-2-A1), | 849,278 | ||||||
942,320 | Continental Airlines, Inc. Pass-Through Certificates, (09-2-A1), | 988,376 | ||||||
791,110 | Continental Airlines, Inc. Pass-Through Certificates, (99-1-A), | 851,927 | ||||||
500,215 | Northwest Airlines LLC Pass-Through Certificates, (01-1-A1), | 566,494 | ||||||
532,114 | US Airways Group, Inc. Pass-Through Certificates, (10-1A), | 598,628 | ||||||
2,117,742 | US Airways Group, Inc. Pass-Through Certificates, (12-1A), 5.9%, due 04/01/26 (EETC) | 2,353,340 | ||||||
865,622 | US Airways Group, Inc. Pass-Through Certificates, (12-2-A), | 911,609 | ||||||
|
| |||||||
Total Airlines | 10,757,826 | |||||||
|
| |||||||
Auto Manufacturers (0.5%) | ||||||||
3,000,000 | Ford Motor Credit Co. LLC, 1.259%, due 01/09/18 (1) | 2,979,537 | ||||||
3,000,000 | Ford Motor Credit Co. LLC, 1.7%, due 05/09/16 | 3,007,626 | ||||||
2,500,000 | General Motors Financial Co., Inc., 3.1%, due 01/15/19 | 2,517,500 | ||||||
|
| |||||||
Total Auto Manufacturers | 8,504,663 | |||||||
|
| |||||||
Banks (5.4%) | ||||||||
1,500,000 | Bank of America Corp., 1.196%, due 04/01/19 (1) | 1,499,932 | ||||||
1,100,000 | Bank of America Corp., 5.65%, due 05/01/18 | 1,200,312 | ||||||
2,000,000 | Bank of America Corp., 6.5%, due 08/01/16 | 2,081,724 | ||||||
2,550,000 | Bank of America N.A., 0.617%, due 06/15/16 (1) | 2,544,894 | ||||||
1,000,000 | Bank of America N.A., 0.637%, due 06/15/17 (1) | 993,623 | ||||||
1,250,000 | Bank of America N.A., 5.3%, due 03/15/17 | 1,311,724 | ||||||
2,300,000 | Bank of America N.A., 6.1%, due 06/15/17 | 2,455,419 | ||||||
250,000 | Barclays Bank PLC (United Kingdom), 5%, due 09/22/16 | 258,753 | ||||||
1,630,000 | Barclays PLC (United Kingdom), 5.25%, due 08/17/45 | 1,702,852 | ||||||
2,450,000 | Capital One N.A., 2.35%, due 08/17/18 | 2,465,355 | ||||||
1,000,000 | Chase Capital VI, 0.925%, due 08/01/28 (1) | 855,000 | ||||||
1,930,000 | Citigroup, Inc., 1.28%, due 07/25/16 (1) | 1,935,568 | ||||||
4,717,000 | Citigroup, Inc., 5.3%, due 01/07/16 | 4,754,966 | ||||||
1,110,000 | Citigroup, Inc., 5.375%, due 08/09/20 | 1,249,544 | ||||||
425,000 | Citigroup, Inc., 6%, due 08/15/17 | 457,440 | ||||||
275,000 | Citigroup, Inc., 6.125%, due 05/15/18 | 302,523 | ||||||
725,000 | Citigroup, Inc., 8.5%, due 05/22/19 | 875,979 | ||||||
5,000,000 | Credit Suisse Group Funding Guernsey, Ltd., 3.8%, due 09/15/22 (2) | 5,055,087 |
See accompanying notes to financial statements.
16
Table of Contents
TCW Core Fixed Income Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Banks (Continued) | ||||||||
$ | 1,495,000 | Discover Bank/Greenwood DE, 7%, due 04/15/20 | $ | 1,724,519 | ||||
475,000 | First Chicago NBD Institutional Capital I, 0.85%, due 02/01/27 (1) | 408,298 | ||||||
2,000,000 | Goldman Sachs Group, Inc. (The), 1.6%, due 11/23/15 | 2,002,042 | ||||||
1,500,000 | Goldman Sachs Group, Inc. (The), 1.925%, due 11/29/23 (1) | 1,513,355 | ||||||
1,000,000 | Goldman Sachs Group, Inc. (The), 5.25%, due 07/27/21 | 1,118,854 | ||||||
2,000,000 | Goldman Sachs Group, Inc. (The), 5.35%, due 01/15/16 | 2,019,610 | ||||||
2,000,000 | Goldman Sachs Group, Inc. (The), 5.95%, due 01/18/18 | 2,183,030 | ||||||
50,000 | Goldman Sachs Group, Inc. (The), 6%, due 06/15/20 | 57,339 | ||||||
1,550,000 | Goldman Sachs Group, Inc. (The), 6.15%, due 04/01/18 | 1,706,837 | ||||||
4,000,000 | HBOS PLC (United Kingdom), (144A), 6.75%, due 05/21/18 (2) | 4,407,382 | ||||||
4,100,000 | JPMorgan Chase & Co., 2.55%, due 10/29/20 | 4,084,299 | ||||||
1,500,000 | JPMorgan Chase & Co., 3.15%, due 07/05/16 | 1,524,571 | ||||||
475,000 | JPMorgan Chase & Co., 7.25%, due 02/01/18 | 531,538 | ||||||
2,000,000 | JPMorgan Chase Bank N.A., 0.666%, due 06/13/16 (1) | 1,997,226 | ||||||
500,000 | JPMorgan Chase Bank N.A., 5.875%, due 06/13/16 | 514,936 | ||||||
3,875,000 | JPMorgan Chase Bank N.A., 6%, due 10/01/17 | 4,194,885 | ||||||
730,000 | JPMorgan Chase Capital XIII, 1.277%, due 09/30/34 (1) | 618,675 | ||||||
5,750,000 | JPMorgan Chase Capital XXI, 1.25%, due 01/15/87 (1) | 4,463,437 | ||||||
2,000,000 | JPMorgan Chase Capital XXIII, 1.321%, due 05/15/77 (1) | 1,487,500 | ||||||
850,000 | Lloyds TSB Bank PLC (United Kingdom), (144A), 5.8%, due 01/13/20 (2) | 965,202 | ||||||
2,750,000 | Macquarie Bank, Ltd. (Australia), (144A), 6.625%, due 04/07/21 (2) | 3,108,823 | ||||||
1,290,000 | Morgan Stanley, 0.765%, due 10/18/16 (1) | 1,288,467 | ||||||
1,500,000 | Morgan Stanley, 4.75%, due 03/22/17 | 1,567,587 | ||||||
575,000 | Morgan Stanley, 5.45%, due 01/09/17 | 602,422 | ||||||
600,000 | Morgan Stanley, 5.5%, due 07/24/20 | 674,442 | ||||||
1,750,000 | Morgan Stanley, 5.625%, due 09/23/19 | 1,957,505 | ||||||
975,000 | Morgan Stanley, 6.625%, due 04/01/18 | 1,083,459 | ||||||
375,000 | Morgan Stanley, 7.3%, due 05/13/19 | 437,548 | ||||||
875,000 | Royal Bank of Scotland PLC (The) (United Kingdom), 6.1%, due 06/10/23 | 954,759 | ||||||
3,305,000 | UBS AG (Switzerland), 1.8%, due 03/26/18 | 3,309,480 | ||||||
1,000,000 | UBS AG (Switzerland), 5.875%, due 07/15/16 | 1,032,214 | ||||||
1,630,000 | UBS Group Funding Jersey, Ltd., (144A), 4.125%, due 09/24/25 (2) | 1,639,022 | ||||||
2,355,000 | Wells Fargo & Co., 2.6%, due 07/22/20 | 2,376,215 | ||||||
|
| |||||||
Total Banks | 89,556,173 | |||||||
|
| |||||||
Biotechnology (0.5%) | ||||||||
2,450,000 | Biogen, Inc., 5.2%, due 09/15/45 | 2,470,193 | ||||||
2,400,000 | Celgene Corp., 3.875%, due 08/15/25 | 2,411,088 | ||||||
3,000,000 | Gilead Sciences, Inc., 3.25%, due 09/01/22 | 3,043,624 | ||||||
|
| |||||||
Total Biotechnology | 7,924,905 | |||||||
|
| |||||||
Chemicals (0.0%) | ||||||||
101,000 | Rohm and Haas Co., 6%, due 09/15/17 | 108,725 | ||||||
|
| |||||||
Commercial Services (0.3%) | ||||||||
4,185,000 | Catholic Health Initiatives, 4.2%, due 08/01/23 | 4,412,172 | ||||||
|
|
See accompanying notes to financial statements.
17
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Diversified Financial Services (0.7%) | ||||||||
$ 1,675,000 | American Express Credit Corp., 2.6%, due 09/14/20 | $ | 1,690,584 | |||||
2,835,000 | GE Capital International Funding Co., (144A), 0.964%, due 04/15/16 (2) | 2,834,632 | ||||||
747,000 | GE Capital International Funding Co., (144A), 3.373%, due 11/15/25 (2) | 756,129 | ||||||
565,000 | General Electric Capital Corp., 0.684%, due 05/05/26 (1) | 530,196 | ||||||
3,315,000 | General Electric Capital Corp., 0.801%, due 08/15/36 (1) | 2,825,696 | ||||||
287,000 | General Electric Capital Corp., 3.15%, due 09/07/22 | 296,030 | ||||||
1,000,000 | International Lease Finance Corp., (144A), 6.75%, due 09/01/16 (2) | 1,038,800 | ||||||
2,000,000 | International Lease Finance Corp., (144A), 7.125%, due 09/01/18 (2) | 2,222,500 | ||||||
|
| |||||||
Total Diversified Financial Services | 12,194,567 | |||||||
|
| |||||||
Electric (1.1%) | ||||||||
1,500,000 | Appalachian Power Co., 4.45%, due 06/01/45 | 1,464,315 | ||||||
2,205,000 | Berkshire Hathaway Energy Co., 4.5%, due 02/01/45 | 2,214,903 | ||||||
2,250,000 | El Paso Electric Co., 3.3%, due 12/15/22 | 2,201,166 | ||||||
3,000,000 | Entergy Mississippi, Inc., 3.1%, due 07/01/23 | 2,950,407 | ||||||
3,300,000 | Metropolitan Edison Co., (144A), 3.5%, due 03/15/23 (2) | 3,257,151 | ||||||
1,000,000 | Niagara Mohawk Power Corp., (144A), 2.721%, due 11/28/22 (2) | 971,385 | ||||||
400,000 | NiSource Finance Corp., 6.8%, due 01/15/19 | 458,019 | ||||||
150,000 | Oncor Electric Delivery Co. LLC, 5.25%, due 09/30/40 | 165,146 | ||||||
2,545,000 | Public Service Co. of New Mexico, 7.949%, due 05/15/18 | 2,886,620 | ||||||
1,000,000 | Tucson Electric Power Co., 5.15%, due 11/15/21 | 1,113,811 | ||||||
|
| |||||||
Total Electric | 17,682,923 | |||||||
|
| |||||||
Energy-Alternate Sources (0.1%) | ||||||||
1,231,466 | Alta Wind Holdings LLC, (144A), 7%, due 06/30/35 (2) | 1,332,152 | ||||||
|
| |||||||
Food (0.2%) | ||||||||
143,000 | Kraft Foods Group, Inc., 5.375%, due 02/10/20 | 159,070 | ||||||
2,467,000 | Kraft Heinz Foods Co., (144A), 1.6%, due 06/30/17 (2) | 2,469,810 | ||||||
|
| |||||||
Total Food | 2,628,880 | |||||||
|
| |||||||
Gas (0.4%) | ||||||||
460,000 | CenterPoint Energy Resources Corp., 6.15%, due 05/01/16 | 471,688 | ||||||
1,750,000 | CenterPoint Energy Resources Corp., 6.25%, due 02/01/37 | 2,083,746 | ||||||
3,265,000 | KeySpan Gas East Corp., (144A), 5.819%, due 04/01/41 (2) | 3,871,415 | ||||||
|
| |||||||
Total Gas | 6,426,849 | |||||||
|
| |||||||
Healthcare-Products (0.0%) | ||||||||
250,000 | Covidien International Finance S.A. (Ireland), 6%, due 10/15/17 | 272,409 | ||||||
|
| |||||||
Healthcare-Services (1.4%) | ||||||||
175,000 | Anthem, Inc., 5.875%, due 06/15/17 | 186,809 | ||||||
2,545,000 | Hartford HealthCare Corp., 5.746%, due 04/01/44 | 2,789,051 | ||||||
3,000,000 | North Shore Long Island Jewish Health Care, Inc., 4.8%, due 11/01/42 | 2,869,102 | ||||||
1,305,000 | North Shore Long Island Jewish Health Care, Inc., 6.15%, due 11/01/43 | 1,557,605 | ||||||
3,000,000 | NYU Hospitals Center, 4.428%, due 07/01/42 | 2,859,174 | ||||||
60,000 | NYU Hospitals Center, 5.75%, due 07/01/43 | 70,344 | ||||||
3,860,000 | Providence Health & Services Obligated Group, 1.276%, due 10/01/17 (1) | 3,882,478 |
See accompanying notes to financial statements.
18
Table of Contents
TCW Core Fixed Income Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Healthcare-Services (Continued) | ||||||||
$ 3,290,000 | Saint Barnabas Health Care System, 4%, due 07/01/28 | $ | 3,306,450 | |||||
2,270,000 | Sutter Health, 2.286%, due 08/15/53 | 2,261,487 | ||||||
2,460,000 | UnitedHealth Group, Inc., 4.625%, due 07/15/35 | 2,617,695 | ||||||
|
| |||||||
Total Healthcare-Services | 22,400,195 | |||||||
|
| |||||||
Insurance (1.5%) | ||||||||
2,500,000 | Berkshire Hathaway Finance Corp., 4.4%, due 05/15/42 | 2,474,752 | ||||||
1,625,000 | Farmers Exchange Capital, (144A), 7.2%, due 07/15/48 (2) | 2,079,290 | ||||||
2,250,000 | Farmers Exchange Capital II, (144A), 6.151%, due 11/01/53 (1)(2) | 2,396,250 | ||||||
800,000 | MetLife, Inc., 4.368%, due 09/15/23 | 865,250 | ||||||
300,000 | MetLife, Inc., 5.7%, due 06/15/35 | 356,137 | ||||||
2,300,000 | Metropolitan Life Global Funding I, (144A), 0.851%, due 07/15/16 (1)(2) | 2,306,215 | ||||||
3,460,000 | Metropolitan Life Global Funding I, (144A), 3.875%, due 04/11/22 (2) | 3,648,023 | ||||||
4,000,000 | Pricoa Global Funding I, (144A), 1.6%, due 05/29/18 (2) | 4,004,338 | ||||||
1,000,000 | Prudential Financial, Inc., 4.5%, due 11/15/20 | 1,088,270 | ||||||
4,850,000 | ZFS Finance USA Trust II, (144A), 6.45%, due 12/15/65 (1)(2) | 4,922,750 | ||||||
|
| |||||||
Total Insurance | 24,141,275 | |||||||
|
| |||||||
Media (0.3%) | ||||||||
4,130,000 | CCO Safari II LLC, (144A), 4.908%, due 07/23/25 (2) | 4,204,398 | ||||||
200,000 | NBCUniversal Media LLC, 5.15%, due 04/30/20 | 225,948 | ||||||
|
| |||||||
Total Media | 4,430,346 | |||||||
|
| |||||||
Mining (0.1%) | ||||||||
2,400,000 | Barrick Gold Corp. (Canada), 4.1%, due 05/01/23 | 2,233,584 | ||||||
300,000 | Southern Copper Corp. (Peru), 7.5%, due 07/27/35 | 312,590 | ||||||
|
| |||||||
Total Mining | 2,546,174 | |||||||
|
| |||||||
Oil & Gas (0.3%) | ||||||||
250,000 | Anadarko Petroleum Corp., 5.95%, due 09/15/16 | 259,316 | ||||||
1,700,000 | Exxon Mobil Corp., 3.567%, due 03/06/45 | 1,627,857 | ||||||
1,000,000 | Noble Energy, Inc., 5.05%, due 11/15/44 | 914,156 | ||||||
2,500,000 | Shell International Finance BV (Netherlands), 4.375%, due 05/11/45 | 2,500,832 | ||||||
|
| |||||||
Total Oil & Gas | 5,302,161 | |||||||
|
| |||||||
Pharmaceuticals (0.4%) | ||||||||
2,000,000 | AbbVie, Inc., 4.7%, due 05/14/45 | 1,920,210 | ||||||
1,997,000 | Actavis Funding SCS, 2.45%, due 06/15/19 | 1,984,434 | ||||||
2,600,000 | Actavis Funding SCS, 4.75%, due 03/15/45 | 2,496,031 | ||||||
|
| |||||||
Total Pharmaceuticals | 6,400,675 | |||||||
|
| |||||||
Pipelines (1.6%) | ||||||||
1,000,000 | El Paso Pipeline Partners Operating Co. LLC, 5%, due 10/01/21 | 999,147 | ||||||
2,000,000 | Enbridge Energy Partners LP, 5.875%, due 10/15/25 | 2,019,182 | ||||||
3,500,000 | Energy Transfer Partners LP, 5.95%, due 10/01/43 | 3,072,941 | ||||||
2,000,000 | EnLink Midstream Partners LP, 4.15%, due 06/01/25 | 1,828,026 | ||||||
1,125,000 | Enterprise Products Operating LLC, 4.9%, due 05/15/46 | 1,031,054 |
See accompanying notes to financial statements.
19
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Pipelines (Continued) | ||||||||
$ 2,000,000 | Florida Gas Transmission Co. LLC, (144A), 3.875%, due 07/15/22 (2) | $ | 1,990,087 | |||||
250,000 | Florida Gas Transmission Co. LLC, (144A), 7.9%, due 05/15/19 (2) | 289,148 | ||||||
675,000 | Panhandle Eastern Pipe Line Co. LP, 7%, due 06/15/18 | 751,174 | ||||||
825,000 | Panhandle Eastern Pipe Line Co. LP, 8.125%, due 06/01/19 | 957,119 | ||||||
2,350,000 | Ruby Pipeline LLC, (144A), 6%, due 04/01/22 (2) | 2,470,007 | ||||||
2,590,000 | Southern Natural Gas Co. LLC, 7.35%, due 02/15/31 | 2,974,824 | ||||||
3,245,000 | Spectra Energy Partners LP, 4.5%, due 03/15/45 | 2,747,598 | ||||||
2,000,000 | TC PipeLines LP, 4.375%, due 03/13/25 | 1,884,173 | ||||||
575,000 | Tennessee Gas Pipeline Co., 8%, due 02/01/16 | 584,465 | ||||||
2,090,000 | Tennessee Gas Pipeline Co., 8.375%, due 06/15/32 | 2,178,524 | ||||||
375,000 | TransCanada PipeLines, Ltd. (Canada), 6.1%, due 06/01/40 | 423,157 | ||||||
|
| |||||||
Total Pipelines | 26,200,626 | |||||||
|
| |||||||
Real Estate (0.1%) | ||||||||
850,000 | Post Apartment Homes LP, 4.75%, due 10/15/17 | 897,679 | ||||||
|
| |||||||
REIT (2.1%) | ||||||||
2,250,000 | Alexandria Real Estate Equities, Inc., 4.6%, due 04/01/22 | 2,353,745 | ||||||
3,000,000 | ARC Properties Operating Partnership LP / Clark Acquisition LLC, | 2,949,225 | ||||||
3,000,000 | AvalonBay Communities, Inc., 2.95%, due 09/15/22 | 2,949,129 | ||||||
1,000,000 | AvalonBay Communities, Inc., 3.95%, due 01/15/21 | 1,047,541 | ||||||
2,200,000 | Boston Properties LP, 5.875%, due 10/15/19 | 2,468,096 | ||||||
2,295,000 | HCP, Inc., 3.875%, due 08/15/24 | 2,244,533 | ||||||
1,500,000 | HCP, Inc., 5.625%, due 05/01/17 | 1,584,413 | ||||||
3,000,000 | HCP, Inc., 6%, due 01/30/17 | 3,155,382 | ||||||
715,000 | HCP, Inc., 6.3%, due 09/15/16 | 744,286 | ||||||
2,900,000 | Healthcare Realty Trust, Inc., 5.75%, due 01/15/21 | 3,237,253 | ||||||
1,459,000 | Highwoods Realty LP, 7.5%, due 04/15/18 | 1,637,246 | ||||||
2,440,000 | SL Green Realty Corp., 5%, due 08/15/18 | 2,593,197 | ||||||
1,000,000 | SL Green Realty Corp., 7.75%, due 03/15/20 | 1,184,974 | ||||||
1,500,000 | Ventas Realty LP / Ventas Capital Corp., 2.7%, due 04/01/20 | 1,489,147 | ||||||
605,000 | Welltower, Inc., 3.75%, due 03/15/23 | 597,577 | ||||||
545,000 | Welltower, Inc., 4.95%, due 01/15/21 | 590,695 | ||||||
3,400,000 | Welltower, Inc., 6.125%, due 04/15/20 | 3,866,983 | ||||||
|
| |||||||
Total REIT | 34,693,422 | |||||||
|
| |||||||
Retail (0.4%) | ||||||||
1,960,000 | CVS Health Corp., 3.875%, due 07/20/25 | 2,019,937 | ||||||
2,100,000 | Wal-Mart Stores, Inc., 4.75%, due 10/02/43 | 2,281,336 | ||||||
3,000,000 | Walgreens Boots Alliance, Inc., 0.775%, due 05/18/16 (1) | 2,996,583 | ||||||
|
| |||||||
Total Retail | 7,297,856 | |||||||
|
| |||||||
Software (0.4%) | ||||||||
4,975,000 | Microsoft Corp., 3.125%, due 11/03/25 | 5,011,974 | ||||||
2,000,000 | Microsoft Corp., 3.75%, due 02/12/45 | 1,848,472 | ||||||
|
| |||||||
Total Software | 6,860,446 | |||||||
|
|
See accompanying notes to financial statements.
20
Table of Contents
TCW Core Fixed Income Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Telecommunications (0.7%) | ||||||||
$ 1,500,000 | AT&T, Inc., 4.75%, due 05/15/46 | $ | 1,382,550 | |||||
1,500,000 | AT&T, Inc., 5.35%, due 09/01/40 | 1,500,156 | ||||||
739,000 | AT&T, Inc., 6.5%, due 09/01/37 | 841,938 | ||||||
1,500,000 | Qwest Corp., 7.25%, due 09/15/25 | 1,615,512 | ||||||
2,000,000 | Verizon Communications, Inc., 2.086%, due 09/14/18 (1) | 2,056,184 | ||||||
600,000 | Verizon Communications, Inc., 4.522%, due 09/15/48 | 541,179 | ||||||
2,000,000 | Verizon Communications, Inc., 4.862%, due 08/21/46 | 1,918,744 | ||||||
1,250,000 | Verizon Communications, Inc., 5.15%, due 09/15/23 | 1,396,488 | ||||||
125,000 | Verizon Communications, Inc., 6.25%, due 04/01/37 | 142,963 | ||||||
|
| |||||||
Total Telecommunications | 11,395,714 | |||||||
|
| |||||||
Transportation (0.1%) | ||||||||
2,385,000 | Burlington Northern Santa Fe LLC, 4.15%, due 04/01/45 | 2,240,191 | ||||||
|
| |||||||
Total Corporate Bonds (Cost: $313,859,583) | 316,609,004 | |||||||
|
| |||||||
Municipal Bonds (0.7%) |
| |||||||
1,500,000 | City of New York, General Obligation Unlimited, 5.047%, due 10/01/24 | 1,730,400 | ||||||
1,250,000 | City of New York, General Obligation Unlimited, 5.517%, due 10/01/37 | 1,469,688 | ||||||
805,000 | Fiscal Year 2005 Securitization Corp., Special Obligation Bond for the City of New York, 4.93%, due 04/01/20 | 878,851 | ||||||
3,000,000 | New York City Transitional Finance Authority, Future Tax Secured Revenue Bond, 5.572%, due 11/01/38 | 3,609,900 | ||||||
2,000,000 | New York City Water & Sewer System, Revenue Bond, 5.882%, due 06/15/44 | 2,573,720 | ||||||
730,000 | New York State, Build America Bonds, General Obligation Unlimited, | 809,818 | ||||||
|
| |||||||
Total Municipal Bonds (Cost: $11,012,870) | 11,072,377 | |||||||
|
| |||||||
Foreign Government Bonds (Cost: $198,668) (0.0%) |
| |||||||
200,000 | Province of Manitoba (Canada), 4.9%, due 12/06/16 | 208,933 | ||||||
|
| |||||||
Asset-Backed Securities (8.9%) |
| |||||||
1,944,698 | 321 Henderson Receivables I LLC (13-3A-A), (144A), 4.08%, due 01/17/73 (2) | 2,062,888 | ||||||
2,286,164 | 321 Henderson Receivables I LLC (14-2A-A), (144A), 3.61%, due 01/17/73 (2) | 2,316,936 | ||||||
2,800,000 | Academic Loan Funding Trust (12-1A-A2), (144A), 1.296%, due 12/27/44 (1)(2) | 2,701,537 | ||||||
2,350,000 | AMMC CDO (14-14A-A1L), (144A), 1.745%, due 07/27/26 (1)(2) | 2,332,845 | ||||||
1,000,000 | Babson CLO, Ltd. (14-IIA-A), (144A), 1.707%, due 10/17/26 (1)(2) | 991,613 | ||||||
1,000,000 | Babson CLO, Ltd. (15-IA-A), (144A), 1.747%, due 04/20/27 (1)(2) | 993,620 | ||||||
1,600,000 | Ballyrock CLO, Ltd. (14-1A-A1), (144A), 1.767%, due 10/20/26 (1)(2) | 1,594,033 | ||||||
1,989,977 | Bayview Commercial Asset Trust (06-4A-A1), (144A), 0.426%, due 12/25/36 (1)(2) | 1,733,672 | ||||||
1,608,918 | Brazos Education Loan Authority, Inc. (12-1-A1), 0.896%, due 12/26/35 (1) | 1,561,860 | ||||||
646,320 | Brazos Higher Education Authority, Inc. (06-2-A9), 0.335%, due 12/26/24 (1) | 609,904 | ||||||
675,000 | Brazos Higher Education Authority, Inc. (10-1-A2), 1.529%, due 02/25/35 (1) | 664,299 | ||||||
1,695,000 | Brazos Higher Education Authority, Inc. (11-1-A3), 1.379%, due 11/25/33 (1) | 1,639,950 | ||||||
4,160,000 | Chase Issuance Trust (15-A6-A6), 0.446%, due 05/15/19 (1) | 4,154,796 | ||||||
4,070,000 | Citibank Credit Card Issuance Trust (14-A3-A3), 0.396%, due 05/09/18 (1) | 4,068,936 | ||||||
525,079 | College Loan Corp. Trust (05-2-A3), 0.451%, due 04/15/25 (1) | 523,569 | ||||||
3,960,000 | Dryden Senior Loan Fund (15-37A-A), (144A), 1.821%, due 04/15/27 (1)(2) | 3,940,584 | ||||||
2,912,983 | Educational Funding of the South, Inc. (11-1-A2), 0.97%, due 04/25/35 (1) | 2,829,668 |
See accompanying notes to financial statements.
21
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Asset-Backed Securities (Continued) | ||||||||
$ 1,375,890 | Educational Services of America, Inc. (12-2-A), (144A), 0.926%, due 04/25/39 (1)(2) | $ | 1,360,682 | |||||
2,500,000 | Flatiron CLO, Ltd. (14-1A-A1), (144A), 1.695%, due 07/17/26 (1)(2) | 2,475,150 | ||||||
2,917,508 | GCO Education Loan Funding Master Trust (06-2AR-A1RN), (144A), | 2,675,943 | ||||||
667,838 | GE Business Loan Trust (04-2A-A), (144A), 0.416%, due 12/15/32 (1)(2) | 656,039 | ||||||
2,699,375 | Global SC Finance SRL (14-1A-A2), (144A), 3.09%, due 07/17/29 (2) | 2,673,072 | ||||||
2,747,899 | Higher Education Funding I (14-1-A), (144A), 1.379%, due 05/25/34 (1)(2) | 2,679,935 | ||||||
1,972,153 | Honda Auto Receivables Owner Trust (13-3-A3), 0.77%, due 05/15/17 | 1,972,321 | ||||||
4,160,000 | Honda Auto Receivables Owner Trust (15-4-A2), 0.82%, due 07/23/18 | 4,160,642 | ||||||
3,600,000 | Limerock CLO II, Ltd. (14-2A-A), (144A), 1.817%, due 04/18/26 (1)(2) | 3,579,919 | ||||||
3,400,000 | Magnetite XI, Ltd. (14-11A-A1), (144A), 1.767%, due 01/18/27 (1)(2) | 3,379,458 | ||||||
3,260,000 | Magnetite XII, Ltd. (15-12A-A), (144A), 1.821%, due 04/15/27 (1)(2) | 3,247,118 | ||||||
2,400,000 | Montana Higher Education Student Assistance Corp. (12-1-A3), | 2,264,050 | ||||||
5,273,651 | Navient Student Loan Trust (14-2-A), 0.836%, due 03/25/43 (1) | 4,959,287 | ||||||
5,292,294 | Navient Student Loan Trust (14-3-A), 0.816%, due 03/25/43 (1) | 4,983,219 | ||||||
2,630,420 | Navient Student Loan Trust (14-4-A), 0.816%, due 03/25/43 (1) | 2,474,044 | ||||||
4,403,278 | Nelnet Student Loan Trust (11-1A-A), (144A), 1.046%, due 02/25/43 (1)(2) | 4,329,286 | ||||||
2,965,000 | Nelnet Student Loan Trust (14-4A-A2), (144A), 1.146%, due 11/25/43 (1)(2) | 2,721,227 | ||||||
7,175,000 | Nelnet Student Loan Trust (15-2A-A2), (144A), 0.796%, due 09/25/42 (1)(2) | 6,917,684 | ||||||
4,120,000 | Nissan Auto Receivables Owner Trust (15-C-A2A), 0.87%, due 11/15/18 | 4,115,338 | ||||||
3,259,765 | PHEAA Student Loan Trust (15-1A-A), (144A), 0.796%, due 10/25/41 (1)(2) | 3,157,917 | ||||||
2,295,092 | SLC Student Loan Trust (05-3-B), 0.587%, due 06/15/40 (1) | 1,951,966 | ||||||
3,725,389 | SLM Student Loan Trust (04-10-A5B), (144A), 0.72%, due 04/25/23 (1)(2) | 3,717,875 | ||||||
1,113,307 | SLM Student Loan Trust (05-6-B), 0.61%, due 01/25/44 (1) | 930,669 | ||||||
1,138,256 | SLM Student Loan Trust (06-10-B), 0.54%, due 03/25/44 (1) | 926,080 | ||||||
3,400,000 | SLM Student Loan Trust (06-2-A6), 0.49%, due 01/25/41 (1) | 3,011,222 | ||||||
3,400,000 | SLM Student Loan Trust (06-8-A6), 0.48%, due 01/25/41 (1) | 2,956,450 | ||||||
1,139,528 | SLM Student Loan Trust (07-1-B), 0.54%, due 01/27/42 (1) | 935,433 | ||||||
606,846 | SLM Student Loan Trust (07-6-B), 1.17%, due 04/27/43 (1) | 504,384 | ||||||
710,000 | SLM Student Loan Trust (08-2-B), 1.52%, due 01/25/29 (1) | 575,704 | ||||||
710,000 | SLM Student Loan Trust (08-3-B), 1.52%, due 04/25/29 (1) | 591,000 | ||||||
8,380,000 | SLM Student Loan Trust (08-4-A4), 1.97%, due 07/25/22 (1) | 8,441,099 | ||||||
710,000 | SLM Student Loan Trust (08-4-B), 2.17%, due 04/25/29 (1) | 645,455 | ||||||
710,000 | SLM Student Loan Trust (08-5-B), 2.17%, due 07/25/29 (1) | 656,679 | ||||||
7,450,000 | SLM Student Loan Trust (08-6-A3), 1.07%, due 01/25/19 (1) | 7,413,667 | ||||||
710,000 | SLM Student Loan Trust (08-6-B), 2.17%, due 07/25/29 (1) | 654,287 | ||||||
710,000 | SLM Student Loan Trust (08-7-B), 2.17%, due 07/25/29 (1) | 622,601 | ||||||
710,000 | SLM Student Loan Trust (08-8-B), 2.57%, due 10/25/29 (1) | 680,506 | ||||||
5,832,838 | SLM Student Loan Trust (08-9-A), 1.82%, due 04/25/23 (1) | 5,869,484 | ||||||
710,000 | SLM Student Loan Trust (08-9-B), 2.57%, due 10/25/29 (1) | 684,868 | ||||||
2,000,000 | SLM Student Loan Trust (11-2-A2), 1.396%, due 10/25/34 (1) | 1,972,932 | ||||||
2,600,000 | SLM Student Loan Trust (12-7-A3), 0.846%, due 05/26/26 (1) | 2,515,002 | ||||||
2,216,569 | SLM Student Loan Trust (13-4-A), 0.746%, due 06/25/27 (1) | 2,147,123 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost: $150,478,206) | 147,907,527 | |||||||
|
|
See accompanying notes to financial statements.
22
Table of Contents
TCW Core Fixed Income Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Commercial Mortgage-Backed Securities — Agency (4.0%) |
| |||||||
$ 7,095,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K041-A2), 3.171%, due 10/25/24 | $ | 7,381,790 | |||||
3,400,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K151-A3), 3.511%, due 04/25/30 | 3,521,319 | ||||||
2,221,739 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (KF02-A3), 0.826%, due 07/25/20 (1) | 2,235,047 | ||||||
2,100,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (KSCT-A2), 4.285%, due 01/25/20 | 2,343,994 | ||||||
3,722,635 | Federal National Mortgage Association, Pool #462237, 5.525%, due 07/01/16 | 3,743,391 | ||||||
1,183,663 | Federal National Mortgage Association, Pool #464959, 4.12%, due 04/01/20 | 1,289,745 | ||||||
3,045,000 | Federal National Mortgage Association, Pool #467944, 4.25%, due 04/01/21 | 3,362,551 | ||||||
1,805,270 | Federal National Mortgage Association, Pool #468048, 4.41%, due 05/01/21 | 2,003,427 | ||||||
3,686,881 | Federal National Mortgage Association, Pool #745935, 5.731%, due 08/01/16 | 3,722,553 | ||||||
2,305,000 | Federal National Mortgage Association, Pool #AE0134, 4.4%, due 02/01/20 | 2,533,279 | ||||||
3,530,639 | Federal National Mortgage Association, Pool #AE0918, 3.664%, due 10/01/20 | 3,807,356 | ||||||
2,029,280 | Federal National Mortgage Association, Pool #Al0151, 4.383%, due 04/01/21 | 2,229,260 | ||||||
5,535,763 | Federal National Mortgage Association, Pool #AL6829, 2.966%, due 05/01/27 | 5,542,199 | ||||||
2,305,000 | Federal National Mortgage Association, Pool #AM1551, 2.44%, due 12/01/23 | 2,306,334 | ||||||
3,300,000 | Federal National Mortgage Association, Pool #AM4125, 3.74%, due 08/01/23 | 3,572,245 | ||||||
2,438,543 | Federal National Mortgage Association, Pool #FN0000, 3.584%, due 09/01/20 | 2,588,011 | ||||||
3,231,981 | Federal National Mortgage Association, Pool #FN0001, 3.766%, due 12/01/20 | 3,486,232 | ||||||
2,584,007 | Federal National Mortgage Association, Pool #FN0003, 4.298%, due 01/01/21 | 2,843,409 | ||||||
5,937,478 | Federal National Mortgage Association (14-M12-FA), 0.505%, due 10/25/21 (ACES) (1) | 5,968,905 | ||||||
1,512,648 | NCUA Guaranteed Notes (11-C1-2A), 0.724%, due 03/09/21 (1) | 1,515,908 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $66,586,673) | 65,996,955 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Non-Agency (3.4%) |
| |||||||
5,867,000 | Commercial Mortgage Asset Trust (99-C2-G), 6%, due 11/17/32 | 6,323,919 | ||||||
4,208 | DBRR Trust (13-EZ2-A), (144A), 0.853%, due 02/25/45 (1)(2) | 4,207 | ||||||
160,233 | GE Capital Commercial Mortgage Corp. (05-C4-A4), 5.385%, due 11/10/45 (1) | 160,072 | ||||||
3,298,249 | JPMorgan Chase Commercial Mortgage Securities Trust (06-CB16-A4), | 3,361,340 | ||||||
6,471,996 | JPMorgan Chase Commercial Mortgage Securities Trust (06-LDP7-A4), | 6,543,770 | ||||||
1,292,601 | JPMorgan Chase Commercial Mortgage Securities Trust (06-LDP8-A1A), | 1,320,842 | ||||||
1,027,202 | JPMorgan Chase Commercial Mortgage Securities Trust (11-C3-A2), (144A), 3.673%, due 02/15/46 (2) | 1,042,717 | ||||||
4,570,000 | JPMorgan Chase Commercial Mortgage Securities Trust (11-C3-A3), (144A), 4.388%, due 02/15/46 (2) | 4,831,145 | ||||||
4,473,210 | LB-UBS Commercial Mortgage Trust (06-C7-A2), 5.3%, due 11/15/38 | 4,499,570 | ||||||
2,611,553 | Merrill Lynch/Countrywide Commercial Mortgage Trust (06-4-A1A), | 2,695,750 | ||||||
8,100,000 | Morgan Stanley Capital I Trust (07-HQ11-A4), 5.447%, due 02/12/44 (1) | 8,370,722 | ||||||
629,381 | Morgan Stanley Capital I Trust (07-HQ12-A5), 5.723%, due 04/12/49 (1) | 628,374 | ||||||
926,767 | Morgan Stanley Capital I Trust (11-C3-A2), 3.224%, due 07/15/49 | 939,566 |
See accompanying notes to financial statements.
23
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Commercial Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ 1,505,000 | OBP Depositor LLC Trust (10-OBP-A), (144A), 4.646%, due 07/15/45 (2) | $ | 1,652,208 | |||||
4,300,000 | WF-RBS Commercial Mortgage Trust (11-C4-A3), (144A), 4.394%, due 06/15/44 (2) | 4,575,922 | ||||||
3,600,000 | WF-RBS Commercial Mortgage Trust (11-C5-A4), 3.667%, due 11/15/44 | 3,815,071 | ||||||
2,800,000 | WF-RBS Commercial Mortgage Trust (12-C7-A2), 3.431%, due 06/15/45 | 2,917,585 | ||||||
2,275,000 | WF-RBS Commercial Mortgage Trust (12-C8-A3), 3.001%, due 08/15/45 | 2,317,778 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $56,811,964) | 56,000,558 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Agency (23.9%) |
| |||||||
286,896 | Federal Home Loan Mortgage Corp. (2439-KZ), 6.5%, due 04/15/32 | 326,493 | ||||||
658,679 | Federal Home Loan Mortgage Corp. (2575-FD), 0.646%, due 02/15/33 (PAC) (1) | 664,481 | ||||||
450,378 | Federal Home Loan Mortgage Corp. (2662-MT), 4.5%, due 08/15/33 (TAC) | 476,573 | ||||||
7,513,070 | Federal Home Loan Mortgage Corp. (277-30), 3%, due 09/15/42 | 7,601,829 | ||||||
163,805 | Federal Home Loan Mortgage Corp. (3315-S), 6.214%, due 05/15/37 (I/O) (I/F) (1) | 21,168 | ||||||
913,567 | Federal Home Loan Mortgage Corp. (3339-JS), 41.563%, due 07/15/37 (I/F) (1) | 1,786,567 | ||||||
838,687 | Federal Home Loan Mortgage Corp. (3351-ZC), 5.5%, due 07/15/37 | 932,987 | ||||||
1,216,861 | Federal Home Loan Mortgage Corp. (3380-SM), | 202,465 | ||||||
889,037 | Federal Home Loan Mortgage Corp. (3382-FL), 0.896%, due 11/15/37 (1) | 898,804 | ||||||
4,238,220 | Federal Home Loan Mortgage Corp. (3439-SC), 5.704%, due 04/15/38 (I/O) (I/F) (1) | 690,960 | ||||||
1,698,513 | Federal Home Loan Mortgage Corp. (3578-DI), 6.454%, due 04/15/36 (I/O) (I/F) (1) | 291,855 | ||||||
4,854,553 | Federal Home Loan Mortgage Corp. (4139-PA), 2.5%, due 11/15/41 (PAC) | 4,932,307 | ||||||
55,883 | Federal Home Loan Mortgage Corp., Pool #1A1127, 2.515%, due 01/01/37 (1) | 57,291 | ||||||
3,626,711 | Federal Home Loan Mortgage Corp., Pool #A97179, 4.5%, due 03/01/41 | 4,018,085 | ||||||
20,245 | Federal Home Loan Mortgage Corp., Pool #B15026, 5%, due 06/01/19 | 21,071 | ||||||
12,127 | Federal Home Loan Mortgage Corp., Pool #B15591, 5%, due 07/01/19 | 12,778 | ||||||
25,782 | Federal Home Loan Mortgage Corp., Pool #C90526, 5.5%, due 02/01/22 | 28,560 | ||||||
4,089,185 | Federal Home Loan Mortgage Corp., Pool #G06360, 4%, due 03/01/41 | 4,419,674 | ||||||
3,181,104 | Federal Home Loan Mortgage Corp., Pool #G06498, 4%, due 04/01/41 | 3,431,492 | ||||||
2,246,558 | Federal Home Loan Mortgage Corp., Pool #G06499, 4%, due 03/01/41 | 2,417,595 | ||||||
1,131,301 | Federal Home Loan Mortgage Corp., Pool #G06620, 4.5%, due 07/01/41 | 1,230,820 | ||||||
15,010,840 | Federal Home Loan Mortgage Corp., Pool #G07924, 3.5%, due 01/01/45 | 15,669,090 | ||||||
14,117,995 | Federal Home Loan Mortgage Corp., Pool #G08650, 3.5%, due 06/01/45 | 14,679,957 | ||||||
11,236,296 | Federal Home Loan Mortgage Corp., Pool #G08653, 3%, due 07/01/45 | 11,335,053 | ||||||
973,772 | Federal Home Loan Mortgage Corp., Pool #G08658, 3%, due 08/01/45 | 982,330 | ||||||
7,812,985 | Federal Home Loan Mortgage Corp., Pool #G08669, 4%, due 09/01/45 (3) | 8,313,810 | ||||||
15,975,000 | Federal Home Loan Mortgage Corp., Pool #G08671, 3.5%, due 10/01/45 (3) | 16,600,895 | ||||||
4,010,670 | Federal Home Loan Mortgage Corp., Pool #G18565, 3%, due 08/01/30 | 4,174,387 | ||||||
1,760,468 | Federal Home Loan Mortgage Corp., Pool #G18568, 2.5%, due 09/01/30 | 1,793,546 | ||||||
15,613,693 | Federal Home Loan Mortgage Corp., Pool #G60080, 3.5%, due 06/01/45 | 16,303,500 | ||||||
3,422,376 | Federal Home Loan Mortgage Corp., Pool #Q05261, 3.5%, due 12/01/41 | 3,588,013 | ||||||
5,443,501 | Federal Home Loan Mortgage Corp., Pool #Q20178, 3.5%, due 07/01/43 | 5,715,856 | ||||||
267,654 | Federal National Mortgage Association (01-14-SH), | 425,423 | ||||||
375,492 | Federal National Mortgage Association (01-34-FV), 0.696%, due 08/25/31 (1) | 380,307 | ||||||
1,081 | Federal National Mortgage Association (03-62-MA), 3.5%, due 07/25/33 | 1,088 | ||||||
2,000,000 | Federal National Mortgage Association (04-W10-A6), | 2,307,931 |
See accompanying notes to financial statements.
24
Table of Contents
TCW Core Fixed Income Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 1,516,258 | Federal National Mortgage Association (07-89-GF), 0.716%, due 09/25/37 (1) | $ | 1,532,342 | ||||
299,807 | Federal National Mortgage Association (08-30-SA), | 51,017 | ||||||
411,062 | Federal National Mortgage Association (08-62-SN), | 56,953 | ||||||
3,584,430 | Federal National Mortgage Association (09-64-TB), 4%, due 08/25/29 | 3,839,221 | ||||||
198,415 | Federal National Mortgage Association (09-68-SA), | 36,069 | ||||||
2,974,760 | Federal National Mortgage Association (10-26-AS), | 475,769 | ||||||
4,000,000 | Federal National Mortgage Association (11-111-DB), 4%, due 11/25/41 | 4,379,866 | ||||||
29,483 | Federal National Mortgage Association, Pool #254634, 5.5%, due 02/01/23 | 33,005 | ||||||
23,829 | Federal National Mortgage Association, Pool #596686, 6.5%, due 11/01/31 | 27,542 | ||||||
80,036 | Federal National Mortgage Association, Pool #725275, 4%, due 03/01/19 | 83,615 | ||||||
96,850 | Federal National Mortgage Association, Pool #727575, 5%, due 06/01/33 | 104,823 | ||||||
107,906 | Federal National Mortgage Association, Pool #748751, 5.5%, due 10/01/33 | 113,756 | ||||||
1,928,644 | Federal National Mortgage Association, Pool #AB2127, 3.5%, due 01/01/26 | 2,051,156 | ||||||
1,867,931 | Federal National Mortgage Association, Pool #AB3679, 3.5%, due 10/01/41 | 1,956,231 | ||||||
3,385,694 | Federal National Mortgage Association, Pool #AB3685, 4%, due 10/01/41 | 3,648,235 | ||||||
2,614,143 | Federal National Mortgage Association, Pool #AB3864, 3.5%, due 11/01/41 | 2,742,246 | ||||||
5,366,381 | Federal National Mortgage Association, Pool #AB4045, 3.5%, due 12/01/41 | 5,642,642 | ||||||
3,973,733 | Federal National Mortgage Association, Pool #AC1604, 4%, due 08/01/39 | 4,292,873 | ||||||
1,130,844 | Federal National Mortgage Association, Pool #AL0209, 4.5%, due 05/01/41 | 1,255,155 | ||||||
1,604,629 | Federal National Mortgage Association, Pool #AL0851, 6%, due 10/01/40 | 1,820,018 | ||||||
10,578,239 | Federal National Mortgage Association, Pool #AT5914, 3.5%, due 06/01/43 | 11,055,087 | ||||||
10,907,223 | Federal National Mortgage Association, Pool #MA1404, 3.5%, due 04/01/43 | 11,398,900 | ||||||
5,037,262 | Federal National Mortgage Association, Pool #MA1561, 3%, due 09/01/33 | 5,214,747 | ||||||
8,784,822 | Federal National Mortgage Association, Pool #MA1584, 3.5%, due 09/01/33 | 9,254,948 | ||||||
9,583,839 | Federal National Mortgage Association, Pool #MA1608, 3.5%, due 10/01/33 | 10,090,735 | ||||||
8,765,000 | Federal National Mortgage Association TBA, 3% (4) | 8,861,552 | ||||||
6,515,000 | Federal National Mortgage Association TBA, 3% (4) | 6,565,898 | ||||||
45,395,000 | Federal National Mortgage Association TBA, 3.5% (4) | 47,245,556 | ||||||
29,825,000 | Federal National Mortgage Association TBA, 4% (4) | 31,747,314 | ||||||
11,985,000 | Federal National Mortgage Association TBA, 4.5% (4) | 12,988,744 | ||||||
1,099,431 | Government National Mortgage Association (04-30-UC), 5.5%, | 1,160,909 | ||||||
709,126 | Government National Mortgage Association (08-27-SI), 6.276%, | 124,913 | ||||||
2,784,382 | Government National Mortgage Association (08-81-S), 6.006%, | 486,876 | ||||||
1,200,911 | Government National Mortgage Association (09-66-UF), 1.199%, | 1,232,121 | ||||||
4,505,196 | Government National Mortgage Association (10-1-S), 5.556%, | 708,604 | ||||||
109,173 | Government National Mortgage Association, Pool #608259, 4.5%, | 118,810 | ||||||
279,487 | Government National Mortgage Association, Pool #782114, 5%, | 312,977 |
See accompanying notes to financial statements.
25
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 7,739,180 | Government National Mortgage Association II, Pool #MA2826, | $ | 8,121,302 | ||||
7,270,654 | Government National Mortgage Association II, Pool #MA2961, | 7,629,642 | ||||||
2,861,136 | Government National Mortgage Association II, Pool #MA3033, | 2,924,939 | ||||||
13,883,391 | Government National Mortgage Association II, Pool #MA3104, | 14,210,953 | ||||||
7,180,000 | Government National Mortgage Association II, Pool #MA3173, | 7,535,598 | ||||||
1,590,000 | Government National Mortgage Association II, Pool #MA3174, | 1,697,201 | ||||||
11,855,000 | Government National Mortgage Association II TBA, 3.5% (4) | 12,423,670 | ||||||
3,515,000 | Government National Mortgage Association II TBA, 4.5% (4) | 3,783,568 | ||||||
2,056,346 | NCUA Guaranteed Notes (10-R1-1A), 0.644%, due 10/07/20 (1)(5) | 2,066,266 | ||||||
1,125,925 | NCUA Guaranteed Notes (10-R2-1A), 0.564%, due 11/06/17 (1)(5) | 1,127,917 | ||||||
1,001,065 | NCUA Guaranteed Notes (10-R3-1A), 0.754%, due 12/08/20 (1)(5) | 1,007,811 | ||||||
864,314 | NCUA Guaranteed Notes (10-R3-2A), 0.754%, due 12/08/20 (1) | 869,986 | ||||||
1,178,044 | NCUA Guaranteed Notes (11-R1-1A), 0.644%, due 01/08/20 (1)(5) | 1,183,119 | ||||||
1,160,296 | NCUA Guaranteed Notes (11-R2-1A), 0.595%, due 02/06/20 (1)(5) | 1,164,051 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $387,010,713) | 395,192,289 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Non-Agency (8.4%) |
| |||||||
431,181 | Asset-Backed Funding Certificates (05-WMC1-M1), 0.856%, due 06/25/35 (1) | 429,443 | ||||||
1,883,202 | Asset-Backed Securities Corp. Home Equity (05-HE6-M2), | 1,873,697 | ||||||
7,126,930 | Banc of America Funding Trust (15-R2-9A1), (144A), 0.409%, due 03/27/36 (1)(2) | 6,899,809 | ||||||
2,805,085 | Bear Stearns Asset Backed Securities I Trust (06-HE3-A2), | 2,796,752 | ||||||
3,970,000 | Bear Stearns Asset-Backed Securities Trust (06-HE1-1M1), | 3,875,466 | ||||||
17,908 | Carrington Mortgage Loan Trust (05-NC5-A2), 0.516%, due 10/25/35 (1) | 17,891 | ||||||
503,904 | Centex Home Equity (02-C-AF6), 4.5%, due 09/25/32 (1) | 507,222 | ||||||
1,031,153 | Centex Home Equity (03-B-AF6), 3.173%, due 06/25/33 (1) | 1,035,335 | ||||||
562,235 | Citigroup Mortgage Loan Trust, Inc. (05-5-2A2), 5.75%, due 08/25/35 (5) | 493,075 | ||||||
1,588,161 | Conseco Financial Corp. (98-6-A8), 6.66%, due 06/01/30 | 1,689,128 | ||||||
2,574,188 | Countrywide Asset-Backed Certificates (05-11-MV1), 0.666%, due 02/25/36 (1) | 2,567,052 | ||||||
21,294 | Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA), | 21,858 | ||||||
7,000,010 | Credit Suisse Mortgage Capital Certificates (15-5R-1A1), (144A), | 6,854,563 | ||||||
6,157,454 | Credit Suisse Mortgage Trust (15-1R-7A3), (144A), 2.658%, due 07/27/36 (1)(2) | 6,304,487 | ||||||
6,794,115 | CSMC Trust (14-7R-8A1), (144A), 2.38%, due 07/27/37 (1)(2) | 6,817,068 | ||||||
774,325 | GSAMP Trust (05-HE5-M1), 0.616%, due 11/25/35 (1) | 751,392 | ||||||
1,319,016 | HSBC Home Equity Loan Trust USA (07-1-AM), 0.434%, due 03/20/36 (1) | 1,316,359 | ||||||
331,033 | HSBC Home Equity Loan Trust USA (07-2-AM), 0.434%, due 07/20/36 (1) | 328,829 | ||||||
1,790,533 | HSBC Home Equity Loan Trust USA (07-3-APT), 1.394%, due 11/20/36 (1) | 1,789,469 |
See accompanying notes to financial statements.
26
Table of Contents
TCW Core Fixed Income Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 1,379,640 | HSI Asset Securitization Corp. Trust (06-OPT1-2A3), 0.386%, due 12/25/35 (1) | $ | 1,360,946 | ||||
1,462,970 | Indymac Index Mortgage Loan Trust (05-AR6-2A1), 0.436%, due 04/25/35 (1) | 1,313,715 | ||||||
5,759,783 | JPMorgan Mortgage Acquisition Corp. (05-OPT1-M1), 0.646%, due 06/25/35 (1) | 5,735,956 | ||||||
6,772,309 | Merrill Lynch Mortgage Investors Trust (05-2-2A), 2.52%, due 10/25/35 (1) | 6,863,685 | ||||||
1,818,337 | Mid-State Trust (04-1-B), 8.9%, due 08/15/37 | 2,099,227 | ||||||
2,272,317 | Morgan Stanley ABS Capital I, Inc. Trust (05-WMC6-M2), | 2,304,340 | ||||||
1,920,269 | Morgan Stanley Capital, Inc. (04-WMC2-M1), 1.111%, due 07/25/34 (1) | 1,868,748 | ||||||
6,239,000 | Morgan Stanley Home Equity Loan Trust (05-1-M3), 0.976%, due 12/25/34 (1) | 6,098,585 | ||||||
396,716 | Morgan Stanley Mortgage Loan Trust (04-3-4A), 5.684%, due 04/25/34 (1) | 421,023 | ||||||
2,248,995 | New Century Home Equity Loan Trust (05-1-A2C), 0.896%, due 03/25/35 (1) | 2,233,128 | ||||||
2,827,767 | New Century Home Equity Loan Trust (05-2-M1), 0.626%, due 06/25/35 (1) | 2,846,747 | ||||||
1,956,293 | New Century Home Equity Loan Trust (05-3-M1), 0.676%, due 07/25/35 (1) | 1,954,727 | ||||||
7,107,984 | New Century Home Equity Loan Trust (05-3-M2), 0.686%, due 07/25/35 (1) | 6,909,984 | ||||||
3,837,534 | Nomura Resecuritization Trust (14-5R-3A1), (144A), 0.434%, due 05/26/37 (1)(2) | 3,743,822 | ||||||
5,489,145 | Nomura Resecuritization Trust (15-1R-6A1), (144A), 1%, due 05/26/47 (1)(2) | 5,346,656 | ||||||
6,976,408 | Nomura Resecuritization Trust (15-4R-3A1), (144A), 2.375%, due 01/26/36 (1)(2) | 7,171,332 | ||||||
6,549,920 | Nomura Resecuritization Trust (15-5R-2A1), (144A), 2.554%, due 03/26/35 (1)(2) | 6,679,729 | ||||||
447,890 | Park Place Securities, Inc. (04-WWF1-M2), 1.216%, due 12/25/34 (1) | 448,323 | ||||||
1,905,041 | Park Place Securities, Inc. (05-WCH1-M2), 0.976%, due 01/25/36 (1) | 1,897,503 | ||||||
3,013,924 | Park Place Securities, Inc. (05-WCW2-A2D), 0.566%, due 07/25/35 (1) | 3,021,649 | ||||||
3,976,898 | Park Place Securities, Inc. (05-WHQ4-A2D), 0.566%, due 09/25/35 (1) | 3,956,193 | ||||||
4,862,465 | RAMP Trust (06-RZ3-A2), 0.356%, due 08/25/36 (1) | 4,826,846 | ||||||
877,893 | Structured Asset Securities Corp. (03-34A-5A4), 2.617%, due 11/25/33 (1) | 892,762 | ||||||
460,533 | Structured Asset Securities Corp. (05-GEL4-M1), 0.716%, due 08/25/35 (1) | 458,681 | ||||||
3,447,985 | WaMu Mortgage Pass-Through Certificates (05-AR3-A2), | 3,455,008 | ||||||
295,030 | Wells Fargo Alternative Loan Trust (07-PA3-2A1), 6%, due 07/25/37 (5) | 286,475 | ||||||
8,215,342 | Wells Fargo Home Equity Trust (04-2-A33), 1.196%, due 10/25/34 (1) | 8,010,945 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency | 138,575,630 | |||||||
|
| |||||||
U.S. Government Agency Obligations (1.2%) | ||||||||
5,860,000 | Federal Farm Credit Bank Funding Corp., 0.213%, due 09/14/16 (1) | 5,861,149 | ||||||
6,065,000 | Federal Farm Credit Bank Funding Corp., 0.226%, due 04/26/17 (1) | 6,066,219 | ||||||
8,320,000 | Federal Home Loan Bank, 1.25%, due 06/28/30 | 8,307,948 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost: $20,228,185) | 20,235,316 | |||||||
|
| |||||||
U.S. Treasury Securities (30.6%) | ||||||||
42,210,000 | U.S. Treasury Bond, 2.875%, due 08/15/45 | 41,716,185 | ||||||
20,159,618 | U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (6) | 19,388,533 | ||||||
4,571,450 | U.S. Treasury Inflation Indexed Bond, 0.625%, due 02/15/43 (6) | 3,941,238 | ||||||
12,043,752 | U.S. Treasury Inflation Indexed Bond, 0.75%, due 02/15/45 (6) | 10,690,417 | ||||||
13,021,423 | U.S. Treasury Inflation Indexed Note, 0.125%, due 04/15/16 (6) | 12,943,516 | ||||||
5,472,047 | U.S. Treasury Inflation Indexed Note, 0.125%, due 04/15/17 (6) | 5,470,942 | ||||||
13,600,271 | U.S. Treasury Inflation Indexed Note, 0.125%, due 07/15/24 (6) | 13,027,194 | ||||||
803,992 | U.S. Treasury Inflation Indexed Note, 0.375%, due 07/15/25 (6) | 784,330 | ||||||
22,747,737 | U.S. Treasury Inflation Indexed Note, 1.375%, due 02/15/44 (6) | 23,661,586 |
See accompanying notes to financial statements.
27
Table of Contents
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
U.S. Treasury Securities (Continued) | ||||||||
$ | 10,833,502 | U.S. Treasury Inflation Indexed Note, 2.5%, due 07/15/16 (6) | $ | 11,035,324 | ||||
8,000,000 | U.S. Treasury Note, 0.375%, due 01/15/16 | 8,004,792 | ||||||
116,170,000 | U.S. Treasury Note, 0.625%, due 08/31/17 | 115,983,942 | ||||||
6,220,000 | U.S. Treasury Note, 0.625%, due 09/30/17 | 6,206,938 | ||||||
85,565,000 | U.S. Treasury Note, 1.25%, due 10/31/20 | 84,946,840 | ||||||
92,530,000 | U.S. Treasury Note, 1.375%, due 09/30/20 | 91,901,083 | ||||||
56,360,000 | U.S. Treasury Note, 2%, due 08/15/25 | 55,623,754 | ||||||
|
| |||||||
Total U.S. Treasury Securities (Cost: $510,028,655) | 505,326,614 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $1,651,632,021) (100.3%) | 1,657,125,203 | |||||||
|
| |||||||
Number of Shares | Money Market Investments | |||||||
82,564,000 | Dreyfus Government Cash Management Fund — Institutional Class, 0.01% (7) | 82,564,000 | ||||||
86,487,000 | Morgan Stanley Liquidity Fund — Government Portfolio, 0.04% (7) | 86,487,000 | ||||||
54,058,687 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (7) | 54,058,687 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $223,109,687) (13.5%) | 223,109,687 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Discount Note (Cost: $24,177,297) (1.5%) | ||||||||
$ | 24,180,000 | Federal Home Loan Bank Discount Note, 0.175%, due 11/24/15 (8) | 24,179,782 | |||||
|
| |||||||
Total Investments (Cost: $1,898,919,005) (115.3%) | 1,904,414,672 | |||||||
Liabilities in Excess of Other Assets (-15.3%) | (252,681,376 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 1,651,733,296 | ||||||
|
|
See accompanying notes to financial statements.
28
Table of Contents
TCW Core Fixed Income Fund
October 31, 2015 |
Notes to the Schedule of Investments:
ABS - | Asset Backed Securities. |
ACES - | Alternative Credit Enhancement Securities. |
CDO - | Collateralized Debt Obligation. |
CLO - | Collateralized Loan Obligation. |
EETC - | Enhanced Equipment Trust Certificate. |
I/F - | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O - | Interest Only Security. |
PAC - | Planned Amortization Class. |
REIT - | Real Estate Investment Trust. |
TAC - | Target Amortization Class. |
TBA - | To be Announced. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2015. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2015, the value of these securities amounted to $186,402,694 or 11.3% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(4) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(5) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. |
(6) | Interest rate for this security is a stated rate. Interest payments are determined based on the inflation-adjusted principal. |
(7) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
(8) | Rate shown represents yield-to-maturity. |
See accompanying notes to financial statements.
29
Table of Contents
TCW Core Fixed Income Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Airlines | 0.6 | % | ||
Asset-Backed Securities | 8.9 | |||
Auto Manufacturers | 0.5 | |||
Banks | 5.4 | |||
Biotechnology | 0.5 | |||
Chemicals | 0.0 | * | ||
Commercial Mortgage-Backed Securities — Agency | 4.0 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 3.4 | |||
Commercial Services | 0.3 | |||
Diversified Financial Services | 0.7 | |||
Electric | 1.1 | |||
Energy-Alternate Sources | 0.1 | |||
Food | 0.2 | |||
Foreign Government Bonds | 0.0 | * | ||
Gas | 0.4 | |||
Healthcare-Products | 0.0 | * | ||
Healthcare-Services | 1.4 | |||
Insurance | 1.5 | |||
Media | 0.3 | |||
Mining | 0.1 | |||
Municipal Bonds | 0.7 | |||
Oil & Gas | 0.3 | |||
Pharmaceuticals | 0.4 | |||
Pipelines | 1.6 | |||
REIT | 2.1 | |||
Real Estate | 0.1 | |||
Residential Mortgage-Backed Securities — Agency | 23.9 | |||
Residential Mortgage-Backed Securities — Non-Agency | 8.4 | |||
Retail | 0.4 | |||
Software | 0.4 | |||
Telecommunications | 0.7 | |||
Transportation | 0.1 | |||
U.S. Government Agency Obligations | 1.2 | |||
U.S. Treasury Securities | 30.6 | |||
Money Market Investments | 13.5 | |||
Short-Term Investments | 1.5 | |||
|
| |||
Total | 115.3 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets |
See accompanying notes to financial statements.
30
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments | October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Asset-Backed Securities (1.2% of Net Assets) | ||||||||
$ | 13,759 | Educational Services of America, Inc. (12-2-A), (144A), 0.926%, due 04/25/39 (1)(2) | $ | 13,606 | ||||
4,704 | Goal Capital Funding Trust (06-1-A3), 0.449%, due 11/25/26 (2) | 4,678 | ||||||
6,751 | Nelnet Student Loan Trust (12-5A-A), (144A), 0.796%, due 10/27/36 (1)(2) | 6,521 | ||||||
5,869 | Scholar Funding Trust (11-A-A), (144A), 1.223%, due 10/28/43 (1)(2) | 5,786 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost: $31,172) | 30,591 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Agency (0.8%) | ||||||||
19,288 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (KF05-A), 0.544%, due 09/25/21 (2) | 19,348 | ||||||
358 | Government National Mortgage Association (10-96-A), 2.207%, due 09/16/39 | 358 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $19,647) | 19,706 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Non-Agency (0.7%) | ||||||||
4,662 | JPMorgan Chase Commercial Mortgage Securities Trust (07-LD12-ASB), | 4,775 | ||||||
9,534 | Morgan Stanley Capital I Trust (07-IQ14-A2), 5.61%, due 04/15/49 | 9,552 | ||||||
4,865 | Wachovia Bank Commercial Mortgage Trust (06-C26-APB), 5.997%, due 06/15/45 | 4,833 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $19,844) | 19,160 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Agency (2.5%) | ||||||||
8,048 | Federal Home Loan Mortgage Corp. (3346-FA), 0.426%, due 02/15/19 (2) | 8,056 | ||||||
9,081 | Federal Home Loan Mortgage Corp. (242-F29), 0.446%, due 11/15/36 (2) | 9,107 | ||||||
13,616 | Federal National Mortgage Association (01-70-OF), 1.146%, due 10/25/31 (2) | 13,896 | ||||||
24,181 | Federal National Mortgage Association (05-W3-2AF), 0.416%, due 03/25/45 (2) | 24,245 | ||||||
1,543 | Federal National Mortgage Association (10-87-GA), 4%, due 02/25/24 | 1,548 | ||||||
6,760 | Federal National Mortgage Association (93-247-FM), 1.839%, due 12/25/23 (2) | 6,968 | ||||||
682 | NCUA Guaranteed Notes (11-R6-1A), 0.574%, due 05/07/20 (2)(3) | 682 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $63,028) | 64,502 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Non-Agency (16.2%) | ||||||||
19,765 | Banc of America Alternative Loan Trust (03-4-1A5), 5.5%, due 06/25/33 | 20,272 | ||||||
16,570 | Banc of America Alternative Loan Trust (03-9-1CB5), 5.5%, due 11/25/33 | 16,960 | ||||||
8,641 | Bear Stearns Alt-A Trust (04-13-A1), 0.936%, due 11/25/34 (2) | 8,542 | ||||||
5,149 | Bear Stearns Asset-Backed Securities Trust (05-SD1-1A3), 0.596%, due 08/25/43 (2) | 5,088 | ||||||
16,014 | Bombardier Capital Mortgage Securitization Corp. (01-A-A), 6.805%, due 12/15/30 (2) | 16,526 | ||||||
56,358 | Centex Home Equity Loan Trust (05-A-AF5), 5.28%, due 01/25/35 | 58,432 | ||||||
15,149 | Conseco Financial Corp. (97-7-A9), 7.37%, due 07/15/28 (2) | 15,737 | ||||||
14,080 | Credit-Based Asset Servicing and Securitization LLC (03-CB5-M1), | 13,470 | ||||||
13,635 | Credit-Based Asset Servicing and Securitization LLC (05-CB4-AF3), | 13,738 | ||||||
17,228 | First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C), | 17,214 | ||||||
10,452 | Homestar Mortgage Acceptance Corp. (04-5-A1), 0.646%, due 10/25/34 (2) | 10,483 | ||||||
50,064 | JPMorgan Mortgage Trust (05-A6-7A1), 2.741%, due 08/25/35 (2)(4) | 47,720 | ||||||
37,326 | MASTR Seasoned Securitization Trust (04-1-4A1), 2.659%, due 10/25/32 (2) | 37,203 | ||||||
31,782 | MASTR Seasoned Securitization Trust (05-1-4A1), 2.541%, due 10/25/32 (2) | 32,040 |
See accompanying notes to financial statements.
31
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 33,537 | Mid-State Trust (04-1-M1), 6.497%, due 08/15/37 | $ | 35,929 | ||||
12,353 | Morgan Stanley Mortgage Loan Trust (04-6AR-1A), 1.094%, due 07/25/34 (2) | 11,968 | ||||||
24,737 | Origen Manufactured Housing (05-A-M1), 5.46%, due 06/15/36 (2) | 26,326 | ||||||
5,680 | Residential Asset Mortgage Products, Inc. (03-RZ3-A6), 3.9%, due 03/25/33 | 5,716 | ||||||
26,131 | Residential Asset Mortgage Products, Inc. (04-SL3-A2), 6.5%, due 12/25/31 | 27,341 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $383,538) | 420,705 | |||||||
|
| |||||||
Corporate Bonds (21.9%) | ||||||||
Airlines (3.7%) | ||||||||
60,773 | Continental Airlines, Inc. Pass-Through Certificates (00-1-A1), | 68,865 | ||||||
27,810 | JetBlue Airways Corp. Pass-Through Certificates (04-2-G1), | 27,775 | ||||||
|
| |||||||
Total Airlines (Cost: $90,627) | 96,640 | |||||||
|
| |||||||
Banks (9.5%) | ||||||||
10,000 | Bank of America Corp., 5.625%, due 10/14/16 | 10,436 | ||||||
80,000 | Bank of America N.A., 0.617%, due 06/15/16 (2) | 79,840 | ||||||
7,000 | Citigroup, Inc., 0.879%, due 08/25/36 (2) | 5,317 | ||||||
75,000 | Citigroup, Inc., 2.021%, due 05/15/18 (2) | 76,481 | ||||||
75,000 | JPMorgan Chase Bank N.A., 0.666%, due 06/13/16 (2) | 74,896 | ||||||
|
| |||||||
Total Banks (Cost: $244,573) | 246,970 | |||||||
|
| |||||||
Diversified Financial Services (Cost: $47,027) (2.2%) | ||||||||
60,000 | General Electric Capital Corp., 0.684%, due 05/05/26 (2) | 56,304 | ||||||
|
| |||||||
Insurance (Cost: $67,752) (2.6%) | ||||||||
70,000 | Nationwide Mutual Insurance Co., (144A), 2.627%, due 12/15/24 (1)(2) | 67,074 | ||||||
|
| |||||||
REIT (3.3%) | ||||||||
15,000 | HCP, Inc., 3.15%, due 08/01/22 | 14,411 | ||||||
70,000 | Health Care REIT, Inc., 6.2%, due 06/01/16 | 71,544 | ||||||
|
| |||||||
Total REIT (Cost: $85,651) | 85,955 | |||||||
|
| |||||||
Retail (Cost: $15,000) (0.6%) | ||||||||
15,000 | Walgreens Boots Alliance, Inc., 0.775%, due 05/18/16 (2) | 14,983 | ||||||
|
| |||||||
Total Corporate Bonds (Cost: $550,630) | 567,926 | |||||||
|
| |||||||
U.S. Government Agency Obligations (4.4%) | ||||||||
20,000 | Federal Farm Credit Bank, 0.248%, due 11/06/17 (5) | 19,999 | ||||||
20,000 | Federal Farm Credit Bank, 0.249%, due 02/27/17 (2) | 20,017 | ||||||
25,000 | Federal Home Loan Mortgage Corp., 0.199%, due 04/20/17 (2) | 25,000 | ||||||
25,000 | Federal National Mortgage Association, 0.204%, due 10/05/17 (2) | 24,974 | ||||||
25,000 | Federal National Mortgage Association, 0.214%, due 07/20/17 (2) | 24,999 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost: $114,983) | 114,989 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $1,182,842) (47.7%) | 1,237,579 | |||||||
|
|
See accompanying notes to financial statements.
32
Table of Contents
TCW Enhanced Commodity Strategy Fund
October 31, 2015 |
Number of Shares | Money Market Investments | Value | ||||||
30,000 | Dreyfus Government Cash Management Fund — Institutional Class, 0.01% (6) | $ | 30,000 | |||||
30,000 | Morgan Stanley Institutional Liquidity Fund — Government Portfolio, 0.04% (6) | 30,000 | ||||||
89,209 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (3)(6) | 89,209 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $149,209) (5.7%) | 149,209 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Discount Notes (8.9%) | ||||||||
$ | 100,000 | Federal Home Loan Bank Discount Note, 0.175%, due 11/24/15 (7) | 99,999 | |||||
130,000 | Federal Home Loan Bank Discount Note, 0.215%, due 01/06/16 (7) | 129,981 | ||||||
|
| |||||||
Total Discount Notes (Cost: $229,938) | 229,980 | |||||||
|
| |||||||
U.S. Treasury Securities (27.3%) | ||||||||
140,000 | U.S. Treasury Bill, 0.008%, due 02/18/16 (7) | 139,972 | ||||||
60,000 | U.S. Treasury Bill, 0.01%, due 03/03/16 (3)(7) | 59,981 | ||||||
120,000 | U.S. Treasury Bill, 0.011%, due 02/18/16 (7) | 119,975 | ||||||
115,000 | U.S. Treasury Bill, 0.053%, due 01/07/16 (7) | 114,986 | ||||||
110,000 | U.S. Treasury Bill, 0.066%, due 01/07/16 (7) | 109,987 | ||||||
105,000 | U.S. Treasury Bill, 0.077%, due 01/14/16 (7) | 104,984 | ||||||
60,000 | U.S. Treasury Bill, 0.11%, due 01/07/16 (7) | 59,993 | ||||||
|
| |||||||
Total U.S. Treasury Securities (Cost: $709,935) | 709,878 | |||||||
|
| |||||||
Total Short-Term Investments (Cost: $939,873) (36.2%) | 939,858 | |||||||
|
| |||||||
Total Investments (Cost: $2,271,924) (89.6%) | 2,326,646 | |||||||
Excess of Other Assets over Liabilities (10.4%) | 268,898 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 2,595,544 | ||||||
|
|
See accompanying notes to financial statements.
33
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Continued)
Total Return Swaps (3) | ||||||||||||||||||||||
Notional Amount | Expiration Date | Counterparty | Payment Made by Fund | Payment Received by Fund | Unrealized Depreciation | Premium Paid | Value | |||||||||||||||
OTC Swaps | ||||||||||||||||||||||
$1,598,334 | 11/17/15 | Credit Suisse First Boston Corp. | 3-Month U.S. Treasury Bills plus 0.2% | Credit Suisse Custom 24 Total Return Index(8) | $ (41,654 | ) | $ | — | $ (41,654 | ) | ||||||||||||
1,067,313 | 11/17/15 | Citigroup Global Markets, Inc. | 3-Month U.S. Treasury Bills plus 0.2% | Citi Custom CIVICS H Index(9) | (28,084 | ) | — | (28,084 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ (69,738 | ) | $ | — | $ (69,738 | ) | |||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
EETC | - Enhanced Equipment Trust Certificate. |
OTC - | Over the Counter. |
REIT - | Real Estate Investment Trust. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2015, the value of these securities amounted to $92,987 or 3.6% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2015. |
(3) | All or a portion of this security is owned by TCW Cayman Enhanced Commodity Fund, Ltd. |
(4) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. |
(5) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(6) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
(7) | Rate shown represents yield-to-maturity. |
(8) | Custom Index has exposure to the following commodities: HRW Wheat, Cotton, Lean Hogs, Soybean Meal, Nickel Primary, Soybean Oil, Zinc High Grade, RBOB Gasoline, SRW Wheat, Heating Oil, Silver, Coffee ‘C’ Arabica, Sugar #11, Live Cattle, Soybeans, Brent Crude Oil, Aluminum Primary, Corn, Copper High Grade, WTI Crude Oil, Natural Gas, and Gold. |
(9) | Custom Index has exposure to the following commodities: Natural Gas, Crude Oil, Coffee, Brent Crude, Soybean Oil, Heating Oil, RBOB Gasoline, Gold, Kansas Wheat, Lean Hogs, Live Cattle, Wheat, Cotton, Soybean Meal, Zinc, Sugar, COMEX Silver, Soybeans, Aluminum, Nickel, Copper, and Corn. |
See accompanying notes to financial statements.
34
Table of Contents
TCW Enhanced Commodity Strategy Fund
Consolidated Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Airlines | 3.7 | % | ||
Asset-Backed Securities | 1.2 | |||
Banks | 9.5 | |||
Commercial Mortgage-Backed Securities — Agency | 0.8 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.7 | |||
Diversified Financial Services | 2.2 | |||
Insurance | 2.6 | |||
REIT | 3.3 | |||
Residential Mortgage-Backed Securities — Agency | 2.5 | |||
Residential Mortgage-Backed Securities — Non-Agency | 16.2 | |||
Retail | 0.6 | |||
U.S. Government Agency Obligations | 4.4 | |||
Money Market Investments | 5.7 | |||
Short-Term Investments | 36.2 | |||
|
| |||
Total | 89.6 | % | ||
|
|
See accompanying notes to financial statements.
35
Table of Contents
Schedule of Investments
Principal Amount | Fixed Income Securities | Value | ||||||||||
Corporate Bonds (19.1% of Net Assets) | ||||||||||||
Airlines (3.1%) | ||||||||||||
$ | 173,566 | American Airlines, Inc. Pass-Through Trust (13-2A), | $ | 186,258 | ||||||||
105,598 | Continental Airlines, Inc. Pass-Through Trust (01-1A-1), | 110,746 | ||||||||||
81,485 | Delta Air Lines, Inc. Pass-Through Certificates, (02-1G1), | 93,301 | ||||||||||
63,566 | JetBlue Airways Corp. Pass-Through Certificates (04-2-G1), | 63,487 | ||||||||||
17,737 | US Airways Group, Inc. Pass-Through Certificates (10-1A), | 19,954 | ||||||||||
|
| |||||||||||
Total Airlines | 473,746 | |||||||||||
|
| |||||||||||
Auto Manufacturers (0.7%) | ||||||||||||
100,000 | Ford Motor Credit Co. LLC, 8%, due 12/15/16 | 106,914 | ||||||||||
|
| |||||||||||
Banks (7.4%) | ||||||||||||
45,000 | Abbey National Treasury Services PLC (United Kingdom), (Reg. S), | 51,233 | ||||||||||
250,000 | Bank of America N.A., 6.1%, due 06/15/17 | 266,893 | ||||||||||
200,000 | BBVA Bancomer S.A. (Mexico), (144A), 6.75%, due 09/30/22 (3) | 224,900 | ||||||||||
300,000 | Chase Capital VI, 0.954%, due 08/01/28 (1) | 256,500 | ||||||||||
110,000 | Goldman Sachs Group, Inc. (The), 5.95%, due 01/18/18 | 120,067 | ||||||||||
40,000 | HBOS PLC (United Kingdom), (144A), 6.75%, due 05/21/18 (3) | 44,074 | ||||||||||
100,000 | Rabobank Nederland Utrecht (Netherlands), 3.375%, due 01/19/17 | 102,657 | ||||||||||
50,000 | Royal Bank of Scotland PLC (The) (United Kingdom), 5.625%, due 08/24/20 | 56,503 | ||||||||||
|
| |||||||||||
Total Banks | 1,122,827 | |||||||||||
|
| |||||||||||
Biotechnology (0.1%) | ||||||||||||
20,000 | Celgene Corp., 3.875%, due 08/15/25 | 20,092 | ||||||||||
|
| |||||||||||
Diversified Financial Services (1.2%) | ||||||||||||
200,000 | General Electric Capital Corp., 0.801%, due 08/15/36 (1) | 170,480 | ||||||||||
15,000 | International Lease Finance Corp., 4.625%, due 04/15/21 | 15,506 | ||||||||||
|
| |||||||||||
Total Diversified Financial Services | 185,986 | |||||||||||
|
| |||||||||||
Electric (0.9%) | ||||||||||||
75,000 | IPALCO Enterprises, Inc., 5%, due 05/01/18 | 79,091 | ||||||||||
60,000 | NextEra Energy Capital Holdings, Inc., 1.586%, due 06/01/17 | 60,008 | ||||||||||
|
| |||||||||||
Total Electric | 139,099 | |||||||||||
|
| |||||||||||
Healthcare-Services (0.0%) | ||||||||||||
7,000 | CHS / Community Health Systems, Inc., 7.125%, due 07/15/20 | 7,210 | ||||||||||
|
| |||||||||||
Insurance (1.1%) | ||||||||||||
100,000 | Farmers Exchange Capital II, (144A), 6.151%, due 11/01/53 (1)(3) | 106,500 | ||||||||||
65,000 | ZFS Finance USA Trust II, (144A), 6.45%, due 12/15/65 (1)(3) | 65,975 | ||||||||||
|
| |||||||||||
Total Insurance | 172,475 | |||||||||||
|
|
See accompanying notes to financial statements.
36
Table of Contents
TCW Global Bond Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Media (0.2%) | ||||||||||
$ | 22,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 5.75%, due 09/01/23 | $ | 22,660 | ||||||
|
| |||||||||
Pharmaceuticals (0.2%) | ||||||||||
20,000 | Actavis Funding SCS, 4.75%, due 03/15/45 | 19,200 | ||||||||
20,000 | Valeant Pharmaceuticals International, Inc. (Canada), (144A), | 17,000 | ||||||||
|
| |||||||||
Total Pharmaceuticals | 36,200 | |||||||||
|
| |||||||||
Pipelines (0.3%) | ||||||||||
50,000 | Energy Transfer Partners LP, 5.15%, due 03/15/45 | 39,856 | ||||||||
|
| |||||||||
Real Estate (1.3%) | ||||||||||
200,000 | WEA Finance LLC / Westfield UK & Europe Finance PLC (Australia), (144A), 1.75%, due 09/15/17 (3) | 199,379 | ||||||||
|
| |||||||||
REIT (1.7%) | ||||||||||
50,000 | ARC Properties Operating Partnership LP / Clark Acquisition LLC, | 49,154 | ||||||||
50,000 | HCP, Inc., 3.15%, due 08/01/22 | 48,035 | ||||||||
50,000 | Highwoods Realty LP, 5.85%, due 03/15/17 | 52,566 | ||||||||
100,000 | SL Green Realty Corp., 5%, due 08/15/18 | 106,279 | ||||||||
|
| |||||||||
Total REIT | 256,034 | |||||||||
|
| |||||||||
Retail (0.4%) | ||||||||||
65,000 | Walgreens Boots Alliance, Inc., 0.775%, due 05/18/16 (1) | 64,926 | ||||||||
|
| |||||||||
Software (0.2%) | ||||||||||
25,000 | Microsoft Corp., 4.45%, due 11/03/45 | 25,394 | ||||||||
|
| |||||||||
Telecommunications (0.3%) | ||||||||||
45,000 | AT&T, Inc., 1.257%, due 06/30/20 (1) | 44,666 | ||||||||
|
| |||||||||
Total Corporate Bonds (Cost: $2,811,003) | 2,917,464 | |||||||||
|
| |||||||||
Foreign Government Bonds (34.8%) | ||||||||||
AUD | 186,000 | Australia Government Bond, (Reg. S), 2.75%, due 04/21/24 (2) | 134,849 | |||||||
EUR | 240,000 | Bundesrepublik Deutschland (Germany), (Reg. S), 2.25%, due 09/04/21 (2) | 300,103 | |||||||
CAD | 430,000 | Canada Housing Trust No. 1, (144A), 3.35%, due 12/15/20 (3) | 361,141 | |||||||
DKK | 900,000 | Denmark Government Bond, 1.75%, due 11/15/25 | 145,077 | |||||||
EUR | 200,000 | France Government Bond OAT, (Reg. S), 2.5%, due 05/25/30 (2) | 255,989 | |||||||
EUR | 65,000 | France Government Bond OAT, (Reg. S), 3.25%, due 10/25/21 (2) | 84,798 | |||||||
EUR | 55,000 | Ireland Government Bond, (Reg. S), 3.4%, due 03/18/24 (2) | 72,674 | |||||||
ILS | 280,000 | Israel Government Bond, 5.5%, due 01/31/22 | 91,392 | |||||||
EUR | 627,000 | Italy Buoni Poliennali Del Tesoro, 4.5%, due 03/01/24 | 864,038 | |||||||
JPY | 95,800,000 | Japan Government Ten-Year Bond, 1%, due 09/20/21 | 837,993 | |||||||
JPY | 27,000,000 | Japan Government Thirty-Year Bond, 2%, due 03/20/42 | 259,544 | |||||||
NOK | 1,350,000 | Norway Government Bond, (Reg. S), 3.75%, due 05/25/21 (2) | 182,267 | |||||||
PLN | 265,000 | Poland Government Bond, 3.25%, due 07/25/25 | 72,270 | |||||||
EUR | 110,000 | Portugal Obrigacoes do Tesouro OT, (Reg. S), 5.65%, due 02/15/24 (2) | 151,573 | |||||||
$ | 250,000 | Romanian Government International Bond, (Reg. S), 4.875%, due 01/22/24 (2) | 272,454 |
See accompanying notes to financial statements.
37
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Foreign Government Bonds (Continued) |
| |||||||||
SGD | 350,000 | Singapore Government Bond, 2.5%, due 06/01/19 | $ | 258,033 | ||||||
EUR | 245,000 | Spain Government Bond, (Reg. S), 2.75%, due 10/31/24 (2) | 297,018 | |||||||
SEK | 500,000 | Sweden Government Bond, 3.5%, due 06/01/22 | 71,384 | |||||||
GBP | 352,000 | United Kingdom Gilt, (Reg. S), 2.75%, due 09/07/24 (2) | 584,020 | |||||||
|
| |||||||||
Total Foreign Government Bonds (Cost: $5,925,418) | 5,296,617 | |||||||||
|
| |||||||||
Asset-Backed Securities (5.3%) |
| |||||||||
$ | 40,000 | Dryden Senior Loan Fund, (144A), 1.821%, due 04/15/27 (1)(3) | 39,804 | |||||||
45,775 | Educational Funding of the South, Inc. (11-1-A2), 0.97%, due 04/25/35 (1) | 44,466 | ||||||||
24,042 | GE Business Loan Trust (04-2A-A), (144A), 0.416%, due 12/15/32 (1)(3) | 23,618 | ||||||||
40,000 | Limerock CLO II, Ltd. (14-2A-A), (144A), 1.817%, due 04/18/26 (1)(3) | 39,777 | ||||||||
20,000 | Magnetite XI, Ltd. (14-11A-A1), (144A), 1.767%, due 01/18/27 (1)(3) | 19,879 | ||||||||
40,000 | Magnetite XII, Ltd. (15-12A-A), (144A), 1.821%, due 04/15/27 (1)(3) | 39,842 | ||||||||
80,000 | Navient Student Loan Trust (14-8-A3), 0.797%, due 05/27/31 (1) | 77,355 | ||||||||
115,000 | Nelnet Education Loan Corp. (04-1A-B1), (144A), 0.992%, due 02/25/36 (1)(3) | 92,645 | ||||||||
80,000 | SLC Student Loan Trust (08-1-A4A), 1.937%, due 12/15/32 (1) | 81,278 | ||||||||
50,000 | SLM Student Loan Trust (07-3-A4), 0.38%, due 01/25/22 (1) | 46,878 | ||||||||
80,000 | SLM Student Loan Trust (07-6-A4), 0.7%, due 10/25/24 (1) | 75,753 | ||||||||
19,364 | SLM Student Loan Trust (08-9-A), 1.82%, due 04/25/23 (1) | 19,486 | ||||||||
50,000 | SLM Student Loan Trust (11-2-A2), 1.397%, due 10/25/34 (1) | 49,323 | ||||||||
70,687 | Spirit Master Funding LLC (14-1A-A1), (144A), 5.05%, due 07/20/40 (3) | 73,868 | ||||||||
50,000 | Student Loan Consolidation Center (02-2-B2), (144A), 0.07%, | 38,824 | ||||||||
40,000 | Voya CLO, Ltd. (14-4A-A1), (144A), 1.821%, due 10/14/26 (1)(3) | 39,750 | ||||||||
|
| |||||||||
Total Asset-Backed Securities (Cost: $791,891) | 802,546 | |||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — Agency (2.7%) | ||||||||||
7,691 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates (KF01-A), 0.547%, due 04/25/19 (1) | 7,678 | ||||||||
362,805 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates (KSCT-AX), 1.272%, due 01/25/20 (1) (I/O) | 14,344 | ||||||||
72,772 | Federal National Mortgage Association, Pool #467731, 4.62%, due 04/01/21 | 81,210 | ||||||||
71,918 | Federal National Mortgage Association, Pool #460605, 6.09%, due 01/01/17 | 75,883 | ||||||||
123,940 | Federal National Mortgage Association (12-M10-AFL), 0.647%, due 09/25/22 (1) | 124,131 | ||||||||
47,405 | Federal National Mortgage Association (14-M12-FA), 0.505%, due 10/25/21 (1) | 47,656 | ||||||||
59,753 | Federal National Mortgage Association (14-M8-FA), 0.455%, | 59,700 | ||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $419,962) | 410,602 | |||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — Non-Agency (1.5%) |
| |||||||||
1,887,879 | Bank of America-First Union NB Commercial Mortgage (01-3-XC), (144A), | 3,113 | ||||||||
52,761 | JPMorgan Chase Commercial Mortgage Securities Corp. (06-LDP7-A4), | 53,346 | ||||||||
94,096 | Morgan Stanley Capital I Trust (06-IQ12-A4), 5.332%, due 12/15/43 | 96,470 |
See accompanying notes to financial statements.
38
Table of Contents
TCW Global Bond Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||||
Commercial Mortgage-Backed Securities — Non-Agency (Continued) |
| |||||||||||
$ | 1,956,084 | Morgan Stanley Capital I Trust (99-RM1-X), (144A), 0.66%, | $ | 8,642 | ||||||||
65,000 | WFRBS Commercial Mortgage Trust (11-C4-A3), (144A), 4.394%, due 06/15/44 (3) | 69,171 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $245,884) | 230,742 | |||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — Agency (12.9%) |
| |||||||||||
20,403 | Federal Home Loan Mortgage Corp. (2990-ND), 16.394%, | 24,327 | ||||||||||
161,841 | Federal Home Loan Mortgage Corp. (3439-SC), 5.704%, | 26,385 | ||||||||||
142,705 | Federal Home Loan Mortgage Corp., Pool #G08650, 3.5%, due 06/01/45 | 148,386 | ||||||||||
44,569 | Federal Home Loan Mortgage Corp., Pool #G08653, 3%, due 07/01/45 | 44,961 | ||||||||||
69,803 | Federal Home Loan Mortgage Corp., Pool #G08669, 4%, due 09/01/45 (4) | 74,278 | ||||||||||
40,000 | Federal Home Loan Mortgage Corp., Pool #G08671, 3.5%, due 10/01/45 (4) | 41,567 | ||||||||||
19,708 | Federal Home Loan Mortgage Corp., Pool #G18565, 3%, due 08/01/30 | 20,513 | ||||||||||
170,623 | Federal National Mortgage Association (07-52-LS), 5.853%, | 28,470 | ||||||||||
153,841 | Federal National Mortgage Association (08-18-SM), 6.803%, | 27,661 | ||||||||||
116,108 | Federal National Mortgage Association (09-115-SB), 6.053%, | 21,232 | ||||||||||
234,016 | Federal National Mortgage Association (10-116-SE), 6.403%, | 43,126 | ||||||||||
17,084 | Federal National Mortgage Association (10-35-IA), 5%, due 07/25/38 (I/O) | 131 | ||||||||||
186,793 | Federal National Mortgage Association, Pool #AB3679, 3.5%, due 10/01/41 | 195,623 | ||||||||||
204,401 | Federal National Mortgage Association, Pool #AB4045, 3.5%, due 12/01/41 | 214,923 | ||||||||||
82,465 | Federal National Mortgage Association, Pool #AS5355, 2.5%, due 07/01/30 | 84,055 | ||||||||||
83,536 | Federal National Mortgage Association, Pool #AT5914, 3.5%, due 06/01/43 | 87,301 | ||||||||||
103,019 | Federal National Mortgage Association, Pool #MA1527, 3%, due 08/01/33 | 106,649 | ||||||||||
85,797 | Federal National Mortgage Association, Pool #MA1652, 3.5%, due 11/01/33 | 90,335 | ||||||||||
35,000 | Federal National Mortgage Association TBA, 3% (5) | 35,386 | ||||||||||
230,000 | Federal National Mortgage Association TBA, 3.5% (5) | 239,376 | ||||||||||
90,000 | Federal National Mortgage Association TBA, 4% (5) | 95,801 | ||||||||||
50,000 | Federal National Mortgage Association TBA, 4.5% (5) | 54,187 | ||||||||||
137,012 | Government National Mortgage Association (11-146-EI), 5%, | 31,574 | ||||||||||
350,555 | Government National Mortgage Association (11-69-GI), 5%, due 05/16/40 (I/O) | 44,442 | ||||||||||
360,077 | Government National Mortgage Association (12-7-PI), 3.5%, | 23,764 | ||||||||||
89,808 | Government National Mortgage Association II, Pool #MA3105, 3.5%, | 94,257 | ||||||||||
60,000 | Government National Mortgage Association II TBA, 3.5% (5) | 62,878 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $1,941,640) | 1,961,588 | |||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — Non-Agency (5.2%) | ||||||||||||
123,314 | First Horizon Mortgage Pass-Through Trust (05-AR4-2A1), 2.662%, | 108,358 |
See accompanying notes to financial statements.
39
Table of Contents
TCW Global Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||||||
$ | 54,451 | Green Tree Financial Corp. (98-6-A8), 6.66%, due 06/01/30 | $ | 57,913 | ||||||||
176,800 | Lehman XS Trust (06-9-A1B), 0.357%, due 05/25/46 (1)(6) | 151,629 | ||||||||||
1,251,739 | Merrill Lynch Alternative Note Asset Trust (07-A3-A2D), 0.527%, due 04/25/37 (1) | 186,768 | ||||||||||
125,212 | Structured Adjustable Rate Mortgage Loan Trust (04-18-4A1), 2.406%, | 123,549 | ||||||||||
257,260 | Structured Asset Mortgage Investments, Inc. (06-AR3-22A1), 1.992%, | 162,420 | ||||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $578,485) | 790,637 | |||||||||||
|
| |||||||||||
U.S. Government Agency Obligations (1.6%) | ||||||||||||
80,000 | Federal Farm Credit Bank, 0.213%, due 09/14/16 (1) | 80,016 | ||||||||||
80,000 | Federal Farm Credit Bank, 0.227%, due 04/26/17 (1) | 80,016 | ||||||||||
80,000 | Federal Farm Credit Bank, 0.247%, due 04/17/17 (1) | 80,064 | ||||||||||
|
| |||||||||||
Total U.S. Government Agency Obligations (Cost: $239,975) | 240,096 | |||||||||||
|
| |||||||||||
U.S. Treasury Securities (10.9%) | ||||||||||||
620,000 | U.S. Treasury Bond, 2.875%, due 08/15/45 | 612,747 | ||||||||||
245,000 | U.S. Treasury Note, 1.25%, due 10/31/20 | 243,230 | ||||||||||
820,000 | U.S. Treasury Note, 2%, due 08/15/25 | 809,288 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Securities (Cost: $1,674,295) | 1,665,265 | |||||||||||
|
| |||||||||||
Total Fixed Income Securities (Cost: $14,628,553) (94.0%) | 14,315,557 | |||||||||||
|
| |||||||||||
Number of Shares | Money Market Investments | |||||||||||
13,000 | Dreyfus Government Cash Management Fund — Institutional Class, 0.01% (7) | 13,000 | ||||||||||
126,000 | Morgan Stanley Liquidity Fund — Government Portfolio, 0.04% (7) | 126,000 | ||||||||||
1,069,941 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (7) | 1,069,941 | ||||||||||
|
| |||||||||||
Total Money Market Investments (Cost: $1,208,941) (7.9%) | 1,208,941 | |||||||||||
|
| |||||||||||
Principal Amount | Short-Term Investments | |||||||||||
U.S. Treasury Securities (4.0% ) | ||||||||||||
$ | 395,000 | U.S. Treasury Bill, 0.11%, due 01/07/16 (8) | 394,953 | |||||||||
215,000 | U.S. Treasury Bill, 0.006%, due 03/03/16 (8) | 214,931 | ||||||||||
|
| |||||||||||
Total Short-Term Investments (Cost: $609,915) (4.0%) | 609,884 | |||||||||||
|
| |||||||||||
Total Investments (Cost: $16,447,409) (105.9%) | 16,134,382 | |||||||||||
Liabilities in Excess of Other Assets (-5.9%) | (898,657 | ) | ||||||||||
|
| |||||||||||
Total Net Assets (100.0%) | $ | 15,235,725 | ||||||||||
|
|
See accompanying notes to financial statements.
40
Table of Contents
TCW Global Bond Fund
October 31, 2015 |
Forward Currency Contracts | ||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||
BUY (9) | ||||||||||||||||||||||
Barclays Capital | EUR | 785,000 | 01/15/16 | $ | 895,214 | $ | 868,336 | $ | (26,878 | ) | ||||||||||||
Barclays Capital | JPY | 59,700,000 | 01/15/16 | 503,966 | 495,437 | (8,529 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 1,399,180 | $ | 1,363,773 | $ | (35,407 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
SELL (10) | ||||||||||||||||||||||
Barclays Capital | ILS | 360,000 | 01/15/16 | $ | 94,096 | $ | 93,277 | $ | 819 | |||||||||||||
Barclays Capital | SGD | 300,000 | 01/15/16 | 216,794 | 213,695 | 3,099 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 310,890 | $ | 306,972 | $ | 3,918 | |||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
AUD - | Australian Dollar. |
CAD | - Canadian Dollar. |
DKK | - Danish Krone. |
EUR - | Euro Currency. |
GBP - | British Pound Sterling. |
ILS - | Israeli Shekel. |
JPY - | Japanese Yen. |
NOK - | Norwegian Krona. |
PLN - | Polish Zloty. |
SEK - | Swedish Krona. |
SGD | - Singapore Dollar. |
ABS - | Asset-Backed Securities. |
ACES - | Alternative Credit Enhancement Securities. |
CLO - | Collateralized Loan Obligation. |
EETC - | Enhanced Equipment Trust Certificate. |
I/F - | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O - | Interest Only Security. |
PAC - | Planned Amortization Class. |
REIT - | Real Estate Investment Trust. |
TBA - | To be Announced. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2015. |
(2) | Investments issued under Regulation S of the Securities Act of 1933, may not be offered, sold, or delivered within the United States except under special exemptions. At October 31, 2015, the value of these securities amounted to $2,386,978 or 15.7% of net assets. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2015, the value of these securities amounted to $1,507,902 or 9.9% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(4) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(5) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(6) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. |
(7) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
(8) | Rate shown represents yield-to-maturity. |
(9) | Fund buys foreign currency, sells U.S. Dollar. |
(10) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
41
Table of Contents
TCW Global Bond Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Airlines | 3.1 | % | ||
Asset-Backed Securities | 5.3 | |||
Auto Manufacturers | 0.7 | |||
Banks | 7.4 | |||
Biotechnology | 0.1 | |||
Commercial Mortgage-Backed Securities — Agency | 2.7 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 1.5 | |||
Diversified Financial Services | 1.2 | |||
Electric | 0.9 | |||
Foreign Government Bonds | 34.8 | |||
Healthcare-Services | 0.0 | * | ||
Insurance | 1.1 | |||
Media | 0.2 | |||
Pharmaceuticals | 0.2 | |||
Pipelines | 0.3 | |||
REIT | 1.7 | |||
Real Estate | 1.3 | |||
Residential Mortgage-Backed Securities — Agency | 12.9 | |||
Residential Mortgage-Backed Securities — Non-Agency | 5.2 | |||
Retail | 0.4 | |||
Software | 0.2 | |||
Telecommunications | 0.3 | |||
U.S. Government Agency Obligations | 1.6 | |||
U.S. Treasury Securities | 10.9 | |||
Money Market Investments | 7.9 | |||
Short-Term Investments | 4.0 | |||
|
| |||
Total | 105.9 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets |
See accompanying notes to financial statements.
42
Table of Contents
TCW Global Bond Fund
Investments by Country | October 31, 2015 |
Country | Percentage of Net Assets | |||
Australia | 0.9 | % | ||
Canada | 2.5 | |||
Denmark | 0.9 | |||
France | 2.2 | |||
Germany | 2.0 | |||
Great Britain | 3.8 | |||
Ireland | 0.5 | |||
Israel | 0.6 | |||
Italy | 5.7 | |||
Japan | 7.2 | |||
Luxembourg | 0.1 | |||
Mexico | 1.5 | |||
Netherlands | 0.7 | |||
Norway | 1.2 | |||
Poland | 0.5 | |||
Portugal | 1.0 | |||
Romania | 1.8 | |||
Singapore | 1.7 | |||
Spain | 1.9 | |||
Sweden | 0.5 | |||
United Kingdom | 1.0 | |||
United States | 67.7 | |||
|
| |||
Total | 105.9 | % | ||
|
|
See accompanying notes to financial statements.
43
Table of Contents
Schedule of Investments
Principal Amount | Fixed Income Securities | Value | ||||||
Bank Loans (4.5% of Net Assets) | ||||||||
Electric (0.4%) | ||||||||
$ | 155,941 | Lonestar Generation LLC, Term Loan B, 11.32%, due 02/20/21 (1) | $ | 126,702 | ||||
32,425 | Utility Services Associates, Inc., Term Loan B, 8.867%, due 10/18/19 (1) | 32,506 | ||||||
�� |
|
| ||||||
Total Electric | 159,208 | |||||||
|
| |||||||
Food (0.8%) | ||||||||
300,000 | B&G Foods, Inc. Term Loan B, 3.75%, due 10/07/22 (1)(2) | 300,610 | ||||||
|
| |||||||
Healthcare-Services (0.7%) | ||||||||
246,875 | RCHP, Inc. 1st Lien Term Loan, 6.256%, due 04/23/19 (1) | 244,201 | ||||||
|
| |||||||
Lodging (0.7%) | ||||||||
235,000 | CityCenter Holdings LLC, Term Loan B, 5.027%, due 10/16/20 (1)(2) | 235,558 | ||||||
|
| |||||||
Packaging & Containers (1.0%) | ||||||||
248,116 | BWAY Holding Co., New Term Loan B, 5.419%, due 08/14/20 (1) | 249,046 | ||||||
125,000 | Peacock Engineering Co., LLC 2015 Term Loan B, 6.258%, due 07/09/22 (1) | 125,218 | ||||||
|
| |||||||
Total Packaging & Containers | 374,264 | |||||||
|
| |||||||
Pharmaceuticals (0.1%) | ||||||||
35,000 | Valeant Pharmaceuticals International, Inc. (Canada), Series E Term Loan B, | 32,633 | ||||||
|
| |||||||
Software (0.8%) | ||||||||
300,000 | First Data Corp., New 2018 Extended Term Loan, 4.967%, due 03/24/18 (1)(2) | 298,152 | ||||||
|
| |||||||
Total Bank Loans (Cost: $1,669,770) | 1,644,626 | |||||||
|
| |||||||
Corporate Bonds (63.7%) | ||||||||
Advertising (0.3%) | ||||||||
100,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., 5.25%, due 02/15/22 | 103,125 | ||||||
|
| |||||||
Aerospace/Defense (0.8%) | ||||||||
85,000 | KLX, Inc., (144A), 5.875%, due 12/01/22 (3) | 87,448 | ||||||
90,000 | Orbital ATK, Inc., (144A), 5.5%, due 10/01/23 (3) | 94,500 | ||||||
125,000 | TransDigm, Inc., 5.5%, due 10/15/20 | 125,938 | ||||||
|
| |||||||
Total Aerospace/Defense | 307,886 | |||||||
|
| |||||||
Airlines (2.9%) | ||||||||
442,453 | American Airlines, Inc. Pass-Through Trust (13-1-B), (144A), 5.625%, | 447,845 | ||||||
181,955 | Continental Airlines, Inc. Pass-Through Certificates (99-1-A), 6.545%, | 195,943 | ||||||
370,388 | Delta Air Lines, Inc. Pass-Through Certificates, (02-1G1), 6.718%, due 07/02/24 (EETC) | 424,094 | ||||||
|
| |||||||
Total Airlines | 1,067,882 | |||||||
|
|
See accompanying notes to financial statements.
44
Table of Contents
TCW High Yield Bond Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Auto Parts & Equipment (0.9%) | ||||||||
$ | 65,000 | Lear Corp., 5.25%, due 01/15/25 | $ | 66,625 | ||||
95,000 | Tenneco, Inc., 5.375%, due 12/15/24 | 98,800 | ||||||
150,000 | ZF North America Capital, Inc., (144A), 4.5%, due 04/29/22 (3) | 151,785 | ||||||
|
| |||||||
Total Auto Parts & Equipment | 317,210 | |||||||
|
| |||||||
Banks (2.8%) | ||||||||
350,000 | CIT Group, Inc., (144A), 5.5%, due 02/15/19 (3) | 372,312 | ||||||
500,000 | Citigroup, Inc., 0.879%, due 08/25/36 (4) | 379,801 | ||||||
375,000 | JPMorgan Chase Capital XXIII, 1.32%, due 05/15/77 (4) | 278,906 | ||||||
|
| |||||||
Total Banks | 1,031,019 | |||||||
|
| |||||||
Beverages (1.2%) | ||||||||
40,000 | Constellation Brands, Inc., 6%, due 05/01/22 | 44,800 | ||||||
110,000 | Cott Beverages, Inc., 6.75%, due 01/01/20 | 117,150 | ||||||
235,000 | DS Services of America, Inc., (144A), 10%, due 09/01/21 (3) | 270,838 | ||||||
|
| |||||||
Total Beverages | 432,788 | |||||||
|
| |||||||
Chemicals (0.2%) | ||||||||
75,000 | Momentive Performance Materials, Inc., 3.88%, due 10/24/21 | 60,375 | ||||||
75,000 | MPM Escrow LLC, 8.875%, due 10/15/20 (5) | — | ||||||
|
| |||||||
Total Chemicals | 60,375 | |||||||
|
| |||||||
Coal (0.0%) | ||||||||
15,000 | Walter Energy, Inc., (144A), 9.5%, due 10/15/19 (3)(5) | 4,650 | ||||||
66,950 | Walter Energy, Inc., (144A), 11%, due 04/01/20 (3)(5) | 2,009 | ||||||
|
| |||||||
Total Coal | 6,659 | |||||||
|
| |||||||
Commercial Services (0.2%) | ||||||||
80,000 | United Rentals North America, Inc., 4.625%, due 07/15/23 | 80,700 | ||||||
|
| |||||||
Computers (0.3%) | ||||||||
125,000 | IHS, Inc., 5%, due 11/01/22 | 126,719 | ||||||
|
| |||||||
Diversified Financial Services (3.1%) | ||||||||
260,000 | AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust (Netherlands), | 270,075 | ||||||
50,000 | AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust (Netherlands), | 52,438 | ||||||
275,000 | Ally Financial, Inc., 4.125%, due 02/13/22 | 278,953 | ||||||
55,000 | Ally Financial, Inc., 4.625%, due 05/19/22 | 57,337 | ||||||
400,000 | International Lease Finance Corp., (144A), 7.125%, due 09/01/18 (3) | 444,500 | ||||||
50,000 | Navient Corp., 5%, due 10/26/20 | 46,938 | ||||||
|
| |||||||
Total Diversified Financial Services | 1,150,241 | |||||||
|
|
See accompanying notes to financial statements.
45
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Electric (2.7%) | ||||||||
$ | 155,000 | Calpine Corp., (144A), 6%, due 01/15/22 (3) | $ | 164,067 | ||||
75,000 | GenOn Americas Generation LLC, 8.5%, due 10/01/21 | 59,438 | ||||||
328,125 | Homer City Generation LP, 8.734%, due 10/01/26 | 326,484 | ||||||
327,345 | Red Oak Power LLC, 8.54%, due 11/30/19 | 343,713 | ||||||
100,000 | RJS Power Holdings LLC, (144A), 4.625%, due 07/15/19 (3) | 92,230 | ||||||
|
| |||||||
Total Electric | 985,932 | |||||||
|
| |||||||
Electrical Components & Equipment (0.4%) | ||||||||
135,000 | Energizer Holdings, Inc., (144A), 5.5%, due 06/15/25 (3) | 138,375 | ||||||
|
| |||||||
Engineering & Construction (0.4%) | ||||||||
50,000 | SBA Communications Corp., 4.875%, due 07/15/22 | 51,373 | ||||||
100,000 | SBA Communications Corp., 5.625%, due 10/01/19 | 104,875 | ||||||
|
| |||||||
Total Engineering & Construction | 156,248 | |||||||
|
| |||||||
Entertainment (1.3%) | ||||||||
80,000 | Churchill Downs, Inc., 5.375%, due 12/15/21 | 82,400 | ||||||
325,000 | Isle of Capri Casinos, Inc., 5.875%, due 03/15/21 | 342,875 | ||||||
55,000 | Pinnacle Entertainment, Inc., 6.375%, due 08/01/21 | 58,919 | ||||||
|
| |||||||
Total Entertainment | 484,194 | |||||||
|
| |||||||
Food (1.2%) | ||||||||
410,000 | Kraft Heinz Foods Co., (144A), 4.875%, due 02/15/25 (3) | 441,222 | ||||||
|
| |||||||
Gas (0.3%) | ||||||||
125,000 | Southern Star Central Corp., (144A), 5.125%, due 07/15/22 (3) | 121,875 | ||||||
|
| |||||||
Healthcare-Products (0.8%) | ||||||||
125,000 | Greatbatch, Ltd., (144A), 9.125%, due 11/01/23 (3) | 128,438 | ||||||
36,000 | Hill-Rom Holdings, Inc., (144A), 5.75%, due 09/01/23 (3) | 36,855 | ||||||
50,000 | Hologic, Inc., (144A), 5.25%, due 07/15/22 (3) | 52,375 | ||||||
35,000 | Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Luxembourg), (144A), 4.875%, due 04/15/20 (3) | 33,689 | ||||||
55,000 | Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Luxembourg), (144A), 5.625%, due 10/15/23 (3) | 52,115 | ||||||
|
| |||||||
Total Healthcare-Products | 303,472 | |||||||
|
| |||||||
Healthcare-Services (5.9%) | ||||||||
155,000 | CHS / Community Health Systems, Inc., 5.125%, due 08/01/21 | 160,812 | ||||||
25,000 | DaVita HealthCare Partners, Inc., 5%, due 05/01/25 | 24,880 | ||||||
85,000 | DaVita HealthCare Partners, Inc., 5.125%, due 07/15/24 | 86,913 | ||||||
300,000 | DaVita HealthCare Partners, Inc., 5.75%, due 08/15/22 | 316,125 | ||||||
20,000 | Fresenius Medical Care US Finance II, Inc., (144A), 5.625%, due 07/31/19 (3) | 21,850 | ||||||
100,000 | Fresenius Medical Care US Finance II, Inc., (144A), 5.875%, due 01/31/22 (3) | 109,500 | ||||||
100,000 | HCA, Inc., 4.75%, due 05/01/23 | 103,250 | ||||||
335,000 | HCA, Inc., 6.5%, due 02/15/20 | 375,635 | ||||||
200,000 | HealthSouth Corp., 5.75%, due 11/01/24 | 201,000 |
See accompanying notes to financial statements.
46
Table of Contents
TCW High Yield Bond Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Healthcare-Services (Continued) | ||||||||
$ | 75,000 | LifePoint Health, Inc., 5.5%, due 12/01/21 | $ | 76,313 | ||||
120,000 | Tenet Healthcare Corp., (144A), 3.837%, due 06/15/20 (3)(4) | 119,700 | ||||||
135,000 | Tenet Healthcare Corp., 4.5%, due 04/01/21 | 136,012 | ||||||
235,000 | Tenet Healthcare Corp., 6%, due 10/01/20 | 254,975 | ||||||
173,000 | WellCare Health Plans, Inc., 5.75%, due 11/15/20 | 181,434 | ||||||
|
| |||||||
Total Healthcare-Services | 2,168,399 | |||||||
|
| |||||||
Holding Companies — Diversified (0.5%) | ||||||||
165,000 | Nielsen Co. Luxembourg SARL (The) (Luxembourg), (144A), 5.5%, due 10/01/21 (3) | 171,188 | ||||||
|
| |||||||
Home Builders (0.1%) | ||||||||
50,000 | Shea Homes LP / Shea Homes Funding Corp., (144A), 6.125%, due 04/01/25 (3) | 52,656 | ||||||
|
| |||||||
Home Furnishings (0.1%) | ||||||||
50,000 | Tempur Sealy International, Inc., (144A), 5.625%, due 10/15/23 (3) | 52,688 | ||||||
|
| |||||||
Household Products/Wares (0.3%) | ||||||||
65,000 | Spectrum Brands, Inc., (144A), 5.75%, due 07/15/25 (3) | 69,634 | ||||||
35,000 | Spectrum Brands, Inc., 6.625%, due 11/15/22 | 38,413 | ||||||
|
| |||||||
Total Household Products/Wares | 108,047 | |||||||
|
| |||||||
Housewares (0.8%) | ||||||||
120,000 | RSI Home Products, Inc., (144A), 6.5%, due 03/15/23 (3) | 124,200 | ||||||
160,000 | Scotts Miracle-Gro Co. (The), (144A), 6%, due 10/15/23 (3) | 170,000 | ||||||
|
| |||||||
Total Housewares | 294,200 | |||||||
|
| |||||||
Leisure Time (1.4%) | ||||||||
450,000 | Jarden Corp., (144A), 5%, due 11/15/23 (3) | 464,625 | ||||||
40,000 | NCL Corp., Ltd. — Class C, (144A), 5.25%, due 11/15/19 (3) | 41,700 | ||||||
|
| |||||||
Total Leisure Time | 506,325 | |||||||
|
| |||||||
Lodging (1.3%) | ||||||||
400,000 | Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 5.625%, due 10/15/21 | 420,668 | ||||||
35,000 | MGM Resorts International, 8.625%, due 02/01/19 | 39,725 | ||||||
|
| |||||||
Total Lodging | 460,393 | |||||||
|
| |||||||
Media (7.7%) | ||||||||
250,000 | Altice US Finance I Corp. (Luxembourg), (144A), 5.375%, due 07/15/23 (3) | 253,625 | ||||||
60,000 | Cable One, Inc., (144A), 5.75%, due 06/15/22 (3) | 61,650 | ||||||
7,000 | CCO Holdings LLC / CCO Holdings Capital Corp., (144A), 5.125%, due 05/01/23 (3) | 7,035 | ||||||
100,000 | CCO Holdings LLC / CCO Holdings Capital Corp., (144A), 5.875%, due 05/01/27 (3) | 100,250 | ||||||
150,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 6.5%, due 04/30/21 | 157,687 | ||||||
200,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 6.625%, due 01/31/22 | 212,000 | ||||||
55,000 | Cequel Communications Holdings I LLC / Cequel Capital Corp., (144A), 6.375%, due 09/15/20 (3) | 55,412 | ||||||
200,000 | Clear Channel Worldwide Holdings, Inc., 6.5%, due 11/15/22 | 210,250 | ||||||
320,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 311,360 |
See accompanying notes to financial statements.
47
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Media (Continued) | ||||||||
$ | 145,000 | DISH DBS Corp., 5.875%, due 11/15/24 | $ | 139,055 | ||||
30,000 | DISH DBS Corp., 6.75%, due 06/01/21 | 31,050 | ||||||
125,000 | DISH DBS Corp., 7.875%, due 09/01/19 | 137,187 | ||||||
20,000 | LIN Television Corp., (144A), 5.875%, due 11/15/22 (3) | 20,200 | ||||||
35,000 | Midcontinent Communications & Finance Co., (144A), 6.875%, due 08/15/23 (3) | 35,963 | ||||||
25,000 | Nexstar Broadcasting, Inc., (144A), 6.125%, due 02/15/22 (3) | 25,063 | ||||||
400,000 | Numericable-SFR (France), (144A), 4.875%, due 05/15/19 (3) | 404,000 | ||||||
270,000 | Sinclair Television Group, Inc., 6.125%, due 10/01/22 | 278,100 | ||||||
133,000 | Sirius XM Radio, Inc., (144A), 4.25%, due 05/15/20 (3) | 134,995 | ||||||
250,000 | Univision Communications, Inc., (144A), 5.125%, due 02/15/25 (3) | 246,875 | ||||||
|
| |||||||
Total Media | 2,821,757 | |||||||
|
| |||||||
Oil & Gas (3.1%) | ||||||||
55,000 | Chesapeake Energy Corp., 5.75%, due 03/15/23 | 34,925 | ||||||
60,000 | Chesapeake Energy Corp., 6.625%, due 08/15/20 | 40,950 | ||||||
140,000 | Concho Resources, Inc., 5.5%, due 04/01/23 | 141,400 | ||||||
25,000 | EP Energy LLC / Everest Acquisition Finance, Inc., 9.375%, due 05/01/20 | 21,938 | ||||||
60,000 | Gulfport Energy Corp., 6.625%, due 05/01/23 | 55,200 | ||||||
195,000 | MEG Energy Corp., (144A), 6.5%, due 03/15/21 (3) | 173,062 | ||||||
250,000 | Newfield Exploration Co., 5.375%, due 01/01/26 | 239,687 | ||||||
105,000 | QEP Resources, Inc., 5.25%, due 05/01/23 | 93,712 | ||||||
70,000 | Summit Midstream Holdings LLC / Summit Midstream Finance Corp., 7.5%, due 07/01/21 | 68,775 | ||||||
10,000 | Sunoco LP / Sunoco Finance Corp., (144A), 5.5%, due 08/01/20 (3) | 10,325 | ||||||
75,000 | Sunoco LP / Sunoco Finance Corp., (144A), 6.375%, due 04/01/23 (3) | 76,125 | ||||||
125,000 | Whiting Petroleum Corp., 5%, due 03/15/19 | 119,375 | ||||||
55,000 | WPX Energy, Inc., 5.25%, due 09/15/24 | 46,063 | ||||||
|
| |||||||
Total Oil & Gas | 1,121,537 | |||||||
|
| |||||||
Packaging & Containers (3.4%) | ||||||||
410,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., (144A), 3.337%, due 12/15/19 (3)(4) | 404,875 | ||||||
75,000 | Ball Corp., 4%, due 11/15/23 | 73,500 | ||||||
10,000 | Ball Corp., 5%, due 03/15/22 | 10,400 | ||||||
105,000 | Berry Plastics Corp., 5.125%, due 07/15/23 | 104,081 | ||||||
10,000 | Berry Plastics Corp., 5.5%, due 05/15/22 | 10,313 | ||||||
34,000 | Berry Plastics Corp., (144A), 6%, due 10/15/22 (3) | 35,742 | ||||||
40,000 | Owens-Brockway Glass Container, Inc., (144A), 5%, due 01/15/22 (3) | 40,925 | ||||||
535,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg), 5.75%, due 10/15/20 | 557,737 | ||||||
15,000 | Sealed Air Corp., (144A), 5.125%, due 12/01/24 (3) | 15,488 | ||||||
|
| |||||||
Total Packaging & Containers | 1,253,061 | |||||||
|
|
See accompanying notes to financial statements.
48
Table of Contents
TCW High Yield Bond Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Pharmaceuticals (2.3%) | ||||||||
$ | 200,000 | Endo Finance LLC / Endo Finco, Inc., (144A), 6%, due 07/15/23 (3) | $ | 201,000 | ||||
140,000 | Quintiles Transnational Corp., (144A), 4.875%, due 05/15/23 (3) | 143,990 | ||||||
13,000 | Valeant Pharmaceuticals International, Inc. (Canada), (144A), 5.375%, due 03/15/20 (3) | 11,342 | ||||||
100,000 | Valeant Pharmaceuticals International, Inc. (Canada), (144A), 5.5%, due 03/01/23 (3) | 84,500 | ||||||
237,000 | Valeant Pharmaceuticals International, Inc. (Canada), (144A), 5.875%, due 05/15/23 (3) | 201,450 | ||||||
245,000 | Valeant Pharmaceuticals International, Inc. (Canada), (144A), 6.125%, due 04/15/25 (3) | 208,250 | ||||||
|
| |||||||
Total Pharmaceuticals | 850,532 | |||||||
|
| |||||||
Pipelines (4.0%) | ||||||||
40,000 | Energy Transfer Equity LP, 5.5%, due 06/01/27 | 35,806 | ||||||
355,000 | Energy Transfer Partners LP, 3.317%, due 11/01/66 (4) | 250,275 | ||||||
231,000 | Kinder Morgan, Inc., 7.8%, due 08/01/31 | 234,570 | ||||||
194,000 | MarkWest Energy Partners LP / MarkWest Energy Finance Corp., 4.875%, due 12/01/24 | 184,067 | ||||||
115,000 | Rockies Express Pipeline LLC, (144A), 5.625%, due 04/15/20 (3) | 116,581 | ||||||
35,000 | Rockies Express Pipeline LLC, (144A), 6.875%, due 04/15/40 (3) | 33,513 | ||||||
100,000 | Rose Rock Midstream LP / Rose Rock Finance Corp., 5.625%, due 07/15/22 | 85,500 | ||||||
350,000 | Sabine Pass LNG, LP, (144A), 7.5%, due 11/30/16 (3) | 361,813 | ||||||
40,000 | Williams Cos., Inc. (The), 3.7%, due 01/15/23 | 32,495 | ||||||
142,000 | Williams Cos., Inc. (The), 4.55%, due 06/24/24 | 118,934 | ||||||
|
| |||||||
Total Pipelines | 1,453,554 | |||||||
|
| |||||||
REIT (1.0%) | ||||||||
115,000 | Corrections Corp. of America, 5%, due 10/15/22 | 117,120 | ||||||
65,000 | Crown Castle International Corp., 4.875%, due 04/15/22 | 68,981 | ||||||
70,000 | DuPont Fabros Technology LP, 5.875%, due 09/15/21 | 73,500 | ||||||
115,000 | ESH Hospitality, Inc., (144A), 5.25%, due 05/01/25 (3) | 116,001 | ||||||
|
| |||||||
Total REIT | 375,602 | |||||||
|
| |||||||
Retail (1.4%) | ||||||||
250,000 | Asbury Automotive Group, Inc., (144A), 6%, due 12/15/24 (3) | 265,625 | ||||||
250,000 | Dollar Tree, Inc., (144A), 5.75%, due 03/01/23 (3) | 264,687 | ||||||
|
| |||||||
Total Retail | 530,312 | |||||||
|
| |||||||
Semiconductors (0.7%) | ||||||||
50,000 | Freescale Semiconductor, Inc., (144A), 5%, due 05/15/21 (3) | 52,000 | ||||||
200,000 | NXP BV / NXP Funding LLC (Netherlands), (144A), 3.75%, due 06/01/18 (3) | 202,000 | ||||||
|
| |||||||
Total Semiconductors | 254,000 | |||||||
|
| |||||||
Software (2.0%) | ||||||||
88,000 | Audatex North America, Inc., (144A), 6%, due 06/15/21 (3) | 88,947 | ||||||
150,000 | First Data Corp., (144A), 5.375%, due 08/15/23 (3) | 153,187 | ||||||
155,000 | First Data Corp., (144A), 6.75%, due 11/01/20 (3) | 163,719 | ||||||
100,000 | First Data Corp., (144A), 7%, due 12/01/23 (2)(3) | 101,875 | ||||||
40,000 | MSCI, Inc., (144A), 5.25%, due 11/15/24 (3) | 42,200 | ||||||
40,000 | MSCI, Inc., (144A), 5.75%, due 08/15/25 (3) | 42,350 | ||||||
120,000 | SS&C Technologies Holdings, Inc., (144A), 5.875%, due 07/15/23 (3) | 126,300 | ||||||
|
| |||||||
Total Software | 718,578 | |||||||
|
|
See accompanying notes to financial statements.
49
Table of Contents
TCW High Yield Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Telecommunications (7.9%) | ||||||||
$ | 30,000 | CommScope, Inc., (144A), 4.375%, due 06/15/20 (3) | $ | 30,638 | ||||
91,000 | Frontier Communications Corp., (144A), 8.875%, due 09/15/20 (3) | 94,695 | ||||||
65,000 | Frontier Communications Corp., (144A), 10.5%, due 09/15/22 (3) | 67,568 | ||||||
85,000 | Inmarsat Finance PLC (United Kingdom), (144A), 4.875%, due 05/15/22 (3) | 84,681 | ||||||
330,000 | Intelsat Jackson Holdings SA (Luxembourg), 7.25%, due 04/01/19 | 311,025 | ||||||
400,000 | Level 3 Financing, Inc., 5.375%, due 08/15/22 | 408,500 | ||||||
100,000 | Level 3 Financing, Inc., (144A), 5.375%, due 01/15/24 (2)(3) | 100,687 | ||||||
75,000 | MetroPCS Wireless, Inc., 6.625%, due 11/15/20 | 77,437 | ||||||
100,000 | Qwest Corp., 7.25%, due 09/15/25 | 107,701 | ||||||
200,000 | SoftBank Group Corp. (Japan), (144A), 4.5%, due 04/15/20 (3) | 198,700 | ||||||
602,000 | Sprint Communications, Inc., (144A), 9%, due 11/15/18 (3) | 663,404 | ||||||
50,000 | Sprint Corp., 7.875%, due 09/15/23 | 46,375 | ||||||
130,000 | Sprint Nextel Corp., 9.25%, due 04/15/22 | 134,550 | ||||||
315,000 | T-Mobile USA, Inc., 6.542%, due 04/28/20 | 323,662 | ||||||
200,000 | Virgin Media Secured Finance PLC (United Kingdom), 5.25%, due 01/15/21 | 212,750 | ||||||
30,000 | Windstream Services LLC, 6.375%, due 08/01/23 | 23,888 | ||||||
|
| |||||||
Total Telecommunications | 2,886,261 | |||||||
|
| |||||||
Total Corporate Bonds (Cost: $23,558,903) | 23,395,012 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Non-Agency (0.2%) | ||||||||
85,000 | Soundview Home Loan Trust (06-EQ1-A4), 0.446%, due 10/25/36 (4) | 59,817 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $59,713) | 59,817 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $25,288,386) (68.4%) | 25,099,455 | |||||||
|
| |||||||
Number of Shares | Exchange-Traded Funds | |||||||
17,500 | iShares iBoxx High Yield Corporate Bond ETF | 1,497,475 | ||||||
|
| |||||||
Total Exchange-Traded Funds (Cost: $1,496,725) (4.1%) | 1,497,475 | |||||||
|
| |||||||
Money Market Investments | ||||||||
30,000 | Morgan Stanley Liquidity Fund — Government Portfolio, 0.04% (6) | 30,000 | ||||||
652,808 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (6) | 652,808 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $682,808) (1.9%) | 682,808 | |||||||
|
|
See accompanying notes to financial statements.
50
Table of Contents
TCW High Yield Bond Fund
October 31, 2015 |
Principal Amount | Short-Term Investments | Value | ||||||
U.S. Treasury Securities | ||||||||
$ | 3,175,000 | U.S. Treasury Bill, 0.01%, due 03/03/16 (7) | $ | 3,173,977 | ||||
4,700,000 | U.S. Treasury Bill, 0.01%, due 03/10/16 (7) | 4,698,482 | ||||||
1,500,000 | U.S. Treasury Bill, 0.01%, due 02/18/16 (7) | 1,499,691 | ||||||
|
| |||||||
Total Short-Term Investments (Cost: $9,374,346) (25.5%) | 9,372,150 | |||||||
|
| |||||||
Total Investments (Cost: $36,842,265) (99.9%) | 36,651,888 | |||||||
Excess of Other Assets over Liabilities (0.1%) | 49,342 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 36,701,230 | ||||||
|
|
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||
Notional Amount (8) | Implied Credit Spread (9) | Expiration Date | Counterparty | Fixed Deal Pay Rate | Reference Entity | Unrealized Appreciation | Premium Paid | Value (10) | ||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||
$ 75,000 | 4.85 | % | 3/20/19 | Credit Suisse International | 1% | Freeport-McMoRan Copper & Gold Inc. | $ | 7,563 | $ | 1,106 | $ | 8,669 | ||||||||||||
350,000 | 1.98 | % | 3/20/19 | Goldman Sachs International | 1% | ALCOA, Inc. | 922 | 9,414 | 10,336 | |||||||||||||||
250,000 | 1.98 | % | 3/20/19 | Goldman Sachs International | 1% | ALCOA, Inc. | 1,704 | 5,678 | 7,382 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 10,189 | $ | 16,198 | $ | 26,387 | |||||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
EETC - | Enhanced Equipment Trust Certificate. |
ETF - | Exchange Traded Fund. |
REIT - | Real Estate Investment Trust. |
(1) | Rate stated is the effective yield. |
(2) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2015, the value of these securities amounted to $10,858,182 or 29.6% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(4) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2015. |
(5) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. |
(6) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
(7) | Rate shown represents yield-to-maturity. |
(8) | The maximum potential amount the Fund could receive as buyer or pay as seller of protection if a credit event occurred as defined under the terms of that particular swap agreement. |
(9) | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation. Implied credit spreads, represented in the absolute terms, utilized in determining the value of credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
(10) | The value of a credit default swap agreement serves as an indicator of the current status of the payments/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit worthiness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements. |
See accompanying notes to financial statements.
51
Table of Contents
TCW High Yield Bond Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Advertising | 0.3 | % | ||
Aerospace/Defense | 0.8 | |||
Airlines | 2.9 | |||
Auto Parts & Equipment | 0.9 | |||
Banks | 2.8 | |||
Beverages | 1.2 | |||
Chemicals | 0.2 | |||
Coal | 0.0 | * | ||
Commercial Services | 0.2 | |||
Computers | 0.3 | |||
Diversified Financial Services | 3.1 | |||
Electric | 3.1 | |||
Electrical Components & Equipment | 0.4 | |||
Engineering & Construction | 0.4 | |||
Entertainment | 1.3 | |||
Exchange-Traded Fund | 4.1 | |||
Food | 1.2 | |||
Gas | 0.3 | |||
Healthcare-Products | 0.8 | |||
Healthcare-Services | 6.6 | |||
Holding Companies — Diversified | 0.5 | |||
Home Builders | 0.1 | |||
Home Furnishings | 0.1 | |||
Household Products/Wares | 0.3 | |||
Housewares | 0.8 | |||
Leisure Time | 1.4 | |||
Lodging | 2.0 | |||
Media | 7.7 | |||
Miscellaneous Manufacturers | 0.8 | |||
Oil & Gas | 3.1 | |||
Packaging & Containers | 4.4 | |||
Pharmaceuticals | 2.4 | |||
Pipelines | 4.0 | |||
REIT | 1.0 | |||
Residential Mortgage-Backed Securities — Non-Agency | 0.2 | |||
Retail | 1.4 | |||
Semiconductors | 0.7 | |||
Software | 2.8 | |||
Telecommunications | 7.9 | |||
Money Market Investments | 1.9 | |||
U.S. Treasury Bills | 25.5 | |||
|
| |||
Total | 99.9 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
52
Table of Contents
Schedule of Investments | October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Commercial Mortgage-Backed Securities — Agency (3.5% of Net Assets) | ||||||||
$ | 132,934 | Federal Home Loan Mortgage Corp., Pool #310005, 4.433%, due 11/01/19 (1) | $ | 134,370 | ||||
28,393 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K502-A1), 0.727%, due 12/25/16 | 28,424 | ||||||
99,782 | Federal National Mortgage Association, Pool #467288, 2.8%, due 03/01/18 | 102,798 | ||||||
68,379 | Federal National Mortgage Association, Pool #FN0002, 3.3%, due 12/01/17 | 71,035 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $346,447) | 336,627 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Non-Agency (3.5%) | ||||||||
46,263 | Bear Stearns Commercial Mortgage Securities Trust (99-CLF1-A4), | 49,139 | ||||||
108 | DBRR Trust (13-EZ2-A), (144A), 0.853%, due 02/25/45 (1)(2) | 108 | ||||||
23,083 | JPMorgan Chase Commercial Mortgage Securities Trust (06-LDP9-A3S), (144A), | 23,080 | ||||||
2,583 | JPMorgan Chase Commercial Mortgage Securities Trust (07-CB19-A3), | 2,583 | ||||||
3,253 | JPMorgan Chase Commercial Mortgage Securities Trust (10-C1-A1), (144A), | 3,248 | ||||||
32,990 | LB-UBS Commercial Mortgage Trust (06-C7-A2), 5.3%, due 11/15/38 | 33,184 | ||||||
71,424 | Morgan Stanley Capital I Trust (07-HQ11-A31), 5.439%, due 02/12/44 | 71,446 | ||||||
60,560 | Morgan Stanley Capital I Trust (07-IQ14-A2), 5.61%, due 04/15/49 | 60,675 | ||||||
60,800 | Wachovia Bank Commercial Mortgage Trust (07-C30-A3), 5.246%, due 12/15/43 | 60,902 | ||||||
31,726 | Wachovia Bank Commercial Mortgage Trust (07-C32-APB), 5.712%, due 06/15/49 (1) | 31,792 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $341,727) | 336,157 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Agency (28.7%) | ||||||||
14,524 | Federal Home Loan Mortgage Corp. (2550-FI), 0.546%, due 11/15/32 (TAC) (1) | 14,552 | ||||||
143,269 | Federal Home Loan Mortgage Corp. (2591-EF), 0.696%, due 03/15/32 (1) | 143,636 | ||||||
82,945 | Federal Home Loan Mortgage Corp. (263-F5), 0.696%, due 06/15/42 (1) | 83,803 | ||||||
90,094 | Federal Home Loan Mortgage Corp. (2828-TA), 0.596%, due 10/15/30 (1) | 90,183 | ||||||
100,497 | Federal Home Loan Mortgage Corp. (2990-DE), 0.576%, due 11/15/34 (1) | 100,967 | ||||||
20,711 | Federal Home Loan Mortgage Corp. (3001-HS), 16.261%, due 02/15/35 (I/F) (PAC) (1) | 22,866 | ||||||
29,116 | Federal Home Loan Mortgage Corp. (3174-FM), 0.436%, due 05/15/36 (PAC) (1) | 29,127 | ||||||
92,769 | Federal Home Loan Mortgage Corp. (3300-FA), 0.496%, due 08/15/35 (1) | 92,970 | ||||||
107,682 | Federal Home Loan Mortgage Corp. (3318-F), 0.446%, due 05/15/37 (1) | 107,842 | ||||||
123,365 | Federal Home Loan Mortgage Corp. (3335-FT), 0.346%, due 08/15/19 (1) | 123,394 | ||||||
47,803 | Federal Home Loan Mortgage Corp. (3345-FP), 0.396%, due 11/15/36 (1) | 47,828 | ||||||
19,316 | Federal Home Loan Mortgage Corp. (3346-FA), 0.426%, due 02/15/19 (1) | 19,333 | ||||||
98,903 | Federal Home Loan Mortgage Corp. (3347-PF), 0.546%, due 01/15/36 (PAC) (1) | 99,135 | ||||||
141,599 | Federal Home Loan Mortgage Corp. (3767-JF), 0.496%, due 02/15/39 (PAC) (1) | 142,004 | ||||||
68,893 | Federal Home Loan Mortgage Corp. (3798-BF), 0.496%, due 06/15/24 (1) | 68,983 |
See accompanying notes to financial statements.
53
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 122,369 | Federal Home Loan Mortgage Corp. (3803-DF), 0.596%, due 11/15/35 (PAC) (1) | $ | 122,725 | ||||
104,209 | Federal Home Loan Mortgage Corp. (3824-FA), 0.346%, due 03/15/26 (1) | 104,111 | ||||||
57,678 | Federal Home Loan Mortgage Corp. (3946-FG), 0.546%, due 10/15/39 (PAC) (1) | 57,908 | ||||||
32,852 | Federal National Mortgage Association (03-11-FA), 1.196%, due 09/25/32 (1) | 33,713 | ||||||
29,386 | Federal National Mortgage Association (03-64-KS), 9.395%, due 07/25/18 (I/F) (1) | 31,892 | ||||||
91,011 | Federal National Mortgage Association (06-60-DF), 0.626%, due 04/25/35 (1) | 91,543 | ||||||
39,950 | Federal National Mortgage Association (06-84-WF), 0.496%, due 02/25/36 (PAC) (1) | 40,083 | ||||||
93,720 | Federal National Mortgage Association (07-64-FA), 0.666%, due 07/25/37 (1) | 94,660 | ||||||
114,666 | Federal National Mortgage Association (07-67-FA), 0.446%, due 04/25/37 (1) | 114,558 | ||||||
20,518 | Federal National Mortgage Association (08-47-PF), 0.696%, due 06/25/38 (PAC) (1) | 20,639 | ||||||
52,858 | Federal National Mortgage Association (09-33-FB), 1.016%, due 03/25/37 (1) | 53,938 | ||||||
122,871 | Federal National Mortgage Association (11-75-HP), 2.5%, due 07/25/40 (PAC) | 125,742 | ||||||
28,251 | Federal National Mortgage Association, Pool #254548, 5.5%, due 12/01/32 | 31,829 | ||||||
55,771 | Federal National Mortgage Association, Pool #600187, 7%, due 07/01/31 | 64,764 | ||||||
3,930 | Federal National Mortgage Association, Pool #661691, 2.314%, due 10/01/32 (1) | 4,106 | ||||||
40,873 | Federal National Mortgage Association, Pool #995364, 6%, due 10/01/38 | 46,618 | ||||||
18,200 | Federal National Mortgage Association, Pool #AL0851, 6%, due 10/01/40 | 20,643 | ||||||
132 | Government National Mortgage Association (04-104-FJ), 0.494%, due 09/20/33 (1) | 132 | ||||||
74,933 | Government National Mortgage Association (10-108-PF), 0.594%, | 75,232 | ||||||
80,711 | Government National Mortgage Association (10-2-FA), 0.694%, due 05/20/37 (1) | 80,853 | ||||||
129,421 | Government National Mortgage Association (12-13-KF), 0.494%, due 07/20/38 (1) | 129,823 | ||||||
27,425 | Government National Mortgage Association II, Pool #80022, 1.625%, due 12/20/26 (1) | 28,404 | ||||||
19,002 | Government National Mortgage Association II, Pool #80636, 1.625%, due 09/20/32 (1) | 19,741 | ||||||
14,098 | Government National Mortgage Association II, Pool #80757, 1.625%, due 10/20/33 (1) | 14,313 | ||||||
111,277 | Government National Mortgage Association II, Pool #80797, 1.75%, due 01/20/34 (1) | 114,386 | ||||||
43,512 | Government National Mortgage Association II, Pool #80937, 1.75%, due 06/20/34 (1) | 45,298 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $2,736,263) | 2,754,277 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Non-Agency (2.7%) | ||||||||
10,299 | Bear Stearns Asset-Backed Securities Trust (05-SD1-1A3), 0.596%, due 08/25/43 (1) | 10,175 | ||||||
140,489 | Credit Suisse First Boston Mortgage Securities Corp. (02-AR31-6A1), | 141,997 | ||||||
34,456 | First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C), | 34,427 | ||||||
20,629 | Homestar Mortgage Acceptance Corp. (04-5-A1), 0.646%, due 10/25/34 (1) | 20,691 | ||||||
20,649 | JPMorgan Mortgage Acquisition Corp. (05-WMC1-M1), 0.826%, due 09/25/35 (1) | 20,472 | ||||||
24,707 | Morgan Stanley Mortgage Loan Trust (04-6AR-1A), 1.094%, due 07/25/34 (1) | 23,936 |
See accompanying notes to financial statements.
54
Table of Contents
TCW Short Term Bond Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 7,997 | Residential Accredit Loans, Inc. (02-QS16-A2), 0.746%, due 10/25/17 (1) | $ | 7,800 | ||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency (Cost: $250,518) | 259,498 | |||||||
|
| |||||||
Corporate Bonds (25.2%) | ||||||||
Airlines (2.3%) | ||||||||
98,098 | Continental Airlines, Inc. Pass-Through Certificates (99-1-A), 6.545%, | 105,639 | ||||||
50,000 | JetBlue Airways Corp. Pass-Through Trust, (04-2-G2), 0.771%, due 05/15/18 (1) (EETC) | 49,375 | ||||||
59,155 | United Airlines, Inc. Pass-Through Trust, (09-2A), 9.75%, due 07/15/18 (EETC) | 63,408 | ||||||
|
| |||||||
Total Airlines | 218,422 | |||||||
|
| |||||||
Banks (6.5%) | ||||||||
250,000 | Bank of America N.A., 0.617%, due 06/15/16 (1) | 249,499 | ||||||
50,000 | Capital One Financial Corp., 0.941%, due 11/06/15 (1) | 50,001 | ||||||
75,000 | Citigroup, Inc., 1.28%, due 07/25/16 (1) | 75,216 | ||||||
75,000 | Goldman Sachs Group, Inc. (The), 1.6%, due 11/23/15 | 75,077 | ||||||
40,000 | Goldman Sachs Group, Inc. (The), 5.35%, due 01/15/16 | 40,392 | ||||||
15,000 | Macquarie Bank, Ltd. (Australia), (144A), 0.953%, due 10/27/17 (1)(2) | 14,931 | ||||||
65,000 | Morgan Stanley, 1.064%, due 01/05/18 (1) | 65,043 | ||||||
50,000 | Wells Fargo Bank N.A., 0.667%, due 03/15/16 (1) | 50,011 | ||||||
|
| |||||||
Total Banks | 620,170 | |||||||
|
| |||||||
Biotechnology (0.3%) | ||||||||
25,000 | Amgen, Inc., 2.3%, due 06/15/16 | 25,230 | ||||||
|
| |||||||
Diversified Financial Services (0.8%) | ||||||||
75,000 | General Electric Capital Corp., 0.971%, due 07/12/16 (1) | 75,264 | ||||||
|
| |||||||
Electric (0.9%) | ||||||||
30,000 | Duke Energy Progress LLC, 0.534%, due 03/06/17 (1) | 29,936 | ||||||
50,000 | Oncor Electric Delivery Co. LLC, 6.8%, due 09/01/18 | 56,516 | ||||||
|
| |||||||
Total Electric | 86,452 | |||||||
|
| |||||||
Healthcare-Services (1.4%) | ||||||||
85,000 | Providence Health & Services Obligated Group, 1.276%, due 10/01/17 (1) | 85,495 | ||||||
45,000 | UnitedHealth Group, Inc., 0.765%, due 01/17/17 (1) | 45,039 | ||||||
|
| |||||||
Total Healthcare-Services | 130,534 | |||||||
|
| |||||||
Oil & Gas (0.5%) | ||||||||
50,000 | Devon Energy Corp., 0.787%, due 12/15/15 (1) | 50,019 | ||||||
|
| |||||||
Pharmaceuticals (0.9%) | ||||||||
40,000 | AbbVie, Inc., 1.2%, due 11/06/15 | 40,002 | ||||||
50,000 | Mylan, Inc., 1.8%, due 06/24/16 | 49,975 | ||||||
|
| |||||||
Total Pharmaceuticals | 89,977 | |||||||
|
|
See accompanying notes to financial statements.
55
Table of Contents
TCW Short Term Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Real Estate (2.6%) | ||||||||
$ | 50,000 | Post Apartment Homes, LP, 4.75%, due 10/15/17 | $ | 52,804 | ||||
200,000 | WEA Finance LLC / Westfield UK & Europe Finance PLC (Australia), (144A), 1.75%, | 199,379 | ||||||
|
| |||||||
Total Real Estate | 252,183 | |||||||
|
| |||||||
REIT (7.7%) | ||||||||
75,000 | ARC Properties Operating Partnership LP / Clark Acquisition LLC, 2%, due 02/06/17 | 73,731 | ||||||
100,000 | BioMed Realty LP, 3.85%, due 04/15/16 | 100,828 | ||||||
20,000 | DDR Corp., 9.625%, due 03/15/16 | 20,591 | ||||||
50,000 | Essex Portfolio LP, 5.5%, due 03/15/17 | 52,457 | ||||||
75,000 | HCP, Inc., 6%, due 01/30/17 | 78,885 | ||||||
85,000 | Hospitality Properties Trust, 6.3%, due 06/15/16 | 85,522 | ||||||
75,000 | Realty Income Corp., 5.5%, due 11/15/15 | 75,110 | ||||||
50,000 | SL Green Realty Corp., 5%, due 08/15/18 | 53,139 | ||||||
75,000 | UDR, Inc., 5.25%, due 01/15/16 | 75,581 | ||||||
75,000 | Ventas Realty LP, 1.55%, due 09/26/16 | 75,388 | ||||||
50,000 | Welltower, Inc., 3.625%, due 03/15/16 | 50,516 | ||||||
|
| |||||||
Total REIT | 741,748 | |||||||
|
| |||||||
Telecommunications (1.3%) | ||||||||
40,000 | AT&T, Inc., 0.699%, due 02/12/16 (1) | 39,990 | ||||||
87,000 | Verizon Communications, Inc., 1.867%, due 09/15/16 (1) | 87,825 | ||||||
|
| |||||||
Total Telecommunications | 127,815 | |||||||
|
| |||||||
Total Corporate Bonds (Cost: $2,401,784) | 2,417,814 | |||||||
|
| |||||||
U.S. Government Agency Obligations (4.3%) | ||||||||
75,000 | Federal Farm Credit Bank, 0.275%, due 12/28/16 (1) | 74,997 | ||||||
80,000 | Federal Farm Credit Bank, 0.4%, due 05/30/17 (1) | 80,016 | ||||||
80,000 | Federal Home Loan Mortgage Corp., 0.199%, due 04/20/17 (1) | 80,000 | ||||||
80,000 | Federal National Mortgage Association, 0.204%, due 10/05/17 (1) | 79,918 | ||||||
95,000 | Federal National Mortgage Association, 0.214%, due 07/20/17 (1) | 94,996 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost: $409,948) | 409,927 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $6,486,687) (67.9%) | 6,514,300 | |||||||
|
| |||||||
Number of Shares | Money Market Investments | |||||||
40,000 | Morgan Stanley Liquidity Fund — Government Portfolio, 0.04% (3) | 40,000 | ||||||
656,073 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (3) | 656,073 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $696,073) (7.2%) | 696,073 | |||||||
|
|
See accompanying notes to financial statements.
56
Table of Contents
TCW Short Term Bond Fund
October 31, 2015 |
Principal Amount | Short-Term Investments | Value | ||||||
Discount Notes (12.3%) | ||||||||
$ | 300,000 | Federal Home Loan Bank Discount Note, 0.01%, due 01/25/16 (4) | $ | 299,944 | ||||
175,000 | Federal Home Loan Bank Discount Note, 0.17%, due 01/21/16 (4) | 174,969 | ||||||
110,000 | Federal Home Loan Bank Discount Note, 0.175%, due 11/24/15 (4) | 109,999 | ||||||
300,000 | Federal Home Loan Mortgage Corp. Discount Note, 0.01%, due 01/27/16 (4) | 299,942 | ||||||
300,000 | Federal National Mortgage Association Discount Note, 0.01%, due 02/16/16 (4) | 299,903 | ||||||
|
| |||||||
Total Discount Notes (Cost: $1,184,630) (12.3%) | 1,184,757 | |||||||
|
| |||||||
U.S. Treasury Securities | ||||||||
535,000 | U.S. Treasury Bill, 0.01%, due 03/03/16 (4) | 534,828 | ||||||
670,000 | U.S. Treasury Bill, 0.008%, due 02/18/16 (4) | 669,862 | ||||||
|
| |||||||
Total U.S. Treasury Securities (Cost: $1,204,955) (12.5% ) | 1,204,690 | |||||||
|
| |||||||
Total Short-Term Investments (Cost: $2,389,585) (24.8%) | 2,389,447 | |||||||
|
| |||||||
Total Investments (Cost: $9,572,345) (99.9%) | 9,599,820 | |||||||
Excess of Other Assets over Liabilities (0.1%) | 14,326 | |||||||
|
| |||||||
Net Assets (100.0%) | $ | 9,614,146 | ||||||
|
|
Notes to the Schedule of Investments:
EETC - | Enhanced Equipment Trust Certificate. |
I/F - | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
PAC - | Planned Amortization Class. |
REIT - | Real Estate Investment Trust. |
TAC | - Target Amortization Class. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2015. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2015, the value of these securities amounted to $240,746 or 2.5% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
(4) | Rate shown represents yield-to-maturity. |
See accompanying notes to financial statements.
57
Table of Contents
TCW Short Term Bond Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Airlines | 2.3 | % | ||
Banks | 6.5 | |||
Biotechnology | 0.3 | |||
Commercial Mortgage-Backed Securities — Agency | 3.5 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 3.5 | |||
Diversified Financial Services | 0.8 | |||
Electric | 0.9 | |||
Healthcare-Services | 1.4 | |||
Oil & Gas | 0.5 | |||
Pharmaceuticals | 0.9 | |||
REIT | 7.7 | |||
Real Estate | 2.6 | |||
Residential Mortgage-Backed Securities — Agency | 28.7 | |||
Residential Mortgage-Backed Securities — Non-Agency | 2.7 | |||
Telecommunications | 1.3 | |||
U.S. Government Agency Obligations | 4.3 | |||
Money Market Investments | 7.2 | |||
Short-Term Investments | 24.8 | |||
|
| |||
Total | 99.9 | % | ||
|
|
See accompanying notes to financial statements.
58
Table of Contents
Schedule of Investments October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Asset-Backed Securities (5.6% of Net Assets) | ||||||||
$ | 9,473,137 | 321 Henderson Receivables I LLC (13-3A-A), (144A), 4.08%, due 01/17/73 (1) | $ | 10,048,870 | ||||
20,000,000 | Academic Loan Funding Trust (12-1A-A2), (144A), 1.297%, due 12/27/44 (1)(2) | 19,296,692 | ||||||
8,681,891 | ACE Securities Corp. Home Equity Loan Trust (05-HE7-A2D), | 8,676,526 | ||||||
17,000,000 | Babson CLO, Ltd. (13-IA-A), (144A), 1.417%, due 04/20/25 (1)(2) | 16,763,282 | ||||||
18,700,000 | Brazos Higher Education Authority, Inc. (11-1-A3), 1.379%, due 11/25/33 (2) | 18,092,662 | ||||||
11,775,000 | Brazos Higher Education Authority, Inc. (11-2-A3), 1.32%, due 10/27/36 (2) | 11,519,024 | ||||||
5,510,735 | CIT Education Loan Trust (07-1-A), (144A), 0.416%, due 03/25/42 (1)(2) | 5,121,530 | ||||||
13,387,558 | Educational Funding of the South, Inc. (12-1-A), 1.247%, due 03/25/36 (2) | 13,189,685 | ||||||
16,675,000 | EFS Volunteer LLC (10-1-A2), (144A), 1.17%, due 10/25/35 (1)(2) | 16,117,156 | ||||||
7,225,000 | EFS Volunteer No 2 LLC (12-1-A2), (144A), 1.547%, due 03/25/36 (1)(2) | 7,072,139 | ||||||
17,750,000 | EFS Volunteer No 3 LLC (12-1-A3), (144A), 1.197%, due 04/25/33 (1)(2) | 17,167,915 | ||||||
11,000,000 | Flagship CLO (14-8A-A), (144A), 1.877%, due 01/16/26 (1)(2) | 10,904,630 | ||||||
2,780,771 | GE Business Loan Trust (04-2A-A), (144A), 0.416%, due 12/15/32 (1)(2) | 2,731,641 | ||||||
14,319,375 | Global SC Finance SRL (14-1A-A2), (144A), 3.09%, due 07/17/29 (1) | 14,179,844 | ||||||
14,462,382 | Higher Education Funding I (14-1-A), (144A), 1.379%, due 05/25/34 (1)(2) | 14,104,686 | ||||||
18,000,000 | Montana Higher Education Student Assistance Corp. (12-1-A3), | 16,980,377 | ||||||
4,896,007 | National Collegiate Student Loan Trust (06-3-A3), 0.347%, due 10/25/27 (2) | 4,855,654 | ||||||
35,413,231 | Navient Student Loan Trust (14-2-A), 0.837%, due 03/25/43 (2) | 33,302,241 | ||||||
35,538,418 | Navient Student Loan Trust (14-3-A), 0.817%, due 03/25/43 (2) | 33,462,946 | ||||||
20,490,747 | Navient Student Loan Trust (14-4-A), 0.817%, due 03/25/43 (2) | 19,272,597 | ||||||
30,185,000 | Nelnet Student Loan Trust (14-4A-A2), (144A), 1.147%, due 11/25/43 (1)(2) | 27,703,284 | ||||||
16,000,000 | Panhandle-Plains Higher Education Authority, Inc. (11-1-A3), | 15,456,122 | ||||||
3,745,708 | SLM Student Loan Trust (04-8-B), 0.78%, due 01/25/40 (2) | 3,198,567 | ||||||
7,534,000 | SLM Student Loan Trust (05-5-A5), 1.07%, due 10/25/40 (2) | 7,245,254 | ||||||
6,153,931 | SLM Student Loan Trust (07-6-B), 1.17%, due 04/27/43 (2) | 5,114,876 | ||||||
4,383,404 | SLM Student Loan Trust (07-8-B), 1.32%, due 04/27/43 (2) | 3,740,116 | ||||||
7,405,000 | SLM Student Loan Trust (08-2-B), 1.52%, due 01/25/29 (2) | 6,004,354 | ||||||
6,549,000 | SLM Student Loan Trust (08-3-B), 1.52%, due 04/25/29 (2) | 5,451,350 | ||||||
3,270,000 | SLM Student Loan Trust (08-4-B), 2.17%, due 04/25/29 (2) | 2,972,728 | ||||||
17,785,000 | SLM Student Loan Trust (08-5-A4), 2.02%, due 07/25/23 (2) | 17,931,538 | ||||||
16,200,000 | SLM Student Loan Trust (08-5-B), 2.17%, due 07/25/29 (2) | 14,983,388 | ||||||
6,380,000 | SLM Student Loan Trust (08-6-B), 2.17%, due 07/25/29 (2) | 5,879,371 | ||||||
6,380,000 | SLM Student Loan Trust (08-7-B), 2.17%, due 07/25/29 (2) | 5,594,640 | ||||||
5,696,000 | SLM Student Loan Trust (08-8-B), 2.57%, due 10/25/29 (2) | 5,459,385 | ||||||
15,950,000 | SLM Student Loan Trust (08-9-B), 2.57%, due 10/25/29 (2) | 15,385,416 | ||||||
12,800,000 | SLM Student Loan Trust (11-1-A2), 1.347%, due 10/25/34 (2) | 12,573,074 | ||||||
17,780,000 | SLM Student Loan Trust (11-2-A2), 1.397%, due 10/25/34 (2) | 17,539,365 | ||||||
7,947,408 | SLM Student Loan Trust (12-2-A), 0.897%, due 01/25/29 (2) | 7,760,108 | ||||||
18,760,000 | Voya CLO, Ltd. (14-2A-A1), (144A), 1.765%, due 07/17/26 (1)(2) | 18,656,295 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost: $550,685,232) | 491,509,328 | |||||||
|
|
See accompanying notes to financial statements.
59
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Commercial Mortgage-Backed Securities — Agency (4.6%) | ||||||||
$ | 45,330,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K005-A2), 4.317%, due 11/25/19 | $ | 49,694,653 | ||||
24,280,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K007-A2), 4.224%, due 03/25/20 | 26,648,446 | ||||||
42,420,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (K151-A3), 3.511%, due 04/25/30 | 43,933,628 | ||||||
51,073,769 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates (KF05-A), 0.544%, due 09/25/21 (2)(3) | 51,232,292 | ||||||
2,640,597 | Federal National Mortgage Association, Pool #AE0918, 3.664%, due 10/01/20 | 2,847,557 | ||||||
19,007,633 | Federal National Mortgage Association, Pool #AL0290, 4.447%, due 04/01/21 | 21,161,019 | ||||||
20,395,184 | Federal National Mortgage Association, Pool #AL0600, 4.301%, due 07/01/21 | 22,587,825 | ||||||
15,806,210 | Federal National Mortgage Association, Pool #AL2660, 2.63%, due 10/01/22 | 16,041,051 | ||||||
44,404,078 | Federal National Mortgage Association, Pool #AL3366, 2.437%, due 02/01/23 | 44,322,289 | ||||||
12,088,697 | Federal National Mortgage Association, Pool #FN0003, 4.298%, due 01/01/21 | 13,302,251 | ||||||
48,633,065 | Federal National Mortgage Association (12-M12-1A), | 50,784,767 | ||||||
34,474,671 | Federal National Mortgage Association (12-M15-A), | 35,492,536 | ||||||
24,656,546 | Federal National Mortgage Association (14-M12-FA), | 24,787,055 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Agency (Cost: $404,227,130) | 402,835,369 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — Non-Agency (0.7%) | ||||||||
6,440,000 | COMM Mortgage Trust (12-LC4-A4), 3.288%, due 12/10/44 | 6,716,432 | ||||||
10,301,320 | DBRR Trust (11-LC2-A4A), (144A), 4.537%, due 07/12/44 (1)(2) | 11,412,625 | ||||||
17,505,000 | GS Mortgage Securities Corp. II (11-GC5-A4), 3.707%, due 08/10/44 | 18,613,931 | ||||||
3,460,000 | Morgan Stanley Capital I Trust (11-C3-A4), 4.118%, due 07/15/49 | 3,749,969 | ||||||
17,835,000 | WF-RBS Commercial Mortgage Trust (11-C5-A4), 3.667%, due 11/15/44 | 18,900,499 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities — Non-Agency (Cost: $56,270,228) | 59,393,456 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Agency (45.9%) | ||||||||
263,651 | Federal Home Loan Mortgage Corp. (1829-ZB), 6.5%, due 03/15/26 | 289,773 | ||||||
356,057 | Federal Home Loan Mortgage Corp. (2367-ZK), 6%, due 10/15/31 | 403,734 | ||||||
4,559,501 | Federal Home Loan Mortgage Corp. (2514-PZ), 5.5%, due 10/15/32 (PAC) | 5,097,149 | ||||||
11,506,469 | Federal Home Loan Mortgage Corp. (2571-PZ), 5.5%, due 02/15/33 (PAC) | 12,803,935 | ||||||
1,201,178 | Federal Home Loan Mortgage Corp. (2642-AR), 4.5%, due 07/15/23 | 1,281,221 | ||||||
861,148 | Federal Home Loan Mortgage Corp. (2647-OV), 0%, due 07/15/33 (P/O) (4) | 780,840 | ||||||
4,968,352 | Federal Home Loan Mortgage Corp. (2662-MT), 4.5%, due 08/15/33 (TAC) | 5,257,327 | ||||||
2,670,963 | Federal Home Loan Mortgage Corp. (2666-BD), 4.5%, due 08/15/23 | 2,849,530 | ||||||
3,870,141 | Federal Home Loan Mortgage Corp. (2700-B), 4.5%, due 11/15/23 | 4,146,837 | ||||||
32,628,626 | Federal Home Loan Mortgage Corp. (2752-GZ), 5%, due 02/15/34 (PAC) | 36,917,065 | ||||||
50,419,195 | Federal Home Loan Mortgage Corp. (276-30), 3%, due 09/15/42 | 50,865,345 | ||||||
55,845,059 | Federal Home Loan Mortgage Corp. (277-30), 3%, due 09/15/42 | 56,504,808 | ||||||
1,152,071 | Federal Home Loan Mortgage Corp. (2882-JH), 4.5%, due 10/15/34 (PAC) | 1,209,522 | ||||||
727,755 | Federal Home Loan Mortgage Corp. (2903-PO), 0%, due 11/15/23 (P/O) (4) | 694,559 | ||||||
5,360,838 | Federal Home Loan Mortgage Corp. (3045-HZ), 4.5%, due 10/15/35 | 5,717,394 |
See accompanying notes to financial statements.
60
Table of Contents
TCW Total Return Bond Fund
October 31, 2015
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 50,000,000 | Federal Home Loan Mortgage Corp. (3063-YG), 5.5%, due 11/15/35 (PAC) | $ | 56,105,937 | ||||
36,192,636 | Federal Home Loan Mortgage Corp. (3114-KZ), 5%, due 02/15/36 | 40,628,630 | ||||||
11,163,805 | Federal Home Loan Mortgage Corp. (3146-GE), 5.5%, due 04/15/26 | 12,308,111 | ||||||
10,064,742 | Federal Home Loan Mortgage Corp. (3149-OD), 0%, due 05/15/36 (P/O) (PAC) (4) | 8,906,534 | ||||||
8,041,085 | Federal Home Loan Mortgage Corp. (3315-S), 6.214%, due 05/15/37 (I/O) (I/F) (2) | 1,039,135 | ||||||
6,821,403 | Federal Home Loan Mortgage Corp. (3376-SX), 5.844%, | 1,190,439 | ||||||
9,951,303 | Federal Home Loan Mortgage Corp. (3410-IS), 6.074%, | 1,494,516 | ||||||
8,794,519 | Federal Home Loan Mortgage Corp. (3424-BI), 6.604%, | 1,844,346 | ||||||
7,964,490 | Federal Home Loan Mortgage Corp. (3512-AY), 4%, due 02/15/24 | 8,409,101 | ||||||
3,010,990 | Federal Home Loan Mortgage Corp. (3519-SH), 5.304%, | 403,430 | ||||||
14,791,166 | Federal Home Loan Mortgage Corp. (3531-SC), 6.104%, | 1,991,207 | ||||||
3,823,494 | Federal Home Loan Mortgage Corp. (3541-SA), 6.554%, | 653,474 | ||||||
14,192,552 | Federal Home Loan Mortgage Corp. (3550-GS), 6.554%, | 2,928,731 | ||||||
5,907,345 | Federal Home Loan Mortgage Corp. (3551-VZ), 5.5%, due 12/15/32 | 6,445,498 | ||||||
28,862,976 | Federal Home Loan Mortgage Corp. (3557-NB), 4.5%, due 07/15/29 | 31,124,909 | ||||||
12,751,615 | Federal Home Loan Mortgage Corp. (3557-KB), 4.5%, due 07/15/29 | 13,856,462 | ||||||
14,171,363 | Federal Home Loan Mortgage Corp. (3558-KB), 4%, due 08/15/29 | 15,176,984 | ||||||
21,819,658 | Federal Home Loan Mortgage Corp. (3565-XB), 4%, due 08/15/24 | 23,001,612 | ||||||
1,635,396 | Federal Home Loan Mortgage Corp. (3575-D), 4.5%, due 03/15/37 | 1,765,583 | ||||||
20,115,000 | Federal Home Loan Mortgage Corp. (3626-MD), 5%, due 01/15/38 (PAC) | 22,319,433 | ||||||
20,025,406 | Federal Home Loan Mortgage Corp. (3719-PJ), 4.5%, due 09/15/40 (PAC) | 22,864,830 | ||||||
32,886,556 | Federal Home Loan Mortgage Corp. (3770-ZB), 5%, due 12/15/40 | 36,746,870 | ||||||
18,392,846 | Federal Home Loan Mortgage Corp. (3788-SB), 6.284%, | 3,120,702 | ||||||
4,624,643 | Federal Home Loan Mortgage Corp. (3885-PO), 0%, due 11/15/33 (P/O) (PAC) (4) | 4,159,599 | ||||||
10,470,000 | Federal Home Loan Mortgage Corp. (3930-KE), 4%, due 09/15/41 (PAC) | 11,400,417 | ||||||
7,787,445 | Federal Home Loan Mortgage Corp. (4030-HS), 6.414%, | 1,505,578 | ||||||
10,251,988 | Federal Home Loan Mortgage Corp. (R002-ZA), 5.5%, due 06/15/35 | 11,281,796 | ||||||
7,226,522 | Federal Home Loan Mortgage Corp., Pool #A88591, 5%, due 09/01/39 | 7,979,301 | ||||||
38,774,545 | Federal Home Loan Mortgage Corp., Pool #A91162, 5%, due 02/01/40 | 43,482,595 | ||||||
11,878,788 | Federal Home Loan Mortgage Corp., Pool #A92195, 5%, due 05/01/40 | 13,269,257 | ||||||
25,341,422 | Federal Home Loan Mortgage Corp., Pool #A97038, 4%, due 02/01/41 | 27,219,768 | ||||||
5,232 | Federal Home Loan Mortgage Corp., Pool #B15322, 5%, due 07/01/19 | 5,428 | ||||||
7,806 | Federal Home Loan Mortgage Corp., Pool #B15490, 5%, due 07/01/19 | 8,099 | ||||||
45,917 | Federal Home Loan Mortgage Corp., Pool #B15557, 5%, due 07/01/19 | 48,369 | ||||||
19,596 | Federal Home Loan Mortgage Corp., Pool #B15802, 5%, due 07/01/19 | 20,642 | ||||||
79,382 | Federal Home Loan Mortgage Corp., Pool #C90552, 6%, due 06/01/22 | 89,854 | ||||||
280,869 | Federal Home Loan Mortgage Corp., Pool #G01959, 5%, due 12/01/35 | 309,390 |
See accompanying notes to financial statements.
61
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 43,326,216 | Federal Home Loan Mortgage Corp., Pool #G06173, 4%, due 11/01/40 | $ | 46,827,858 | ||||
13,200,943 | Federal Home Loan Mortgage Corp., Pool #G07556, 4%, due 11/01/43 | 14,257,535 | ||||||
48,751,096 | Federal Home Loan Mortgage Corp., Pool #G07786, 4%, due 08/01/44 | 52,604,028 | ||||||
100,320,092 | Federal Home Loan Mortgage Corp., Pool #G07848, 3.5%, due 04/01/44 | 105,051,188 | ||||||
79,749,769 | Federal Home Loan Mortgage Corp., Pool #G07924, 3.5%, due 01/01/45 | 83,246,930 | ||||||
32,188,596 | Federal Home Loan Mortgage Corp., Pool #G08653, 3%, due 07/01/45 | 32,471,504 | ||||||
19,425,749 | Federal Home Loan Mortgage Corp., Pool #G08658, 3%, due 08/01/45 | 19,596,482 | ||||||
77,035,242 | Federal Home Loan Mortgage Corp., Pool #G08659, 3.5%, due 08/01/45 | 80,053,456 | ||||||
36,807,359 | Federal Home Loan Mortgage Corp., Pool #G08667, 3.5%, due 09/01/45 (5) | 38,249,458 | ||||||
61,760,974 | Federal Home Loan Mortgage Corp., Pool #G08669, 4%, due 09/01/45 (5) | 65,719,948 | ||||||
80,350,000 | Federal Home Loan Mortgage Corp., Pool #G08671, 3.5%, due 10/01/45 (5) | 83,498,085 | ||||||
61,911,949 | Federal Home Loan Mortgage Corp., Pool #G08672, 4%, due 10/01/45 (5) | 65,880,601 | ||||||
419,854 | Federal Home Loan Mortgage Corp., Pool #G11678, 4.5%, due 04/01/20 | 437,823 | ||||||
1,165,033 | Federal Home Loan Mortgage Corp., Pool #G12635, 5.5%, due 03/01/22 | 1,225,613 | ||||||
1,326,767 | Federal Home Loan Mortgage Corp., Pool #G12702, 4.5%, due 09/01/20 | 1,374,292 | ||||||
1,704,627 | Federal Home Loan Mortgage Corp., Pool #G13390, 6%, due 01/01/24 | 1,871,944 | ||||||
31,326,584 | Federal Home Loan Mortgage Corp., Pool #G18565, 3%, due 08/01/30 | 32,605,346 | ||||||
21,278 | Federal Home Loan Mortgage Corp., Pool #G30194, 6.5%, due 04/01/21 | 24,111 | ||||||
3,185,466 | Federal Home Loan Mortgage Corp., Pool #G30450, 6%, due 01/01/29 | 3,608,852 | ||||||
3,440,107 | Federal Home Loan Mortgage Corp., Pool #G30452, 6%, due 10/01/28 | 3,896,413 | ||||||
5,274,568 | Federal Home Loan Mortgage Corp., Pool #G30454, 5%, due 05/01/29 | 5,792,020 | ||||||
82,536,455 | Federal Home Loan Mortgage Corp., Pool #G60080, 3.5%, due 06/01/45 | 86,182,887 | ||||||
633,946 | Federal Home Loan Mortgage Corp., Pool #H82001, 5.5%, due 07/01/37 | 699,470 | ||||||
6,294,954 | Federal Home Loan Mortgage Corp., Pool #N70081, 5.5%, due 07/01/38 | 7,036,363 | ||||||
7,014,814 | Federal Home Loan Mortgage Corp., Pool #P51350, 5%, due 03/01/36 | 7,694,364 | ||||||
3,267,044 | Federal Home Loan Mortgage Corp., Pool #U99114, 3.5%, due 02/01/44 | 3,411,402 | ||||||
35,937,899 | Federal Home Loan Mortgage Corp., Pool #V80284, 3.5%, due 08/01/43 | 37,633,808 | ||||||
48,091,796 | Federal Home Loan Mortgage Corp., Pool #V80353, 3%, due 08/01/43 | 48,576,062 | ||||||
408,694 | Federal National Mortgage Association (01-40-Z), 6%, due 08/25/31 | 456,976 | ||||||
1,063,864 | Federal National Mortgage Association (03-117-TG), 4.75%, due 08/25/33 (PAC) | 1,157,313 | ||||||
1,108,675 | Federal National Mortgage Association (04-52-SW), 6.903%, | 209,952 | ||||||
2,826,304 | Federal National Mortgage Association (04-65-LT), 4.5%, due 08/25/24 | 3,030,533 | ||||||
2,988,728 | Federal National Mortgage Association (04-68-LC), 5%, due 09/25/29 | 3,243,831 | ||||||
10,518,385 | Federal National Mortgage Association (05-117-LC), 5.5%, due 11/25/35 (PAC) | 11,407,832 | ||||||
577,141 | Federal National Mortgage Association (05-74-CP), 24.028%, | 888,779 | ||||||
3,972,521 | Federal National Mortgage Association (07-20-SI), 6.253%, | 655,631 | ||||||
4,413,565 | Federal National Mortgage Association (07-21-SE), 6.243%, | 794,301 | ||||||
5,192,302 | Federal National Mortgage Association (07-56-SG), 6.213%, | 894,402 | ||||||
11,990,295 | Federal National Mortgage Association (07-58-SV), 6.553%, | 2,095,112 |
See accompanying notes to financial statements.
62
Table of Contents
TCW Total Return Bond Fund
October 31, 2015
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 3,060,316 | Federal National Mortgage Association (07-65-S), 6.403%, | $ | 575,212 | ||||
1,475,192 | Federal National Mortgage Association (07-88-FY), 0.657%, due 09/25/37 (2) | 1,487,685 | ||||||
13,610,257 | Federal National Mortgage Association (07-103-AI), 6.303%, | 1,855,037 | ||||||
29,738,847 | Federal National Mortgage Association (07-B2-ZA), 5.5%, due 06/25/37 | 32,994,531 | ||||||
12,878,454 | Federal National Mortgage Association (08-1-AI), 6.053%, | 2,503,425 | ||||||
8,774,364 | Federal National Mortgage Association (08-13-SB), 6.043%, | 1,503,517 | ||||||
16,201,872 | Federal National Mortgage Association (08-23-SB), 6.653%, | 3,158,437 | ||||||
2,127,890 | Federal National Mortgage Association (08-35-SD), 6.253%, | 459,218 | ||||||
23,416,117 | Federal National Mortgage Association (08-66-SG), 5.873%, | 3,308,085 | ||||||
9,311,314 | Federal National Mortgage Association (08-68-SA), 5.773%, | 1,403,135 | ||||||
6,707,470 | Federal National Mortgage Association (09-3-SH), 5.253%, | 930,622 | ||||||
2,256,726 | Federal National Mortgage Association (09-47-SV), 6.553%, | 482,009 | ||||||
9,461,210 | Federal National Mortgage Association (09-51-SA), 6.553%, | 1,566,474 | ||||||
4,580,605 | Federal National Mortgage Association (09-6-SD), 5.353%, | 680,007 | ||||||
11,993,114 | Federal National Mortgage Association (09-68-KB), 4%, due 09/25/24 | 12,714,967 | ||||||
26,860,368 | Federal National Mortgage Association (09-71-LB), 4%, due 09/25/29 | 28,603,703 | ||||||
34,000,000 | Federal National Mortgage Association (09-72-AC), 4%, due 09/25/29 | 36,433,694 | ||||||
2,585,742 | Federal National Mortgage Association (09-72-JS), 7.053%, | 444,401 | ||||||
20,937,000 | Federal National Mortgage Association (10-136-CX), 4%, due 08/25/39 (PAC) | 22,732,000 | ||||||
50,000,000 | Federal National Mortgage Association (11-111-DB), 4%, due 11/25/41 | 54,748,325 | ||||||
11,738,000 | Federal National Mortgage Association (12-128-UY), 2.5%, due 11/25/42 (PAC) | 10,817,836 | ||||||
47,462,521 | Federal National Mortgage Association (12-133-GC), 2.5%, due 08/25/41 (PAC) | 48,205,905 | ||||||
19,832,097 | Federal National Mortgage Association (12-153-PC), 2%, due 05/25/42 (PAC) | 19,759,444 | ||||||
10,925,509 | Federal National Mortgage Association (13-101-BO), 0%, due 10/25/43 (P/O) (4) | 8,635,064 | ||||||
25,166,494 | Federal National Mortgage Association (13-101-CO), 0%, due 10/25/43 (P/O) (4) | 19,874,612 | ||||||
27,474,677 | Federal National Mortgage Association (13-21-EC), 2%, due 12/25/38 (I/O) | 27,312,619 | ||||||
21,400,000 | Federal National Mortgage Association (13-95-PN), 3%, due 01/25/43 (PAC) | 21,313,516 | ||||||
121,559 | Federal National Mortgage Association (93-202-SZ), 10%, | 139,186 | ||||||
684,748 | Federal National Mortgage Association (95-21-C), 0%, due 05/25/24 (P/O) (4) | 649,517 | ||||||
51,259 | Federal National Mortgage Association (G92-29-J), 8%, due 07/25/22 | 56,368 | ||||||
48,501 | Federal National Mortgage Association, Pool #254442, 5.5%, due 09/01/17 | 50,063 | ||||||
235,861 | Federal National Mortgage Association, Pool #254634, 5.5%, due 02/01/23 | 264,037 |
See accompanying notes to financial statements.
63
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 3,037,837 | Federal National Mortgage Association, Pool #257536, 5%, due 01/01/29 | $ | 3,345,747 | ||||
1,701,416 | Federal National Mortgage Association, Pool #310033, 6%, due 07/01/47 | 1,922,776 | ||||||
7,100,597 | Federal National Mortgage Association, Pool #555424, 5.5%, due 05/01/33 | 8,011,963 | ||||||
546,288 | Federal National Mortgage Association, Pool #555811, 4%, due 10/01/18 | 570,666 | ||||||
56,039 | Federal National Mortgage Association, Pool #661856, 2.515%, due 10/01/32 (2) | 55,961 | ||||||
288,703 | Federal National Mortgage Association, Pool #671133, 1.787%, due 02/01/33 (2) | 298,959 | ||||||
95,298 | Federal National Mortgage Association, Pool #672272, 2.065%, due 12/01/32 (2) | 100,215 | ||||||
200,982 | Federal National Mortgage Association, Pool #687847, 2.16%, due 02/01/33 (2) | 213,364 | ||||||
862,574 | Federal National Mortgage Association, Pool #692104, 1.917%, due 02/01/33 (2) | 894,304 | ||||||
469,064 | Federal National Mortgage Association, Pool #699866, 2.224%, due 04/01/33 (2) | 490,834 | ||||||
204,944 | Federal National Mortgage Association, Pool #704454, 2.339%, due 05/01/33 (2) | 214,177 | ||||||
256,974 | Federal National Mortgage Association, Pool #708820, 2.511%, due 06/01/33 (2) | 257,550 | ||||||
280,127 | Federal National Mortgage Association, Pool #725275, 4%, due 03/01/19 | 292,652 | ||||||
269,979 | Federal National Mortgage Association, Pool #728824, 2.346%, due 07/01/33 (2) | 286,803 | ||||||
805,032 | Federal National Mortgage Association, Pool #734384, 5.5%, due 07/01/33 | 882,986 | ||||||
20,969 | Federal National Mortgage Association, Pool #785677, 5%, due 07/01/19 | 21,942 | ||||||
939,811 | Federal National Mortgage Association, Pool #888593, 7%, due 06/01/37 | 1,101,212 | ||||||
1,104,070 | Federal National Mortgage Association, Pool #934103, 5%, due 07/01/38 | 1,202,366 | ||||||
1,716,051 | Federal National Mortgage Association, Pool #979563, 5%, due 04/01/28 | 1,889,987 | ||||||
1,093,943 | Federal National Mortgage Association, Pool #995040, 5%, due 06/01/23 | 1,177,155 | ||||||
5,659,395 | Federal National Mortgage Association, Pool #995425, 6%, due 01/01/24 | 6,188,218 | ||||||
3,261,070 | Federal National Mortgage Association, Pool #995573, 6%, due 01/01/49 | 3,587,542 | ||||||
8,489,221 | Federal National Mortgage Association, Pool #995953, 6%, due 11/01/28 | 9,618,431 | ||||||
4,655,892 | Federal National Mortgage Association, Pool #995954, 6%, due 03/01/29 | 5,275,204 | ||||||
4,652,031 | Federal National Mortgage Association, Pool #AA3303, 5.5%, due 06/01/38 | 5,190,718 | ||||||
56,044,684 | Federal National Mortgage Association, Pool #AB1617, 4%, due 10/01/40 | 60,650,862 | ||||||
43,037,832 | Federal National Mortgage Association, Pool #AB6210, 3%, due 09/01/42 | 43,638,929 | ||||||
6,883,307 | Federal National Mortgage Association, Pool #AC1602, 4.5%, due 09/01/29 | 7,571,610 | ||||||
14,656,564 | Federal National Mortgage Association, Pool #AE0588, 6%, due 08/01/37 | 16,679,163 | ||||||
11,475,072 | Federal National Mortgage Association, Pool #AL0851, 6%, due 10/01/40 | 13,015,365 | ||||||
8,175,371 | Federal National Mortgage Association, Pool #AL1594, 6%, due 07/01/40 | 9,302,336 | ||||||
64,260,990 | Federal National Mortgage Association, Pool #AL4597, 4%, due 01/01/44 | 69,502,284 | ||||||
19,783,253 | Federal National Mortgage Association, Pool #AQ8803, 3.5%, due 01/01/43 | 20,675,046 | ||||||
46,602,483 | Federal National Mortgage Association, Pool #AS5355, 2.5%, due 07/01/30 | 47,501,141 | ||||||
16,982,656 | Federal National Mortgage Association, Pool #MA0843, 4.5%, due 09/01/41 | 18,463,161 | ||||||
80,962,203 | Federal National Mortgage Association, Pool #MA1177, 3.5%, due 09/01/42 | 84,611,829 | ||||||
17,001,579 | Federal National Mortgage Association, Pool #MA1251, 3.5%, due 11/01/42 | 17,767,979 | ||||||
15,330,835 | Federal National Mortgage Association, Pool #MA1283, 3.5%, due 12/01/42 | 16,021,921 | ||||||
5,344,540 | Federal National Mortgage Association, Pool #MA1404, 3.5%, due 04/01/43 | 5,585,462 | ||||||
22,753,424 | Federal National Mortgage Association, Pool #MA1442, 4%, due 05/01/43 | 24,556,923 | ||||||
69,283,347 | Federal National Mortgage Association, Pool #MA1561, 3%, due 09/01/33 | 71,724,501 | ||||||
52,703,982 | Federal National Mortgage Association, Pool #MA1584, 3.5%, due 09/01/33 | 55,524,470 | ||||||
59,065,535 | Federal National Mortgage Association, Pool #MA1608, 3.5%, due 10/01/33 | 62,189,550 | ||||||
96,405,000 | Federal National Mortgage Association TBA, 3% (6) | 97,466,964 | ||||||
286,895,000 | Federal National Mortgage Association TBA, 3.5% (6) | 298,590,455 | ||||||
179,880,000 | Federal National Mortgage Association TBA, 4% (6) | 191,473,827 |
See accompanying notes to financial statements.
64
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TCW Total Return Bond Fund
October 31, 2015
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Agency (Continued) | ||||||||
$ | 99,135,000 | Federal National Mortgage Association TBA, 4.5% (6) | $ | 107,437,556 | ||||
1,289,520 | Government National Mortgage Association (03-42-SH), 6.356%, | 266,904 | ||||||
15,214,700 | Government National Mortgage Association (11-70-BO), 0%, | 12,342,502 | ||||||
16,235,767 | Government National Mortgage Association (15-42-ZB), 3%, due 03/20/45 | 15,420,570 | ||||||
37,325,347 | Government National Mortgage Association (15-43-DM), 2.5%, due 03/20/45 | 33,693,173 | ||||||
10,986,887 | Government National Mortgage Association (15-44-Z), 3%, due 03/20/45 | 10,376,759 | ||||||
9,696,442 | Government National Mortgage Association (15-52-EZ), 3%, due 04/16/45 | 8,724,071 | ||||||
25,763,544 | Government National Mortgage Association, Pool #782902, 4.5%, due 02/15/40 | 28,501,926 | ||||||
423,976 | Government National Mortgage Association II, Pool #80963, 1.625%, | 439,820 | ||||||
34,752,971 | Government National Mortgage Association II, Pool #MA2960, 3%, due 07/20/45 | 35,527,962 | ||||||
78,149,620 | Government National Mortgage Association II, Pool #MA2961, 3.5%, | 82,008,259 | ||||||
102,344,075 | Government National Mortgage Association II, Pool #MA3033, 3%, due 08/20/45 | 104,626,344 | ||||||
82,281,684 | Government National Mortgage Association II, Pool #MA3034, 3.5%, | 86,344,344 | ||||||
69,741,219 | Government National Mortgage Association II, Pool #MA3104, 3%, due 09/20/45 | 71,386,676 | ||||||
82,902,640 | Government National Mortgage Association II, Pool #MA3106, 4%, | 88,492,089 | ||||||
95,710,000 | Government National Mortgage Association II TBA, 3.5% (6) | 100,301,089 | ||||||
6,510,000 | Government National Mortgage Association II TBA, 4.5% (6) | 7,007,405 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Agency (Cost: $3,896,737,388) | 4,018,453,721 | |||||||
|
| |||||||
Residential Mortgage-Backed Securities — Non-Agency (27.4%) | ||||||||
2,194,659 | Accredited Mortgage Loan Trust (05-3-A2D), 0.56%, due 09/25/35 (2) | 2,194,312 | ||||||
16,031,667 | ACE Securities Corp. (06-ASP1-A2D), 0.507%, due 12/25/35 (2) | 15,614,457 | ||||||
19,154,535 | ACE Securities Corp. (07-ASP1-A2C), 0.457%, due 03/25/37 (2) | 11,382,245 | ||||||
10,295,359 | ACE Securities Corp. (07-ASP1-A2D), 0.577%, due 03/25/37 (2) | 6,176,985 | ||||||
2,101,652 | Adjustable Rate Mortgage Trust (04-5-3A1), 2.555%, due 04/25/35 (2) | 2,069,674 | ||||||
22,327,900 | Ameriquest Mortgage Securities, Inc. (05-R10-A2C), 0.527%, due 01/25/36 (2) | 22,004,534 | ||||||
6,006,973 | Asset-Backed Funding Certificates (05-HE2-M2), 0.947%, due 06/25/35 (2) | 5,955,983 | ||||||
8,747,000 | Asset-Backed Funding Certificates (07-NC1-A2), (144A), 0.497%, | 6,489,801 | ||||||
20,197,363 | Asset-Backed Funding Certificates (07-WMC1-A2A), 0.947%, due 06/25/37 (2) | 14,701,715 | ||||||
1,753,235 | Asset-Backed Securities Corp. Home Equity (05-HE5-M2), 0.857%, | 1,753,931 | ||||||
46,717,246 | Asset-Backed Securities Corp. Home Equity (07-HE1-A4), 0.337%, due 12/25/36 (2) | 38,082,679 | ||||||
2,193,780 | Banc of America Alternative Loan Trust (03-3-A4), 5.75%, due 05/25/33 | 2,251,524 | ||||||
717,487 | Banc of America Alternative Loan Trust (03-4-1A5), 5.5%, due 06/25/33 | 735,872 | ||||||
15,078,323 | Banc of America Alternative Loan Trust (03-9-1CB5), 5.5%, due 11/25/33 | 15,433,718 | ||||||
885,381 | Banc of America Funding Corp. (04-B-3A1), 2.821%, due 12/20/34 (2) | 483,389 | ||||||
173,636 | Banc of America Funding Corp. (06-D-2A1), 2.944%, due 05/20/36 (2)(3) | 155,783 | ||||||
6,689,612 | Banc of America Funding Corp. (06-D-3A1), 2.867%, due 05/20/36 (2)(3) | 5,988,893 | ||||||
15,104,514 | Banc of America Funding Corp. (06-G-2A1), 0.414%, due 07/20/36 (2) | 14,197,566 |
See accompanying notes to financial statements.
65
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 9,986,000 | Banc of America Funding Corp. (15-R8-1A1), (144A), 1.038%, due 11/26/46 (1)(2) | $ | 9,361,789 | ||||
1,892,984 | Banc of America Funding Trust (06-3-4A14), 6%, due 03/25/36 | 1,900,371 | ||||||
7,609,626 | Banc of America Funding Trust (06-3-5A3), 5.5%, due 03/25/36 (3) | 7,176,027 | ||||||
2,823,181 | BCAP LLC Trust (07-AA1-1A2), 0.357%, due 02/25/47 (2)(3) | 2,656,797 | ||||||
27,968,361 | BCAP LLC Trust (08-IND2-A1), 1.847%, due 04/25/38 (2) | 27,882,784 | ||||||
278,001 | BCAP LLC Trust (09-RR1-21A1), (144A), 2.725%, due 11/26/34 (1)(2) | 279,199 | ||||||
1,177,140 | BCAP LLC Trust (09-RR1-22A1), (144A), 2.695%, due 05/26/35 (1)(2) | 1,186,699 | ||||||
751,287 | BCAP LLC Trust (09-RR1-23A1), (144A), 2.676%, due 05/26/35 (1)(2) | 761,026 | ||||||
6,524,932 | BCAP LLC Trust (11-RR2-3A6), (144A), 2.712%, due 11/21/35 (1)(2) | 6,183,991 | ||||||
1,024,492 | BCAP LLC Trust (11-RR3-1A5), (144A), 2.759%, due 05/27/37 (1)(2) | 1,023,310 | ||||||
1,640,511 | BCAP LLC Trust (11-RR3-5A3), (144A), 5.094%, due 11/27/37 (1)(2) | 1,595,561 | ||||||
6,906,032 | BCAP LLC Trust (11-RR4-1A3), (144A), 2.154%, due 03/26/36 (1)(2) | 6,778,306 | ||||||
5,993,733 | BCAP LLC Trust (11-RR4-2A3), (144A), 1%, due 06/26/47 (1)(2) | 5,975,687 | ||||||
6,878,820 | BCAP LLC Trust (11-RR4-3A3), (144A), 2.646%, due 07/26/36 (1)(2) | 6,804,096 | ||||||
8,914,044 | BCAP LLC Trust (11-RR5-1A3), (144A), 2.428%, due 03/26/37 (1)(2) | 8,785,679 | ||||||
2,358,656 | BCAP LLC Trust (11-RR5-2A3), (144A), 2.83%, due 06/26/37 (1)(2) | 2,364,877 | ||||||
16,649,850 | BCAP LLC Trust (11-RR9-7A1), (144A), 1.974%, due 04/26/37 (1)(2) | 16,554,871 | ||||||
6,111,340 | BCAP LLC Trust (12-RR2-9A3), (144A), 2.626%, due 03/26/35 (1)(2) | 6,146,724 | ||||||
3,092,368 | BCAP LLC Trust (12-RR7-1A1), (144A), 0.364%, due 08/26/36 (1)(2) | 3,056,302 | ||||||
11,366,464 | BCAP LLC Trust (12-RR8-3A1), (144A), 2.864%, due 08/26/36 (1)(2) | 11,255,552 | ||||||
1,717,147 | BCAP LLC Trust (12-RR8-5A3), (144A), 0.49%, due 05/26/37 (1)(2) | 1,693,775 | ||||||
3,977,771 | BCAP LLC Trust (12-RR9-1A1), (144A), 0.374%, due 07/26/35 (1)(2)(3) | 3,884,473 | ||||||
7,146,957 | BCAP LLC Trust (13-RR2-6A1), (144A), 3%, due 06/26/37 (1)(2) | 7,139,607 | ||||||
2,223,665 | Bear Stearns Alt-A Trust (04-13-A1), 0.937%, due 11/25/34 (2) | 2,198,115 | ||||||
8,362 | Bear Stearns Alt-A Trust (05-2-2A4), 2.523%, due 04/25/35 (2) | 8,012 | ||||||
10,764,545 | Bear Stearns Alt-A Trust (05-4-23A1), 2.584%, due 05/25/35 (2) | 10,458,050 | ||||||
850,367 | Bear Stearns Alt-A Trust (06-4-32A1), 2.923%, due 07/25/36 (2)(3) | 626,081 | ||||||
1,561,617 | Bear Stearns ARM Trust (04-12-1A1), 2.646%, due 02/25/35 (2) | 1,493,191 | ||||||
14,097,952 | Bear Stearns ARM Trust (05-10-A3), 2.77%, due 10/25/35 (2) | 13,981,831 | ||||||
4,087,591 | Bear Stearns ARM Trust (06-2-2A1), 2.891%, due 07/25/36 (2)(3) | 3,524,101 | ||||||
468,818 | Bear Stearns ARM Trust (07-1-2A1), 2.731%, due 02/25/47 (2)(3) | 407,654 | ||||||
2,160,567 | Bear Stearns ARM Trust (07-5-3A1), 4.714%, due 08/25/47 (2)(3) | 2,000,425 | ||||||
2,786,244 | Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A3), 5.5%, due 09/25/35 (2) | 2,780,910 | ||||||
5,957,464 | Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A4), 5.4%, due 09/25/35 (2) | 5,918,023 | ||||||
8,095,723 | Bear Stearns Asset-Backed Securities I Trust (06-HE9-1A2), 0.347%, | 6,622,438 | ||||||
961,518 | Bear Stearns Mortgage Funding Trust (06-AR3-1A1), 0.377%, due 10/25/36 (2) | 716,322 | ||||||
3,831,007 | Bear Stearns Mortgage Funding Trust (07-AR4-1A1), 0.397%, due 09/25/47 (2) | 3,055,504 | ||||||
1,313,231 | BNC Mortgage Loan Trust (07-3-A2), 0.257%, due 07/25/37 (2) | 1,307,695 | ||||||
49,854 | Carrington Mortgage Loan Trust (05-NC5-A2), 0.517%, due 10/25/35 (2) | 49,807 | ||||||
16,507,175 | Carrington Mortgage Loan Trust (05-NC5-A3), 0.617%, due 10/25/35 (2) | 16,074,056 | ||||||
5,302,198 | Centex Home Equity (05-D-M1), 0.627%, due 10/25/35 (2) | 5,297,590 | ||||||
1,540,920 | Chase Mortgage Finance Corp. (06-A1-2A1), 2.662%, due 09/25/36 (2)(3) | 1,380,086 | ||||||
8,223,667 | Chase Mortgage Finance Corp. (07-A1-8A1), 2.694%, due 02/25/37 (2) | 8,335,021 | ||||||
5,013,262 | Chaseflex Trust (05-1-1A5), 6.5%, due 02/25/35 (3) | 4,923,658 | ||||||
24,227,000 | Chaseflex Trust (06-1-A3), 4.78%, due 06/25/36 (2) | 24,237,667 |
See accompanying notes to financial statements.
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October 31, 2015
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 34,280,233 | CIM Trust (15-3AG-A1), (144A), 1.943%, due 10/25/57 (1)(2) | $ | 34,114,166 | ||||
43,000,000 | CIM Trust (15-4AG-A1), (144A), 2.193%, due 10/25/57 (1) | 42,405,947 | ||||||
1,060,389 | Citicorp Mortgage Securities Trust, Inc. (07-4-3A1), 5.5%, due 05/25/37 | 1,050,960 | ||||||
6,117,886 | Citicorp Residential Mortgage Trust, Inc. (06-2-A4), 5.775%, due 09/25/36 | 6,360,898 | ||||||
8,222,559 | Citigroup Mortgage Loan Trust, Inc. (06-AR5-1A1A), 2.556%, due 07/25/36 (2)(3) | 7,160,983 | ||||||
7,379,620 | Citigroup Mortgage Loan Trust, Inc. (06-AR9-1A2), 0.367%, due 11/25/36 (2) | 7,356,158 | ||||||
4,394,282 | Citigroup Mortgage Loan Trust, Inc. (06-WFH2-A2A), 0.347%, due 08/25/36 (2) | 4,292,823 | ||||||
5,394,176 | Citigroup Mortgage Loan Trust, Inc. (07-12-2A1), (144A), 6.5%, due 10/25/36 (1)(3) | 4,247,365 | ||||||
4,626,663 | Citigroup Mortgage Loan Trust, Inc. (08-AR4-1A1A), (144A), 2.719%, | 4,695,498 | ||||||
2,350,652 | Citigroup Mortgage Loan Trust, Inc. (09-5-7A1), (144A), 0.544%, due 07/25/36 (1)(2) | 2,249,646 | ||||||
2,719,222 | Citigroup Mortgage Loan Trust, Inc. (10-4-4A5), (144A), 5%, due 10/25/35 (1) | 2,797,328 | ||||||
8,981,018 | Citigroup Mortgage Loan Trust, Inc. (12-10-3A1), (144A), 2.65%, due 12/25/35 (1)(2) | 9,174,449 | ||||||
15,218,584 | Citigroup Mortgage Loan Trust, Inc. (12-11-1A1), (144A), 0.374%, | 14,723,447 | ||||||
5,099,563 | Citigroup Mortgage Loan Trust, Inc. (12-8-4A1), (144A), 0.334%, due 01/25/37 (1)(2) | 4,879,352 | ||||||
7,974,409 | Citigroup Mortgage Loan Trust, Inc. (14-10-2A1), (144A), 0.444%, | 7,722,867 | ||||||
4,031,382 | Citigroup Mortgage Loan Trust, Inc. (14-2-3A1), (144A), 0.334%, due 08/25/37 (1)(2) | 3,982,660 | ||||||
15,686,723 | Citigroup Mortgage Loan Trust, Inc. (15-5-1A1), (144A), 2.565%, due 01/25/36 (1)(2) | 15,250,198 | ||||||
1,372,905 | CitiMortgage Alternative Loan Trust (05-A1-2A1), 5%, due 07/25/20 | 1,405,463 | ||||||
5,098,276 | Conseco Financial Corp. (99-2-A7), 6.44%, due 12/01/30 | 5,343,408 | ||||||
1,213,830 | Countrywide Alternative Loan Trust (05-20CB-4A1), 5.25%, due 07/25/20 (3) | 1,199,886 | ||||||
441,820 | Countrywide Alternative Loan Trust (05-84-1A1), 2.499%, due 02/25/36 (2)(3) | 332,008 | ||||||
1,625,117 | Countrywide Alternative Loan Trust (05-J1-2A1), 5.5%, due 02/25/25 | 1,622,836 | ||||||
23,272,172 | Countrywide Alternative Loan Trust (06-HY12-A5), 3.579%, due 08/25/36 (2) | 22,451,083 | ||||||
1,163,599 | Countrywide Alternative Loan Trust (06-J3-3A1), 5.5%, due 04/25/21 | 1,177,822 | ||||||
276,746 | Countrywide Alternative Loan Trust (07-HY5R-2A1A), 2.338%, due 03/25/47 (2)(3) | 277,068 | ||||||
16,171,264 | Countrywide Home Loans Mortgage Pass-Through Trust (04-13-1A3), | 16,896,432 | ||||||
19,383,591 | Countrywide Home Loans Mortgage Pass-Through Trust (05-9-1A1), | 16,731,586 | ||||||
61,603 | Countrywide Home Loans Mortgage Pass-Through Trust (05-HYB5-4A1), | 54,529 | ||||||
19,207 | Countrywide Home Loans Mortgage Pass-Through Trust (07-HY5-1A1), | 17,080 | ||||||
69,170 | Countrywide Home Loans Mortgage Pass-Through Trust (07-HYB1-1A1), | 56,701 | ||||||
85,175 | Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA), | 87,432 | ||||||
3,234,034 | Credit Suisse First Boston Mortgage Securities Corp. (05-11-1A1), | 2,536,053 | ||||||
12,515,372 | Credit Suisse First Boston Mortgage Securities Corp. (05-12-1A1), | 9,708,149 | ||||||
1,574,124 | Credit Suisse Mortgage Capital Certificates (10-1R-7A1), (144A), | 1,577,318 |
See accompanying notes to financial statements.
67
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Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 15,436,408 | Credit Suisse Mortgage Capital Certificates (15-5R-2A1), (144A), | $ | 14,865,772 | ||||
948,370 | Credit Suisse Mortgage Trust (10-1R-8A1), (144A), 2.935%, due 05/27/47 (1)(2) | 953,677 | ||||||
6,511,113 | Credit Suisse Mortgage Trust (13-7R-4A1), (144A), 0.357%, due 07/26/36 (1)(2) | 5,993,967 | ||||||
5,353,567 | Credit-Based Asset Servicing and Securitization LLC (06-CB1-AF2), | 3,945,955 | ||||||
38,104,666 | Credit-Based Asset Servicing and Securitization LLC (06-CB7-A4), | 26,015,673 | ||||||
20,571,550 | Credit-Based Asset Servicing and Securitization LLC (06-CB9-A4), | 11,609,416 | ||||||
17,053,504 | Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2C), | 12,662,694 | ||||||
13,495,701 | CSMC Mortgage-Backed Trust (06-8-3A1), 6%, due 10/25/21 (3) | 13,137,860 | ||||||
6,513,467 | CSMC Mortgage-Backed Trust (06-9-5A1), 5.5%, due 11/25/36 (3) | 6,334,428 | ||||||
16,300,526 | CSMC Mortgage-Backed Trust (07-2-3A4), 5.5%, due 03/25/37 (3) | 15,241,976 | ||||||
12,165,027 | CSMC Mortgage-Backed Trust (14-11R-11A1), (144A), 1.944%, due 06/27/47 (1)(2) | 12,169,143 | ||||||
719,249 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AR6-A6), | 541,128 | ||||||
4,780,115 | DSLA Mortgage Loan Trust (05-AR6-2A1A), 0.487%, due 10/19/45 (2) | 3,986,864 | ||||||
40,657,988 | DSLA Mortgage Loan Trust (06-AR2-2A1A), 0.397%, due 10/19/36 (2) | 33,239,320 | ||||||
12,572,833 | DSLA Mortgage Loan Trust (07-AR1-2A1A), 0.337%, due 04/19/47 (2) | 10,466,014 | ||||||
1,957,836 | EquiFirst Mortgage Loan Trust (04-2-1A1), 0.757%, due 10/25/34 (2) | 1,956,291 | ||||||
5,754,773 | Fieldstone Mortgage Investment Corp. (07-1-2A2), 0.467%, due 04/25/47 (2) | 4,050,752 | ||||||
35,152,177 | First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2C), | 22,680,051 | ||||||
20,628,146 | First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2D), | 13,403,808 | ||||||
7,219,620 | First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2C), | 4,568,736 | ||||||
30,278,325 | First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2D), | 19,797,537 | ||||||
5,068,000 | First Franklin Mortgage Loan Trust (06-FF9-2A4), 0.447%, due 06/25/36 (2) | 2,946,107 | ||||||
9,141,165 | First Horizon Alternative Mortgage Securities Trust (05-AA3-3A1), | 8,661,370 | ||||||
6,339,366 | First Horizon Alternative Mortgage Securities Trust (05-AA7-1A1), | 5,465,249 | ||||||
6,379,916 | First Horizon Alternative Mortgage Securities Trust (05-AA7-2A1), | 5,664,080 | ||||||
20,338,741 | First Horizon Alternative Mortgage Securities Trust (06-AA7-A1), | 16,609,952 | ||||||
15,007,692 | Fremont Home Loan Trust (05-E-2A4), 0.527%, due 01/25/36 (2) | 12,275,543 | ||||||
5,720,386 | Fremont Home Loan Trust (06-1-2A3), 0.377%, due 04/25/36 (2) | 5,041,324 | ||||||
4,745,411 | GMAC Mortgage Loan Trust (05-AR5-2A1), 3.17%, due 09/19/35 (2) | 4,316,584 | ||||||
810,271 | GreenPoint Mortgage Funding Trust (05-AR3-1A1), 0.437%, due 08/25/45 (2) | 663,504 | ||||||
19,143,801 | GreenPoint Mortgage Funding Trust (06-AR5-A2A2), 0.347%, due 10/25/46 (2)(3) | 18,821,831 | ||||||
1,473,323 | GS Mortgage Securities Corp. (09-1R-3A1), (144A), 2.617%, due 11/25/35 (1)(2) | 1,490,333 |
See accompanying notes to financial statements.
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October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 4,101,262 | GSAA Home Equity Trust (05-7-AF5), 4.611%, due 05/25/35 | $ | 4,309,139 | ||||
2,206,907 | GSAA Home Equity Trust (05-9-2A3), 0.567%, due 08/25/35 (2) | 2,136,907 | ||||||
5,801,637 | GSR Mortgage Loan Trust (04-9-3A1), 2.717%, due 08/25/34 (2) | 5,787,197 | ||||||
1,469,699 | GSR Mortgage Loan Trust (05-4F-4A3), 5.5%, due 05/25/35 | 1,492,787 | ||||||
22,997,592 | GSR Mortgage Loan Trust (07-3F-3A7), 6%, due 05/25/37 | 22,323,857 | ||||||
2,194,349 | GSR Mortgage Loan Trust (07-AR2-2A1), 2.781%, due 05/25/37 (2)(3) | 2,001,657 | ||||||
3,591,139 | GSR Mortgage Loan Trust (07-AR2-5A1A), 5.191%, due 05/25/37 (2)(3) | 3,190,874 | ||||||
3,939,980 | Harborview Mortgage Loan Trust (05-9-2A1A), 0.534%, due 06/20/35 (2) | 3,743,550 | ||||||
29,909,792 | Harborview Mortgage Loan Trust (06-8-2A1A), 0.386%, due 07/21/36 (2) | 24,697,535 | ||||||
7,767,401 | Home Equity Asset Trust (05-8-2A4), 0.557%, due 02/25/36 (2) | 7,667,863 | ||||||
3,951,032 | Homestar Mortgage Acceptance Corp. (04-3-AV2C), 0.777%, due 07/25/34 (2) | 3,946,008 | ||||||
1,341,119 | Homestar Mortgage Acceptance Corp. (04-5-A1), 0.647%, due 10/25/34 (2) | 1,345,152 | ||||||
20,000,000 | HSBC Home Equity Loan Trust USA (06-4-M1), 0.454%, due 03/20/36 (2) | 19,691,096 | ||||||
1,594,466 | HSI Asset Loan Obligation Trust (07-2-2A12), 6%, due 09/25/37 (3) | 1,460,329 | ||||||
12,889 | Impac CMB Trust (04-5-1A1), 0.917%, due 10/25/34 (2) | 12,361 | ||||||
1,901,477 | Impac CMB Trust (05-1-1A1), 0.717%, due 04/25/35 (2) | 1,735,103 | ||||||
9,988,139 | Impac CMB Trust (05-5-A2), 0.637%, due 08/25/35 (2) | 8,786,467 | ||||||
11,387,828 | Indymac Index Mortgage Loan Trust (04-AR4-2A), 2.548%, due 08/25/34 (2) | 11,281,199 | ||||||
2,060,597 | Indymac Index Mortgage Loan Trust (04-AR9-4A), 2.645%, due 11/25/34 (2) | 1,882,307 | ||||||
7,633,083 | Indymac Index Mortgage Loan Trust (05-AR17-3A1), 2.447%, due 09/25/35 (2)(3) | 6,454,512 | ||||||
6,508,778 | Indymac Index Mortgage Loan Trust (05-AR23-2A1), 2.514%, due 11/25/35 (2)(3) | 5,598,287 | ||||||
7,782,678 | Indymac Index Mortgage Loan Trust (05-AR23-6A1), 2.617%, due 11/25/35 (2)(3) | 6,489,056 | ||||||
4,418,709 | Indymac Index Mortgage Loan Trust (05-AR25-2A1), 4.093%, due 12/25/35 (2)(3) | 3,950,187 | ||||||
6,596,153 | Indymac Index Mortgage Loan Trust (05-AR7-2A1), 2.334%, due 06/25/35 (2) | 5,428,596 | ||||||
6,953,910 | Indymac Index Mortgage Loan Trust (06-AR19-4A1), 2.728%, due 08/25/36 (2)(3) | 5,298,190 | ||||||
14,171,804 | Indymac Index Mortgage Loan Trust (06-AR39-A1), 0.377%, due 02/25/37 (2)(3) | 11,639,799 | ||||||
33,509 | Indymac Index Mortgage Loan Trust (07-AR11-1A1), 2.58%, due 06/25/37 (2)(3) | 25,769 | ||||||
26,092,050 | Indymac Index Mortgage Loan Trust (07-AR5-2A1), 2.77%, due 05/25/37 (2)(3) | 20,029,732 | ||||||
6,595,940 | Indymac Index Mortgage Loan Trust (07-AR7-1A1), 2.898%, due 11/25/37 (2) | 6,204,042 | ||||||
17,511,086 | Indymac Index Mortgage Loan Trust (07-FLX1-A2), 0.377%, due 02/25/37 (2) | 16,276,226 | ||||||
645,889 | Jefferies & Co., Inc. (09-R3-1A1), (144A), 2.508%, due 12/26/35 (1)(2) | 649,595 | ||||||
11,507,805 | JPMorgan Alternative Loan Trust (06-A2-5A1), 4.839%, due 05/25/36 (2)(3) | 8,755,460 | ||||||
11,117,712 | JPMorgan Alternative Loan Trust (06-A4-A8), 3.69%, due 09/25/36 (2)(3) | 11,021,449 | ||||||
9,042,103 | JPMorgan Mortgage Acquisition Corp. (06-CH2-AF4), 5.763%, due 10/25/36 | 7,120,127 | ||||||
29,015,000 | JPMorgan Mortgage Acquisition Corp. (07-CH4-A4), 0.357%, due 01/25/36 (2) | 26,742,458 | ||||||
877,090 | JPMorgan Mortgage Trust (05-A6-7A1), 2.741%, due 08/25/35 (2)(3) | 836,024 | ||||||
5,820,122 | JPMorgan Mortgage Trust (06-A2-5A3), 2.57%, due 11/25/33 (2) | 5,771,354 | ||||||
987,625 | JPMorgan Mortgage Trust (06-A4-1A4), 2.689%, due 06/25/36 (2)(3) | 865,331 | ||||||
46,076 | JPMorgan Mortgage Trust (06-A7-2A4R), 2.692%, due 01/25/37 (2)(3) | 40,774 | ||||||
2,044,389 | JPMorgan Mortgage Trust (06-S2-2A2), 5.875%, due 06/25/21 (3) | 1,962,202 | ||||||
1,879,482 | JPMorgan Resecuritization Trust Series (10-4-1A1), (144A), 2.737%, | 1,884,688 | ||||||
785,570 | JPMorgan Resecuritization Trust Series (10-5-3A1), (144A), 2.424%, | 787,971 | ||||||
7,981,353 | JPMorgan Resecuritization Trust Series (12-3-A3), (144A), 0.364%, | 7,762,481 |
See accompanying notes to financial statements.
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TCW Total Return Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 10,740,559 | JPMorgan Resecuritization Trust Series (14-6-3A1), (144A), 0.404%, | $ | 10,121,212 | ||||
1,205,016 | Lehman Mortgage Trust (05-1-6A1), 5%, due 11/25/20 (3) | 1,007,735 | ||||||
4,103,635 | Lehman Mortgage Trust (06-4-4A1), 6%, due 08/25/21 (3) | 4,053,976 | ||||||
2,274,813 | Lehman Mortgage Trust (07-10-4A1), 6%, due 01/25/27 (3) | 1,700,612 | ||||||
30,421,595 | Lehman XS Trust (06-10N-1A3A), 0.407%, due 07/25/46 (2)(3) | 24,068,702 | ||||||
1,799 | Lehman XS Trust (06-12N-A2A1), 0.347%, due 08/25/46 (2)(3) | 1,804 | ||||||
8,719,943 | Lehman XS Trust (06-12N-A31A), 0.397%, due 08/25/46 (2)(3) | 6,697,695 | ||||||
9,502,914 | Lehman XS Trust (06-13-1A2), 0.367%, due 09/25/36 (2)(3) | 8,593,261 | ||||||
9,629,615 | Lehman XS Trust (06-19-A2), 0.367%, due 12/25/36 (2)(3) | 8,149,277 | ||||||
20,399,949 | Lehman XS Trust (06-9-A1B), 0.357%, due 05/25/46 (2)(3) | 17,495,696 | ||||||
952 | Lehman XS Trust (06-GP1-A2A), 0.367%, due 05/25/46 (2)(3) | 957 | ||||||
7,740,254 | Lehman XS Trust (06-GP4-3A2A), 0.357%, due 08/25/46 (2)(3) | 7,503,645 | ||||||
1,320,453 | Lehman XS Trust (07-4N-1A1), 0.327%, due 03/25/47 (2)(3) | 1,296,869 | ||||||
12,591,242 | Long Beach Mortgage Loan Trust (06-WL1-1A3), 0.527%, due 01/25/46 (2) | 11,737,039 | ||||||
14,950,000 | Long Beach Mortgage Loan Trust (06-WL1-2A4), 0.537%, due 01/25/46 (2) | 12,215,194 | ||||||
7,156,283 | Luminent Mortgage Trust (07-2-1A3), 0.417%, due 05/25/37 (2)(3) | 6,588,392 | ||||||
10,950,000 | Madison Avenue Manufactured Housing Contract (02-A-B1), 3.447%, | 11,122,307 | ||||||
13,749,816 | MASTR Adjustable Rate Mortgages Trust (04-9-M1), 0.777%, due 11/25/34 (2) | 13,588,139 | ||||||
308,426 | MASTR Adjustable Rate Mortgages Trust (07-2-A2), 0.307%, due 03/25/47 (2) | 303,999 | ||||||
8,270,162 | MASTR Alternative Loans Trust (05-4-1A1), 6.5%, due 05/25/35 | 8,299,682 | ||||||
80,831 | MASTR Alternative Loans Trust (06-2-2A1), 0.597%, due 03/25/36 (2)(3) | 19,459 | ||||||
207,562 | MASTR Asset Securitization Trust (03-8-1A1), 5.5%, due 09/25/33 | 215,535 | ||||||
83,923 | MASTR Asset Securitization Trust (06-3-2A1), 0.647%, due 10/25/36 (2)(3) | 54,305 | ||||||
1,410,043 | MASTR Asset-Backed Securities Trust (06-AB1-A2), 0.427%, due 02/25/36 (2) | 1,402,736 | ||||||
3,425,922 | MASTR Asset-Backed Securities Trust (06-AB1-A4), 5.719%, due 02/25/36 | 3,355,239 | ||||||
6,635,000 | MASTR Asset-Backed Securities Trust (06-HE1-A4), 0.487%, due 01/25/36 (2) | 6,392,681 | ||||||
26,787,012 | MASTR Asset-Backed Securities Trust (06-HE5-A3), 0.357%, due 11/25/36 (2) | 17,015,830 | ||||||
13,406 | MASTR Seasoned Securitization Trust (04-1-4A1), 2.659%, due 10/25/32 (2) | 13,362 | ||||||
2,546,655 | Merrill Lynch Alternative Note Asset Trust (07-A1-A2C), 0.427%, due 01/25/37 (2) | 1,200,134 | ||||||
1,309,999 | Merrill Lynch Alternative Note Asset Trust (07-A1-A3), 0.357%, due 01/25/37 (2) | 601,473 | ||||||
10,068,396 | Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2B), 0.367%, | 5,883,044 | ||||||
35,235,132 | Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2C), 0.447%, | 20,865,164 | ||||||
8,683,899 | Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2D), 0.537%, | 5,226,259 | ||||||
7,927,900 | Merrill Lynch First Franklin Mortgage Loan Trust (07-2-A2C), 0.437%, | 4,543,963 | ||||||
3,936,401 | Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2B), 0.327%, | 2,753,040 | ||||||
48,164,319 | Merrill Lynch First Franklin Mortgage Loan Trust (07-4-2A3), 0.357%, | 29,841,003 | ||||||
3,717,596 | Merrill Lynch Mortgage-Backed Securities Trust (07-2-1A1), 2.73%, | 3,456,299 |
See accompanying notes to financial statements.
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TCW Total Return Bond Fund
October 31, 2015
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 4,502,210 | Mid-State Trust (05-1-A), 5.745%, due 01/15/40 | $ | 4,872,509 | ||||
1,229,946 | Morgan Stanley ABS Capital I, Inc. Trust (04-NC8-M2), 1.157%, due 09/25/34 (2) | 1,186,611 | ||||||
5,687,000 | Morgan Stanley ABS Capital I, Inc. Trust (05-HE3-M3), 0.992%, due 07/25/35 (2) | 5,525,341 | ||||||
13,682,447 | Morgan Stanley ABS Capital I, Inc. Trust (05-HE5-M1), 0.827%, due 09/25/35 (2) | 13,497,430 | ||||||
3,881,445 | Morgan Stanley Home Equity Loan Trust (05-2-M3), 0.872%, due 05/25/35 (2) | 3,871,733 | ||||||
5,089,961 | Morgan Stanley Home Equity Loan Trust (06-2-A4), 0.477%, due 02/25/36 (2) | 4,718,922 | ||||||
5,966,137 | Morgan Stanley Mortgage Loan Trust (05-6AR-1A1), 0.477%, due 11/25/35 (2) | 5,796,338 | ||||||
1,312,334 | Morgan Stanley Mortgage Loan Trust (07-3XS-2A6), 5.763%, due 01/25/47 | 842,745 | ||||||
4,733,940 | Morgan Stanley Mortgage Loan Trust (07-7AX-2A1), 0.317%, due 04/25/37 (2) | 2,353,464 | ||||||
145,385 | Morgan Stanley REREMIC Trust (10-R2-2B), (144A), 0.434%, due 05/26/36 (1)(2) | 145,237 | ||||||
16,805,877 | Morgan Stanley REREMIC Trust (13-R2-1A), (144A), 2.071%, due 10/26/36 (1)(2) | 16,730,815 | ||||||
4,041,671 | Morgan Stanley REREMIC Trust (13-R3-12A), (144A), 2.806%, due 01/26/47 (1)(2) | 4,039,503 | ||||||
14,925,740 | Morgan Stanley Resecuritization Trust (14-R2-2A), (144A), 2.027%, | 14,962,988 | ||||||
12,801,171 | MortgageIT Trust (05-3-A1), 0.497%, due 08/25/35 (2) | 11,938,460 | ||||||
6,428,502 | MortgageIT Trust (05-4-A1), 0.477%, due 10/25/35 (2) | 5,657,381 | ||||||
10,000,000 | Nationstar Home Equity Loan Trust (07-B-2AV3), 0.447%, due 04/25/37 (2) | 8,712,660 | ||||||
7,490,800 | New Century Home Equity Loan Trust (05-1-A1SS), 0.717%, due 03/25/35 (2) | 7,479,698 | ||||||
12,509,031 | New Century Home Equity Loan Trust (05-2-M1), 0.627%, due 06/25/35 (2) | 12,592,995 | ||||||
10,622,577 | New Century Home Equity Loan Trust (05-3-M1), 0.677%, due 07/25/35 (2) | 10,614,074 | ||||||
7,223,495 | Nomura Resecuritization Trust (12-3R-1A1), (144A), 0.366%, due 01/26/37 (1)(2) | 6,985,263 | ||||||
18,895,196 | Nomura Resecuritization Trust (15-1R-2A1), (144A), 0.515%, due 10/26/36 (1)(2) | 18,757,202 | ||||||
10,997,490 | Nomura Resecuritization Trust (15-2R-1A1), (144A), 1.198%, due 08/26/46 (1)(2) | 10,928,305 | ||||||
17,829,168 | Nomura Resecuritization Trust (15-4R-2A1), (144A), 0.334%, due 10/26/36 (1)(2) | 17,228,441 | ||||||
12,532,245 | Nomura Resecuritization Trust (15-4R-3A1), (144A), 2.375%, due 01/26/36 (1)(2) | 12,882,401 | ||||||
19,969,396 | Nomura Resecuritization Trust (15-5R-2A1), (144A), 2.554%, due 03/26/35 (1)(2) | 20,365,157 | ||||||
8,770,546 | Nomura Resecuritization Trust (15-7R-2A1), (144A), 2.384%, due 08/26/36 (1) | 8,892,328 | ||||||
4,550,324 | Oakwood Mortgage Investors, Inc. (02-A-A4), 6.97%, due 03/15/32 (2) | 4,929,757 | ||||||
6,419,173 | Oakwood Mortgage Investors, Inc. (99-E-A1), 7.608%, due 03/15/30 (2) | 6,210,186 | ||||||
17,029,339 | Opteum Mortgage Acceptance Corp. (06-1-2A1), 5.75%, due 04/25/36 (2) | 17,231,478 | ||||||
2,218,679 | Origen Manufactured Housing Contract Trust (04-A-M2), 6.64%, due 01/15/35 (2) | 2,412,525 | ||||||
1,746,943 | Origen Manufactured Housing Contract Trust (04-B-B1), 7.5%, due 11/15/35 (2) | 1,955,625 | ||||||
1,070,113 | Origen Manufactured Housing Contract Trust (04-B-M2), 6.51%, due 11/15/35 (2) | 1,167,414 | ||||||
1,010,107 | Origen Manufactured Housing Contract Trust (05-A-B), 6.55%, due 06/15/36 (2) | 1,090,015 | ||||||
824,577 | Origen Manufactured Housing Contract Trust (05-A-M2), 5.86%, due 06/15/36 (2) | 891,042 | ||||||
19,300,000 | Ownit Mortgage Loan Asset-Backed Certificates (06-3-A2D), 0.467%, | 14,514,142 | ||||||
22,154,653 | Ownit Mortgage Loan Asset-Backed Certificates (06-6-A2C), 0.357%, | 13,327,419 | ||||||
6,801,942 | Park Place Securities, Inc. (05-WCH1-M2), 0.977%, due 01/25/36 (2) | 6,775,028 | ||||||
20,506,892 | Park Place Securities, Inc. (05-WCW1-M1), 0.647%, due 09/25/35 (2) | 20,414,829 | ||||||
5,767,448 | Prime Mortgage Trust (06-1-1A1), 5.5%, due 06/25/36 (3) | 5,448,952 | ||||||
6,600,520 | RAAC Series Trust (05-SP1-4A1), 7%, due 09/25/34 | 7,171,465 | ||||||
3,613,315 | RAAC Series Trust (07-SP1-A3), 0.677%, due 03/25/37 (2) | 3,502,412 | ||||||
1,411,380 | RALI Trust (05-QA13-2A1), 3.582%, due 12/25/35 (2)(3) | 1,226,264 | ||||||
6,178,429 | RALI Trust (05-QA7-A21), 3.028%, due 07/25/35 (2)(3) | 5,573,613 |
See accompanying notes to financial statements.
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Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 12,415,639 | RALI Trust (06-QA3-A1), 0.397%, due 04/25/36 (2)(3) | $ | 11,132,788 | ||||
491,676 | RBSSP Resecuritization Trust (10-12-4A1), (144A), 4%, due 05/21/36 (1)(2) | 493,505 | ||||||
14,199,717 | Residential Accredit Loans, Inc. (05-QA8-CB21), 3.299%, due 07/25/35 (2)(3) | 11,517,749 | ||||||
2,056,767 | Residential Accredit Loans, Inc. (05-QS7-A1), 5.5%, due 06/25/35 (3) | 1,813,087 | ||||||
32,921 | Residential Accredit Loans, Inc. (06-QA1-A21), 3.786%, due 01/25/36 (2)(3) | 26,065 | ||||||
27,894,908 | Residential Accredit Loans, Inc. (06-QA10-A2), 0.377%, due 12/25/36 (2)(3) | 21,812,758 | ||||||
40,534 | Residential Accredit Loans, Inc. (06-QA2-1A1), 0.447%, due 02/25/36 (2)(3) | 28,641 | ||||||
9,427,681 | Residential Accredit Loans, Inc. (06-QO1-3A1), 0.467%, due 02/25/46 (2)(3) | 5,473,938 | ||||||
75,363,315 | Residential Accredit Loans, Inc. (06-QS10-AV), 0.558%, due 08/25/36 (I/O) (2) | 1,785,018 | ||||||
73,749,854 | Residential Accredit Loans, Inc. (06-QS11-AV), 0.34%, due 08/25/36 (I/O) (2) | 1,061,887 | ||||||
6,104,595 | Residential Accredit Loans, Inc. (06-QS5-A5), 6%, due 05/25/36 (3) | 5,306,649 | ||||||
101,500,464 | Residential Accredit Loans, Inc. (06-QS6-1AV), 0.757%, due 06/25/36 (I/O) (2) | 3,214,926 | ||||||
22,286,884 | Residential Accredit Loans, Inc. (06-QS7-AV), 0.649%, due 06/25/36 (I/O) (2) | 647,350 | ||||||
144,770 | Residential Accredit Loans, Inc. (06-RS3-A3), 0.397%, due 05/25/36 (2)(3) | 144,554 | ||||||
5,012,311 | Residential Accredit Loans, Inc. (07-QS1-2AV), 0.166%, due 01/25/37 (I/O) (2) | 36,649 | ||||||
37,788,250 | Residential Accredit Loans, Inc. (07-QS2-AV), 0.326%, due 01/25/37 (I/O) (2) | 525,346 | ||||||
145,866,078 | Residential Accredit Loans, Inc. (07-QS3-AV), 0.337%, due 02/25/37 (I/O) (2) | 2,287,661 | ||||||
16,731,201 | Residential Accredit Loans, Inc. (07-QS4-3AV), 0.379%, due 03/25/37 (I/O) (2) | 231,699 | ||||||
23,820,900 | Residential Accredit Loans, Inc. (07-QS5-AV), 0.249%, due 03/25/37 (I/O) (2) | 296,623 | ||||||
5,486,031 | Residential Accredit Loans, Inc. (07-QS6-A45), 5.75%, due 04/25/37 (3) | 4,307,076 | ||||||
34,746,181 | Residential Accredit Loans, Inc. (07-QS8-AV), 0.393%, due 06/25/37 (I/O) (2) | 568,343 | ||||||
55,381 | Residential Funding Mortgage Securities I (05-SA5-2A), 3.095%, due 11/25/35 (2)(3) | 48,240 | ||||||
3,554,445 | Residential Funding Mortgage Securities I (06-S10-1A1), 6%, due 10/25/36 (3) | 3,225,512 | ||||||
1,271,239 | Residential Funding Mortgage Securities I (06-S9-A3), 5.75%, | 1,136,510 | ||||||
13,400,358 | Residential Funding Mortgage Securities I (07-S2-A9), 6%, due 02/25/37 (3) | 12,295,486 | ||||||
46,005 | Residential Funding Mortgage Securities I (07-SA2-2A2), 3.116%, | 40,412 | ||||||
15,179,127 | Saxon Asset Securities Trust (06-2-A2), 0.327%, due 09/25/36 (2) | 14,694,381 | ||||||
19,435,203 | Saxon Asset Securities Trust (06-3-A3), 0.367%, due 10/25/46 (2) | 16,018,638 | ||||||
24,964,238 | Saxon Asset Securities Trust (07-2-A2D), 0.497%, due 05/25/47 (2) | 17,678,370 | ||||||
3,886,694 | Securitized Asset-Backed Receivables LLC Trust (07-BR1-A2C), 0.537%, | 2,442,256 | ||||||
50,150,579 | Securitized Asset-Backed Receivables LLC Trust (07-BR2-A2), 0.427%, | 26,739,551 | ||||||
23,540,413 | Securitized Asset-Backed Receivables LLC Trust (07-NC2-A2B), 0.337%, | 16,356,794 | ||||||
1,456,499 | Sequoia Mortgage Trust (03-8-A1), 0.834%, due 01/20/34 (2) | 1,321,630 | ||||||
4,420,410 | SG Mortgage Securities Trust (05-OPT1-A3), 0.547%, due 10/25/35 (2) | 4,345,733 | ||||||
27,739,123 | SG Mortgage Securities Trust (07-NC1-A2), (144A), 0.437%, due 12/25/36 (1)(2) | 16,485,641 | ||||||
1,346,496 | Soundview Home Equity Loan Trust (05-OPT3-A4), 0.497%, due 11/25/35 (2) | 1,345,519 | ||||||
16,198,529 | Soundview Home Equity Loan Trust (06-2-A4), 0.467%, due 03/25/36 (2) | 16,044,763 | ||||||
10,400,000 | Soundview Home Equity Loan Trust (06-OPT4-2A4), 0.427%, due 06/25/36 (2) | 7,372,432 | ||||||
2,453,472 | Soundview Home Equity Loan Trust (06-WF2-A2C), 0.337%, due 12/25/36 (2) | 2,431,473 | ||||||
4,000,000 | Soundview Home Equity Loan Trust (07-OPT3-2A4), 0.447%, due 08/25/37 (2) | 2,943,078 |
See accompanying notes to financial statements.
72
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TCW Total Return Bond Fund
October 31, 2015
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 207,708 | Specialty Underwriting & Residential Finance (05-BC3-M1), | $ | 207,920 | ||||
1,706,923 | Specialty Underwriting & Residential Finance (05-BC4-A2C), | 1,682,439 | ||||||
25,242 | Specialty Underwriting & Residential Finance (06-AB3-A2B), | 14,840 | ||||||
4,378,932 | Structured Adjustable Rate Mortgage Loan Trust (04-12-2A), | 4,355,182 | ||||||
7,382,166 | Structured Adjustable Rate Mortgage Loan Trust (04-14-2A), | 7,586,821 | ||||||
10,863,486 | Structured Adjustable Rate Mortgage Loan Trust (05-16XS-A2A), | 10,581,959 | ||||||
169,085 | Structured Adjustable Rate Mortgage Loan Trust (05-23-1A3), | 168,847 | ||||||
848,141 | Structured Adjustable Rate Mortgage Loan Trust (06-2-5A1), | 707,312 | ||||||
3,362,282 | Structured Adjustable Rate Mortgage Loan Trust (06-4-5A1), | 2,891,848 | ||||||
8,402,962 | Structured Adjustable Rate Mortgage Loan Trust (06-5-1A1), | 7,096,326 | ||||||
5,845,955 | Structured Adjustable Rate Mortgage Loan Trust (07-1-1A1), | 5,066,150 | ||||||
1,100,642 | Structured Asset Investment Loan Trust (05-3-M1), 0.767%, due 04/25/35 (2) | 1,102,449 | ||||||
250,574 | Structured Asset Mortgage Investments, Inc. (06-AR3-24A1), | 157,076 | ||||||
929,540 | Structured Asset Securities Corp. (05-2XS-1A5B), 4.65%, due 02/25/35 | 935,643 | ||||||
19,788,197 | Structured Asset Securities Corp. (06-EQ1A-A4), (144A), | 19,365,242 | ||||||
14,345,000 | Structured Asset Securities Corp. (06-WF2-A4), 0.507%, due 07/25/36 (2) | 13,638,394 | ||||||
429,294 | Suntrust Adjustable Rate Mortgage Loan Trust (07-2-2A1), | 357,789 | ||||||
21,269 | Suntrust Adjustable Rate Mortgage Loan Trust (07-3-1A1), | 19,452 | ||||||
1,610,049 | Suntrust Adjustable Rate Mortgage Loan Trust (07-S1-2A1), | 1,600,861 | ||||||
12,518,543 | Wachovia Mortgage Loan Trust LLC (06-AMN1-A3), 0.437%, due 08/25/36 (2) | 8,190,972 | ||||||
12,791,557 | WaMu Mortgage Pass-Through Certificates (04-AR14-A1), | 12,893,772 | ||||||
13,741,442 | WaMu Mortgage Pass-Through Certificates (05-AR13-A1A1), | 12,848,415 | ||||||
1,107,383 | WaMu Mortgage Pass-Through Certificates (05-AR13-A1A2), | 1,083,137 | ||||||
2,848,823 | WaMu Mortgage Pass-Through Certificates (05-AR14-2A1), | 2,630,845 | ||||||
4,407,564 | WaMu Mortgage Pass-Through Certificates (05-AR18-1A1), | 4,186,669 |
See accompanying notes to financial statements.
73
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TCW Total Return Bond Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||
Residential Mortgage-Backed Securities — Non-Agency (Continued) | ||||||||
$ | 408,484 | WaMu Mortgage Pass-Through Certificates (05-AR2-2A1A), | $ | 376,706 | ||||
10,944,916 | WaMu Mortgage Pass-Through Certificates (05-AR9-A1A), | 10,366,998 | ||||||
29,579,486 | WaMu Mortgage Pass-Through Certificates (06-AR1-2A1A), | 28,117,875 | ||||||
7,396,539 | WaMu Mortgage Pass-Through Certificates (06-AR11-1A), | 6,204,471 | ||||||
8,130,671 | WaMu Mortgage Pass-Through Certificates (06-AR17-1A1A), | 7,518,228 | ||||||
149,978 | Washington Mutual Alternative Mortgage Pass-Through Certificates (02-AR1-1A1), | 150,107 | ||||||
2,205,783 | Washington Mutual Alternative Mortgage Pass-Through Certificates (06-1-3A2), | 2,021,542 | ||||||
3,763,936 | Washington Mutual Alternative Mortgage Pass-Through Certificates (06-5-1A1), | 2,374,567 | ||||||
6,519,141 | Washington Mutual Alternative Mortgage Pass-Through Certificates | 5,144,833 | ||||||
2,610,223 | Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OA3-5A), | 2,009,056 | ||||||
7,786,513 | Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OC2-A3), | 6,356,758 | ||||||
11,691,000 | Washington Mutual Asset-Backed Certificates (06-HE1-2A4), | 10,462,943 | ||||||
15,437,866 | Wells Fargo Home Equity Asset-Backed Securities (06-3-A2), | 14,716,608 | ||||||
5,521,000 | Wells Fargo Home Equity Asset-Backed Securities (07-1-A3), | 4,003,465 | ||||||
10,117,447 | Wells Fargo Mortgage Loan Trust (11-RR3-A1), (144A), 2.711%, due 03/27/37 (1)(2) | 9,992,617 | ||||||
8,003,118 | Wells Fargo Mortgage Loan Trust (12-RR2-1A1), (144A), 0.4%, due 09/27/47 (1)(2) | 7,757,371 | ||||||
5,882,177 | Wells Fargo Mortgage-Backed Securities Trust (04-DD-2A6), | 5,870,852 | ||||||
10,847,744 | Wells Fargo Mortgage-Backed Securities Trust (06-AR11-A6), | 10,018,621 | ||||||
7,415,109 | Wells Fargo Mortgage-Backed Securities Trust (06-AR6-4A1), | 7,400,047 | ||||||
4,196,026 | Wells Fargo Mortgage-Backed Securities Trust (06-AR7-2A4), | 3,857,243 | ||||||
8,284,017 | Wells Fargo Mortgage-Backed Securities Trust (07-10-1A32), 6%, due 07/25/37 (3) | 8,286,156 | ||||||
741,948 | Wells Fargo Mortgage-Backed Securities Trust (07-AR4-A1), | 664,146 | ||||||
3,788,419 | Wells Fargo Mortgage-Backed Securities Trust (08-1-4A1), 5.75%, due 02/25/38 | 4,007,412 | ||||||
|
| |||||||
Total Residential Mortgage-Backed Securities — Non-Agency | 2,399,652,636 | |||||||
|
|
See accompanying notes to financial statements.
74
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TCW Total Return Bond Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||
U.S. Government Agency Obligation (Cost: $44,320,080) (0.5%) | ||||||||
$ | 44,400,000 | Federal Home Loan Bank, 1.25%, due 06/28/30 | $ | 44,335,687 | ||||
|
| |||||||
U.S. Treasury Securities (24.0%) |
| |||||||
437,975,000 | U.S. Treasury Bond, 2.875%, due 08/15/45 | 432,851,131 | ||||||
377,955,000 | U.S. Treasury Note, 0.25%, due 11/30/15 | 377,956,448 | ||||||
179,750,000 | U.S. Treasury Note, 0.625%, due 08/31/17 | 179,462,112 | ||||||
228,000,000 | U.S. Treasury Note, 0.625%, due 09/30/17 | 227,521,200 | ||||||
189,525,000 | U.S. Treasury Note, 1.25%, due 10/31/20 | 188,155,786 | ||||||
623,310,000 | U.S. Treasury Note, 2%, due 08/15/25 | 615,167,533 | ||||||
80,935,000 | U.S. Treasury Note, 2.625%, due 08/15/20 | 85,013,881 | ||||||
|
| |||||||
Total U.S. Treasury Securities (Cost: $2,105,096,986) | 2,106,128,091 | |||||||
|
| |||||||
Total Fixed Income Securities (Cost: $9,130,557,133) (108.7%) | 9,522,308,288 | |||||||
|
| |||||||
Number of Shares | Money Market Investments | |||||||
316,549,000 | Morgan Stanley Liquidity Fund — Government Portfolio, 0.04% (7) | 316,549,000 | ||||||
4,030,118 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (7) | 4,030,118 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $320,579,118) (3.6%) | 320,579,118 | |||||||
|
| |||||||
Principal Amount | Short-Term Investments | |||||||
Commercial Paper (0.6%) | ||||||||
Banks (Cost: $49,969,778) (0.6%) | ||||||||
$ | 50,000,000 | Macquarie Bank, Ltd. (Australia), (144A), 0.345%, due 01/04/16 (1)(8) | 49,979,100 | |||||
|
| |||||||
Discount Notes (Cost: $190,379,929) (2.2%) | ||||||||
190,455,000 | Federal Home Loan Bank Discount Note, 0.215%, due 01/06/16 (8) | 190,427,575 | ||||||
|
| |||||||
Total Short-Term Investments (Cost: $240,349,707) (2.8%) | 240,406,675 | |||||||
|
| |||||||
Total Investments (Cost: $9,691,485,958) (115.1%) | 10,083,294,081 | |||||||
Liabilities in Excess of Other Assets (-15.1%) | (1,323,149,324 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 8,760,144,757 | ||||||
|
|
See accompanying notes to financial statements.
75
Table of Contents
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Notes to the Schedule of Investments:
ABS - | Asset-Backed Securities. |
ACES - | Alternative Credit Enhancement Securities. |
ARM - | Adjustable-Rate Mortgage. |
CLO - | Collateralized Loan Obligation. |
I/F - | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O - Interest | Only Security. |
PAC - | Planned Amortization Class. |
P/O - | Principal Only Security. |
TAC - | Target Amortization Class. |
TBA - | To be Announced. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2015, the value of these securities amounted to $739,092,110 or 8.4% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2015. |
(3) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. |
(4) | As of October 31, 2015, security is not accruing interest. |
(5) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(6) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(7) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
(8) | Rate shown represents yield-to-maturity. |
See accompanying notes to financial statements.
76
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TCW Total Return Bond Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Asset-Backed Securities | 5.6 | % | ||
Commercial Mortgage-Backed Securities — Agency | 4.6 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.7 | |||
Residential Mortgage-Backed Securities — Agency | 45.9 | |||
Residential Mortgage-Backed Securities — Non-Agency | 27.4 | |||
U.S. Government Agency Obligations | 0.5 | |||
U.S. Treasury Securities | 24.0 | |||
Money Market Investments | 3.6 | |||
Short-Term Investments | 2.8 | |||
|
| |||
Total | 115.1 | % | ||
|
|
See accompanying notes to financial statements.
77
Table of Contents
Statements of Assets and Liabilities | October 31, 2015 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | TCW Global Bond Fund | ||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||
ASSETS | ||||||||||||
Investments, at Value (2) | $ | 1,904,415 | $ | 2,327 | $ | 16,134 | ||||||
Cash | 3 | — | — | |||||||||
Receivable for Securities Sold | 7,928 | — | 20 | |||||||||
Receivable for When-Issued Securities | 68,464 | — | 392 | |||||||||
Receivable for Fund Shares Sold | 1,318 | — | 19 | |||||||||
Interest Receivable | 5,699 | 7 | 103 | |||||||||
Receivable from Investment Advisor | 2 | 20 | 6 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | — | 4 | |||||||||
Cash Collateral Held for Brokers | — | 397 | 10 | |||||||||
Prepaid Expenses | 48 | 7 | 5 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,987,877 | 2,758 | 16,693 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 2,276 | — | 34 | |||||||||
Payable for Securities Purchased | 105,127 | 20 | 269 | |||||||||
Payable for When-Issued Securities | 226,682 | — | 1,091 | |||||||||
Payable for Fund Shares Redeemed | 1,052 | — | — | |||||||||
Accrued Directors’ Fees and Expenses | 9 | 9 | 9 | |||||||||
Accrued Compliance Expense | 1 | — | (3) | — | ||||||||
Accrued Management Fees | 563 | — | (3) | 7 | ||||||||
Accrued Distribution Fees | 117 | — | (3) | 2 | ||||||||
Open Swap Agreements, at Value | — | 70 | — | |||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | — | 35 | |||||||||
Other Accrued Expenses | 317 | 63 | 10 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 336,144 | 162 | 1,457 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,651,733 | $ | 2,596 | $ | 15,236 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 1,631,137 | $ | 4,209 | $ | 15,320 | ||||||
Accumulated Net Realized Gain (Loss) on Investments, Futures Contracts, | 14,465 | (1,564 | ) | 219 | ||||||||
Unrealized Appreciation (Depreciation) of Investments, Swap Agreements and | 5,496 | (15 | ) | (345 | ) | |||||||
Undistributed (Overdistributed) Net Investment Income | 635 | (34 | ) | 42 | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,651,733 | $ | 2,596 | $ | 15,236 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 1,109,630 | $ | 1,443 | $ | 7,878 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 542,103 | $ | 1,153 | $ | 7,358 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (4) | ||||||||||||
I Class Share | 99,580,649 | 272,291 | 799,523 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 48,737,765 | 217,157 | 746,851 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (5) | ||||||||||||
I Class Share | $ | 11.14 | $ | 5.30 | $ | 9.85 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 11.12 | $ | 5.31 | $ | 9.85 | ||||||
|
|
|
|
|
|
(1) | Consolidated Statement of Asset and Liabilities (See Note 2). |
(2) | The identified cost for the TCW Core Fixed Income Fund, the TCW Enhanced Commodity Strategy Fund and the TCW Global Bond Fund at October 31, 2015 was $1,898,919, $2,272 and $16,447, respectively. |
(3) | Amount rounds to less than $1. |
(4) | The number of authorized shares with a par value of $0.001 per share, for the TCW Core Fixed Income Fund is 1,667,000,000 for each of the I Class and N Class shares, the TCW Enhanced Commodity Strategy Fund and the TCW Global Bond Fund is 2,000,000,000 for each of the I Class and N Class shares. |
(5) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
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Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2015 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||
ASSETS | ||||||||||||
Investments, at Value (1) | $ | 36,652 | $ | 9,600 | $ | 10,083,294 | ||||||
Receivable for Securities Sold | 973 | 6 | — | |||||||||
Receivable for When-Issued Securities | 386 | — | 565,495 | |||||||||
Receivable for Fund Shares Sold | 548 | 1 | 20,039 | |||||||||
Interest Receivable | 329 | 20 | 21,658 | |||||||||
Receivable from Investment Advisor | 11 | 14 | 770 | |||||||||
Open Swap Agreements, at Value | 26 | — | — | |||||||||
Prepaid Expenses | 10 | 10 | 269 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 38,935 | 9,651 | 10,691,525 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 123 | 3 | 16,135 | |||||||||
Payable for Securities Purchased | 691 | — | 188,843 | |||||||||
Payable for When-Issued Securities | 1,357 | — | 1,711,911 | |||||||||
Payable for Fund Shares Redeemed | 8 | — | 8,708 | |||||||||
Accrued Directors’ Fees and Expenses | 9 | 9 | 9 | |||||||||
Accrued Compliance Expense | — | (2) | — | (2) | 10 | |||||||
Accrued Management Fees | 10 | 3 | 3,722 | |||||||||
Accrued Distribution Fees | 2 | — | 506 | |||||||||
Interest Payable on Swap Agreements | 1 | — | — | |||||||||
Other Accrued Expenses | 33 | 22 | 1,536 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 2,234 | 37 | 1,931,380 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 36,701 | $ | 9,614 | $ | 8,760,145 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 38,069 | $ | 17,192 | $ | 8,260,614 | ||||||
Accumulated Net Realized Gain (Loss) on Investments, Futures Contracts and | (1,220 | ) | (7,599 | ) | 61,022 | |||||||
Unrealized Appreciation (Depreciation) of Investments and Swap Agreements | (180 | ) | 28 | 391,808 | ||||||||
Undistributed (Overdistributed) Net Investment Income | 32 | (7 | ) | 46,701 | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 36,701 | $ | 9,614 | $ | 8,760,145 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 20,791 | $ | 9,614 | $ | 6,360,295 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 15,910 | $ | 2,399,850 | ||||||||
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (3) | ||||||||||||
I Class Share | 3,366,522 | 1,106,575 | 618,810,711 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 2,554,939 | 226,339,520 | ||||||||||
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (4) | ||||||||||||
I Class Share | $ | 6.18 | $ | 8.69 | $ | 10.28 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 6.23 | $ | 10.60 | ||||||||
|
|
|
|
(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, 2015 was $36,842, $9,572 and $9,691,486, respectively. |
(2) | Amount rounds to less than $1. |
(3) | The number of authorized shares, with a par value of $0.001 per share, for the TCW High Yield Bond Fund is 1,667,000,000 for each of the I Class and N Class shares, the TCW Short Term Bond Fund is 1,666,000,000 for the I Class shares, and the TCW Total Return Bond Fund is 1,666,000,000 for each of the I Class and N Class shares. |
(4) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
79
Table of Contents
Statements of Operations | Year Ended October 31, 2015 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | TCW Global Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 32,822 | $ | 47 | $ | 460 | ||||||
|
|
|
|
|
| |||||||
Total | 32,822 | 47 | 460 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 6,378 | 17 | 84 | |||||||||
Accounting Services Fees | 152 | 26 | 4 | |||||||||
Administration Fees | 92 | 38 | 2 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 564 | 3 | — | (2) | ||||||||
N Class | 599 | 3 | 1 | |||||||||
Custodian Fees | 81 | 29 | 22 | |||||||||
Professional Fees | 99 | 53 | 38 | |||||||||
Directors’ Fees and Expenses | 26 | 26 | 26 | |||||||||
Registration Fees: | ||||||||||||
I Class | 37 | 17 | 15 | |||||||||
N Class | 25 | 16 | 15 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 1,465 | 3 | 19 | |||||||||
Compliance Expense | 12 | — | (2) | — | (2) | |||||||
Shareholder Reporting Expense | 7 | 1 | 1 | |||||||||
Other | 122 | 7 | 2 | |||||||||
|
|
|
|
|
| |||||||
Total | 9,659 | 239 | 229 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 59 | 118 | 23 | |||||||||
N Class | 13 | 100 | 42 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 9,587 | 21 | 164 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 23,235 | 26 | 296 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 16,915 | (1 | ) | 197 | ||||||||
Foreign Currency | — | — | (153 | ) | ||||||||
Futures Contracts | 19 | — | — | |||||||||
Swap Agreements | — | (810 | ) | — | ||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (23,857 | ) | (23 | ) | (812 | ) | ||||||
Foreign Currency | — | — | 18 | |||||||||
Swap Agreements | — | (79 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Loss on Investments, Futures Contracts, Swap Agreements and Foreign Currency | (6,923 | ) | (913 | ) | (750 | ) | ||||||
|
|
|
|
|
| |||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 16,312 | $ | (887 | ) | $ | (454 | ) | ||||
|
|
|
|
|
|
(1) | Consolidated Statement of Operations (See Note 2). |
(2) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
80
Table of Contents
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2015 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 1,355 | $ | 141 | $ | 258,053 | ||||||
|
|
|
|
|
| |||||||
Total | 1,355 | 141 | 258,053 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 131 | 51 | 43,674 | |||||||||
Accounting Services Fees | 27 | 2 | 825 | |||||||||
Administration Fees | 2 | 1 | 498 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 9 | 10 | 4,125 | |||||||||
N Class | 9 | — | 2,026 | |||||||||
Custodian Fees | 27 | 27 | 194 | |||||||||
Professional Fees | 35 | 85 | 335 | |||||||||
Directors’ Fees and Expenses | 26 | 26 | 26 | |||||||||
Registration Fees: | ||||||||||||
I Class | 19 | 22 | 118 | |||||||||
N Class | 17 | — | 133 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 24 | — | 5,838 | |||||||||
Compliance Expense | — | (1) | — | (1) | 108 | |||||||
Shareholder Reporting Expense | 4 | 1 | 21 | |||||||||
Other | 3 | 4 | 867 | |||||||||
|
|
|
|
|
| |||||||
Total | 333 | 229 | 58,788 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 94 | 165 | 6,971 | |||||||||
N Class | 55 | — | 2,011 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 184 | 64 | 49,806 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 1,171 | 77 | 208,247 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | (489 | ) | (15 | ) | 66,093 | |||||||
Futures Contracts | — | — | 9,873 | |||||||||
Swap Agreements | (6 | ) | — | — | ||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (201 | ) | (20 | ) | (107,859 | ) | ||||||
Futures Contracts | — | — | 1,915 | |||||||||
Swap Agreements | 27 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Loss on Investments, Futures Contracts and Swap Agreements | (669 | ) | (35 | ) | (29,978 | ) | ||||||
|
|
|
|
|
| |||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 502 | $ | 42 | $ | 178,269 | ||||||
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
81
Table of Contents
Statements of Changes in Net Assets
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | |||||||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 23,235 | $ | 20,838 | $ | 26 | $ | 49 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts and Swap Agreements | 16,934 | 9,559 | (811 | ) | (265 | ) | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments and Swap Agreements | (23,857 | ) | 15,013 | (102 | ) | 78 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 16,312 | 45,410 | (887 | ) | (138 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (17,232 | ) | (9,930 | ) | (15 | ) | (30 | ) | ||||||||
N Class | (8,343 | ) | (9,957 | ) | (12 | ) | (23 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (2,547 | ) | — | — | (8 | ) | ||||||||||
N Class | (1,706 | ) | — | — | (7 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (29,828 | ) | (19,887 | ) | (27 | ) | (68 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 472,774 | 44,731 | 18 | 36 | ||||||||||||
N Class | (62,026 | ) | (103,887 | ) | 12 | 28 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 410,748 | (59,156 | ) | 30 | 64 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 397,232 | (33,633 | ) | (884 | ) | (142 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 1,254,501 | 1,288,134 | 3,480 | 3,622 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 1,651,733 | $ | 1,254,501 | $ | 2,596 | $ | 3,480 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | 635 | $ | (211 | ) | $ | (34 | ) | $ | (35 | ) |
(1) | Consolidated Statement of Changes in Net Assets (See Note 2). |
See accompanying notes to financial statements.
82
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Global Bond Fund | TCW High Yield Bond Fund | |||||||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 296 | $ | 344 | $ | 1,171 | $ | 1,538 | ||||||||
Net Realized Gain (Loss) on Investments, Swap Agreements and Foreign Currency Transactions | 44 | (101 | ) | (495 | ) | 448 | ||||||||||
Change in Unrealized Depreciation on Investments, Swap Agreements and Foreign Currency Transactions | (794 | ) | (305 | ) | (174 | ) | (208 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (454 | ) | (62 | ) | 502 | 1,778 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (74 | ) | (102 | ) | (867 | ) | (1,077 | ) | ||||||||
N Class | (69 | ) | (96 | ) | (422 | ) | (531 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (13 | ) | (62 | ) | — | — | ||||||||||
N Class | (12 | ) | (58 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (168 | ) | (318 | ) | (1,289 | ) | (1,608 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 62 | (2,844 | ) | 662 | (5,576 | ) | ||||||||||
N Class | 93 | (3,989 | ) | 3,622 | (2,112 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 155 | (6,833 | ) | 4,284 | (7,688 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (467 | ) | (7,213 | ) | 3,497 | (7,518 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 15,703 | 22,916 | 33,204 | 40,722 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 15,236 | $ | 15,703 | $ | 36,701 | $ | 33,204 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | 42 | $ | 71 | $ | 32 | $ | 36 |
See accompanying notes to financial statements.
83
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Short Term Bond Fund | TCW Total Return Bond Fund | |||||||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 77 | $ | 137 | $ | 208,247 | $ | 198,899 | ||||||||
Net Realized Gain (Loss) on Investments and Futures Contracts | (15 | ) | 28 | 75,966 | 88,840 | |||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts | (20 | ) | (36 | ) | (105,944 | ) | 49,704 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 42 | 129 | 178,269 | 337,443 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (139 | ) | (232 | ) | (135,970 | ) | (140,589 | ) | ||||||||
N Class | — | — | (42,556 | ) | (56,526 | ) | ||||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (25,108 | ) | — | |||||||||||
N Class | — | — | (8,273 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (139 | ) | (232 | ) | (211,907 | ) | (197,115 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (11,369 | ) | 5,981 | 254,924 | 946,073 | |||||||||||
N Class | — | — | 232,273 | (357,669 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (11,369 | ) | 5,981 | 487,197 | 588,404 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (11,466 | ) | 5,878 | 453,559 | 728,732 | |||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 21,080 | 15,202 | 8,306,586 | 7,577,854 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 9,614 | $ | 21,080 | $ | 8,760,145 | $ | 8,306,586 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | (7 | ) | $ | (1 | ) | $ | 46,701 | $ | (1,528 | ) |
See accompanying notes to financial statements.
84
Table of Contents
Notes to Financial Statements
October 31, 2015 |
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), that currently offers 23 no-load mutual funds (each series a “Fund” and collectively the “Funds”). TCW Investment Management Company (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940. Each Fund has distinct investment objectives. The following are the objectives for the 6 Fixed Income Funds that are covered in this report:
TCW Fund | Investment Objective | |
Diversified Fixed Income Funds | ||
TCW Core Fixed Income Fund | Seeks to maximize current income and achieve above average total return consistent with prudent investment management over a full market cycle by investing at least 80% of the value of its net assets in debt securities. | |
TCW High Yield Bond Fund | Seeks to maximize income and achieve above average total return consistent with reasonable risk over a full market cycle by investing at least 80% of the value of its net assets in high yield/below investment grade bonds, commonly known as “junk” bonds. | |
TCW Short Term Bond Fund | Seeks to maximize current income by investing at least 80% of the value of its net assets in a diversified portfolio of debt securities of varying maturities including bonds, notes and other similar fixed income instruments issued by governmental or private sector issuers. | |
TCW Total Return Bond Fund | Seeks to maximize current income and achieve above average total return consistent with prudent investment management over a full market cycle by investing at least 80% of the value of its net assets in debt securities. | |
Non-Diversified Fixed Income Funds | ||
TCW Enhanced Commodity Strategy Fund | Seeks total return which exceeds that of its commodity benchmark by investing in commodity linked derivative instruments backed by a portfolio of fixed income instruments. | |
TCW Global Bond Fund | Seeks total return by investing at least 80% of its net assets in debt securities of government and corporate issuers in at least three countries, and will invest at least 30% of its net assets in securities of issuers located outside the United States. |
85
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies
All Funds, except for the TCW Short Term Bond Fund, offer two classes of shares: I Class and N Class. The TCW Short Term Bond Fund offers only the I Class shares. The classes are substantially the same except that the N Class shares are subject to a distribution fee (see Note 6).
The following is a summary of significant accounting policies, which are in conformity with accounting principles generally accepted in the United States of America and which are consistently followed by the Funds in the preparation of their financial statements.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes. Each Fund is considered an investment company under the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) No. 946, Financial Services — Investment Companies.
Principles of Consolidation: The financial statements of the TCW Enhanced Commodity Strategy Fund (“Parent”) are consolidated with the TCW Cayman Enhanced Commodity Fund, Ltd (“Subsidiary”), organized under the laws of the Cayman Islands. The Parent gains exposure to the commodity markets, in whole or in part, through investments in the Subsidiary which has the same objective, investment policies and restrictions as the Parent. The accompanying consolidated financial statements include the accounts of the Subsidiary. The Parent may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at October 31, 2015, were $489,452 or 18.86% of the Parent’s consolidated net assets. Intercompany balances and transactions have been eliminated in consolidation.
Net Asset Value: The net asset value per share (“NAV”) of each class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that class on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market are valued using official closing prices as reported by NASDAQ. All other securities including short-term securities for which over-the-counter (“OTC”) market quotations are readily available are valued with prices furnished by independent pricing services or by broker dealers.
Securities for which market quotations are not readily available, including circumstances under which it is determined by the Advisor that prices received are not reflective of a security’s market value, are valued by the Advisor in good faith under procedures established by and under the general supervision of Company’s Board of Directors.
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TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
Fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under the accounting principles generally accepted in the United States of America (“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 methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Fair Value Measurements: A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy; otherwise they would be categorized in Level 3.
Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable and are obtained from independent sources. Bank loans are generally categorized in Level 2 of the fair value hierarchy.
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
Credit default swaps. Credit default swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise, the fair values would be categorized in Level 3.
Exchange-traded funds. Exchange-traded funds are generally valued based on quoted prices from the applicable exchange. They are categorized in Level 1 of the fair value hierarchy.
Foreign currency contracts. The fair value of foreign currency contracts is derived from indices, reference rates, and other inputs or a combination of these factors. To the extent that these factors can be observed, foreign currency contracts are categorized in Level 2 of the fair value hierarchy.
Money market funds. Money market funds are open-ended mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported net asset value, they are categorized in level 1 of the fair value hierarchy.
Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid wants lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized in Level 2; otherwise the fair values would be categorized in Level 3.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, issued by non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
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TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
Short-term investments. Short-term investments are valued using market price quotations, and are reflected in Level 2 of the fair value hierarchy.
Total return swaps. Total return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
U.S. and foreign government and agency securities. Government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, government and agency securities are normally categorized in Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
The following is a summary of the inputs used as of October 31, 2015, in valuing the Funds:
TCW Core Fixed Income Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Corporate Bonds* | $ | — | $ | 316,609,004 | $ | — | $ | 316,609,004 | ||||||||
Municipal Bonds | — | 11,072,377 | — | 11,072,377 | ||||||||||||
Foreign Government Bonds | — | 208,933 | — | 208,933 | ||||||||||||
Asset-Backed Securities | — | 147,907,527 | — | 147,907,527 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 65,996,955 | — | 65,996,955 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 56,000,558 | — | 56,000,558 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 395,192,289 | — | 395,192,289 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 138,575,630 | — | 138,575,630 | ||||||||||||
U.S. Government Agency Obligations | — | 20,235,316 | — | 20,235,316 | ||||||||||||
U.S. Treasury Securities | 319,436,694 | 185,889,920 | — | 505,326,614 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 319,436,694 | 1,337,688,509 | — | 1,657,125,203 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 223,109,687 | — | — | 223,109,687 | ||||||||||||
Short-Term Investments | — | 24,179,782 | — | 24,179,782 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 542,546,381 | $ | 1,361,868,291 | $ | — | $ | 1,904,414,672 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Enhanced Commodity Strategy Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 30,591 | $ | — | $ | 30,591 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 19,706 | — | 19,706 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 19,160 | — | 19,160 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 64,502 | — | 64,502 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 420,705 | — | 420,705 | ||||||||||||
Corporate Bonds* | — | 567,926 | — | 567,926 | ||||||||||||
U.S. Government Agency Obligations | — | 114,989 | — | 114,989 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 1,237,579 | — | 1,237,579 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 149,209 | — | — | 149,209 | ||||||||||||
Short-Term Investments | 709,878 | 229,980 | — | 939,858 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 859,087 | $ | 1,467,559 | $ | — | $ | 2,326,646 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Commodity Risk | $ | — | $ | (69,738 | ) | $ | — | $ | (69,738 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | �� | $ | (69,738 | ) | $ | — | $ | (69,738 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
TCW Global Bond Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Corporate Bonds* | $ | — | $ | 2,917,464 | $ | — | $ | 2,917,464 | ||||||||
Foreign Government Bonds | — | 5,296,617 | — | 5,296,617 | ||||||||||||
Asset-Backed Securities | — | 802,546 | — | 802,546 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 410,602 | — | 410,602 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 218,987 | 11,755 | 230,742 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 1,961,588 | — | 1,961,588 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 603,869 | 186,768 | 790,637 | ||||||||||||
U.S. Government Agency Obligations | — | 240,096 | — | 240,096 | ||||||||||||
U.S. Treasury Securities | 1,422,035 | 243,230 | — | 1,665,265 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 1,422,035 | 12,694,999 | 198,523 | 14,315,557 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 1,208,941 | — | — | 1,208,941 | ||||||||||||
Short-Term Investments | 609,884 | — | — | 609,884 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 3,240,860 | 12,694,999 | 198,523 | 16,134,382 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 3,918 | — | 3,918 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,240,860 | $ | 12,698,917 | $ | 198,523 | $ | 16,138,300 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (35,407 | ) | $ | — | $ | (35,407 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (35,407 | ) | $ | — | $ | (35,407 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
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TCW Funds, Inc.
October 31, 2015
TCW High Yield Bond Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Bank Loans* | $ | — | $ | 1,517,924 | $ | 126,702 | $ | 1,644,626 | ||||||||
Corporate Bonds* | — | 23,335,574 | 59,438 | 23,395,012 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 59,817 | — | 59,817 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 24,913,315 | 186,140 | 25,099,455 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Exchange-Traded Funds | 1,497,475 | — | — | 1,497,475 | ||||||||||||
Money Market Investments | 682,808 | — | — | 682,808 | ||||||||||||
Short-Term Investments | 9,372,150 | — | — | 9,372,150 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 11,552,433 | 24,913,315 | 186,140 | 36,651,888 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | 26,387 | — | 26,387 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 11,552,433 | $ | 24,939,702 | $ | 186,140 | $ | 36,678,275 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
TCW Short Term Bond Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Commercial Mortgage-Backed Securities — Agency | $ | — | $ | 336,627 | $ | — | $ | 336,627 | ||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 336,157 | — | 336,157 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 2,754,277 | — | 2,754,277 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 259,498 | — | 259,498 | ||||||||||||
Corporate Bonds* | — | 2,417,814 | — | 2,417,814 | ||||||||||||
U.S. Government Agency Obligations | — | 409,927 | — | 409,927 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 6,514,300 | — | 6,514,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 696,073 | — | — | 696,073 | ||||||||||||
Short-Term Investments | 1,204,690 | 1,184,757 | — | 2,389,447 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,900,763 | $ | 7,699,057 | $ | — | $ | 9,599,820 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
91
Note 2 — Significant Accounting Policies (Continued)
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Total Return Bond Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Asset-Backed Securities | $ | — | $ | 491,509,328 | $ | — | $ | 491,509,328 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 402,835,369 | — | 402,835,369 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 59,393,456 | — | 59,393,456 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 4,018,453,721 | — | 4,018,453,721 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 2,388,977,675 | 10,674,961 | 2,399,652,636 | ||||||||||||
U.S. Government Agency Obligation | — | 44,335,687 | — | 44,335,687 | ||||||||||||
U.S. Treasury Securities | 1,917,972,305 | 188,155,786 | — | 2,106,128,091 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | 1,917,972,305 | 7,593,661,022 | 10,674,961 | 9,522,308,288 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 320,579,118 | — | — | 320,579,118 | ||||||||||||
Short-Term Investments* | — | 240,406,675 | — | 240,406,675 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,238,551,423 | $ | 7,834,067,697 | $ | 10,674,961 | $ | 10,083,294,081 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
The TCW Core Fixed Income Fund had transfers of $36,415,032 from level 1 to level 2 of the fair value hierarchy during the year ended October 31, 2015. These securities transferred to level 2 since the prices are based on similar securities in the market. The other Funds did not have any transfers in and out of Level 1 and Level 2 of the fair value hierarchy during the year ended October 31, 2015.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
TCW Global Bond Fund | TCW High Yield Bond Fund | TCW Total Return Bond Fund | ||||||||||
Balance as of October 31, 2014 | $ | — | $ | — | $ | 12,420,671 | ||||||
Accrued Discounts (Premiums) | 7,276 | — | (1,574,215 | ) | ||||||||
Realized Gain (Loss) | — | 2,152 | — | |||||||||
Change in Unrealized Appreciation | (65,273 | ) | (40,430 | ) | (194,988 | ) | ||||||
Purchases | 21,491 | 493,758 | — | |||||||||
Sales | — | (341,528 | ) | (1,594 | ) | |||||||
Transfers in to Level 3 (1) | 235,029 | 72,188 | 25,087 | |||||||||
Transfers out of Level 3 (1) | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Balance as of October 31, 2015 | $ | 198,523 | $ | 186,140 | $ | 10,674,961 | ||||||
|
|
|
|
|
| |||||||
Change in Unrealized Appreciation from Investments Still | $ | (65,273 | ) | $ | (40,430 | ) | $ | (194,988 | ) | |||
|
|
|
|
|
|
(1) | The Funds recognize transfers in and out at the beginning of the period. |
92
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
Significant unobservable valuations inputs for Level 3 investments as of October 31, 2015 are as follows:
Description | Fair Value at 10/31/15 | Valuation Techniques* | Unobservable Input | Range | ||||||||||
TCW Global Bond Fund | ||||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | $ | 11,755 | Third-party Vendor | Vendor Prices | $ | 0.16–$0.44 | ||||||||
Residential Mortgage-Backed Securities — Non-Agency | $ | 186,768 | Third-party Vendor | Vendor Prices | $14.92 | |||||||||
TCW High Yield Bond Fund | ||||||||||||||
Bank Loans | $ | 126,702 | Third-party Vendor | Vendor Prices | $81.25 | |||||||||
Corporate Bonds | $ | 59,438 | Third-party Vendor | Vendor Prices | $79.25 | |||||||||
TCW Total Return Bond Fund | ||||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | $ | 19,459 | Third-party Vendor | Vendor Prices | $24.07 | |||||||||
Residential Mortgage-Backed Securities — Non-Agency (Interest Only, Collateral Strip Rate Securities) | $ | 10,655,502 | Third-party Vendor | Vendor Prices | $ | 0.73–$3.17 |
* | The valuation technique employed on the Level 3 securities involves the use of vendor prices. The Advisor monitors the effectiveness of vendor pricing using the valuation process described below. |
Level 3 Valuation Process: Investments classified within Level 3 of the fair value hierarchy may be fair valued by the Advisor with consent by the Company’s Pricing Committee in accordance with the guidelines established by the Board of Directors, and under the general oversight of the Board of Directors. The Company’s Pricing Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Company’s Pricing Committee reports to the Board of Directors at their regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Company’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment. The Advisor, as part of the daily process, conducts back-testing of prices based on daily trade activities.
The Pricing Committee consists of the Funds’ President, General Counsel, Chief Compliance Officer, Treasurer, Assistant Treasurer, Secretary, and a representative from the portfolio management team as well as alternate members as the Board of Directors may from time to time designate. The Pricing Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Funds’ pricing procedures in general.
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency denominated securities and other assets and liabilities stated in foreign currencies are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are included in, or are a reduction of, ordinary income for federal income tax purposes.
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Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Foreign Taxes: The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.
Derivative Instruments: Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. A derivative contract may result in a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Funds may not be able to close out a derivative transaction at a favorable time or price.
For the year ended October 31, 2015, the Funds had the following derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Notional Amounts or hares/Units):
Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain on | ||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | 19 | $ | 19 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain | $ | — | $ | — | $ | 19 | $ | 19 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts (2) | ||||||||||||||||
Futures Contracts | — | — | 100 | 100 | ||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||
Liabilities Derivatives | ||||||||||||||||
Open Swap Agreements, at Value | $ | (70 | ) | $ | — | $ | — | $ | (70 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | (70 | ) | $ | — | $ | — | $ | (70 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Loss on | ||||||||||||||||
Swap Agreements | $ | (810 | ) | $ | — | $ | — | $ | (810 | ) | ||||||
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|
|
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|
| |||||||||
Total Realized Loss | $ | (810 | ) | $ | — | $ | — | $ | (810 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Change in Unrealized Appreciation on: | ||||||||||||||||
Swap Agreements | $ | (79 | ) | $ | — | $ | — | $ | (79 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Unrealized Depreciation | $ | (79 | ) | $ | — | $ | — | $ | (79 | ) | ||||||
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| |||||||||
Notional Amounts (2) | ||||||||||||||||
Swap Agreements | $ | 2,970,762 | $ | — | $ | — | $ | 2,970,762 | ||||||||
TCW Global Bond Fund | ||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 4 | $ | — | $ | 4 | ||||||||
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| |||||||||
Total Value | $ | — | $ | 4 | $ | — | $ | 4 | ||||||||
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| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | (35 | ) | $ | — | $ | (35 | ) | ||||||
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| |||||||||
Total Value | $ | — | $ | (35 | ) | $ | — | $ | (35 | ) | ||||||
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| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Loss on | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | (149 | ) | $ | — | $ | (149 | ) | ||||||
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|
|
|
|
|
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| |||||||||
Total Realized Loss | $ | — | $ | (149 | ) | $ | — | $ | (149 | ) | ||||||
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Note 2 — Significant Accounting Policies (Continued)
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW Global Bond Fund (Continued) | ||||||||||||||||
Statement of Operations: | ||||||||||||||||
Change in Unrealized Appreciation on: | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 16 | $ | — | $ | 16 | ||||||||
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|
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| |||||||||
Total Change in Unrealized Appreciation | $ | — | $ | 16 | $ | — | $ | 16 | ||||||||
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| |||||||||
Notional Amounts (2) | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 2,136,049 | $ | — | $ | 2,136,049 | ||||||||
TCW High Yield Bond Fund | ||||||||||||||||
Statements of Asset and Liabilities: | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Open Swap Agreements, at Value | $ | 26 | $ | — | $ | — | $ | 26 | ||||||||
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| |||||||||
Total Value | $ | 26 | $ | — | $ | — | $ | 26 | ||||||||
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Statement of Operations: | ||||||||||||||||
Realized Loss on | ||||||||||||||||
Investments (1) | — | — | (10 | ) | (10 | ) | ||||||||||
Swap Agreements | $ | (6 | ) | $ | — | $ | — | $ | (6 | ) | ||||||
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| |||||||||
Total Realized Loss | $ | (6 | ) | $ | — | $ | (10 | ) | $ | (16 | ) | |||||
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| |||||||||
Change in Unrealized Appreciation on: | ||||||||||||||||
Swap Agreements | $ | 27 | $ | — | $ | — | $ | 27 | ||||||||
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|
|
|
|
|
| |||||||||
Total Change in Unrealized Appreciation | $ | 27 | $ | — | $ | — | $ | 27 | ||||||||
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|
|
|
|
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| |||||||||
Notional Amounts or Shares/Units (2) | ||||||||||||||||
Purchased Options | — | — | 1,000,000 | 1,000,000 | ||||||||||||
Swap Agreements | $ | 725,000 | $ | — | $ | — | $ | 725,000 | ||||||||
TCW Total Return Bond Fund | ||||||||||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain on | ||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | 9,873 | $ | 9,873 | ||||||||
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| |||||||||
Total Realized Gain | $ | — | $ | — | $ | 9,873 | $ | 9,873 | ||||||||
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| |||||||||
Statement of Operations: | ||||||||||||||||
Change in Unrealized Appreciation on: | ||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | 1,915 | $ | 1,915 | ||||||||
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| |||||||||
Total Change in Unrealized Appreciation | $ | — | $ | — | $ | 1,915 | $ | 1,915 | ||||||||
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| |||||||||
Number of Contracts (2) | ||||||||||||||||
Futures Contracts | — | — | 8,769 | 8,769 |
(1) | Represents realized loss for purchased swaptions. |
(2) | Amount disclosed represents average number of contracts or notional amounts, which is representative of the volume traded for the year ended October 31, 2015. |
Counterparty Credit Risk: Derivative contracts may be exposed to counterparty risk. Losses can occur if the counterparty does not perform under the contract.
The Funds’ risk of loss from counterparty credit risk on 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
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Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
(including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds. In order to better define its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets declines by a stated percentage or a Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral pledged or received by a Fund.
Cash collateral that has been pledged to cover obligations of a Fund is reported separately on the Statement of Assets and Liabilities. Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold typically $250,000 or $500,000, before a transfer is required, which is determined at the close of each business day and the collateral is transferred on the next business day. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that the Advisor believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to FASB ASU No. 2013-01, Disclosures about Offsetting Assets and Liabilities, that requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards.
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October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
The following table presents the Funds’ OTC derivatives assets and liabilities by counterparty net of amounts available for offset under an ISDA Master agreement or Master Repurchase Agreement and net of the related collateral received by the Funds as of October 31, 2015 (in thousands):
TCW Enhanced Commodity Strategy Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Citigroup Global Markets, Inc. (Derivatives) | $ | — | $ | (28 | ) | $ | (28 | ) | $ | 28 | (2) | $ | — | |||||||
Credit Suisse First Boston Corp. (Derivatives) | — | (42 | ) | (42 | ) | 42 | (2) | — | ||||||||||||
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| |||||||||||
Total | $ | — | $ | (70 | ) | $ | (70 | ) | $ | 70 | $ | — | ||||||||
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|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Amount does not include excess collateral pledged or received. |
TCW Global Bond Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Barclays Capital (Derivatives) | $ | 4 | $ | (35 | ) | $ | (31 | ) | $ | — | $ | (31 | ) | |||||||
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Total | $ | 4 | $ | (35 | ) | $ | (31 | ) | $ | — | $ | (31 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
TCW High Yield Bond Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Credit Suisse International (Derivatives) | $ | 8 | $ | — | $ | 8 | $ | — | $ | 8 | ||||||||||
Goldman Sachs International (Derivatives) | 18 | — | 18 | — | 18 | |||||||||||||||
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| |||||||||||
Total | $ | 26 | $ | — | $ | 26 | $ | — | $ | 26 | ||||||||||
|
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|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
Forward Foreign Currency Contracts: The Funds may enter into forward foreign currency contracts as a hedge against fluctuations in foreign exchange rates. Forward foreign currency contracts are marked to market daily and the change in market value is recorded by the Funds as 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, 2015 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 when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a
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Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk. Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by a Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of a Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it.
When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The TCW Core Fixed Income Fund and the TCW Total Return Bond Fund utilized futures during the fiscal year to help manage interest rate duration of the Funds. There are no futures contracts outstanding at October 31, 2015.
Swap Agreements. The Funds may enter into swap agreements. Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so called market access transactions).
Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. A Fund’s maximum risk of loss from
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October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
counterparty default is the discounted net asset value of the cash flows paid to the counterparty over the interest rate swap’s remaining life.
A Fund may enter into credit default swap transactions as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds (or other obligations of the reference entity with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. A Fund also takes the risk that the market will move against its position in the swap agreement. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. When a Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
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, 2015, the TCW High Yield Bond Fund utilized credit default swaps to manage credit market exposure; and the TCW Enhanced Commodity Strategy Fund used total return swap agreements to gain exposure to the commodity market.
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Options: The Funds may purchase and sell put and call options on an index of securities to enhance investment performance and to protect against changes in market prices. The Funds may also enter into currency options to hedge against currency fluctuations.
A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If a Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund ultimately wants to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit a Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace the expiring series, and opening transactions in existing series may be prohibited.
The Funds may purchase or write (sell) put and call swaptions. Swaption contracts give the purchaser the right (or option), but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a
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October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. During the year ended October 31, 2015, the TCW High Yield Bond Fund had purchased swaptions to manage credit market exposure and duration.
Mortgage-Backed Securities: The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates. These Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Ginnie Mae, Freddie Mac or Fannie Mae. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit (“REMIC”). CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments. These Funds may invest in stripped mortgage-backed securities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs.
Inflation-Indexed Bonds: The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income.
Inflation-indexed securities issued by the U.S. Treasury have maturities of five, ten, twenty, or thirty years, although it is possible that securities with other maturities will be issued in the future. The U.S. Treasury securities pay interest on a semi-annual basis, equal to a fixed percentage of the inflation-adjusted principal amount.
If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar
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Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if inflation were to rise at a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds.
While the values of these securities are expected to be protected from long-term inflationary trends, short term increases in inflation may lead to declines in values. If interest rates rise due to reasons other than inflation (for example, due to changes in currency exchange rates), investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.
When-Issued, Delayed-Delivery, To be Announced (“TBA”) and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, TBA or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of the Funds’ existing portfolios. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, TBA or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate, with market. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, TBA or forward commitment securities until the delivery date, they may result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. To guard against the deemed leverage, the Fund monitors the obligations under these transactions 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 mortgage-backed securities market. A dollar roll transaction involves a simultaneous sale of securities by a Fund with an agreement to repurchase substantially similar securities at an agreed upon price and date, but generally will be collateralized at time of delivery by different pools of mortgages with different prepayment histories than those securities sold. These transactions are accounted for as financing transactions as opposed to sales and purchases. The differential between the sale price and the repurchase price is recorded as deferred income and recognized between the settlement dates of the sale and repurchase. During the period between the sale and repurchase, a Fund will not be entitled to receive interest and principal payments on the securities sold. Dollar roll transactions involve risk that the market value of the security sold by a Fund may decline below the repurchase price of the security and the potential inability of counter parties to complete the transaction. There were no such transactions by the Funds for the year ended October 31, 2015.
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October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of a Master Repurchase Agreement (“MRA”). The MRA permits a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives securities as collateral with a market value in excess of the repurchase price to be received by the Funds upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund recognizes a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty. There were no repurchase agreements outstanding as of October 31, 2015.
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, 2015.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. Government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the year ended October 31, 2015.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the classes of shares of a Fund based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of that class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class specific fees and expenses will result in differences in net investment income, and in turn differences in dividends paid by each class.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Enhanced Commodity Strategy Fund declares and pays, or reinvests, dividends from net investment income quarterly. The other Fixed Income Funds declare and pay, or reinvest, dividends from net investment income monthly. Distribution of any net long-term and net short-term capital gains earned by a Fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for foreign currency transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to fund shareholders. Permanent book and tax basis differences relating to
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Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax basis differences which will reverse in subsequent periods. Any taxable income or capital gain remaining at fiscal year-end is distributed in the following year.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Note 3 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment portfolio, the greater the change in value.
Mortgage-Backed and Other Asset-Backed Securities Risk: Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgage-backed or other asset-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage related-securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If unanticipated rate of prepayment on underlying mortgages increase the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategies, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.
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October 31, 2015 |
Note 3 — Risk Considerations (Continued)
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which a Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline. Certain Funds invest a material portion of their assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.
Mortgage-backed securities (“MBS”) and Asset-backed securities (“ABS”) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets, (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.) In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity takeout), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The exposure to credit and counterparty risks with respect to these financial assets is reflected in fair value recorded in the Funds’ Statements of Assets and Liabilities.
For complete information on the various risks involved, please refer to the Funds’ prospectus and the Statement of Additional Information which can be obtained on the Funds’ website (www.tcw.com) or by calling the customer service.
Note 4 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
For the years ended October 31, 2015 and 2014, the Funds below realized on a tax basis, the following net realized loss on security transactions (amounts in thousands).
Net Realized Loss | ||||||||
2015 | 2014 | |||||||
TCW Enhanced Commodity Strategy Fund | $ | — | (1) | $ | — | |||
TCW High Yield Bond Fund | 586 | — | ||||||
TCW Short Term Bond Fund | 99 | 36 |
(1) | Amount rounds to less than $1. |
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Notes to Financial Statements (Continued)
Note 4 — Federal Income Taxes (Continued)
At October 31, 2015, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Core Fixed Income Fund | $ | 18,009 | $ | 1,054 | $ | 19,063 | ||||||
TCW Enhanced Commodity Strategy Fund | 4 | — | 4 | |||||||||
TCW Global Bond Fund | 67 | 146 | 213 | |||||||||
TCW High Yield Bond Fund | 167 | — | 167 | |||||||||
TCW Total Return Bond | 66,932 | 23,089 | 90,021 |
At the end of the previous fiscal year ended October 31, 2014, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Core Fixed Income Fund | $ | 9,424 | $ | 612 | $ | 10,036 | ||||||
TCW Enhanced Commodity Strategy Fund | — | 2 | 2 | |||||||||
TCW Global Bond Fund | — | 25 | 25 | |||||||||
TCW High Yield Bond Fund | 131 | — | 131 | |||||||||
TCW Short Term Bond Fund | 29 | — | 29 | |||||||||
TCW Total Return Bond | 29,550 | 25,786 | 55,336 |
Permanent differences incurred during the year ended October 31, 2015 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 (amounts in thousands):
Undistributed Net Income Income (Loss) | Undistributed Accumulated Net Realized Gain (Loss) | Paid-in Capital | ||||||||||
TCW Core Fixed Income Fund | $ | 3,186 | $ | (5,963 | ) | $ | 2,777 | |||||
TCW Enhanced Commodity Strategy Fund | 2 | (2 | ) | — | ||||||||
TCW Global Bond Fund | (182 | ) | 182 | — | ||||||||
TCW High Yield Bond Fund | 114 | (114 | ) | — | ||||||||
TCW Short Term Bond Fund | 56 | (53 | ) | (3 | ) | |||||||
TCW Total Return Bond | 18,508 | (36,914 | ) | 18,406 |
During the year ended October 31, 2015, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Core Fixed Income Fund | $ | 29,209 | $ | 619 | $ | 29,828 | ||||||
TCW Enhanced Commodity Strategy Fund | 27 | — | 27 | |||||||||
TCW Global Bond Fund | 142 | 26 | 168 | |||||||||
TCW High Yield Bond Fund | 1,289 | — | 1,289 | |||||||||
TCW Short Term Bond Fund | 139 | — | 139 | |||||||||
TCW Total Return Bond | 186,037 | 25,870 | 211,907 |
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October 31, 2015 |
Note 4 — Federal Income Taxes (Continued)
During the previous fiscal year ended October 31, 2014, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Core Fixed Income Fund | $ | 19,887 | $ | — | $ | 19,887 | ||||||
TCW Enhanced Commodity Strategy Fund | 47 | 21 | 68 | |||||||||
TCW Global Bond Fund | 1 | 317 | 318 | |||||||||
TCW High Yield Bond Fund | 1,608 | — | 1,608 | |||||||||
TCW Short Term Bond Fund | 232 | — | 232 | |||||||||
TCW Total Return Bond | 197,115 | — | 197,115 |
At October 31, 2015, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows (amounts in thousands):
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Core Fixed Income Fund | $ | 19,900 | $ | (16,087 | ) | $ | 3,813 | $ | 1,900,602 | |||||||
TCW Enhanced Commodity Strategy Fund | 38 | (4 | ) | 34 | 2,293 | |||||||||||
TCW Global Bond Fund | 500 | (766 | ) | (266 | ) | 16,400 | ||||||||||
TCW High Yield Bond Fund | 473 | (570 | ) | (97 | ) | 36,749 | ||||||||||
TCW Short Term Bond Fund | 47 | (64 | ) | (17 | ) | 9,617 | ||||||||||
TCW Total Return Bond Fund | 468,095 | (42,450 | ) | 425,645 | 9,657,649 |
At October 31, 2015, the following Fund had net realized loss carryforwards for federal income tax purposes which were incurred prior to December 22, 2010 (amounts in thousands):
Expiring In | ||||||||||||
2016 | 2018 | 2019 | ||||||||||
TCW Short Term Bond Fund | $ | 230 | $ | 7,023 | $ | 111 |
Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in the pre-enactment taxable years. As a result of the ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
Therefore, in addition to the above table, the following Funds had net realized losses that will be carried forward indefinitely for federal income tax purposes (amounts in thousands):
Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Enhanced Commodity Strategy Fund | $ | — | $ | — | (1) | $ | — | (1) | ||||
TCW High Yield Bond Fund | 1,089 | 225 | 1,314 | |||||||||
TCW Short Term Bond Fund | 89 | 104 | 193 |
(1) | Amount rounds to less than $1. |
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Notes to Financial Statements (Continued)
Note 4 — Federal Income Taxes (Continued)
The Funds did not have any unrecognized tax benefits at October 31, 2015, nor were there any increases or decreases in unrecognized tax benefits for the six months ended October 31, 2015. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
Note 5 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net asset value:
TCW Core Fixed Income Fund | 0.40 | % | ||
TCW Enhanced Commodity Strategy Fund | 0.50 | % | ||
TCW Global Bond Fund | 0.55 | % | ||
TCW High Yield Bond Fund | 0.45 | % | ||
TCW Short Term Bond Fund | 0.35 | % | ||
TCW Total Return Bond Fund | 0.50 | % |
In addition to the management fees, the Funds reimburse, with approval by the Company’s Board of Directors, a portion of the Advisor’s costs associated with operating the Funds’ Rule 38a-1 compliance obligations. These amounts are allocated to each Fund based on management fees paid and are included in the Statements of Operations.
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets. Limitation is set to the lower of average expense ratio as reported by Lipper, Inc. (which is subject to change on a monthly basis) or the expense limitation agreement between the Advisor and Company.
TCW Core Fixed Income Fund | ||||
I Class | 0.49 | % (1) | ||
N Class | 0.79 | % (2) | ||
TCW Enhanced Commodity Strategy Fund | ||||
I Class | 0.70 | % (1) | ||
N Class | 0.75 | % (1) | ||
TCW Global Bond Fund | ||||
I Class | 1.08 | % (2) | ||
N Class | 1.08 | % (2) | ||
TCW High Yield Bond Fund | ||||
I Class | 0.55 | % (1) | ||
N Class | 0.80 | % (1) | ||
TCW Short Term Bond Fund | ||||
I Class | 0.44 | % (1) | ||
TCW Total Return Bond Fund | ||||
I Class | 0.49 | % (1) | ||
N Class | 0.79 | % (1) |
(1) | These limitations are based on an agreement between the Advisor and Company. |
(2) | Limitation based on average expense ratio as reported by Lipper, Inc. |
The amount borne by the Advisor during the fiscal year when the operating expenses of a Fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop below the expense limitation in the subsequent years. The Advisor can recapture expenses only within a given fiscal year for that year’s operating expenses.
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which are shown on the Statement of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Deferred compensation is included within directors’ fees and expenses in the Statements of Assets and Liabilities.
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Note 6 — Distribution Plan
TCW Funds Distributors (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 7 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the year ended October 31, 2015, were as follows (amounts in thousands):
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Core Fixed Income Fund | $ | 371,395 | $ | 217,463 | $ | 5,314,660 | $ | 5,060,138 | ||||||||
TCW Enhanced Commodity Strategy Fund | 31 | 389 | 115 | 36 | ||||||||||||
TCW Global Bond Fund | 4,469 | 3,481 | 18,644 | 17,932 | ||||||||||||
TCW High Yield Bond Fund | 51,200 | 52,551 | — | — | ||||||||||||
TCW Short Term Bond Fund | 225 | 6,890 | 750 | 3,974 | ||||||||||||
TCW Total Return Bond Fund | 558,623 | 879,297 | 25,219,152 | 24,340,020 |
Note 8 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Core Fixed Income Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 60,112,141 | $ | 676,421 | 33,896,593 | $ | 376,655 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,612,372 | 18,111 | 792,969 | 8,785 | ||||||||||||
Shares Redeemed | (19,758,909 | ) | (221,758 | ) | (30,829,103 | ) | (340,709 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 41,965,604 | $ | 472,774 | 3,860,459 | $ | 44,731 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 9,500,132 | $ | 106,708 | 12,036,222 | $ | 132,668 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 724,638 | 8,131 | 736,566 | 8,146 | ||||||||||||
Shares Redeemed | (15,762,483 | ) | (176,865 | ) | (22,160,767 | ) | (244,701 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (5,537,713 | ) | $ | (62,026 | ) | (9,387,979 | ) | $ | (103,887 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Enhanced Commodity Strategy Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 397 | $ | 2 | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,590 | 16 | 4,675 | 36 | ||||||||||||
Shares Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,987 | $ | 18 | 4,675 | $ | 36 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 692 | $ | 6 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,995 | 12 | 3,637 | 28 | ||||||||||||
Shares Redeemed | — | — | (692 | ) | (6 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 1,995 | $ | 12 | 3,637 | $ | 28 | ||||||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements (Continued)
Note 8 — Capital Share Transactions (Continued)
TCW Global Bond Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 793 | $ | 8 | 3,706 | $ | 38 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,806 | 69 | 14,821 | 152 | ||||||||||||
Shares Redeemed | (1,496 | ) | (15 | ) | (294,020 | ) | (3,034 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 6,103 | $ | 62 | (275,493 | ) | $ | (2,844 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,420 | $ | 34 | 4,583 | $ | 47 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,333 | 64 | 15,014 | 154 | ||||||||||||
Shares Redeemed | (485 | ) | (5 | ) | (406,026 | ) | (4,190 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 9,268 | $ | 93 | (386,429 | ) | $ | (3,989 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW High Yield Bond Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 5,065,713 | $ | 31,742 | 1,559,647 | $ | 10,022 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 102,211 | 641 | 132,419 | 846 | ||||||||||||
Shares Redeemed | (5,051,287 | ) | (31,721 | ) | (2,568,395 | ) | (16,444 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 116,637 | $ | 662 | (876,329 | ) | $ | (5,576 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 4,744,408 | $ | 29,937 | 4,318,604 | $ | 27,894 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 56,020 | 355 | 77,544 | 499 | ||||||||||||
Shares Redeemed | (4,205,055 | ) | (26,670 | ) | (4,730,653 | ) | (30,505 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 595,373 | $ | 3,622 | (334,505 | ) | $ | (2,112 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Short Term Bond Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 443,509 | $ | 3,863 | 1,693,772 | $ | 14,868 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 14,688 | 128 | 23,590 | 207 | ||||||||||||
Shares Redeemed | (1,760,685 | ) | (15,360 | ) | (1,036,350 | ) | (9,094 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (1,302,488 | ) | $ | (11,369 | ) | 681,012 | $ | 5,981 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Total Return Bond Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 225,857,764 | $ | 2,334,444 | 272,113,412 | $ | 2,778,014 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 10,694,643 | 110,417 | 9,879,731 | 100,459 | ||||||||||||
Shares Redeemed | (211,973,390 | ) | (2,189,937 | ) | (189,753,095 | ) | (1,932,400 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 24,579,017 | $ | 254,924 | 92,240,048 | $ | 946,073 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 84,931,354 | $ | 905,877 | 85,626,790 | $ | 900,384 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 4,340,686 | 46,242 | 5,402,497 | 56,613 | ||||||||||||
Shares Redeemed | (67,581,644 | ) | (719,846 | ) | (124,807,799 | ) | (1,314,666 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 21,690,396 | $ | 232,273 | (33,778,512 | ) | $ | (357,669 | ) | ||||||||
|
|
|
|
|
|
|
|
110
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 9 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities at October 31, 2015 other than those determined to be liquid under the Funds’ policies and procedures.
Note 10 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by any Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act of 1933, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
Note 11 — Recently Issued Accounting Pronouncements
In June 2014, FASB issued Accounting Standards Update No. 2014-11, Transfers & Servicing (Topic 860): “Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures” (“ASU 2014-11”) to improve the financial reporting of repurchase agreements and other similar transactions. ASU 2014-11 includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. ASU 2014-11 is effective for annual reporting periods beginning after December 15, 2014 and interim periods beginning after December 15, 2015. Management is currently evaluating the implications of these changes and their impact on the financial statements.
111
Table of Contents
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 11.22 | $ | 10.97 | $ | 11.34 | $ | 10.90 | $ | 11.01 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.18 | 0.21 | 0.21 | 0.24 | 0.36 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.04 | ) | 0.24 | (0.27 | ) | 0.57 | 0.17 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.14 | 0.45 | (0.06 | ) | 0.81 | 0.53 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.19 | ) | (0.20 | ) | (0.20 | ) | (0.28 | ) | (0.42 | ) | ||||||||||
Distributions from Net Realized Gain | (0.03 | ) | — | (0.11 | ) | (0.09 | ) | (0.22 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.22 | ) | (0.20 | ) | (0.31 | ) | (0.37 | ) | (0.64 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 11.14 | $ | 11.22 | $ | 10.97 | $ | 11.34 | $ | 10.90 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 1.25 | % | 4.14 | % | (0.49 | )% | 7.57 | % | 5.06 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 1,109,630 | $ | 646,372 | $ | 589,911 | $ | 501,448 | $ | 264,366 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.50 | % | 0.49 | % | 0.48 | % | 0.49 | % | 0.55 | % | ||||||||||
After Expense Reimbursement | 0.49 | % | 0.47 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.57 | % | 1.92 | % | 1.89 | % | 2.20 | % | 3.35 | % | ||||||||||
Portfolio Turnover Rate | 332.85 | % | 249.94 | % | 197.42 | % | 213.82 | % | 280.49 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
112
Table of Contents
TCW Core Fixed Income Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 11.20 | $ | 10.97 | $ | 11.34 | $ | 10.91 | $ | 11.03 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.14 | 0.18 | 0.17 | 0.21 | 0.33 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.03 | ) | 0.22 | (0.25 | ) | 0.56 | 0.17 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.11 | 0.40 | (0.08 | ) | 0.77 | 0.50 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.16 | ) | (0.17 | ) | (0.18 | ) | (0.25 | ) | (0.40 | ) | ||||||||||
Distributions from Net Realized Gain | (0.03 | ) | — | (0.11 | ) | (0.09 | ) | (0.22 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.19 | ) | (0.17 | ) | (0.29 | ) | (0.34 | ) | (0.62 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 11.12 | $ | 11.20 | $ | 10.97 | $ | 11.34 | $ | 10.91 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 1.00 | % | 3.68 | % | (0.74 | )% | 7.21 | % | 4.76 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 542,103 | $ | 608,129 | $ | 698,223 | $ | 530,935 | $ | 207,882 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.79 | % | 0.80 | % | 0.77 | % | 0.79 | % | 0.85 | % | ||||||||||
After Expense Reimbursement | 0.79 | % (2) | N/A | 0.77 | % (2) | 0.78 | % | 0.78 | % | |||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.25 | % | 1.59 | % | 1.56 | % | 1.86 | % | 3.00 | % | ||||||||||
Portfolio Turnover Rate | 332.85 | % | 249.94 | % | 197.42 | % | 213.82 | % | 280.49 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Reimbursement is less than 0.01%. |
See accompanying notes to financial statements.
113
Table of Contents
TCW Enhanced Commodity Strategy Fund
Financial Highlights — I Class
Year Ended October 31, | April 1, 2011 (Commencement of Operations) through October 31, 2011 | |||||||||||||||||||
2015 | 2014 | 2013 | 2012 | |||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 7.18 | $ | 7.61 | $ | 8.58 | $ | 8.73 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | 0.05 | 0.10 | 0.16 | 0.16 | 0.08 | |||||||||||||||
Net Realized and Unrealized Loss on Investments | (1.87 | ) | (0.39 | ) | (0.92 | ) | (0.11 | ) | (1.26 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (1.82 | ) | (0.29 | ) | (0.76 | ) | 0.05 | (1.18 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.11 | ) | (0.16 | ) | (0.18 | ) | (0.09 | ) | ||||||||||
Distributions from Net Realized Gain | — | (0.03 | ) | (0.05 | ) | (0.02 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.06 | ) | (0.14 | ) | (0.21 | ) | (0.20 | ) | (0.09 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 5.30 | $ | 7.18 | $ | 7.61 | $ | 8.58 | $ | 8.73 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (25.47 | )% | (3.90 | )% | (9.05 | )% | 0.55 | % | (11.80 | )% (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 1,443 | $ | 1,934 | $ | 2,013 | $ | 2,218 | $ | 2,647 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 7.82 | % | 5.90 | % | 5.67 | % | 5.94 | % | 5.54 | % (3) | ||||||||||
After Expense Reimbursement | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % (3) | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.88 | % | 1.30 | % | 2.01 | % | 1.95 | % | 1.51 | % (3) | ||||||||||
Portfolio Turnover Rate | 10.68 | % | 4.13 | % | 54.20 | % | 9.39 | % | 42.70 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period April 1, 2011 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
114
Table of Contents
TCW Enhanced Commodity Strategy Fund
Financial Highlights — N Class
Year Ended October 31, | April 1, 2011 (Commencement of Operations) through October 31, 2011 | |||||||||||||||||||
2015 | 2014 | 2013 | 2012 | |||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 7.18 | $ | 7.61 | $ | 8.58 | $ | 8.73 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | 0.05 | 0.10 | 0.16 | 0.16 | 0.08 | |||||||||||||||
Net Realized and Unrealized Loss on Investments | (1.86 | ) | (0.39 | ) | (0.92 | ) | (0.11 | ) | (1.26 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (1.81 | ) | (0.29 | ) | (0.76 | ) | 0.05 | (1.18 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.06 | ) | (0.11 | ) | (0.16 | ) | (0.18 | ) | (0.09 | ) | ||||||||||
Distributions from Net Realized Gain | — | (0.03 | ) | (0.05 | ) | (0.02 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.06 | ) | (0.14 | ) | (0.21 | ) | (0.20 | ) | (0.09 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 5.31 | $ | 7.18 | $ | 7.61 | $ | 8.58 | $ | 8.73 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (25.36 | )% | (3.92 | )% | (9.05 | )% | 0.55 | % | (11.80 | )% (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 1,153 | $ | 1,546 | $ | 1,609 | $ | 1,773 | $ | 1,764 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 8.32 | % | 6.45 | % | 6.14 | % | 6.30 | % | 5.95 | % (3) | ||||||||||
After Expense Reimbursement | 0.75 | % | 0.73 | % | 0.70 | % | 0.70 | % | 0.70 | % (3) | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.83 | % | 1.27 | % | 2.01 | % | 1.94 | % | 1.50 | % (3) | ||||||||||
Portfolio Turnover Rate | 10.68 | % | 4.13 | % | 54.20 | % | 9.39 | % | 42.70 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period April 1, 2011 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
115
Table of Contents
TCW Global Bond Fund
Financial Highlights — I Class
Year Ended October 31, | December 1, 2011 (Commencement of Operations) through October 31, 2012 | |||||||||||||||
2015 | 2014 | 2013 | ||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 10.26 | $ | 10.45 | $ | 10.97 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (1) | 0.19 | 0.22 | 0.35 | 0.27 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.49 | ) | (0.20 | ) | (0.40 | ) | 0.99 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | (0.30 | ) | 0.02 | (0.05 | ) | 1.26 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.13 | ) | (0.16 | ) | (0.29 | ) | ||||||||
Distributions from Net Realized Gain | (0.02 | ) | (0.08 | ) | (0.31 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.11 | ) | (0.21 | ) | (0.47 | ) | (0.29 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Year | $ | 9.85 | $ | 10.26 | $ | 10.45 | $ | 10.97 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | (2.96 | )% | 0.21 | % | (0.46 | )% | 12.74 | % (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 7,878 | $ | 8,138 | $ | 11,170 | $ | 11,253 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 1.37 | % | 1.39 | % | 1.38 | % | 1.42 | % (3) | ||||||||
After Expense Reimbursement | 1.08 | % | 1.12 | % | 1.14 | % | 1.15 | % (3) | ||||||||
Ratio of Net Investment Income to Average Net Assets | 1.92 | % | 2.11 | % | 3.31 | % | 2.80 | % (3) | ||||||||
Portfolio Turnover Rate | 147.16 | % | 125.54 | % | 135.67 | % | 165.46 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 1, 2011 (Commencement of Operations) through October 31, 2012 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
116
Table of Contents
TCW Global Bond Fund
Financial Highlights — N Class
Year Ended October 31, | December 1, 2011 (Commencement of Operations) through October 31, 2012 | |||||||||||||||
2015 | 2014 | 2013 | ||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 10.26 | $ | 10.45 | $ | 10.97 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net Investment Income (1) | 0.19 | 0.22 | 0.35 | 0.27 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.49 | ) | (0.20 | ) | (0.40 | ) | 0.99 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | (0.30 | ) | 0.02 | (0.05 | ) | 1.26 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions: | ||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.13 | ) | (0.16 | ) | (0.29 | ) | ||||||||
Distributions from Net Realized Gain | (0.02 | ) | (0.08 | ) | (0.31 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.11 | ) | (0.21 | ) | (0.47 | ) | (0.29 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value per Share, End of Year | $ | 9.85 | $ | 10.26 | $ | 10.45 | $ | 10.97 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | (2.96 | )% | 0.21 | % | (0.46 | )% | 12.74 | % (2) | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 7,358 | $ | 7,565 | $ | 11,746 | $ | 11,602 | ||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||
Before Expense Reimbursement | 1.64 | % | 1.67 | % | 1.62 | % | 1.68 | % (3) | ||||||||
After Expense Reimbursement | 1.08 | % | 1.12 | % | 1.14 | % | 1.15 | % (3) | ||||||||
Ratio of Net Investment Income to Average Net Assets | 1.92 | % | 2.12 | % | 3.30 | % | 2.79 | % (3) | ||||||||
Portfolio Turnover Rate | 147.16 | % | 125.54 | % | 135.67 | % | 165.46 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 1, 2011 (Commencement of Operations) through October 31, 2012 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
117
Table of Contents
TCW High Yield Bond Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 6.35 | $ | 6.33 | $ | 6.30 | $ | 5.99 | $ | 6.45 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.26 | 0.29 | 0.33 | 0.33 | 0.44 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.15 | ) | 0.04 | 0.06 | 0.37 | (0.42 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.11 | 0.33 | 0.39 | 0.70 | 0.02 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.28 | ) | (0.31 | ) | (0.36 | ) | (0.37 | ) | (0.48 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | — | (0.02 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.28 | ) | (0.31 | ) | (0.36 | ) | (0.39 | ) | (0.48 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 6.18 | $ | 6.35 | $ | 6.33 | $ | 6.30 | $ | 5.99 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 1.74 | % | 5.25 | % | 6.44 | % | 12.03 | % | 0.24 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 20,791 | $ | 20,649 | $ | 26,102 | $ | 35,006 | $ | 39,648 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.03 | % | 0.90 | % | 1.00 | % | 1.14 | % | 1.06 | % | ||||||||||
After Expense Reimbursement | 0.55 | % | 0.53 | % | 0.63 | % | N/A | N/A | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.11 | % | 4.60 | % | 5.14 | % | 5.39 | % | 6.93 | % | ||||||||||
Portfolio Turnover Rate | 195.97 | % | 145.14 | % | 114.95 | % | 111.02 | % | 154.82 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
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TCW High Yield Bond Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 6.41 | $ | 6.37 | $ | 6.35 | $ | 6.02 | $ | 6.49 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.25 | 0.28 | 0.32 | 0.33 | 0.45 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.17 | ) | 0.05 | 0.06 | 0.38 | (0.44 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.08 | 0.33 | 0.38 | 0.71 | 0.01 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.26 | ) | (0.29 | ) | (0.36 | ) | (0.36 | ) | (0.48 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | — | (0.02 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.26 | ) | (0.29 | ) | (0.36 | ) | (0.38 | ) | (0.48 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 6.23 | $ | 6.41 | $ | 6.37 | $ | 6.35 | $ | 6.02 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 1.34 | % | 5.24 | % | 6.12 | % | 12.11 | % | 0.04 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 15,910 | $ | 12,555 | $ | 14,620 | $ | 20,498 | $ | 14,507 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.38 | % | 1.39 | % | 1.34 | % | 1.51 | % | 1.38 | % | ||||||||||
After Expense Reimbursement | 0.80 | % | 0.78 | % | 0.83 | % | 1.17 | % | 1.20 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.87 | % | 4.30 | % | 4.96 | % | 5.34 | % | 6.87 | % | ||||||||||
Portfolio Turnover Rate | 195.97 | % | 145.14 | % | 114.95 | % | 111.02 | % | 154.82 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
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TCW Short Term Bond Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 8.75 | $ | 8.80 | $ | 8.85 | $ | 8.77 | $ | 8.94 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.05 | 0.06 | 0.09 | 0.11 | 0.17 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.03 | ) | 0.00 | (2) | (0.03 | ) | 0.13 | (0.09 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.02 | 0.06 | 0.06 | 0.24 | 0.08 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.08 | ) | (0.11 | ) | (0.11 | ) | (0.15 | ) | (0.25 | ) | ||||||||||
Distributions from Return of Capital | — | — | — | (0.01 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.08 | ) | (0.11 | ) | (0.11 | ) | (0.16 | ) | (0.25 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 8.69 | $ | 8.75 | $ | 8.80 | $ | 8.85 | $ | 8.77 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 0.25 | % | 0.65 | % | 0.67 | % | 2.74 | % | 0.84 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 9,614 | $ | 21,080 | $ | 15,202 | $ | 12,814 | $ | 6,874 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.57 | % | 1.23 | % | 1.33 | % | 1.63 | % | 0.84 | % | ||||||||||
After Expense Reimbursement | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.53 | % | 0.70 | % | 1.01 | % | 1.21 | % | 1.96 | % | ||||||||||
Portfolio Turnover Rate | 8.51 | % | 67.27 | % | 71.48 | % | 81.91 | % | 57.84 | % |
(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.
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TCW Total Return Bond Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 10.31 | $ | 10.13 | $ | 10.27 | $ | 9.76 | $ | 10.37 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.25 | 0.27 | 0.27 | 0.52 | 0.65 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.02 | ) | 0.18 | 0.06 | 0.64 | (0.31 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.23 | 0.45 | 0.33 | 1.16 | 0.34 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.22 | ) | (0.27 | ) | (0.33 | ) | (0.63 | ) | (0.68 | ) | ||||||||||
Distributions from Net Realized Gain | (0.04 | ) | — | — | (0.02 | ) | (0.27 | ) | ||||||||||||
Distributions from Return of Capital | — | — | (0.14 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.26 | ) | (0.27 | ) | (0.47 | ) | (0.65 | ) | (0.95 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 10.28 | $ | 10.31 | $ | 10.13 | $ | 10.27 | $ | 9.76 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 2.24 | % | 4.49 | % | 3.26 | % | 12.35 | % | 3.44 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 6,360,295 | $ | 6,129,426 | $ | 5,085,781 | $ | 5,837,581 | $ | 3,256,269 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.60 | % | 0.59 | % | 0.57 | % | 0.57 | % | 0.60 | % | ||||||||||
After Expense Reimbursement | 0.49 | % | 0.47 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.46 | % | 2.65 | % | 2.60 | % | 5.21 | % | 6.48 | % | ||||||||||
Portfolio Turnover Rate | 287.85 | % | 201.30 | % | 190.79 | % | 123.43 | % | 141.33 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
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TCW Total Return Bond Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 10.64 | $ | 10.45 | $ | 10.61 | $ | 10.09 | $ | 10.72 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.23 | 0.25 | 0.24 | 0.52 | 0.64 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.04 | ) | 0.19 | 0.07 | 0.65 | (0.32 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.19 | 0.44 | 0.31 | 1.17 | 0.32 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.19 | ) | (0.25 | ) | (0.33 | ) | (0.63 | ) | (0.68 | ) | ||||||||||
Distributions from Net Realized Gain | (0.04 | ) | — | — | (0.02 | ) | (0.27 | ) | ||||||||||||
Distributions from Return of Capital | — | — | (0.14 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.23 | ) | (0.25 | ) | (0.47 | ) | (0.65 | ) | (0.95 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 10.60 | $ | 10.64 | $ | 10.45 | $ | 10.61 | $ | 10.09 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 1.83 | % | 4.24 | % | 2.96 | % | 12.03 | % | 3.12 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 2,399,850 | $ | 2,177,160 | $ | 2,492,073 | $ | 2,342,406 | $ | 2,081,438 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.88 | % | 0.87 | % | 0.83 | % | 0.83 | % | 0.86 | % | ||||||||||
After Expense Reimbursement | 0.79 | % | 0.77 | % | 0.73 | % | 0.73 | % | 0.74 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.17 | % | 2.36 | % | 2.31 | % | 5.02 | % | 6.19 | % | ||||||||||
Portfolio Turnover Rate | 287.85 | % | 201.30 | % | 190.79 | % | 123.43 | % | 141.33 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
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Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of
TCW Funds, Inc.
Los Angeles, California
We have audited the accompanying statements of assets and liabilities, 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 statement of assets and liabilities, including the consolidated schedule of investments of TCW Enhanced Commodity Strategy Fund (collectively, the “TCW Fixed Income Funds”) (six of twenty-three funds comprising the TCW Funds, Inc.) as of October 31, 2015, 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 statement of changes in net assets for TCW Enhanced Commodity Strategy Fund for each of the two years in the period then ended, and 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 respective stated periods then ended. These financial statements and financial highlights are the responsibility of the TCW Fixed Income Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). 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. 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. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, 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. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2015, by correspondence with custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
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 referred to above present fairly, in all material respects, the financial position of each of the respective TCW Fixed Income Funds as of October 31, 2015, the results of their operations for the year then ended, and 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 respective stated periods then ended, in conformity with accounting principles generally accepted in the United States of America.
Los Angeles, California
December 21, 2015
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Table of Contents
Shareholder Expenses (Unaudited)
As a shareholder of a Fund, you incur ongoing operational costs of the Fund, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2015 to October 31, 2015 (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, 2015 | Ending Account Value October 31, 2015 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2015 to October 31, 2015) | ||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 995.00 | 0.49 | % | $ | 2.46 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.14 | 0.49 | % | 2.50 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 992.90 | 0.79 | % | $ | 3.97 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.22 | 0.79 | % | 4.02 | |||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 841.90 | 0.70 | % | $ | 3.25 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.68 | 0.70 | % | 3.57 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 842.20 | 0.75 | % | $ | 3.48 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.42 | 0.75 | % | 3.82 |
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TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value May 1, 2015 | Ending Account Value October 31, 2015 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2015 to October 31, 2015) | ||||||||||||
TCW Global Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 986.20 | 1.07 | % | $ | 5.36 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.81 | 1.07 | % | 5.45 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 986.20 | 1.07 | % | $ | 5.36 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.81 | 1.07 | % | 5.45 | |||||||||||
TCW High Yield Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 997.00 | 0.55 | % | $ | 2.77 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.43 | 0.55 | % | 2.80 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 995.60 | 0.80 | % | $ | 4.02 | ||||||||
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 | $ | 1,000.70 | 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 | $ | 1,003.10 | 0.49 | % | $ | 2.47 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.74 | 0.49 | % | 2.50 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.00 | 0.79 | % | $ | 3.98 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.22 | 0.79 | % | 4.02 |
125
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Privacy Policy
Our Privacy Policy
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Alternative Funds, TCW Strategic Income Fund, Inc. and the Metropolitan West Funds (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.
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.
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. |
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. |
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TCW Funds, Inc.
• | 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 Alternative Funds, TCW Strategic Income Fund, Inc. and the Metropolitan West Funds:
• | 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 ALTERNATIVE FUNDS
TCW STRATEGIC INCOME FUND, INC.
METROPOLITAN WEST FUNDS
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 |
email: privacy@tcw.com
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Approval of Investments Management and Advisory Agreement
TCW Funds, Inc. (the “Corporation”) and TCW Investment Management Company (the “Advisor”) are parties to an Investment Advisory and Management Agreement (“Current 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. The Current Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by the Board of Directors of the Corporation (the “Board”), including the directors who are not “interested persons” of either the Corporation or the Advisor (the “Independent Directors”). The Current Agreement terminates automatically in the event of its assignment.
At a meeting held on September 21, 2015, the Board, including the Independent Directors, approved the continuation of the Current Agreement with respect to each Fund for an additional one-year term from when it otherwise would expire.
Continuation of the Current Agreement
The Advisor provided materials to the Board in advance of meetings held on September 8, 2015 and September 21, 2015 (the “Current Agreement Materials”) for their evaluation of the Current Agreement in response to information requested by the Independent Directors, who were advised by counsel to the Independent Directors with respect to these and other relevant matters. The Independent Directors also took into account information received by them during the past year at their regular board meetings. In addition, the Independent Directors met separately with counsel to the Independent Directors to consider the information provided. As a result of those meetings, the Board (including a majority of the Independent Directors voting separately) approved the continuation of the Current Agreement based on the recommendation of the Independent Directors. In deciding to recommend the renewal of the Current Agreement with respect to each Fund, the Independent Directors did not identify any single or particular piece of information 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.
Nature, Extent, and Quality of Services The Independent Directors considered the general nature, extent, and quality of services provided or expected to be provided to the Funds by the Advisor. The Independent Directors evaluated the Advisor’s experience in serving as manager of the Funds, and considered the benefits to shareholders of investing in a fund complex that is served by a large investment management organization where it and its affiliates also serve a variety of other investment advisory clients, including separate accounts, other pooled investment vehicles, registered investment companies and commingled funds. The Independent Directors also considered the ability of the Advisor to provide appropriate levels of support and resources to the Funds.
In addition, the Independent Directors took note of the background and experience of the senior management and portfolio management personnel of the Advisor and that the Advisor provides and is expected to continue to provide substantial expertise and attention as well as resources and infrastructure to the Funds. The Independent Directors considered the ability of the Advisor to attract and retain qualified business professionals and its compensation program, noting in particular the Advisor’s recent addition of professionals in various areas over the past several years, including new analysts to the equity research team, and to back office operations, fund administration, and other areas, as well as systems and infrastructure enhancements. The Independent Directors also considered the breadth of the compliance programs of the Advisor, as well as the compliance operations of the Advisor with respect to the Funds. The Independent Directors concluded that they were satisfied with the nature, extent and quality of the services provided and anticipated to be provided to the Funds by the Advisor under the Current Agreements.
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TCW Funds, Inc.
Investment Performance The Independent Directors reviewed information about each Fund’s historical performance, including materials prepared by the Advisor and a Report prepared by Broadridge/Lipper, an independent third party consultant, which provided a comparative analysis of the performance of each Fund with the performance of similar funds over one, three, five and ten year periods, as applicable. The Independent Directors noted that investment performance of most of the Funds was generally consistent with or above the median performance of the applicable Lipper peer group during most periods covered in the Report. They noted, however, that the investment performance of the TCW Select Equities Fund, TCW Small Cap Growth Fund, TCW Growth Equities Fund, TCW SMID Cap Growth Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund and TCW International Small Cap Fund were each in the fourth or fifth quintile of the applicable Lipper peer group for one or more periods covered in the Report. The Independent Directors noted the recent underperformance of these Funds and reviewed the actions taken by the Advisor to address such underperformance. The Independent Directors concluded that the Advisor should continue to provide investment advisory and management services to the Funds. The Independent Directors 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.
Advisory Fees and Profitability The Independent Directors considered information in the materials prepared by Lipper and the Advisor regarding the advisory fees charged to the Funds, advisory fees paid by other funds in the Funds’ respective peer groups, and advisory fees paid to the Advisor under advisory contracts with respect to other institutional clients. The Independent Directors noted that the investment advisory fees charged by the Advisor to many of the Funds were near or below the medians of their respective Lipper peer groups. They also noted, however, that the investment advisory fees of the TCW Total Return Bond Fund, TCW Select Equities Fund, TCW Relative Value Dividend Appreciation Fund, TCW Relative Value Large Cap Fund, TCW Small Cap Growth Fund, TCW SMID Cap Growth Fund, TCW Growth Equities Fund, TCW Emerging Markets Income Fund, TCW Emerging Markets Local Currency Income Fund and TCW Conservative Allocation Fund were above the medians of their respective Lipper peer groups. The Independent Directors reviewed the related materials prepared the Advisor. The Independent Directors also noted that the advisory fees charged by the Advisor to many of the Funds are higher than the advisory fees charged by the Advisor to certain institutional separate accounts with similar strategies managed by the Advisor, but that the services provided the Funds are more extensive than the services provided to institutional separate accounts.
The Independent Directors noted that the total expenses of the Funds are near or below median expenses of the other funds in their respective peer groups. They considered that the Advisor has agreed to reduce its investment advisory fee or pay the operating expenses of each Fund in order to maintain the overall expense ratios of the Funds at competitive levels, that the Advisor had entered into contractual expense limitation agreements with respect to certain Funds and the amounts paid or waived by the Advisor pursuant to expense limitations. The Independent Directors also considered the costs of services to be provided to the Funds by the Advisor and profits to be realized by the Advisor and its affiliates from their relationship with the Funds. Recognizing the difficulty in evaluating a manager’s profitability with respect to the funds it manages in the context of a manager with multiple lines of business, and noting that other profitability methodologies might also be reasonable, the Independent Directors concluded that the profits of the Advisor from its relationship with the Funds were reasonable. Based on these various considerations, the Independent Directors concluded that the contractual management fees of the Funds under the Current Agreement are fair and bear a reasonable relationship to the services rendered.
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TCW Funds, Inc.
Approval of Investments Management and Advisory Agreement (Continued)
Expenses and Economies of Scale The Independent Directors considered the potential of the Advisor and the Funds to achieve economies of scale as the Funds’ portfolios grow in size. The Independent Directors noted that the Advisor has agreed to contractual expense limitation agreements, which are designed to maintain the overall expense ratio of each of the Funds at a competitive level. The Independent Directors were satisfied with the explanation for Funds with total expense ratios exceeding their peer group medians, such as the small size of the Fund or an expense ratio relatively near the median level. The Independent Directors also received information about the extent to which the Advisor has shared economies of scale through the reinvestment of profits into the advisory business of the Advisor and its affiliates, which benefits the Funds. The Independent Directors also considered the relative advantages and disadvantages of an advisory fee with breakpoints compared to a flat advisory fee supplemented by advisory fee waivers and/or expense reimbursements. The Independent Directors concluded that the current fee arrangements were appropriate given the current size and structure of the Funds and adequately reflected any economies of scale.
Ancillary Benefits The Independent Directors considered ancillary benefits 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 Independent Directors noted that, in addition to the fees the Advisor receives under the Current 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 Independent Directors concluded that any potential benefits 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.
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 Current 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 the Fund, and that the renewal of the Current 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 of Directors of the Company has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Company’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Advisor, on behalf of the Company, prepares and file Form N-PX with the SEC not later than August 31 of each year, which includes the Company’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Company’s proxy voting record for the most recent twelve-month period ended June 30 is available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for the Company’s proxy voting record, it will send the information disclosed in the Company’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Company also discloses its proxy voting record on its website as soon as is reasonably practicable after its report on Form N-PX is filed with the SEC.
Availability of Quarterly Portfolio Schedule
The Company files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. The Form N-Q is available by calling 800-FUND-TCW (800-386-3829) to obtain a hard copy. You may also obtain the Company’s Form N-Q:
1. | By going to the SEC website at http://www.sec.gov.; or |
2. | By visiting the SEC’s Public Reference Room in Washington, D.C. and photocopying it (Phone 1-800-SEC-0330 for information on the operation of the SEC’s Public Reference Room). |
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Tax Information Notice (Unaudited)
On account of the year ended October 31, 2015, the following Funds paid a capital gain distribution within the meaning 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 Core Fixed Income Fund | $ | 0.01 | ||
TCW Global Bond Fund | $ | 0.09 | ||
TCW Total Return Bond Fund | $ | 0.04 |
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 2016, 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 2015. 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 ten directors is responsible for overseeing the operations of the Company, which consists of 23 funds at October 31, 2015. 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) | Indefinite term; 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). | |||
John A. Gavin (1931) | Indefinite term; Mr. Gavin has served as a director of TCW Funds, Inc. since May 2001. | Founder and Chairman of Gamma Holdings (international capital consulting firm). | TCW Strategic Income Fund, Inc. (closed-end fund); Hotchkis and Wiley Funds (mutual fund with 5 series). | |||
Patrick C. Haden (1953) Chairman | Indefinite term; Mr. Haden has served as a director of TCW Funds, Inc. since May 2001. | Athletic Director, University of Southern California. Prior to August 2010, General Partner, Riordan, Lewis & Haden (private equity firm). | Tetra Tech, Inc. (environmental consulting); The Rose Hills Foundation (foundation); UniHealth Foundation (charitable foundation); Metropolitan West Funds (mutual fund with 9 series); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund with 4 series). | |||
Janet E. Kerr (1954) | Indefinite term; Ms. Kerr has served as a director of TCW Funds, Inc. since August 2010. | Professor Emeritus and Founder of Geoffrey H. Palmer Center for Entrepreneurship and the Law, Pepperdine University School of Law. | La-Z-Boy Furniture Incorporated (residential furniture producer); Tilly’s (a retailer of apparel and accessories); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Peter McMillan (1957) | Indefinite term; Mr. McMillan has served as a director of TCW Funds, Inc. since August 2010. | Co-Founder, Managing Partner and CIO, Temescal Canyon Partners (investment advisory firm); Co-founder and Managing Partner, Willowbrook Capital Group, LLC (investment advisory firm); Co-founder and Executive Vice President of KBS Capital Advisors (a manager of real estate investment trusts). | KBS Real Estate Investment Trusts (real estate investments); KBS Strategic Opportunity REIT (real estate investments); Metropolitan West Funds (mutual funds with 9 series); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund with 4 series). | |||
Charles A. Parker (1934) | Indefinite term; Mr. Parker has served as a director of the TCW Funds, Inc. since April 2003. | Private Investor. | Burridge Center for Research in Security Prices (University of Colorado); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Victoria B. Rogers (1961) | Indefinite term; Ms. Roger has served as a director of the TCW Funds, Inc. since October 2011. | President, The Rose Hills Foundation. | Causeway Capital Management Trust (mutual fund with 5 series); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Andrew Tarica (1959) | Indefinite term; Mr. Tarica has served as a director of the TCW Funds, Inc. since March 2012. | Chief Executive Officer, Meadowbrook Capital Management (asset management company); Employee, Cowen & Co. (broker-dealer). | Metropolitan West Funds (mutual fund with 9 series); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund with 4 series). |
(1) | The address of each Independent Director is c/o Morgan, Lewis, & Bockius LLP, Counsel to the Independent Directors, 355 South Grand Avenue, Los Angeles, CA 90071. |
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TCW Funds, Inc.
Directors and Officers of the Company (Continued)
Interested Directors
Each of these directors are “interested persons” of the Company as defined in the 1940 Act because they are directors and officers of the Advisor, and shareholders and directors of The TCW Group, Inc., the parent company of the Advisor.
Name and Year of Birth (2) | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Other Directorships held by Director | |||
Marc I. Stern (1944) | Indefinite term; Mr. Stern has served as a director since inception of TCW Funds, Inc. in September 1992. | Chairman, The TCW Group, Inc. Prior to February 2013, Chief Executive Officer and Chairman, the Adviser; Vice Chairman and Chief Executive Officer, The TCW Group, Inc. and TCW Asset Management Company; and Vice Chairman, Trust Company of the West. | Qualcomm Incorporated (wireless communications) | |||
David S. DeVito (1962) | Indefinite term; Mr. DeVito has served as a director since January 2014. | Executive Vice President and Chief Operating Officer, the Advisor, The TCW Group, Inc., Trust Company of the West and TCW Asset Management Company; President and Chief Executive Officer, the Company, TCW Alternative Funds and TCW Strategic Income Fund, Inc. | TCW Strategic Income Fund, Inc. (closed-end fund) |
The officers of the Company who are not directors of the Company are:
Name and Year of Birth(2) | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Peter A. Brown (1955) | Senior Vice President | Managing Director, the Advisor, The TCW Group, Inc., Trust Company of the West and TCW Asset Management Company; Senior Vice President, TCW Strategic Income Fund, Inc. | ||
Meredith S. Jackson (1959) | Senior Vice President, General Counsel and Secretary | Executive Vice President, General Counsel and Secretary, the Advisor, The TCW Group Inc., Trust Company of the West, TCW Asset Management Company and Metropolitan West Asset Management; Senior Vice President, General Counsel and Secretary, TCW Strategic Income Fund, Inc., TCW Alternative Funds and Metropolitan West Funds. Previously, Partner and Chair of the Debt Finance Practice Group, Ir ell & Manella (law firm) (1999 – January 2013). |
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TCW Funds, Inc.
Name and Address (2) | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Jeffrey Engelsman (1967) | Chief Compliance Officer | Managing Director, Global Chief Compliance Officer, the Advisor, The TCW Group, Inc., Trust Company of the West and TCW Asset Management Company; Chief Compliance Officer, TCW Strategic Income Fund, Inc. and TCW Alternative Funds. Previously, Managing Director of New York Life Investment Management Company and Chief Compliance Officer of MainStay Group of Funds. | ||
Richard Villa (1964) | Treasurer and Chief Financial Officer | Managing Director and Chief Financial Officer, the Advisor, The TCW Group, Inc., Trust Company of the West; TCW Asset Management Company and Metropolitan West Asset Management; Treasurer and Chief Financial Officer, TCW Strategic Income Fund, Inc. and TCW Alternative Funds. |
(1) | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
(2) | Address is 865 South Figueroa Street, 18th Floor, Los Angeles, California 90017 |
In addition, George N. Winn, Senior Vice President of Trust Company of the West, TCW Asset Management Company and the Advisor, is the Assistant Treasurer of the Company; and Patrick W. Dennis, Senior Vice President and Associate General Counsel of Trust Company of the West, TCW Asset Management Company and the Advisor, is Assistant Secretary of the Company.
The SAI (Statement of Additional Information) has additional information regarding the Board of Directors. A copy is available 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
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company
865 South Figueroa Street
Los Angeles, California 90017
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 E. Michigan Street
Milwaukee, Wisconsin 53202
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
Deloitte & Touche, LLP
555 West 5th Street
Los Angeles, California 90013
CUSTODIAN & ADMINISTRATOR
State Street Bank & Trust Company
One Lincoln Street
Boston, Massachusetts 02111
DISTRIBUTOR
TCW Funds Distributors
865 South Figueroa Street
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
David S. DeVito
Director
John A. Gavin
Director
Janet E. Kerr
Director
Peter McMillan
Director
Charles A. Parker
Director
Victoria B. Rogers
Director
Marc I. Stern
Director
Andrew Tarica
Director
OFFICERS
David S. DeVito
President and Chief Executive Officer
Meredith S. Jackson
Senior Vice President,
General Counsel and Secretary
Richard M. Villa
Treasurer and Chief Financial Officer
Jeffrey A. Engelsman
Chief Compliance Officer
Peter A. Brown
Senior Vice President
Patrick W. Dennis
Assistant Secretary
George N. Winn
Assistant Treasurer
TCW FUNDS
EQUITY FUNDS
TCW Concentrated Value Fund
TCW Global Real Estate Fund
TCW Growth Equities Fund
TCW High Dividend Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
TCW Small Cap Growth Fund
TCW SMID Cap Growth Fund
TCW ALLOCATION FUND
TCW Conservative Allocation Fund
FIXED INCOME FUNDS
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund
TCW Global Bond Fund
TCW High Yield Bond Fund
TCW Short Term Bond Fund
TCW Total Return Bond Fund
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
TCW Emerging Markets Income Fund
TCW Emerging Markets Local Currency Income Fund
TCW Emerging Markets Multi-Asset Opportunities Fund
TCW International Growth Fund
TCW International Small Cap Fund
FUNDarFI1015
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OCTOBER 31
205
ANNUALREPORT
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
TCW Emerging Markets Income Fund
TCW Emerging Markets Local Currency Income Fund
TCW Emerging Markets Multi-Asset Opportunities Fund
TCW International Growth Fund
TCW International Small Cap Fund
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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 |
David S. DeVito President, Chief Executive Officer and Director |
It is my pleasure to present the 2015 annual report for the TCW Funds, Inc. covering the 12-month period ended October 31, 2015. I would like to express our appreciation for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of October 31, 2015, the TCW Funds held total net assets of approximately $18 billion.
This report contains information and portfolio management discussions of our TCW International Funds.
The International Markets
This past year has been challenging for emerging markets, given fears of a sharp China slowdown, a significant sell-off in commodities, and uncertainty around Fed lift-off. Domestic challenges in various countries, such as Brazil, also weighed on sentiment. Emerging markets equities and currencies fared the worst during this period, whereas sovereign dollar denominated debt held in, posting mildly positive returns and outperforming most other major asset classes.
While sentiment has been negative, this is the type of environment, in our view, that could present an opportunity given the extent of the repricing. We remain defensively positioned, but in 2016, may see an opportunity to add risk in the equity and local currency markets, assuming a modest pickup in global growth and stability around the Fed normalization process.
We continue to believe that there will be greater differentiation in the performance of emerging markets assets over the next few years. Country and security selection will be crucial to performance, driven by factors such as terms of trade, reform momentum, and the central bank reaction function. In our view, there will be significant opportunities for an actively managed portfolio to capture attractive returns in those countries and sectors best positioned to perform well in the current environment.
An Update on the TCW International Fund Family
There were a few updates to our fund family over the last twelve months that we would like to note for our investors:
• | During the first quarter, Ray Prasad, CFA, Managing Director, was named Lead Portfolio Manager, and Andrey Glukhov, CFA, Senior Vice President, was named Co-Portfolio Manager for the TCW International Small Cap Fund (TGICX/TGNIX) and the TCW International Growth Fund (TGIBX/TGIDX). Rohit Sah, who had served as Portfolio Manager of the funds, is no longer with TCW. |
• | Effective July 1, 2015, TCW launched the TCW Developing Markets Equity Fund (TGDMX/TGDPX) which focuses on equity investing in emerging and frontier markets while providing exposure to companies with superior growth profiles and attractive valuations. The Fund is managed by Ray Prasad as Lead Portfolio Manager and Andrey Glukhov as Co-Portfolio Manager. Mr. Prasad brings 19 years of emerging and international markets investment experience, and Mr. Glukhov has over 14 years of experience in the emerging markets. |
We know that you have many choices when it comes to the management of your financial assets. On behalf of everyone at TCW, I would like to thank you for making the TCW Funds part of your long-term investment plan. We truly value our relationship with you. If you have any questions or require further information, I invite you to visit our website at www.tcw.com, or call our shareholder services department at 800-386-3829.
I wish you all the best in the coming new year and I look forward to further correspondence with you through our semi-annual report in 2016.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
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TCW Developing Markets Equity Fund
For the period July 1, 2015 (commencement of operations) through October 31, 2015, the TCW Developing Markets Equity Fund (the “Fund”) returned a negative 13.80% on both its I Class and N Class shares. The Fund’s benchmark, the MSCI Emerging Markets Net Total Return Index (“Index”), returned a negative 12.04% over the same period.
All of the underperformance was driven by defensive positioning leading into the high beta rally during the first week of October. Since then, stocks in higher beta sectors, such as materials and energy, have underperformed and the fund has started to make up some of its relative underperformance from early October. We continue to focus on idiosyncratic long-term growth stories and remain defensive, with overweights in consumer staples and healthcare and underweights in cyclical stocks.
Over the last several years, the asset class has had to adjust to lower Chinese growth and lower commodity prices. The adjustment has been painful, but necessary, in our view. And while overall sentiment has been negative, we believe that this is the type of environment that could present an opportunity given the extent of the repricing. This is because EM fundamentals, on average, remain sound, and we are cautiously optimistic on longer term growth dynamics. And, while the Fed is likely to begin its rates normalization process shortly, global central bank policy more broadly remains supportive of risk assets. We remain defensively positioned, particularly given uncertainty surrounding China, but believe that 2016 can present opportunities to add risk, assuming a modest pickup in global growth and stability around the Fed normalization process.
Finally, we continue to believe that there will be greater differentiation in the performance of emerging markets assets over the next few years. Country and security selection will be crucial to performance, driven by factors such as terms of trade, reform momentum, and the central bank reaction function. In our view, there will be significant opportunities for an actively managed portfolio to capture attractive returns in those countries and sectors best positioned to perform well in the current environment.
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TCW Developing Markets Equity Fund
Management Discussions (Continued)
Cumulative Return as of October 31, 2015(1) | ||||||||
Inception Class N | Inception Class I | |||||||
TCW Developing Markets Equity Fund | ||||||||
Class I (Inception: 7/1/2015) | — | -13.80 | % | |||||
Class N (Inception: 7/1/2015) | -13.80 | % | — | |||||
MSCI Total Return Emerging Markets Index (Net) | -12.04 | % | -12.04 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
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TCW Emerging Markets Income Fund
Management Discussions
For the year ended October 31, 2015, the TCW Emerging Markets Income Fund (the “Fund”) returned a negative 5.75% and 5.96% 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 JP Morgan EMBI Global Diversified Index (“EMBI”), gained 0.39% over the same period.
The bulk of the underperformance during this period was driven by positioning at the start of the period, where the portfolio’s energy exposure in particular was negatively impacted by the decline in oil. In the late fall 2014 and early 2015, we actively restructured the portfolio to reduce this energy exposure, particularly in the corporate space, and add higher quality sovereign and quasi-sovereign dollar debt. Since we have made this restructuring, we have performed in the first quartile relative to peers since March 2015.
The majority of the Fund’s exposure is invested in dollar-denominated sovereign debt. We continue to maintain a low allocation to local currency debt, given our view that dollar strength and currency volatility are going to remain headwinds in the near term. Corporate exposure also remains at the low end of our typical range, and is concentrated in the BBB/BB segment of the market — i.e. investment grade corporates with attractive spreads relative to sovereign debt and stable BB corporates with attractive carry and/or de-levering/upgrade potential. We have very limited single-B corporate exposure as this part of the market is subject to periods of illiquidity and is in addition the most sensitive to growth disappointments and higher interest rates.
During this period, the market underwent a notable shift, as it has had to adjust to lower Chinese growth and lower commodity prices. This put increased pressure on sovereign and corporate spreads as well as EMFX. While overall sentiment is negative, this is the type of environment, in our view, that could present an opportunity given the extent of the repricing. This is because EM fundamentals, on average, remain sound, and we are constructive on longer term growth dynamics. We expect volatility around Fed lift-off, but do not envision a selloff similar to the one we experienced in 2013. In fact, several of the weaker EM countries have made notable strides in improving their fundamentals. However, we acknowledge that those that have not are likely to be vulnerable in this environment.
We continue to believe that there will be greater differentiation in the performance of emerging markets assets over the next few years. Country and security selection will be crucial to performance, driven by factors such as terms of trade, reform momentum, and the central bank reaction function. In our view, there will be significant opportunities for an actively managed portfolio to capture attractive returns in those countries and sectors best positioned to perform well in the current environment.
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TCW Emerging Markets Income Fund
Management Discussions (Continued)
Total Return as of October 31, 2015(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception Class N | Inception Class I(2) | |||||||||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||||||||||
Class I (Inception: 9/1/1996) | -5.75 | % | -0.41 | % | 3.62 | % | 7.74 | % | — | 9.49 | % | |||||||||||||
Class N (Inception: 3/1/2004) | -5.96 | % | -0.67 | % | 3.34 | % | 7.44 | % | 7.83 | % | — | |||||||||||||
JPM EMBI Global Diversified Index | 0.39 | % | 2.12 | % | 4.91 | % | 7.34 | % | 7.77 | % | 9.59 | % |
(1) | 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 before the Fund’s registration became effective. The predecessor entity was not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and therefore, was not subjected to certain investment restrictions that are imposed by the 1940 Act. If that entity had been registered under the 1940 Act, the performance may have been lower. |
5
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Management Discussions
For the year ended October 31, 2015, the TCW Emerging Markets Local Currency Income Fund (the “Fund”) returned a negative 15.35% and 15.37% 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 JP Morgan GBI-EM Global Diversified Index (“GBI-EM”), returned a negative 17.42% over the same period.
Outperformance during the period was driven by a combination of defensive positioning, country allocation decisions (including off-index investments), and active currency hedging.
Sentiment in local currency debt has been very negative for the last several years, outside of various mini-reprieves on weak U.S. data and/or delays in Fed lift-off expectations. The extent of the repricing is staggering: local currency debt has underperformed EM hard currency debt by close to 3000 bps since the beginning of the taper tantrum in May 2013, and the yield differential between the two is currently near all-time highs. In addition, the EM local currency asset class is primarily investment grade rated, and now trades at nearly 525bps over U.S. treasuries.
We believe that the rates story is attractive, with -7% yields for an investment grade rated asset class. Dollar strength and currency volatility are likely to continue to be headwinds in the very near term. Looking at earlier rate cycles, the strength of the dollar typically peaks toward the front end of the Fed normalization process. As such, we see the potential for a catch-up in local currency debt as we get closer to the first Fed rate hike. Assuming Fed lift-off (and subsequent dollar stability) later this year, we see the potential for mid to high single digit returns on EM local currency debt in 2016. Currency upside could add to those returns if we see an acceleration in global growth and/or commodity price stabilization.
Differentiation continues to characterize these markets, with country and security selection crucial to outperformance. On that note, assessing the relative value for both the rates and currency components for each local currency opportunity remains key. Factors such as fiscal and monetary policy, current accounts and technical, foreign ownership, as well as longer term factors such as economic growth and deviations from fair value, all contribute to our views on country allocation and security selection. In our view, there will be significant opportunities for an actively managed portfolio to capture attractive returns in those countries and sectors best positioned to outperform in the current environment.
6
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Management Discussions (Continued)
Total Return as of October 31, 2015(1) | ||||||||||||||||
1 Yr Return | 3 Yr Return | Inception Class N | Inception Class I | |||||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
Class I (Inception: 12/15/2010) | -15.35 | % | -6.73 | % | — | -1.65 | % | |||||||||
Class N (Inception: 12/15/2010) | -15.37 | % | -6.77 | % | -1.69 | % | — | |||||||||
JPM GBI-EM Global Diversified Index | -17.42 | % | -7.53 | % | -2.44 | % | -2.44 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
7
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Management Discussions
For the year ended October 31, 2015, the TCW Emerging Markets Multi-Asset Opportunities Fund (the “Fund”) returned a negative 10.53% and 10.50% 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% JP Morgan EMBI Global Diversified Index (“EMBI”) and 50% MSCI Daily Total Return Net Emerging Markets Index (“MSCI EM”) returned a negative 7.12% over the same period.
The main reasons for the underperformance during this period were 1) overweight positioning to equities relative to debt, and 2) security selection in the debt sleeve. The bulk of the underperformance in the debt sleeve was driven by positioning at the start of the period, where the portfolio’s energy exposure in particular was negatively impacted by the decline in oil. In the late fall 2014 and early 2015, we actively restructured the debt sleeve to reduce this energy exposure, particularly in the corporate space, and add higher quality sovereign and quasi-sovereign dollar debt.
Defensive positioning, particularly in the equity sleeve, and higher-than-average cash levels, helped mitigate some of the underperformance. We continue to focus on idiosyncratic long term growth stories in the equity sleeve, with overweights in healthcare and consumer staples and underweights in commodity-related sectors.
During this period, the market underwent a notable shift, as it has had to adjust to lower Chinese growth and lower commodity prices. This put increased pressure on EM assets, particularly EM equities and FX. While overall sentiment is negative, this is the type of environment, in our view, that could present an opportunity given the extent of the repricing. This is because EM fundamentals, on average, remain sound, and we are constructive on longer term growth dynamics. We expect volatility around Fed lift-off, but do not envision a selloff similar to the one we experienced in 2013, particularly as global central bank policy remains supportive. In addition, looking at earlier US rate cycles, the strength of the dollar typically peaks toward the front end of the normalization process. As a result, we believe that EM equities and local currency EM could be interesting investment opportunities in 2016, assuming an overall stable macroeconomic environment.
We continue to believe that there will be greater differentiation in the performance of emerging markets assets over the next few years. Country and security selection will be crucial to performance, driven by factors such as terms of trade, reform momentum, and the central bank reaction function. In our view, there will be significant opportunities for an actively managed portfolio to capture attractive returns in those countries and sectors best positioned to perform well in the current environment.
8
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Management Discussions (Continued)
Total Return as of October 31, 2015(1) | ||||||||||||
1 Yr Return | Inception Class N | Inception Class I | ||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||
Class I (Inception: 7/1/2013) | -10.53 | % | — | -0.50 | % | |||||||
Class N (Inception: 7/1/2013) | -10.50 | % | -0.68 | % | — | |||||||
50% JPM EMBI Global Diversified Index, 50% MSCI Emerging Markets Index | -7.12 | % | 1.85 | % | 1.85 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
9
Table of Contents
TCW International Growth Fund
Management Discussions
For the year ended October 31, 2015, the TCW International Growth Fund (the “Fund”) returned a negative 4.74% and 5.03% on its I and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the MSCI All Country World ex U.S. Index (“Index”), returned a negative 4.26% over the same time period.
Since the end of February 2015 (post-manager transition), the Fund has returned a negative 5.32% and 5.43% on its I and N shares, respectively, outperforming the index which returned a negative 6.26%.
Underperformance during the early part of the year was primarily due to security selection in material related names and underweight positioning in several developed European markets. Positive contributors to relative performance for the full fiscal year included overweight positioning in Japan, India and China and underweight positioning in Brazil, Canada and Australia. Following the manager transition at the end of February, the portfolio was repositioned away from material and resource-oriented stocks into healthcare and other domestic growth related stocks, particularly in Western Europe.
During the period, the main drivers of overall market performance were as follows:
• | China: Concerns around a potential hard landing and the subsequent impact on global growth, particularly commodity-related assets. |
• | U.S.: Uncertainty about the U.S. Federal Reserve possibly raising rates against a backdrop of robust U.S. economic data induced volatility in the international markets |
• | Europe: Growing political stress surrounding Greece’s potential withdrawal from the Eurozone (“GREXIT”) and the ensuing quantitative easing announced by the European Central Bank (“ECB”), along with easing efforts from the Bank of Japan (“BOJ”), added to the downward momentum for international indices, followed by a short-lived revival for European stocks. |
These macro events contributed to a challenging and volatile investment environment, although now Greece now appears to have stabilized and there seems to be more clarity around Fed lift-off. Looking ahead, uncertainty around China will continue to linger, in our view, until there is greater clarity on economic growth and its transition from a manufacturing-based to a services-based economy, along with the effectiveness of recent stimulus measures in the face of high corporate leverage and decreasing cash generation for significant swaths of the Chinese economy.
We expect that outside of the U.S., developed market central bank liquidity will remain ample, whether from the ECB or BOJ. We remain cautiously optimistic about international valuations but security selection remains key to alpha generation. We continue to focus on domestically-oriented companies in niche markets that benefit from robust consumption, and have the potential to continue to gain market share and improve margins.
10
Table of Contents
TCW International Growth Fund
Management Discussions (Continued)
Total Return as of October 31, 2015(1) | ||||||||||||||||
1 Yr Return | 3 Yr Return | Inception Class N | Inception Class I | |||||||||||||
TCW International Growth Fund | ||||||||||||||||
Class I (Inception: 11/1/2012) | -4.74 | % | 5.80 | % | — | 5.80 | % | |||||||||
Class N (Inception: 11/1/2012) | -5.03 | % | 5.49 | % | 5.49 | % | — | |||||||||
MSCI All C0untry World ex U.S. Index | -4.26 | % | 5.14 | % | 5.14 | % | 5.14 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
11
Table of Contents
TCW International Small Cap Fund
Management Discussions
For the year ended October 31, 2015, the TCW International Small Cap Fund (the “Fund”) returned a negative 1.07% and 1.03% on its I and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the MSCI All Country World (ex USA) Small Cap Net Index (the “Index”), gained 1.53% over the same time period.
Since the end of February, 2015 (post-manager transition), the Fund gained 0.82% and 0.94% on its I and N shares, respectively, outperforming the Index which returned a negative 1.74%.
Underperformance during the full year period was primarily due to material and resources exposure and various legacy positions that had to be written down significantly. Following the manager transition, we reduced exposure to these positions and rotated into healthcare and consumer sectors, which benefit from strong demographics and domestic demand.
During the period, the main drivers of overall market performance were as follows:
• | China: Concerns around a potential hard landing and the subsequent impact on global growth, particularly commodity-related assets. |
• | U.S.: Uncertainty about the U.S. Federal Reserve possibly raising rates against a backdrop of robust U.S. economic data induced volatility in international markets |
• | Europe: Growing political stress surrounding Greece’s potential withdrawal from the Eurozone (“GREXIT”) and the ensuing quantitative easing announced by the European Central Bank (“ECB”), along with easing efforts from the Bank of Japan (“BOJ”), added to the downward momentum for international indices, followed by a short-lived revival for European stocks. |
These macro events contributed to a challenging and volatile investment environment, although now Greece now appears to have stabilized and there seems to be more clarity around Fed lift-off. Looking ahead, uncertainty around China will continue to linger, in our view, until there is greater clarity on economic growth and its transition from a manufacturing-based to a services-based economy, along with the effectiveness of recent stimulus measures in the face of high corporate leverage and decreasing cash generation for significant swaths of the Chinese economy.
We expect that outside of the U.S., developed market central bank liquidity will remain ample, whether from the ECB or BOJ. We remain cautiously optimistic about international valuations but security selection remains key to alpha generation. We continue to focus on domestically-oriented companies in niche markets that benefit from robust consumption, and have the potential to continue to gain market share and improve margins.
12
Table of Contents
TCW International Small Cap Fund
Management Discussions (Continued)
Total Return as of October 31, 2015(1) | ||||||||||||||||
1 Yr Return | 3 Yr Return | Inception Class N | Inception Class I | |||||||||||||
TCW International Small Cap Fund | ||||||||||||||||
Class I (Inception: 2/28/2011) | -1.07 | % | 5.62 | % | — | -1.51 | % | |||||||||
Class N (Inception: 2/28/2011) | -1.03 | % | 5.58 | % | -1.57 | % | — | |||||||||
MSCI All Country World ex U.S. Small Cap Net Index | 1.53 | % | 7.54 | % | 2.75 | % | 2.75 | % |
(1) | Total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
13
Table of Contents
TCW Developing Markets Equity Fund
Number of Shares | Common Stock | Value | ||||||
Brazil (Cost: $51,763) (0.9% of Net Assets) | ||||||||
8,370 | Ambev S.A. (ADR) | $ | 40,762 | |||||
|
| |||||||
Chile (Cost: $27,633) (0.7%) | ||||||||
1,400 | Embotelladora Andina S.A. (ADR) | 30,870 | ||||||
|
| |||||||
China (23.0%) | ||||||||
8,400 | AIA Group, Ltd. | 49,201 | ||||||
34,000 | Beijing Enterprises Water Group, Ltd. | 26,843 | ||||||
136,000 | China Construction Bank Corp. — Class H | 98,573 | ||||||
16,600 | China Everbright International, Ltd. | 26,734 | ||||||
85,500 | China Minsheng Banking Corp., Ltd. — Class H | 86,149 | ||||||
7,000 | China Mobile, Ltd. | 83,889 | ||||||
83,000 | Cosmo Lady China Holdings Co., Ltd. | 83,106 | ||||||
79,000 | CT Environmental Group, Ltd. | 28,308 | ||||||
16,350 | Guangdong Investment, Ltd. | 22,996 | ||||||
3,400 | Hengan International Group Co., Ltd. | 36,586 | ||||||
46,000 | HKT Trust & HKT, Ltd. — Class SS | 55,140 | ||||||
18,000 | Huaneng Power International, Inc. — Class H | 19,466 | ||||||
153,000 | Industrial & Commercial Bank of China, Ltd. — Class H | 97,055 | ||||||
3,085 | JD.com, Inc. (ADR) (1) | 85,208 | ||||||
5,500 | MTR Corp., Ltd. | 24,953 | ||||||
9,350 | Ping An Insurance Group Co. of China, Ltd. — Class H | 52,547 | ||||||
10,800 | Tencent Holdings, Ltd. | 203,031 | ||||||
|
| |||||||
Total China (Cost: $1,216,781) | 1,079,785 | |||||||
|
| |||||||
Czech Republic (Cost: $50,964) (1.0%) | ||||||||
225 | Komercni banka as | 46,845 | ||||||
|
| |||||||
Egypt (3.1%) | ||||||||
14,780 | Commercial International Bank Egypt SAE (GDR) | 86,463 | ||||||
1,420 | Eastern Tobacco | 36,252 | ||||||
4,375 | ElSwedy Electric Co. (1) | 22,888 | ||||||
|
| |||||||
Total Egypt (Cost: $169,218) | 145,603 | |||||||
|
| |||||||
Hungary (2.5%) | ||||||||
16,500 | Magyar Telekom Telecommunications PLC (1) | 22,946 | ||||||
4,960 | OTP Bank PLC | 96,357 | ||||||
|
| |||||||
Total Hungary (Cost: $122,420) | 119,303 | |||||||
|
| |||||||
India (5.7%) | ||||||||
3,890 | Aurobindo Pharma, Ltd. | 49,503 | ||||||
5,275 | Canara Bank | 22,168 | ||||||
1,380 | HDFC Bank, Ltd. (ADR) | 84,373 | ||||||
6,300 | Power Finance Corp. | 23,002 | ||||||
24,400 | State Bank of India | 88,252 | ||||||
|
| |||||||
Total India (Cost: $273,903) | 267,298 | |||||||
|
|
See accompanying notes to financial statements.
14
Table of Contents
TCW Developing Markets Equity Fund
October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
Indonesia (1.2%) | ||||||||
1,275,000 | Multipolar Tbk PT | $ | 30,435 | |||||
573,200 | Sumber Alfaria Trijaya Tbk PT | 25,546 | ||||||
|
| |||||||
Total Indonesia (Cost: $85,819) | 55,981 | |||||||
|
| |||||||
Jordan (Cost: $22,249) (0.5%) | ||||||||
650 | Hikma Pharmaceuticals PLC | 21,699 | ||||||
|
| |||||||
Kenya (Cost: $97,335) (1.7%) | ||||||||
577,700 | Safari.com, Ltd. | 80,794 | ||||||
|
| |||||||
Malaysia (Cost: $50,028) (1.0%) | ||||||||
70,800 | My EG Services BHD | 48,617 | ||||||
|
| |||||||
Mexico (3.9%) | ||||||||
18,500 | Controladora Vuela Cia de Aviacion S.A.B. de C.V. (1) | 31,463 | ||||||
760 | Fomento Economico Mexicano S.A.B. de C.V. (SP ADR) | 75,308 | ||||||
1,570 | Gruma SAB de CV — Class B | 24,079 | ||||||
10,150 | Grupo Financiero Banorte S.A.B. de C.V. — Class O | 54,303 | ||||||
|
| |||||||
Total Mexico (Cost: $170,443) | 185,153 | |||||||
|
| |||||||
Nigeria (Cost: $52,359) (1.1%) | ||||||||
73,500 | Nigerian Breweries PLC | 50,489 | ||||||
|
| |||||||
Pakistan (3.7%) | ||||||||
10,400 | Engro Corp., Ltd. | 29,984 | ||||||
20,100 | Fauji Fertilizer Co., Ltd. | 23,927 | ||||||
44,350 | Habib Bank, Ltd. | 88,061 | ||||||
5,900 | Lucky Cement, Ltd. | 30,187 | ||||||
|
| |||||||
Total Pakistan (Cost: $197,758) | 172,159 | |||||||
|
| |||||||
Philippines (Cost: $79,675) (1.7%) | ||||||||
18,650 | Universal Robina Corp. | 79,834 | ||||||
|
| |||||||
Poland (Cost: $40,791) (0.7%) | ||||||||
860 | Bank Pekao S.A. | 33,549 | ||||||
|
| |||||||
Russia (5.0%) | ||||||||
1,970 | Magnit PJSC (GDR) | 89,674 | ||||||
68,600 | Magnitogorsk Iron & Steel Works OJSC | 25,883 | ||||||
2,283 | Magnitogorsk Iron & Steel Works OJSC (GDR) | 11,267 | ||||||
810 | NovaTek OAO (GDR) | 74,074 | ||||||
24,970 | Sberbank of Russia | 35,208 | ||||||
|
| |||||||
Total Russia (Cost: $259,910) | 236,106 | |||||||
|
| |||||||
South Africa (4.2%) | ||||||||
3,100 | Mr Price Group, Ltd. | 47,713 | ||||||
1,620 | MTN Group, Ltd. | 18,486 | ||||||
720 | Naspers, Ltd. — N Shares | 105,362 | ||||||
3,950 | Steinhoff International Holdings, Ltd. | 24,205 | ||||||
|
| |||||||
Total South Africa (Cost: $215,835) | 195,766 | |||||||
|
|
See accompanying notes to financial statements.
15
Table of Contents
TCW Developing Markets Equity Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||
South Korea (6.9%) | ||||||||
125 | BGF retail Co., Ltd. | $ | 18,618 | |||||
310 | CJ E&M Corp. (1) | 22,655 | ||||||
450 | GS Retail Co., Ltd. | 22,681 | ||||||
115 | Hyundai Mobis Co., Ltd. | 24,176 | ||||||
215 | Hyundai Motor Co. | 29,368 | ||||||
2,470 | KB Financial Group, Inc. | 78,253 | ||||||
550 | Korea Electric Power Corp. | 24,764 | ||||||
50 | LG Household & Health Care, Ltd. | 41,374 | ||||||
50 | Samsung Electronics Co., Ltd. | 59,971 | ||||||
|
| |||||||
Total South Korea (Cost: $306,564) | 321,860 | |||||||
|
| |||||||
Taiwan (5.1%) | ||||||||
3,300 | Chlitina Holding, Ltd. | 26,899 | ||||||
350 | Hermes Microvision, Inc. | 13,417 | ||||||
8,970 | Taiwan Semiconductor Manufacturing Co., Ltd. (SP ADR) | 196,981 | ||||||
|
| |||||||
Total Taiwan (Cost: $245,331) | 237,297 | |||||||
|
| |||||||
Thailand (Cost: $16,163) (0.3%) | ||||||||
9,300 | KCE Electronics PCL (ADR) | 16,146 | ||||||
|
| |||||||
Turkey (1.6%) | ||||||||
21,200 | Turk Telekomunikasyon A.S. | 45,788 | ||||||
12,160 | Turkiye Garanti Bankasi A.S. | 31,529 | ||||||
|
| |||||||
Total Turkey (Cost: $85,945) | 77,317 | |||||||
|
| |||||||
United Arab Emirates (Cost: $24,530) (0.5%) | ||||||||
1,050 | DP World, Ltd. | 21,219 | ||||||
|
| |||||||
Total Common Stock (Cost: $3,863,417) (76.0%) | 3,564,452 | |||||||
|
| |||||||
Participation Notes | ||||||||
India (10.0%) | ||||||||
11,450 | Bharti Infratel, Ltd. (HSBC) (expires 11/22/23) | 68,050 | ||||||
5,030 | Divi’s Laboratories, Ltd. (HSBC) (expires 1/20/17) | 88,609 | ||||||
2,980 | Glenmark Pharmaceuticals, Ltd. (HSBC) (expires 2/8/18) | 45,095 | ||||||
5,300 | Hindustan Petroleum Corp., Ltd. (HSBC) (expires 7/2/18) | 62,328 | ||||||
19,300 | ITC, Ltd. (HSBC) (expires 9/15/16) | 98,629 | ||||||
2,850 | SKS Microfinance, Ltd. (HSBC) (expires 8/12/20) | 18,697 | ||||||
14,000 | Zee Entertainment Enterprises, Ltd. (HSBC) (expires 3/10/16) | 87,306 | ||||||
|
| |||||||
Total India (Cost: $506,208) | 468,714 | |||||||
|
| |||||||
Saudi Arabia (2.9%) | ||||||||
1,800 | Al Mouwasat Medical Services (HSBC) (expires 4/16/18) | 55,673 | ||||||
1,290 | Bupa Arabia For Cooperative Insurance (HSBC) (expires 2/6/19) | 79,982 | ||||||
|
| |||||||
Total Saudi Arabia (Cost: $152,717) | 135,655 | |||||||
|
|
See accompanying notes to financial statements.
16
Table of Contents
TCW Developing Markets Equity Fund
October 31, 2015 |
Number of Shares | Participation Notes | Value | ||||||
Taiwan (3.4%) | ||||||||
62,200 | Cathay Financial Holding Co. (HSBC) (expires 7/2/18) | $ | 88,597 | |||||
900 | Chailease Holding Co., Ltd. (HSBC) (expires 7/2/18) | 1,718 | ||||||
700 | Hermes Microvision, Inc. (HSBC) (expires 7/2/18) | 26,834 | ||||||
530 | Largan Precision Co., Ltd. (HSBC) (expires 7/2/18) | 41,186 | ||||||
|
| |||||||
Total Taiwan (Cost: $218,950) | 158,335 | |||||||
|
| |||||||
Total Participation Notes (Cost: $877,875) (16.3%) | 762,704 | |||||||
|
| |||||||
Money Market Investments | ||||||||
370,520 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (2) | 370,520 | ||||||
|
| |||||||
Total Money Market Investments (Cost: $370,520) (7.9%) | 370,520 | |||||||
|
| |||||||
Total Investments (Cost: $5,111,812) (100.2%) | 4,697,676 | |||||||
Liabilities in Excess of Other Assets (-0.2%) | (8,510 | ) | ||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 4,689,166 | ||||||
|
|
Notes to the Schedule of Investments:
ADR - | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. |
GDR - | Global Depositary Receipt. A negotiable certificate held in the bank of one country representing a specific number of shares of a stock traded on an exchange of another country. |
OJSC - | Open Joint-Stock Company. |
PJSC - | Private Joint-Stock Company. |
SP ADR - | Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
See accompanying notes to financial statements.
17
Table of Contents
TCW Developing Markets Equity Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Airlines | 0.7 | % | ||
Auto Components | 0.5 | |||
Automobiles | 0.6 | |||
Banks | 22.1 | |||
Beverages | 4.3 | |||
Chemicals | 1.1 | |||
Commercial Services & Supplies | 0.6 | |||
Construction Materials | 0.7 | |||
Diversified Financial Services | 0.5 | |||
Diversified Telecommunication Services | 4.1 | |||
Electric Utilities | 0.5 | |||
Electrical Equipment | 0.5 | |||
Electronics | 0.3 | |||
Food & Staples Retailing | 3.3 | |||
Food Products | 2.2 | |||
Household Durables | 0.5 | |||
Household Products | 0.9 | |||
Independent Power and Renewable Electricity Producers | 0.4 | |||
Insurance | 5.7 | |||
Internet & Catalog Retail | 1.8 | |||
Internet Software & Services | 4.3 | |||
IT Services | 1.0 | |||
Media | 4.7 | |||
Metals & Mining | 0.8 | |||
Miscellaneous | 4.6 | |||
Multiline Retail | 0.7 | |||
Oil, Gas & Consumable Fuels | 1.6 | |||
Personal Products | 1.4 | |||
Pharmaceuticals | 4.4 | |||
Road & Rail | 0.5 | |||
Semiconductors & Semiconductor Equipment | 5.1 | |||
Specialty Retail | 1.0 | |||
Technology Hardware, Storage & Peripherals | 2.2 | |||
Textiles, Apparel & Luxury Goods | 1.8 | |||
Tobacco | 0.8 | |||
Transportation Infrastructure | 0.5 | |||
Water Utilities | 1.7 | |||
Wireless Telecommunication Services | 3.9 | |||
Money Market Investments | 7.9 | |||
|
| |||
Total | 100.2 | % | ||
|
|
See accompanying notes to financial statements.
18
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments | October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Argentina (6.4% of Net Assets) | ||||||||||
$ | 39,420,000 | Argentine Republic Government International Bond, 0%, due 12/15/35 | $ | 3,853,305 | ||||||
EUR | 20,450,000 | Argentine Republic Government International Bond, 2.26%, due 12/31/38 (1) | 12,609,791 | |||||||
EUR | 27,109,243 | Argentine Republic Government International Bond, 7.82%, due 12/31/33 (1) | 30,994,347 | |||||||
$ | 24,767,001 | Argentine Republic Government International Bond, 8.28%, due 12/31/33 (1) | 27,615,207 | |||||||
40,659,102 | Argentine Republic Government International Bond, 8.28%, due 12/31/33 (1) | 45,334,899 | ||||||||
68,460,000 | Argentine Republic Government International Bond, 8.75%, due 06/02/17 (1) | 75,134,850 | ||||||||
13,625,000 | Provincia de Buenos Aires, (144A), 9.95%, due 06/09/21(2) | 14,055,754 | ||||||||
|
| |||||||||
Total Argentina (Cost: $172,206,067) | 209,598,153 | |||||||||
|
| |||||||||
Brazil (5.2%) | ||||||||||
28,125,000 | Brazilian Government International Bond, 4.25%, due 01/07/25 | 25,059,375 | ||||||||
22,850,000 | Brazilian Government International Bond, 4.875%, due 01/22/21 | 22,587,225 | ||||||||
17,585,000 | Brazilian Government International Bond, 5%, due 01/27/45 | 13,430,544 | ||||||||
18,775,000 | Brazilian Government International Bond, 5.625%, due 01/07/41 | 15,346,685 | ||||||||
3,880,000 | Gerdau Trade, Inc., (Reg. S), 5.75%, due 01/30/21 (3) | 3,596,760 | ||||||||
40,140,000 | Petrobras Global Finance BV, 4.875%, due 03/17/20 | 32,914,800 | ||||||||
38,684,000 | Petrobras Global Finance BV, 5.875%, due 03/01/18 | 36,633,748 | ||||||||
24,655,000 | Vale Overseas, Ltd., 6.875%, due 11/21/36 | 20,194,910 | ||||||||
|
| |||||||||
Total Brazil (Cost: $181,231,016) | 169,764,047 | |||||||||
|
| |||||||||
Chile (2.6%) | ||||||||||
34,970,000 | Empresa Electrica Angamos S.A., (144A), 4.875%, due 05/25/29 (2) | 32,731,920 | ||||||||
20,000,000 | Latam Airlines Group S.A., (144A), 7.25%, due 06/09/20 (2) | 18,660,000 | ||||||||
33,500,000 | Latam Airlines Pass-Through Trust (2015-1), (144A), 4.2%, due 08/15/29 (2) | 32,036,050 | ||||||||
|
| |||||||||
Total Chile (Cost: $87,988,300) | 83,427,970 | |||||||||
|
| |||||||||
China (0.7%) | ||||||||||
12,350,000 | Baidu, Inc., 4.125%, due 06/30/25 | 12,443,811 | ||||||||
10,450,000 | MCE Finance, Ltd., (Reg. S), 5%, due 02/15/21 (3) | 9,823,000 | ||||||||
|
| |||||||||
Total China (Cost: $22,064,905) | 22,266,811 | |||||||||
|
| |||||||||
Colombia (4.9%) | ||||||||||
31,975,000 | Avianca Holdings S.A., (144A), 8.375%, due 05/10/20 (2) | 26,580,817 | ||||||||
17,360,000 | Bancolombia S.A., 6.125%, due 07/26/20 | 18,484,928 | ||||||||
11,565,000 | Colombia Government International Bond, 4%, due 02/26/24 | 11,374,178 | ||||||||
22,000,000 | Colombia Government International Bond, 4.5%, due 01/28/26 | 21,857,000 | ||||||||
39,173,000 | Colombia Government International Bond, 5%, due 06/15/45 | 34,961,902 | ||||||||
21,700,000 | Colombia Telecomunicaciones S.A. ESP, (Reg. S), 5.375%, due 09/27/22 (3) | 19,421,500 | ||||||||
12,905,000 | Ecopetrol S.A., 5.375%, due 06/26/26 | 12,079,080 | ||||||||
8,375,000 | Pacific Exploration and Production Corp., (Reg. S), 5.125%, due 03/28/23 (3) | 3,182,500 | ||||||||
24,745,000 | Pacific Exploration and Production Corp., (Reg. S), 5.375%, due 01/26/19 (3) | 10,702,213 | ||||||||
|
| |||||||||
Total Colombia (Cost: $187,477,386) | 158,644,118 | |||||||||
|
| |||||||||
Costa Rica (0.9%) | ||||||||||
17,500,000 | Costa Rica Government International Bond, (Reg. S), 7%, due 04/04/44 (3) | 15,815,625 | ||||||||
14,000,000 | Costa Rica Government International Bond, (Reg. S), 7.158%, due 03/12/45 (3) | 12,775,000 | ||||||||
|
| |||||||||
Total Costa Rica (Cost: $30,905,190) | 28,590,625 | |||||||||
|
|
See accompanying notes to financial statements.
19
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Croatia (3.4%) | ||||||||||
$ | 49,150,000 | Croatia Government International Bond, (Reg. S), 5.5%, due 04/04/23 (3) | $ | 50,808,812 | ||||||
33,825,000 | Croatia Government International Bond, (Reg. S), 6%, due 01/26/24 (3) | 36,023,625 | ||||||||
23,650,000 | Hrvatska Elektroprivreda, (144A), 5.875%, due 10/23/22 (2) | 24,004,750 | ||||||||
|
| |||||||||
Total Croatia (Cost: $111,534,328) | 110,837,187 | |||||||||
|
| |||||||||
Dominican Republic (2.8%) | ||||||||||
15,675,000 | Dominican Republic International Bond, (144A), 5.5%, due 01/27/25 (2) | 15,557,437 | ||||||||
33,600,000 | Dominican Republic International Bond, (144A), 6.85%, due 01/27/45 (2) | 33,432,000 | ||||||||
39,900,000 | Dominican Republic International Bond, (Reg. S), 5.875%, due 04/18/24 (3) | 40,869,570 | ||||||||
|
| |||||||||
Total Dominican Republic (Cost: $90,765,106) | 89,859,007 | |||||||||
|
| |||||||||
El Salvador (Cost: $12,374,000) (0.4%) | ||||||||||
12,374,000 | Agricola Senior Trust, (144A), 6.75%, due 06/18/20 (2) | 12,327,598 | ||||||||
|
| |||||||||
Ghana (Cost: $22,215,907) (0.6%) | ||||||||||
23,200,000 | Republic of Ghana, (Reg. S), 7.875%, due 08/07/23 (3) | 20,158,480 | ||||||||
|
| |||||||||
Greece (Cost: $18,156,143) (0.6%) | ||||||||||
EUR | 18,080,000 | Hellenic Republic Government Bond, 144A, 4.75%, due 04/17/19 (2) | 18,292,423 | |||||||
|
| |||||||||
Guatemala (1.4%) | ||||||||||
$ | 25,350,000 | Comcel Trust via Comunicaciones Celulares S.A., (Reg. S), 6.875%, due 02/06/24 (3) | 20,533,500 | |||||||
29,300,000 | Industrial Senior Trust, (144A), 5.5%, due 11/01/22 (2) | 26,848,469 | ||||||||
|
| |||||||||
Total Guatemala (Cost: $56,412,651) | 47,381,969 | |||||||||
|
| |||||||||
Hungary (4.4%) | ||||||||||
31,050,000 | Hungary Government International Bond, 5.375%, due 02/21/23 | 34,206,046 | ||||||||
27,250,000 | Hungary Government International Bond, 5.375%, due 03/25/24 | 30,154,850 | ||||||||
29,130,000 | Hungary Government International Bond, 5.75%, due 11/22/23 | 32,880,488 | ||||||||
46,450,000 | Magyar Export-Import Bank Zrt, (144A), 4%, due 01/30/20 (2) | 47,388,290 | ||||||||
|
| |||||||||
Total Hungary (Cost: $134,951,461) | 144,629,674 | |||||||||
|
| |||||||||
India (4.9%) | ||||||||||
18,515,000 | ICICI Bank, Ltd., (Reg. S), 6.375%, due 04/30/22 (3)(4) | 19,058,415 | ||||||||
INR | 2,010,610,000 | India Government Bond, 7.28%, due 06/03/19 | 30,661,518 | |||||||
INR | 2,604,500,000 | India Government Bond, 8.83%, due 11/25/23 | 42,207,249 | |||||||
INR | 1,500,000,000 | Power Finance Corp., Ltd., 8.98%, due 10/08/24 | 23,897,092 | |||||||
INR | 1,777,000,000 | Rural Electrification Corp., Ltd., 8.3%, due 04/10/25 | 27,476,943 | |||||||
$ | 19,640,000 | Vedanta Resources PLC, (Reg. S), 8.25%, due 06/07/21 (3) | 15,810,200 | |||||||
|
| |||||||||
Total India (Cost: $162,717,642) | 159,111,417 | |||||||||
|
| |||||||||
Indonesia (5.6%) | ||||||||||
36,250,000 | Indonesia Government International Bond, (144A), 5.125%, due 01/15/45 (2) | 33,893,750 | ||||||||
23,500,000 | Indonesia Government International Bond, (Reg. S), 3.375%, due 04/15/23 (3) | 22,407,250 | ||||||||
47,350,000 | Pertamina Persero PT, (Reg. S), 4.3%, due 05/20/23 (3) | 44,679,460 | ||||||||
23,600,000 | Pertamina Persero PT, (Reg. S), 5.625%, due 05/20/43 (3) | 19,628,474 | ||||||||
48,500,000 | Perusahaan Penerbit SBSN Indonesia III, (144A), 4.35%, due 09/10/24 (2) | 47,403,900 |
See accompanying notes to financial statements.
20
Table of Contents
TCW Emerging Markets Income Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Indonesia (Continued) | ||||||||||
$ | 13,350,000 | Perusahaan Penerbit SBSN Indonesia III, (Reg. S), 4.325%, due 05/28/25 (3) | $ | 12,982,875 | ||||||
|
| |||||||||
Total Indonesia (Cost: $189,218,626) | 180,995,709 | |||||||||
|
| |||||||||
Ivory Coast (Cost: $33,272,837) (1.0%) | ||||||||||
34,145,000 | Ivory Coast Government International Bond, (144A), 6.375%, due 03/03/28 (2) | 31,626,806 | ||||||||
|
| |||||||||
Kazakhstan (Cost: $29,551,842) (0.9%) | ||||||||||
29,850,000 | Kazakhstan Government International Bond, (144A), 5.125%, due 07/21/25 (2) | 29,850,000 | ||||||||
|
| |||||||||
Kenya (Cost: $20,778,780) (0.6%) | ||||||||||
20,450,000 | Kenya Government International Bond, (Reg. S), 5.875%, due 06/24/19 (3) | 19,914,210 | ||||||||
|
| |||||||||
Lebanon (2.1%) | ||||||||||
17,000,000 | Lebanon Government International Bond, 6.375%, due 03/09/20 | 17,403,750 | ||||||||
23,100,000 | Lebanon Government International Bond, (Reg. S), 5.8%, due 04/14/20 (3) | 23,146,200 | ||||||||
25,985,000 | Lebanon Government International Bond, (Reg. S), 6%, due 05/20/19 (3) | 26,465,463 | ||||||||
|
| |||||||||
Total Lebanon (Cost: $68,091,021) | 67,015,413 | |||||||||
|
| |||||||||
Mexico (6.5%) | ||||||||||
20,522,000 | Alfa S.A.B. de C.V., (Reg. S), 6.875%, due 03/25/44 (3) | 20,573,305 | ||||||||
4,000,000 | Axtel S.A.B. de C.V., (Reg. S), 9%, due 01/31/20 (3) | 4,110,000 | ||||||||
22,675,000 | Banco Nacional de Comercio Exterior SNC, (144A), 4.375%, due 10/14/25 (2) | 22,731,688 | ||||||||
25,925,000 | Cemex S.A.B. de C.V., (Reg. S), 7.25%, due 01/15/21 (3) | 26,736,452 | ||||||||
16,988,000 | Controladora Mabe S.A. de C.V., (Reg. S), 7.875%, due 10/28/19 (3) | 18,610,354 | ||||||||
60,000,000 | Corp. GEO S.A.B. de C.V., (144A), 8.875%, due 03/27/22 (1)(2) | 1,275,000 | ||||||||
27,500,000 | Mexico Government International Bond, 3.6%, due 01/30/25 | 27,396,875 | ||||||||
41,272,000 | Mexico Government International Bond, 4.6%, due 01/23/46 | 38,486,140 | ||||||||
21,896,000 | Mexico Government International Bond, 4.75%, due 03/08/44 | 20,855,940 | ||||||||
13,300,000 | Nacional Financiera SNC, (144A), 3.375%, due 11/05/20 (2)(5) | 13,333,250 | ||||||||
16,300,000 | Tenedora Nemak S.A. de C.V., (144A), 5.5%, due 02/28/23 (2) | 16,748,250 | ||||||||
|
| |||||||||
Total Mexico (Cost: $279,039,147) | 210,857,254 | |||||||||
|
| |||||||||
Morocco (Cost: $8,471,625) (0.3%) | ||||||||||
8,700,000 | OCP S.A., (Reg. S), 4.5%, due 10/22/25 (3) | 8,362,875 | ||||||||
|
| |||||||||
Pakistan (Cost: $16,348,463) (0.5%) | ||||||||||
15,900,000 | Pakistan Government International Bond, (144A), 7.25%, due 04/15/19 (2) | 16,580,520 | ||||||||
|
| |||||||||
Panama (1.8%) | ||||||||||
25,410,000 | AES Panama SRL, (144A), 6%, due 06/25/22 (2) | 25,537,050 | ||||||||
33,325,000 | Global Bank Corp., (144A), 5.125%, due 10/30/19 (2) | 33,824,875 | ||||||||
|
| |||||||||
Total Panama (Cost: $59,227,914) | 59,361,925 | |||||||||
|
| |||||||||
Paraguay (2.8%) | ||||||||||
18,290,000 | Banco Continental SAECA, (144A), 8.875%, due 10/15/17 (2) | 18,630,834 | ||||||||
16,350,000 | Banco Regional SAECA, (144A), 8.125%, due 01/24/19 (2) | 16,840,500 | ||||||||
11,125,000 | Republic of Paraguay, (Reg. S), 4.625%, due 01/25/23 (3) | 11,291,875 | ||||||||
29,972,000 | Republic of Paraguay, (Reg. S), 6.1%, due 08/11/44 (3) | 30,571,440 | ||||||||
14,800,000 | Telefonica Celular del Paraguay S.A., (Reg. S), 6.75%, due 12/13/22 (3) | 13,542,000 | ||||||||
|
| |||||||||
Total Paraguay (Cost: $91,490,119) | 90,876,649 | |||||||||
|
|
See accompanying notes to financial statements.
21
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Peru (3.7%) | ||||||||||
$ | 14,025,000 | BBVA Banco Continental S.A., (144A), 5.25%, due 09/22/29 (2)(4) | $ | 14,060,063 | ||||||
28,800,000 | Corp. Financiera de Desarrollo S.A., (144A), 5.25%, due 07/15/29 (2)(4) | 28,857,600 | ||||||||
27,250,000 | Lima Metro Line 2 Finance, Ltd., (144A), 5.875%, due 07/05/34 (2) | 27,658,750 | ||||||||
25,025,000 | Peruvian Government International Bond, 4.125%, due 08/25/27 | 25,212,687 | ||||||||
9,800,000 | Union Andina de Cementos SAA, (144A), 5.875%, due 10/30/21 (2) | 9,861,250 | ||||||||
15,455,000 | Volcan Cia Minera SAA, (Reg. S), 5.375%, due 02/02/22 (3) | 13,909,500 | ||||||||
|
| |||||||||
Total Peru (Cost: $121,204,438) | 119,559,850 | |||||||||
|
| |||||||||
Romania (2.0%) | ||||||||||
EUR | 11,850,000 | Romanian Government International Bond, (144A), 2.75%, due 10/29/25 (2) | 13,270,093 | |||||||
EUR | 14,900,000 | Romanian Government International Bond, (144A), 3.875%, due 10/29/35 (2) | 16,829,621 | |||||||
$ | 33,600,000 | Romanian Government International Bond, (Reg. S), 4.875%, due 01/22/24 (3) | 36,617,750 | |||||||
|
| |||||||||
Total Romania (Cost: $67,677,495) | 66,717,464 | |||||||||
|
| |||||||||
Russia (5.8%) | ||||||||||
13,050,000 | Alfa Bank SC via Alfa Bond Issuance PLC, (Reg. S), 7.75%, due 04/28/21 (3) | 13,472,233 | ||||||||
11,800,000 | Gazprom Neft OAO via GPN Capital S.A., (Reg. S), 6%, due 11/27/23 (3) | 11,534,500 | ||||||||
14,100,000 | Gazprom OAO via Gaz Capital S.A., (Reg. S), 3.85%, due 02/06/20 (3) | 13,395,000 | ||||||||
20,950,000 | Gazprom OAO via Gaz Capital S.A., (Reg. S), 6.51%, due 03/07/22 (3) | 21,892,750 | ||||||||
22,200,000 | Russian Foreign Bond — Eurobond, (Reg. S), 3.5%, due 01/16/19 (3) | 22,490,820 | ||||||||
10,400,000 | Russian Foreign Bond — Eurobond, (Reg. S), 4.5%, due 04/04/22 (3) | 10,664,680 | ||||||||
13,800,000 | Russian Foreign Bond — Eurobond, (Reg. S), 4.875%, due 09/16/23 (3) | 14,293,350 | ||||||||
12,000,000 | Russian Foreign Bond — Eurobond, (Reg. S), 5%, due 04/29/20 (3) | 12,642,000 | ||||||||
16,015,000 | Sberbank of Russia via SB Capital S.A., (Reg. S), 5.125%, due 10/29/22 (3) | 15,094,137 | ||||||||
25,675,000 | Sberbank of Russia via SB Capital S.A., (Reg. S), 5.18%, due 06/28/19 (3) | 26,128,035 | ||||||||
11,450,000 | Sberbank of Russia via SB Capital S.A., (Reg. S), 5.25%, due 05/23/23 (3) | 10,147,563 | ||||||||
16,850,000 | Sberbank of Russia via SB Capital S.A., (Reg. S), 5.717%, due 06/16/21 (3) | 17,018,770 | ||||||||
|
| |||||||||
Total Russia (Cost: $186,634,783) | 188,773,838 | |||||||||
|
| |||||||||
Serbia (2.7%) | ||||||||||
54,650,000 | Republic of Serbia, (Reg. S), 4.875%, due 02/25/20 (3) | 56,710,305 | ||||||||
29,994,000 | Republic of Serbia, (Reg. S), 5.875%, due 12/03/18 (3) | 31,906,118 | ||||||||
|
| |||||||||
Total Serbia (Cost: $87,271,388) | 88,616,423 | |||||||||
|
| |||||||||
Slovenia (1.8%) | ||||||||||
23,700,000 | Slovenia Government International Bond, (144A), 5.25%, due 02/18/24 (2) | 26,626,950 | ||||||||
28,550,000 | Slovenia Government International Bond, (Reg. S), 5.5%, due 10/26/22 (3) | 32,415,898 | ||||||||
|
| |||||||||
Total Slovenia (Cost: $59,425,999) | 59,042,848 | |||||||||
|
| |||||||||
South Africa (2.1%) | ||||||||||
28,429,000 | Gold Fields Orogen Holding BVI, Ltd., (Reg. S), 4.875%, due 10/07/20 (3) | 23,343,052 | ||||||||
23,725,000 | Myriad International Holdings BV, (144A), 5.5%, due 07/21/25 (2) | 23,369,125 | ||||||||
EUR | 21,250,000 | South Africa Government International Bond, 3.75%, due 07/24/26 | 23,217,951 | |||||||
|
| |||||||||
Total South Africa (Cost: $73,897,581) | 69,930,128 | |||||||||
|
|
See accompanying notes to financial statements.
22
Table of Contents
TCW Emerging Markets Income Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
South Korea (Cost: $20,680,000) (0.6%) | ||||||||||
$ | 20,680,000 | Woori Bank, (144A), 5%, due 06/10/45 (2)(4) | $ | 20,736,518 | ||||||
|
| |||||||||
Sri Lanka (1.8%) | ||||||||||
26,400,000 | Sri Lanka Government International Bond, (Reg. S), 6%, due 01/14/19 (3) | 26,627,964 | ||||||||
32,000,000 | Sri Lanka Government International Bond, (Reg. S), 6.25%, due 07/27/21 (3) | 31,848,000 | ||||||||
|
| |||||||||
Total Sri Lanka (Cost: $60,948,744) | 58,475,964 | |||||||||
|
| |||||||||
Turkey (5.0%) | ||||||||||
13,900,000 | Export Credit Bank of Turkey, (Reg. S), 5%, due 09/23/21 (3) | 13,917,375 | ||||||||
49,500,000 | Hazine Mustesarligi Varlik Kiralama AS, (144A), 4.489%, due 11/25/24 (2) | 48,660,876 | ||||||||
69,150,000 | Turkey Government International Bond, 3.25%, due 03/23/23 | 64,427,746 | ||||||||
9,500,000 | Turkey Government International Bond, 4.875%, due 04/16/43 | 8,576,600 | ||||||||
26,700,000 | Turkey Government International Bond, 5.125%, due 03/25/22 | 27,981,600 | ||||||||
|
| |||||||||
Total Turkey (Cost: $167,155,084) | 163,564,197 | |||||||||
|
| |||||||||
Ukraine (Cost: $92,283,780) (2.6%) | ||||||||||
103,867,000 | Ukraine Government International Bond, (Reg. S), 6.875%, due 09/23/15 (3) | 84,132,270 | ||||||||
|
| |||||||||
United Arab Emirates (Cost: $26,023,375) (0.7%) | ||||||||||
22,930,000 | DP World, Ltd., (Reg. S), 6.85%, due 07/02/37(3) | 24,388,348 | ||||||||
|
| |||||||||
United Kingdom (Cost: $18,382,660) (0.6%) | ||||||||||
18,500,000 | Sable International Finance, Ltd., (144A), 6.875%, due 08/01/22 (2) | 18,847,800 | ||||||||
|
| |||||||||
Uruguay (1.1%) | ||||||||||
19,500,000 | Uruguay Government International Bond, 4.375%, due 10/27/27 | 19,422,000 | ||||||||
18,500,000 | Uruguay Government International Bond, 5.1%, due 06/18/50 | 16,696,250 | ||||||||
|
| |||||||||
Total Uruguay (Cost: $37,915,431) | 36,118,250 | |||||||||
|
| |||||||||
Venezuela (2.1%) | ||||||||||
84,500,000 | Petroleos de Venezuela S.A., (Reg. S), 6%, due 11/15/26 (3) | 29,938,350 | ||||||||
25,900,000 | Venezuela Government International Bond, 7.65%, due 04/21/25 | 9,906,750 | ||||||||
76,825,000 | Venezuela Government International Bond, (Reg. S), 8.25%, due 10/13/24 (3) | 29,577,625 | ||||||||
|
| |||||||||
Total Venezuela (Cost: $122,860,237) | 69,422,725 | |||||||||
|
| |||||||||
Vietnam (Cost: $32,565,398) (1.0%) | ||||||||||
31,958,000 | Vietnam Government International Bond, (144A), 4.8%, due 11/19/24 (2) | 31,274,099 | ||||||||
|
| |||||||||
Total Fixed Income Securities (Cost: $3,261,416,869) (94.9%) | 3,089,931,562 | |||||||||
|
| |||||||||
Number of Shares | Equity Securities | |||||||||
Mexico (0.0%) | ||||||||||
240,079 | Hipotecaria Su Casita S.A. de C.V., SOFOM E.N.R. (1) | — | ||||||||
|
| |||||||||
Total Equity Securities (Cost: $0) (0%) | — | |||||||||
|
|
See accompanying notes to financial statements.
23
Table of Contents
TCW Emerging Markets Income Fund
Schedule of Investments (Continued)
Notional Amount | Currency Options | Value | ||||||||
$ | 44,015,000 | EUR Call / USD Put, Strike Price EUR 1.12, Expires 11/23/15 (6) | $ | 155,329 | ||||||
1,350,000 | EUR Call / USD Put, Strike Price EUR 1.12, Expires 11/23/15 (7) | 4,764 | ||||||||
|
| |||||||||
Total Currency Options (Cost: $475,543) (0%) | 160,093 | |||||||||
|
| |||||||||
Number of Shares | Money Market Investments | |||||||||
120,006,737 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (8) | 120,006,737 | ||||||||
|
| |||||||||
Total Money Market Investments (Cost: $120,006,737) (3.7%) | 120,006,737 | |||||||||
|
| |||||||||
Principal Amount | Short-Term Investments | |||||||||
U.S. Treasury Security (Cost: $2,159,982) (0.1%) | ||||||||||
$ | 2,160,000 | U.S. Treasury Bill, 0.01%, due 02/25/16 (9)(10) | 2,159,464 | |||||||
|
| |||||||||
Total Short-Term Investments (Cost: $2,159,982) (0.1%) | 2,159,464 | |||||||||
|
| |||||||||
Total Investments (Cost: $3,384,059,131) (98.7%) | 3,212,257,856 | |||||||||
Excess of Other Assets over Liabilities (1.3%) | 42,834,479 | |||||||||
|
| |||||||||
Total Net Assets (100.0%) | $ | 3,255,092,335 | ||||||||
|
|
Forward Currency Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
BUY (11) | ||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | KRW | 42,950,624,000 | 12/22/15 | $ | 38,215,359 | $ | 37,613,863 | $ | (601,496 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 38,215,359 | $ | 37,613,863 | $ | (601,496 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (12) | ||||||||||||||||||||||||
Bank of America | INR | 8,431,357,000 | 12/07/15 | $ | 128,400,000 | $ | 128,235,395 | $ | 164,605 | |||||||||||||||
Bank of America | KRW | 21,541,424,000 | 12/22/15 | 18,443,000 | 18,864,829 | (421,829 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | KRW | 21,409,200,000 | 12/22/15 | 18,000,000 | 18,749,034 | (749,034 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 164,843,000 | $ | 165,849,258 | $ | (1,006,258 | ) | ||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
24
Table of Contents
TCW Emerging Markets Income Fund
October 31, 2015 |
Futures Contracts | ||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional Contract Value | Net Unrealized Appreciation | ||||||||||||
SELL | ||||||||||||||||
1,781 | 5-Year U.S. Treasury Note Futures | 12/31/15 | $ | 213,316,493 | $ | 191,212 | ||||||||||
|
|
|
|
Notes to the Schedule of Investments:
EUR | - Euro Currency. |
INR - | Indian Rupee. |
KRW - | South Korean Won. |
(1) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2015, the value of these securities amounted to $890,244,676 or 27.4% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | Investments issued under Regulation S of the Securities Act of 1933, may not be offered, sold, or delivered within the United States except under special exemptions. At October 31, 2015, the value of these securities amounted to $1,205,707,826 or 37.0% of net assets. |
(4) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2015. |
(5) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(6) | Over-the-counter traded option; Counterparty — Citigroup Global Market, Inc. |
(7) | Over-the-counter traded option; Counterparty — Bank of America. |
(8) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
(9) | All or a portion of this security is held as collateral for open futures contracts. |
(10) | Rate shown represents yield-to-maturity. |
(11) | Fund buys foreign currency, sells U.S. Dollar. |
(12) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
25
Table of Contents
TCW Emerging Markets Income Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Airlines | 2.4 | % | ||
Auto Parts & Equipment | 0.5 | |||
Banks | 9.1 | |||
Building Materials | 1.1 | |||
Chemicals | 0.3 | |||
Commercial Services | 0.7 | |||
Diversified Financial Services | 2.5 | |||
Electric | 1.8 | |||
Foreign Government Bonds | 60.0 | |||
Holding Companies — Diversified | 0.6 | |||
Household Products/Wares | 0.6 | |||
Internet | 0.4 | |||
Iron & Steel | 0.7 | |||
Lodging | 0.3 | |||
Media | 0.7 | |||
Mining | 1.6 | |||
Oil & Gas | 7.3 | |||
Regional (State & Province) | 0.4 | |||
Telecommunications | 2.3 | |||
Transportation | 0.9 | |||
Utilities | 0.7 | |||
Purchased Options | 0.0 | * | ||
Money Market Investments | 3.7 | |||
Short-Term Investments | 0.1 | |||
|
| |||
Total | 98.7 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
26
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments | October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Brazil (11.1% of Net Assets) | ||||||||||
BRL | 35,963,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/17 | $ | 8,868,978 | ||||||
BRL | 35,640,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/18 | 8,396,450 | |||||||
BRL | 28,350,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/21 | 5,989,577 | |||||||
BRL | 11,500,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/23 | 2,298,887 | |||||||
BRL | 14,780,000 | Brazil Notas do Tesouro Nacional, Series F, 10%, due 01/01/25 | 2,824,860 | |||||||
|
| |||||||||
Total Brazil (Cost: $34,796,501) | 28,378,752 | |||||||||
|
| |||||||||
Colombia (7.1%) | ||||||||||
COP | 5,232,000,000 | Colombian TES (Treasury) Bond, 6%, due 04/28/28 | 1,491,704 | |||||||
COP | 8,338,000,000 | Colombian TES (Treasury) Bond, 7%, due 09/11/19 | 2,891,381 | |||||||
COP | 11,094,000,000 | Colombian TES (Treasury) Bond, 7%, due 05/04/22 | 3,770,836 | |||||||
COP | 15,907,000,000 | Colombian TES (Treasury) Bond, 7.5%, due 08/26/26 | 5,297,034 | |||||||
COP | 4,163,200,000 | Colombian TES (Treasury) Bond, 7.75%, due 09/18/30 | 1,354,570 | |||||||
COP | 8,285,000,000 | Colombian TES (Treasury) Bond, 10%, due 07/24/24 | 3,255,734 | |||||||
|
| |||||||||
Total Colombia (Cost: $21,834,955) | 18,061,259 | |||||||||
|
| |||||||||
Greece (Cost: $756,177) (0.3%) | ||||||||||
EUR | 750,000 | Hellenic Republic Government Bond, (Reg. S), 4.75%, due 04/17/19 (1) | 758,812 | |||||||
|
| |||||||||
Hungary (7.3%) | ||||||||||
HUF | 784,800,000 | Hungary Government Bond, 3%, due 06/26/24 | 2,711,812 | |||||||
HUF | 1,444,000,000 | Hungary Government Bond, 5.5%, due 06/24/25 | 6,031,159 | |||||||
HUF | 952,370,000 | Hungary Government Bond, 6%, due 11/24/23 | 4,026,308 | |||||||
HUF | 1,355,000,000 | Hungary Government Bond, 7%, due 06/24/22 | 5,944,185 | |||||||
|
| |||||||||
Total Hungary (Cost: $18,920,697) | 18,713,464 | |||||||||
|
| |||||||||
India (7.2%) | ||||||||||
INR | 181,370,000 | India Government Bond, 7.28%, due 06/03/19 | 2,765,867 | |||||||
INR | 180,200,000 | India Government Bond, 8.83%, due 11/25/23 | 2,920,233 | |||||||
INR | 100,000,000 | Power Finance Corp., Ltd., 8.98%, due 10/08/24 | 1,593,139 | |||||||
INR | 50,000,000 | Power Grid Corp. of India, Ltd., 9.64%, due 05/31/17 | 784,674 | |||||||
INR | 125,000,000 | Power Grid Corp. of India, Ltd., 9.64%, due 05/31/18 | 1,984,608 | |||||||
INR | 175,000,000 | Power Grid Corp. of India, Ltd., 9.64%, due 05/31/19 | 2,805,667 | |||||||
INR | 350,000,000 | Rural Electrification Corp., Ltd., 8.3%, due 04/10/25 | 5,411,891 | |||||||
|
| |||||||||
Total India (Cost: $20,831,710) | 18,266,079 | |||||||||
|
| |||||||||
Indonesia (6.1%) | ||||||||||
IDR | 27,406,000,000 | Indonesia Treasury Bond, 5.625%, due 05/15/23 | 1,643,112 | |||||||
IDR | 84,470,000,000 | Indonesia Treasury Bond, 7.875%, due 04/15/19 | 6,014,943 | |||||||
IDR | 83,658,000,000 | Indonesia Treasury Bond, 8.375%, due 03/15/24 | 5,976,497 | |||||||
IDR | 24,656,000,000 | Indonesia Treasury Bond, 9%, due 03/15/29 | 1,787,874 | |||||||
|
| |||||||||
Total Indonesia (Cost: $17,435,289) | 15,422,426 | |||||||||
|
| |||||||||
Malaysia (8.7%) | ||||||||||
MYR | 6,809,000 | Malaysia Government Bond, 3.48%, due 03/15/23 | 1,520,772 | |||||||
MYR | 21,700,000 | Malaysia Government Bond, 3.659%, due 10/15/20 | 5,034,036 | |||||||
MYR | 10,500,000 | Malaysia Government Bond, 3.759%, due 03/15/19 | 2,456,660 |
See accompanying notes to financial statements.
27
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Malaysia (Continued) | ||||||||||
MYR | 24,535,000 | Malaysia Government Bond, 3.795%, due 09/30/22 | $ | 5,615,528 | ||||||
MYR | 10,047,000 | Malaysia Government Bond, 4.16%, due 07/15/21 | 2,356,227 | |||||||
MYR | 5,120,000 | Malaysia Government Bond, 4.181%, due 07/15/24 | 1,192,435 | |||||||
MYR | 10,848,000 | Malaysia Government Bond, 4.378%, due 11/29/19 | 2,586,122 | |||||||
MYR | 2,341,000 | Malaysia Government Bond, 4.392%, due 04/15/26 | 551,056 | |||||||
MYR | 4,200,000 | Malaysia Government Bond, 4.498%, due 04/15/30 | 991,353 | |||||||
|
| |||||||||
Total Malaysia (Cost: $24,082,227) | 22,304,189 | |||||||||
|
| |||||||||
Mexico (9.8%) | ||||||||||
MXN | 33,463,244 | Mexican UDIBONOS Government Bond, 4.5%, due 12/04/25 | 2,301,101 | |||||||
MXN | 54,200,000 | Mexican BONOS Government Bond, 5.75%, due 03/05/26 | 3,178,089 | |||||||
MXN | 75,120,000 | Mexican BONOS Government Bond, 8%, due 06/11/20 | 5,073,097 | |||||||
MXN | 43,200,000 | Mexican BONOS Government Bond, 8%, due 12/07/23 | 2,961,240 | |||||||
MXN | 76,550,000 | Mexican BONOS Government Bond, 8.5%, due 12/13/18 | 5,139,547 | |||||||
MXN | 89,180,000 | Mexican BONOS Government Bond, 8.5%, due 05/31/29 | 6,429,107 | |||||||
|
| |||||||||
Total Mexico (Cost: $26,024,746) | 25,082,181 | |||||||||
|
| |||||||||
Romania (4.7%) | ||||||||||
RON | 5,300,000 | Romania Government Bond, 4.75%, due 02/24/25 | 1,457,134 | |||||||
RON | 13,920,000 | Romania Government Bond, 5.8%, due 07/26/27 | 4,057,364 | |||||||
RON | 22,300,000 | Romania Government Bond, 5.85%, due 04/26/23 | 6,515,126 | |||||||
|
| |||||||||
Total Romania (Cost: $12,108,832) | 12,029,624 | |||||||||
|
| |||||||||
Russia (5.7%) | ||||||||||
RUB | 136,200,000 | Russian Federal Bond — OFZ, 7.5%, due 03/15/18 | 2,026,406 | |||||||
RUB | 221,400,000 | Russian Federal Bond — OFZ, 6.8%, due 12/11/19 | 3,110,927 | |||||||
RUB | 495,959,000 | Russian Federal Bond — OFZ, 6.4%, due 05/27/20 | 6,804,893 | |||||||
RUB | 175,700,000 | Russian Federal Bond — OFZ, 7.6%, due 04/14/21 | 2,497,382 | |||||||
|
| |||||||||
Total Russia (Cost: $16,177,968) | 14,439,608 | |||||||||
|
| |||||||||
Serbia (3.2%) | ||||||||||
RSD | 108,500,000 | Serbia Treasury Bond, 10%, due 04/25/16 | 1,023,049 | |||||||
RSD | 279,000,000 | Serbia Treasury Bond, 10%, due 06/12/16 | 2,649,207 | |||||||
RSD | 150,000,000 | Serbia Treasury Bond, 10%, due 06/27/16 | 1,425,743 | |||||||
RSD | 159,500,000 | Serbia Treasury Bond, 10%, due 10/17/16 | 1,538,517 | |||||||
RSD | 150,000,000 | Serbia Treasury Bond, 10%, due 03/02/18 | 1,509,219 | |||||||
|
| |||||||||
Total Serbia (Cost: $7,860,374) | 8,145,735 | |||||||||
|
| |||||||||
South Africa (9.2%) | ||||||||||
ZAR | 39,064,000 | South Africa Government Bond, 6.75%, due 03/31/21 | 2,693,623 | |||||||
ZAR | 34,900,000 | South Africa Government Bond, 7.25%, due 01/15/20 | 2,489,092 | |||||||
ZAR | 80,300,000 | South Africa Government Bond, 8%, due 01/31/30 | 5,469,274 | |||||||
ZAR | 4,700,000 | South Africa Government Bond, 8.25%, due 09/15/17 | 347,571 | |||||||
ZAR | 2,700,000 | South Africa Government Bond, 8.25%, due 09/15/17 | 199,669 | |||||||
ZAR | 20,500,000 | South Africa Government Bond, 8.5%, due 01/31/37 | 1,411,049 | |||||||
ZAR | 36,520,000 | South Africa Government Bond, 8.75%, due 02/28/48 | 2,554,174 |
See accompanying notes to financial statements.
28
Table of Contents
TCW Emerging Markets Local Currency Income Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
South Africa (Continued) | ||||||||||
ZAR | 58,207,000 | South Africa Government Bond, 10.5%, due 12/21/26 | $ | 4,871,608 | ||||||
ZAR | 42,200,000 | South Africa Government Bond, 10.5%, due 12/21/26 | 3,531,909 | |||||||
|
| |||||||||
Total South Africa (Cost: $26,260,876) | 23,567,969 | |||||||||
|
| |||||||||
Thailand (3.3%) | ||||||||||
THB | 34,000,000 | Thailand Government Bond, 3.58%, due 12/17/27 | 1,032,690 | |||||||
THB | 126,850,000 | Thailand Government Bond, 3.625%, due 06/16/23 | 3,809,694 | |||||||
THB | 88,280,000 | Thailand Government Bond, 3.65%, due 12/17/21 | 2,648,746 | |||||||
THB | 24,300,000 | Thailand Government Bond, 4.875%, due 06/22/29 | 838,023 | |||||||
|
| |||||||||
Total Thailand (Cost: $8,885,788) | 8,329,153 | |||||||||
|
| |||||||||
Turkey (9.9%) | ||||||||||
TRY | 10,960,000 | Turkey Government Bond, 6.3%, due 02/14/18 | 3,493,603 | |||||||
TRY | 24,500,000 | Turkey Government Bond, 7.1%, due 03/08/23 | 7,304,729 | |||||||
TRY | 7,300,000 | Turkey Government Bond, 8.2%, due 11/16/16 | 2,460,328 | |||||||
TRY | 5,450,000 | Turkey Government Bond, 8.3%, due 06/20/18 | 1,799,758 | |||||||
TRY | 8,900,000 | Turkey Government Bond, 9%, due 07/24/24 | 2,932,941 | |||||||
TRY | 17,800,000 | Turkey Government Bond, 9.4%, due 07/08/20 | 6,037,059 | |||||||
TRY | 3,835,000 | Turkey Government Bond, 10.7%, due 02/24/16 | 1,318,462 | |||||||
|
| |||||||||
Total Turkey (Cost: $26,609,311) | 25,346,880 | |||||||||
|
| |||||||||
Total Fixed Income Securities (Cost: $262,585,451) (93.6%) | 238,846,131 | |||||||||
|
| |||||||||
Notional Amount | Currency Options | |||||||||
$ | 100,000 | EUR Call / USD Put, Strike Price EUR 1.12, Expires 11/23/15 (2) | 353 | |||||||
3,260,000 | EUR Call / USD Put, Strike Price EUR 1.12, Expires 11/23/15 (3) | 11,504 | ||||||||
5,100,000 | EUR Call / USD Put, Strike Price EUR 1.14, Expires 11/19/15 (2) | 3,861 | ||||||||
|
| |||||||||
Total Currency Options (Cost: $80,484) (0%) | 15,718 | |||||||||
|
| |||||||||
Number of Shares | Money Market Investments | |||||||||
5,339,672 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (4) | 5,339,672 | ||||||||
|
| |||||||||
Total Money Market Investments (Cost: $5,339,672) (2.1%) | 5,339,672 | |||||||||
|
| |||||||||
Total Investments (Cost: $268,005,607) (95.7%) | 244,201,521 | |||||||||
Excess of Other Assets over Liabilities (4.3%) | 11,102,525 | |||||||||
|
| |||||||||
Total Net Assets (100.0%) | $ | 255,304,046 | ||||||||
|
|
See accompanying notes to financial statements.
29
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Continued)
Forward Currency Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
BUY (5) | ||||||||||||||||||||||||
Bank of America | IDR | 31,809,000,000 | 11/27/15 | $ | 2,300,000 | $ | 2,308,021 | $ | 8,021 | |||||||||||||||
Bank of America | MYR | 21,005,000 | 11/09/15 | 5,013,126 | 4,886,234 | (126,892 | ) | |||||||||||||||||
Bank of America | MYR | 10,774,400 | 12/21/15 | 2,485,444 | 2,499,683 | 14,239 | ||||||||||||||||||
Bank of America | PLN | 14,092,930 | 12/22/15 | 3,700,000 | 3,653,411 | (46,589 | ) | |||||||||||||||||
Bank of America | SGD | 7,057,500 | 11/09/15 | 5,000,000 | 5,038,038 | 38,038 | ||||||||||||||||||
Bank of America | THB | 132,497,000 | 01/27/16 | 3,700,000 | 3,714,295 | 14,295 | ||||||||||||||||||
Bank of America | THB | 184,750,000 | 04/08/16 | 5,000,000 | 5,169,704 | 169,704 | ||||||||||||||||||
Citibank N.A. | MXN | 39,515,150 | 11/27/15 | 2,300,000 | 2,386,568 | 86,568 | ||||||||||||||||||
Citibank N.A. | MXN | 43,690,875 | 01/06/16 | 2,640,889 | 2,631,483 | (9,406 | ) | |||||||||||||||||
Citibank N.A. | PEN | 4,664,640 | 11/06/15 | 1,376,000 | 1,419,531 | 43,531 | ||||||||||||||||||
Citibank N.A. | PHP | 58,925,000 | 12/02/15 | 1,250,000 | 1,256,464 | 6,464 | ||||||||||||||||||
Citibank N.A. | PLN | 45,257,770 | 12/22/15 | 12,210,000 | 11,732,494 | (477,506 | ) | |||||||||||||||||
Citibank N.A. | RUB | 150,385,500 | 09/02/16 | 2,070,000 | 2,170,098 | 100,098 | ||||||||||||||||||
Citibank N.A. | THB | 84,594,000 | 12/28/15 | 2,300,000 | 2,373,712 | 73,712 | ||||||||||||||||||
Citibank N.A. | TRY | 14,908,850 | 12/21/15 | 5,032,165 | 5,048,247 | 16,082 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | BRL | 17,763,750 | 01/04/16 | 4,500,000 | 4,532,725 | 32,725 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | COP | 3,229,050,000 | 12/22/15 | 1,100,000 | 1,110,139 | 10,139 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | KRW | 5,639,812,000 | 12/22/15 | 5,018,028 | 4,939,046 | (78,982 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | MXN | 13,651,360 | 01/06/16 | 820,000 | 822,216 | 2,216 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | PEN | 3,769,760 | 11/06/15 | 1,120,452 | 1,147,204 | 26,752 | ||||||||||||||||||
Morgan Stanley & Co., Inc. | THB | 81,638,500 | 04/08/16 | 2,300,001 | 2,284,422 | (15,579 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 71,236,105 | $ | 71,123,735 | $ | (112,370 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (6) | ||||||||||||||||||||||||
Bank of America | COP | 7,278,200,000 | 12/22/15 | $ | 2,410,000 | $ | 2,502,226 | $ | (92,226 | ) | ||||||||||||||
Bank of America | INR | 1,257,768,000 | 12/07/15 | 19,100,000 | 19,129,825 | (29,825 | ) | |||||||||||||||||
Bank of America | KRW | 2,809,040,000 | 12/22/15 | 2,405,000 | 2,460,007 | (55,007 | ) | |||||||||||||||||
Bank of America | MYR | 21,005,000 | 11/09/15 | 5,000,000 | 4,886,234 | 113,766 | ||||||||||||||||||
Bank of America | MYR | 10,774,400 | 12/21/15 | 2,600,000 | 2,499,683 | 100,317 | ||||||||||||||||||
Bank of America | SGD | 7,057,500 | 11/09/15 | 5,103,037 | 5,038,038 | 64,999 | ||||||||||||||||||
Citibank N.A. | BRL | 37,439,925 | 01/04/16 | 9,050,000 | 9,553,438 | (503,438 | ) | |||||||||||||||||
Citibank N.A. | MXN | 39,515,150 | 11/27/15 | 2,333,824 | 2,386,568 | (52,744 | ) | |||||||||||||||||
Citibank N.A. | PEN | 8,434,400 | 11/06/15 | 2,600,000 | 2,566,735 | 33,265 | ||||||||||||||||||
Citibank N.A. | TRY | 14,908,850 | 12/21/15 | 4,900,000 | 5,048,247 | (148,247 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | KRW | 2,830,772,000 | 12/22/15 | 2,380,000 | 2,479,039 | (99,039 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | MXN | 57,342,235 | 01/06/16 | 3,370,000 | 3,453,699 | (83,699 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 61,251,861 | $ | 62,003,739 | $ | (751,878 | ) | ||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
30
Table of Contents
TCW Emerging Markets Local Currency Income Fund
October 31, 2015 |
Notes to the Schedule of Investments:
BRL - | Brazilian Real. |
COP - | Colombian Peso. |
EUR - | Euro Currency. |
HUF - | Hungarian Forint. |
IDR - | Indonesian Rupiah. |
INR - | Indian Rupee. |
KRW - | South Korean Won. |
MXN - | Mexican Peso. |
MYR - | Malaysian Ringgit. |
PEN - | Peruvian Nouveau Sol. |
PHP - | Philippines Peso. |
PLN - | Polish Zloty. |
RON - | New Romanian Leu. |
RSD - | Serbian Dinar. |
RUB - | Russian Ruble. |
SGD - | Singapore Dollar. |
THB - | Thai Baht. |
TRY - | New Turkish Lira. |
ZAR - | South African Rand. |
(1) | Investments issued under Regulation S of the Securities Act of 1933, may not be offered, sold, or delivered within the United States except under special exemptions. At October 31, 2015, the value of these securities amounted to $758,812 or 0.3% of net assets. |
(2) | Over-the-counter traded option; Counterparty — Bank of America. |
(3) | Over-the-counter traded option; Counterparty — Citigroup Global Market, Inc. |
(4) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
(5) | Fund buys foreign currency, sells U.S. Dollar. |
(6) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
31
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TCW Emerging Markets Local Currency Income Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Diversified Financial Services | 2.7 | % | ||
Electric | 2.2 | |||
Foreign Government Bonds | 88.7 | |||
Purchased Options | 0.0 | * | ||
Money Market Investments | 2.1 | |||
|
| |||
Total | 95.7 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
32
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TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments | October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Argentina (2.6% of Net Assets) | ||||||||||
$ | 180,000 | Argentine Republic Government International Bond, 0%, due 12/15/35 | $ | 17,595 | ||||||
EUR | 195,000 | Argentine Republic Government International Bond, 2.26%, due 12/31/38 (1) | 120,240 | |||||||
EUR | 165,132 | Argentine Republic Government International Bond, 7.82%, due 12/31/33 (1) | 188,798 | |||||||
$ | 154,224 | Argentine Republic Government International Bond, 8.28%, due 12/31/33 (1) | 171,960 | |||||||
70,102 | Argentine Republic Government International Bond, 8.28%, due 12/31/33 (1) | 78,164 | ||||||||
363,000 | Argentine Republic Government International Bond, 8.75%, due 06/02/17 (1) | 398,392 | ||||||||
150,000 | Provincia de Buenos Aires, (144A), 9.95%, due 06/09/21 (2) | 154,742 | ||||||||
|
| |||||||||
Total Argentina (Cost: $982,425) | 1,129,891 | |||||||||
|
| |||||||||
Brazil (2.1%) | ||||||||||
100,000 | Brazilian Government International Bond, 4.875%, due 01/22/21 | 98,850 | ||||||||
330,000 | Brazilian Government International Bond, 5.625%, due 01/07/41 | 269,742 | ||||||||
445,000 | Petrobras Global Finance BV, 4.875%, due 03/17/20 | 364,900 | ||||||||
52,000 | Petrobras Global Finance BV, 5.875%, due 03/01/18 | 49,244 | ||||||||
150,000 | Vale Overseas, Ltd., 6.875%, due 11/21/36 | 122,865 | ||||||||
|
| |||||||||
Total Brazil (Cost: $1,009,260) | 905,601 | |||||||||
|
| |||||||||
Chile (1.5%) | ||||||||||
250,000 | Empresa Electrica Angamos S.A., (144A), 4.875%, due 05/25/29 (2) | 234,000 | ||||||||
200,000 | Latam Airlines Group S.A., (144A), 7.25%, due 06/09/20 (2) | 186,600 | ||||||||
230,000 | Latam Airlines Pass-Through Trust (2015-1), (144A), 4.2%, due 11/15/27 (2) | 219,949 | ||||||||
|
| |||||||||
Total Chile (Cost: $678,438) | 640,549 | |||||||||
|
| |||||||||
China (Cost: $205,042) (0.5%) | ||||||||||
200,000 | Shimao Property Holdings Ltd, (Reg. S), 6.625%, due 01/14/20 (3) | 208,700 | ||||||||
|
| |||||||||
Colombia (2.0%) | ||||||||||
170,000 | Bancolombia S.A., 5.125%, due 09/11/22 | 169,320 | ||||||||
100,000 | Colombia Government International Bond, 4%, due 02/26/24 | 98,350 | ||||||||
200,000 | Colombia Government International Bond, 4.5%, due 01/28/26 | 198,700 | ||||||||
200,000 | Colombia Government International Bond, 5%, due 06/15/45 | 178,500 | ||||||||
200,000 | Colombia Telecomunicaciones S.A. ESP, (Reg. S), 5.375%, due 09/27/22 (3) | 179,000 | ||||||||
55,000 | Ecopetrol S.A., 5.375%, due 06/26/26 | 51,480 | ||||||||
|
| |||||||||
Total Colombia (Cost: $923,345) | 875,350 | |||||||||
|
| |||||||||
Costa Rica (Cost: $197,300) (0.4%) | ||||||||||
200,000 | Costa Rica Government International Bond, (Reg. S), 7%, due 04/04/44 (3) | 180,750 | ||||||||
|
| |||||||||
Croatia (1.4%) | ||||||||||
200,000 | Croatia Government International Bond, (Reg. S), 5.5%, due 04/04/23 (3) | 206,750 | ||||||||
400,000 | Croatia Government International Bond, (Reg. S), 6%, due 01/26/24 (3) | 426,000 | ||||||||
|
| |||||||||
Total Croatia (Cost: $636,459) | 632,750 | |||||||||
|
| |||||||||
Dominican Republic (1.3%) | ||||||||||
150,000 | Dominican Republic International Bond, (144A), 5.5%, due 01/27/25 (2) | 148,875 | ||||||||
200,000 | Dominican Republic International Bond, (144A), 6.85%, due 01/27/45 (2) | 199,000 | ||||||||
200,000 | Dominican Republic International Bond, (Reg. S), 5.875%, due 04/18/24 (3) | 204,860 | ||||||||
|
| |||||||||
Total Dominican Republic (Cost: $558,205) | 552,735 | |||||||||
|
|
See accompanying notes to financial statements.
33
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TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
Greece (Cost: $103,759) (0.2%) | ||||||||||
EUR | 103,000 | Hellenic Republic Government Bond, (Reg. S), 4.75%, due 04/17/19 (3) | $ | 104,210 | ||||||
|
| |||||||||
Guatemala (0.8%) | ||||||||||
$ | 250,000 | Comcel Trust via Comunicaciones Celulares S.A., (Reg. S), | 202,500 | |||||||
180,000 | Industrial Senior Trust, (144A), 5.5%, due 11/01/22 (2) | 164,939 | ||||||||
|
| |||||||||
Total Guatemala (Cost: $438,019) | 367,439 | |||||||||
|
| |||||||||
Hungary (1.8%) | ||||||||||
80,000 | Hungary Government International Bond, 5.375%, due 03/25/24 | 88,528 | ||||||||
200,000 | Hungary Government International Bond, 5.75%, due 11/22/23 | 225,750 | ||||||||
475,000 | Magyar Export-Import Bank Zrt, (144A), 4%, due 01/30/20 (2) | 484,595 | ||||||||
|
| |||||||||
Total Hungary (Cost: $779,299) | 798,873 | |||||||||
|
| |||||||||
India (2.2%) | ||||||||||
INR | 15,000,000 | Export-Import Bank of India, 8.87%, due 10/30/29 | 246,444 | |||||||
$ | 100,000 | ICICI Bank, Ltd., (Reg. S), 6.375%, due 04/30/22 (3)(4) | 102,935 | |||||||
INR | 9,840,000 | India Government Bond, 7.28%, due 06/03/19 | 150,059 | |||||||
INR | 13,000,000 | Power Finance Corp., Ltd., 8.98%, due 10/08/24 | 207,108 | |||||||
INR | 7,000,000 | Rural Electrification Corp., Ltd., 8.3%, due 04/10/25 | 108,238 | |||||||
$ | 200,000 | Vedanta Resources PLC, (Reg. S), 6%, due 01/31/19 (3) | 161,500 | |||||||
|
| |||||||||
Total India (Cost: $1,021,605) | 976,284 | |||||||||
|
| |||||||||
Indonesia (2.2%) | ||||||||||
200,000 | Indonesia Government International Bond, (144A), 5.125%, due 01/15/45 (2) | 187,000 | ||||||||
200,000 | Pertamina Persero PT, (Reg. S), 4.3%, due 05/20/23 (3) | 188,720 | ||||||||
200,000 | Perusahaan Gas Negara Persero Tbk PT, (144A), 5.125%, due 05/16/24 (2) | 198,825 | ||||||||
200,000 | Perusahaan Penerbit SBSN Indonesia III, (144A), 4.35%, due 09/10/24 (2) | 195,480 | ||||||||
200,000 | Perusahaan Penerbit SBSN Indonesia III, (Reg. S), 4.325%, due 05/28/25 (3) | 194,500 | ||||||||
|
| |||||||||
Total Indonesia (Cost: $981,689) | 964,525 | |||||||||
|
| |||||||||
Ivory Coast (Cost: $195,910) (0.4%) | ||||||||||
200,000 | Ivory Coast Government International Bond, (144A), 6.375%, due 03/03/28 (2) | 185,250 | ||||||||
|
| |||||||||
Kazakhstan (Cost: $197,952) (0.5%) | ||||||||||
200,000 | Kazakhstan Government International Bond, (144A), 5.125%, due 07/21/25 (2) | 200,000 | ||||||||
|
| |||||||||
Lebanon (0.8%) | ||||||||||
250,000 | Lebanon Government International Bond, (Reg. S), 5.8%, due 04/14/20 (3) | 250,500 | ||||||||
115,000 | Lebanon Government International Bond, (Reg. S), 6%, due 05/20/19 (3) | 117,126 | ||||||||
|
| |||||||||
Total Lebanon (Cost: $373,021) | 367,626 | |||||||||
|
| |||||||||
Mexico (1.4%) | ||||||||||
200,000 | Alfa S.A.B. de C.V., (Reg. S), 6.875%, due 03/25/44 (3) | 200,500 | ||||||||
200,000 | Cemex S.A.B. de C.V., (144A), 6.5%, due 12/10/19 (2) | 204,000 | ||||||||
100,000 | Controladora Mabe S.A. de C.V., (Reg. S), 7.875%, due 10/28/19 (3) | 109,550 | ||||||||
100,000 | Mexico Government International Bond, 3.6%, due 01/30/25 | 99,625 | ||||||||
|
| |||||||||
Total Mexico (Cost: $611,676) | 613,675 | |||||||||
|
|
See accompanying notes to financial statements.
34
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2015 |
Principal Amount | Fixed Income Securities | Value | ||||||||
Pakistan (Cost: $199,000) (0.5%) | ||||||||||
$ | 200,000 | Pakistan Government International Bond, (144A), 8.25%, due 04/15/24 (2) | $ | 213,280 | ||||||
|
| |||||||||
Panama (Cost: $249,130) (0.6%) | ||||||||||
250,000 | Global Bank Corp., (144A), 5.125%, due 10/30/19 (2) | 253,750 | ||||||||
|
| |||||||||
Paraguay (1.2%) | ||||||||||
150,000 | Banco Continental SAECA, (144A), 8.875%, due 10/15/17 (2) | 152,795 | ||||||||
150,000 | Banco Regional SAECA, (144A), 8.125%, due 01/24/19 (2) | 154,500 | ||||||||
200,000 | Republic of Paraguay, (Reg. S), 6.1%, due 08/11/44 (3) | 204,000 | ||||||||
|
| |||||||||
Total Paraguay (Cost: $503,916) | 511,295 | |||||||||
|
| |||||||||
Peru (1.6%) | ||||||||||
100,000 | BBVA Banco Continental S.A., (144A), 5.25%, due 09/22/29 (2)(4) | 100,250 | ||||||||
250,000 | Corp. Financiera de Desarrollo S.A., (144A), 5.25%, due 07/15/29 (2)(4) | 250,500 | ||||||||
145,000 | Peruvian Government International Bond, 4.125%, due 08/25/27 | 146,088 | ||||||||
150,000 | Union Andina de Cementos SAA, (144A), 5.875%, due 10/30/21 (2) | 150,937 | ||||||||
75,000 | Volcan Cia Minera SAA, (Reg. S), 5.375%, due 02/02/22 (3) | 67,500 | ||||||||
|
| |||||||||
Total Peru (Cost: $721,697) | 715,275 | |||||||||
|
| |||||||||
Romania (0.8%) | ||||||||||
EUR | 100,000 | Romanian Government International Bond, (144A), 2.75%, due 10/29/25 (2) | 111,984 | |||||||
EUR | 100,000 | Romanian Government International Bond, (144A), 3.875%, due 10/29/35 (2) | 112,951 | |||||||
$ | 100,000 | Romanian Government International Bond, (Reg. S), 4.875%, due 01/22/24 (3) | 108,981 | |||||||
|
| |||||||||
Total Romania (Cost: $333,996) | 333,916 | |||||||||
|
| |||||||||
Russia (2.2%) | ||||||||||
200,000 | Gazprom OAO via Gaz Capital S.A., (Reg. S), 4.95%, due 07/19/22 (3) | 194,000 | ||||||||
200,000 | Russian Foreign Bond — Eurobond, (Reg. S), 4.5%, due 04/04/22 (3) | 205,090 | ||||||||
200,000 | Russian Foreign Bond — Eurobond, (Reg. S), 5%, due 04/29/20 (3) | 210,700 | ||||||||
200,000 | Sberbank of Russia via SB Capital S.A., (Reg. S), 5.18%, due 06/28/19 (3) | 203,529 | ||||||||
200,000 | Sberbank of Russia via SB Capital S.A., (Reg. S), 5.25%, due 05/23/23 (3) | 177,250 | ||||||||
|
| |||||||||
Total Russia (Cost: $971,056) | 990,569 | |||||||||
|
| |||||||||
Serbia (1.0%) | ||||||||||
200,000 | Republic of Serbia, (Reg. S), 4.875%, due 02/25/20 (3) | 207,540 | ||||||||
200,000 | Republic of Serbia, (Reg. S), 5.875%, due 12/03/18 (3) | 212,750 | ||||||||
|
| |||||||||
Total Serbia (Cost: $417,759) | 420,290 | |||||||||
|
| |||||||||
Slovenia (Cost: $229,503) (0.5%) | ||||||||||
200,000 | Slovenia Government International Bond, (Reg. S), 5.5%, due 10/26/22 (3) | 227,082 | ||||||||
|
| |||||||||
South Africa (1.1%) | ||||||||||
200,000 | Gold Fields Orogen Holding BVI, Ltd., (Reg. S), 4.875%, due 10/07/20 (3) | 164,220 | ||||||||
200,000 | Myriad International Holdings BV, (144A), 5.5%, due 07/21/25 (2) | 197,000 | ||||||||
EUR | 100,000 | South Africa Government International Bond, 3.75%, due 07/24/26 | 109,261 | |||||||
|
| |||||||||
Total South Africa (Cost: $498,049) | 470,481 | |||||||||
|
|
See accompanying notes to financial statements.
35
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Continued)
Principal Amount | Fixed Income Securities | Value | ||||||||
South Korea (Cost: $200,000) (0.5%) | ||||||||||
$ | 200,000 | Woori Bank, (144A), 5%, due 06/10/45 (2)(4) | $ | 200,547 | ||||||
|
| |||||||||
Sri Lanka (0.9%) | ||||||||||
300,000 | Sri Lanka Government International Bond, (144A), 6.125%, due 06/03/25 (2) | 283,650 | ||||||||
100,000 | Sri Lanka Government International Bond, (Reg. S), 6.25%, due 10/04/20 (3) | 100,775 | ||||||||
|
| |||||||||
Total Sri Lanka (Cost: $403,502) | 384,425 | |||||||||
|
| |||||||||
Turkey (1.8%) | ||||||||||
200,000 | Hazine Mustesarligi Varlik Kiralama AS, (144A), 4.489%, due 11/25/24 (2) | 196,610 | ||||||||
250,000 | Turkey Government International Bond, 3.25%, due 03/23/23 | 232,927 | ||||||||
350,000 | Turkey Government International Bond, 5.125%, due 03/25/22 | 366,800 | ||||||||
|
| |||||||||
Total Turkey (Cost: $816,634) | 796,337 | |||||||||
|
| |||||||||
Ukraine (Cost: $575,000) (1.1%) | ||||||||||
575,000 | Ukraine Government International Bond, (Reg. S), 6.875%, due 12/01/15 (1)(3) | 465,750 | ||||||||
|
| |||||||||
United Arab Emirates (Cost: $226,405) (0.5%) | ||||||||||
200,000 | DP World, Ltd., (Reg. S), 6.85%, due 07/02/37 (3) | 212,720 | ||||||||
|
| |||||||||
Uruguay (0.4%) | ||||||||||
100,000 | Uruguay Government International Bond, 4.375%, due 10/27/27 | 99,600 | ||||||||
100,000 | Uruguay Government International Bond, 5.1%, due 06/18/50 | 90,250 | ||||||||
|
| |||||||||
Total Uruguay (Cost: $201,627) | 189,850 | |||||||||
|
| |||||||||
Venezuela (0.7%) | ||||||||||
700,000 | Petroleos de Venezuela S.A., (Reg. S), 6%, due 11/15/26 (3) | 248,010 | ||||||||
205,000 | Venezuela Government International Bond, (Reg. S), 8.25%, due 10/13/24 (3) | 78,925 | ||||||||
|
| |||||||||
Total Venezuela (Cost: $623,547) | 326,935 | |||||||||
|
| |||||||||
Vietnam (Cost: $205,481) (0.4%) | ||||||||||
200,000 | Vietnam Government International Bond, (144A), 4.8%, due 11/19/24 (2) | 195,720 | ||||||||
|
| |||||||||
Total Fixed Income Securities (Cost: $17,269,706) (37.9%) | 16,612,430 | |||||||||
|
| |||||||||
Number of Shares | Preferred Stock | |||||||||
Chile (Cost: $164,221) (0.4%) | ||||||||||
49,700 | Embotelladora Andina S.A., 2.18% | 182,434 | ||||||||
|
| |||||||||
Total Preferred Stock (Cost: $164,221) (0.4%) | 182,434 | |||||||||
|
| |||||||||
Common Stock | ||||||||||
Brazil (Cost: $157,114) (0.3%) | ||||||||||
27,500 | Ambev S.A. (ADR) | 133,925 | ||||||||
|
|
See accompanying notes to financial statements.
36
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||||
China (14.3%) | ||||||||||
56,200 | AIA Group, Ltd. | $ | 329,179 | |||||||
197,600 | Beijing Enterprises Water Group, Ltd. (5) | 156,008 | ||||||||
845,000 | China Construction Bank Corp. — Class H | 612,458 | ||||||||
96,800 | China Everbright International, Ltd. | 155,894 | ||||||||
239,000 | China Minsheng Banking Corp., Ltd. | 240,815 | ||||||||
49,520 | China Mobile, Ltd. | 593,458 | ||||||||
500,200 | Cosmo Lady China Holdings Co., Ltd., (2) | 500,839 | ||||||||
457,500 | CT Environmental Group, Ltd. | 163,934 | ||||||||
110,500 | Guangdong Investment, Ltd. | 155,413 | ||||||||
28,300 | Hengan International Group Co., Ltd. | 304,523 | ||||||||
223,216 | HKT Trust & HKT, Ltd. | 267,568 | ||||||||
1,179,460 | Industrial & Commercial Bank of China, Ltd. — Class H | 748,186 | ||||||||
15,226 | JD.com, Inc. (ADR) (5) | 420,542 | ||||||||
30,750 | MTR Corp., Ltd. | 139,512 | ||||||||
52,700 | Ping An Insurance Group Co. of China, Ltd. — Class H | 296,176 | ||||||||
237,700 | Sihuan Pharmaceutical Holdings Group, Ltd. | 40,527 | ||||||||
61,612 | Tencent Holdings, Ltd. | 1,158,253 | ||||||||
|
| |||||||||
Total China (Cost: $6,000,243) | 6,283,285 | |||||||||
|
| |||||||||
Czech Republic (Cost: $318,144) (0.7%) | ||||||||||
1,405 | Komercni banka as | 292,520 | ||||||||
|
| |||||||||
Egypt (2.1%) | ||||||||||
89,626 | Commercial International Bank Egypt SAE | 592,516 | ||||||||
8,350 | Eastern Tobacco | 213,168 | ||||||||
24,500 | ElSwedy Electric Co. (5) | 128,174 | ||||||||
|
| |||||||||
Total Egypt (Cost: $941,650) | 933,858 | |||||||||
|
| |||||||||
Hungary (Cost: $500,496) (1.1%) | ||||||||||
25,430 | OTP Bank PLC | 494,026 | ||||||||
|
| |||||||||
India (9.7%) | ||||||||||
20,000 | Aurobindo Pharma, Ltd. | 254,515 | ||||||||
64,675 | Bharti Infratel, Ltd. | 385,121 | ||||||||
29,700 | Canara Bank | 124,812 | ||||||||
33,100 | Divi’s Laboratories, Ltd. | 581,073 | ||||||||
16,750 | Glenmark Pharmaceuticals, Ltd. | 253,415 | ||||||||
33,350 | Hindustan Petroleum Corp., Ltd. | 392,958 | ||||||||
22,350 | Housing Development Finance Corp., Ltd. | 427,905 | ||||||||
113,800 | ITC, Ltd. | 581,033 | ||||||||
35,350 | Power Finance Corp., Ltd. | 129,063 | ||||||||
17,500 | SKS Microfinance, Ltd. (5) | 114,581 | ||||||||
137,150 | State Bank of India | 496,057 | ||||||||
79,000 | Zee Entertainment Enterprises, Ltd. | 492,476 | ||||||||
|
| |||||||||
Total India (Cost: $4,142,135) | 4,233,009 | |||||||||
|
|
See accompanying notes to financial statements.
37
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||||
Indonesia (Cost: $438,324) (0.4%) | ||||||||||
6,880,000 | Multipolar Tbk PT | $ | 164,231 | |||||||
|
| |||||||||
Jordan (Cost: $109,530) (0.2%) | ||||||||||
3,200 | Hikma Pharmaceuticals PLC | 106,825 | ||||||||
|
| |||||||||
Kenya (Cost: $361,886) (1.0%) | ||||||||||
2,973,000 | Safari.com, Ltd. | 415,789 | ||||||||
|
| |||||||||
Malaysia (0.8%) | ||||||||||
8,300 | British American Tobacco Malaysia BHD | 119,284 | ||||||||
332,129 | My EG Services BHD | 228,065 | ||||||||
|
| |||||||||
Total Malaysia (Cost: $392,336) | 347,349 | |||||||||
|
| |||||||||
Mexico (2.3%) | ||||||||||
114,150 | Controladora Vuela Cia de Aviacion S.A.B. de C.V. (5) | 194,132 | ||||||||
4,300 | Fomento Economico Mexicano S.A.B. de C.V. (SP ADR) (5) | 426,087 | ||||||||
7,720 | Gruma S.A.B. de C.V. — Class B | 118,401 | ||||||||
46,700 | Grupo Financiero Banorte S.A.B. de C.V. | 249,848 | ||||||||
|
| |||||||||
Total Mexico (Cost: $966,404) | 988,468 | |||||||||
|
| |||||||||
Nigeria (Cost: $225,525) (0.5%) | ||||||||||
297,594 | Nigerian Breweries PLC | 204,426 | ||||||||
|
| |||||||||
Pakistan (2.1%) | ||||||||||
54,500 | Engro Corp., Ltd. | 157,128 | ||||||||
105,010 | Fauji Fertilizer Co., Ltd. | 125,003 | ||||||||
238,939 | Habib Bank, Ltd. | 474,436 | ||||||||
31,000 | Lucky Cement, Ltd. | 158,611 | ||||||||
|
| |||||||||
Total Pakistan (Cost: $859,255) | 915,178 | |||||||||
|
| |||||||||
Philippines (Cost: $400,863) (0.9%) | ||||||||||
94,400 | Universal Robina Corp. | 404,093 | ||||||||
|
| |||||||||
Poland (Cost: $157,501) (0.3%) | ||||||||||
2,950 | Bank Pekao S.A. | 115,082 | ||||||||
|
| |||||||||
Russia (3.4%) | ||||||||||
13,155 | Magnit PJSC (GDR) | 598,816 | ||||||||
767,000 | Magnitogorsk Iron & Steel Works OJSC | 289,395 | ||||||||
4,985 | NOVATEK OAO (GDR) | 455,878 | ||||||||
111,475 | Sberbank of Russia | 157,179 | ||||||||
|
| |||||||||
Total Russia (Cost: $1,574,147) | 1,501,268 | |||||||||
|
| |||||||||
South Africa (2.5%) | ||||||||||
17,400 | Mr Price Group, Ltd. | 267,806 | ||||||||
8,921 | MTN Group, Ltd. | 101,800 | ||||||||
4,100 | Naspers, Ltd. — N Shares | 599,980 |
See accompanying notes to financial statements.
38
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||||
South Africa (Continued) | ||||||||||
23,100 | Steinhoff International Holdings, Ltd. | $ | 141,551 | |||||||
|
| |||||||||
Total South Africa (Cost: $974,838) | 1,111,137 | |||||||||
|
| |||||||||
South Korea (4.0%) | ||||||||||
770 | BGF retail Co., Ltd. | 114,684 | ||||||||
1,550 | CJ E&M Corp. (5) | 113,276 | ||||||||
2,700 | GS Retail Co., Ltd. | 136,088 | ||||||||
410 | Hyundai Mobis | 86,194 | ||||||||
1,180 | Hyundai Motor Co. | 161,182 | ||||||||
12,580 | KB Financial Group, Inc. | 398,552 | ||||||||
3,500 | Korea Electric Power Corp. | 157,586 | ||||||||
320 | LG Household & Health Care, Ltd. | 264,791 | ||||||||
269 | Samsung Electronics Co., Ltd. | 322,646 | ||||||||
|
| |||||||||
Total South Korea (Cost: $1,901,758) | 1,754,999 | |||||||||
|
| |||||||||
Taiwan (5.3%) | ||||||||||
423,330 | Cathay Financial Holding Co., Ltd. | 602,989 | ||||||||
23,300 | Chlitina Holding, Ltd. | 189,918 | ||||||||
5,627 | Hermes Microvision, Inc. | 215,708 | ||||||||
3,204 | Largan Precision Co., Ltd. | 248,979 | ||||||||
191,012 | Taiwan Semiconductor Manufacturing Co., Ltd. | 804,861 | ||||||||
12,500 | Taiwan Semiconductor Manufacturing Co., Ltd. (SP ADR) | 274,500 | ||||||||
|
| |||||||||
Total Taiwan (Cost: $2,342,410) | 2,336,955 | |||||||||
|
| |||||||||
Thailand (Cost: $150,332) (0.3%) | ||||||||||
86,500 | KCE Electronics PCL (ADR) | 150,179 | ||||||||
|
| |||||||||
Turkey (0.9%) | ||||||||||
120,000 | Turk Telekomunikasyon A.S. | 259,180 | ||||||||
54,350 | Turkiye Garanti Bankasi A.S. | 140,919 | ||||||||
|
| |||||||||
Total Turkey (Cost: $439,787) | 400,099 | |||||||||
|
| |||||||||
United Arab Emirates (Cost: $233,603) (0.5%) | ||||||||||
10,000 | DP World, Ltd. | 202,088 | ||||||||
|
| |||||||||
Total Common Stocks (Cost: $23,588,281) (53.6%) | 23,488,789 | |||||||||
|
| |||||||||
Participation Notes | ||||||||||
Saudi Arabia (1.4%) | ||||||||||
8,200 | Al Mouwasat Medical Services (HSBC) (expires 4/16/18) | 253,619 | ||||||||
6,300 | Bupa Arabia For Cooperative Insurance (HSBC) (expires 2/6/19) | 390,613 | ||||||||
|
| |||||||||
Total Saudi Arabia (Cost: $694,877) | 644,232 | |||||||||
|
| |||||||||
Total Participation Notes (Cost: $694,877) (1.4%) | 644,232 | |||||||||
|
|
See accompanying notes to financial statements.
39
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Continued)
Notional Amount | Currency Options | Value | ||||||||
$ 10,000 | EUR Call / USD Put, Strike Price EUR 1.12, Expires 11/23/15 (6) | $ | 36 | |||||||
229,000 | EUR Call / USD Put, Strike Price EUR 1.12, Expires 11/23/15 (7) | 808 | ||||||||
|
| |||||||||
Total Currency Options (Cost: $2,504) (0%) | 844 | |||||||||
|
| |||||||||
Number of | Money Market Investments | |||||||||
2,584,057 | State Street Institutional U.S. Government Money | 2,584,057 | ||||||||
|
| |||||||||
Total Money Market Investments (Cost: $2,584,057) (5.9%) | 2,584,057 | |||||||||
|
| |||||||||
Total Investments (Cost: $44,303,646) (99.2%) | 43,512,786 | |||||||||
Excess of Other Assets over Liabilities (0.8%) | 333,385 | |||||||||
|
| |||||||||
Total Net Assets (100.0%) | $ | 43,846,171 | ||||||||
|
|
Forward Currency Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
BUY (9) | ||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | KRW | 213,355,400 | 12/22/15 | $ | 189,833 | $ | 186,845 | $ | (2,988 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 189,833 | $ | 186,845 | $ | (2,988 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (10) | ||||||||||||||||||||||||
Bank of America | INR | 48,261,600 | 12/07/15 | $ | 735,000 | $ | 734,027 | $ | 973 | |||||||||||||||
Bank of America | KRW | 105,120,000 | 12/22/15 | 90,000 | 92,058 | (2,058 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | KRW | 108,235,400 | 12/22/15 | 91,000 | 94,787 | (3,787 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 916,000 | $ | 920,872 | $ | (4,872 | ) | ||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
40
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2015 |
Notes to the Schedule of Investments:
EUR - | Euro Currency. |
INR - | Indian Rupee. |
KRW - | South Korean Won. |
ADR - | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. |
GDR - | Global Depositary Receipt. A negotiable certificate held in the bank of one country representing a specific number of shares of a stock traded on an exchange of another country. |
OJSC - | Open Joint-Stock Company. |
PJSC - | Private Joint-Stock Company. |
SP ADR - | Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
(1) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2015, the value of these securities amounted to $6,038,568 or 13.8% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | Investments issued under Regulation S of the Securities Act of 1933, may not be offered, sold, or delivered within the United States except under special exemptions. At October 31, 2015, the value of these securities amounted to $6,326,923 or 14.4% of net assets. |
(4) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2015. |
(5) | Non-income producing security. |
(6) | Over-the-counter traded option; Counterparty — Bank of America. |
(7) | Over-the-counter traded option; Counterparty — Citigroup Global Market, Inc. |
(8) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
(9) | Fund buys foreign currency, sells U.S. Dollar. |
(10) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
41
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Agriculture | 2.1 | % | ||
Airlines | 1.3 | |||
Apparel | 1.7 | |||
Auto Manufacturers | 0.4 | |||
Auto Parts & Equipment | 0.2 | |||
Banks | 15.1 | |||
Beverages | 2.2 | |||
Building Materials | 1.2 | |||
Chemicals | 0.6 | |||
Commercial Services | 1.0 | |||
Computers | 0.4 | |||
Cosmetics/Personal Care | 1.0 | |||
Diversified Financial Services | 3.8 | |||
Electric | 1.0 | |||
Electrical Components & Equipment | 0.8 | |||
Electronics | 0.3 | |||
Environmental Control | 0.8 | |||
Food | 2.6 | |||
Foreign Government Bonds | 22.3 | |||
Gas | 0.5 | |||
Healthcare-Products | 0.7 | |||
Healthcare-Services | 0.5 | |||
Holding Companies — Diversified | 0.5 | |||
Home Furnishings | 0.3 | |||
Household Products/Wares | 0.2 | |||
Insurance | 3.7 | |||
Internet | 4.1 | |||
Iron & Steel | 1.0 | |||
Media | 3.2 | |||
Mining | 1.0 | |||
Miscellaneous Manufacturers | 0.6 | |||
Oil & Gas | 4.3 | |||
Pharmaceuticals | 2.8 | |||
Real Estate | 0.5 | |||
Regional (State & Province) | 0.4 | |||
Retail | 0.6 | |||
Semiconductors | 3.1 | |||
Telecommunications | 5.4 | |||
Transportation | 0.3 | |||
Water | 0.8 | |||
Money Market Investments | 5.9 | |||
|
| |||
Total | 99.2 | % | ||
|
|
See accompanying notes to financial statements.
42
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Country | October 31, 2015 |
Country | Percentage of Net Assets | |||
Argentina | 2.6 | % | ||
Brazil | 2.4 | |||
Chile | 1.9 | |||
China | 14.8 | |||
Colombia | 2.0 | |||
Costa Rica | 0.4 | |||
Croatia | 1.4 | |||
Czech Republic | 0.7 | |||
Dominican Republic | 1.3 | |||
Egypt | 2.1 | |||
Greece | 0.2 | |||
Guatemala | 0.8 | |||
Hungary | 2.9 | |||
India | 11.9 | |||
Indonesia | 2.6 | |||
Ivory Coast | 0.4 | |||
Jordan | 0.2 | |||
Kazakhstan | 0.5 | |||
Kenya | 1.0 | |||
Lebanon | 0.8 | |||
Malaysia | 0.8 | |||
Mexico | 3.7 | |||
Nigeria | 0.5 | |||
Pakistan | 2.6 | |||
Panama | 0.6 | |||
Paraguay | 1.2 | |||
Peru | 1.6 | |||
Philippines | 0.9 | |||
Poland | 0.3 | |||
Romania | 0.8 | |||
Russia | 5.6 | |||
Saudi Arabia | 1.4 | |||
Serbia | 1.0 | |||
Slovenia | 0.5 | |||
South Africa | 3.6 | |||
South Korea | 4.5 | |||
Sri Lanka | 0.9 | |||
Taiwan | 5.3 | |||
Thailand | 0.3 | |||
Turkey | 2.7 | |||
Ukraine | 1.1 | |||
United Arab Emirates | 1.0 | |||
United States | 5.9 | |||
Uruguay | 0.4 | |||
Venezuela | 0.7 | |||
Vietnam | 0.4 | |||
|
| |||
Total | 99.2 | % | ||
|
|
See accompanying notes to financial statements.
43
Table of Contents
Schedule of Investments
Number of Shares | Common Stock | Value | ||||||||
Belgium (Cost: $14,783) (0.5% of Net Assets) |
| |||||||||
101 | Solvay S.A. | $ | 11,462 | |||||||
|
| |||||||||
Canada (2.2%) |
| |||||||||
310 | Alimentation Couche-Tard, Inc. — Class B | 13,328 | ||||||||
30 | Constellation Software, Inc. | 12,955 | ||||||||
215 | Dollarama, Inc. | 14,515 | ||||||||
250 | Loblaw Cos., Ltd. | 13,166 | ||||||||
|
| |||||||||
Total Canada (Cost: $53,410) | 53,964 | |||||||||
|
| |||||||||
China (3.6%) |
| |||||||||
2,000 | AIA Group, Ltd. | 11,715 | ||||||||
40,000 | China Animal Healthcare, Ltd. (1) | 2,374 | ||||||||
110 | China Biologic Products, Inc. (1) | 12,533 | ||||||||
12,400 | Cosmo Lady China Holdings Co., Ltd. (1) | 12,416 | ||||||||
875 | JD.com, Inc. (ADR)(1) | 24,167 | ||||||||
1,373 | Tencent Holdings, Ltd. | 25,811 | ||||||||
|
| |||||||||
Total China (Cost: $124,549) | 89,016 | |||||||||
|
| |||||||||
Denmark (2.3%) |
| |||||||||
425 | Danske Bank A/S | 11,747 | ||||||||
479 | Novo Nordisk A/S (SP ADR) | 25,473 | ||||||||
175 | Pandora A/S | 20,288 | ||||||||
|
| |||||||||
Total Denmark (Cost: $54,063) | 57,508 | |||||||||
|
| |||||||||
Egypt (1.0%) |
| |||||||||
1,858 | Commercial International Bank Egypt SAE | 12,283 | ||||||||
500 | Eastern Tobacco | 12,765 | ||||||||
|
| |||||||||
Total Egypt (Cost: $25,442) | 25,048 | |||||||||
|
| |||||||||
Finland (Cost: $13,099) (0.6%) |
| |||||||||
731 | UPM-Kymmene OYJ | 13,747 | ||||||||
|
| |||||||||
France (7.9%) |
| |||||||||
253 | Atos SE | 20,232 | ||||||||
500 | AXA SA | 13,405 | ||||||||
2,400 | Bollore SA | 11,918 | ||||||||
370 | Bouygues S.A. | 14,048 | ||||||||
135 | Cap Gemini S.A. | 12,058 | ||||||||
395 | Dassault Systemes | 31,302 | ||||||||
1,635 | Orange S.A. | 28,959 | ||||||||
125 | Renault S.A. | 11,832 | ||||||||
525 | Sanofi (ADR) | 26,429 | ||||||||
350 | SCOR SE | 13,073 | ||||||||
590 | Veolia Environnement S.A. | 13,768 | ||||||||
|
| |||||||||
Total France (Cost: $188,266) | 197,024 | |||||||||
|
|
See accompanying notes to financial statements.
44
Table of Contents
TCW International Growth Fund
October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||||
Germany (6.3%) |
| |||||||||
960 | alstria office REIT-AG | $ | 13,455 | |||||||
135 | Amadeus Fire AG | 11,316 | ||||||||
145 | Deutsche Boerse AG | 13,430 | ||||||||
720 | Deutsche Telekom AG | 13,548 | ||||||||
330 | Evonik Industries AG | 12,037 | ||||||||
375 | Fresenius Medical Care AG & Co., KGaA | 33,906 | ||||||||
190 | Merck KGaA | 18,634 | ||||||||
240 | ProSiebenSat.1 Media SE | 13,028 | ||||||||
770 | TUI AG | 14,367 | ||||||||
390 | Vonovia SE | 13,059 | ||||||||
|
| |||||||||
Total Germany (Cost: $153,087) | 156,780 | |||||||||
|
| |||||||||
Hungary (Cost: $12,414) (0.5%) |
| |||||||||
635 | OTP Bank PLC | 12,336 | ||||||||
|
| |||||||||
India (4.0%) |
| |||||||||
2,750 | Canara Bank | 11,557 | ||||||||
1,670 | Glenmark Pharmaceuticals, Ltd. | 25,266 | ||||||||
915 | Hindustan Petroleum Corp., Ltd. | 10,781 | ||||||||
1,290 | Housing Development Finance Corp. | 24,698 | ||||||||
2,620 | ITC, Ltd. | 13,377 | ||||||||
1,725 | LIC Housing Finance, Ltd. | 12,595 | ||||||||
|
| |||||||||
Total India (Cost: $97,780) | 98,274 | |||||||||
|
| |||||||||
Ireland (4.7%) |
| |||||||||
429 | Allegion PLC | 27,958 | ||||||||
450 | CRH PLC (SP ADR) | 12,312 | ||||||||
2,289 | James Hardie Industries PLC (ADR) | 29,646 | ||||||||
307 | Ryanair Holdings PLC (SP ADR) | 24,014 | ||||||||
105 | Shire PLC (ADR) | 23,840 | ||||||||
|
| |||||||||
Total Ireland (Cost: $116,390) | 117,770 | |||||||||
|
| |||||||||
Italy (4.6%) |
| |||||||||
210 | Ei Towers SpA | 12,790 | ||||||||
260 | EXOR SpA | 12,953 | ||||||||
3,430 | FinecoBank Banca Fineco SpA (1) | 26,042 | ||||||||
5,150 | Intesa Sanpaolo SpA | 17,999 | ||||||||
180 | Luxottica Group SpA | 12,675 | ||||||||
9,700 | Telecom Italia SpA (1) | 13,594 | ||||||||
2,850 | UniCredit SpA | 18,486 | ||||||||
|
| |||||||||
Total Italy (Cost: $111,715) | 114,539 | |||||||||
|
| |||||||||
Japan (19.0%) |
| |||||||||
800 | Alfresa Holdings Corp. | 15,340 | ||||||||
782 | Alps Electric Co., Ltd. | 24,272 | ||||||||
4,000 | ANA Holdings, Inc. | 11,944 | ||||||||
740 | ASKUL Corp. | 27,161 |
See accompanying notes to financial statements.
45
Table of Contents
TCW International Growth Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||||
Japan (Continued) |
| |||||||||
900 | Chugoku Electric Power Co., Inc. (The) | $ | 13,600 | |||||||
1,200 | COOKPAD, Inc. | 22,833 | ||||||||
1,200 | Dai Nippon Printing Co., Ltd. | 12,410 | ||||||||
1,100 | Dai-ichi Life Insurance Co., Ltd. (The) | 19,028 | ||||||||
459 | Dentsu, Inc. | 25,803 | ||||||||
1,300 | Dip Corp. | 22,980 | ||||||||
100 | East Japan Railway Co. | 9,507 | ||||||||
300 | FamilyMart Co., Ltd. | 12,263 | ||||||||
340 | GMO Payment Gateway, Inc. | 13,390 | ||||||||
300 | Japan Airlines Co., Ltd. | 11,302 | ||||||||
1,200 | Japan Exchange Group, Inc. | 19,308 | ||||||||
2,000 | Joyo Bank, Ltd. (The) | 10,388 | ||||||||
920 | M3, Inc. | 17,831 | ||||||||
300 | Makita Corp. | 16,437 | ||||||||
2,212 | Mitsubishi Electric Corp. | 23,037 | ||||||||
800 | Nippon Telegraph & Telephone Corp. | 29,328 | ||||||||
650 | OSG Corp. | 12,226 | ||||||||
900 | Santen Pharmaceutical Co., Ltd. | 12,215 | ||||||||
2,000 | Sanyo Chemical Industries, Ltd. | 14,792 | ||||||||
300 | Shionogi & Co., Ltd. | 12,304 | ||||||||
400 | Sony Corp. | 11,370 | ||||||||
6,000 | Sumitomo Mitsui Trust Holdings, Inc. | 23,030 | ||||||||
200 | Sysmex Corp. | 11,431 | ||||||||
2,000 | Toray Industries, Inc. | 17,448 | ||||||||
|
| |||||||||
Total Japan (Cost: $442,690) | 472,978 | |||||||||
|
| |||||||||
Mexico (Cost: $13,344) (0.7%) |
| |||||||||
10,000 | Controladora Vuela Cia de Aviacion S.A.B. de C.V. (1) | 17,007 | ||||||||
|
| |||||||||
Netherlands (2.5%) |
| |||||||||
260 | ASML Holding NV | 24,228 | ||||||||
3,300 | Koninklijke KPN NV | 12,147 | ||||||||
200 | Randstad Holding NV | 11,981 | ||||||||
400 | Wolters Kluwer NV | 13,580 | ||||||||
|
| |||||||||
Total Netherlands (Cost: $65,208) | 61,936 | |||||||||
|
| |||||||||
Norway (Cost: $15,818) (0.5%) |
| |||||||||
775 | Statoil ASA (SP ADR) | 12,524 | ||||||||
|
| |||||||||
Pakistan (2.1%) |
| |||||||||
4,850 | Engro Corp., Ltd | 13,983 | ||||||||
8,800 | Fauji Fertilizer Co., Ltd. | 10,476 | ||||||||
7,000 | Habib Bank, Ltd. | 13,899 | ||||||||
2,750 | Lucky Cement, Ltd. | 14,070 | ||||||||
|
| |||||||||
Total Pakistan (Cost: $50,896) | 52,428 | |||||||||
|
| |||||||||
Philippines (Cost: $13,390) (0.5%) |
| |||||||||
3,030 | Universal Robina Corp. | 12,970 | ||||||||
|
|
See accompanying notes to financial statements.
46
Table of Contents
TCW International Growth Fund
October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||||
Russia (1.2%) |
| |||||||||
385 | Magnit PJSC (GDR) | $ | 17,525 | |||||||
2,283 | Magnitogorsk Iron & Steel Works OJSC (GDR) | 11,267 | ||||||||
|
| |||||||||
Total Russia (Cost: $28,715) | 28,792 | |||||||||
|
| |||||||||
South Africa (Cost: $25,972) (1.2%) |
| |||||||||
1,300 | Mondi PLC | 30,116 | ||||||||
|
| |||||||||
South Korea (1.4%) |
| |||||||||
160 | CJ E&M Corp. (1) | 11,693 | ||||||||
235 | GS Retail Co., Ltd. | 11,845 | ||||||||
1,030 | Korean Reinsurance Co. | 12,280 | ||||||||
|
| |||||||||
Total South Korea (Cost: $37,326) | 35,818 | |||||||||
|
| |||||||||
Spain (4.4%) |
| |||||||||
217 | Aena S.A., (144A) (1) | 24,328 | ||||||||
450 | Amadeus IT Holding S.A. | 19,228 | ||||||||
10,400 | Bankia SA | 13,426 | ||||||||
310 | Bolsas y Mercados Espanoles SHMSF S.A. | 11,173 | ||||||||
875 | Hispania Activos Inmobiliarios S.A. (1) | 13,217 | ||||||||
400 | Industria de Diseno Textil S.A. | 15,046 | ||||||||
963 | Merlin Properties Socimi S.A. | 12,397 | ||||||||
|
| |||||||||
Total Spain (Cost: $102,336) | �� | 108,815 | ||||||||
|
| |||||||||
Sweden (1.6%) |
| |||||||||
420 | Intrum Justitia AB | 15,162 | ||||||||
1,000 | Nordea Bank AB | 11,102 | ||||||||
490 | Svenska Cellulosa AB — B Shares | 14,522 | ||||||||
|
| |||||||||
Total Sweden (Cost: $39,094) | 40,786 | |||||||||
|
| |||||||||
Switzerland (6.2%) |
| |||||||||
90 | Actelion, Ltd. | 12,527 | ||||||||
335 | Adecco S.A. | 24,971 | ||||||||
450 | Credit Suisse Group AG | 11,254 | ||||||||
12 | Galenica AG | 17,627 | ||||||||
400 | Gategroup Holding AG | 15,039 | ||||||||
89 | Lonza Group AG | 13,099 | ||||||||
135 | Roche Holding AG | 36,753 | ||||||||
590 | UBS Group AG | 11,816 | ||||||||
200 | Wolseley PLC | 11,764 | ||||||||
|
| |||||||||
Total Switzerland (Cost: $153,889) | 154,850 | |||||||||
|
| |||||||||
Taiwan (1.1%) |
| |||||||||
1,750 | Chlitina Holding, Ltd. | 14,264 | ||||||||
7,800 | Uni-President Enterprises Corp. | 13,188 | ||||||||
|
| |||||||||
Total Taiwan (Cost: $27,122) | 27,452 | |||||||||
|
| |||||||||
Thailand (Cost: $8,516) (0.3%) |
| |||||||||
4,900 | KCE Electronics PCL (NVDR) | 8,507 | ||||||||
|
|
See accompanying notes to financial statements.
47
Table of Contents
TCW International Growth Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||||
United Kingdom (13.1%) |
| |||||||||
1,550 | 3i Group PLC | $ | 11,961 | |||||||
283 | ARM Holdings PLC (SP ADR) | 13,423 | ||||||||
1,640 | Aviva PLC | 12,279 | ||||||||
385 | BT Group PLC (SP ADR) | 27,593 | ||||||||
2,450 | Direct Line Insurance Group PLC | 14,888 | ||||||||
940 | Essentra PLC | 12,200 | ||||||||
545 | Imperial Tobacco Group PLC | 29,400 | ||||||||
1,350 | International Consolidated Airlines Group S.A. (1) | 12,121 | ||||||||
7,008 | ITV PLC | 27,257 | ||||||||
1,950 | Jupiter Fund Management PLC | 13,550 | ||||||||
650 | London Stock Exchange Group PLC | 25,495 | ||||||||
4,300 | Lookers PLC | 11,656 | ||||||||
1,550 | Marks & Spencer Group PLC | 12,261 | ||||||||
2,750 | National Express Group PLC | 12,716 | ||||||||
385 | Severn Trent PLC | 13,302 | ||||||||
790 | Sky PLC | 13,356 | ||||||||
880 | St James’s Place PLC | 13,066 | ||||||||
295 | Unilever PLC | 13,160 | ||||||||
345 | Vodafone Group PLC (SP ADR) | 11,375 | ||||||||
160 | Whitbread PLC | 12,240 | ||||||||
570 | WPP PLC | 12,801 | ||||||||
|
| |||||||||
Total United Kingdom (Cost: $323,876) | 326,100 | |||||||||
|
| |||||||||
United States (Cost: $13,029) (0.5%) |
| |||||||||
250 | Carnival Corp. | 13,520 | ||||||||
|
| |||||||||
Total Common Stock (Cost: $2,326,219) (94.5%) | 2,352,067 | |||||||||
|
| |||||||||
Participation Note | ||||||||||
Saudi Arabia (Cost: $13,031) (0.5%) |
| |||||||||
180 | Bupa Arabia For Cooperative Insurance (HSBC) (expires 2/6/19) | 11,160 | ||||||||
|
| |||||||||
Total Participation Notes (Cost: $13,031) (0.5%) | 11,160 | |||||||||
|
| |||||||||
Money Market Investments | ||||||||||
147,687 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% (2) | 147,687 | ||||||||
|
| |||||||||
Total Money Market Investments (Cost: $147,687) (5.9%) | 147,687 | |||||||||
|
| |||||||||
Total Investments (Cost: $2,486,937) (100.9%) | 2,510,914 | |||||||||
Liabilities in Excess of Other Assets (-0.9%) | (21,460 | ) | ||||||||
|
| |||||||||
Total Net Assets (100.0%) | $ | 2,489,454 | ||||||||
|
|
See accompanying notes to financial statements.
48
Table of Contents
TCW International Growth Fund
October 31, 2015 |
Forward Currency Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
BUY (3) | ||||||||||||||||||||||||
Bank of America | EUR | 129,326 | 12/08/15 | $ | 143,923 | $ | 142,932 | $ | (991 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 143,923 | $ | 142,932 | $ | (991 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (4) | ||||||||||||||||||||||||
Bank of America | EUR | 129,326 | 12/08/15 | $ | 145,000 | $ | 142,933 | $ | 2,067 | |||||||||||||||
Bank of America | JPY | 15,209,262 | 11/07/16 | 130,000 | 127,335 | 2,665 | ||||||||||||||||||
Bank of America | JPY | 43,087,191 | 11/17/16 | 365,000 | 360,914 | 4,086 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 640,000 | $ | 631,182 | $ | 8,818 | |||||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
EUR - | Euro Currency. |
JPY - | Japanese Yen. |
ADR - | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. |
GDR - | Global Depositary Receipt. A negotiable certificate held in the bank of one country representing a specific number of shares of a stock traded on an exchange of another country. |
NVDR - | Non-Voting Depository Receipt. |
OJSC - | Open Joint-Stock Company. |
PJSC - | Private Joint-Stock Company. |
SP ADR - | Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2015. |
(3) | Fund buys foreign currency, sells U.S. Dollar. |
(4) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
49
Table of Contents
TCW International Growth Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Basic Materials | 6.5 | % | ||
Communications | 15.3 | |||
Consumer, Cyclical | 12.7 | |||
Consumer, Non-cyclical | 21.3 | |||
Energy | 0.9 | |||
Financial | 21.5 | |||
Industrial | 9.8 | |||
Technology | 5.4 | |||
Utilities | 1.6 | |||
Money Market Investments | 5.9 | |||
|
| |||
Total | 100.9 | % | ||
|
|
See accompanying notes to financial statements.
50
Table of Contents
TCW International Small Cap Fund
Schedule of Investments | October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
Australia (1.3% of Net Assets) | ||||||||
14,200 | Challenger, Ltd. | $ | 82,844 | |||||
11,000 | Estia Health, Ltd. | 58,162 | ||||||
|
| |||||||
Total Australia (Cost: $134,448) | 141,006 | |||||||
|
| |||||||
Austria (Cost: $121,675) (1.3%) |
| |||||||
7,700 | Wienerberger AG | 142,611 | ||||||
|
| |||||||
Belgium (1.5%) |
| |||||||
705 | Ackermans & van Haaren NV | 107,771 | ||||||
3,850 | Euronav NV | 57,179 | ||||||
|
| |||||||
Total Belgium (Cost: $144,748) | 164,950 | |||||||
|
| |||||||
Canada (1.1%) |
| |||||||
2,730 | Empire Co., Ltd. | 57,152 | ||||||
2,625 | MTY Food Group, Inc. | 60,832 | ||||||
|
| |||||||
Total Canada (Cost: $136,323) | 117,984 | |||||||
|
| |||||||
China (1.4%) |
| |||||||
338,522 | China Animal Healthcare, Ltd. (1) | 20,088 | ||||||
91,000 | Chongqing Rural Commercial Bank Co., Ltd. — Class H | 56,687 | ||||||
92,400 | Shenzhen Expressway Co., Ltd. — Class H | 71,088 | ||||||
|
| |||||||
Total China (Cost: $432,018) | 147,863 | |||||||
|
| |||||||
Denmark (1.2%) |
| |||||||
860 | SimCorp A/S | 42,390 | ||||||
2,644 | Sydbank A/S | 87,372 | ||||||
|
| |||||||
Total Denmark (Cost: $125,590) | 129,762 | |||||||
|
| |||||||
Finland (Cost: $74,858) (0.7%) |
| |||||||
3,765 | Cramo OYJ | 69,452 | ||||||
|
| |||||||
France (4.9%) |
| |||||||
490 | BioMerieux | 57,184 | ||||||
1,540 | Criteo SA (SP ADR) (1) | 58,612 | ||||||
1,717 | Groupe Crit | 93,507 | ||||||
8,928 | Havas S.A. | 77,675 | ||||||
4,470 | Manitou BF SA | 62,117 | ||||||
750 | Orpea | 60,441 | ||||||
7,150 | Technicolor SA | 48,574 | ||||||
780 | Teleperformance | 61,494 | ||||||
|
| |||||||
Total France (Cost: $548,969) | 519,604 | |||||||
|
| |||||||
Germany (7.6%) |
| |||||||
1,383 | Aareal Bank AG | 52,929 | ||||||
4,110 | alstria office REIT-AG | 57,606 | ||||||
1,880 | Carl Zeiss Meditec AG | 55,318 | ||||||
1,650 | CompuGroup Medical AG | 48,840 |
See accompanying notes to financial statements.
51
Table of Contents
TCW International Small Cap Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||
Germany (Continued) | ||||||||
8,500 | DIC Asset AG | $ | 84,011 | |||||
3,015 | Freenet AG | 102,170 | ||||||
1,447 | Gerresheimer AG | 113,343 | ||||||
1,747 | Indus Holding AG | 81,691 | ||||||
790 | Krones AG | 95,449 | ||||||
2,250 | VTG AG | 73,745 | ||||||
890 | Wirecard AG | 46,181 | ||||||
|
| |||||||
Total Germany (Cost: $729,806) | 811,283 | |||||||
|
| |||||||
India (1.5%) |
| |||||||
11,725 | Canara Bank | 49,273 | ||||||
4,550 | Glenmark Pharmaceuticals, Ltd. (1) | 68,838 | ||||||
4,050 | Hindustan Petroleum Corp., Ltd. | 47,721 | ||||||
|
| |||||||
Total India (Cost: $183,153) | 165,832 | |||||||
|
| |||||||
Ireland (2.0%) |
| |||||||
18,750 | Beazley PLC | 104,997 | ||||||
1,060 | ICON PLC (1) | 67,702 | ||||||
1,577 | Smurfit Kappa Group PLC | 45,185 | ||||||
|
| |||||||
Total Ireland (Cost: $194,310) | 217,884 | |||||||
|
| |||||||
Italy (9.3%) |
| |||||||
43,600 | A2A SpA | 59,996 | ||||||
12,900 | Amplifon SpA | 100,768 | ||||||
2,266 | Azimut Holding SpA | 54,752 | ||||||
2,573 | Banca Generali SpA | 79,608 | ||||||
102,912 | Banca Popolare di Milano Scarl (1) | 97,003 | ||||||
71,800 | Beni Stabili SpA SIIQ | 59,258 | ||||||
11,750 | Davide Campari-Milano SpA | 101,078 | ||||||
1,200 | DiaSorin SpA | 53,972 | ||||||
1,530 | Ei Towers SpA (1) | 93,187 | ||||||
34,956 | Hera SpA | 92,149 | ||||||
34,050 | Iren SpA | 56,348 | ||||||
18,000 | Mediaset SpA (1) | 91,776 | ||||||
7,650 | OVS SpA (1) | 52,854 | ||||||
|
| |||||||
Total Italy (Cost: $922,478) | 992,749 | |||||||
|
| |||||||
Japan (19.6%) |
| |||||||
2,750 | Alps Electric Co., Ltd. | 85,354 | ||||||
1,300 | Ariake Japan Co., Ltd. | 58,963 | ||||||
1,690 | ASKUL Corp. | 62,030 | ||||||
3,430 | Bandai Namco Holdings, Inc. | 84,307 | ||||||
5,433 | Benefit One, Inc. | 95,103 | ||||||
2,300 | Cocokara fine, Inc. | 90,922 | ||||||
4,400 | Daicel Corp. | 58,141 | ||||||
4,650 | Daifuku Co., Ltd. | 68,816 |
See accompanying notes to financial statements.
52
Table of Contents
TCW International Small Cap Fund
October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
Japan (Continued) |
| |||||||
10,000 | Daihen Corp. | $ | 49,724 | |||||
2,485 | Daiichikosho Co., Ltd. | 82,876 | ||||||
3,700 | Dip Corp. | 65,404 | ||||||
10,500 | Financial Products Group Co., Ltd. | 82,512 | ||||||
14,800 | Fuji Electric Co., Ltd. | 66,028 | ||||||
2,555 | GMO Payment Gateway, Inc. | 100,624 | ||||||
5,600 | Gulliver International Co., Ltd. | 56,414 | ||||||
1,500 | Horiba, Ltd. | 59,020 | ||||||
900 | Hoshizaki Electric Co., Ltd. | 65,075 | ||||||
4,750 | Infomart Corp. | 44,823 | ||||||
1,100 | Mitsubishi Pencil Co., Ltd. | 49,251 | ||||||
18,500 | Monex Group, Inc. | 52,002 | ||||||
14,246 | Nichias Corp. | 89,784 | ||||||
7,900 | Nichiha Corp. | 106,534 | ||||||
2,200 | Nifco, Inc. | 84,805 | ||||||
7,000 | Nippon Soda Co., Ltd. | 54,333 | ||||||
3,350 | Nomura Real Estate Holdings, Inc. | 71,583 | ||||||
1,100 | Obic Co., Ltd. | 58,052 | ||||||
1,580 | Pola Orbis Holdings, Inc. | 100,485 | ||||||
7,000 | Sanyo Chemical Industries, Ltd. | 51,773 | ||||||
7,000 | Senko Co., Ltd. | 48,451 | ||||||
3,900 | Temp Holdings Co., Ltd. | 58,224 | ||||||
|
| |||||||
Total Japan (Cost: $1,766,031) | 2,101,413 | |||||||
|
| |||||||
Luxembourg (Cost: $126,370) (1.6%) |
| |||||||
460 | Eurofins Scientific SE | 167,156 | ||||||
|
| |||||||
Mexico (Cost: $53,359) (0.6%) |
| |||||||
3,950 | Gruma SAB de CV — Class B | 60,581 | ||||||
|
| |||||||
Netherlands (2.7%) |
| |||||||
3,350 | Aalberts Industries NV | 109,102 | ||||||
2,511 | Euronext NV (1) | 110,776 | ||||||
2,550 | GrandVision NV (1) | 70,788 | ||||||
|
| |||||||
Total Netherlands (Cost: $276,948) | 290,666 | |||||||
|
| |||||||
Pakistan (1.9%) |
| |||||||
15,800 | Engro Corp., Ltd. | 45,552 | ||||||
91,755 | Fauji Fertilizer Co., Ltd. | 109,225 | ||||||
9,150 | Lucky Cement, Ltd. | 46,816 | ||||||
|
| |||||||
Total Pakistan (Cost: $209,962) | 201,593 | |||||||
|
| |||||||
Portugal (Cost: $44,842) (0.4%) |
| |||||||
13,650 | REN — Redes Energeticas Nacionais SGPS SA | 41,786 | ||||||
|
| |||||||
Russia (Cost: $25,190) (0.2%) |
| |||||||
5,125 | Magnitogorsk Iron & Steel Works OJSC (GDR) | 25,292 | ||||||
|
|
See accompanying notes to financial statements.
53
Table of Contents
TCW International Small Cap Fund
Schedule of Investments (Continued)
Number of Shares | Common Stock | Value | ||||||
South Africa (Cost: $79,224) (0.9%) |
| |||||||
4,000 | Mondi PLC | $ | 92,665 | |||||
|
| |||||||
South Korea (2.1%) |
| |||||||
815 | CJ E&M Corp. (1) | 59,561 | ||||||
1,950 | GS Retail Co., Ltd. | 98,286 | ||||||
3,000 | Samjin Pharmaceutical Co., Ltd. | 64,099 | ||||||
|
| |||||||
Total South Korea (Cost: $180,261) | 221,946 | |||||||
|
| |||||||
Spain (1.7%) |
| |||||||
1,790 | Grupo Catalana Occidente SA | 55,754 | ||||||
5,680 | Hispania Activos Inmobiliarios SA (1) | 85,797 | ||||||
3,400 | Merlin Properties Socimi SA | 43,768 | ||||||
|
| |||||||
Total Spain (Cost: $187,331) | 185,319 | |||||||
|
| |||||||
Sweden (5.3%) |
| |||||||
3,800 | Bilia AB — A Shares | 80,143 | ||||||
5,000 | BillerudKorsnas AB | �� | 91,047 | |||||
2,100 | Holmen AB — B Shares | 63,696 | ||||||
2,900 | Intrum Justitia AB | 104,689 | ||||||
1,864 | NetEnt AB | 106,541 | ||||||
15,300 | Nordnet AB — B Shares | 54,605 | ||||||
3,200 | Wihlborgs Fastigheter AB | 62,949 | ||||||
|
| |||||||
Total Sweden (Cost: $490,261) | 563,670 | |||||||
|
| |||||||
Switzerland (3.8%) |
| |||||||
80 | Flughafen Zuerich AG | 60,716 | ||||||
80 | Galenica AG | 117,513 | ||||||
3,872 | GAM Holding AG | 71,022 | ||||||
4,180 | Oriflame Holding AG (1) | 58,435 | ||||||
175 | Straumann Holding AG | 49,654 | ||||||
990 | Vontobel Holding AG | 48,908 | ||||||
|
| |||||||
Total Switzerland (Cost: $403,199) | 406,248 | |||||||
|
| |||||||
Taiwan (Cost: $34,172) (0.4%) |
| |||||||
5,550 | Chlitina Holding, Ltd. | 45,238 | ||||||
|
| |||||||
Turkey (Cost: $67,116) (0.6%) |
| |||||||
8,500 | TAV Havalimanlari Holding AS | 66,768 | ||||||
|
| |||||||
United Kingdom (15.3%) |
| |||||||
13,550 | Arrow Global Group PLC | 52,107 | ||||||
4,750 | Berendsen PLC | 75,027 | ||||||
8,150 | Card Factory PLC | 45,401 | ||||||
5,850 | Crest Nicholson Holdings PLC | 49,021 | ||||||
36,600 | Debenhams PLC | 50,427 | ||||||
760 | Derwent London PLC | 45,472 | ||||||
3,450 | EMIS Group PLC | 57,171 | ||||||
3,070 | Greene King PLC | 38,048 | ||||||
24,799 | Henderson Group PLC | 109,509 |
See accompanying notes to financial statements.
54
Table of Contents
TCW International Small Cap Fund
October 31, 2015 |
Number of Shares | Common Stock | Value | ||||||
United Kingdom (Continued) | ||||||||
16,992 | Howden Joinery Group PLC | $ | 121,413 | |||||
22,680 | Indivior PLC (1) | 71,788 | ||||||
10,800 | Jupiter Fund Management PLC | 75,046 | ||||||
36,380 | Lookers PLC | 98,614 | ||||||
19,327 | National Express Group PLC | 89,367 | ||||||
7,750 | Playtech, PLC | 102,295 | ||||||
25,550 | Redde PLC | 69,819 | ||||||
38,445 | Rentokil Initial PLC | 91,615 | ||||||
1,862 | Rightmove PLC | 110,172 | ||||||
3,800 | St James’s Place PLC | 56,420 | ||||||
2,050 | SuperGroup PLC (1) | 46,217 | ||||||
46,791 | Taylor Wimpey PLC | 142,801 | ||||||
4,450 | UNITE Group PLC (The) | 45,623 | ||||||
|
| |||||||
Total United Kingdom (Cost: $1,523,922) | 1,643,373 | |||||||
|
| |||||||
Total Common Stock (Cost: $9,216,564) (90.9%) | 9,734,694 | |||||||
|
| |||||||
Preferred Stock | ||||||||
Germany (1.0%) | ||||||||
260 | Sartorius AG, 0.50% | 59,108 | ||||||
3,600 | Villeroy & Boch AG, 3.37% | 53,327 | ||||||
|
| |||||||
Total Germany (Cost: $112,405) | 112,435 | |||||||
|
| |||||||
Total Preferred Stock (Cost: $112,405) (1.0%) | 112,435 | |||||||
|
| |||||||
Rights | ||||||||
France (Cost: $0) (0.0%) | ||||||||
7,150 | Technicolor SA, Strike Price EUR 4.7, Expires 11/04/15 (1) | 1,769 | ||||||
|
| |||||||
Total Rights (Cost: $0) (0.0%) | 1,769 | |||||||
|
| |||||||
Warrants | ||||||||
Canada (Cost: $0) (0.0%) | ||||||||
625,000 | Petro-Victory Energy Corp., Strike Price CAD 0.50, Expires 07/22/16 (1) | — | ||||||
|
| |||||||
Total Warrants (Cost: $0) (0.0%) | — | |||||||
|
|
See accompanying notes to financial statements.
55
Table of Contents
TCW International Small Cap Fund
Schedule of Investments (Continued)
Number of Shares | Money Market Investments | Value | ||||||
790,722 | State Street Institutional U.S. Government Money Market Fund — Premier Class, 0% | $ | 790,722 | |||||
|
| |||||||
Total Money Market Investments (Cost: $790,722) (7.4%) | 790,722 | |||||||
|
| |||||||
Total Investments (Cost: $10,119,691) (99.3%) | 10,639,620 | |||||||
Excess of Other Assets over Liabilities (0.7%) | 73,931 | |||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 10,713,551 | ||||||
|
|
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 (2) | ||||||||||||||||||||||||
Bank of America | EUR | 562,878 | 12/08/15 | $ | 626,378 | $ | 622,093 | $ | (4,285 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 626,378 | $ | 622,093 | $ | (4,285 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (3) | ||||||||||||||||||||||||
Bank of America | EUR | 562,878 | 12/08/15 | $ | 630,000 | $ | 622,093 | $ | 7,907 | |||||||||||||||
Bank of America | JPY | 240,122,484 | 11/07/16 | 2,120,000 | 2,010,360 | 109,640 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 2,750,000 | $ | 2,632,453 | $ | 117,547 | |||||||||||||||||||
|
|
|
|
|
|
Notes to the Schedule of Investments:
CAD - | Canadian Dollar. |
EUR - | Euro Currency. |
JPY - | Japanese Yen. |
GDR - | Global Depositary Receipt. A negotiable certificate held in the bank of one country representing a specific number of shares of a stock traded on an exchange of another country. |
OJSC - | Open Joint-Stock Company. |
REIT - | Real Estate Investment Trust. |
SP ADR - | Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
(1) | Non-income producing security. |
(2) | Fund buys foreign currency, sells U.S. Dollar. |
(3) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
56
Table of Contents
TCW International Small Cap Fund
Investments by Industry | October 31, 2015 |
Industry | Percentage of Net Assets | |||
Basic Materials | 5.9 | % | ||
Communications | 7.6 | |||
Consumer, Cyclical | 15.1 | |||
Consumer, Non-cyclical | 22.3 | |||
Energy | 0.5 | |||
Financial | 19.1 | |||
Industrial | 15.2 | |||
Technology | 3.9 | |||
Utilities | 2.3 | |||
Money Market Investments | 7.4 | |||
|
| |||
Total | 99.3 | % | ||
|
|
See accompanying notes to financial statements.
57
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | ||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||
ASSETS | ||||||||||||
Investments, at Value (1) | $ | 4,698 | $ | 3,212,258 | $ | 244,202 | ||||||
Foreign Currency, at Value (2) | — | (3) | — | (3) | 103 | |||||||
Cash | — | 1,909 | 260 | |||||||||
Receivable for Securities Sold | 38 | 82,914 | 2,973 | |||||||||
Receivable for Fund Shares Sold | — | 4,054 | 9,460 | |||||||||
Interest and Dividends Receivable | 5 | 40,951 | 5,487 | |||||||||
Receivable from Investment Advisor | 22 | — | 42 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | 165 | 955 | |||||||||
Receivable for Daily Variation Margin on Open Financial Futures Contracts | — | 14 | — | |||||||||
Cash Collateral Held for Brokers | — | 810 | 710 | |||||||||
Prepaid Expenses | 25 | 142 | 34 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 4,788 | 3,343,217 | 264,226 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | — | 12,818 | — | |||||||||
Payable for Securities Purchased | 51 | 47,967 | 5,593 | |||||||||
Payable for When-Issued Securities | — | 13,276 | — | |||||||||
Payable for Fund Shares Redeemed | — | 8,786 | 951 | |||||||||
Accrued Capital Gain Withholding Taxes | — | 306 | 65 | |||||||||
Accrued Directors’ Fees and Expenses | 9 | 10 | 9 | |||||||||
Accrued Compliance Expense | — | (3) | 7 | — | (3) | |||||||
Accrued Management Fees | 3 | 2,141 | 160 | |||||||||
Accrued Distribution Fees | — | (3) | 112 | 31 | ||||||||
Payable to Brokers for Collateral Pledged | — | — | 160 | |||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | 1,772 | 1,819 | |||||||||
Other Accrued Expenses | 36 | 930 | 134 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 99 | 88,125 | 8,922 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 4,689 | $ | 3,255,092 | $ | 255,304 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 5,429 | $ | 4,109,294 | $ | 310,077 | ||||||
Accumulated Net Realized Loss on Investments, Futures Contracts, Options Written and Foreign Currency | (327 | ) | (669,412 | ) | (30,928 | ) | ||||||
Unrealized Depreciation of Investments, Futures Contracts and Foreign Currency | (414 | ) | (173,579 | ) | (24,797 | ) | ||||||
Undistributed (Overdistributed) Net Investment Income (Loss) | 1 | (11,211 | ) | 952 | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 4,689 | $ | 3,255,092 | $ | 255,304 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 3,392 | $ | 2,733,679 | $ | 102,034 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 1,297 | $ | 521,413 | $ | 153,270 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (4) | ||||||||||||
I Class Share | 393,557 | 356,297,664 | 12,478,075 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 150,557 | 52,721,787 | 18,763,032 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (5) | ||||||||||||
I Class Share | $ | 8.62 | $ | 7.67 | $ | 8.18 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 8.62 | $ | 9.89 | $ | 8.17 | ||||||
|
|
|
|
|
|
(1) | The identified cost for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund at October 31, 2015 was $5,112, $3,384,059 and $268,006, respectively. |
(2) | The identified cost for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund at October 31, 2015 was $0, $0 and $116 respectively. |
(3) | Amount rounds to less than $1. |
(4) | The number of authorized shares with a par value of $0.001 per share, for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund, is 2,000,000,000 for each of the I Class and N Class shares. |
(5) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
58
Table of Contents
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2015 |
TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Growth Fund | TCW International Small Cap Fund | ||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||
ASSETS | ||||||||||||
Investments, at Value (1) | $ | 43,513 | $ | 2,511 | $ | 10,640 | ||||||
Foreign Currency, at Value (2) | 20 | 12 | 50 | |||||||||
Cash | 17 | — | — | |||||||||
Receivable for Securities Sold | 862 | — | 110 | |||||||||
Receivable for Fund Shares Sold | 5 | — | 6 | |||||||||
Interest and Dividends Receivable | 245 | 4 | 18 | |||||||||
Foreign Tax Reclaims Receivable | 1 | — | (3) | 5 | ||||||||
Receivable from Investment Advisor | 17 | 9 | 11 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | 1 | 9 | 118 | |||||||||
Cash Collateral Held for Brokers | — | — | 100 | |||||||||
Prepaid Expenses | 13 | 2 | 7 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 44,694 | 2,547 | 11,065 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Payable for Securities Purchased | 696 | 32 | 182 | |||||||||
Payable for Fund Shares Redeemed | 5 | — | 13 | |||||||||
Accrued Capital Gain Withholding Taxes | 54 | — | — | |||||||||
Accrued Directors’ Fees and Expenses | 9 | 9 | 9 | |||||||||
Accrued Compliance Expense | — | (3) | — | (3) | — | (3) | ||||||
Accrued Management Fees | 36 | 2 | 7 | |||||||||
Accrued Distribution Fees | 1 | — | (3) | 1 | ||||||||
Payable to Broker for Collateral Pledged | — | — | 100 | |||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | 9 | 1 | 4 | |||||||||
Other Accrued Expenses | 38 | 14 | 35 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 848 | 58 | 351 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 43,846 | $ | 2,489 | $ | 10,714 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 46,965 | $ | 2,469 | $ | 13,147 | ||||||
Accumulated Net Realized Loss on Investments, Options Written and Foreign Currency | (3,161 | ) | (49 | ) | (3,323 | ) | ||||||
Unrealized Appreciation (Depreciation) of Investments and Foreign Currency | (853 | ) | 32 | 632 | ||||||||
Undistributed Net Investment Income | 895 | 37 | 258 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 43,846 | $ | 2,489 | $ | 10,714 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 39,739 | $ | 1,316 | $ | 7,274 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 4,107 | $ | 1,173 | $ | 3,440 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (4) | ||||||||||||
I Class Share | 4,127,652 | 129,649 | 848,653 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 428,206 | 116,103 | 401,004 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (5) | ||||||||||||
I Class Share | $ | 9.63 | $ | 10.15 | $ | 8.57 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 9.59 | $ | 10.10 | $ | 8.58 | ||||||
|
|
|
|
|
|
(1) | The identified cost for the TCW Emerging Markets Multi-Asset Opportunities Fund, the TCW International Growth Fund and the TCW International Small Cap Fund at October 31, 2015 was $44,304, $2,487 and $10,120, respectively. |
(2) | The identified cost for the TCW Emerging Markets Multi-Asset Opportunities Fund, the TCW International Growth Fund and the TCW International Small Cap Fund at October 31, 2015 was $20, $12 and $50, respectively. |
(3) | Amount rounds to less than $1. |
(4) | The number of authorized shares with a par value of $0.001 per share, for the TCW Emerging Markets Multi-Asset Opportunities Fund, the TCW International Growth Fund and the TCW International Small Cap Fund is 2,000,000,000 for each of the I Class and N Class shares. |
(5) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
59
Table of Contents
TCW Funds, Inc.
Year Ended October 31, 2015 |
TCW Developing Markets Equity Fund (1) | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Dividends | $ | 25 | (2) | $ | — | $ | — | |||||
Interest | — | 246,704 | (3) | 16,258 | (3) | |||||||
|
|
|
|
|
| |||||||
Total | 25 | 246,704 | 16,258 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 13 | 32,641 | 1,958 | |||||||||
Accounting Services Fees | 1 | 399 | 12 | |||||||||
Administration Fees | 1 | 241 | 9 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 1 | 2,722 | 79 | |||||||||
N Class | 1 | 581 | 52 | |||||||||
Custodian Fees | 15 | 681 | 359 | |||||||||
Professional Fees | 42 | 110 | 40 | |||||||||
Directors’ Fees and Expenses | 11 | 26 | 26 | |||||||||
Registration Fees: | ||||||||||||
I Class | 5 | 66 | 19 | |||||||||
N Class | 5 | 70 | 19 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 1 | 1,573 | 298 | |||||||||
Compliance Expense | — | (4) | 83 | 4 | ||||||||
Shareholder Reporting Expense | 15 | 19 | 4 | |||||||||
Other | 11 | 644 | 24 | |||||||||
|
|
|
|
|
| |||||||
Total | 122 | 39,856 | 2,903 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 69 | — | 9 | |||||||||
N Class | 32 | — | 310 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 21 | 39,856 | 2,584 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 4 | 206,848 | 13,674 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | (327 | ) | (440,128 | ) (5) | (47,638 | ) (5) | ||||||
Foreign Currency | (4 | ) | 76,899 | 6,572 | ||||||||
Futures Contracts | — | (12,427 | ) | — | ||||||||
Options Written | — | 1,197 | 138 | |||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (414 | ) | (140,428 | ) (6) | (12,159 | ) (6) | ||||||
Foreign Currency | — | (17,086 | ) | (1,976 | ) | |||||||
Futures Contracts | — | 3,645 | — | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Options Written and Foreign Currency Transactions | (745 | ) | (528,328 | ) | (55,063 | ) | ||||||
|
|
|
|
|
| |||||||
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (741 | ) | $ | (321,480 | ) | $ | (41,389 | ) | |||
|
|
|
|
|
|
(1) | For the period July 1, 2015 (Commencement of Operations) through October 31, 2015. |
(2) | Net of foreign taxes withheld of $3 for the TCW Developing Markets Equity Fund. |
(3) | Net of foreign taxes withheld of $38 and $404 for the TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund, respectively. |
(4) | Amount rounds to less than $1. |
(5) | Net of capital gain withholding taxes of $487 and $132 for the TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund, respectively. |
(6) | Net of capital gain withholding taxes of $306 and $60 for the TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund, respectively. |
See accompanying notes to financial statements.
60
Table of Contents
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2015 |
TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Growth Fund | TCW International Small Cap Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Dividends (1) | $ | 597 | $ | 43 | $ | 316 | ||||||
Interest | 1,216 | (2) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total | 1,813 | 43 | 316 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 486 | 22 | 141 | |||||||||
Accounting Services Fees | 4 | 2 | 2 | |||||||||
Administration Fees | 2 | 1 | 2 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 7 | 1 | 5 | |||||||||
N Class | 1 | — | (3) | 4 | ||||||||
Custodian Fees | 139 | 35 | 49 | |||||||||
Professional Fees | 41 | 21 | 27 | |||||||||
Directors’ Fees and Expenses | 26 | 26 | 26 | |||||||||
Registration Fees: | ||||||||||||
I Class | 20 | 3 | 17 | |||||||||
N Class | 17 | 1 | 17 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 9 | 3 | 16 | |||||||||
Compliance Expense | 1 | — | (3) | — | (3) | |||||||
Shareholder Reporting Expense | 4 | 2 | 4 | |||||||||
Other | 17 | 16 | 30 | |||||||||
|
|
|
|
|
| |||||||
Total | 774 | 133 | 340 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 112 | 55 | 29 | |||||||||
N Class | 33 | 47 | 42 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 629 | 31 | 269 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 1,184 | 12 | 47 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments (4) | (3,174 | ) | (41 | ) | (1,495 | ) | ||||||
Foreign Currency | 269 | 75 | 854 | |||||||||
Options Written | 6 | — | — | |||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (3,859 | ) (5) | (160 | ) (5) | 440 | |||||||
Foreign Currency | (48 | ) | (12 | ) | (55 | ) | ||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments, Options Written and Foreign Currency Transactions | (6,806 | ) | (138 | ) | (256 | ) | ||||||
|
|
|
|
|
| |||||||
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (5,622 | ) | $ | (126 | ) | $ | (209 | ) | |||
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $71, $6 and $32 for the TCW Emerging Markets Multi-Asset Opportunities Fund, the TCW International Growth Fund and the TCW International Small Cap Fund, respectively. |
(2) | Net of foreign taxes withheld of $3 for the TCW Emerging Markets Multi-Asset Opportunities Fund. |
(3) | Amount rounds to less than $1. |
(4) | Net of capital gain withholding taxes of $60, $24 and $459 for the TCW Emerging Markets Multi-Asset Opportunities Fund, the TCW International Growth Fund and the TCW International Small Cap Fund, respectively. |
(5) | Net of capital gain withholding taxes of $54 and $0 for the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Growth Fund, respectively. |
See accompanying notes to financial statements.
61
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | |||||||||||
July 1, 2015 (1) through October 31, 2015 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
OPERATIONS | ||||||||||||
Net Investment Income | $ | 4 | $ | 206,848 | $ | 283,261 | ||||||
Net Realized Loss on Investments, Futures Contracts, Options Written and Foreign Currency Transactions | (331 | ) | (374,459 | ) | (155,204 | ) | ||||||
Change in Unrealized Appreciation (Depreciation) on Investments, Futures Contracts and Foreign Currency Transactions | (414 | ) | (153,869 | ) | 131,273 | |||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets Resulting from Operations | (741 | ) | (321,480 | ) | 259,330 | |||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||
Distributions from Net Investment Income: | ||||||||||||
I Class | — | (180,472 | ) | (200,178 | ) | |||||||
N Class | — | (29,061 | ) | (53,495 | ) | |||||||
Return of Capital: | ||||||||||||
I Class | — | (9,011 | ) | — | ||||||||
N Class | — | (1,462 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total Distributions to Shareholders | — | (220,006 | ) | (253,673 | ) | |||||||
|
|
|
|
|
| |||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||
I Class | 3,930 | (1,404,328 | ) | 348,897 | ||||||||
N Class | 1,500 | (183,685 | ) | (649,328 | ) | |||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 5,430 | (1,588,013 | ) | (300,431 | ) | |||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets | 4,689 | (2,129,499 | ) | (294,774 | ) | |||||||
NET ASSETS | ||||||||||||
Beginning of Year | — | 5,384,591 | 5,679,365 | |||||||||
|
|
|
|
|
| |||||||
End of Year | $ | 4,689 | $ | 3,255,092 | $ | 5,384,591 | ||||||
|
|
|
|
|
| |||||||
Undistributed Net Investment Income (Loss) | $ | 1 | $ | (11,211 | ) | $ | (29,559 | ) |
(1) | Commencement of Operations. |
See accompanying notes to financial statements.
62
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | |||||||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 13,674 | $ | 14,670 | $ | 1,184 | $ | 965 | ||||||||
Net Realized Loss on Investments, Options Written and Foreign Currency Transactions | (40,928 | ) | (30,488 | ) | (2,899 | ) | (274 | ) | ||||||||
Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currency Transactions | (14,135 | ) | 3,007 | (3,907 | ) | 843 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (41,389 | ) | (12,811 | ) | (5,622 | ) | 1,534 | |||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | — | — | (937 | ) | (296 | ) | ||||||||||
N Class | — | — | (77 | ) | — | (1) | ||||||||||
Distributions from Return of Capital: | ||||||||||||||||
I Class | (450 | ) | (2,220 | ) | — | — | ||||||||||
N Class | (335 | ) | (1,195 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (785 | ) | (3,415 | ) | (1,014 | ) | (296 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (51,829 | ) | (46,169 | ) | (7,610 | ) | 11,510 | |||||||||
N Class | 115,451 | (54,824 | ) | 4,351 | 59 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 63,622 | (100,993 | ) | (3,259 | ) | 11,569 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 21,448 | (117,219 | ) | (9,895 | ) | 12,807 | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 233,856 | 351,075 | 53,741 | 40,934 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 255,304 | $ | 233,856 | $ | 43,846 | $ | 53,741 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | 952 | $ | (814 | ) | $ | 895 | $ | 784 |
(1) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
63
Table of Contents
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW International Growth Fund | TCW International Small Cap Fund | |||||||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 12 | $ | 17 | $ | 47 | $ | 29 | ||||||||
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | 34 | 311 | (641 | ) | 3,478 | |||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currency Transactions | (172 | ) | (250 | ) | 385 | (3,996 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | (126 | ) | 78 | (209 | ) | (489 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (22 | ) | (10 | ) | (118 | ) | (191 | ) | ||||||||
N Class | (17 | ) | (5 | ) | (50 | ) | (75 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (155 | ) | (4 | ) | — | — | ||||||||||
N Class | (140 | ) | (4 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (334 | ) | (23 | ) | (168 | ) | (266 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 175 | 12 | (12,156 | ) | (3,942 | ) | ||||||||||
N Class | 157 | 8 | (5,976 | ) | (2,193 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 332 | 20 | (18,132 | ) | (6,135 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (128 | ) | 75 | (18,509 | ) | (6,890 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 2,617 | 2,542 | 29,223 | 36,113 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 2,489 | $ | 2,617 | $ | 10,714 | $ | 29,223 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | 37 | $ | 14 | $ | 258 | $ | (41 | ) |
See accompanying notes to financial statements.
64
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), that currently offers 23 no-load mutual funds (each series a “Fund” and collectively the “Funds”). TCW Investment Management Company (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940. Each Fund has distinct investment objectives. The following are the objectives for the 6 International Funds that are covered in this report:
TCW Fund | Investment Objective | |
Diversified Fixed Income Fund | ||
TCW Emerging Markets Income Fund | Seeks high total return from current income and capital appreciation by investing at least 80% of the value of its net assets in debt securities issued or guaranteed by companies, financial institutions and government entities in emerging market countries. | |
Non-Diversified Fixed Income Fund | ||
TCW Emerging Markets Local Currency Income Fund | Seeks to provide high total return from current income and capital appreciation by investing at least 80% of the value of its net assets in debt securities issued or guaranteed by non-financial companies, financial institutions and government entities in emerging market countries denominated in the local currencies of the issuer and in derivative instruments that provide investment exposure to such securities. | |
Diversified International Equity Fund | ||
TCW International Small Cap Fund | Seeks long-term capital appreciation by investing at least 80% of its net assets in equity securities of small capitalization companies that are generally outside the United States or whose primary business operations are outside the United States. | |
Non-Diversified International Equity Fund | ||
TCW Developing Markets Equity Fund | Seeks long-term capital appreciation by investing primarily in equity securities of companies and financial institutions domiciled or with primary business operations in, or with the majority of their net assets in or revenues or net income deriving from, developing market countries. | |
TCW International Growth Fund | Seeks long-term capital appreciation by investing primarily in equity securities of companies across all market capitalizations that are domiciled outside the United States or whose primary business operations are outside the United States. |
65
Note 1 — Organization
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 1 — Organization (Continued)
TCW Fund | Investment Objective | |
Non-Diversified Balanced Fund | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | Seeks current income and long term capital appreciation by investing at least 80% of the value of its net assets in debt and equity securities issued or guaranteed by companies, financial institutions and government entities in emerging market countries. |
All Funds offer two classes of shares: I Class and N Class. The classes are substantially the same except that the N Class shares are subject to a distribution fee (see Note 6).
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies, which are in conformity with accounting principles generally accepted in the United States of America and which are consistently followed by the Funds in the preparation of their financial statements.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes. Each Fund is considered an investment company under the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) No. 946, Financial Services — Investment Companies.
Net Asset Value: The net asset value per share (“NAV”) of each class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that class on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market are valued using official closing prices as reported by NASDAQ. All other securities for which over-the-counter (“OTC”) market quotations are readily available including short-term securities are valued with prices furnished by independent pricing services or by broker dealers. Exchange traded derivatives are valued at the last sale price, or if no sales are reported, the mean price for purchased and written options, and the last ask price for swaps and futures. Over the counter options are valued using dealer quotations.
The Company has adopted, after the approval by the Company’s Board of Directors, a fair valuation methodology for foreign equity securities (exclusive of certain Latin American and Canadian equity securities). This methodology is designed to address the effect of movements in the U.S. market on the securities traded on a foreign exchange that has been closed for a period of time due to time zone difference. The utilization of the fair value model may result in the adjustment of prices taking into account fluctuations in the U.S. market. The fair value model is utilized each trading day and not dependent on certain thresholds or triggers.
Securities for which market quotations are not readily available, including circumstances under which the prices received are not reflective of a security’s market value, are valued by the Advisor in good faith under procedures established by and under the general supervision of the Company’s Board of Directors.
Fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In
66
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
accordance with the authoritative guidance on fair value measurements and disclosures under the accounting principles generally accepted in the United States of America (“GAAP”), the Funds disclose investments in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements 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 methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
Fair Value Measurements: A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
67
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
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 in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are generally categorized in Level 2 of the fair value hierarchy; if a discount is applied and significant, they are categorized in Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets and are categorized in Level 2 of the fair value hierarchy.
Foreign currency contracts. The fair value of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. To the extent that these factors can be observed, foreign currency contracts are categorized in Level 2 of the fair value hierarchy.
Futures contracts. Futures contracts are generally valued at the settlement price established at the close of business each day by the exchange on which they are traded. As such, they are categorized in Level 1.
Money market funds. Money market funds are open-end mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported net asset value, they are categorized in Level 1 of the fair value hierarchy.
Options contracts. Exchange listed option contracts traded on securities exchanges are fair valued using quoted prices from the applicable exchange; as such, they are categorized in Level 1. Option contracts traded OTC are fair valued based on pricing models and incorporate various inputs such as interest rate, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-money contracts on a given strike price. To the extent that these inputs are observable and timely, the fair value of OTC option contracts would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
Participation Notes. Participation Notes are fair valued based on underlying equity security valuations. Valuation of underlying equity securities is derived from the market exchange or quotations from dealers. Participation Notes are generally categorized in Level 2 of the fair value hierarchy.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized as Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
Rights. Rights are generally valued based on quoted prices from the applicable exchange. They are categorized in Level 1 of the fair value hierarchy.
Short-term investments. Short-term investments are valued using market price quotations, and are reflected in Level 2 of the fair value hierarchy.
U.S. and foreign government and agency securities. Government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. and foreign government and agency securities are normally categorized in Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
68
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
Warrants. Warrants are generally valued based on quoted prices from the applicable exchange. They are categorized in Level 1 of the fair value hierarchy.
The following is a summary of the inputs used as of October 31, 2015 in valuing the Funds:
TCW Developing Markets Equity Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Airlines | $ | 31,462 | $ | — | $ | — | $ | 31,462 | ||||||||
Auto Components | — | 24,176 | — | 24,176 | ||||||||||||
Automobiles | — | 29,368 | — | 29,368 | ||||||||||||
Banks | 313,200 | 713,939 | — | 1,027,139 | ||||||||||||
Beverages | 146,941 | 50,489 | — | 197,430 | ||||||||||||
Chemicals | — | 53,911 | — | 53,911 | ||||||||||||
Commercial Services & Supplies | — | 26,734 | — | 26,734 | ||||||||||||
Construction Materials | 30,187 | — | — | 30,187 | ||||||||||||
Diversified Financial Services | — | 23,001 | — | 23,001 | ||||||||||||
Diversified Telecommunication Services | 55,140 | 68,734 | — | 123,874 | ||||||||||||
Electric Utilities | — | 24,764 | — | 24,764 | ||||||||||||
Electrical Equipment | 22,888 | — | — | 22,888 | ||||||||||||
Electronics | — | 16,146 | — | 16,146 | ||||||||||||
Food & Staples Retailing | 115,220 | 41,299 | — | 156,519 | ||||||||||||
Food Products | 24,079 | 79,834 | — | 103,913 | ||||||||||||
Household Durables | — | 24,205 | — | 24,205 | ||||||||||||
Household Products | — | 41,374 | — | 41,374 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 19,466 | — | 19,466 | ||||||||||||
Insurance | — | 101,749 | — | 101,749 | ||||||||||||
Internet & Catalog Retail | 85,208 | — | — | 85,208 | ||||||||||||
Internet Software & Services | — | 203,031 | — | 203,031 | ||||||||||||
IT Services | — | 48,617 | — | 48,617 | ||||||||||||
Media | — | 128,017 | — | 128,017 | ||||||||||||
Metals & Mining | 11,267 | 25,883 | — | 37,150 | ||||||||||||
Multiline Retail | — | 30,435 | — | 30,435 | ||||||||||||
Oil, Gas & Consumable Fuels | 74,074 | — | — | 74,074 | ||||||||||||
Personal Products | — | 63,484 | — | 63,484 | ||||||||||||
Pharmaceuticals | — | 71,202 | — | 71,202 | ||||||||||||
Road & Rail | — | 24,953 | — | 24,953 | ||||||||||||
Semiconductors & Semiconductor Equipment | 196,981 | 13,417 | — | 210,398 | ||||||||||||
Specialty Retail | 47,713 | — | — | 47,713 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 59,971 | — | 59,971 | ||||||||||||
Textiles, Apparel & Luxury Goods | 83,106 | — | — | 83,106 | ||||||||||||
Tobacco | 36,251 | — | — | 36,251 | ||||||||||||
Transportation Infrastructure | — | 21,219 | — | 21,219 | ||||||||||||
Water Utilities | — | 78,147 | — | 78,147 | ||||||||||||
Wireless Telecommunication Services | — | 183,170 | — | 183,170 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 1,273,717 | 2,290,735 | — | 3,564,452 | ||||||||||||
|
|
|
|
|
|
|
|
69
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Developing Markets Equity Fund (Continued)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Participation Notes | ||||||||||||||||
Banks | $ | — | $ | 18,697 | $ | — | $ | 18,697 | ||||||||
Diversified Financial Services | — | 1,718 | — | 1,718 | ||||||||||||
Diversified Telecommunication Services | — | 68,050 | — | 68,050 | ||||||||||||
Insurance | — | 168,580 | — | 168,580 | ||||||||||||
Media | — | 87,306 | — | 87,306 | ||||||||||||
Miscellaneous | — | 216,629 | — | 216,629 | ||||||||||||
Pharmaceuticals | — | 133,704 | — | 133,704 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 26,834 | — | 26,834 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 41,186 | — | 41,186 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Participation Notes | — | 762,704 | — | 762,704 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 370,520 | — | — | 370,520 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,644,237 | $ | 3,053,439 | $ | — | $ | 4,697,676 | ||||||||
|
|
|
|
|
|
|
|
TCW Emerging Markets Income Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Airlines | $ | — | $ | 77,276,867 | $ | — | $ | 77,276,867 | ||||||||
Auto Parts & Equipment | — | 16,748,250 | — | 16,748,250 | ||||||||||||
Banks | — | 298,737,875 | — | 298,737,875 | ||||||||||||
Building Materials | — | 36,597,703 | 1,275,000 | 37,872,703 | ||||||||||||
Chemicals | — | 8,362,875 | — | 8,362,875 | ||||||||||||
Commercial Services | — | 24,388,348 | — | 24,388,348 | ||||||||||||
Diversified Financial Services | — | 80,231,635 | — | 80,231,635 | ||||||||||||
Electric | — | 58,268,970 | — | 58,268,970 | ||||||||||||
Foreign Government Bonds | — | 1,947,615,093 | — | 1,947,615,093 | ||||||||||||
Holding Companies — Diversified | — | 20,573,305 | — | 20,573,305 | ||||||||||||
Household Products/Wares | — | 18,610,354 | — | 18,610,354 | ||||||||||||
Internet | — | 12,443,811 | — | 12,443,811 | ||||||||||||
Iron & Steel | — | 23,791,671 | — | 23,791,671 | ||||||||||||
Lodging | — | 9,823,000 | — | 9,823,000 | ||||||||||||
Media | — | 23,369,125 | — | 23,369,125 | ||||||||||||
Mining | — | 53,062,752 | — | 53,062,752 | ||||||||||||
Oil & Gas | — | 236,580,874 | — | 236,580,874 | ||||||||||||
Regional (State & Province) | — | 14,055,754 | — | 14,055,754 | ||||||||||||
Telecommunications | — | 76,454,800 | — | 76,454,800 | ||||||||||||
Transportation | — | 27,658,750 | — | 27,658,750 | ||||||||||||
Utilities | — | 24,004,750 | — | 24,004,750 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 3,088,656,562 | 1,275,000 | 3,089,931,562 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Securities | ||||||||||||||||
Miscellaneous Manufacturers | — | * | — | — | — | * | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity Securities | — | * | — | — | — | * | ||||||||||
|
|
|
|
|
|
|
|
70
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 2 —Significant Accounting Policies (Continued)
TCW Emerging Markets Income Fund (Continued)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Purchased Options | $ | — | $ | 160,093 | $ | — | $ | 160,093 | ||||||||
Money Market Investments | 120,006,737 | — | — | 120,006,737 | ||||||||||||
Short-Term Investments | 2,159,464 | — | — | 2,159,464 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 122,166,201 | 3,088,816,655 | 1,275,000 | 3,212,257,856 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 164,605 | — | 164,605 | ||||||||||||
Futures | ||||||||||||||||
Interest Rate Risk | 191,212 | — | — | 191,212 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 122,357,413 | $ | 3,088,981,260 | $ | 1,275,000 | $ | 3,212,613,673 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (1,772,359 | ) | $ | — | $ | (1,772,359 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (1,772,359 | ) | $ | — | $ | (1,772,359 | ) | ||||||
|
|
|
|
|
|
|
|
* | Amount rounds to less than $1. |
TCW Emerging Markets Local Currency Income Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Diversified Financial Services | $ | — | $ | 7,005,030 | $ | — | $ | 7,005,030 | ||||||||
Electric | — | 5,574,949 | — | 5,574,949 | ||||||||||||
Foreign Government Bonds | — | 226,266,152 | — | 226,266,152 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 238,846,131 | — | 238,846,131 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | — | 15,718 | — | 15,718 | ||||||||||||
Money Market Investments | 5,339,672 | — | — | 5,339,672 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 5,339,672 | 238,861,849 | — | 244,201,521 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 954,931 | — | 954,931 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,339,672 | $ | 239,816,780 | $ | — | $ | 245,156,452 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (1,819,179 | ) | $ | — | $ | (1,819,179 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (1,819,179 | ) | $ | — | $ | (1,819,179 | ) | ||||||
|
|
|
|
|
|
|
|
71
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Market Multi-Asset Opportunities Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Airlines | $ | — | $ | 406,549 | $ | — | $ | 406,549 | ||||||||
Banks | — | 1,926,260 | — | 1,926,260 | ||||||||||||
Building Materials | — | 354,937 | — | 354,937 | ||||||||||||
Commercial Services | — | 212,720 | — | 212,720 | ||||||||||||
Diversified Financial Services | — | 565,846 | — | 565,846 | ||||||||||||
Electric | — | 234,000 | — | 234,000 | ||||||||||||
Foreign Government Bonds | — | 9,848,862 | — | 9,848,862 | ||||||||||||
Gas | — | 198,825 | — | 198,825 | ||||||||||||
Holding Companies — Diversified | — | 200,500 | — | 200,500 | ||||||||||||
Household Products/Wares | — | 109,550 | — | 109,550 | ||||||||||||
Iron & Steel | — | 122,865 | — | 122,865 | ||||||||||||
Media | — | 197,000 | — | 197,000 | ||||||||||||
Mining | — | 393,220 | — | 393,220 | ||||||||||||
Oil & Gas | — | 1,096,354 | — | 1,096,354 | ||||||||||||
Real Estate | — | 208,700 | — | 208,700 | ||||||||||||
Regional (State & Province) | — | 154,742 | — | 154,742 | ||||||||||||
Telecommunications | — | 381,500 | — | 381,500 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 16,612,430 | — | 16,612,430 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Beverages | 182,434 | — | — | 182,434 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 182,434 | — | — | 182,434 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks | ||||||||||||||||
Agriculture | 213,168 | 700,318 | — | 913,486 | ||||||||||||
Airlines | 194,132 | — | — | 194,132 | ||||||||||||
Apparel | 768,645 | — | — | 768,645 | ||||||||||||
Auto Manufacturers | — | 161,182 | — | 161,182 | ||||||||||||
Auto Parts & Equipment | — | 86,194 | — | 86,194 | ||||||||||||
Banks | 724,285 | 4,014,571 | — | 4,738,856 | ||||||||||||
Beverages | 560,012 | 204,426 | — | 764,438 | ||||||||||||
Building Materials | 158,611 | — | — | 158,611 | ||||||||||||
Chemicals | — | 282,131 | — | 282,131 | ||||||||||||
Commercial Services | — | 202,088 | — | 202,088 | ||||||||||||
Computers | — | 164,231 | — | 164,231 | ||||||||||||
Cosmetics/Personal Care | — | 454,710 | — | 454,710 | ||||||||||||
Diversified Financial Services | — | 1,070,101 | — | 1,070,101 | ||||||||||||
Electric | — | 157,586 | — | 157,586 | ||||||||||||
Electrical Components & Equipment | 128,174 | 215,708 | — | 343,882 | ||||||||||||
Electronics | — | 150,179 | — | 150,179 | ||||||||||||
Environmental Control | — | 319,828 | — | 319,828 | ||||||||||||
Food | 717,217 | 404,093 | — | 1,121,310 | ||||||||||||
Healthcare-Products | — | 304,523 | — | 304,523 | ||||||||||||
Home Furnishings | — | 141,551 | — | 141,551 | ||||||||||||
Insurance | — | 1,228,344 | — | 1,228,344 | ||||||||||||
Internet | 420,542 | 1,386,318 | — | 1,806,860 | ||||||||||||
Iron & Steel | — | 289,395 | — | 289,395 | ||||||||||||
Media | — | 1,205,731 | — | 1,205,731 | ||||||||||||
Miscellaneous Manufacturers | — | 248,979 | — | 248,979 |
72
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Market Multi-Asset Opportunities Fund (Continued)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Oil & Gas | $ | 848,836 | $ | — | $ | — | $ | 848,836 | ||||||||
Pharmaceuticals | — | 1,195,828 | 40,527 | 1,236,355 | ||||||||||||
Retail | — | 250,772 | — | 250,772 | ||||||||||||
Semiconductors | 274,500 | 1,127,506 | — | 1,402,006 | ||||||||||||
Telecommunications | 267,568 | 1,755,347 | — | 2,022,915 | ||||||||||||
Transportation | — | 139,512 | — | 139,512 | ||||||||||||
Water | — | 311,420 | — | 311,420 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 5,275,690 | 18,172,572 | 40,527 | 23,488,789 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Participation Notes | ||||||||||||||||
Healthcare-Services | — | 253,619 | — | 253,619 | ||||||||||||
Insurance | — | 390,613 | — | 390,613 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Participation Notes | — | 644,232 | — | 644,232 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | — | 844 | — | 844 | ||||||||||||
Money Market Investments | 2,584,057 | — | — | 2,584,057 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 8,042,181 | 35,430,078 | 40,527 | 43,512,786 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 973 | — | 973 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 8,042,181 | $ | 35,431,051 | $ | 40,527 | $ | 43,513,759 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (8,833 | ) | $ | — | $ | (8,833 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (8,833 | ) | $ | — | $ | (8,833 | ) | ||||||
|
|
|
|
|
|
|
|
TCW International Growth Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Air Freight & Logistics | $ | — | $ | 11,918 | $ | — | $ | 11,918 | ||||||||
Airlines | 41,021 | 35,367 | — | 76,388 | ||||||||||||
Automobiles | — | 11,832 | — | 11,832 | ||||||||||||
Banks | 13,899 | 168,396 | — | 182,295 | ||||||||||||
Biotechnology | 12,533 | 12,528 | — | 25,061 | ||||||||||||
Building Products | 27,958 | — | — | 27,958 | ||||||||||||
Capital Markets | — | 48,582 | — | 48,582 | ||||||||||||
Chemicals | — | 92,397 | — | 92,397 | ||||||||||||
Commercial Services & Supplies | — | 42,610 | — | 42,610 | ||||||||||||
Communications Equipment | — | 12,790 | — | 12,790 | ||||||||||||
Construction & Engineering | — | 14,048 | — | 14,048 | ||||||||||||
Construction Materials | 26,382 | 29,646 | — | 56,028 | ||||||||||||
Diversified Financial Services | — | 82,360 | — | 82,360 | ||||||||||||
Diversified Telecommunication Services | 27,593 | 97,575 | — | 125,168 | ||||||||||||
Electric Utilities | — | 13,600 | — | 13,600 |
73
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW International Growth Fund (Continued)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Electrical Equipment | $ | — | $ | 23,036 | $ | — | $ | 23,036 | ||||||||
Electronic Equipment, Instruments & Components | — | 24,272 | — | 24,272 | ||||||||||||
Food & Staples Retailing | 44,018 | 24,108 | — | 68,126 | ||||||||||||
Food Products | — | 26,158 | — | 26,158 | ||||||||||||
Health Care Equipment & Supplies | — | 11,431 | — | 11,431 | ||||||||||||
Health Care Providers & Services | — | 49,246 | — | 49,246 | ||||||||||||
Health Care Technology | — | 17,831 | — | 17,831 | ||||||||||||
Hotels, Restaurants & Leisure | 13,520 | 26,607 | — | 40,127 | ||||||||||||
Household Durables | — | 27,807 | — | 27,807 | ||||||||||||
Insurance | — | 109,734 | — | 109,734 | ||||||||||||
Internet & Catalog Retail | 24,168 | 27,161 | — | 51,329 | ||||||||||||
Internet Software & Services | — | 71,624 | — | 71,624 | ||||||||||||
IT Services | — | 64,909 | — | 64,909 | ||||||||||||
Life Sciences Tools & Services | — | 13,099 | — | 13,099 | ||||||||||||
Machinery | — | 12,226 | — | 12,226 | ||||||||||||
Media | — | 117,517 | — | 117,517 | ||||||||||||
Metals & Mining | 11,267 | — | — | 11,267 | ||||||||||||
Miscellaneous | — | 21,724 | — | 21,724 | ||||||||||||
Multi-Utilities | — | 13,768 | — | 13,768 | ||||||||||||
Multiline Retail | 14,515 | 12,262 | — | 26,777 | ||||||||||||
Oil, Gas & Consumable Fuels | 23,305 | — | — | 23,305 | ||||||||||||
Paper & Forest Products | — | 58,385 | — | 58,385 | ||||||||||||
Personal Products | — | 27,424 | — | 27,424 | ||||||||||||
Pharmaceuticals | 75,741 | 122,799 | 2,374 | 200,914 | ||||||||||||
Professional Services | 11,316 | 36,952 | — | 48,268 | ||||||||||||
REIT | — | 25,852 | — | 25,852 | ||||||||||||
Real Estate Management & Development | — | 13,059 | — | 13,059 | ||||||||||||
Road & Rail | 12,716 | 9,507 | — | 22,223 | ||||||||||||
Semiconductors & Semiconductor Equipment | 13,423 | 24,227 | — | 37,650 | ||||||||||||
Software | 12,955 | 31,303 | — | 44,258 | ||||||||||||
Specialty Retail | — | 26,702 | — | 26,702 | ||||||||||||
Textiles, Apparel & Luxury Goods | 12,416 | 32,963 | — | 45,379 | ||||||||||||
Thrifts & Mortgage Finance | — | 37,293 | — | 37,293 | ||||||||||||
Tobacco | 12,765 | 42,777 | — | 55,542 | ||||||||||||
Trading Companies & Distributors | — | 11,764 | — | 11,764 | ||||||||||||
Transportation Infrastructure | — | 24,329 | — | 24,329 | ||||||||||||
Water Utilities | — | 13,302 | — | 13,302 | ||||||||||||
Wireless Telecommunication Services | 11,375 | — | — | 11,375 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 442,886 | 1,906,807 | 2,374 | 2,352,067 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Participation Notes | ||||||||||||||||
Miscellaneous | — | 11,160 | — | 11,160 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Participation Notes | — | 11,160 | — | 11,160 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 147,687 | — | — | 147,687 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 590,573 | 1,917,967 | 2,374 | 2,510,914 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 8,818 | — | 8,818 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 590,573 | 1,926,785 | $ | 2,374 | $ | 2,519,732 | |||||||||
|
|
|
|
|
|
|
|
74
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
TCW International Growth Fund (Continued)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (991 | ) | $ | — | $ | (991 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (991 | ) | $ | — | $ | (991 | ) | ||||||
|
|
|
|
|
|
|
|
TCW International Small Cap Fund
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Auto Components | $ | — | $ | 84,805 | $ | — | $ | 84,805 | ||||||||
Banks | — | 290,335 | — | 290,335 | ||||||||||||
Beverages | — | 101,078 | — | 101,078 | ||||||||||||
Building Products | — | 338,930 | — | 338,930 | ||||||||||||
Capital Markets | — | 545,452 | — | 545,452 | ||||||||||||
Chemicals | — | 319,025 | — | 319,025 | ||||||||||||
Commercial Services & Supplies | — | 320,581 | — | 320,581 | ||||||||||||
Communications Equipment | — | 93,187 | — | 93,187 | ||||||||||||
Construction Materials | 46,816 | — | — | 46,816 | ||||||||||||
Containers & Packaging | — | 136,232 | — | 136,232 | ||||||||||||
Diversified Financial Services | 52,107 | 383,904 | — | 436,011 | ||||||||||||
Electrical Equipment | — | 115,752 | — | 115,752 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 144,375 | — | 144,375 | ||||||||||||
Food & Staples Retailing | 57,152 | 189,208 | — | 246,360 | ||||||||||||
Food Products | 60,581 | 58,963 | — | 119,544 | ||||||||||||
Health Care Equipment & Supplies | — | 216,128 | — | 216,128 | ||||||||||||
Health Care Providers & Services | — | 219,371 | — | 219,371 | ||||||||||||
Health Care Technology | 57,171 | 48,840 | — | 106,011 | ||||||||||||
Hotels, Restaurants & Leisure | 60,832 | 38,048 | — | 98,880 | ||||||||||||
Household Durables | — | 191,822 | — | 191,822 | ||||||||||||
Industrial Conglomerates | — | 81,691 | — | 81,691 | ||||||||||||
Insurance | — | 217,171 | — | 217,171 | ||||||||||||
Internet & Catalog Retail | — | 62,030 | — | 62,030 | ||||||||||||
Internet Software & Services | 58,612 | 216,767 | — | 275,379 | ||||||||||||
IT Services | — | 204,858 | — | 204,858 | ||||||||||||
Leisure Products | — | 84,307 | — | 84,307 | ||||||||||||
Life Sciences Tools & Services | 67,702 | 280,499 | — | 348,201 | ||||||||||||
Machinery | 62,117 | 338,442 | — | 400,559 | ||||||||||||
Media | — | 470,635 | — | 470,635 | ||||||||||||
Metals & Mining | 25,292 | — | — | 25,292 | ||||||||||||
Multi-Utilities | — | 250,278 | — | 250,278 | ||||||||||||
Multiline Retail | — | 50,427 | — | 50,427 | ||||||||||||
Oil, Gas & Consumable Fuels | 47,720 | 57,179 | — | 104,899 | ||||||||||||
Paper & Forest Products | — | 156,361 | — | 156,361 | ||||||||||||
Personal Products | 58,435 | 145,723 | — | 204,158 | ||||||||||||
Pharmaceuticals | — | 322,239 | 20,088 | 342,327 |
75
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
TCW International Small Cap Fund (Continued)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Professional Services | $ | 93,507 | $ | 214,819 | $ | — | $ | 308,326 | ||||||||
REIT | — | 206,105 | — | 206,105 | ||||||||||||
Real Estate Management & Development | — | 192,583 | — | 192,583 | ||||||||||||
Real Estate | — | 157,380 | — | 157,380 | ||||||||||||
Road & Rail | 89,367 | 192,015 | — | 281,382 | ||||||||||||
Software | �� | 144,684 | — | 144,684 | ||||||||||||
Specialty Retail | 45,401 | 473,588 | — | 518,989 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 52,854 | — | 52,854 | ||||||||||||
Thrifts & Mortgage Finance | — | 52,929 | — | 52,929 | ||||||||||||
Trading Companies & Distributors | — | 69,452 | — | 69,452 | ||||||||||||
Transportation Infrastructure | — | 198,572 | — | 198,572 | ||||||||||||
Wireless Telecommunication Services | — | 102,170 | — | 102,170 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 882,812 | 8,831,794 | 20,088 | 9,734,694 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Building Products | — | 53,327 | — | 53,327 | ||||||||||||
Health Care Equipment & Supplies | 59,108 | — | — | 59,108 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 59,108 | 53,327 | — | 112,435 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Media | 1,769 | — | — | 1,769 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | 1,769 | — | — | 1,769 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Oil, Gas & Consumable Fuels | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 790,722 | — | — | 790,722 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,734,411 | 8,885,121 | 20,088 | 10,639,620 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 117,547 | — | 117,547 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,734,411 | $ | 9,002,668 | $ | 20,088 | $ | 10,757,167 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (4,285 | ) | $ | — | $ | (4,285 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (4,285 | ) | $ | — | $ | (4,285 | ) | ||||||
|
|
|
|
|
|
|
|
The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:
Fund | Transfers out of Level 1* and Transfers into Level 2 | Transfers out of Level 2* and Transfers into Level 1 | ||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | $ | 269,096 | $ | — | ||||
TCW International Small Cap Fund | — | 511,264 |
* | The Funds recognized transfers between the Levels as of the beginning of the period. |
The transfers between Level 1 and Level 2 of the fair value hierarchy during the year ended October 31, 2015, were due to changes in valuation to/from the exchange closing price from/to the fair value price.
76
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
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 | TCW International Growth Fund | TCW International Small Cap Fund | |||||||||||||
Balance as of October 31, 2014 | $ | — | $ | — | $ | — | $ | — | ||||||||
Accrued Discounts (Premiums) | — | — | — | — | ||||||||||||
Realized Gain (Loss) | — | (13,515 | ) | — | (33,659 | ) | ||||||||||
Change in Unrealized Appreciation | (4,425,000 | ) | (240,079 | ) | (32,738 | ) | (277,063 | ) | ||||||||
Purchases | — | 72,030 | 35,112 | 417,794 | ||||||||||||
Sales | — | (274,094 | ) | — | (86,984 | ) | ||||||||||
Transfers in to Level 3 (1) | 5,700,000 | 496,185 | — | — | ||||||||||||
Transfers out of Level 3 (1) | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance as of October 31, 2015 | $ | 1,275,000 | $ | 40,527 | $ | 2,374 | $ | 20,088 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Unrealized Appreciation from Investments Still Held at October 31, 2015 | $ | (4,425,000 | ) | $ | (240,079 | ) | $ | (32,738 | ) | $ | (277,063 | ) | ||||
|
|
|
|
|
|
|
|
(1) | The Funds recognize transfers in and out at the beginning of the period. These securities were transferred to Level 3 due to illiquidity and are not actively trading in the market due to bankruptcy and/or exchange suspension. |
Significant unobservable valuations inputs for Level 3 investments as of October 31, 2015, are as follows:
Description | Fair Value at 10/31/15 | Valuation Techniques* | Unobservable Input | Input | ||||||
TCW Emerging Markets Income Fund | ||||||||||
Fixed Income Securities | $ | 1,275,000 | Third-party Vendor | Third-party Vendor | $2.125 | |||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||
Common Stock | $ | 40,527 | Internal Model | Discount Applied | 70% | |||||
TCW International Growth Fund | ||||||||||
Common Stock | $ | 2,374 | Internal Model | Discount Applied | 91% | |||||
TCW International Small Cap Fund | ||||||||||
Common Stock | $ | 20,088 | Internal Model | Discount Applied | 91% |
* | The valuation technique employed on the Level 3 securities involves the use of vendor prices or internally derived model. The Advisor monitors the effectiveness of the Level 3 pricing using the valuation process described below. |
Level 3 Valuation Process: Investments classified within Level 3 of the fair value hierarchy may be fair valued by the Advisor with consent by the Company’s Pricing Committee in accordance with the guidelines established by the Board of Directors, and under the general oversight of the Board of Directors. The Company’s Pricing Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Company’s Pricing Committee reports to the Board of Directors at their regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Company’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment. The Advisor, as part of the daily process, conducts back-testing of prices based on daily trade activities.
The Pricing Committee consists of the Funds’ President, General Counsel, Chief Compliance Officer, Treasurer, Assistant Treasurer, Secretary, and a representative from the portfolio management team as well
77
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
as alternate members as the Board of Directors may from time to time designate. The Pricing Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Funds’ pricing procedures in general.
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency denominated securities and other assets and liabilities stated in foreign currencies are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are included in, or are a reduction of, ordinary income for federal income tax purposes.
Foreign Taxes: The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.
Derivative Instruments: Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. A derivative contract may result in a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Funds may not be able to close out a derivative transaction at a favorable time or price.
For the year ended October 31, 2015, the Funds had the following derivatives and transactions in derivatives, grouped in the following risk categories (Amounts in Thousands except Notional Amounts or Shares/Units):
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
TCW Emerging Markets Income Fund | ||||||||||||
Statements of Asset and Liabilities: | ||||||||||||
Asset Derivatives | ||||||||||||
Investments (1) | $ | 160 | $ | — | $ | 160 | ||||||
Forward Currency Contracts | 165 | — | 165 | |||||||||
Futures Contracts (2) | — | 191 | 191 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 325 | $ | 191 | $ | 516 | ||||||
|
|
|
|
|
| |||||||
Liability Derivatives | ||||||||||||
Forward Currency Contracts | $ | (1,772 | ) | $ | — | $ | (1,772 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | (1,772 | ) | $ | — | $ | (1,772 | ) | ||||
|
|
|
|
|
|
78
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
TCW Emerging Markets Income Fund (Continued) | ||||||||||||
Statement of Operations: | ||||||||||||
Realized Gain (Loss) on | ||||||||||||
Forward Currency Contracts | $ | 75,814 | $ | — | $ | 75,814 | ||||||
Futures Contracts | — | $ | (12,427 | ) | (12,427 | ) | ||||||
Written Options | 1,197 | — | 1,197 | |||||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | 77,011 | $ | (12,427 | ) | $ | 64,584 | |||||
|
|
|
|
|
| |||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Forward Currency Contracts | $ | (17,133 | ) | $ | — | $ | (17,133 | ) | ||||
Futures Contracts | — | 3,645 | 3,645 | |||||||||
Investments (3) | (315 | ) | — | (315 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Unrealized Appreciation (Depreciation) | $ | (17,448 | ) | $ | 3,645 | $ | (13,803 | ) | ||||
|
|
|
|
|
| |||||||
Notional Amounts or Shares/Units (5) | ||||||||||||
Forward Currency Contracts | $ | 677,611,546 | $ | — | $ | 677,611,546 | ||||||
Futures Contracts | — | 2,635 | 2,635 | |||||||||
Purchased Options | $ | 45,365,000 | $ | — | $ | 45,365,000 | ||||||
Written Options | $ | 128,470,920 | $ | — | $ | 128,470,920 | ||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||
Statements of Asset and Liabilities: | ||||||||||||
Asset Derivatives | ||||||||||||
Investments (1) | $ | 16 | $ | — | $ | 16 | ||||||
Forward Currency Contracts | 955 | — | 955 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 971 | $ | — | $ | 971 | ||||||
|
|
|
|
|
| |||||||
Liability Derivatives | ||||||||||||
Forward Currency Contracts | $ | (1,819 | ) | $ | — | $ | (1,819 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | (1,819 | ) | $ | — | $ | (1,819 | ) | ||||
|
|
|
|
|
| |||||||
Statement of Operations: | ||||||||||||
Realized Gain on | ||||||||||||
Investments (4) | $ | (246 | ) | $ | — | $ | (246 | ) | ||||
Forward Currency Contracts | 8,516 | — | 8,516 | |||||||||
Options Written | 138 | — | 138 | |||||||||
|
|
|
|
|
| |||||||
Total Realized Gain | $ | 8,408 | $ | — | $ | 8,408 | ||||||
|
|
|
|
|
| |||||||
Statement of Operations: | ||||||||||||
Change in Unrealized Depreciation on: | ||||||||||||
Investments (3) | $ | (65 | ) | $ | — | $ | (65 | ) | ||||
Forward Currency Contracts | (2,000 | ) | — | (2,000 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Unrealized Appreciation | $ | (2,065 | ) | $ | — | $ | (2,065 | ) | ||||
|
|
|
|
|
| |||||||
Notional Amounts (5) | ||||||||||||
Forward Currency Contracts | $ | 125,836,270 | $ | — | $ | 125,836,270 | ||||||
Purchased Options | $ | 12,795,000 | $ | — | $ | 12,795,000 | ||||||
Written Options | $ | 17,130,000 | $ | — | $ | 17,130,000 | ||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||
Statements of Asset and Liabilities: | ||||||||||||
Asset Derivatives | ||||||||||||
Investments (1) | $ | 1 | $ | — | $ | 1 | ||||||
Forward Currency Contracts | 1 | — | 1 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 2 | $ | — | $ | 2 | ||||||
|
|
|
|
|
|
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Foreign Currency Risk | Total | |||||||
TCW Emerging Markets Multi-Asset Opportunities Fund (Continued) | ||||||||
Liability Derivatives | ||||||||
Forward Currency Contracts | $ | (9 | ) | $ | (9 | ) | ||
|
|
|
| |||||
Total Value | $ | (9 | ) | $ | (9 | ) | ||
|
|
|
| |||||
Statement of Operations: | ||||||||
Realized Gain on | ||||||||
Forward Currency Contracts | $ | 298 | $ | 298 | ||||
Written Options | 6 | 6 | ||||||
|
|
|
| |||||
Total Realized Gain | $ | 304 | $ | 304 | ||||
|
|
|
| |||||
Change in Unrealized Depreciation on: | ||||||||
Investments (3) | $ | (2 | ) | $ | (2 | ) | ||
Forward Currency Contracts | (48 | ) | (48 | ) | ||||
|
|
|
| |||||
Total Change in Unrealized Depreciation | $ | (50 | ) | $ | (50 | ) | ||
|
|
|
| |||||
Notional Amounts (5) | ||||||||
Forward Currency Contracts | $ | 3,005,755 | $ | 3,005,755 | ||||
Purchased Options | $ | 239,000 | $ | 239,000 | ||||
Written Options | $ | 690,000 | $ | 690,000 | ||||
TCW International Growth Fund | ||||||||
Statements of Asset and Liabilities: | ||||||||
Asset Derivatives | ||||||||
Forward Currency Contracts | $ | 9 | $ | 9 | ||||
|
|
|
| |||||
Total Value | $ | 9 | $ | 9 | ||||
|
|
|
| |||||
Liability Derivatives | ||||||||
Forward Currency Contracts | $ | (1 | ) | $ | (1 | ) | ||
|
|
|
| |||||
Total Value | $ | (1 | ) | $ | (1 | ) | ||
|
|
|
| |||||
Statement of Operations: | ||||||||
Realized Gain on | ||||||||
Forward Currency Contracts | $ | 80 | $ | 80 | ||||
|
|
|
| |||||
Total Realized Gain | $ | 80 | $ | 80 | ||||
|
|
|
| |||||
Change in Unrealized Appreciation on: | ||||||||
Forward Currency Contracts | $ | (12 | ) | $ | (12 | ) | ||
|
|
|
| |||||
Total Change in Unrealized Appreciation | $ | (12 | ) | $ | (12 | ) | ||
|
|
|
| |||||
Notional Amounts (5) | ||||||||
Forward Currency Contracts | $ | 1,085,343 | $ | 1,085,343 | ||||
TCW International Small Cap Fund | ||||||||
Statements of Asset and Liabilities: | ||||||||
Forward Currency Contracts | $ | 118 | $ | 118 | ||||
|
|
|
| |||||
Total Value | $ | 118 | $ | 118 | ||||
|
|
|
| |||||
Liability Derivatives | ||||||||
Forward Currency Contracts | $ | (4 | ) | $ | (4 | ) | ||
|
|
|
| |||||
Total Value | $ | (4 | ) | $ | (4 | ) | ||
|
|
|
| |||||
Statement of Operations: | ||||||||
Realized Gain on | ||||||||
Forward Currency Contracts | $ | 871 | $ | 871 | ||||
|
|
|
| |||||
Total Realized Gain | $ | 871 | $ | 871 | ||||
|
|
|
|
80
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TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
Foreign Currency Risk | Total | |||||||
TCW International Small Cap Fund (Continued) | ||||||||
Change in Unrealized Appreciation on: | ||||||||
Forward Currency Contracts | $ | (55 | ) | $ | (55 | ) | ||
|
|
|
| |||||
Total Change in Unrealized Appreciation | $ | (55 | ) | $ | (55 | ) | ||
|
|
|
| |||||
Notional Amounts (5) | ||||||||
Forward Currency Contracts | $ | 10,745,549 | $ | 10,745,549 |
(1) | Represents purchased options, at value. |
(2) | Includes cumulative appreciation of futures contracts as reported in the Schedule of Investments. Only variation margin on October 31, 2015 is reported within the Statement of Assets and Liabilities. |
(3) | Represents change in unrealized depreciation for purchased options during the period. |
(4) | Represents realized gain (loss) for purchased options. |
(5) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the year ended October 31, 2015. |
Counterparty Credit Risk: Derivative contracts may be exposed to counterparty risk. Losses can occur if the counterparty does not perform under the contract.
The Funds’ risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Funds.
With exchange traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Funds do not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds. In order to better define its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated
81
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
percentage or fail to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral pledged or received by a Fund.
Cash collateral that has been pledged to cover obligations of a Fund is reported separately on the Statement of Assets and Liabilities. Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold typically $250,000 or $500,000, before a transfer is required, which is determined at the close of each business day and the collateral is transferred on the next business day. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that Advisor believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to FASB ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities that requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards.
The following table presents the Funds’ OTC derivative assets and liabilities by counterparty net of amounts available for offset under ISDA Master Agreement or MRA and net of the related collateral received by the Funds as of October 31, 2015 (in thousands):
TCW Emerging Markets Income Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America (Derivatives) | $ | 170 | $ | (422 | ) | $ | (252 | ) | $ | 252 | (2) | $ | — | |||||||
Citibank N.A. (Derivatives) | 155 | — | 155 | (155 | ) (2) | — | ||||||||||||||
Morgan Stanley & Co., Inc. (Derivatives) | — | (1,350 | ) | (1,350 | ) | — | (1,350 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 325 | $ | (1,772 | ) | $ | (1,447 | ) | $ | 97 | $ | (1,350 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Amount does not include excess collateral pledged or received. |
TCW Emerging Markets Local Currency Income Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America (Derivatives) | $ | 527 | $ | (351 | ) | $ | 176 | $ | (160 | ) | $ | 16 | ||||||||
Citibank N.A. (Derivatives) | 372 | (1,191 | ) | (819 | ) | 550 | (269 | ) | ||||||||||||
Morgan Stanley & Co., Inc. (Derivatives) | 72 | (277 | ) | (205 | ) | — | (205 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 971 | $ | (1,819 | ) | $ | (848 | ) | $ | 390 | $ | (458 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
82
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
TCW Emerging Markets Multi-Asset Opportunities Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America (Derivatives) | $ | 1 | $ | (2 | ) | $ | (1 | ) | $ | — | $ | (1 | ) | |||||||
Citibank N.A. (Derivatives) | 1 | — | 1 | — | 1 | |||||||||||||||
Morgan Stanley & Co., Inc. (Derivatives) | — | (7 | ) | (7 | ) | — | (7 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2 | $ | (9 | ) | $ | (7 | ) | $ | — | $ | (7 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
TCW International Growth Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America (Derivatives) | $ | 9 | $ | (1 | ) | $ | 8 | $ | — | $ | 8 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 9 | $ | (1 | ) | $ | 8 | $ | — | $ | 8 | |||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
TCW International Small Cap Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America (Derivatives) | $ | 118 | $ | (4 | ) | $ | 114 | $ | (100 | ) | $ | 14 | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 118 | $ | (4 | ) | $ | 114 | $ | (100 | ) | $ | 14 | ||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
Forward Foreign Currency Contracts: The Funds may enter into forward foreign currency contracts as a hedge against fluctuations in foreign exchange rates. Forward foreign currency contracts are marked-to market daily and the change in market value is recorded by each Fund as 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, 2015, are disclosed in the Schedule of Investments.
Future Contracts: The Funds may enter into futures contracts. A Fund may seek to manage a variety of different risks through the use of futures contracts, such as interest rate risk, equity price risk, and currency risk. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have
83
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
minimal exposure to counterparty risk. Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of a Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it.
When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The TCW Emerging Markets Income Fund utilized futures to help manage interest rate duration and credit market exposure. Futures contracts outstanding at October 31, 2015 are listed in the Schedules of Investments.
Options: The Funds may purchase and sell put and call options on an index of securities to enhance investment performance and to protect against changes in market prices. The Funds may also enter into currency options to hedge against currency fluctuations.
A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If a Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund ultimately wants to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit a Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions.
84
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 2 — Significant Accounting Policies (Continued)
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, 2015, TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund had written options.
Transactions in Written Option Contracts during the year ended October 31, 2015, were as follows:
TCW Emerging Markets Income Fund
Call Contracts | Call Premiums | |||||||
Options outstanding at October 31, 2014 | — | $ | — | |||||
Options written | 128,470,920 | 1,325,610 | ||||||
Options terminated in closing purchase transactions | (128,470,920 | ) | (1,325,610 | ) | ||||
Options exercised | — | — | ||||||
Options expired | — | — | ||||||
|
|
|
| |||||
Options outstanding at October 31, 2015 | — | $ | — | |||||
|
|
|
|
TCW Emerging Markets Local Currency Income Fund
Call Contracts | Call Premiums | |||||||
Options outstanding at October 31, 2014 | — | $ | — | |||||
Options written | 95,700,000 | 246,487 | ||||||
Options terminated in closing purchase transactions | (78,570,000 | ) | (199,964 | ) | ||||
Options exercised | — | — | ||||||
Options expired | (17,130,000 | ) | (46,523 | ) | ||||
|
|
|
| |||||
Options outstanding at October 31, 2015 | — | $ | — | |||||
|
|
|
|
TCW Emerging Markets Multi-Asset Opportunities Fund
Call Contracts | Call Premiums | |||||||
Options outstanding at October 31, 2014 | — | $ | — | |||||
Options written | 690,000 | 7,087 | ||||||
Options terminated in closing purchase transactions | (690,000 | ) | (7,087 | ) | ||||
Options exercised | — | — | ||||||
Options expired | — | — | ||||||
|
|
|
| |||||
Options outstanding at October 31, 2015 | — | $ | — | |||||
|
|
|
|
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
85
Table of Contents
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
A Fund may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk—or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions). A Fund may enter into enter into an interest rate swap agreement. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Fund’s maximum risk of loss due to counterparty default is the discounted net asset value of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life.
A Fund may enter into credit default swap transactions as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.
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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Note 2 — Significant Accounting Policies (Continued)
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 the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded as realized gains and losses, respectively. During the year ended October 31, 2015, the Funds did not enter into such agreements.
When-Issued, Delayed-Delivery, and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of each Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase securities with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate, with market. In addition, because the Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not maintain liquid assets equal to the face amount of the contract. To guard against the deemed leverage, the Fund monitors the obligations under these transactions and ensures that the Fund has sufficient liquid assets to cover them.
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of a Master Repurchase Agreement (“MRA”). The MRA permits a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Funds receive securities as collateral with a market value in excess of the repurchase price to be received by the Funds upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds recognize a liability with respect to such excess collateral to reflect the Funds obligation under bankruptcy law to return the excess to the counterparty. There were no repurchase agreements outstanding as of October 31, 2015.
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Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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. The TCW Developing Markets Equity Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Growth Fund held participation notes as of October 31, 2015, which are listed on the Fund’s Schedule of Investments.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. Government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the year ended October 31, 2015.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the classes of shares of the Funds based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of the class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class specific fees and expenses will result in differences in net investment income, and in turn differences in dividends paid by each class.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund declare and pay, or reinvest, dividends from net investment income monthly. The other Funds declare and pay, or reinvest, dividends from net investment income annually. Distribution of any net long term and net short-term capital gains earned by a fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for foreign currency transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax 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.
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Note 3 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment portfolio, the greater the change in value.
Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which a Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The exposure to credit and counterparty risks with respect to these financial assets is reflected in fair value recorded in the Funds’ Statements of Assets and Liabilities.
Foreign Currency Risk: The funds may be exposed to the risk that the value of the Funds’ investments denominated in foreign currencies will decline in value because the foreign currency has declined in value relative to the U.S. dollar.
Foreign Investing Risk: The Funds may be exposed to the risk that the Funds share prices will fluctuate with market conditions, currency exchange rates and the economic and political climates in countries where the Funds invest.
For complete information on the various risks involved, please refer to the Funds’ prospectus and the Statement of Additional Information which can be obtained on the Funds’ website (www.tcw.com) or by calling the customer service.
Note 4 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
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Notes to Financial Statements (Continued)
Note 4 — Federal Income Taxes (Continued)
For the years ended October 31, 2015 and 2014, the Funds below realized on a tax basis, the following net realized loss on security transactions (amounts in thousands).
Net Realized Loss | ||||||||
2015 | 2014 | |||||||
TCW Developing Markets Equity Fund | $ | 326 | $ | — | ||||
TCW Emerging Markets Income Fund | 374,483 | 120,822 | ||||||
TCW Emerging Markets Income Local Currency Income Fund | 5,935 | 10,475 | ||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 2,970 | 77 | ||||||
TCW International Growth Fund | 47 | — | ||||||
TCW International Small Cap Fund | 1,712 | — |
At October 31, 2015, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Developing Markets Equity Fund | $ | 3 | $ | — | $ | 3 | ||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 891 | — | 891 | |||||||||
TCW International Growth Fund | 49 | — | 49 | |||||||||
TCW International Small Cap Fund | 389 | — | 389 |
At the end of the previous fiscal year, October 31, 2014, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Emerging Markets Income Fund | $ | 7,943 | $ | $ | 7,943 | |||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 825 | — | 825 | |||||||||
TCW International Growth Fund | 200 | 133 | 333 | |||||||||
TCW International Small Cap Fund | 168 | — | 168 |
Permanent differences incurred during the year ended October 31, 2015, 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 (amounts in thousands):
Undistributed Net Investment Income (Loss) | Undistributed Accumulated Net Realized Gain (Loss) | Paid-in Capital | ||||||||||
TCW Developing Markets Equity Fund | $ | (3 | ) | $ | 4 | $ | (1 | ) | ||||
TCW Emerging Markets Income Fund | 21,033 | (21,033 | ) | — | (1) | |||||||
TCW Emerging Markets Income Local Currency Income Fund | (11,908 | ) | 29,304 | (17,396 | ) | |||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | (59 | ) | 59 | — | ||||||||
TCW International Growth Fund | 50 | (50 | ) | — | ||||||||
TCW International Small Cap Fund | 420 | (420 | ) | — |
(1) | Amount rounds to less than $1 |
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October 31, 2015 |
Note 4 — Federal Income Taxes (Continued)
During the year ended October 31, 2015, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Emerging Markets Income Fund | $ | 209,533 | $ | — | $ | 10,473 | $ | 220,006 | ||||||||
TCW Emerging Markets Income Local Currency Income Fund | — | — | 785 | 785 | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 1,014 | — | — | 1,014 | ||||||||||||
TCW International Growth Fund | 201 | 133 | — | 334 | ||||||||||||
TCW International Small Cap Fund | 168 | — | — | 168 |
For the previous fiscal year ended October 31, 2014 the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Emerging Markets Income Fund | $ | 253,673 | $ | — | $ | — | $ | 253,673 | ||||||||
TCW Emerging Markets Income Local Currency Income Fund | — | — | 3,415 | 3,415 | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 296 | — | — | 296 | ||||||||||||
TCW International Growth Fund | 23 | — | — | 23 | ||||||||||||
TCW International Small Cap Fund | 266 | — | — | 266 |
At October 31, 2015, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows (amounts in thousands):
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Developing Markets Equity Fund | $ | 67 | $ | (483 | ) | $ | (416 | ) | $ | 5,114 | ||||||
TCW Emerging Markets Income Fund | 55,611 | (238,468 | ) | (182,857 | ) | 3,395,115 | ||||||||||
TCW Emerging Markets Income Local Currency Income Fund | 1,539 | (31,467 | ) | (29,928 | ) | 274,130 | ||||||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 1,942 | (2,791 | ) | (849 | ) | 44,362 | ||||||||||
TCW International Growth Fund | 129 | (109 | ) | 20 | 2,491 | |||||||||||
TCW International Small Cap Fund | 1,031 | (530 | ) | 501 | 10,139 |
The Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses.
The following Funds had net realized losses that will be carried forward indefinitely for federal income tax purposes (amounts in thousands):
Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Developing Markets Equity Fund | $ | 326 | $ | — | $ | 326 | ||||||
TCW Emerging Markets Income Fund | 437,731 | 220,435 | 658,166 | |||||||||
TCW Emerging Markets Income Local Currency Income Fund | 16,135 | 8,667 | 24,802 | |||||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 3,107 | — | 3,107 | |||||||||
TCW International Growth Fund | 47 | — | 47 | |||||||||
TCW International Small Cap Fund | 2,458 | 863 | 3,321 |
The Funds did not have any unrecognized tax benefits at October 31, 2015, nor were there any increases or decreases in unrecognized tax benefits for the year ended October 31, 2015. The Funds are subject to
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Notes to Financial Statements (Continued)
Note 4 — Federal Income Taxes (Continued)
examination by the U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
Note 5 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net asset value:
TCW Developing Markets Equity Fund | 0.80 | % | ||
TCW Emerging Markets Income Fund | 0.75 | % | ||
TCW Emerging Markets Local Currency Income Fund | 0.75 | % | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | 0.95 | % | ||
TCW International Growth Fund | 0.85 | % | ||
TCW International Small Cap Fund | 0.75 | % |
In addition to the management fees, the Funds reimburse, with approval by the Company’s Board of Directors, a portion of the Advisor’s costs associated with operating of the Funds’ Rule 38a-1 compliance program. These amounts are included in the Statements of Operations.
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets:
TCW Developing Markets Equity Fund | ||||
I Class | 1.25 | % (1) | ||
N Class | 1.25 | % (1) | ||
TCW Emerging Markets Income Fund | ||||
I Class | 1.18 | % (2) | ||
N Class | 1.18 | % (2) | ||
TCW Emerging Markets Local Currency Income Fund | ||||
I Class | 0.99 | % (1) | ||
N Class | 0.99 | % (1) | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||
I Class | 1.23 | % (1) | ||
N Class | 1.23 | % (1) | ||
TCW International Growth Fund | ||||
I Class | 1.04 | % (1) | ||
N Class | 1.34 | % (1) | ||
TCW International Small Cap Fund | ||||
I Class | 1.44 | % (1) | ||
N Class | 1.44 | % (1) |
(1) | These limitations are based on an agreement between the Advisor and Company. |
(2) | Limitation based on average expense ratio as reported by Lipper, Inc., which is subject to change on a monthly basis. This ratio was in effect as of October 31, 2015. These limitations are voluntary and terminable in a six months notice. |
The amount borne by the Advisor during the fiscal year when the operating expenses of a fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop below the expense limitation in the subsequent years. The Advisor can recapture expenses only within a given fiscal year for that year’s operating expenses.
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which are shown on the Statement of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Deferred compensation is included within directors’ fees and expenses in the Statements of Assets and Liabilities.
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Note 6 — Distribution Plan
TCW Funds Distributors (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 7 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the period ended October 31, 2015, were as follows (amounts in thousands):
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Developing Markets Equity Fund | $ | 7,339 | $ | 2,270 | $ | — | $ | — | ||||||||
TCW Emerging Markets Income Fund | 7,100,559 | 8,493,556 | — | — | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | 683,079 | 609,148 | — | — | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 69,931 | 72,159 | — | — | ||||||||||||
TCW International Growth Fund | 5,573 | 5,541 | — | — | ||||||||||||
TCW International Small Cap Fund | 43,588 | 60,287 | — | — |
Note 8 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Developing Markets Equity Fund | July 1, 2015 (Commencement of Operations) through October 31, 2015 | |||||||||||||||
I Class | Shares | Amount (in thousands) | ||||||||||||||
Shares Sold | 470,559 | $ | 4,680 | |||||||||||||
Shares Redeemed | (77,002 | ) | (750 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net Increase | 393,557 | $ | 3,930 | |||||||||||||
|
|
|
| |||||||||||||
N Class | Shares | Amount (in thousands) | ||||||||||||||
Shares Sold | 227,559 | $ | 2,250 | |||||||||||||
Shares Redeemed | (77,002 | ) | (750 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net Increase | 150,557 | $ | 1,500 | |||||||||||||
|
|
|
| |||||||||||||
TCW Emerging Markets Income Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 154,075,797 | $ | 1,236,388 | 252,134,294 | $ | 2,166,670 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 18,882,517 | 150,848 | 17,423,555 | 148,759 | ||||||||||||
Shares Redeemed | (353,578,949 | ) | (2,791,564 | ) | (231,815,647 | ) | (1,966,532 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (180,620,635 | ) | $ | (1,404,328 | ) | 37,742,202 | $ | 348,897 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 20,642,802 | $ | 211,811 | 42,900,671 | $ | 470,506 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,901,700 | 29,898 | 4,911,888 | 54,027 | ||||||||||||
Shares Redeemed | (41,598,472 | ) | (425,394 | ) | (106,000,303 | ) | (1,173,861 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (18,053,970 | ) | $ | (183,685 | ) | (58,187,744 | ) | $ | (649,328 | ) | ||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements (Continued)
Note 8 — Capital Share Transactions (Continued)
TCW Emerging Markets Local Currency Income Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 5,444,329 | $ | 48,888 | 12,890,363 | $ | 127,596 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 45,913 | 424 | 219,510 | 2,119 | ||||||||||||
Shares Redeemed | (11,459,346 | ) | (101,141 | ) | (18,096,617 | ) | (175,884 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (5,969,104 | ) | $ | (51,829 | ) | (4,986,744 | ) | $ | (46,169 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 21,800,094 | $ | 189,022 | 5,636,002 | $ | 55,023 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 36,326 | 335 | 123,381 | 1,188 | ||||||||||||
Shares Redeemed | (8,754,907 | ) | (73,906 | ) | (11,271,492 | ) | (111,035 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 13,081,513 | $ | 115,451 | (5,512,109 | ) | $ | (54,824 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 247,559 | $ | 2,570 | 2,319,276 | $ | 24,870 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 77,170 | 793 | 22,231 | 238 | ||||||||||||
Shares Redeemed | (1,089,497 | ) | (10,973 | ) | (1,278,816 | ) | (13,598 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (764,768 | ) | $ | (7,610 | ) | 1,062,691 | $ | 11,510 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 418,378 | $ | 4,335 | 11,784 | $ | 128 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 7,546 | 77 | 24 | — | (1) | |||||||||||
Shares Redeemed | (5,893 | ) | (61 | ) | (6,554 | ) | (69 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 420,031 | $ | 4,351 | 5,254 | $ | 59 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW International Growth Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,370 | $ | 25 | 1 | $ | — | (1) | |||||||||
Shares Issued upon Reinvestment of Dividends | 17,271 | 175 | 943 | 12 | ||||||||||||
Shares Redeemed | (2,289 | ) | (25 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 17,352 | $ | 175 | 944 | $ | 12 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | — | $ | — | ||||||||||
Shares Issued upon Reinvestment of Dividends | 15,472 | 157 | 631 | 8 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 15,472 | $ | 157 | 631 | $ | 8 | ||||||||||
|
|
|
|
|
|
|
|
94
Table of Contents
TCW Funds, Inc.
October 31, 2015 |
Note 8 — Capital Share Transactions (Continued)
TCW International Small Cap Fund | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 154,931 | $ | 1,322 | 423,275 | $ | 3,948 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 14,609 | 118 | 20,632 | 187 | ||||||||||||
Shares Redeemed | (1,590,440 | ) | (13,596 | ) | (893,892 | ) | (8,077 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,420,900 | ) | $ | (12,156 | ) | (449,985 | ) | $ | (3,942 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 72,940 | $ | 624 | 185,019 | $ | 1,742 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,103 | 49 | 7,891 | 71 | ||||||||||||
Shares Redeemed | (760,336 | ) | (6,649 | ) | (439,079 | ) | (4,006 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (681,293 | ) | $ | (5,976 | ) | (246,169 | ) | $ | (2,193 | ) | ||||||
|
|
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
Note 9 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities at October 31, 2015 other than those determined to be liquid under the Funds’ policies and procedures.
Note 10 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by any Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act of 1933, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
Note 11 — Recently Issued Accounting Pronouncements
In June 2014, FASB issued Accounting Standards Update No. 2014-11, Transfers & Servicing (Topic 860): “Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures” (“ASU 2014-11”) to improve the financial reporting of repurchase agreements and other similar transactions. ASU 2014-11 includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. ASU 2014-11 is effective for annual reporting periods beginning after December 15, 2014 and interim periods beginning after December 15, 2015. Management is currently evaluating the implications of these changes and their impact on the financial statements.
95
Table of Contents
TCW Developing Markets Equity Fund
Financial Highlights — I Class
July 1, 2015 of Operations) October 31, 2015 | ||||
Net Asset Value per Share, Beginning of Year | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net Investment Income (1) | 0.01 | |||
Net Realized and Unrealized Loss on Investments | (1.39 | ) | ||
|
| |||
Total from Investment Operations | (1.38 | ) | ||
|
| |||
Net Asset Value per Share, End of Year | $ | 8.62 | ||
|
| |||
Total Return | (13.80 | )% (2) | ||
Ratios/Supplemental Data: | ||||
Net Assets, End of Year (in thousands) | $ | 3,392 | ||
Ratio of Expenses to Average Net Assets: | ||||
Before Expense Reimbursement | 7.09 | % (3) | ||
After Expense Reimbursement | 1.25 | % (3) | ||
Ratio of Net Investment Income to Average Net Assets | 0.30 | % (3) | ||
Portfolio Turnover Rate | 54.34 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period July 1, 2015 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
96
Table of Contents
TCW Developing Markets Equity Fund
Financial Highlights — N Class
July 1, 2015 of Operations) October 31, 2015 | ||||
Net Asset Value per Share, Beginning of Year | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net Investment Income (1) | 0.01 | |||
Net Realized and Unrealized Loss on Investments | (1.39 | ) | ||
|
| |||
Total from Investment Operations | (1.38 | ) | ||
|
| |||
Net Asset Value per Share, End of Year | $ | 8.62 | ||
|
| |||
Total Return | (13.80 | )% (2) | ||
Ratios/Supplemental Data: | ||||
Net Assets, End of Year (in thousands) | $ | 1,297 | ||
Ratio of Expenses to Average Net Assets: | ||||
Before Expense Reimbursement | 8.39 | % (3) | ||
After Expense Reimbursement | 1.25 | % (3) | ||
Ratio of Net Investment Income to Average Net Assets | 0.29 | % (3) | ||
Portfolio Turnover Rate | 54.34 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period July 1, 2015 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
97
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 8.57 | $ | 8.53 | $ | 9.30 | $ | 8.43 | $ | 8.84 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.38 | 0.47 | 0.55 | 0.64 | 0.65 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.87 | ) | (0.01 | ) | (0.59 | ) | 0.75 | (0.36 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.49 | ) | 0.46 | (0.04 | ) | 1.39 | 0.29 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.39 | ) | (0.42 | ) | (0.44 | ) | (0.52 | ) | (0.59 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | (0.22 | ) | — | (0.11 | ) | |||||||||||||
Distributions from Return of Capital | (0.02 | ) | — | (0.07 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.41 | ) | (0.42 | ) | (0.73 | ) | (0.52 | ) | (0.70 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 7.67 | $ | 8.57 | $ | 8.53 | $ | 9.30 | $ | 8.43 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (5.75 | )% | 5.52 | % | (0.68 | )% | 16.99 | % | 3.35 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 2,733,679 | $ | 4,602,207 | $ | 4,260,067 | $ | 4,223,485 | $ | 1,861,675 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.88 | % | 0.85 | % | 0.83 | % | 0.84 | % | 0.87 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.79 | % | 5.44 | % | 6.09 | % | 7.24 | % | 7.49 | % | ||||||||||
Portfolio Turnover Rate | 172.93 | % | 165.55 | % | 150.21 | % | 174.98 | % | 137.87 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
98
Table of Contents
TCW Emerging Markets Income Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 11.05 | $ | 11.01 | $ | 11.93 | $ | 10.81 | $ | 11.31 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.46 | 0.57 | 0.68 | 0.81 | 0.80 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.11 | ) | (0.02 | ) | (0.76 | ) | 0.93 | (0.45 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.65 | ) | 0.55 | (0.08 | ) | 1.74 | 0.35 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.48 | ) | (0.51 | ) | (0.53 | ) | (0.62 | ) | (0.74 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | (0.22 | ) | — | (0.11 | ) | |||||||||||||
Distributions from Return of Capital | (0.03 | ) | — | (0.09 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.51 | ) | (0.51 | ) | (0.84 | ) | (0.62 | ) | (0.85 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 9.89 | $ | 11.05 | $ | 11.01 | $ | 11.93 | $ | 10.81 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (5.96 | )% | 5.11 | % | (0.86 | )% | 16.64 | % | 3.13 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 521,413 | $ | 782,384 | $ | 1,419,298 | $ | 1,286,033 | $ | 975,772 | ||||||||||
Ratio of Expenses to Average Net Assets | 1.16 | % | 1.13 | % | 1.10 | % | 1.11 | % | 1.15 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.50 | % | 5.21 | % | 5.83 | % | 7.23 | % | 7.18 | % | ||||||||||
Portfolio Turnover Rate | 172.93 | % | 165.55 | % | 150.21 | % | 174.98 | % | 137.87 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
99
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — I Class
Year Ended October 31, | December 15, 2010 (Commencement of Operations) through October 31, 2011 | |||||||||||||||||||
2015 | 2014 | 2013 | 2012 | |||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 9.69 | $ | 10.14 | $ | 10.52 | $ | 9.89 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.46 | 0.55 | 0.54 | 0.64 | 0.51 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.94 | ) | (0.88 | ) | (0.62 | ) | 0.23 | (0.08 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (1.48 | ) | (0.33 | ) | (0.08 | ) | 0.87 | 0.43 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | — | — | (0.06 | ) | (0.18 | ) | (0.54 | ) | ||||||||||||
Distributions from Return of Capital | (0.03 | ) | (0.12 | ) | (0.24 | ) | (0.06 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.03 | ) | (0.12 | ) | (0.30 | ) | (0.24 | ) | (0.54 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 8.18 | $ | 9.69 | $ | 10.14 | $ | 10.52 | $ | 9.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (15.35 | )% | (3.29 | )% | (0.89 | )% | 9.02 | % | 4.25 | % (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 102,034 | $ | 178,828 | $ | 237,695 | $ | 122,196 | $ | 99,529 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.00 | % | 0.95 | % | 0.90 | % | 0.96 | % | 1.05 | % (3) | ||||||||||
After Expense Reimbursement | 0.99 | % | N/A | N/A | N/A | 0.99 | % (3) | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.20 | % | 5.61 | % | 5.19 | % | 6.39 | % | 5.64 | % (3) | ||||||||||
Portfolio Turnover Rate | 250.10 | % | 223.55 | % | 290.24 | % | 252.93 | % | 191.66 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 15, 2010 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
100
Table of Contents
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — N Class
Year Ended October 31, | December 15, 2010 (Commencement of Operations) through October 31, 2011 | |||||||||||||||||||
2015 | 2014 | 2013 | 2012 | |||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 9.69 | $ | 10.13 | $ | 10.52 | $ | 9.89 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.46 | 0.58 | 0.54 | 0.62 | 0.51 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.95 | ) | (0.91 | ) | (0.64 | ) | 0.25 | (0.08 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (1.49 | ) | (0.33 | ) | (0.10 | ) | 0.87 | 0.43 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | — | — | (0.05 | ) | (0.18 | ) | (0.54 | ) | ||||||||||||
Distributions from Return of Capital | (0.03 | ) | (0.11 | ) | (0.24 | ) | (0.06 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.03 | ) | (0.11 | ) | (0.29 | ) | (0.24 | ) | (0.54 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 8.17 | $ | 9.69 | $ | 10.13 | $ | 10.52 | $ | 9.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (15.37 | )% | (3.37 | )% | (0.91 | )% | 8.92 | % | 4.25 | % (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 153,270 | $ | 55,028 | $ | 113,380 | $ | 89,410 | $ | 68,560 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.25 | % | 1.24 | % | 1.15 | % | 1.25 | % | 1.48 | % (3) | ||||||||||
After Expense Reimbursement | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % (3) | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.29 | % | 5.87 | % | 5.15 | % | 6.20 | % | 5.68 | % (3) | ||||||||||
Portfolio Turnover Rate | 250.10 | % | 223.55 | % | 290.24 | % | 252.93 | % | 191.66 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period December 15, 2010 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
101
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — I Class
Year Ended October 31, | July 1, 2013 (Commencement of Operations) through October 31, 2013 | |||||||||||
2015 | 2014 | |||||||||||
Net Asset Value per Share, Beginning of Year | $ | 10.97 | $ | 10.68 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.24 | 0.22 | 0.07 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.38 | ) | 0.14 | 0.61 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | (1.14 | ) | 0.36 | 0.68 | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.20 | ) | (0.07 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Year | $ | 9.63 | $ | 10.97 | $ | 10.68 | ||||||
|
|
|
|
|
| |||||||
Total Return | (10.53 | )% | 3.43 | % | 6.80 | % (2) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Year (in thousands) | $ | 39,739 | $ | 53,652 | $ | 40,903 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 1.47 | % | 1.43 | % | 1.72 | % (3) | ||||||
After Expense Reimbursement | 1.23 | % | 1.21 | % | 1.26 | % (3) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.31 | % | 2.04 | % | 2.06 | % (3) | ||||||
Portfolio Turnover Rate | 145.86 | % | 151.61 | % | 52.53 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period July 1, 2013 (Commencement of Operations) through October 31, 2013 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
102
Table of Contents
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — N Class
Year Ended October 31, | July 1, 2013 (Commencement of Operations) through October 31, 2013 | |||||||||||
2015 | 2014 | |||||||||||
Net Asset Value per Share, Beginning of Year | $ | 10.92 | $ | 10.62 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.24 | 0.22 | 0.06 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (1.37 | ) | 0.15 | 0.56 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | (1.13 | ) | 0.37 | 0.62 | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.20 | ) | (0.07 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Year | $ | 9.59 | $ | 10.92 | $ | 10.62 | ||||||
|
|
|
|
|
| |||||||
Total Return | (10.50 | )% | 3.54 | % | 6.20 | % (2) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Year (in thousands) | $ | 4,107 | $ | 89 | $ | 31 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 2.15 | % | 48.38 | % | 480.73 | % (3) | ||||||
After Expense Reimbursement | 1.23 | % | 1.21 | % | 1.26 | % (3) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.38 | % | 2.01 | % | 1.72 | % (3) | ||||||
Portfolio Turnover Rate | 145.86 | % | 151.61 | % | 52.53 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period July 1, 2013 (Commencement of Operations) through October 31, 2013 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
103
Table of Contents
TCW International Growth Fund
Financial Highlights — I Class
Year Ended October 31, | November 1, 2012 (Commencement of Operations) through October 31, 2013 | |||||||||||
2015 | 2014 | |||||||||||
Net Asset Value per Share, Beginning of Year | $ | 12.31 | $ | 12.04 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.07 | 0.10 | 0.05 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.65 | ) | 0.30 | 1.99 | ||||||||
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Total from Investment Operations | (0.58 | ) | 0.40 | 2.04 | ||||||||
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Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.19 | ) | (0.09 | ) | — | |||||||
Distributions from Net Realized Gain | (1.39 | ) | (0.04 | ) | — | |||||||
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Total Distributions | (1.58 | ) | (0.13 | ) | — | |||||||
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Net Asset Value per Share, End of Year | $ | 10.15 | $ | 12.31 | $ | 12.04 | ||||||
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Total Return | (4.74 | )% | 3.27 | % | 20.40 | % | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Year (in thousands) | $ | 1,316 | $ | 1,383 | $ | 1,341 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 5.05 | % | 4.95 | % | 7.74 | % | ||||||
After Expense Reimbursement | 1.04 | % | 1.04 | % | 1.04 | % | ||||||
Ratio of Net Investment Income to Average Net Assets | 0.63 | % | 0.82 | % | 0.46 | % | ||||||
Portfolio Turnover Rate | 223.01 | % | 318.07 | % | 309.74 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
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TCW International Growth Fund
Financial Highlights — N Class
Year Ended October 31, | November 1, 2012 (Commencement of Operations) through October 31, 2013 | |||||||||||
2015 | 2014 | |||||||||||
Net Asset Value per Share, Beginning of Year | $ | 12.27 | $ | 12.01 | $ | 10.00 | ||||||
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Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.03 | 0.06 | 0.02 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.64 | ) | 0.30 | 1.99 | ||||||||
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Total from Investment Operations | (0.61 | ) | 0.36 | 2.01 | ||||||||
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Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.17 | ) | (0.06 | ) | — | |||||||
Distributions from Net Realized Gain | (1.39 | ) | (0.04 | ) | — | |||||||
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Total Distributions | (1.56 | ) | (0.10 | ) | — | |||||||
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Net Asset Value per Share, End of Year | $ | 10.10 | $ | 12.27 | $ | 12.01 | ||||||
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Total Return | (5.03 | )% | 2.92 | % | 20.10 | % | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Year (in thousands) | $ | 1,173 | $ | 1,234 | $ | 1,201 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 5.18 | % | 5.23 | % | 7.99 | % | ||||||
After Expense Reimbursement | 1.34 | % | 1.34 | % | 1.34 | % | ||||||
Ratio of Net Investment Income to Average Net Assets | 0.32 | % | 0.52 | % | 0.15 | % | ||||||
Portfolio Turnover Rate | 223.01 | % | 318.07 | % | 309.74 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
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TCW International Small Cap Fund
Financial Highlights — I Class
Year Ended October 31, | February 8, 2011 (Commencement of Operations) through October 31, 2011 | |||||||||||||||||||
2015 | 2014 | 2013 | 2012 | |||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 8.72 | $ | 8.92 | $ | 7.83 | $ | 7.68 | $ | 10.00 | ||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | 0.01 | 0.01 | (0.01 | ) | 0.09 | (0.04 | ) | |||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.11 | ) | (0.13 | ) | 1.55 | 0.13 | (2.28 | ) | ||||||||||||
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Total from Investment Operations | (0.10 | ) | (0.12 | ) | 1.54 | 0.22 | (2.32 | ) | ||||||||||||
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Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.05 | ) | (0.08 | ) | (0.45 | ) | (0.07 | ) | — | |||||||||||
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Net Asset Value per Share, End of Year | $ | 8.57 | $ | 8.72 | $ | 8.92 | $ | 7.83 | $ | 7.68 | ||||||||||
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Total Return | (1.07 | )% | (1.39 | )% | 20.77 | % | 2.92 | % | (23.20 | )% (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 7,274 | $ | 19,786 | $ | 24,266 | $ | 18,354 | $ | 12,988 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.67 | % | 1.37 | % | 1.36 | % | 1.32 | % | 1.60 | % (3) | ||||||||||
After Expense Reimbursement | 1.44 | % | N/A | N/A | N/A | 1.44 | % (3) | |||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.17 | % | 0.12 | % | (0.17 | )% | 1.16 | % | (0.69 | )% (3) | ||||||||||
Portfolio Turnover Rate | 243.88 | % | 259.88 | % | 301.86 | % | 139.84 | % | 86.04 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period February 28, 2011 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(3) | Annualized. |
See accompanying notes to financial statements.
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TCW International Small Cap Fund
Financial Highlights — N Class
Year Ended October 31, | February 8, 2011 (Commencement of Operations) through October 31, 2011 | |||||||||||||||||||
2015 | 2014 | 2013 | 2012 | |||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 8.72 | $ | 8.92 | $ | 7.82 | $ | 7.68 | $ | 10.00 | ||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss)(1) | 0.03 | 0.00 | (2) | (0.02 | ) | 0.08 | (0.04 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.12 | ) | (0.13 | ) | 1.56 | 0.12 | (2.28 | ) | ||||||||||||
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Total from Investment Operations | (0.09 | ) | (0.13 | ) | 1.54 | 0.20 | (2.32 | ) | ||||||||||||
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Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.05 | ) | (0.07 | ) | (0.44 | ) | (0.06 | ) | — | |||||||||||
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Net Asset Value per Share, End of Year | $ | 8.58 | $ | 8.72 | $ | 8.92 | $ | 7.82 | $ | 7.68 | ||||||||||
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Total Return | (1.03 | )% | (1.52 | )% | 20.77 | % | 2.75 | % | (23.20 | )% (3) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 3,440 | $ | 9,437 | $ | 11,847 | $ | 11,715 | $ | 11,192 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 2.09 | % | 1.75 | % | 1.67 | % | 1.64 | % | 1.94 | % (4) | ||||||||||
After Expense Reimbursement | 1.44 | % | 1.44 | % | 1.44 | % | 1.44 | % | 1.44 | % (4) | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.40 | % | 0.04 | % | (0.23 | )% | 1.00 | % | (0.65 | )% (4) | ||||||||||
Portfolio Turnover Rate | 243.88 | % | 259.88 | % | 301.86 | % | 139.84 | % | 86.04 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the period February 28, 2011 (Commencement of Operations) through October 31, 2011 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
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TCW Funds, Inc.
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of
TCW Funds, Inc.
Los Angeles, California
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of TCW Developing Markets Equity, TCW Emerging Markets Income Fund, TCW Emerging Markets Local Currency Income Fund, TCW Emerging Markets Multi-Asset Opportunities Fund, TCW International Growth Fund, and TCW International Small Cap Fund (collectively, the “TCW International Funds”) (six of twenty-three funds comprising TCW Funds, Inc.) as of October 31, 2015, and the related statements of operations for the periods then ended, the statements of changes in net assets for each of the respective stated periods then ended, and the financial highlights for each of the respective stated periods then ended. These financial statements and financial highlights are the responsibility of the TCW International Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). 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. The TCW International Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, 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. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2015, by correspondence with custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective TCW International Funds as of October 31, 2015, the results of their operations for the periods then ended, and the changes in their net assets for each of the respective stated periods then ended, and the financial highlights for each of the respective stated periods then ended, in conformity with accounting principles generally accepted in the United States of America.
Los Angeles, California
December 21, 2015
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TCW Funds, Inc.
|
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, 2015 to October 31, 2015 (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, 2015 | Ending Account Value October 31, 2015 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2015 to October 31, 2015) | ||||||||||||
TCW Developing Markets Equity Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 865.60 | 1.25 | % | $ | 3.93 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.90 | 1.25 | % | 6.36 | (1) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 865.60 | 1.25 | % | $ | 3.93 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.90 | 1.25 | % | 6.36 | (1) | ||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 977.70 | 0.86 | % | $ | 4.29 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.87 | 0.86 | % | 4.38 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 976.00 | 1.14 | % | $ | 5.68 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.46 | 1.14 | % | 5.80 |
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TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value May 1, 2015 | Ending Account Value October 31, 2015 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2015 to October 31, 2015) | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 904.90 | 0.99 | % | $ | 4.75 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.06 | 0.99 | % | 5.04 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 904.80 | 0.99 | % | $ | 4.75 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.22 | 0.99 | % | 5.04 | |||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 888.40 | 1.23 | % | $ | 5.85 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.01 | 1.23 | % | 6.26 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 888.00 | 1.23 | % | $ | 5.85 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.01 | 1.23 | % | 6.26 | |||||||||||
TCW International Growth Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 914.40 | 1.04 | % | $ | 5.02 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.96 | 1.04 | % | 5.30 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 913.20 | 1.34 | % | $ | 6.46 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.45 | 1.34 | % | 6.82 | |||||||||||
TCW International Small Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 978.30 | 1.44 | % | $ | 7.18 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.95 | 1.44 | % | 7.32 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 978.30 | 1.44 | % | $ | 7.18 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.95 | 1.44 | % | 7.32 |
(1) | Actual expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period from inception of the Fund on July 1, 2015 through October 31, 2015, multiplied by the number of days in the inception period and divided by the number of days in the year. Hypothetical expenses are calculated using the annualized expense ratio, multiplied by the average account value for the six months ended October 31, 2015, multiplied by the number of days in the six month period and divided by the number of days in the year. |
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Privacy Policy
Our Privacy Policy
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Alternative Funds, TCW Strategic Income Fund, Inc. and the Metropolitan West Funds (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.
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.
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. |
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. |
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TCW Funds, Inc.
Privacy Policy (Continued)
• | 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 Alternative Funds, TCW Strategic Income Fund, Inc. and the Metropolitan West Funds:
• | 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 ALTERNATIVE FUNDS
TCW STRATEGIC INCOME FUND, INC.
METROPOLITAN WEST FUNDS
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 |
email: privacy@tcw.com
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TCW Funds, Inc.
Investment Management and Advisory Agreement Disclosure
TCW Funds, Inc. (the “Corporation”) and TCW Investment Management Company (the “Advisor”) are parties to an Investment Advisory and Management Agreement (“Current 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. The Current Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by the Board of Directors of the Corporation (the “Board”), including the directors who are not “interested persons” of either the Corporation or the Advisor (the “Independent Directors”). The Current Agreement terminates automatically in the event of its assignment.
At a meeting held on September 21, 2015, the Board, including the Independent Directors, approved the continuation of the Current Agreement with respect to each Fund for an additional one-year term from when it otherwise would expire.
Continuation of the Current Agreement
The Advisor provided materials to the Board in advance of meetings held on September 8, 2015 and September 21, 2015 (the “Current Agreement Materials”) for their evaluation of the Current Agreement in response to information requested by the Independent Directors, who were advised by counsel to the Independent Directors with respect to these and other relevant matters. The Independent Directors also took into account information received by them during the past year at their regular board meetings. In addition, the Independent Directors met separately with counsel to the Independent Directors to consider the information provided. As a result of those meetings, the Board (including a majority of the Independent Directors voting separately) approved the continuation of the Current Agreement based on the recommendation of the Independent Directors. In deciding to recommend the renewal of the Current Agreement with respect to each Fund, the Independent Directors did not identify any single or particular piece of information 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.
Nature, Extent, and Quality of Services The Independent Directors considered the general nature, extent, and quality of services provided or expected to be provided to the Funds by the Advisor. The Independent Directors evaluated the Advisor’s experience in serving as manager of the Funds, and considered the benefits to shareholders of investing in a fund complex that is served by a large investment management organization where it and its affiliates also serve a variety of other investment advisory clients, including separate accounts, other pooled investment vehicles, registered investment companies and commingled funds. The Independent Directors also considered the ability of the Advisor to provide appropriate levels of support and resources to the Funds.
In addition, the Independent Directors took note of the background and experience of the senior management and portfolio management personnel of the Advisor and that the Advisor provides and is expected to continue to provide substantial expertise and attention as well as resources and infrastructure to the Funds. The Independent Directors considered the ability of the Advisor to attract and retain qualified business professionals and its compensation program, noting in particular the Advisor’s recent addition of professionals in various areas over the past several years, including new analysts to the equity research team, and to back office operations, fund administration, and other areas, as well as systems and infrastructure enhancements. The Independent Directors also considered the breadth of the compliance programs of the Advisor, as well as the compliance operations of the Advisor with respect to the Funds.
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TCW Funds, Inc.
Investment Management and Advisory Agreement Disclosure (Continued)
The Independent Directors concluded that they were satisfied with the nature, extent and quality of the services provided and anticipated to be provided to the Funds by the Advisor under the Current Agreements.
Investment Performance The Independent Directors reviewed information about each Fund’s historical performance, including materials prepared by the Advisor and a Report prepared by Broadridge/Lipper, an independent third party consultant, which provided a comparative analysis of the performance of each Fund with the performance of similar funds over one, three, five and ten year periods, as applicable. The Independent Directors noted that investment performance of most of the Funds was generally consistent with or above the median performance of the applicable Lipper peer group during most periods covered in the Report. They noted, however, that the investment performance of the TCW Select Equities Fund, TCW Small Cap Growth Fund, TCW Growth Equities Fund, TCW SMID Cap Growth Fund, TCW High Yield Bond Fund, TCW Short Term Bond Fund and TCW International Small Cap Fund were each in the fourth or fifth quintile of the applicable Lipper peer group for one or more periods covered in the Report. The Independent Directors noted the recent underperformance of these Funds and reviewed the actions taken by the Advisor to address such underperformance. The Independent Directors concluded that the Advisor should continue to provide investment advisory and management services to the Funds. The Independent Directors 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.
Advisory Fees and Profitability The Independent Directors considered information in the materials prepared by Lipper and the Advisor regarding the advisory fees charged to the Funds, advisory fees paid by other funds in the Funds’ respective peer groups, and advisory fees paid to the Advisor under advisory contracts with respect to other institutional clients. The Independent Directors noted that the investment advisory fees charged by the Advisor to many of the Funds were near or below the medians of their respective Lipper peer groups. They also noted, however, that the investment advisory fees of the TCW Total Return Bond Fund, TCW Select Equities Fund, TCW Relative Value Dividend Appreciation Fund, TCW Relative Value Large Cap Fund, TCW Small Cap Growth Fund, TCW SMID Cap Growth Fund, TCW Growth Equities Fund, TCW Emerging Markets Income Fund, TCW Emerging Markets Local Currency Income Fund and TCW Conservative Allocation Fund were above the medians of their respective Lipper peer groups. The Independent Directors reviewed the related materials prepared the Advisor. The Independent Directors also noted that the advisory fees charged by the Advisor to many of the Funds are higher than the advisory fees charged by the Advisor to certain institutional separate accounts with similar strategies managed by the Advisor, but that the services provided the Funds are more extensive than the services provided to institutional separate accounts.
The Independent Directors noted that the total expenses of the Funds are near or below median expenses of the other funds in their respective peer groups. They considered that the Advisor has agreed to reduce its investment advisory fee or pay the operating expenses of each Fund in order to maintain the overall expense ratios of the Funds at competitive levels, that the Advisor had entered into contractual expense limitation agreements with respect to certain Funds and the amounts paid or waived by the Advisor pursuant to expense limitations. The Independent Directors also considered the costs of services to be provided to the Funds by the Advisor and profits to be realized by the Advisor and its affiliates from their relationship with the Funds. Recognizing the difficulty in evaluating a manager’s profitability with respect to the funds it manages in the context of a manager with multiple lines of business, and noting that other
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profitability methodologies might also be reasonable, the Independent Directors concluded that the profits of the Advisor from its relationship with the Funds were reasonable. Based on these various considerations, the Independent Directors concluded that the contractual management fees of the Funds under the Current Agreement are fair and bear a reasonable relationship to the services rendered.
Expenses and Economies of Scale The Independent Directors considered the potential of the Advisor and the Funds to achieve economies of scale as the Funds’ portfolios grow in size. The Independent Directors noted that the Advisor has agreed to contractual expense limitation agreements, which are designed to maintain the overall expense ratio of each of the Funds at a competitive level. The Independent Directors were satisfied with the explanation for Funds with total expense ratios exceeding their peer group medians, such as the small size of the Fund or an expense ratio relatively near the median level. The Independent Directors also received information about the extent to which the Advisor has shared economies of scale through the reinvestment of profits into the advisory business of the Advisor and its affiliates, which benefits the Funds. The Independent Directors also considered the relative advantages and disadvantages of an advisory fee with breakpoints compared to a flat advisory fee supplemented by advisory fee waivers and/or expense reimbursements. The Independent Directors concluded that the current fee arrangements were appropriate given the current size and structure of the Funds and adequately reflected any economies of scale.
Ancillary Benefits The Independent Directors considered ancillary benefits 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 Independent Directors noted that, in addition to the fees the Advisor receives under the Current 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 Independent Directors concluded that any potential benefits 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.
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 Current 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 the Fund, and that the renewal of the Current Agreement was in the best interests of each Fund and its shareholders.
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Supplemental Information
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board of Directors of the Company has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Company’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Advisor, on behalf of the Company, prepares and file Form N-PX with the SEC not later than August 31 of each year, which includes the Company’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Company’s proxy voting record for the most recent twelve-month period ended June 30 is available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for the Company’s proxy voting record, it will send the information disclosed in the Company’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Company also discloses its proxy voting record on its website as soon as is reasonably practicable after its report on Form N-PX is filed with the SEC.
Availability of Quarterly Portfolio Schedule
The Company files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. The Form N-Q is available by calling 800-FUND-TCW (800-386-3829) to obtain a hard copy. You may also obtain the Company’s Form N-Q:
1. | By going to the SEC website at http://www.sec.gov.; or |
2. | By visiting the SEC’s Public Reference Room in Washington, D.C. and photocopying it (Phone 1-800-SEC-0330 for information on the operation of the SEC’s Public Reference Room). |
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TCW Funds, Inc.
Tax Information Notice (Unaudited)
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, 2015:
Fund | Qualified Dividend Income | |||
TCW Developing Markets Equity Fund TCW Emerging Markets Multi-Asset Opportunities Fund | $
| 2 378 |
| |
TCW International Growth Fund | 40 | |||
TCW International Small Cap Fund | 241 |
The following is the dividend received deduction percentage for the Fund’s corporate shareholders:
Fund | Qualified Received Deductions | |||
TCW International Growth Fund TCW International Small Cap Fund |
| 2.25% 0.14% |
|
The following Funds paid foreign taxes during the year ended October 31, 2015, that are available as income tax credits:
Fund | Foreign Tax Credit | |||
TCW Developing Markets Equity Fund TCW Emerging Markets Multi-Asset Opportunities Fund | $
| 2 68 |
| |
TCW International Growth Fund | 6 | |||
TCW International Small Cap Fund | 31 |
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 2016, 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 2015. 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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TCW Funds, Inc.
Directors and Officers of the Company
A board of ten directors is responsible for overseeing the operations of the Company, which consists of 23 funds at October 31, 2015. 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) | Indefinite term; 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). | |||
John A. Gavin (1931) | Indefinite term; Mr. Gavin has served as a director of TCW Funds, Inc. since May 2001. | Founder and Chairman of Gamma Holdings (international capital consulting firm). | TCW Strategic Income Fund, Inc. (closed-end fund); Hotchkis and Wiley Funds (mutual fund with 5 series). | |||
Patrick C. Haden (1953) Chairman | Indefinite term; Mr. Haden has served as a director of TCW Funds, Inc. since May 2001. | Athletic Director, University of Southern California. Prior to August 2010, General Partner, Riordan, Lewis & Haden (private equity firm). | Tetra Tech, Inc. (environmental consulting); The Rose Hills Foundation (foundation); UniHealth Foundation (charitable foundation); Metropolitan West Funds (mutual fund with 9 series); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund with 4 series). | |||
Janet E. Kerr (1954) | Indefinite term; Ms. Kerr has served as a director of TCW Funds, Inc. since August 2010. | Professor Emeritus and Founder of Geoffrey H. Palmer Center for Entrepreneurship and the Law, Pepperdine University School of Law. | La-Z-Boy Furniture Incorporated (residential furniture producer); Tilly’s (a retailer of apparel and accessories); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Peter McMillan (1957) | Indefinite term; Mr. McMillan has served as a director of TCW Funds, Inc. since August 2010. | Co-Founder, Managing Partner and CIO, Temescal Canyon Partners (investment advisory firm); Co-founder and Managing Partner, Willowbrook Capital Group, LLC (investment advisory firm); Co-founder and Executive Vice President of KBS Capital Advisors (a manager of real estate investment trusts). | KBS Real Estate Investment Trusts (real estate investments); KBS Strategic Opportunity REIT (real estate investments); Metropolitan West Funds (mutual funds with 9 series); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund with 4 series). | |||
Charles A. Parker (1934) | Indefinite term; Mr. Parker has served as a director of the TCW Funds, Inc. since April 2003. | Private Investor. | Burridge Center for Research in Security Prices (University of Colorado); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Victoria B. Rogers (1961) | Indefinite term; Ms. Roger has served as a director of the TCW Funds, Inc. since October 2011. | President, The Rose Hills Foundation. | Causeway Capital Management Trust (mutual fund with 5 series); TCW Strategic Income Fund, Inc. (closed-end fund). | |||
Andrew Tarica (1959) | Indefinite term; Mr. Tarica has served as a director of the TCW Funds, Inc. since March 2012. | Chief Executive Officer, Meadowbrook Capital Management (asset management company); Employee, Cowen & Co. (broker-dealer). | Metropolitan West Funds (mutual fund with 9 series); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund with 4 series). |
(1) | The address of each Independent Director is c/o Morgan, Lewis, & Bockius LLP, Counsel to the Independent Directors, 355 South Grand Avenue, Los Angeles, CA 90071. |
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Interested Directors
Each of these directors are “interested persons” of the Company as defined in the 1940 Act because they are directors and officers of the Advisor, and shareholders and directors of The TCW Group, Inc., the parent company of the Advisor.
Name and Year of Birth (2) | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Other Directorships held by Director | |||
Marc I. Stern (1944) | Indefinite term; Mr. Stern has served as a director since inception of TCW Funds, Inc. in September 1992. | Chairman, The TCW Group, Inc. Prior to February 2013, Chief Executive Officer and Chairman, the Adviser; Vice Chairman and Chief Executive Officer, The TCW Group, Inc. and TCW Asset Management Company; and Vice Chairman, Trust Company of the West. | Qualcomm Incorporated (wireless communications) | |||
David S. DeVito (1962) | Indefinite term; Mr. DeVito has served as a director since January 2014. | Executive Vice President and Chief Operating Officer, the Advisor, The TCW Group, Inc., Trust Company of the West and TCW Asset Management Company; President and Chief Executive Officer, the Company, TCW Alternative Funds and TCW Strategic Income Fund, Inc. | TCW Strategic Income Fund, Inc. (closed-end fund) |
The officers of the Company who are not directors of the Company are:
Name and Year of Birth (2) | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Peter A. Brown (1955) | Senior Vice President | Managing Director, the Advisor, The TCW Group, Inc., Trust Company of the West and TCW Asset Management Company; Senior Vice President, TCW Strategic Income Fund, Inc. | ||
Meredith S. Jackson (1959) | Senior Vice President, General Counsel and Secretary | Executive Vice President, General Counsel and Secretary, the Advisor, The TCW Group Inc., Trust Company of the West, TCW Asset Management Company and Metropolitan West Asset Management; Senior Vice President, General Counsel and Secretary, TCW Strategic Income Fund, Inc., TCW Alternative Funds and Metropolitan West Funds. Previously, Partner and Chair of the Debt Finance Practice Group, Ir ell & Manella (law firm) (1999 – January 2013). |
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Directors and Officers of the Company (Continued)
Name and Address (2) | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Jeffrey Engelsman (1967) | Chief Compliance Officer | Managing Director, Global Chief Compliance Officer, the Advisor, The TCW Group, Inc., Trust Company of the West and TCW Asset Management Company; Chief Compliance Officer, TCW Strategic Income Fund, Inc. and TCW Alternative Funds. Previously, Managing Director of New York Life Investment Management Company and Chief Compliance Officer of MainStay Group of Funds. | ||
Richard Villa (1964) | Treasurer and Chief Financial Officer | Managing Director and Chief Financial Officer, the Advisor, The TCW Group, Inc., Trust Company of the West; TCW Asset Management Company and Metropolitan West Asset Management; Treasurer and Chief Financial Officer, TCW Strategic Income Fund, Inc. and TCW Alternative Funds. |
(1) | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
(2) | Address is 865 South Figueroa Street, 18th Floor, Los Angeles, California 90017 |
In addition, George N. Winn, Senior Vice President of Trust Company of the West, TCW Asset Management Company and the Advisor, is the Assistant Treasurer of the Company; and Patrick W. Dennis, Senior Vice President and Associate General Counsel of Trust Company of the West, TCW Asset Management Company and the Advisor, is Assistant Secretary of the Company.
The SAI (Statement of Additional Information) has additional information regarding the Board of Directors. A copy is available 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 StreetLos Angeles, California 90017
800 FUND TCW(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company865 South Figueroa StreetLos Angeles, California 90017
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC615 E. Michigan StreetMilwaukee, Wisconsin 53202
INDEPENDENT REGISTERED PUBLICACCOUNTING FIRM
Deloitte & Touche, LLP555 West 5th StreetLos Angeles, California 90013
CUSTODIAN & ADMINISTRATOR
State Street Bank & Trust CompanyOne Lincoln StreetBoston, Massachusetts 02111
DISTRIBUTOR
TCW Funds Distributors865 South Figueroa StreetLos Angeles, California 90017
Directors
Patrick C. HadenDirector and Chairman of the Board
Samuel P. BellDirector
David S. DeVitoDirector
John A. GavinDirector
Janet E. KerrDirector
Peter McMillanDirector
Charles A. ParkerDirector
Victoria B. RogersDirector
Marc I. SternDirector
Andrew TaricaDirector
Officers
David S. DeVitoPresident and Chief Executive Officer
Meredith S. JacksonSenior Vice President,General Counsel and Secretary
Richard M. VillaTreasurer and Chief Financial Officer
Jeffrey A. EngelsmanChief Compliance Officer
Peter A. BrownSenior Vice President
Patrick W. DennisAssistant Secretary
George N. WinnAssistant Treasurer
TCW FUNDS
EQUITY FUNDS
TCW Concentrated Value Fund
TCW Global Real Estate Fund
TCW Growth Equities Fund
TCW High Dividend Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
TCW Small Cap Growth Fund
TCW SMID Cap Growth Fund
TCW ALLOCATION FUND
TCW Conservative Allocation Fund
FIXED INCOME FUNDS
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund
TCW Global Bond Fund
TCW High Yield Bond Fund
TCW Short Term Bond Fund
TCW Total Return Bond Fund
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
TCW Emerging Markets Income Fund
TCW Emerging Markets Local Currency Income Fund
TCW Emerging Markets Multi-Asset Opportunities Fund
TCW International Growth Fund
TCW International Small Cap Fund
FUNDarINT1015
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Item 2. | Code of Ethics. |
(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. |
(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. |
(e) | Not applicable. |
(f) | A copy of the Registrant’s code of ethics is filed as Exhibit 12(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 three 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, Charles A. Parker 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.
(a) Audit Fees
For the fiscal years ended October 31, 2015 and October 31, 2014, 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:
2015 | 2014 | |
$625,175 | $571,929 |
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(b) Audit-Related Fees
For the fiscal years October 31, 2015 and October 31, 2014, 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:
2015 | 2014 | |
$0 | $0 |
(c) Tax Fees
For the fiscal years ended October 31, 2015 and October 31, 2015, the aggregate fees billed for tax compliance, tax advice and tax planning by Deloitte were:
2015 | 2014 | |
$127,400 | $110,250 |
Fees were for the preparation and filing of the Registrant’s corporate returns.
(d) | All Other Fees |
For the fiscal years ended October 31, 2015 and October 31, 2014, 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:
2015 | 2014 | |
$0 | $0 |
(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.
(f) | Not applicable. |
(g) For the fiscal years ended October 31, 2015 and October 31, 2015, aggregate non-audit fees billed by Deloitte for services rendered to the Registrant were:
2015 | 2014 | |
$127,400 | $110,250 |
For the twelve month periods ended October 31, 2015 and October 31, 2014, 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 $0 and $0, respectively.
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(h) Not applicable.
Item 5. | Audit of Committee of Listed Registrants. |
Not applicable.
Item 6. | Schedule of Investments. |
(a) | The Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchases. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
No material changes have been made to Registrant’s procedures by which shareholders may recommend nominees to Registrant’s Board.
Item 11. | Controls and Procedures. |
(a) | The Chief Executive Officer and Chief Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) provide reasonable assurances that material information relating to the Registrant is made known to them by the appropriate persons as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
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Item 12. | Exhibits. |
(a)(1) Code of Ethics referred to in Item 2 is filed herewith.
(a)(2) The certifications required by Rule 30a-2(a) of the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 (“Sarbanes-Oxley Act”) are filed herewith.
(a)(3) Not applicable.
(b) The certifications required by Rule 30a-2(b) of the 1940 Act and Section 906 of the Sarbanes-Oxley Act are filed herewith.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | TCW Funds, Inc. | |
By (Signature and Title) | /s/ David S. DeVito | |
David S. DeVito | ||
Chief Executive Officer | ||
Date | December 28, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ David S. DeVito | |
David S. DeVito | ||
Chief Executive Officer | ||
Date | December 28, 2015 | |
By (Signature and Title) | /s/ Richard M. Villa | |
Richard M. Villa | ||
Chief Financial Officer | ||
Date | December 28, 2015 |