UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07170
TCW Funds, Inc.
(Exact name of registrant as specified in charter)
865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017
(Address of principal executive offices)
Patrick W. Dennis, Esq.
Assistant Secretary
865 South Figueroa Street, Suite 1800
Los Angeles, CA 90017
(Name and address of agent for service)
Registrant’s telephone number, including area code: (213) 244-0000
Date of fiscal year end: October 31
Date of reporting period: October 31, 2017
Item 1. | Report to Shareholders. |
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OCTOBER 31
A N N U A L
R E P O R T
EQUITY FUNDS
TCW Artificial Intelligence Equity Fund
TCW Focused Equities Fund
TCW Global Real Estate Fund
TCW High Dividend Equities Fund
TCW New America Premier Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
ASSET ALLOCATION FUND
TCW Conservative Allocation Fund
TCW Funds, Inc.
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 119 | |||
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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 2017 annual report for the TCW Funds, Inc. covering the twelve months ended October 31, 2017. I would like to express our appreciation for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of October 31, 2017, the TCW Funds held total net assets of approximately $16.8 billion.
This report contains information and portfolio management discussions of our TCW Equity Funds and TCW Allocation Fund.
The U.S. Stock Market
U.S. stocks surged 23.6% (S&P 500 Total Return Index) to successive record highs during the one-year period ending 10/31/17, posting a positive total return every month. Equity prices were fueled by strong corporate earnings results that more than compensated for volatility leading up to the U.S. presidential election and the subsequent lack of progress in achieving meaningful fiscal reforms. After six quarters of negative year-over-year earnings growth through the first half of calendar year 2016, corporate profits posted a string of quarterly gains, boosted by the rebound in energy prices as well as the weakening of the U.S. dollar. Although the equity market experienced periodic, short-lived bouts of volatility related to concerns about the North Korean missile crisis, generally positive macroeconomic data releases, coupled with renewed hopes for tax reform, fueled a rally in risk assets, including stocks. Despite the impact of two hurricanes, the U.S. economy grew at a solid 3.0% annual pace in 3Q17 after growing 3.1% in the prior quarter — the best back-to-back quarters in three years. At the same time, the labor market continued to show improvement with weekly jobless claims hitting their lowest level (222k) in 44 years and the unemployment rate in October (4.1%) dipping to a 16-year low. Even a late-September speech by Fed Chairwoman Yellen, in which she effectively said it
would be a mistake to hold off on raising interest rates while waiting for inflation to reach a 2% threshold, did little to dampen the equity market rally. In fact, the spike in the yield on the U.S. 10 Year Treasury Note from its calendar YTD 2017 low of 2.04% in early September to 2.38% by the end of October coincided with the “risk-on” rally and the view of many equity investors that a normalization of Fed policy might be indicative of an improved economic outlook.
Looking Ahead
Looking forward, stock market fundamentals appear reasonably encouraging given that corporate earnings have been on the upswing for the past few quarters as the economy has gained some strength and the U.S. dollar has weakened. Congressional passage of the Trump administration’s proposed tax reform legislation would prove a powerful catalyst to corporate earnings, as one sell-side firm estimates that it would equate to roughly a 6-9% boost to S&P Operating EPS growth (Wolfe Research, 11/3/17). Yet, we note that the Fed under the leadership of both Janet Yellen and, shortly, Fed Chair-designee Jerome Powell, is likely to push forward with its goal of normalizing monetary policy via interest rate hikes, with the Fed futures curve pointing to a likely hike at the FOMC’s December meeting. As such, at some point the easy liquidity tailwind to risk assets may shift to a tightening liquidity headwind, and the market’s complacency may well be tested (the VIX index volatility measure slipped to 9.19 in October, surpassing its record closing low of 9.31 set nearly 24 years ago). With stock market valuations remaining elevated relative to the average level of the last several decades (forward P/E ratio is presently about 18.2 versus an average of 15.7), we would sound a note of caution on the near-term outlook for stocks, even if the medium-to-long term prospects remain compelling.
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Letter to Shareholders (Continued) |
An Update on the TCW Funds Equity Funds
There was an update to our fund family over the past twelve months that we would like to note for our investors:
• | Effective August 31, 2017, TCW launched the TCW Artificial Intelligence Equity Fund (TGFTX/TGJNX). Artificial intelligence refers to the development or use by a business of computer systems that perform tasks previously requiring human intelligence such as decision-making or audio or visual identification or perception. The Fund invests primarily in issuers that are characterized as “growth companies” according to criteria established by the portfolio managers, which may include attributes such as an expected growth cycle, accelerating earnings or cash flow, and general growth of a business sector. Bottom-up fundamental research that focuses on the individual attributes of a company, such as its financial characteristics, is used to identify these companies. The Fund is managed by Jeffrey Lin, CFA, Senior Vice President and Thomas Lee, Senior Vice President. |
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 year and look forward to further correspondence with you through our semi-annual report in 2018.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
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TCW Artificial Intelligence Equity Fund
For the period August 31, 2017 (inception) to October 31, 2017, the TCW Artificial Intelligence Equity Fund (the “Fund”) was up 6.40% for each of the Fund’s two share classes. The Russell 3000 Growth Index, the Fund’s benchmark, increased by 5.37% over the same time period.
The Fund outperformed the Index due to higher exposure to the Information Technology (IT) sector relative to the Index. Within the Index, the IT sector was up 8.2%. Within the IT sector, the Fund strongly outperformed in the Semiconductors subsector, which contained many of the Fund’s top contributors including Micron Technology, Intel, NVIDIA, ON Semiconductor, Silicon Laboratories, Cypress Semiconductor, and Teradyne. Other notable performers were Twitter (Internet Software), Arista Networks (Communications Equipment), and Take-Two Interactive (Software). Partially offsetting some of the Fund’s outperformance were disappointing performance results from investments in Nokia, Tesla, Trivago, Nuance Communications, and Cerner. Additionally, the Fund had greater exposure to the Real Estate Investment Trusts (REIT) sector than the Index. Names in the REIT sector such as American Tower, CoreSite Realty, Crown Castle, CyrusOne, and Equinix underperformed during the period.
We believe artificial intelligence (AI) will be the foundational technology of the information age. The leap from computing built on the foundation of humans telling computers how to act, to computing built on the foundation of computers learning how to act has significant implications for every industry.
In our view, there are many structural drivers that are accelerating the need for AI. These include:
• | Trend in demographics towards an aging global population |
• | Need for greater energy efficiency |
• | Drive for greater urbanization as demand for convenience increases |
• | Efforts to increase human capital productivity |
The broad applicability of AI also leads us to believe that it is a paradigm-shifting technology for the global economy and a driver behind improving productivity. AI very well could end the period of stagnant productivity growth in the U.S. We believe that AI technology driven improvements to productivity could, similar to the 1990s, drive corporations to invest in more capital and labor intensive projects, accelerating growth, improving profitability, and expanding equity valuations.
Finally, we continuously survey the artificial intelligence investment landscape by drawing upon our deep technical knowledge and fundamental research efforts. Our research effort seeks the most attractive opportunities in the AI ecosystem.
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TCW Artificial Intelligence Equity Fund
Management Discussions (Continued)
Cumulative Return Since Inception(1) | ||||
TCW Artificial Intelligence Equity Fund | ||||
Class I (Inception: 8/31/2017) | 6.40 | % | ||
Class N (Inception: 8/31/2017) | 6.40 | % | ||
Russell 3000 Growth Index | 5.37 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
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TCW Conservative Allocation Fund
Management Discussions
For the year ended October 31, 2017, the TCW Conservative Allocation Fund (the “Fund”) posted a gain of 7.28% for the I Class and 6.74% for the N Class shares. The performance of the Fund’s classes varies because of differing expenses. The Fund’s blended benchmark of 40% S&P 500 Index and 60% Bloomberg Barclay Capital Aggregate Bond Index returned 9.53% over the same period.
The Fund posted positive returns over the past year with a positive contribution coming from both U.S. equities and U.S. fixed income. The strongest returns came from TCW New America Premier Equities Fund (9.2% allocation) and TCW Select Equities Fund (5.5% allocation). Both funds were up over 16% over the past year. At the asset allocation level, the decision to overweight large cap U.S. equities helped relative performance.
As of October, the allocation for the Fund was 39% equities, 56% fixed income, 3% cash and 2% in gold. This gives the Fund slight underweight to fixed income and almost equal weight to equities relative to its blended index. Over the past twelve months, the Fund has gradually increased its allocation to the Metropolitan West Unconstrained Bond Fund for its lower duration and higher credit quality profile, and shifting equity allocation to less volatile and defensive equities.
For the Fund’s equity exposure, the allocation to the TCW/Gargoyle Dynamic 500 Fund and the TCW New America Premier Equities Fund were increased. For the Fund’s fixed income exposure, the Fund remain concentrated within high-grade debt favoring mortgage-backed securities. The Fund had small allocations to both high yield and emerging market debt over the past year. Within its fixed income allocation, the Fund has recently decreased the duration of fixed income holdings as we anticipate higher interest rates in the near term.
Over the past year, U.S. equity markets continued 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 addition, central banks globally maintained accommodative monetary policies which kept 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. The fixed income markets continue to benefit from the globally low interest rate environment and easy monetary policies worldwide. Even though the Federal Reserve increased interest rates just once over the past months, we anticipate further interest rate increases in the near term.
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TCW Conservative Allocation Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Since Inception | ||||||||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||||||
Class I (Inception: 11/16/2006) | 7.28 | % | 3.95 | % | 5.56 | % | 5.02 | % | 5.23 | % | ||||||||||
Class N (Inception: 11/16/2006) | 6.74 | % | 3.42 | % | 5.04 | % | 4.75 | % | 4.97 | % | ||||||||||
40% S&P 500 Index/60% Bloomberg Barclays U.S. Aggregate Bond Index | 9.53 | % | 5.82 | % | 7.24 | % | 5.81 | % | 6.06 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
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TCW Focused Equities Fund
Management Discussions
For the year ended October 31, 2017, the TCW Focused Equities Fund (the “Fund”) increased 15.91% and 15.98% for its I Class and N Class, respectively. The performance of the Fund’s classes varies because of differing expenses. During the same period, the Russell 1000 Value Index rose 17.78%.
During the year, sector allocation was positive but stock selection was negative. Ironically, however, the largest individual negative attribution for the year came as a result of our underweight in financials. For the year ended October 31, 2017, financials returned 36.1% which was the highest return of any sector during the year. More than half of the return of the financials sector came in the two months following the election through year end. The reason financials did so well was due to the perception of President Trump’s policies being pro-growth for the economy as well as the perception of lessening of the regulatory environment which overly burdened the sector during the prior administration. The higher beta banks and brokerage companies led the way. We were underweight the higher beta financials for the year.
From a stock selection perspective, our worst stock selection came in the materials sector. The materials sector for the year was up 30.8%. Air Products and Chemicals and Ecolab outperformed the market but slightly underperformed the sector. But the real culprits came from both Sealed Air which was down 3.3% while we owned the stock along with Potash Corporation of Saskatchewan which was up only 3.9% on the year — both far below the benchmark return. The underperformance of Sealed Air was a continuation of the previous year when they consistently reduced earnings and cash flow guidance throughout 2017. We have since sold the stock. Potash has struggled this year as they are wrapping up their $8 billion potash expansion but much of this expansion is sitting idle in the short to medium term until demand catches up with supply. With the supply/demand imbalance, prices have stayed lower for longer than expected. The good news is lower prices, as is the case with all commodities, will lead to lower supply and at some point demand and supply will come into balance and prices will tend upward. With the new expansion Potash will be the main beneficiary when that happens.
The worst stock over the past year was Advanced Auto Parts. The company merged with Raleigh-based General Parts in 2014 and was a good performer at the outset. But in 2017, their progress on their productivity initiatives stalled and the company missed targets badly this year as a result of the synergies surrounding the merger. We think those synergies are not lost and expect better results in 2018. The best stock over the past year was Adobe Systems. Adobe Systems is the best-in-class leading provider of creative design software. The success of the stock in 2017 was a direct result of the company beating estimates each quarter, continuing to raise the bar even higher and then beating those raised estimates again. There are not many $90 billion market cap companies that can grow the top line by 18% per year over the next three years; we suspect that will prove to be a conservative estimate.
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 in order to be 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 have a strong potential to yield favorable long term results.
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TCW Focused Equities Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception Fund | Inception Index | |||||||||||||||||||
TCW Focused Equities Fund | ||||||||||||||||||||||||
Class I (Inception: 10/29/2004) | 15.91 | % | 4.24 | % | 12.79 | % | 3.81 | % | 5.83 | % | 7.92 | % | ||||||||||||
Class N (Inception: 7/20/1998) | 15.98 | % | 4.25 | % | 12.79 | % | 3.64 | % | 5.66 | %(2) | 6.64 | % | ||||||||||||
Russell 1000 Value Index | 17.78 | % | 7.99 | % | 13.48 | % | 5.99 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
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TCW Global Real Estate Fund
Management Discussions
For the year ended October 31, 2017, the TCW Global Real Estate Fund (the “Fund”) had a positive return of 10.28% on both I Class and N Class shares. The Fund’s benchmark, the S&P Global REIT Index, had a positive return of 5.48% over the same period.
On an attribution basis, the Fund’s outperformance relative to its benchmark during the year was a result of both positive stock selection and sector allocation. From a relative standpoint, the Fund’s largest sector overweight was in Specialized REITs (average weight of 16.46% up 25.98% vs. average weight of 9.47% up 19.23% for the Index), which benefitted performance. The Fund’s largest sector underweight was in Diversified REITs (average weight of 5.50% down 21.75% vs. average weight of 15.54% up 5.74% for the Index), which hurt performance. From a stock selection perspective, positive contributors included American Tower (AMT) and Global Logistic Properties (GLP-SP). Conversely, notable detractors from performance included Colony Northstar (CLNS) and Seritage Growth Properties (SRG).
The past two years have been a period in the markets characterized by large gains and low volatility. The past year in particular saw most major indices post remarkable double-digit gains. However, the performance distribution was bifurcated, as the traditional high dividend sectors of the market largely failed to participate in the rally. REITs in particular lagged the market by a considerable amount. Given that the middle of 2016 marked a time when global markets began to price in an acceleration in economic growth and the prospect for higher interest rates, it made sense for the more beta-rich sectors to rally relative to more defensive, interest rate sensitive segments of the market. Since November 2016, the outperformance of the stock market has been further fueled by the election of President Trump, carrying with it promises of incrementally higher growth through deregulation, corporate tax reform and infrastructure spending. Again, it was clear that lightly regulated tax-exempt REITs would not benefit as much from the new administration as more cyclically exposed, heavily regulated or tax-paying companies.
Over the near- to medium-term, we believe that conditions are set for REITs as an asset class to rebound significantly relative to broader market equities. In our view, this will be driven by three primary factors: (i) expectations for growth and tax reform in the U.S. are now likely to be meaningfully priced in to the valuation of stocks, (ii) REITs can perform well even in periods of rising interest rates — their economic upside-capture is largely underappreciated and (iii) REIT valuations in many sectors are attractive from a relative standpoint, setting the stage for a wave of flows seeking reliable income with a potential for growth. Many of the concerns of the past (such as lumpy debt maturity schedules) have been largely addressed during this cycle. Overbuilding has not been as big of an issue as, (i) construction spending did not follow the financial crisis in a typical post-recessionary spike because of a lack of confidence and buy-in to the sustainability of a recovery based primarily on monetary stimulus, and (ii) lending institutions have been cautious in their approach to speculative projects. The prospect for rental income growth driven by a potential acceleration in the economy seems to be underappreciated. Technological disruptions will help many REIT sectors in ways that currently are not fully incorporated in the stock prices.
Over the long term, income investing is unlikely to remain out of favor for long and investors looking for safety and yield will be increasingly drawn to REITs. Real estate rental income is much more predictable than more discretionary sources stemming from the sale of products or services. With the demographic trend of the aging of the population fueling an ever-expanding appetite for retirement income, it is safe to conclude that REIT investing will be a main area of focus for decades to come.
We thank you for your continued trust in our philosophy, management, and process.
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TCW Global Real Estate Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||
1 Yr Return | Since Inception | |||||||
TCW Global Real Estate Fund | ||||||||
Class I (Inception: 11/28/2014) | 10.28 | % | 3.30 | % | ||||
Class N (Inception: 11/28/2014) | 10.28 | % | 3.30 | % | ||||
S&P Global REIT Index | 5.48 | % | 4.26 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
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TCW High Dividend Equities Fund
Management Discussions
For the year ended October 31, 2017, the TCW High Dividend Equities Fund (the “Fund”) posted a gain of 10.53% on both I Class and N Class shares. The Fund’s benchmark, the Russell 3000 Value Index, had a return of 18.30% over the same period.
On an attribution basis, the Fund’s underperformance relative to its benchmark during the period was a result of both negative stock selection and sector allocation. From a relative standpoint, the Fund’s largest sector overweight was in Real Estate (average weight of 16.23% up 6.22% vs. an average weight of 5.17% up 5.89% for the index). Despite the positive relative performance of our underlying names within Real Estate, the Fund’s large overweight in the sector hurt performance from an overall relative standpoint, as Real Estate meaningfully underperformed the broader Index. The Fund’s largest sector underweight was in Healthcare (average weight of 4.18% up 22.33% vs. an average weight of 11.39% up 16.57% for the Index). From a stock selection perspective, notable detractors included AmTrust Financial Services (AFSI) and Kinder Morgan (KMI). Conversely, positive contributors to the Fund’s performance included EnPro Industries (NPO) and D.R. Horton (DHI).
The past two years have been a period in the markets characterized by large gains and low volatility. The past year in particular saw most major indices post remarkable double-digit gains. However, the performance distribution was bifurcated, as the traditional high dividend sectors of the market largely failed to participate in the rally. Although Utilities were able to keep up with broader indices, other dividend focused sectors such as Consumer Staples, REITs, BDCs, and Telecoms lagged the market by a considerable amount. Given that the middle of 2016 marked a time when global markets began to price in an acceleration in economic growth, it made sense for the more beta-rich sectors to rally relative to more defensive, high dividend segments of the market. Since November 2016, the outperformance of the stock market has been further fueled by the election of President Trump, carrying with it promises of incrementally higher growth through deregulation, corporate tax reform and infrastructure spending. Again, it was clear that most dividend-payers with stable fundamentals would likely not benefit as much as more cyclically exposed, heavily regulated companies. Additionally, a substantial fraction of the S&P’s recent gains has been driven by the flows to the technology space. For example, consider that Apple, Microsoft, Amazon, Facebook and Google make up approximately 14% of the S&P and are up on average over ~40% over the past year.
Our view is that over time, the disparity in performance will reverse. High dividend stocks have historically outperformed the broader markets, and we expect a reversion as (i) expectations for earnings growth and tax reform in the U.S. are now likely to be meaningfully priced in given that the market has gained over 20% since the election, and (ii) valuations in our high-dividend sectors are now very attractive from a relative standpoint. However, as we have previously stated, it is difficult to have any confidence with regard to the precise timing of a potential reversal — the “beta/growth/high-tech/pro-cyclical” rally could last as long as the macro-economic data are supportive, a period which could continue through a number of quarters.
While our high dividend investment universe has recently fallen out of favor with investors who prefer areas with more upside capture and volatility, we continue to find pockets of compelling opportunity. For example, REITs have underperformed the broader markets meaningfully over the past year, and we believe that conditions are set for the space to rebound in relative performance over the near- to medium term. We also see opportunity in select, well managed names in the Business Development Companies (BDC) space. We have high confidence that income investing is unlikely to remain out of favor for very long. There are compelling forces — such as the robust long-term secular demographic trend of the aging of the population — which will draw investors seeking safety and yield to our areas of focus.
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TCW High Dividend Equities Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||
1 Yr Return | Since Inception | |||||||
TCW High Dividend Equities Fund | ||||||||
Class I (Inception: 11/28/2014) | 10.53 | % | 1.17 | % | ||||
Class N (Inception: 11/28/2014) | 10.53 | % | 1.17 | % | ||||
Russell 3000 Value Index | 18.30 | % | 7.67 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
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TCW New America Premier Equities Fund
Management Discussions
For the year ended on October 31, 2017, the TCW New America Premier Equities Fund (the “Fund”) gained 38.41% on both I Class and N Class shares. The Fund’s benchmark, the Russell 1000 Index, returned 23.67% over the same period.
For the fiscal year, the Fund benefited from concentrated investments in Transunion, Baxter International, The Trade Desk Inc. and Activision Blizzard Inc. The Fund was negatively impacted by investments in Sealed Air Corporation, Transdigm Corporation, and Conagra Brands Inc. Security selection was the primary driver of the Fund’s outperformance during the period.
As we have indicated in the past we eschew reliance on macroeconomic forecasts and projections of the future direction of markets — our view is that these factors are unknowable. We therefore focus on what we think is knowable. We believe in thorough assessment of investment opportunities at the security level that will provide us, in some cases, with a high probability view of the future free cash flows of a business, which is a key determinant of the future returns of an investment. We believe that we have made good decisions in this respect and that the portfolio of companies is built to weather most market environments.
We believe that controlling risk is an integral part of the portfolio management process. Since its inception, the Fund was able to generate solid returns while exposing our clients to lower risk relative to the broad market. The Fund seeks to outperform the Index in both rising and falling markets with less risk and volatility. We seek to accomplish this objective by investing in a concentrated portfolio of businesses that carefully manage their environmental and social resources and that employ best in class corporate governance practices. We invest in businesses that have high barriers to entry, are stable, generate substantial free cash flow and are managed by prudent leaders.
Traditional fundamental analysis does not capture risks associated with managing environmental resources nor does it assess the performance of businesses from the perspective of resource efficiency. Traditional analysis does not typically assess the risks associated with a heterogeneous workforce nor does it assess the competence, quality and engagement level of the Board of Directors. Our investment framework not only pays close attention to these issues, but we also quantify, score, and rank companies and exclude businesses based on these risk factors. While those risks are not quantified through traditional financial analysis, we have found a significant correlation between companies that manage their resources prudently and businesses that sport strong financial metrics. Businesses that meet our rigorous ESG performance requirements typically have higher free cash flow yields, higher total yields, higher margins and lower levels of financial leverage.
In fast growing businesses or in industries that are undergoing rapid changes it is extraordinarily difficult and often dangerous to make an investment in a business when the long-term cash generation potential of the enterprise has a wide spectrum of outcomes. We seek to avoid companies and industries that are undergoing rapid changes.
What we do seek, however, are stable businesses that have dominant market positions, and whose long term cash flows we believe can be predicted reasonably well. The qualitative characteristics that we seek, including attractive industry structures, pricing power and dominant market positions, make us confident in our forecast of the future cash flows of the business and therefore provide greater confidence that our valuation of the business is reasonably accurate.
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TCW New America Premier Equities Fund
Management Discussions (Continued)
The famed value investor Benjamin Graham once said, “In the short run, the market is a voting machine but in the long run, it is a weighing machine.” Our view is that the market weighs cash flows and in order to consistently purchase a security for less than what it is worth, one should have high confidence in the future free cash flows of a business.
Annualized Return(1) | ||||||||
1 Yr Return | Since Inception | |||||||
TCW New America Premier Equities Fund | ||||||||
Class I (Inception: 1/29/2016) | 38.41 | % | 28.74 | % | ||||
Class N (Inception: 1/29/2016) | 38.41 | % | 28.74 | % | ||||
Russell 1000 Index | 23.67 | % | 20.41 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
15
TCW Relative Value Dividend Appreciation Fund
Management Discussions
For the year ended October 31, 2017, the TCW Relative Value Dividend Appreciation Fund (the “Fund”) posted a return of 15.69% and 15.46% 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 17.78% over the same period.
Fund Review
The Fund’s top ten conviction-weighted holdings were the positive contributors to the Fund’s return during the fiscal year, returning +29.9%, on average, led by Information Technology (IT) companies such as Cypress Semiconductor and Microsoft, and Financial companies with investments in Citigroup, JP Morgan Chase, and State Street. The Fund’s investments in Microchip Technology, Corning, and Maxim Integrated Products were also additive to the overall return. The Fund also benefited from its Materials holdings with solid gains from DowDuPont and WestRock. Other positive performers included Royal Philips, Quest Diagnostics, Zions Bancorporation, Textron, and MetLife.
On the downside, the Fund’s Industrials names detracted due in large part to General Electric while JC Penney, Regal Entertainment, and Mattel were largely responsible for the loss suffered in Consumer Discretionary. The Fund also lost value with its Healthcare and Utilities names due to Merck, Gilead, and AES. Other notable detractors included Energy companies Baker Hughes, Nabors Industries, and Schlumberger, ConAgra and PepsiCo in Consumer Staples, New York Community Bancorp in Financials and Kimco Realty in Real Estate. JC Penney, Nabors Industries, and Mattel were completely sold after fundamental reviews, while slices were added to General Electric and Merck after their respective fundamental reviews.
Market Outlook
Both the House and Senate have passed their own tax cut plans which would lower the corporate tax rate to 20% from the existing 35% level. Purported comments from Gary Cohn and Pat Toomey suggest the rate may level out at 22% to “make the math work”. Regardless, a corporate tax cut to 20-25% would increase S&P 500 earnings by 5-10% per year, on average. Current deductible items such as state and local taxes (SALT), the alternative minimum tax (AMT), and the mortgage interest deduction remain items of contention. What waits to be determined is whether the corporate tax cut will be a 2018 or 2019 event.
The robust labor market has helped keep Americans upbeat about the U.S. economy. Americans continue to poll optimistic about the economy as reflected by the Conference Board Consumer Confidence (highest level since December 2000) while the National Federation of Independent Business (NFIB) Optimism Index is near its highest level since 2005. These reports are consistent with the University of Michigan Consumer Sentiment Index and Bloomberg Consumer Comfort Index close to their highest levels in ten years. U.S. consumers’ assessment of the labor market has become more positive with the index near its highest level since June 2001. With steady monthly job gains year-to-date (aside from the anomalous September report affected by Hurricanes Harvey, Irma, and Maria), the unemployment rate has declined to 4.1%, the U-6 underemployment remains near its lowest level since 2006, and initial jobless (four-week moving average) claims are at lows not seen since the 1970s. Wages are outpacing inflation with average hourly earnings up 2.5% year-over-year as of November 30.
The Fed’s recent statement, along with market sentiment, signals a rate increase is highly likely in mid-December, and there appears to be a large consensus for at least two additional hikes in 2018. The
16
TCW Relative Value Dividend Appreciation Fund
Management Discussions (Continued)
message from previous statements that “economic conditions will evolve in a manner that will warrant gradual increases in the federal funds rate” was repeated. Additionally, the Committee noted the economy has been rising at a solid rate and that “past experience suggests that the storms are unlikely to materially alter the course of the national economy over the medium term”. Inflation remains stubbornly elusive at less than the Fed’s 2% target. Fed Chair Yellen, along with many of her colleagues, expressed confidence that the recent slowdown is temporary and the Fed would stick to its agenda. The Fed began reducing its $4.5 trillion balance sheet in October. The plan is to pare back by $10 billion per month and gradually raise the amount in the months to come until reaching $50 billion. Finally, on November 2, President Trump nominated Jerome Powell to succeed Janet Yellen as the Federal Reserve’s next chairman. Mr. Powell, should he be confirmed, is expected to stay the course on monetary policy.
While a more normalized economy will have expansions and decelerations, the likelihood of a U.S. recession over the next two years is below historical norms, albeit increasing. However, the risk of policy errors with the new administration is greater, e.g., North Korea, the “One” China policy, etc. The only one of ten leading economic indicators issuing a caution sign is the rising Fed Funds Rate. The Conference Board U.S. Leading Economic Indicator (LEI) of ten economic indicators is at an all-time high. According to research from Evercore ISI, historically, when the LEI hits a cycle high, recessions follow four to eight years later. While four years is too far to look out, even within a Fed tightening cycle, the next 1-2 years holds a diminished chance of a recession and a major market correction knowing what we know today.
In our opinion, a conservative assumption of three to four additional hikes of 25 bps (including this December) through 2018 and the Fed balance sheet reduction (which is a de facto tightening) still leaves the targeted Fed Funds Rate below the “new” equilibrium of 2.5-3.0%. We will be carefully monitoring each Federal Reserve move to ascertain any constriction of economic forces. The Committee is paying close attention to the lack of inflation. While Dr. Yellen mentioned that she expected prices to rise, she stated that persistent weakness could lead the Fed to be more cautious and raise rates more slowly. For now, the U.S. yield curve is still positively sloped, especially for the 0 to 2 year portion, indicating bond investors believe GDP will continue to expand over the near term. Recent Fed and administrative announcements have increased the slope positively over the last month. Energy prices at still less than half the cycle peak represent real economic savings to consumers and industries.
17
TCW Relative Value Dividend Appreciation Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception Fund | Inception Index | |||||||||||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||||||||||
Class I (Inception: 10/29/2004) | 15.69 | % | 6.73 | % | 12.38 | % | 5.72 | % | 7.45 | % | 7.92 | % | ||||||||||||
Class N (Inception: 9/19/1986) | 15.46 | % | 6.47 | % | 12.10 | % | 5.43 | % | 9.25 | % | 10.34 | % | ||||||||||||
Russell 1000 Value Index | 17.78 | % | 7.99 | % | 13.48 | % | 5.99 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
18
TCW Relative Value Large Cap Fund
Management Discussions
For the year ended October 31, 2017, the TCW Relative Value Large Cap Fund (the “Fund”) posted a return of 21.55% and 21.27% 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 17.78% over the same period.
Fund Review
The Fund’s top ten conviction-weighted holdings were the best performers of the Fund returning +34.4%, on average, led by Information Technology (IT) names such as Cypress Semiconductor, Microsoft and Corning, and Financials companies such as Citigroup and JP Morgan Chase. Other IT names — Western Digital, Micron Technology, Applied Materials, and ON Semiconductor — also contributed to the Fund’s overall return. The Fund also benefited from its investments in Real Estate and Consumer Staples holdings with solid gains from Jones Lang LaSalle and Sysco. Other positive performers included Industrial names Terex and Textron; Dana and Lennar in Consumer Discretionary; and Anthem, Cigna, and Centene in Healthcare. On the downside, the portfolio’s Energy names were the biggest detractors due in large part to Baker Hughes, Nabors Industries, and Newfield Exploration. Sealed Air and Freeport-McMoRan were largely responsible for the loss suffered in Materials while AES lagged in Utilities. Other notable detractors included JC Penney in Consumer Discretionary, General Electric in Industrials, and Healthcare names Merck, Gilead, and Cardinal Health. Nabors Industries and JC Penney were completely sold after fundamental reviews, while slices were added to Cardinal Health, General Electric, and Merck after their respective fundamental reviews.
Market Outlook
Both the House and Senate have passed their own tax cut plans which would lower the corporate tax rate to 20% from the existing 35% level. Purported comments from Gary Cohn and Pat Toomey suggest the rate may level out at 22% to “make the math work”. Regardless, a corporate tax cut to 20-25% would increase S&P 500 earnings by 5-10% per year, on average. Current deductible items such as state and local taxes (SALT), the alternative minimum tax (AMT), and the mortgage interest deduction remain items of contention. What waits to be determined is whether the corporate tax cut will be a 2018 or 2019 event.
The robust labor market has helped keep Americans upbeat about the U.S. economy. Americans continue to poll optimistic about the economy as reflected by the Conference Board Consumer Confidence (highest level since December 2000) while the National Federation of Independent Business (NFIB) Optimism Index is near its highest level since 2005. These reports are consistent with the University of Michigan Consumer Sentiment Index and Bloomberg Consumer Comfort Index close to their highest levels in over ten years. U.S. consumers’ assessment of the labor market has become more positive with the index near its highest level since June 2001. With steady monthly job gains year-to-date (aside from the anomalous September report affected by Hurricanes Harvey, Irma, and Maria), the unemployment rate has declined to 4.1%, the U-6 underemployment remains near its lowest level since 2006, and initial jobless (four-week moving average) claims are at lows not seen since the 1970s. Wages are outpacing inflation with average hourly earnings up 2.5% year-over-year as of November 30.
The Fed’s recent statement, along with market sentiment, signals a rate increase is highly likely in mid-December, and there appears to be a large consensus for at least two additional hikes in 2018. The message from previous statements that “economic conditions will evolve in a manner that will warrant
19
TCW Relative Value Large Cap Fund
Management Discussions (Continued)
gradual increases in the federal funds rate” was repeated. Additionally, the Committee noted the economy has been rising at a solid rate and that “past experience suggests that the storms are unlikely to materially alter the course of the national economy over the medium term”. Inflation remains stubbornly elusive at less than the Fed’s 2% target. Fed Chair Yellen, along with many of her colleagues, expressed confidence that the recent slowdown is temporary and the Fed would stick to its agenda. The Fed began reducing its $4.5 trillion balance sheet in October. The plan is to pare back by $10 billion per month and gradually raise the amount in the months to come until reaching $50 billion. Finally, on November 2, President Trump nominated Jerome Powell to succeed Janet Yellen as the Federal Reserve’s next chairman. Mr. Powell, should he be confirmed, is expected to stay the course on monetary policy.
While a more normalized economy will have expansions and decelerations, the likelihood of a U.S. recession over the next two years is below historical norms, albeit increasing. However, the risk of policy errors with the new administration is greater, e.g., North Korea, the “One” China policy, etc. The only one of ten leading economic indicators issuing a caution sign is the rising Fed Funds Rate. The Conference Board U.S. Leading Economic Indicator (LEI) of ten economic indicators is at an all-time high. According to research from Evercore ISI, historically, when the LEI hits a cycle high, recessions follow four to eight years later. While four years is too far to look out, even within a Fed tightening cycle, the next 1-2 years holds a diminished chance of a recession and a major market correction knowing what we know today.
In our opinion, a conservative assumption of three to four additional hikes of 25 bps (including this December) through 2018 and the Fed balance sheet reduction (which is a de facto tightening) still leaves the targeted Fed Funds Rate below the “new” equilibrium of 2.5-3.0%. We will be carefully monitoring each Federal Reserve move to ascertain any constriction of economic forces. The Committee is paying close attention to the lack of inflation. While Dr. Yellen mentioned that she expected prices to rise, she stated that persistent weakness could lead the Fed to be more cautious and raise rates more slowly. For now, the U.S. yield curve is still positively sloped, especially for the 0 to 2 year portion, indicating bond investors believe GDP will continue to expand over the near term. Recent Fed and administrative announcements have increased the slope positively over the last month. Energy prices at still less than half the cycle peak represent real economic savings to consumers and industries.
20
TCW Relative Value Large Cap Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception | Inception Index | |||||||||||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||||||||||
Class I (Inception: 12/31/2003) | 21.55 | % | 7.83 | % | 13.69 | % | 6.23 | % | 7.99 | % | 7.98 | % | ||||||||||||
Class N (Inception: 12/31/1997) | 21.27 | % | 7.56 | % | 13.41 | % | 6.01 | % | 6.65 | % | 7.21 | % | ||||||||||||
Russell 1000 Value Index | 17.78 | % | 7.99 | % | 13.48 | % | 5.99 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
21
TCW Relative Value Mid Cap Fund
Management Discussions
For the year ended October 31, 2017, the TCW Relative Value Mid Cap Fund (the “Fund”) posted a return of 30.40% and 30.15% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell Midcap Value Index, returned 17.12% over the same period.
Fund Review
The Fund’s top ten conviction-weighted holdings performed well returning +49.5%, on average, led by Manitowoc, Toll Brothers, Cypress Semiconductor, and Synovus Financial. The Fund benefited significantly from its Industrials names led by very strong returns from Manitowoc and Terex. Its Information Technology stocks also performed admirably led by Western Digital, Cypress Semiconductor, Micron Technology, and ON Semiconductor. The Fund also achieved solid outperformance with its Health Care stocks led by Quest Diagnostics, Cigna, and Centene as well as with its Financials names with robust gains from E*TRADE, Evercore, Synovus Financial, and KeyCorp. Other notable contributors included homebuilders KB Home, Toll Brothers, Beazer Homes, DR Horton, and Lennar, along with Dana, Newpark Resources, and Commercial Metals. On the downside, the Fund’s Materials names detracted largely due to Sealed Air and Freeport-McMoRan, while AES was mostly responsible for the loss experienced in Utilities. Other notable detractors included JC Penney, Nabors Industries, Newfield Exploration, Popular, Kimco Realty, and Acadia Healthcare. After fundamental reviews, both JC Penney and Nabors Industries were eliminated from the portfolio.
Market Outlook
Both the House and Senate have passed their own tax cut plans which would lower the corporate tax rate to 20% from the existing 35% level. Purported comments from Gary Cohn and Pat Toomey suggest the rate may level out at 22% to “make the math work”. Regardless, a corporate tax cut to 20-25% would increase S&P 500 earnings by 5-10% per year, on average. Current deductible items such as state and local taxes (SALT), the alternative minimum tax (AMT), and the mortgage interest deduction remain items of contention. What waits to be determined is whether the corporate tax cut will be a 2018 or 2019 event.
The robust labor market has helped keep Americans upbeat about the U.S. economy. Americans continue to poll optimistic about the economy as reflected by the Conference Board Consumer Confidence (highest level since December 2000) while the National Federation of Independent Business (NFIB) Optimism Index is near its highest level since 2005. These reports are consistent with the University of Michigan Consumer Sentiment Index and Bloomberg Consumer Comfort Index close to their highest levels in over ten years. U.S. consumers’ assessment of the labor market has become more positive with the index near its highest level since June 2001. With steady monthly job gains year-to-date (aside from the anomalous September report affected by Hurricanes Harvey, Irma, and Maria), the unemployment rate has declined to 4.1%, the U-6 underemployment remains near its lowest level since 2006, and initial jobless (four-week moving average) claims are at lows not seen since the 1970s. Wages are outpacing inflation with average hourly earnings up 2.5% year-over-year as of November 30.
The Fed’s recent statement, along with market sentiment, signals a rate increase is highly likely in mid-December, and there appears to be a large consensus for at least two additional hikes in 2018. The message from previous statements that “economic conditions will evolve in a manner that will warrant gradual increases in the federal funds rate” was repeated. Additionally, the Committee noted the economy
22
TCW Relative Value Mid Cap Fund
Management Discussions (Continued)
has been rising at a solid rate and that “past experience suggests that the storms are unlikely to materially alter the course of the national economy over the medium term”. Inflation remains stubbornly elusive at less than the Fed’s 2% target. Fed Chair Yellen, along with many of her colleagues, expressed confidence that the recent slowdown is temporary and the Fed would stick to its agenda. The Fed began reducing its $4.5 trillion balance sheet in October. The plan is to pare back by $10 billion per month and gradually raise the amount in the months to come until reaching $50 billion. Finally, on November 2, President Trump nominated Jerome Powell to succeed Janet Yellen as the Federal Reserve’s next chairman. Mr. Powell, should he be confirmed, is expected to stay the course on monetary policy.
While a more normalized economy will have expansions and decelerations, the likelihood of a U.S. recession over the next two years is below historical norms, albeit increasing. However, the risk of policy errors with the new administration is greater, e.g., North Korea, the “One” China policy, etc. The only one of ten leading economic indicators issuing a caution sign is the rising Fed Funds Rate. The Conference Board U.S. Leading Economic Indicator (LEI) of ten economic indicators is at an all-time high. According to research from Evercore ISI, historically, when the LEI hits a cycle high, recessions follow four to eight years later. While four years is too far to look out, even within a Fed tightening cycle, the next 1-2 years holds a diminished chance of a recession and a major market correction knowing what we know today.
In our opinion, a conservative assumption of three to four additional hikes of 25 bps (including this December) through 2018 and the Fed balance sheet reduction (which is a de facto tightening) still leaves the targeted Fed Funds Rate below the “new” equilibrium of 2.5-3.0%. We will be carefully monitoring each Federal Reserve move to ascertain any constriction of economic forces. The Committee is paying close attention to the lack of inflation. While Dr. Yellen mentioned that she expected prices to rise, she stated that persistent weakness could lead the Fed to be more cautious and raise rates more slowly. For now, the U.S. yield curve is still positively sloped, especially for the 0 to 2 year portion, indicating bond investors believe GDP will continue to expand over the near term. Recent Fed and administrative announcements have increased the slope positively over the last month. Energy prices at still less than half the cycle peak represent real economic savings to consumers and industries.
23
TCW Relative Value Mid Cap Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception | Inception Index | |||||||||||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||||||||||
Class I (Inception: 11/1/1996) | 30.40 | % | 8.81 | % | 13.79 | % | 6.81 | % | 10.86 | %(2) | 10.77 | % | ||||||||||||
Class N (Inception: 10/31/2000) | 30.15 | % | 8.58 | % | 13.52 | % | 6.51 | % | 8.40 | % | 10.14 | % | ||||||||||||
Russell Midcap Value Index | 17.12 | % | 8.26 | % | 14.49 | % | 7.90 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
24
TCW Select Equities Fund
Management Discussions
For the year ended October 31, 2017, the TCW Select Equities Fund (the “Fund”) returned 24.47% and 24.20% 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, Russell 1000 Growth Index, returned 29.71% over the same period.
Fiscal 2017 began with the S&P 500 finishing the month of October at modestly lower levels. November, however, brought a market rally with Donald Trump’s upset victory over Hillary Clinton to become the 45th President of the United States. While little was known of the policy views of Trump’s economic team, the prospects for tax cuts and the end of secular stagnation (U.S. economy has not produced real growth >3% since 2005) drove the stock market to all-time highs as we finished the calendar year. Driven by firming economic data and increasing consumer confidence, U.S. equity markets moved higher during the first quarter. The Federal Reserve Bank of Philadelphia manufacturing survey jumped to its highest level since 1984, jobless claims remained low and the unemployment rate continued to drop. As expected, the Fed raised rates another 25 basis points (bps) but commentary remained somewhat dovish. President Trump’s major goal of replacing Obamacare failed in the House of Representatives and focus turned to efforts for comprehensive tax reform. GDP in the U.S. increased a scant +1.2% during 1Q but the market continued to rally. By May, the unemployment rate had dropped to 4.3%, giving credence to the belief the U.S. is near “full employment.” Once again, the Fed raised short-term rates by 25bps in June and issued plans to reduce the size of its ~$4.5 trillion balance sheet. June brought the one-year anniversary of when the British voted to exit the EU (“Brexit”) and the last time the stock market had pulled back 5% or more. Economic data remained supportive throughout the fall and summer and the stock market remained near all-time highs. As the fiscal year ended, focus turned to whether meaningful tax reforms could be passed in a long-awaited effort to pass the baton from monetary to fiscal stimulus.
Net of expenses, the Fund underperformed for the year primarily as a result of negative security selection, particularly in the healthcare sector. Our biggest stock detractor during the year was CVS Health Corporation (CVS). The stock underperformed due to the loss of a handful of marquee contracts in its PBM business and weak same-store-sales in its retail business. Additionally, it appears Amazon.com, Inc. (AMZN) may enter the pharmacy market, potentially disrupting CVS’ highest dollar business segment. As such, we elected to exit our position in CVS. Shares of Celgene Corporation (CELG) underperformed after the company announced the failure of a GED-301 clinical trial and lowered its 2020 financial targets. IP-related concerns around Revlimid, Celgene’s marquee product, have also been increasing as has the ability of Celgene to fill the hole left by its ultimate loss of exclusivity.
Our biggest stock contributors during the year came from the information technology sector. Mobileye N.V. (MBLY) jumped after Intel announced its intention to acquire MBLY for total enterprise value consideration of $14.7B. We initiated our MBLY position in January 2015 given our view that the current share price did not adequately reflect the company’s technological lead versus its competitors, asset light and highly scalable business model, and disruptive cost proposition in a rapidly growing addressable market that we believed was (and is) still in its infancy. PayPal Holdings, Inc. (PYPL) moved higher due to the company’s focus and progress on improving and growing its core “Pay with PayPal” checkout button, partnership announcements and a series of strong quarterly earnings reports.
25
TCW Select Equities Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||||||||||
1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception Fund | Inception Index | |||||||||||||||||||
TCW Select Equities Fund | ||||||||||||||||||||||||
Class I (Inception: 7/1/1991) | 24.47 | % | 10.42 | % | 13.77 | % | 8.39 | % | 10.03 | %(2) | 9.43 | % | ||||||||||||
Class N (Inception: 2/26/1999) | 24.20 | % | 10.14 | % | 13.47 | % | 8.09 | % | 6.03 | % | 5.23 | % | ||||||||||||
Russell 1000 Growth Index | 29.71 | % | 13.15 | % | 16.83 | % | 9.13 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distribution or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
26
TCW Artificial Intelligence Equity Fund
October 31, 2017 |
Issues | Shares | Value | ||||||
COMMON STOCK — 97.2% OF NET ASSETS |
| |||||||
Auto Components — 3.9% | ||||||||
Delphi Automotive PLC | 242 | $ | 24,050 | |||||
Visteon Corp. (1) | 188 | 23,695 | ||||||
|
| |||||||
47,745 | ||||||||
|
| |||||||
Automobiles — 2.4% | ||||||||
Tesla Inc. (1) | 89 | 29,506 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.4% | ||||||||
KAR Auction Services, Inc. | 367 | 17,370 | ||||||
|
| |||||||
Communications Equipment — 4.0% | ||||||||
Arista Networks, Inc. (1) | 131 | 26,186 | ||||||
Ciena Corp. (1) | 592 | 12,592 | ||||||
Nokia OYJ (SP ADR) (Finland) | 1,998 | 9,770 | ||||||
|
| |||||||
48,548 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.7% | ||||||||
Zayo Group Holdings, Inc. (1) | 573 | 20,662 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.2% | ||||||||
Cognex Corp. | 175 | 21,551 | ||||||
Corning, Inc. | 589 | 18,442 | ||||||
Zebra Technologies Corp. (1) | 97 | 11,251 | ||||||
|
| |||||||
51,244 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.0% | ||||||||
Intuitive Surgical, Inc. (1) | 66 | 24,774 | ||||||
|
| |||||||
Health Care Providers & Services — 1.5% | ||||||||
UnitedHealth Group, Inc. | 85 | 17,869 | ||||||
|
| |||||||
Health Care Technology — 0.7% | ||||||||
Veeva Systems, Inc. (1) | 151 | 9,202 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% | ||||||||
Domino’s Pizza, Inc. | 66 | 12,078 | ||||||
|
| |||||||
Internet & Catalog Retail — 2.7% | ||||||||
Amazon.com, Inc. (1) | 30 | 33,158 | ||||||
|
| |||||||
Internet Software & Services — 14.0% | ||||||||
Alibaba Group Holding, Ltd. (SP ADR) (China) (1) | 69 | 12,757 | ||||||
Alphabet, Inc. (1) | 24 | 24,793 | ||||||
Equinix, Inc. | 51 | 23,638 | ||||||
Facebook, Inc. (1) | 205 | 36,912 | ||||||
Hortonworks, Inc. (1) | 739 | 12,201 | ||||||
Mimecast, Ltd. (1) | 349 | 11,095 | ||||||
Tencent Holdings, Ltd. | 377 | 16,984 | ||||||
Twitter, Inc. (1) | 832 | 17,156 | ||||||
Yelp, Inc. (1) | 354 | 16,539 | ||||||
|
| |||||||
172,075 | ||||||||
|
|
Issues | Shares | Value | ||||||
IT Services — 9.0% | ||||||||
Accenture PLC | 173 | $ | 24,628 | |||||
EPAM Systems, Inc. (1) | 179 | 16,316 | ||||||
Gartner, Inc. (1) | 124 | 15,539 | ||||||
International Business Machines Corp. | 118 | 18,179 | ||||||
Switch, Inc. (1) | 479 | 9,163 | ||||||
Visa, Inc. | 243 | 26,725 | ||||||
|
| |||||||
110,550 | ||||||||
|
| |||||||
REIT — 5.5% | ||||||||
American Tower Corp. | 226 | 32,470 | ||||||
CoreSite Realty Corp. | 76 | 8,417 | ||||||
Crown Castle International Corp. | 251 | 26,877 | ||||||
|
| |||||||
67,764 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 19.5% | ||||||||
Broadcom, Ltd. | 122 | 32,197 | ||||||
Cypress Semiconductor Corp. | 1,160 | 18,398 | ||||||
Inphi Corp. (1) | 415 | 17,007 | ||||||
Intel Corp. | 570 | 25,929 | ||||||
Micron Technology, Inc. (1) | 908 | 40,233 | ||||||
NVIDIA Corp. | 219 | 45,291 | ||||||
ON Semiconductor Corp. (1) | 1,287 | 27,439 | ||||||
Silicon Laboratories, Inc. (1) | 214 | 20,309 | ||||||
Teradyne, Inc. | 299 | 12,824 | ||||||
|
| |||||||
239,627 | ||||||||
|
| |||||||
Software — 21.1% | ||||||||
Adobe Systems, Inc. (1) | 191 | 33,456 | ||||||
Microsoft Corp. | 412 | 34,270 | ||||||
Nuance Communications, Inc. (1) | 1,238 | 18,248 | ||||||
Oracle Corp. | 381 | 19,393 | ||||||
Pegasystems, Inc. | 197 | 11,485 | ||||||
Proofpoint, Inc. (1) | 110 | 10,165 | ||||||
Salesforce.com, Inc. (1) | 301 | 30,804 | ||||||
ServiceNow, Inc. (1) | 249 | 31,466 | ||||||
Splunk, Inc. (1) | 407 | 27,391 | ||||||
Tableau Software, Inc. (1) | 193 | 15,651 | ||||||
Take-Two Interactive Software, Inc. (1) | 234 | 25,892 | ||||||
|
| |||||||
258,221 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.6% | ||||||||
Apple, Inc. | 132 | 22,313 | ||||||
Western Digital Corp. | 104 | 9,284 | ||||||
|
| |||||||
31,597 | ||||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $1,108,889) | 1,191,990 | |||||||
|
| |||||||
See accompanying notes to financial statements.
27
TCW Artificial Intelligence Equity Fund
Schedule of Investments (Continued)
Issues | Shares | Value | ||||||
MONEY MARKET INVESTMENTS — 2.8% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (2) | 34,792 | $ | 34,792 | |||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $34,792) | 34,792 | |||||||
|
| |||||||
Total Investments (100.0%) |
| |||||||
(Cost: $1,143,681) | 1,226,782 | |||||||
Liabilities in Excess of Other Assets (0.0%) |
| (165 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 1,226,617 | |||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
SP ADR - | Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
REIT - | Real Estate Investment Trust |
See accompanying notes to financial statements.
28
TCW Artificial Intelligence Equity Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Auto Components | 3.9 | % | ||
Automobiles | 2.4 | |||
Commercial Services & Supplies | 1.4 | |||
Communications Equipment | 4.0 | |||
Diversified Telecommunication Services | 1.7 | |||
Electronic Equipment, Instruments & Components | 4.2 | |||
Health Care Equipment & Supplies | 2.0 | |||
Health Care Providers & Services | 1.5 | |||
Health Care Technology | 0.7 | |||
Hotels, Restaurants & Leisure | 1.0 | |||
Internet & Catalog Retail | 2.7 | |||
Internet Software & Services | 14.0 | |||
IT Services | 9.0 | |||
REIT | 5.5 | |||
Semiconductors & Semiconductor Equipment | 19.5 | |||
Software | 21.1 | |||
Technology Hardware, Storage & Peripherals | 2.6 | |||
Money Market Investments | 2.8 | |||
|
| |||
Total | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
29
TCW Artificial Intelligence Equity Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Auto Components | $ | 47,745 | $ | — | $ | — | $ | 47,745 | ||||||||
Automobiles | 29,506 | — | — | 29,506 | ||||||||||||
Commercial Services & Supplies | 17,370 | — | — | 17,370 | ||||||||||||
Communications Equipment | 48,548 | — | — | 48,548 | ||||||||||||
Diversified Telecommunication Services | 20,662 | — | — | 20,662 | ||||||||||||
Electronic Equipment, Instruments & Components | 51,244 | — | — | 51,244 | ||||||||||||
Health Care Equipment & Supplies | 24,774 | — | — | 24,774 | ||||||||||||
Health Care Providers & Services | 17,869 | — | — | 17,869 | ||||||||||||
Health Care Technology | 9,202 | — | — | 9,202 | ||||||||||||
Hotels, Restaurants & Leisure | 12,078 | — | — | 12,078 | ||||||||||||
Internet & Catalog Retail | 33,158 | — | — | 33,158 | ||||||||||||
Internet Software & Services | 172,075 | — | — | 172,075 | ||||||||||||
IT Services | 110,550 | — | — | 110,550 | ||||||||||||
REIT | 67,764 | — | — | 67,764 | ||||||||||||
Semiconductors & Semiconductor Equipment | 239,627 | — | — | 239,627 | ||||||||||||
Software | 258,221 | — | — | 258,221 | ||||||||||||
Technology Hardware, Storage & Peripherals | 31,597 | — | — | 31,597 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 1,191,990 | — | — | 1,191,990 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 34,792 | — | — | 34,792 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,226,782 | $ | — | $ | — | $ | 1,226,782 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
30
TCW Conservative Allocation Fund
Schedule of Investments | October 31, 2017 |
Issues | Shares | Value | ||||||
EXCHANGE-TRADED FUNDS — 4.5% OF NET ASSETS | ||||||||
iShares MSCI EAFE Index Fund | 11,160 | $ | 777,071 | |||||
SPDR Gold Shares (1) | 5,075 | 612,400 | ||||||
|
| |||||||
Total Exchange-traded Funds |
| |||||||
(Cost: $1,334,076) | 1,389,471 | |||||||
|
| |||||||
INVESTMENT COMPANIES — 92.6% |
| |||||||
Diversified Equity Funds — 36.3% | ||||||||
TCW / Gargoyle Dynamic 500 Fund — I Class (2) | 219,576 | 2,555,865 | ||||||
TCW / Gargoyle Hedged Value Fund — I Class (2) | 89,500 | 858,305 | ||||||
TCW New America Premier Equities Fund — I Class (2) | 186,010 | 2,834,799 | ||||||
TCW Relative Value Large Cap Fund — I Class (2) | 131,192 | 3,187,960 | ||||||
TCW Select Equities Fund — I Class (2) | 55,574 | 1,690,555 | ||||||
|
| |||||||
11,127,484 | ||||||||
|
| |||||||
Diversified Fixed Income Funds — 56.3% | ||||||||
Metropolitan West Low Duration Bond Fund — I Class (2) | 335,334 | 2,924,116 | ||||||
Metropolitan West Total Return Bond Fund — I Class (2) | 376,987 | 4,018,685 |
Issues | Shares | Value | ||||||
Diversified Fixed Income Funds (Continued) | ||||||||
Metropolitan West Unconstrained Bond Fund — I Class (2) | 492,357 | $ | 5,898,438 | |||||
TCW Global Bond Fund — I Class (2) | 72,203 | 703,980 | ||||||
TCW Total Return Bond Fund — I Class (2) | 374,014 | 3,732,662 | ||||||
|
| |||||||
17,277,881 | ||||||||
|
| |||||||
Total Investment Companies | ||||||||
(Cost: $25,580,769) | 28,405,365 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 3.1% |
| |||||||
Fidelity Institutional Government Portfolio — Select Class, 0.87% (3) | 829,604 | 829,604 | ||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (3) | 108,450 | 108,450 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $938,054) | 938,054 | |||||||
|
| |||||||
Total Investments (100.2%) |
| |||||||
(Cost: $27,852,899) | 30,732,890 | |||||||
Liabilities in Excess of Other Assets (-0.2%) |
| (56,542 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 30,676,348 | |||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Affiliated issuer. |
(3) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
See accompanying notes to financial statements.
31
TCW Conservative Allocation Fund
Schedule of Investments (Continued)
The summary of the TCW Conservative Allocation Fund transactions in the affiliated funds for the year ended October 31, 2017 is as follows:
Name of | Value at October 31, 2016 (In Thousands) | Purchases at Cost (In Thousands) | Proceeds from Sales (In Thousands) | Number of Shares Held October 31, 2017 | Value at October 31, 2017 (In Thousands) | Dividends and Interest Income Received (In Thousands) | Distributions Received from Net Realized Gain (In Thousands) | Net Realized Gain/(Loss) on Investments (In Thousands) | Net Change in Unrealized Gain/(Loss) on Investments (In Thousands) | |||||||||||||||||||||||||||||
Metropolitan West Low Duration Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
$ | 3,104 | 143 | (312 | ) | 335,334 | $ | 2,924 | $ | 44 | $ | 5 | $ | (1 | ) | $ | (9 | ) | |||||||||||||||||||||
Metropolitan West Total Return Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
4,280 | 269 | (424 | ) | 376,987 | 4,019 | 84 | 57 | (9 | ) | (98 | ) | |||||||||||||||||||||||||||
Metropolitan West Unconstrained Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
— | 6,165 | (331 | ) | 492,357 | 5,898 | 110 | — | 1 | 63 | |||||||||||||||||||||||||||||
TCW / Gargoyle Dynamic 500 Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
— | 2,503 | (196 | ) | 219,576 | 2,556 | 10 | 8 | 5 | 244 | |||||||||||||||||||||||||||||
TCW / Gargoyle Hedged Value Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
1,707 | 76 | (1,056 | ) | 89,500 | 858 | 21 | — | 106 | 26 | |||||||||||||||||||||||||||||
TCW Global Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
749 | 40 | (74 | ) | 72,203 | 704 | 12 | 5 | (3 | ) | (7 | ) | |||||||||||||||||||||||||||
TCW Global Real Estate Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
1,137 | — | (1,119 | ) | — | — | — | — | (114 | ) | 96 | ||||||||||||||||||||||||||||
TCW High Dividend Equities Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
3,136 | 59 | (3,256 | ) | — | — | 20 | — | (127 | ) | 187 | ||||||||||||||||||||||||||||
TCW International Growth Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
759 | 30 | (870 | ) | — | — | 6 | — | 88 | (7 | ) | ||||||||||||||||||||||||||||
TCW New America Premier Equities Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
— | 2,402 | (182 | ) | 186,010 | 2,835 | 7 | 23 | 6 | 609 | |||||||||||||||||||||||||||||
TCW Relative Value Large Cap Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
2,656 | 1,219 | (991 | ) | 131,192 | 3,188 | 35 | 95 | 194 | 110 | |||||||||||||||||||||||||||||
TCW Select Equities Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
2,510 | 464 | (1,545 | ) | 55,574 | 1,690 | — | 102 | 560 | (298 | ) | ||||||||||||||||||||||||||||
TCW Total Return Bond Fund—I Class |
| |||||||||||||||||||||||||||||||||||||
10,283 | 420 | (6,553 | ) | 374,014 | 3,733 | 134 | 153 | (119 | ) | (299 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total | $ | 28,405 | $ | 483 | $ | 448 | $ | 587 | $ | 617 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
32
TCW Conservative Allocation Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Diversified Fixed Income Funds | 56.3 | % | ||
Diversified Equity Funds | 36.3 | |||
Exchange-Traded Funds | 4.5 | |||
Money Market Investments | 3.1 | |||
|
| |||
Total | 100.2 | % | ||
|
|
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Exchange-Traded Funds | $ | 1,389,471 | $ | — | $ | — | $ | 1,389,471 | ||||||||
Investment Companies | 28,405,365 | 28,405,365 | ||||||||||||||
Money Market Investments | 938,054 | — | — | 938,054 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 30,732,890 | $ | — | $ | — | $ | 30,732,890 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
33
Schedule of Investments | October 31, 2017 |
Issues | Shares | Value | ||||||
COMMON STOCK — 97.7% OF NET ASSETS |
| |||||||
Aerospace & Defense — 2.4% | ||||||||
Honeywell International, Inc. | 1,640 | $ | 236,422 | |||||
|
| |||||||
Banks — 14.0% | ||||||||
JPMorgan Chase & Co. | 2,810 | 282,714 | ||||||
M&T Bank Corp. | 1,980 | 330,204 | ||||||
US Bancorp | 4,855 | 264,015 | ||||||
Wells Fargo & Co. | 8,435 | 473,541 | ||||||
|
| |||||||
1,350,474 | ||||||||
|
| |||||||
Beverages — 3.1% | ||||||||
Anheuser-Busch InBev NV (SP ADR) (Belgium) | 2,430 | 298,355 | ||||||
|
| |||||||
Biotechnology — 6.0% | ||||||||
Amgen, Inc. | 1,520 | 266,334 | ||||||
Celgene Corp. (1) | 3,150 | 318,056 | ||||||
|
| |||||||
584,390 | ||||||||
|
| |||||||
Capital Markets — 2.8% | ||||||||
Goldman Sachs Group, Inc. (The) | 1,130 | 274,002 | ||||||
|
| |||||||
Chemicals — 10.8% | ||||||||
Air Products & Chemicals, Inc. | 2,055 | 327,629 | ||||||
Ecolab, Inc. | 2,275 | 297,251 | ||||||
Potash Corp. of Saskatchewan, Inc. (Canada) | 11,330 | 220,595 | ||||||
Praxair, Inc. | 1,380 | 201,646 | ||||||
|
| |||||||
1,047,121 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.0% | ||||||||
Schlumberger, Ltd. (Netherlands) | 1,495 | 95,680 | ||||||
|
| |||||||
Food & Staples Retailing — 1.8% | ||||||||
CVS Health Corp. | 2,605 | 178,521 | ||||||
|
| |||||||
Food Products — 1.9% | ||||||||
Mondelez International, Inc. | 4,385 | 181,671 | ||||||
|
| |||||||
Health Care Providers & Services — 4.7% | ||||||||
McKesson Corp. | 1,570 | 216,471 | ||||||
UnitedHealth Group, Inc. | 1,145 | 240,702 | ||||||
|
| |||||||
457,173 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 5.9% | ||||||||
Las Vegas Sands Corp. | 4,865 | 308,344 | ||||||
Starbucks Corp. | 4,760 | 261,038 | ||||||
|
| |||||||
569,382 | ||||||||
|
| |||||||
Industrial Conglomerates — 5.6% | ||||||||
Danaher Corp. | 3,605 | 332,633 | ||||||
Roper Technologies, Inc. | 810 | 209,118 | ||||||
|
| |||||||
541,751 | ||||||||
|
| |||||||
Insurance — 1.5% | ||||||||
Chubb, Ltd. (Switzerland) | 940 | 141,771 | ||||||
|
| |||||||
Internet Software & Services — 3.5% | ||||||||
Alphabet, Inc. — Class C (1) | 335 | 340,574 | ||||||
|
|
Issues | Shares | Value | ||||||
Machinery — 3.3% | ||||||||
IDEX Corp. | 2,460 | $ | 315,397 | |||||
|
| |||||||
Multiline Retail — 3.0% | ||||||||
Dollar Tree, Inc. (1) | 3,195 | 291,544 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 7.1% | ||||||||
Devon Energy Corp. | 7,615 | 280,993 | ||||||
EOG Resources, Inc. | 4,080 | 407,470 | ||||||
|
| |||||||
688,463 | ||||||||
|
| |||||||
Pharmaceuticals — 7.4% | ||||||||
AbbVie, Inc. | 1,290 | 116,423 | ||||||
Allergan plc (Ireland) | 1,802 | 319,368 | ||||||
Eli Lilly & Co. | 3,455 | 283,103 | ||||||
|
| |||||||
718,894 | ||||||||
|
| |||||||
Road & Rail — 4.0% | ||||||||
Union Pacific Corp. | 3,315 | 383,844 | ||||||
|
| |||||||
Software — 5.1% | ||||||||
Adobe Systems, Inc. (1) | 2,845 | 498,330 | ||||||
|
| |||||||
Specialty Retail — 0.9% | ||||||||
Advance Auto Parts, Inc. | 1,040 | 85,010 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.9% | ||||||||
PVH Corp. | 1,415 | 179,436 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $7,574,390) |
| 9,458,205 | ||||||
|
| |||||||
MASTER LIMITED PARTNERSHIP — 2.1% |
| |||||||
Oil, Gas & Consumable Fuels — 2.1% | ||||||||
EQT Midstream Partners LP | 2,791 | 203,911 | ||||||
|
| |||||||
Total Master Limited Partnership |
| |||||||
(Cost: $196,652) |
| 203,911 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.2% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (2) | 19,862 | 19,862 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $19,862) |
| 19,862 | ||||||
|
| |||||||
Total Investments (100.0%) |
| |||||||
(Cost: $7,790,904) |
| 9,681,978 | ||||||
Liabilities in Excess of Other Assets (0.0%) |
| (1,746 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 9,680,232 | |||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
SP ADR - | Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
See accompanying notes to financial statements.
34
TCW Focused Equities Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.4 | % | ||
Banks | 14.0 | |||
Beverages | 3.1 | |||
Biotechnology | 6.0 | |||
Capital Markets | 2.8 | |||
Chemicals | 10.8 | |||
Energy Equipment & Services | 1.0 | |||
Food & Staples Retailing | 1.8 | |||
Food Products | 1.9 | |||
Health Care Providers & Services | 4.7 | |||
Hotels, Restaurants & Leisure | 5.9 | |||
Industrial Conglomerates | 5.6 | |||
Insurance | 1.5 | |||
Internet Software & Services | 3.5 | |||
Machinery | 3.3 | |||
Multiline Retail | 3.0 | |||
Oil, Gas & Consumable Fuels | 9.2 | |||
Pharmaceuticals | 7.4 | |||
Road & Rail | 4.0 | |||
Software | 5.1 | |||
Specialty Retail | 0.9 | |||
Textiles, Apparel & Luxury Goods | 1.9 | |||
Money Market Investments | 0.2 | |||
|
| |||
Total | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
35
TCW Focused Equities Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 236,422 | $ | — | $ | — | $ | 236,422 | ||||||||
Banks | 1,350,474 | — | — | 1,350,474 | ||||||||||||
Beverages | 298,355 | — | — | 298,355 | ||||||||||||
Biotechnology | 584,390 | — | — | 584,390 | ||||||||||||
Capital Markets | 274,002 | — | — | 274,002 | ||||||||||||
Chemicals | 1,047,121 | — | — | 1,047,121 | ||||||||||||
Energy Equipment & Services | 95,680 | — | — | 95,680 | ||||||||||||
Food & Staples Retailing | 178,521 | — | — | 178,521 | ||||||||||||
Food Products | 181,671 | — | — | 181,671 | ||||||||||||
Health Care Providers & Services | 457,173 | — | — | 457,173 | ||||||||||||
Hotels, Restaurants & Leisure | 569,382 | — | — | 569,382 | ||||||||||||
Industrial Conglomerates | 541,751 | — | — | 541,751 | ||||||||||||
Insurance | 141,771 | — | — | 141,771 | ||||||||||||
Internet Software & Services | 340,574 | — | — | 340,574 | ||||||||||||
Machinery | 315,397 | — | — | 315,397 | ||||||||||||
Multiline Retail | 291,544 | — | — | 291,544 | ||||||||||||
Oil, Gas & Consumable Fuels | 688,463 | — | — | 688,463 | ||||||||||||
Pharmaceuticals | 718,894 | — | — | 718,894 | ||||||||||||
Road & Rail | 383,844 | — | — | 383,844 | ||||||||||||
Software | 498,330 | — | — | 498,330 | ||||||||||||
Specialty Retail | 85,010 | — | — | 85,010 | ||||||||||||
Textiles, Apparel & Luxury Goods | 179,436 | — | — | 179,436 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 9,458,205 | — | — | 9,458,205 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Master Limited Partnership | ||||||||||||||||
Oil, Gas & Consumable Fuels | 203,911 | — | — | 203,911 | ||||||||||||
Money Market Investments | 19,862 | — | — | 19,862 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 9,681,978 | $ | — | $ | — | $ | 9,681,978 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
36
Schedule of Investments | October 31, 2017 |
Issues | Shares | Value | ||||||
COMMON STOCK — 97.6% OF NET ASSETS |
| |||||||
Australia — 4.5% | ||||||||
Goodman Group | 10,421 | $ | 66,939 | |||||
Scentre Group | 27,580 | 85,197 | ||||||
|
| |||||||
152,136 | ||||||||
|
| |||||||
China — 5.6% | ||||||||
Link REIT (The) | 10,332 | 86,860 | ||||||
China Overseas Land & Investment, Ltd. | 32,000 | 103,899 | ||||||
|
| |||||||
190,759 | ||||||||
|
| |||||||
France — 5.9% | ||||||||
Klepierre | 2,029 | 80,778 | ||||||
Unibail — Rodamco SE | 473 | 118,405 | ||||||
|
| |||||||
199,183 | ||||||||
|
| |||||||
Germany — 3.4% | ||||||||
Deutsche Wohnen SE | 2,659 | 113,816 | ||||||
|
| |||||||
Japan — 6.9% | ||||||||
Mitsubishi Estate Co., Ltd. | 4,000 | 72,586 | ||||||
Mitsui Fudosan Co., Ltd. | 2,000 | 46,712 | ||||||
Nippon Prologis REIT, Inc. | 55 | 115,720 | ||||||
|
| |||||||
235,018 | ||||||||
|
| |||||||
United Kingdom — 4.0% | ||||||||
Segro PLC | 19,016 | 137,258 | ||||||
|
| |||||||
United States — 67.3% | ||||||||
Invitation Homes, Inc. | 3,034 | 68,477 | ||||||
Rexford Industrial Realty, Inc. | 2,362 | 70,128 | ||||||
Starwood Waypoint Homes | 1,973 | 71,640 | ||||||
Weyerhaeuser Co. | 2,004 | 71,964 | ||||||
Kennedy-Wilson Holdings, Inc. | 6,518 | 126,775 | ||||||
Clipper Realty, Inc. | 8,665 | 94,189 | ||||||
Safety Income and Growth, Inc. | 3,285 | 59,031 | ||||||
Brixmor Property Group, Inc. | 4,603 | 80,414 | ||||||
Tier REIT, Inc. | 5,186 | 101,490 | ||||||
Equinix, Inc. | 183 | 84,821 |
Issues | Shares | Value | ||||||
United States (Continued) | ||||||||
Welltower, Inc. | 966 | $ | 64,683 | |||||
Seritage Growth Properties | 1,731 | 71,196 | ||||||
Colony NorthStar, Inc. | 8,987 | 110,360 | ||||||
AvalonBay Communities, Inc. | 415 | 75,252 | ||||||
Prologis, Inc. | 2,063 | 133,229 | ||||||
Public Storage | 400 | 82,900 | ||||||
Simon Property Group, Inc. | 672 | 104,382 | ||||||
Toll Brothers, Inc. | 2,712 | 124,861 | ||||||
Ventas, Inc. | 1,048 | 65,762 | ||||||
Digital Realty Trust, Inc. | 609 | 72,130 | ||||||
Equity Residential | 1,016 | 68,336 | ||||||
Gaming and Leisure Properties, Inc. | 1,913 | 69,901 | ||||||
Macerich Co. (The) | 1,203 | 65,684 | ||||||
American Tower Corp. | 1,029 | 147,836 | ||||||
DR Horton, Inc. | 2,964 | 131,038 | ||||||
Crown Castle International Corp. | 666 | 71,315 | ||||||
|
| |||||||
2,287,794 | ||||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $3,016,117) | 3,315,964 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 2.7% | ||||||||
State Street Institutional U.S. Government | ||||||||
Money Market Fund — Premier Class, | 92,091 | 92,091 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $92,091) | 92,091 | |||||||
|
| |||||||
Total Investments (100.3%) | ||||||||
(Cost: $3,108,208) | 3,408,055 | |||||||
Liabilities in Excess of Other Assets (-0.30%) | (9,495 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 3,398,560 | ||||||
|
|
Notes to the Schedule of Investments
(1) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
REIT - | Real Estate Investment Trust. |
See accompanying notes to financial statements.
37
TCW Global Real Estate Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Diversified Real Estate Activities | 3.5 | % | ||
Diversified REIT’s | 3.3 | |||
Health Care REIT’s | 3.8 | |||
Homebuilding | 7.5 | |||
Industrial REIT’s | 15.4 | |||
Office REIT’s | 3.0 | |||
Real Estate Development | 3.1 | |||
Real Estate Operating Companies | 7.1 | |||
Residential REIT’s | 11.1 | |||
Retail REIT’s | 20.4 | |||
Specialized REIT’s | 19.4 | |||
Money Market Investments | 2.7 | |||
|
| |||
Total | 100.3 | % | ||
|
|
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Diversified Real Estate Activities | $ | — | $ | 119,298 | $ | — | $ | 119,298 | ||||||||
Diversified REIT’s | 110,360 | — | — | 110,360 | ||||||||||||
Health Care REIT’s | 130,445 | — | — | 130,445 | ||||||||||||
Homebuilding | 255,899 | — | — | 255,899 | ||||||||||||
Industrial REIT’s | 203,357 | 319,917 | — | 523,274 | ||||||||||||
Office REIT’s | 101,490 | — | — | 101,490 | ||||||||||||
Real Estate Development | — | 103,899 | — | 103,899 | ||||||||||||
Real Estate Operating Companies | 126,775 | 113,816 | — | 240,591 | ||||||||||||
Residential REIT’s | 377,894 | — | — | 377,894 | ||||||||||||
Retail REIT’s | 321,676 | 371,240 | — | 692,916 | ||||||||||||
Specialized REIT’s | 659,898 | — | — | 659,898 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 2,287,794 | 1,028,170 | — | 3,315,964 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 92,091 | — | — | 92,091 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,379,885 | $ | 1,028,170 | $ | — | $ | 3,408,055 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
38
TCW High Dividend Equities Fund
Schedule of Investments | October 31, 2017 |
Issues | Shares | Value | ||||||
COMMON STOCK — 97.0% OF NET ASSETS | ||||||||
Banks — 5.7% | ||||||||
JPMorgan Chase & Co. | 1,440 | $ | 144,877 | |||||
Wells Fargo & Co. | 1,075 | 60,351 | ||||||
|
| |||||||
205,228 | ||||||||
|
| |||||||
Beverages — 3.4% | ||||||||
PepsiCo, Inc. | 1,105 | 121,804 | ||||||
|
| |||||||
Capital Markets — 15.9% | ||||||||
Ares Capital Corp. | 17,615 | 283,249 | ||||||
Goldman Sachs Group, Inc. (The) | 500 | 121,240 | ||||||
Greenhill & Co., Inc. | 4,105 | 75,122 | ||||||
Oaktree Specialty Lending Corp. | 15,400 | 89,474 | ||||||
|
| |||||||
569,085 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 3.4% | ||||||||
Verizon Communications, Inc. | 2,545 | 121,829 | ||||||
|
| |||||||
Household Durables — 11.7% | ||||||||
DR Horton, Inc. | 2,860 | 126,441 | ||||||
Newell Brands, Inc. | 2,955 | 120,505 | ||||||
Toll Brothers, Inc. | 3,715 | 171,038 | ||||||
|
| |||||||
417,984 | ||||||||
|
| |||||||
IT Services — 3.0% | ||||||||
International Business Machines Corp. | 685 | 105,531 | ||||||
|
| |||||||
Machinery — 8.3% | ||||||||
EnPro Industries, Inc. | 3,535 | 296,021 | ||||||
|
| |||||||
Media — 3.9% | ||||||||
Nexstar Media Group, Inc. | 2,185 | 139,403 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 9.6% | ||||||||
ConocoPhillips | 2,130 | 108,949 | ||||||
Kinder Morgan, Inc. | 13,045 | 236,245 | ||||||
|
| |||||||
345,194 | ||||||||
|
| |||||||
Pharmaceuticals — 7.0% | ||||||||
AbbVie, Inc. | 1,705 | 153,876 | ||||||
Pfizer, Inc. | 2,790 | 97,818 | ||||||
|
| |||||||
251,694 | ||||||||
|
|
Issues | Shares | Value | ||||||
REIT — 18.4% | ||||||||
American Tower Corp. | 1,335 | $ | 191,800 | |||||
Colony NorthStar, Inc. | 10,346 | 127,049 | ||||||
Invitation Homes, Inc. | 4,925 | 111,157 | ||||||
Seritage Growth Properties | 1,980 | 81,437 | ||||||
Simon Property Group, Inc. | 935 | 145,234 | ||||||
|
| |||||||
656,677 | ||||||||
|
| |||||||
Software — 6.7% | ||||||||
Microsoft Corp. | 1,335 | 111,045 | ||||||
Oracle Corp. | 2,520 | 128,268 | ||||||
|
| |||||||
239,313 | ||||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $3,127,500) | 3,469,763 | |||||||
|
| |||||||
Total Purchased Options 1.7% (1) | ||||||||
(Cost: $245,827) | 61,203 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 2.4% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (2) | 87,188 | 87,188 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $87,188) | 87,188 | |||||||
|
| |||||||
Total Investments (101.1%) | ||||||||
(Cost: $3,460,515) | 3,618,154 | |||||||
Liabilities in Excess of Other Assets (-1.1%) | (39,460 | ) | ||||||
|
| |||||||
Net Assets (100.0%) | $ | 3,578,694 | ||||||
|
|
Notes to the Schedule of Investments
(1) | See table below for description of purchased options. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
ETF - | Exchange Traded Fund |
REIT - | Real Estate Investment Trust |
See accompanying notes to financial statements.
39
TCW High Dividend Equities Fund
October 31, 2017 |
Purchased Options — Exchange Traded | ||||||||||||||||||||||||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Market Value | Premiums Paid by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
Energy Select Sector SPDR ETF | 6 | $ | 407,460 | $ | 65 | 1/19/18 | $ | 21,683 | $ | 18,381 | $ | 3,302 | ||||||||||||||||
Put | ||||||||||||||||||||||||||||
SPDR S&P 500 ETF | 38 | 9,771,700 | $ | 242 | 12/29/17 | 39,520 | 227,446 | (187,926 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 61,203 | $ | 245,827 | $ | (184,624 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Written Options — Exchange Traded | ||||||||||||||||||||||||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Market Value | Premiums (Received) by Fund | Unrealized Appreciation | |||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
SPDR S&P 500 ETF | 38 | $ | 9,771,700 | $ | 239 | 12/29/17 | $ | (31,920 | ) | $ | (194,350 | ) | $ | 162,430 | ||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
40
TCW High Dividend Equities Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Banks | 5.7 | % | ||
Beverages | 3.4 | |||
Capital Markets | 15.9 | |||
Diversified Telecommunication Services | 3.4 | |||
Household Durables | 11.7 | |||
IT Services | 3.0 | |||
Machinery | 8.3 | |||
Media | 3.9 | |||
Oil, Gas & Consumable Fuels | 9.6 | |||
Pharmaceuticals | 7.0 | |||
REIT | 18.4 | |||
Software | 6.7 | |||
Purchased Options | 1.7 | |||
Money Market Investments | 2.4 | |||
|
| |||
Total | 101.1 | % | ||
|
|
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Banks | $ | 205,228 | $ | — | $ | — | $ | 205,228 | ||||||||
Beverages | 121,804 | — | — | 121,804 | ||||||||||||
Capital Markets | 569,085 | — | — | 569,085 | ||||||||||||
Diversified Telecommunication Services | 121,829 | — | — | 121,829 | ||||||||||||
Household Durables | 417,984 | — | — | 417,984 | ||||||||||||
IT Services | 105,531 | — | — | 105,531 | ||||||||||||
Machinery | 296,021 | — | — | 296,021 | ||||||||||||
Media | 139,403 | — | — | 139,403 | ||||||||||||
Oil, Gas & Consumable Fuels | 345,194 | — | — | 345,194 | ||||||||||||
Pharmaceuticals | 251,694 | — | — | 251,694 | ||||||||||||
REIT | 656,677 | — | — | 656,677 | ||||||||||||
Software | 239,313 | — | — | 239,313 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 3,469,763 | — | — | 3,469,763 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | 61,203 | — | — | 61,203 | ||||||||||||
Money Market Investments | 87,188 | — | — | 87,188 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,618,154 | $ | — | $ | — | $ | 3,618,154 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Written Options | ||||||||||||||||
Foreign Currency Risk | $ | (31,920 | ) | $ | — | $ | — | $ | (31,920 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (31,920 | ) | $ | — | $ | — | $ | (31,920 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
41
TCW New America Premier Equities Fund
Schedule of Investments | October 31, 2017 |
Issues | Shares | Value | ||||||
COMMON STOCK — 91.2% OF NET ASSETS |
| |||||||
Aerospace & Defense — 2.7% | ||||||||
HEICO Corp. | 1,874 | $ | 169,934 | |||||
Honeywell International, Inc. | 2,287 | 329,694 | ||||||
|
| |||||||
499,628 | ||||||||
|
| |||||||
Banks — 1.6% | ||||||||
JPMorgan Chase & Co. | 3,002 | 302,031 | ||||||
|
| |||||||
Beverages — 0.8% | ||||||||
Coca-Cola Co. (The) | 3,437 | 158,033 | ||||||
|
| |||||||
Chemicals — 8.4% | ||||||||
Air Products & Chemicals, Inc. | 5,692 | 907,476 | ||||||
Celanese Corp. — Series A | 6,436 | 671,339 | ||||||
|
| |||||||
1,578,815 | ||||||||
|
| |||||||
Communications Equipment — 1.1% | ||||||||
Motorola Solutions, Inc. | 2,383 | 215,757 | ||||||
|
| |||||||
Diversified Financial Services — 4.4% | ||||||||
Berkshire Hathaway, Inc. — Class B (1) | 4,420 | 826,275 | ||||||
|
| |||||||
Electrical Equipment — 1.9% | ||||||||
Generac Holdings, Inc. (1) | 6,738 | 350,982 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.7% | ||||||||
Agilent Technologies, Inc. | 7,499 | 510,157 | ||||||
|
| |||||||
Food Products — 5.2% | ||||||||
Conagra Brands, Inc. | 21,300 | 727,608 | ||||||
Danone SA (SP ADR) (France) | 14,833 | 243,855 | ||||||
|
| |||||||
971,463 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 4.7% | ||||||||
Baxter International, Inc. | 13,717 | 884,335 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.3% | ||||||||
Hilton Worldwide Holdings, Inc. | 5,966 | 431,223 | ||||||
|
| |||||||
Industrial Conglomerates — 8.2% | ||||||||
Danaher Corp. | 6,983 | 644,321 | ||||||
Roper Technologies, Inc. | 3,481 | 898,690 | ||||||
|
| |||||||
1,543,011 | ||||||||
|
| |||||||
Internet Software & Services — 5.1% | ||||||||
Altaba, Inc. (1) | 4,623 | 324,165 | ||||||
Trade Desk, Inc. (The) (1) | 9,750 | 642,720 | ||||||
|
| |||||||
966,885 | ||||||||
|
| |||||||
IT Services — 1.8% | ||||||||
Mastercard, Inc. | 1,483 | 220,626 | ||||||
Visa, Inc. | 1,113 | 122,408 | ||||||
|
| |||||||
343,034 | ||||||||
|
| |||||||
Machinery — 7.5% | ||||||||
Caterpillar, Inc. | 2,871 | 389,882 |
Issues | Shares | Value | ||||||
Machinery (Continued) | ||||||||
IDEX Corp. | 6,349 | $ | 814,005 | |||||
Illinois Tool Works, Inc. | 1,364 | 213,493 | ||||||
|
| |||||||
1,417,380 | ||||||||
|
| |||||||
Professional Services — 11.2% | ||||||||
IHS Markit, Ltd. (1) | 8,556 | 364,571 | ||||||
TransUnion (1) | 33,106 | 1,737,734 | ||||||
|
| |||||||
2,102,305 | ||||||||
|
| |||||||
Software — 19.8% | ||||||||
Activision Blizzard, Inc. | 7,218 | 472,707 | ||||||
Constellation Software, Inc. | 1,920 | 1,093,198 | ||||||
Microsoft Corp. | 8,977 | 746,707 | ||||||
Oracle Corp. | 27,975 | 1,423,927 | ||||||
|
| |||||||
3,736,539 | ||||||||
|
| |||||||
Specialty Retail — 1.8% | ||||||||
Floor & Decor Holdings, Inc. (1) | 4,054 | 152,836 | ||||||
National Vision Holdings, Inc. (1) | 6,500 | 187,200 | ||||||
|
| |||||||
340,036 | ||||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $13,723,721) |
| 17,177,889 | ||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 4.5% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (2) | 848,844 | 848,844 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $848,844) |
| 848,844 | ||||||
|
| |||||||
Total Investments before Investments Sold Short (95.7%) |
| |||||||
(Cost: $14,572,565) | 18,026,733 | |||||||
|
| |||||||
COMMON STOCK SOLD SHORT — 0.9% |
| |||||||
Internet Software & Services — 0.9% | ||||||||
Alibaba Group Holding, Ltd. (SP ADR) (China) (1) | (900 | ) | (166,401 | ) | ||||
|
| |||||||
Total Common Stock Sold Short |
| |||||||
(Cost: -$126,490) |
| (166,401 | ) | |||||
|
| |||||||
Excess of Other Assets over Liabilities (5.2%) |
| 979,335 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 18,839,667 | |||||
|
|
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, 2017. |
See accompanying notes to financial statements.
42
TCW New America Premier Equities Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.7 | % | ||
Banks | 1.6 | |||
Beverages | 0.8 | |||
Chemicals | 8.4 | |||
Communications Equipment | 1.1 | |||
Diversified Financial Services | 4.4 | |||
Electrical Equipment | 1.9 | |||
Electronic Equipment, Instruments & Components | 2.7 | |||
Food Products | 5.2 | |||
Health Care Equipment & Supplies | 4.7 | |||
Hotels, Restaurants & Leisure | 2.3 | |||
Industrial Conglomerates | 8.2 | |||
Internet Software & Services | 5.1 | |||
IT Services | 1.8 | |||
Machinery | 7.5 | |||
Professional Services | 11.2 | |||
Software | 19.8 | |||
Specialty Retail | 1.8 | |||
Money Market Investments | 4.5 | |||
|
| |||
Total | 95.7 | % | ||
|
|
See accompanying notes to financial statements.
43
TCW New America Premier Equities Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 499,628 | $ | — | $ | — | $ | 499,628 | ||||||||
Banks | 302,031 | — | — | 302,031 | ||||||||||||
Beverages | 158,033 | — | — | 158,033 | ||||||||||||
Chemicals | 1,578,815 | — | — | 1,578,815 | ||||||||||||
Communications Equipment | 215,757 | — | — | 215,757 | ||||||||||||
Diversified Financial Services | 826,275 | — | — | 826,275 | ||||||||||||
Electrical Equipment | 350,982 | — | — | 350,982 | ||||||||||||
Electronic Equipment, Instruments & Components | 510,157 | — | — | 510,157 | ||||||||||||
Food Products | 971,463 | — | — | 971,463 | ||||||||||||
Health Care Equipment & Supplies | 884,335 | — | — | 884,335 | ||||||||||||
Hotels, Restaurants & Leisure | 431,223 | — | — | 431,223 | ||||||||||||
Industrial Conglomerates | 1,543,011 | — | — | 1,543,011 | ||||||||||||
Internet Software & Services | 966,885 | — | — | 966,885 | ||||||||||||
IT Services | 343,034 | — | — | 343,034 | ||||||||||||
Machinery | 1,417,380 | — | — | 1,417,380 | ||||||||||||
Professional Services | 2,102,305 | — | — | 2,102,305 | ||||||||||||
Software | 3,736,539 | — | — | 3,736,539 | ||||||||||||
Specialty Retail | 340,036 | — | — | 340,036 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 17,177,889 | — | — | 17,177,889 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 848,844 | — | — | 848,844 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 18,026,733 | $ | — | $ | — | $ | 18,026,733 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability | ||||||||||||||||
Equity Sold Short | ||||||||||||||||
Internet Software & Services | $ | (166,401 | ) | — | $ | — | $ | (166,401 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (166,401 | ) | $ | — | $ | — | $ | (166,401 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
44
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments | October 31, 2017 |
Issues | Shares | Value | ||||||
COMMON STOCK — 99.6% OF NET ASSETS |
| |||||||
Aerospace & Defense — 2.7% | ||||||||
Textron, Inc. | 314,206 | $ | 16,571,224 | |||||
|
| |||||||
Air Freight & Logistics — 1.7% | ||||||||
FedEx Corp. | 47,585 | 10,745,169 | ||||||
|
| |||||||
Auto Components — 2.0% | ||||||||
Johnson Controls International PLC (Ireland) | 298,889 | 12,371,016 | ||||||
|
| |||||||
Banks — 11.3% | ||||||||
Citigroup, Inc. | 400,604 | 29,444,394 | ||||||
JPMorgan Chase & Co. | 285,986 | 28,773,051 | ||||||
Zions Bancorp. | 262,925 | 12,215,496 | ||||||
|
| |||||||
70,432,941 | ||||||||
|
| |||||||
Beverages — 2.2% | ||||||||
PepsiCo, Inc. | 125,573 | 13,841,912 | ||||||
|
| |||||||
Biotechnology — 3.2% | ||||||||
Gilead Sciences, Inc. | 264,515 | 19,828,044 | ||||||
|
| |||||||
Capital Markets — 4.4% | ||||||||
Invesco, Ltd. | 250,521 | 8,966,147 | ||||||
State Street Corp. | 197,019 | 18,125,748 | ||||||
|
| |||||||
27,091,895 | ||||||||
|
| |||||||
Chemicals — 2.7% | ||||||||
DowDuPont, Inc. | 230,211 | 16,646,557 | ||||||
|
| |||||||
Communications Equipment — 5.3% | ||||||||
Cisco Systems, Inc. | 741,081 | 25,307,916 | ||||||
Nokia OYJ (SP ADR) (Finland) | 1,509,774 | 7,382,795 | ||||||
|
| |||||||
32,690,711 | ||||||||
|
| |||||||
Consumer Finance — 2.0% | ||||||||
Synchrony Financial | 380,655 | 12,416,966 | ||||||
|
| |||||||
Diversified Financial Services — 2.6% | ||||||||
Intercontinental Exchange, Inc. | 248,970 | 16,456,917 | ||||||
|
| |||||||
Diversified Telecommunication Services — 2.5% | ||||||||
AT&T, Inc. | 306,347 | 10,308,576 | ||||||
Deutsche Telekom AG (SP ADR) (Germany) | 288,961 | 5,182,227 | ||||||
|
| |||||||
15,490,803 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.6% | ||||||||
Corning, Inc. | 526,364 | 16,480,457 | ||||||
|
| |||||||
Energy Equipment & Services — 4.3% | ||||||||
Baker Hughes, a GE Co. | 368,003 | 11,566,334 | ||||||
Schlumberger, Ltd. | 232,758 | 14,896,512 | ||||||
|
| |||||||
26,462,846 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.8% | ||||||||
Medtronic PLC (Ireland) | 64,305 | 5,177,839 | ||||||
|
|
Issues | Shares | Value | ||||||
Health Care Providers & Services — 1.0% | ||||||||
Cardinal Health, Inc. | 103,200 | $ | 6,388,080 | |||||
|
| |||||||
Household Durables — 1.9% | ||||||||
Lennar Corp. | 210,582 | 11,723,100 | ||||||
|
| |||||||
Household Products — 2.1% | ||||||||
Procter & Gamble Co. (The) | 149,600 | 12,916,464 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 2.0% | ||||||||
AES Corp. (The) | 1,197,565 | 12,730,116 | ||||||
|
| |||||||
Industrial Conglomerates — 6.0% | ||||||||
General Electric Co. | 896,455 | 18,072,533 | ||||||
Koninklijke Philips Electronics NV (NYRS) (Netherlands) | 473,467 | 19,312,719 | ||||||
|
| |||||||
37,385,252 | ||||||||
|
| |||||||
Insurance — 3.3% | ||||||||
American International Group, Inc. | 62,100 | 4,012,281 | ||||||
MetLife, Inc. | 310,278 | 16,624,695 | ||||||
|
| |||||||
20,636,976 | ||||||||
|
| |||||||
Machinery — 1.8% | ||||||||
Pentair PLC (United Kingdom) | 163,282 | 11,504,850 | ||||||
|
| |||||||
Media — 3.8% | ||||||||
Comcast Corp. | 426,394 | 15,362,976 | ||||||
Regal Entertainment Group | 516,986 | 8,452,721 | ||||||
|
| |||||||
23,815,697 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.7% | ||||||||
Chevron Corp. | 206,925 | 23,980,538 | ||||||
Royal Dutch Shell PLC (SP ADR) (United Kingdom) | 179,936 | 11,341,366 | ||||||
|
| |||||||
35,321,904 | ||||||||
|
| |||||||
Pharmaceuticals — 3.0% | ||||||||
Merck & Co., Inc. | 333,876 | 18,393,229 | ||||||
|
| |||||||
Real Estate Management & Development — 0.7% | ||||||||
Jones Lang LaSalle, Inc. | 34,200 | 4,428,558 | ||||||
|
| |||||||
REIT — 0.8% | ||||||||
Kimco Realty Corp. | 264,358 | 4,800,741 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.5% | ||||||||
Cypress Semiconductor Corp. | 1,229,214 | 19,495,334 | ||||||
Intel Corp. | 343,506 | 15,626,088 | ||||||
Maxim Integrated Products, Inc. | 340,948 | 17,913,408 | ||||||
|
| |||||||
53,034,830 | ||||||||
|
| |||||||
Software — 3.8% | ||||||||
Microsoft Corp. | 287,089 | 23,880,063 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.0% | ||||||||
Seagate Technology PLC (Netherlands) | 172,338 | 6,371,336 | ||||||
|
|
See accompanying notes to financial statements.
45
TCW Relative Value Dividend Appreciation Fund
Schedule of Investments (Continued)
Issues | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods — 2.6% | ||||||||
Tapestry, Inc. | 389,354 | $ | 15,944,046 | |||||
|
| |||||||
Thrifts & Mortgage Finance — 1.3% | ||||||||
New York Community Bancorp, Inc. | 641,262 | 8,054,251 | ||||||
|
| |||||||
Total Common Stock |
| |||||||
(Cost: $507,502,678) | 620,034,790 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (1) | 3,631,466 | 3,631,466 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $3,631,466) |
| 3,631,466 | ||||||
|
| |||||||
Total Investments (100.2%) |
| |||||||
(Cost: $511,134,144) |
| 623,666,256 | ||||||
Liabilities in Excess of Other Assets (-0.2%) |
| (1,402,429 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 622,263,827 | |||||
|
|
Notes to the Schedule of Investments
NYRS - | New York Registry Shares. |
SP ADR - | Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
(1) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
See accompanying notes to financial statements.
46
TCW Relative Value Dividend Appreciation Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 2.7 | % | ||
Air Freight & Logistics | 1.7 | |||
Auto Components | 2.0 | |||
Banks | 11.3 | |||
Beverages | 2.2 | |||
Biotechnology | 3.2 | |||
Capital Markets | 4.4 | |||
Chemicals | 2.7 | |||
Communications Equipment | 5.3 | |||
Consumer Finance | 2.0 | |||
Diversified Financial Services | 2.6 | |||
Diversified Telecommunication Services | 2.5 | |||
Electronic Equipment, Instruments & Components | 2.6 | |||
Energy Equipment & Services | 4.3 | |||
Health Care Equipment & Supplies | 0.8 | |||
Health Care Providers & Services | 1.0 | |||
Household Durables | 1.9 | |||
Household Products | 2.1 | |||
Independent Power and Renewable Electricity Producers | 2.0 | |||
Industrial Conglomerates | 6.0 | |||
Insurance | 3.3 | |||
Machinery | 1.8 | |||
Media | 3.8 | |||
Oil, Gas & Consumable Fuels | 5.7 | |||
Pharmaceuticals | 3.0 | |||
REIT | 0.8 | |||
Real Estate Management & Development | 0.7 | |||
Semiconductors & Semiconductor Equipment | 8.5 | |||
Software | 3.8 | |||
Technology Hardware, Storage & Peripherals | 1.0 | |||
Textiles, Apparel & Luxury Goods | 2.6 | |||
Thrifts & Mortgage Finance | 1.3 | |||
Money Market Investments | 0.6 | |||
|
| |||
Total | 100.2 | % | ||
|
|
See accompanying notes to financial statements.
47
TCW Relative Value Dividend Appreciation Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 16,571,224 | $ | — | $ | — | $ | 16,571,224 | ||||||||
Air Freight & Logistics | 10,745,169 | — | — | 10,745,169 | ||||||||||||
Auto Components | 12,371,016 | — | — | 12,371,016 | ||||||||||||
Banks | 70,432,941 | — | — | 70,432,941 | ||||||||||||
Beverages | 13,841,912 | — | — | 13,841,912 | ||||||||||||
Biotechnology | 19,828,044 | — | — | 19,828,044 | ||||||||||||
Capital Markets | 27,091,895 | — | — | 27,091,895 | ||||||||||||
Chemicals | 16,646,557 | — | — | 16,646,557 | ||||||||||||
Communications Equipment | 32,690,711 | — | — | 32,690,711 | ||||||||||||
Consumer Finance | 12,416,966 | — | — | 12,416,966 | ||||||||||||
Diversified Financial Services | 16,456,917 | — | — | 16,456,917 | ||||||||||||
Diversified Telecommunication Services | 15,490,803 | — | — | 15,490,803 | ||||||||||||
Electronic Equipment, Instruments & Components | 16,480,457 | — | — | 16,480,457 | ||||||||||||
Energy Equipment & Services | 26,462,846 | — | — | 26,462,846 | ||||||||||||
Health Care Equipment & Supplies | 5,177,839 | — | — | 5,177,839 | ||||||||||||
Health Care Providers & Services | 6,388,080 | — | — | 6,388,080 | ||||||||||||
Household Durables | 11,723,100 | — | — | 11,723,100 | ||||||||||||
Household Products | 12,916,464 | — | — | 12,916,464 | ||||||||||||
Independent Power and Renewable Electricity Producers | 12,730,116 | — | — | 12,730,116 | ||||||||||||
Industrial Conglomerates | 37,385,252 | — | — | 37,385,252 | ||||||||||||
Insurance | 20,636,976 | — | — | 20,636,976 | ||||||||||||
Machinery | 11,504,850 | — | — | 11,504,850 | ||||||||||||
Media | 23,815,697 | — | — | 23,815,697 | ||||||||||||
Oil, Gas & Consumable Fuels | 35,321,904 | — | — | 35,321,904 | ||||||||||||
Pharmaceuticals | 18,393,229 | — | — | 18,393,229 | ||||||||||||
REIT | 4,800,741 | — | �� | 4,800,741 | ||||||||||||
Real Estate Management & Development | 4,428,558 | — | — | 4,428,558 | ||||||||||||
Semiconductors & Semiconductor Equipment | 53,034,830 | — | — | 53,034,830 | ||||||||||||
Software | 23,880,063 | — | — | 23,880,063 | ||||||||||||
Technology Hardware, Storage & Peripherals | 6,371,336 | — | — | 6,371,336 | ||||||||||||
Textiles, Apparel & Luxury Goods | 15,944,046 | — | — | 15,944,046 | ||||||||||||
Thrifts & Mortgage Finance | 8,054,251 | — | — | 8,054,251 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 620,034,790 | — | — | 620,034,790 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 3,631,466 | — | — | 3,631,466 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 623,666,256 | $ | — | $ | — | $ | 623,666,256 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
48
TCW Relative Value Large Cap Fund
Schedule of Investments | October 31, 2017 |
Issues | Shares | Value | ||||||
COMMON STOCK — 99.3% OF NET ASSETS |
| |||||||
Aerospace & Defense — 3.9% | ||||||||
Textron, Inc. | 359,510 | $ | 18,960,557 | |||||
|
| |||||||
Auto Components — 4.5% | ||||||||
Dana, Inc. | 374,398 | 11,415,395 | ||||||
Johnson Controls International PLC (Ireland) | 252,668 | 10,457,929 | ||||||
|
| |||||||
21,873,324 | ||||||||
|
| |||||||
Banks — 11.3% | ||||||||
Citigroup, Inc. | 307,700 | 22,615,950 | ||||||
JPMorgan Chase & Co. | 215,858 | 21,717,473 | ||||||
Zions Bancorp. | 234,300 | 10,885,578 | ||||||
|
| |||||||
55,219,001 | ||||||||
|
| |||||||
Beverages — 2.1% | ||||||||
PepsiCo, Inc. | 91,700 | 10,108,091 | ||||||
|
| |||||||
Biotechnology — 3.0% | ||||||||
Gilead Sciences, Inc. | 196,229 | 14,709,326 | ||||||
|
| |||||||
Capital Markets — 3.5% | ||||||||
Invesco, Ltd. | 174,600 | 6,248,934 | ||||||
State Street Corp. | 117,400 | 10,800,800 | ||||||
|
| |||||||
17,049,734 | ||||||||
|
| |||||||
Chemicals — 2.0% | ||||||||
DowDuPont, Inc. | 133,786 | 9,674,066 | ||||||
|
| |||||||
Communications Equipment — 3.5% | ||||||||
Cisco Systems, Inc. | 500,590 | 17,095,148 | ||||||
|
| |||||||
Consumer Finance — 1.7% | ||||||||
Synchrony Financial | 253,792 | 8,278,695 | ||||||
|
| |||||||
Diversified Financial Services — 2.7% | ||||||||
Intercontinental Exchange, Inc. | 201,305 | 13,306,260 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.4% | ||||||||
AT&T, Inc. | 200,700 | 6,753,555 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.9% | ||||||||
Corning, Inc. | 456,950 | 14,307,104 | ||||||
|
| |||||||
Energy Equipment & Services — 2.1% | ||||||||
Baker Hughes, a GE Co. | 326,150 | 10,250,895 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.9% | ||||||||
Medtronic PLC (Ireland) | 52,896 | 4,259,186 | ||||||
|
| |||||||
Health Care Providers & Services — 5.1% | ||||||||
Anthem, Inc. | 21,498 | 4,497,597 | ||||||
Cardinal Health, Inc. | 125,900 | 7,793,210 | ||||||
Centene Corp. (1) | 75,400 | 7,062,718 | ||||||
Cigna Corp. | 27,573 | 5,437,947 | ||||||
|
| |||||||
24,791,472 | ||||||||
|
|
Issues | Shares | Value | ||||||
Household Durables — 3.0% | ||||||||
Lennar Corp. | 267,863 | $ | 14,911,933 | |||||
|
| |||||||
Household Products — 2.0% | ||||||||
Procter & Gamble Co. (The) | 115,700 | 9,989,538 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 1.9% | ||||||||
AES Corp. (The) | 853,400 | 9,071,642 | ||||||
|
| |||||||
Industrial Conglomerates — 2.4% | ||||||||
General Electric Co. | 578,636 | 11,665,302 | ||||||
|
| |||||||
Insurance — 4.3% | ||||||||
American International Group, Inc. | 68,400 | 4,419,324 | ||||||
Hartford Financial Services Group, Inc. | 262,384 | 14,444,239 | ||||||
MetLife, Inc. | 41,100 | 2,202,138 | ||||||
|
| |||||||
21,065,701 | ||||||||
|
| |||||||
IT Services — 1.7% | ||||||||
First Data Corp. (1) | 475,700 | 8,472,217 | ||||||
|
| |||||||
Machinery — 4.0% | ||||||||
Pentair PLC (United Kingdom) | 99,867 | 7,036,629 | ||||||
Terex Corp. | 266,330 | 12,546,806 | ||||||
|
| |||||||
19,583,435 | ||||||||
|
| |||||||
Media — 3.3% | ||||||||
Comcast Corp. | 451,210 | 16,257,096 | ||||||
|
| |||||||
Metals & Mining — 1.6% | ||||||||
Freeport-McMoRan, Inc. (1) | 558,959 | 7,814,247 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.9% | ||||||||
Chevron Corp. | 123,200 | 14,277,648 | ||||||
Newfield Exploration Co. (1) | 162,900 | 5,015,691 | ||||||
|
| |||||||
19,293,339 | ||||||||
|
| |||||||
Pharmaceuticals — 3.5% | ||||||||
Impax Laboratories, Inc. (1) | 138,300 | 2,510,145 | ||||||
Merck & Co., Inc. | 261,750 | 14,419,807 | ||||||
|
| |||||||
16,929,952 | ||||||||
|
| |||||||
Real Estate Management & Development — 2.1% | ||||||||
Jones Lang LaSalle, Inc. | 78,200 | 10,126,118 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.0% | ||||||||
Cypress Semiconductor Corp. | 930,900 | 14,764,074 | ||||||
Intel Corp. | 159,839 | 7,271,076 | ||||||
ON Semiconductor Corp. (1) | 330,667 | 7,049,821 | ||||||
|
| |||||||
29,084,971 | ||||||||
|
| |||||||
Software — 3.8% | ||||||||
Microsoft Corp. | 223,190 | 18,564,944 | ||||||
|
| |||||||
Specialty Retail — 1.1% | ||||||||
Home Depot, Inc. (The) | 31,200 | 5,172,336 | ||||||
|
|
See accompanying notes to financial statements.
49
TCW Relative Value Large Cap Fund
Schedule of Investments (Continued)
Issues | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals — 2.6% | ||||||||
Western Digital Corp. | 143,740 | $ | 12,831,670 | |||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.5% | ||||||||
Tapestry, Inc. | 178,342 | 7,303,105 | ||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $303,241,742) | 484,773,960 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 0.8% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (2) | 3,970,231 | 3,970,231 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $3,970,231) | 3,970,231 | |||||||
|
| |||||||
Total Investments (100.1%) | ||||||||
(Cost: $307,211,973) | 488,744,191 | |||||||
Liabilities in Excess of Other Assets (-0.1%) |
| (293,560 | ) | |||||
|
| |||||||
Net Assets (100.0%) |
| $ | 488,450,631 | |||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
See accompanying notes to financial statements.
50
TCW Relative Value Large Cap Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.9 | % | ||
Auto Components | 4.5 | |||
Banks | 11.3 | |||
Beverages | 2.1 | |||
Biotechnology | 3.0 | |||
Capital Markets | 3.5 | |||
Chemicals | 2.0 | |||
Communications Equipment | 3.5 | |||
Consumer Finance | 1.7 | |||
Diversified Financial Services | 2.7 | |||
Diversified Telecommunication Services | 1.4 | |||
Electronic Equipment, Instruments & Components | 2.9 | |||
Energy Equipment & Services | 2.1 | |||
Health Care Equipment & Supplies | 0.9 | |||
Health Care Providers & Services | 5.1 | |||
Household Durables | 3.0 | |||
Household Products | 2.0 | |||
Independent Power and Renewable Electricity Producers | 1.9 | |||
Industrial Conglomerates | 2.4 | |||
Insurance | 4.3 | |||
IT Services | 1.7 | |||
Machinery | 4.0 | |||
Media | 3.3 | |||
Metals & Mining | 1.6 | |||
Oil, Gas & Consumable Fuels | 3.9 | |||
Pharmaceuticals | 3.5 | |||
Real Estate Management & Development | 2.1 | |||
Semiconductors & Semiconductor Equipment | 6.0 | |||
Software | 3.8 | |||
Specialty Retail | 1.1 | |||
Technology Hardware, Storage & Peripherals | 2.6 | |||
Textiles, Apparel & Luxury Goods | 1.5 | |||
Money Market Investments | 0.8 | |||
|
| |||
Total | 100.1 | % | ||
|
|
See accompanying notes to financial statements.
51
TCW Relative Value Large Cap Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 18,960,557 | $ | — | $ | — | $ | 18,960,557 | ||||||||
Auto Components | 21,873,324 | — | — | 21,873,324 | ||||||||||||
Banks | 55,219,001 | — | — | 55,219,001 | ||||||||||||
Beverages | 10,108,091 | — | — | 10,108,091 | ||||||||||||
Biotechnology | 14,709,326 | — | — | 14,709,326 | ||||||||||||
Capital Markets | 17,049,734 | — | — | 17,049,734 | ||||||||||||
Chemicals | 9,674,066 | — | — | 9,674,066 | ||||||||||||
Communications Equipment | 17,095,148 | — | — | 17,095,148 | ||||||||||||
Consumer Finance | 8,278,695 | — | — | 8,278,695 | ||||||||||||
Diversified Financial Services | 13,306,260 | — | — | 13,306,260 | ||||||||||||
Diversified Telecommunication Services | 6,753,555 | — | — | 6,753,555 | ||||||||||||
Electronic Equipment, Instruments & Components | 14,307,104 | — | — | 14,307,104 | ||||||||||||
Energy Equipment & Services | 10,250,895 | — | — | 10,250,895 | ||||||||||||
Health Care Equipment & Supplies | 4,259,186 | — | — | 4,259,186 | ||||||||||||
Health Care Providers & Services | 24,791,472 | — | — | 24,791,472 | ||||||||||||
Household Durables | 14,911,933 | — | — | 14,911,933 | ||||||||||||
Household Products | 9,989,538 | — | — | 9,989,538 | ||||||||||||
Independent Power and Renewable Electricity Producers | 9,071,642 | — | — | 9,071,642 | ||||||||||||
Industrial Conglomerates | 11,665,302 | — | — | 11,665,302 | ||||||||||||
Insurance | 21,065,701 | — | — | 21,065,701 | ||||||||||||
IT Services | 8,472,217 | — | — | 8,472,217 | ||||||||||||
Machinery | 19,583,435 | — | — | 19,583,435 | ||||||||||||
Media | 16,257,096 | — | — | 16,257,096 | ||||||||||||
Metals & Mining | 7,814,247 | — | — | 7,814,247 | ||||||||||||
Oil, Gas & Consumable Fuels | 19,293,339 | — | — | 19,293,339 | ||||||||||||
Pharmaceuticals | 16,929,952 | — | — | 16,929,952 | ||||||||||||
Real Estate Management & Development | 10,126,118 | — | — | 10,126,118 | ||||||||||||
Semiconductors & Semiconductor Equipment | 29,084,971 | — | — | 29,084,971 | ||||||||||||
Software | 18,564,944 | — | — | 18,564,944 | ||||||||||||
Specialty Retail | 5,172,336 | — | — | 5,172,336 | ||||||||||||
Technology Hardware, Storage & Peripherals | 12,831,670 | — | — | 12,831,670 | ||||||||||||
Textiles, Apparel & Luxury Goods | 7,303,105 | — | — | 7,303,105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 484,773,960 | — | — | 484,773,960 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 3,970,231 | — | — | 3,970,231 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 488,744,191 | $ | — | $ | — | $ | 488,744,191 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
52
TCW Relative Value Mid Cap Fund
Schedule of Investments | October 31, 2017 |
Issues | Shares | Value | ||||||
Common Stock — 98.5% of Net Assets | ||||||||
Aerospace & Defense — 3.1% | ||||||||
Textron, Inc. | 60,445 | $ | 3,187,869 | |||||
|
| |||||||
Auto Components — 2.8% | ||||||||
Dana, Inc. | 69,396 | 2,115,884 | ||||||
Tenneco, Inc. | 14,127 | 820,920 | ||||||
|
| |||||||
2,936,804 | ||||||||
|
| |||||||
Banks — 13.9% | ||||||||
Comerica, Inc. | 24,366 | 1,914,437 | ||||||
KeyCorp | 205,242 | 3,745,666 | ||||||
Popular, Inc. | 64,365 | 2,360,908 | ||||||
Synovus Financial Corp. | 58,229 | 2,728,029 | ||||||
Umpqua Holdings Corp. | 72,800 | 1,489,488 | ||||||
Zions Bancorp. | 45,700 | 2,123,222 | ||||||
|
| |||||||
14,361,750 | ||||||||
|
| |||||||
Capital Markets — 6.5% | ||||||||
E*TRADE Financial Corp. (1) | 60,800 | 2,650,272 | ||||||
Evercore Partners, Inc. | 27,700 | 2,218,770 | ||||||
Invesco, Ltd. | 52,888 | 1,892,861 | ||||||
|
| |||||||
6,761,903 | ||||||||
|
| |||||||
Construction & Engineering — 1.8% | ||||||||
Jacobs Engineering Group, Inc. | 31,633 | 1,841,357 | ||||||
|
| |||||||
Consumer Finance — 0.7% | ||||||||
Santander Consumer USA Holdings, Inc. (1) | 12,300 | 204,672 | ||||||
Synchrony Financial | 16,900 | 551,278 | ||||||
|
| |||||||
755,950 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.1% | ||||||||
Zayo Group Holdings, Inc. (1) | 32,100 | 1,157,526 | ||||||
|
| |||||||
Energy Equipment & Services — 4.1% | ||||||||
Forum Energy Technologies, Inc. (1) | 43,200 | 622,080 | ||||||
Newpark Resources, Inc. (1) | 310,572 | 2,717,505 | ||||||
TechnipFMC PLC (United Kingdom) (1) | 32,900 | 901,131 | ||||||
|
| |||||||
4,240,716 | ||||||||
|
| |||||||
Food Products — 2.0% | ||||||||
Conagra Brands, Inc. | 41,800 | 1,427,888 | ||||||
Hain Celestial Group, Inc. (The) (1) | 4,800 | 172,896 | ||||||
TreeHouse Foods, Inc. (1) | 4,000 | 265,520 | ||||||
Tyson Foods, Inc. | 2,200 | 160,402 | ||||||
|
| |||||||
2,026,706 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.7% | ||||||||
Acadia Healthcare Co., Inc. (1) | 21,900 | 686,784 | ||||||
Cardinal Health, Inc. | 6,400 | 396,160 | ||||||
Centene Corp. (1) | 25,900 | 2,426,053 | ||||||
Cigna Corp. | 5,600 | 1,104,432 |
Issues | Shares | Value | ||||||
Health Care Providers & Services (Continued) | ||||||||
Molina Healthcare, Inc. (1) | 3,100 | $ | 210,273 | |||||
|
| |||||||
4,823,702 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.8% | ||||||||
Bloomin’ Brands, Inc. | 44,000 | 782,320 | ||||||
|
| |||||||
Household Durables — 9.5% | ||||||||
Beazer Homes USA, Inc. (1) | 67,955 | 1,425,696 | ||||||
DR Horton, Inc. | 20,800 | 919,568 | ||||||
KB Home | 92,860 | 2,547,150 | ||||||
Lennar Corp. | 36,700 | 2,043,089 | ||||||
Toll Brothers, Inc. | 62,800 | 2,891,312 | ||||||
|
| |||||||
9,826,815 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 2.6% | ||||||||
AES Corp. (The) | 257,100 | 2,732,973 | ||||||
|
| |||||||
Insurance — 1.2% | ||||||||
Assured Guaranty, Ltd. | 32,894 | 1,220,367 | ||||||
|
| |||||||
IT Services — 1.7% | ||||||||
First Data Corp. (1) | 96,800 | 1,724,008 | ||||||
|
| |||||||
Machinery — 11.6% | ||||||||
Dover Corp. | 22,109 | 2,111,188 | ||||||
Kennametal, Inc. | 35,700 | 1,558,305 | ||||||
Manitowoc Co., Inc. (The) (1) | 372,900 | 3,550,008 | ||||||
SPX FLOW, Inc. (1) | 31,955 | 1,317,505 | ||||||
Terex Corp. | 55,398 | 2,609,800 | ||||||
Trinity Industries, Inc. | 24,900 | 809,748 | ||||||
|
| |||||||
11,956,554 | ||||||||
|
| |||||||
Marine — 1.6% | ||||||||
Kirby Corp. (1) | 20,200 | 1,431,170 | ||||||
Matson, Inc. | 6,900 | 187,887 | ||||||
|
| |||||||
1,619,057 | ||||||||
|
| |||||||
Metals & Mining — 4.7% | ||||||||
Commercial Metals Co. | 35,007 | 681,936 | ||||||
Freeport-McMoRan, Inc. (1) | 123,704 | 1,729,382 | ||||||
Worthington Industries, Inc. | 52,840 | 2,404,220 | ||||||
|
| |||||||
4,815,538 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.5% | ||||||||
Newfield Exploration Co. (1) | 42,200 | 1,299,338 | ||||||
SRC Energy, Inc. (1) | 130,800 | 1,247,832 | ||||||
|
| |||||||
2,547,170 | ||||||||
|
| |||||||
Pharmaceuticals — 0.8% | ||||||||
Impax Laboratories, Inc. (1) | 46,900 | 851,235 | ||||||
|
| |||||||
Real Estate Management & Development — 3.0% | ||||||||
Jones Lang LaSalle, Inc. | 24,275 | 3,143,370 | ||||||
|
|
See accompanying notes to financial statements.
53
TCW Relative Value Mid Cap Fund
Schedule of Investments (Continued)
Issues | Shares | Value | ||||||
REIT — 2.7% | ||||||||
Cousins Properties, Inc. | 68,500 | $ | 617,870 | |||||
Kimco Realty Corp. | 44,400 | 806,304 | ||||||
Mid-America Apartment Communities, Inc. | 13,200 | 1,351,020 | ||||||
|
| |||||||
2,775,194 | ||||||||
|
| |||||||
Road & Rail — 0.8% | ||||||||
Genesee & Wyoming, Inc. (1) | 12,200 | 875,716 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.9% | ||||||||
Cypress Semiconductor Corp. | 175,900 | 2,789,774 | ||||||
Maxim Integrated Products, Inc. | 56,646 | 2,976,181 | ||||||
ON Semiconductor Corp. (1) | 62,711 | 1,336,998 | ||||||
|
| |||||||
7,102,953 | ||||||||
|
| |||||||
Software — 0.6% | ||||||||
Nuance Communications, Inc. (1) | 40,900 | 602,866 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.2% | ||||||||
Western Digital Corp. | 37,180 | 3,319,059 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.5% | ||||||||
Tapestry, Inc. | 62,543 | 2,561,136 | ||||||
|
|
Issues | Shares | Value | ||||||
Thrifts & Mortgage Finance — 0.7% | ||||||||
New York Community Bancorp, Inc. | 56,700 | $ | 712,152 | |||||
|
| |||||||
Trading Companies & Distributors — 0.4% | ||||||||
Univar, Inc. (1) | 15,100 | 449,225 | ||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $69,205,132) | 101,711,991 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 1.8% | ||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (2) | 1,812,190 | 1,812,190 | ||||||
Total Money Market Investments | ||||||||
(Cost: $1,812,190) | 1,812,190 | |||||||
|
| |||||||
Total Investments (100.3%) | ||||||||
(Cost: $71,017,322) | 103,524,181 | |||||||
Liabilities in Excess of Other Assets (-0.3%) |
| (293,282 | ) | |||||
|
| |||||||
Net Assets (100.0%) | $ | 103,230,899 | ||||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
See accompanying notes to financial statements.
54
TCW Relative Value Mid Cap Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 3.1 | % | ||
Auto Components | 2.8 | |||
Banks | 13.9 | |||
Capital Markets | 6.5 | |||
Construction & Engineering | 1.8 | |||
Consumer Finance | 0.7 | |||
Diversified Telecommunication Services | 1.1 | |||
Energy Equipment & Services | 4.1 | |||
Food Products | 2.0 | |||
Health Care Providers & Services | 4.7 | |||
Hotels, Restaurants & Leisure | 0.8 | |||
Household Durables | 9.5 | |||
Independent Power and Renewable Electricity Producers | 2.6 | |||
Insurance | 1.2 | |||
IT Services | 1.7 | |||
Machinery | 11.6 | |||
Marine | 1.6 | |||
Metals & Mining | 4.7 | |||
Oil, Gas & Consumable Fuels | 2.5 | |||
Pharmaceuticals | 0.8 | |||
REIT | 2.7 | |||
Real Estate Management & Development | 3.0 | |||
Road & Rail | 0.8 | |||
Semiconductors & Semiconductor Equipment | 6.9 | |||
Software | 0.6 | |||
Technology Hardware, Storage & Peripherals | 3.2 | |||
Textiles, Apparel & Luxury Goods | 2.5 | |||
Thrifts & Mortgage Finance | 0.7 | |||
Trading Companies & Distributors | 0.4 | |||
Money Market Investments | 1.8 | |||
|
| |||
Total | 100.3 | % | ||
|
|
See accompanying notes to financial statements.
55
TCW Relative Value Mid Cap Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 3,187,869 | $ | — | $ | — | $ | 3,187,869 | ||||||||
Auto Components | 2,936,804 | — | — | 2,936,804 | ||||||||||||
Banks | 14,361,750 | — | — | 14,361,750 | ||||||||||||
Capital Markets | 6,761,903 | — | — | 6,761,903 | ||||||||||||
Construction & Engineering | 1,841,357 | — | — | 1,841,357 | ||||||||||||
Consumer Finance | 755,950 | — | — | 755,950 | ||||||||||||
Diversified Telecommunication Services | 1,157,526 | — | — | 1,157,526 | ||||||||||||
Energy Equipment & Services | 4,240,716 | — | — | 4,240,716 | ||||||||||||
Food Products | 2,026,706 | — | — | 2,026,706 | ||||||||||||
Health Care Providers & Services | 4,823,702 | — | — | 4,823,702 | ||||||||||||
Hotels, Restaurants & Leisure | 782,320 | — | — | 782,320 | ||||||||||||
Household Durables | 9,826,815 | — | — | 9,826,815 | ||||||||||||
Independent Power and Renewable Electricity Producers | 2,732,973 | — | — | 2,732,973 | ||||||||||||
Insurance | 1,220,367 | — | — | 1,220,367 | ||||||||||||
IT Services | 1,724,008 | — | — | 1,724,008 | ||||||||||||
Machinery | 11,956,554 | — | — | 11,956,554 | ||||||||||||
Marine | 1,619,057 | — | — | 1,619,057 | ||||||||||||
Metals & Mining | 4,815,538 | — | — | 4,815,538 | ||||||||||||
Oil, Gas & Consumable Fuels | 2,547,170 | — | — | 2,547,170 | ||||||||||||
Pharmaceuticals | 851,235 | — | — | 851,235 | ||||||||||||
REIT | 2,775,194 | — | — | 2,775,194 | ||||||||||||
Real Estate Management & Development | 3,143,370 | — | — | 3,143,370 | ||||||||||||
Road & Rail | 875,716 | — | — | 875,716 | ||||||||||||
Semiconductors & Semiconductor Equipment | 7,102,953 | — | — | 7,102,953 | ||||||||||||
Software | 602,866 | — | — | 602,866 | ||||||||||||
Technology Hardware, Storage & Peripherals | 3,319,059 | — | — | 3,319,059 | ||||||||||||
Textiles, Apparel & Luxury Goods | 2,561,136 | — | — | 2,561,136 | ||||||||||||
Thrifts & Mortgage Finance | 712,152 | — | — | 712,152 | ||||||||||||
Trading Companies & Distributors | 449,225 | — | — | 449,225 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 101,711,991 | — | — | 101,711,991 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 1,812,190 | — | — | 1,812,190 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 103,524,181 | $ | — | $ | — | $ | 103,524,181 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
56
Schedule of Investments | October 31, 2017 |
Issues | Shares | Value | ||||||
COMMON STOCK — 98.7% OF NET ASSETS |
| |||||||
Beverages — 2.6% | ||||||||
Monster Beverage Corp. (1) | 412,800 | $ | 23,913,504 | |||||
|
| |||||||
Biotechnology — 7.4% | ||||||||
Alexion Pharmaceuticals, Inc. (1) | 141,272 | 16,904,607 | ||||||
BioMarin Pharmaceutical, Inc. (1) | 213,513 | 17,527,282 | ||||||
Celgene Corp. (1) | 320,480 | 32,358,866 | ||||||
|
| |||||||
66,790,755 | ||||||||
|
| |||||||
Capital Markets — 4.2% | ||||||||
Charles Schwab Corp. (The) | 555,670 | 24,916,243 | ||||||
S&P Global, Inc. | 83,700 | 13,096,539 | ||||||
|
| |||||||
38,012,782 | ||||||||
|
| |||||||
Chemicals — 1.6% | ||||||||
Air Products & Chemicals, Inc. | 88,800 | 14,157,384 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.7% | ||||||||
Waste Connections, Inc. (Canada) | 224,150 | 15,840,680 | ||||||
|
| |||||||
Food & Staples Retailing — 2.6% | ||||||||
Costco Wholesale Corp. | 145,344 | 23,412,012 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.5% | ||||||||
West Pharmaceutical Services, Inc. | 135,000 | 13,689,000 | ||||||
|
| |||||||
Health Care Providers & Services — 0.3% | ||||||||
Acadia Healthcare Co., Inc. (1) | 90,716 | 2,844,854 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.1% | ||||||||
Starbucks Corp. | 519,217 | 28,473,860 | ||||||
|
| |||||||
Insurance — 3.8% | ||||||||
Chubb, Ltd. (Switzerland) | 227,904 | 34,372,481 | ||||||
|
| |||||||
Internet & Catalog Retail — 8.9% | ||||||||
Amazon.com, Inc. (1) | 43,344 | 47,907,256 | ||||||
Priceline Group, Inc. (The) (1) | 17,082 | 32,660,101 | ||||||
|
| |||||||
80,567,357 | ||||||||
|
| |||||||
Internet Software & Services — 17.0% | ||||||||
Alphabet, Inc. — Class C (1) | 61,459 | 62,481,678 | ||||||
Equinix, Inc. | 69,055 | 32,006,992 | ||||||
Facebook, Inc. (1) | 329,977 | 59,415,659 | ||||||
|
| |||||||
153,904,329 | ||||||||
|
| |||||||
IT Services — 12.5% | ||||||||
Mastercard, Inc. | 150,100 | 22,330,377 | ||||||
PayPal Holdings, Inc. (1) | 496,760 | 36,044,906 | ||||||
Visa, Inc. | 500,504 | 55,045,430 | ||||||
|
| |||||||
113,420,713 | ||||||||
|
|
Issues | Shares | Value | ||||||
Life Sciences Tools & Services — 1.4% | ||||||||
Illumina, Inc. (1) | 63,365 | $ | 13,001,864 | |||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.5% | ||||||||
Concho Resources, Inc. (1) | 102,140 | 13,708,209 | ||||||
|
| |||||||
Pharmaceuticals — 2.9% | ||||||||
Allergan PLC (Ireland) | 73,107 | 12,956,754 | ||||||
Zoetis, Inc. | 208,500 | 13,306,470 | ||||||
|
| |||||||
26,263,224 | ||||||||
|
| |||||||
Professional Services — 1.6% | ||||||||
TransUnion (1) | 274,399 | 14,403,204 | ||||||
|
| |||||||
REIT — 5.2% | ||||||||
American Tower Corp. | 329,972 | 47,407,077 | ||||||
|
| |||||||
Software — 17.0% | ||||||||
Adobe Systems, Inc. (1) | 251,251 | 44,009,125 | ||||||
Salesforce.com, Inc. (1) | 479,308 | 49,052,381 | ||||||
ServiceNow, Inc. (1) | 269,679 | 34,079,335 | ||||||
Splunk, Inc. (1) | 407,302 | 27,411,425 | ||||||
|
| |||||||
154,552,266 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.9% | ||||||||
Fastenal Co. | 363,200 | 17,059,504 | ||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $409,166,234) | 895,795,059 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 1.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (2) | 8,779,582 | 8,779,582 | ||||||
|
| |||||||
Total Money Market Investments |
| |||||||
(Cost: $8,779,582) | 8,779,582 | |||||||
|
| |||||||
Total Investments (99.7%) |
| |||||||
(Cost: $417,945,816) | 904,574,641 | |||||||
Excess of Other Assets over Liabilities (0.30%) |
| 2,767,519 | ||||||
|
| |||||||
Net Assets (100.0%) |
| $ | 907,342,160 | |||||
|
|
Notes to the Schedule of Investments
(1) | Non-income producing security. |
(2) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
See accompanying notes to financial statements.
57
TCW Select Equities Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Beverages | 2.6 | % | ||
Biotechnology | 7.4 | |||
Capital Markets | 4.2 | |||
Chemicals | 1.6 | |||
Commercial Services & Supplies | 1.7 | |||
Food & Staples Retailing | 2.6 | |||
Health Care Equipment & Supplies | 1.5 | |||
Health Care Providers & Services | 0.3 | |||
Hotels, Restaurants & Leisure | 3.1 | |||
Insurance | 3.8 | |||
Internet & Catalog Retail | 8.9 | |||
Internet Software & Services | 17.0 | |||
IT Services | 12.5 | |||
Life Sciences Tools & Services | 1.4 | |||
Oil, Gas & Consumable Fuels | 1.5 | |||
Pharmaceuticals | 2.9 | |||
Professional Services | 1.6 | |||
REIT | 5.2 | |||
Software | 17.0 | |||
Trading Companies & Distributors | 1.9 | |||
Money Market Investments | 1.0 | |||
|
| |||
Total | 99.7 | % | ||
|
|
See accompanying notes to financial statements.
58
TCW Select Equities Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Beverages | $ | 23,913,504 | $ | — | $ | — | $ | 23,913,504 | ||||||||
Biotechnology | 66,790,755 | — | — | 66,790,755 | ||||||||||||
Capital Markets | 38,012,782 | — | — | 38,012,782 | ||||||||||||
Chemicals | 14,157,384 | — | — | 14,157,384 | ||||||||||||
Commercial Services & Supplies | 15,840,680 | — | — | 15,840,680 | ||||||||||||
Food & Staples Retailing | 23,412,012 | — | — | 23,412,012 | ||||||||||||
Health Care Equipment & Supplies | 13,689,000 | — | — | 13,689,000 | ||||||||||||
Health Care Providers & Services | 2,844,854 | — | — | 2,844,854 | ||||||||||||
Hotels, Restaurants & Leisure | 28,473,860 | — | — | 28,473,860 | ||||||||||||
Insurance | 34,372,481 | — | — | 34,372,481 | ||||||||||||
Internet & Catalog Retail | 80,567,357 | — | — | 80,567,357 | ||||||||||||
Internet Software & Services | 153,904,329 | — | — | 153,904,329 | ||||||||||||
IT Services | 113,420,713 | — | — | 113,420,713 | ||||||||||||
Life Sciences Tools & Services | 13,001,864 | — | — | 13,001,864 | ||||||||||||
Oil, Gas & Consumable Fuels | 13,708,209 | — | — | 13,708,209 | ||||||||||||
Pharmaceuticals | 26,263,224 | — | — | 26,263,224 | ||||||||||||
Professional Services | 14,403,204 | — | — | 14,403,204 | ||||||||||||
REIT | 47,407,077 | — | — | 47,407,077 | ||||||||||||
Software | 154,552,266 | — | — | 154,552,266 | ||||||||||||
Trading Companies & Distributors | 17,059,504 | — | — | 17,059,504 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 895,795,059 | — | — | 895,795,059 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 8,779,582 | — | — | 8,779,582 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 904,574,641 | $ | — | $ | — | $ | 904,574,641 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
59
TCW Funds, Inc.
October 31, 2017 |
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | TCW Focused Equities Fund | TCW Global Real Estate Fund | TCW High Dividend Equities Fund | ||||||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||||||
ASSETS |
| |||||||||||||||||||
Investments, at Value (1) | $ | 1,227 | $ | 2,328 | (1) | $ | 9,682 | $ | 3,408 | $ | 3,619 | |||||||||
Investment in Affiliated Issuers, at Value | — | 28,405 | (2) | — | — | — | ||||||||||||||
Receivable for Securities Sold | 6 | — | — | — | — | |||||||||||||||
Receivable for Fund Shares Sold | — | — | (3) | — | (3) | — | — | |||||||||||||
Dividends Receivable | — | 33 | 5 | 1 | 5 | |||||||||||||||
Foreign Tax Reclaims Receivable | — | — | 2 | — | — | |||||||||||||||
Receivable from Investment Advisor | 25 | 2 | 13 | 15 | 13 | |||||||||||||||
Prepaid Expenses | — | 23 | 20 | 6 | 6 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 1,258 | 30,791 | 9,722 | 3,430 | 3,643 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES |
| |||||||||||||||||||
Payable for Securities Purchased | 7 | 24 | — | — | — | |||||||||||||||
Payable for Fund Shares Redeemed | — | 60 | — | (3) | — | — | ||||||||||||||
Accrued Directors’ Fees and Expenses | 4 | 13 | 13 | 13 | 13 | |||||||||||||||
Accrued Management Fees | 1 | — | 6 | 2 | 2 | |||||||||||||||
Accrued Distribution Fees | — | (3) | — | (3) | — | (3) | — | (3) | — | (3) | ||||||||||
Options Written, at Value | — | — | — | — | 32 | (4) | ||||||||||||||
Other Accrued Expenses | 19 | 18 | 23 | 16 | 17 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 31 | 115 | 42 | 31 | 64 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 1,227 | $ | 30,676 | $ | 9,680 | $ | 3,399 | $ | 3,579 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||||||
Paid-in Capital | $ | 1,153 | $ | 26,833 | $ | 7,806 | $ | 3,652 | $ | 3,652 | ||||||||||
Accumulated Net Realized Gain (Loss) on Investments, Options Written and Foreign Currency | (9 | ) | 723 | (36 | ) | (534 | ) | (391 | ) | |||||||||||
Unrealized Appreciation of Investments and Options Written | 83 | 2,880 | 1,891 | 300 | 320 | |||||||||||||||
Undistributed Net Investment Income (Loss) | — | 240 | 19 | (19 | ) | (2 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 1,227 | $ | 30,676 | $ | 9,680 | $ | 3,399 | $ | 3,579 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||||||
I Class Share | $ | 695 | $ | 30,144 | $ | 8,987 | $ | 2,818 | $ | 2,976 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 532 | $ | 532 | $ | 693 | $ | 581 | $ | 603 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
CAPITAL SHARES OUTSTANDING: (5) | ||||||||||||||||||||
I Class Share | 65,264 | 2,477,605 | 420,493 | 279,130 | 308,716 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | 50,000 | 43,782 | 32,795 | 57,523 | 62,605 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSET VALUE PER SHARE: (6) |
| |||||||||||||||||||
I Class Share | $ | 10.64 | $ | 12.17 | $ | 21.37 | $ | 10.10 | $ | 9.64 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 10.64 | $ | 12.15 | $ | 21.15 | $ | 10.10 | $ | 9.64 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Artificial Intelligence Equity Fund, the TCW Conservative Allocation Fund, the TCW Focused Equities Fund, the TCW Global Real Estate Fund and the TCW High Dividend Equities Fund at October 31, 2017 was $1,144, $2,272, $7,791, $3,108 and $3,461, respectively. |
(2) | The identified cost for investments in affiliated issuers of the TCW Conservative Allocation Fund was $25,581. |
(3) | Amount rounds to less than $1. |
(4) | Premium received $194. |
(5) | The number of authorized shares, with a par value of $0.001 per share, is 4,000,000,000 for each of the I Class and N Class shares. |
(6) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
60
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2017 |
TCW New America Premier Equities Fund | TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | TCW Select Equities Fund | ||||||||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||||||||||
ASSETS | ||||||||||||||||||||
Investments, at Value (1) | $ | 18,027 | $ | 623,666 | $ | 488,744 | $ | 103,524 | $ | 904,575 | ||||||||||
Foreign Currency, at Value | — | (2)(3) | — | — | — | — | ||||||||||||||
Receivable for Securities Sold | 333 | — | 481 | 146 | 6,568 | |||||||||||||||
Receivable for Fund Shares Sold | 463 | 73 | 283 | 14 | 115 | |||||||||||||||
Dividends Receivable | 17 | 461 | 327 | 47 | 320 | |||||||||||||||
Receivable from Investment Advisor | 15 | 24 | 4 | 5 | 2 | |||||||||||||||
Cash Collateral Held for Brokers for Securities Sold Short | 183 | — | — | — | — | |||||||||||||||
Prepaid Expenses | 10 | 8 | 15 | 21 | 5 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 19,048 | 624,232 | 489,854 | 103,757 | 911,585 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES |
| |||||||||||||||||||
Payable for Securities Purchased | — | 1,188 | 734 | 379 | 2,823 | |||||||||||||||
Payable for Fund Shares Redeemed | — | 105 | 255 | 16 | 544 | |||||||||||||||
Accrued Directors’ Fees and Expenses | 13 | 13 | 13 | 13 | 13 | |||||||||||||||
Accrued Management Fees | 12 | 362 | 282 | 72 | 596 | |||||||||||||||
Accrued Distribution Fees | — | (3) | 110 | 4 | 4 | 30 | ||||||||||||||
Securities sold short, at Value | 166 | (4) | — | — | — | — | ||||||||||||||
Other Accrued Expenses | 17 | 190 | 115 | 42 | 237 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 208 | 1,968 | 1,403 | 526 | 4,243 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 18,840 | $ | 622,264 | $ | 488,451 | $ | 103,231 | $ | 907,342 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||||||
Paid-in Capital | $ | 14,771 | $ | 484,648 | $ | 237,098 | $ | 63,784 | $ | 219,361 | ||||||||||
Accumulated Net Realized Gain on Investments and Foreign Currency | 656 | 23,041 | 61,530 | 6,941 | 201,353 | |||||||||||||||
Unrealized Appreciation of Investments | 3,414 | 112,532 | 181,532 | 32,507 | 486,629 | |||||||||||||||
Undistributed Net Investment Income (Loss) | (1 | ) | 2,043 | 8,291 | (1 | ) | (1 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 18,840 | $ | 622,264 | $ | 488,451 | $ | 103,231 | $ | 907,342 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||||||||||
I Class Share | $ | 16,527 | $ | 128,498 | $ | 472,078 | $ | 84,136 | $ | 768,535 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 2,313 | $ | 493,766 | $ | 16,373 | $ | 19,095 | $ | 138,807 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
CAPITAL SHARES OUTSTANDING: (5) |
| |||||||||||||||||||
I Class Share | 1,084,578 | 6,712,909 | 19,429,618 | 3,241,469 | 25,263,235 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | 151,777 | 25,377,559 | 676,403 | 755,289 | 4,916,613 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSET VALUE PER SHARE: (6) |
| |||||||||||||||||||
I Class Share | $ | 15.24 | $ | 19.14 | $ | 24.30 | $ | 25.96 | $ | 30.42 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 15.24 | $ | 19.46 | $ | 24.21 | $ | 25.28 | $ | 28.23 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW New America Premier Equities Fund, the TCW Relative Value Dividend Appreciation Fund, the TCW Relative Value Large Cap Fund, the TCW Relative Value Mid Cap Fund and the TCW Select Equities Fund at October 31, 2017 was $14,573, $511,134, $307,212, $71,017 and $417,946, respectively. |
(2) | The identified cost for the TCW New America Premier Equities Fund at October 31, 2017 was $0. |
(3) | Amount rounds to less than $1. |
(4) | Proceeds of securities sold short is $126. |
(5) | The number of authorized shares, with a par value of $0.001 per share, is 4,000,000,000 for each of the I Class and N Class shares. |
(6) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
61
TCW Funds, Inc.
Year Ended October 31, 2017 |
TCW Artificial Intelligence Equity Fund (1) | TCW Conservative Allocation Fund | TCW Focused Equities Fund | TCW Global Real Estate Fund | TCW High Dividend Equities Fund | ||||||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||
Income: | ||||||||||||||||||||
Dividends | $ | 1 | $ | 5 | $ | 162 | (2) | $ | 123 | (2) | $ | 223 | ||||||||
Dividends from Investment in Affiliated Issuers | — | 483 | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 1 | 488 | 162 | 123 | 223 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: | ||||||||||||||||||||
Management Fees | 2 | — | 64 | 25 | 44 | |||||||||||||||
Accounting Services Fees | — | (3) | 5 | 3 | 3 | 3 | ||||||||||||||
Administration Fees | — | (3) | 3 | 2 | 1 | 2 | ||||||||||||||
Transfer Agent Fees: | ||||||||||||||||||||
I Class | 6 | 10 | 8 | 6 | 7 | |||||||||||||||
N Class | 6 | 7 | 7 | 6 | 6 | |||||||||||||||
Custodian Fees | — | (3) | 3 | 3 | 6 | 5 | ||||||||||||||
Professional Fees | 18 | 17 | 27 | 21 | 20 | |||||||||||||||
Directors’ Fees and Expenses | 8 | 44 | 44 | 44 | 44 | |||||||||||||||
Registration Fees: | ||||||||||||||||||||
I Class | 1 | 18 | 17 | 17 | 18 | |||||||||||||||
N Class | 1 | 17 | 18 | 17 | 17 | |||||||||||||||
Distribution Fees: | ||||||||||||||||||||
N Class | — | (3) | 2 | 2 | 1 | 1 | ||||||||||||||
Shareholder Reporting Expense | 5 | 2 | 2 | 1 | 1 | |||||||||||||||
Other | — | (3) | 7 | 6 | 8 | 4 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 47 | 135 | 203 | 156 | 172 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||||||
I Class | 25 | — | 70 | 78 | 65 | |||||||||||||||
N Class | 21 | 22 | 31 | 36 | 29 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 1 | 113 | 102 | 42 | 78 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income | — | 375 | 60 | 81 | 145 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Investments | (9 | ) | — | 282 | (66 | ) | 218 | |||||||||||||
Investments in Affiliated Issuers | — | 587 | — | — | — | |||||||||||||||
Realized Gain Distributed from | ||||||||||||||||||||
Affiliated Issuers | — | 448 | — | — | — | |||||||||||||||
Foreign Currency | — | — | — | (3 | ) | — | ||||||||||||||
Options Written | — | — | — | — | 23 | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||
Investments | 83 | 56 | 1,134 | 273 | 77 | |||||||||||||||
Foreign Currency | — | — | — | — | — | |||||||||||||||
Investments in Affiliated Issuers | — | 617 | — | — | — | |||||||||||||||
Options Written | — | — | — | — | 168 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 74 | 1,708 | 1,416 | 204 | 486 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 74 | $ | 2,083 | $ | 1,476 | $ | 285 | $ | 631 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | For the period August 31, 2017 (commencement of operations) through October 31, 2017. |
(2) | Net of foreign taxes withheld of $1 and $3 for the TCW Focused Equities Fund and the TCW Global Real Estate Fund, respectively. |
(3) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
62
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2017 |
TCW New America Premier Equities Fund | TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | TCW Relative Value Mid Cap Fund | TCW Select Equities Fund | ||||||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||
Income: | ||||||||||||||||||||
Dividends | $ | 136 | (1) | $ | 28,446 | (1) | $ | 14,053 | $ | 1,490 | (1) | $ | 7,115 | (1) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 136 | 28,446 | 14,053 | 1,490 | 7,115 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: | ||||||||||||||||||||
Management Fees | 95 | 5,657 | 3,168 | 826 | 7,570 | |||||||||||||||
Accounting Services Fees | 3 | 90 | 47 | 12 | 99 | |||||||||||||||
Administration Fees | 2 | 57 | 29 | 7 | 58 | |||||||||||||||
Transfer Agent Fees: | ||||||||||||||||||||
I Class | 7 | 122 | 331 | 47 | 730 | |||||||||||||||
N Class | 6 | 737 | 23 | 21 | 141 | |||||||||||||||
Custodian Fees | 5 | 5 | 5 | 5 | 10 | |||||||||||||||
Professional Fees | 26 | 65 | 36 | 29 | 46 | |||||||||||||||
Directors’ Fees and Expenses | 44 | 44 | 44 | 44 | 44 | |||||||||||||||
Registration Fees: | ||||||||||||||||||||
I Class | 21 | 19 | 23 | 18 | 34 | |||||||||||||||
N Class | 21 | 33 | 20 | 18 | 23 | |||||||||||||||
Distribution Fees: | ||||||||||||||||||||
N Class | 4 | 1,783 | 51 | 49 | 349 | |||||||||||||||
Shareholder Reporting Expense | 1 | 10 | 7 | 4 | 5 | |||||||||||||||
Other | 4 | 124 | 66 | 19 | 172 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 239 | 8,746 | 3,850 | 1,099 | 9,281 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||||||
I Class | 78 | — | — | — | — | |||||||||||||||
N Class | 37 | 383 | 33 | 41 | 69 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 124 | 8,363 | 3,817 | 1,058 | 9,212 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | 12 | 20,083 | 10,236 | 432 | (2,097 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Investments | 698 | 79,902 | 69,143 | 10,180 | 244,140 | |||||||||||||||
Foreign Currency | (2 | ) | — | — | — | — | ||||||||||||||
In-kind Realized Gain/loss (3) | — | 116,778 | — | — | — | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||
Investments | 3,234 | (74,073 | ) | 17,929 | 15,854 | (35,595 | ) | |||||||||||||
Securities Sold Short | (40 | ) | — | — | — | — | ||||||||||||||
Foreign Currency | — | (2) | — | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | 3,890 | 122,607 | 87,072 | 26,034 | 208,545 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,902 | $ | 142,690 | $ | 97,308 | $ | 26,466 | $ | 206,448 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $1, $165, $6 and $3 for the TCW New America Premier Equities Fund, the TCW Relative Value Dividend Appreciation Fund, the TCW Relative Value Mid Cap Fund and the TCW Select Equities Fund, respectively. |
(2) | Amount rounds to less than $1. |
(3) | See Note 8 in the Notes to Financial Statements. |
See accompanying notes to financial statements.
63
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Artificial Intelligence Equity Fund | TCW Conservative Allocation Fund | |||||||||||
For the period August 31, 2017 (commencement of operations) through October 31, 2017 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
OPERATIONS | ||||||||||||
Net Investment Income | $ | — | $ | 375 | $ | 446 | ||||||
Net Realized Gain (Loss) on Investments | (9 | ) | 1,035 | 1,451 | ||||||||
Change in Unrealized Appreciation on Investments | 83 | 673 | (1,658 | ) | ||||||||
|
|
|
|
|
| |||||||
Increase in Net Assets Resulting from Operations | 74 | 2,083 | 239 | |||||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||
Distributions from Net Investment Income: | ||||||||||||
I Class | — | (666 | ) | (465 | ) | |||||||
N Class | — | (20 | ) | (18 | ) | |||||||
Distributions from Net Realized Gain: | ||||||||||||
I Class | — | (1,136 | ) | (689 | ) | |||||||
N Class | — | (49 | ) | (40 | ) | |||||||
|
|
|
|
|
| |||||||
Total Distributions to Shareholders | — | (1,871 | ) | (1,212 | ) | |||||||
|
|
|
|
|
| |||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||
I Class | 653 | 930 | (4,003 | ) | ||||||||
N Class | 500 | (1,045 | ) | (230 | ) | |||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 1,153 | (115 | ) | (4,233 | ) | |||||||
|
|
|
|
|
| |||||||
Increase (Decrease) in Net Assets | 1,227 | 97 | (5,206 | ) | ||||||||
NET ASSETS | ||||||||||||
Beginning of Year | — | 30,579 | 35,785 | |||||||||
|
|
|
|
|
| |||||||
End of Year | $ | 1,227 | $ | 30,676 | $ | 30,579 | ||||||
|
|
|
|
|
| |||||||
Undistributed Net Investment Income | $ | — | $ | 240 | $ | 340 |
See accompanying notes to financial statements.
64
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Focused Equities Fund | TCW Global Real Estate Fund | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income | $ | 60 | $ | 106 | $ | 81 | $ | 123 | ||||||||
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | 282 | (230 | ) | (69 | ) | (518 | ) | |||||||||
Change in Unrealized Appreciation on Investments | 1,134 | 214 | 273 | 69 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 1,476 | 90 | 285 | (326 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (119 | ) | (64 | ) | (70 | ) | (98 | ) | ||||||||
N Class | (12 | ) | (13 | ) | (15 | ) | (15 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | — | (5 | ) | |||||||||||
N Class | — | — | — | (1 | ) | |||||||||||
Distributions from Return of Capital: | ||||||||||||||||
I Class | — | — | — | (10 | ) | |||||||||||
N Class | — | — | — | (2 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (131 | ) | (77 | ) | (85 | ) | (131 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | (1,143 | ) | (559 | ) | (842 | ) | (380 | ) | ||||||||
N Class | (383 | ) | (433 | ) | 25 | 23 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (1,526 | ) | (992 | ) | (817 | ) | (357 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in Net Assets | (181 | ) | (979 | ) | (617 | ) | (814 | ) | ||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Year | 9,861 | 10,840 | 4,016 | 4,830 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 9,680 | $ | 9,861 | $ | 3,399 | $ | 4,016 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | 19 | $ | 100 | $ | (19 | ) | $ | (1 | ) |
See accompanying notes to financial statements.
65
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW High Dividend Equities Fund | TCW New America Premier Equities Fund | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | For the period January 29, 2016 (Commencement of Operations) through October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income | $ | 145 | $ | 166 | $ | 12 | $ | 25 | ||||||||
Net Realized Gain (Loss) on Investments, Options Written and Foreign Currency Transactions | 241 | (442 | ) | 696 | 130 | |||||||||||
Change in Unrealized Appreciation on Investments and Options Written | 245 | 412 | 3,194 | 220 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 631 | 136 | 3,902 | 375 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (106 | ) | (143 | ) | (36 | ) | — | |||||||||
N Class | (10 | ) | (10 | ) | (5 | ) | — | |||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (115 | ) | — | |||||||||||
N Class | — | — | (17 | ) | — | |||||||||||
Distributions from Return of Capital: | ||||||||||||||||
I Class | (24 | ) | (15 | ) | — | — | ||||||||||
N Class | (2 | ) | (1 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (142 | ) | (169 | ) | (173 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | (9,001 | ) | 7,588 | 10,113 | 2,891 | |||||||||||
N Class | 96 | (38 | ) | 727 | 1,005 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (8,905 | ) | 7,550 | 10,840 | 3,896 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (8,416 | ) | 7,517 | 14,569 | 4,271 | |||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Year | 11,995 | 4,478 | 4,271 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 3,579 | $ | 11,995 | $ | 18,840 | $ | 4,271 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | (2 | ) | $ | — | $ | (1 | ) | $ | 26 |
See accompanying notes to financial statements.
66
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Relative Value Dividend Appreciation Fund | TCW Relative Value Large Cap Fund | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 20,083 | $ | 19,857 | $ | 10,236 | $ | 9,468 | ||||||||
Net Realized Gain on Investments | 196,680 | 46,231 | 69,143 | 33,789 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | (74,073 | ) | (19,557 | ) | 17,929 | (30,718 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 142,690 | 46,531 | 97,308 | 12,539 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (3,591 | ) | (3,005 | ) | (8,711 | ) | (7,528 | ) | ||||||||
N Class | (14,872 | ) | (14,089 | ) | (328 | ) | (227 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (23,770 | ) | (25,919 | ) | ||||||||||
N Class | — | — | (1,014 | ) | (975 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (18,463 | ) | (17,094 | ) | (33,823 | ) | (34,649 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (58,271 | ) | (14,631 | ) | (69,061 | ) | (166,273 | ) | ||||||||
N Class | (485,444 | ) | (27,292 | ) | (5,677 | ) | (4,954 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (543,715 | ) | (41,923 | ) | (74,738 | ) | (171,227 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in Net Assets | (419,488 | ) | (12,486 | ) | (11,253 | ) | (193,337 | ) | ||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 1,041,752 | 1,054,238 | 499,704 | 693,041 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 622,264 | $ | 1,041,752 | $ | 488,451 | $ | 499,704 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income | $ | 2,043 | $ | 1,661 | $ | 8,291 | $ | 7,591 |
See accompanying notes to financial statements.
67
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Relative Value Mid Cap Fund | TCW Select Equities Fund | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income (Loss) | $ | 432 | $ | 877 | $ | (2,097 | ) | $ | (6,696 | ) | ||||||
Net Realized Gain (Loss) on Investments | 10,180 | (1,293 | ) | 244,140 | 100,802 | |||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | 15,854 | 2,273 | (35,595 | ) | (206,536 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 26,466 | 1,857 | 206,448 | (112,430 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (479 | ) | (644 | ) | — | — | ||||||||||
N Class | (79 | ) | (81 | ) | — | — | ||||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | (11,118 | ) | (74,719 | ) | (115,798 | ) | |||||||||
N Class | — | (2,394 | ) | (9,066 | ) | (21,972 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (558 | ) | (14,237 | ) | (83,785 | ) | (137,770 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (11,805 | ) | (8,116 | ) | (597,986 | ) | (158,555 | ) | ||||||||
N Class | (2,551 | ) | (740 | ) | (33,131 | ) | (78,565 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (14,356 | ) | (8,856 | ) | (631,117 | ) | (237,120 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 11,552 | (21,236 | ) | (508,454 | ) | (487,320 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 91,679 | 112,915 | 1,415,796 | 1,903,116 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 103,231 | $ | 91,679 | $ | 907,342 | $ | 1,415,796 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income (Loss) | $ | (1 | ) | $ | 42 | $ | (1 | ) | $ | (1 | ) |
See accompanying notes to financial statements.
68
TCW Funds, Inc.
October 31, 2017 |
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), that currently offers 21 no-load mutual funds (each series, a “Fund” and collectively, the “Funds”). TCW Investment Management Company LLC (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940. Each Fund has distinct investment objectives. The following are the objectives for the 10 U.S. Equity Funds that are covered in this report:
TCW Fund | Investment Objective | |
Non-Diversified U.S. Equity Fund | ||
TCW Artificial Intelligence Equity Fund | Seeks to provide long term capital appreciation by investing at least 80% of the value of its net assets, in publicly traded equity securities of growth businesses that the portfolio managers believe are benefitting from or have the potential to benefit from advances in the use of artificial intelligence. | |
Diversified U.S. Equity Funds | ||
TCW Focused Equities Fund | Seeks to provide long-term capital appreciation by investing at least 80% of the value of its net assets in publicly traded equity securities of companies with market capitalizations of greater than $3 billion dollars at the time of acquisition. | |
TCW Global Real Estate Fund | Seeks to maximize total return from current income and long-term capital growth by investing at least 80% of its net assets in equity securities of real estate investment trusts (“REITs”) and real estate companies. | |
TCW High Dividend Equities Fund | Seeks high total return from current income and capital appreciation by investing at least 80% of the value of its net assets in equity securities of U.S. issuers with history of paying high dividends. | |
TCW New America Premier Equities Fund | Seeks to provide long-term capital appreciation by investing at least 80% under normal circumstances of the value of its net assets in companies with enduring, cash generating business whose leaders prudently manage their environmental, social, and financial resources and whose shares are attractively valued relative to free cash flow generating by the businesses. | |
TCW Relative Value Dividend Appreciation Fund | Seeks to generate a high level of dividend income along with capital appreciation by investing at least 80% of the value of its net assets in equity securities of companies that have a record of paying dividends. | |
TCW Relative Value Large Cap Fund | Seeks capital appreciation, with a secondary goal of current income, by investing at least 80% of the value of its net assets in equity securities of companies with a market capitalization of greater than $1 billion at the time of purchase. |
69
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 1 — Organization (Continued)
TCW Fund | Investment Objective | |
TCW Relative Value Mid Cap Fund | Seeks to provide long-term capital appreciation by investing at least 65% of the value of its net assets in equity securities issued by companies with market capitalizations at the time of acquisition, within the capitalization ranges of the companies comprising the Russell Mid Cap Index. | |
TCW Select Equities Fund | Seeks to provide long-term capital appreciation by investing primarily in equity securities that the portfolio manager believes to have strong and enduring business models and inherent advantages over their companies. | |
Fund of Funds | ||
TCW Conservative Allocation Fund | Seeks to provide current income, and secondarily, long-term capital appreciation by investing in a combination of fixed income funds and equity funds that utilize diverse investment styles such as growth and/or value investing. The Fund invests between 20% and 60% of its net assets in equity funds and between 40% and 80% in fixed income funds. The Fund may also invests in ETFs. |
All Funds offer two classes of shares: I Class and N Class. The Classes are substantially the same except that the N Class shares are subject to a distribution fee.
The TCW Conservative Allocation Fund is a “fund of funds” that invests in affiliated funds which are identified on the Schedule of Investments.
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and which are consistently followed by the Funds in the preparation of their financial statements. Each Fund is considered an investment company under the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) No. 946, Financial Services — Investment Companies.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Net Asset Value: The net asset value (“NAV”) per share of each class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that class on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Equity securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on the exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using official closing prices as reported by NASDAQ. Options on equity securities and options on indexes are valued using mid prices (average of bid and ask prices) as reported by the exchange or pricing service. Investments in open-end mutual funds are valued based on the NAV per share as reported by the
70
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
fund companies. All other securities for which over-the-counter (“OTC”) market quotations are readily available, including short-term securities, are valued with prices furnished by independent pricing services or by broker dealers.
The Company has adopted, after the approval by the Company’s Board of Directors (the “Board” and each member thereof a “Director”), a fair valuation methodology for foreign equity securities (exclusive of certain Latin American and Canadian equity securities). This methodology is designed to address the effect of movements in the U.S. market on the securities traded on foreign exchanges that have been closed for a period of time due to time zones differences. The utilization of the fair value model may result in the adjustment of prices taking into account fluctuations in the U.S. market. The fair value model is utilized each trading day and not dependent on certain thresholds or triggers.
Securities for which market quotations are not readily available, including circumstances under which the prices received are not reflective of a security’s market value, are valued by the Advisor in good faith under procedures established by and under the general supervision of the Board.
Fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Funds disclose investments in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value based on inputs. Inputs that go into fair value measurement refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 — | quoted prices in active markets for identical investments | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
71
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 are categorized in Level 2 of the fair value hierarchy.
Master Limited Partnerships. Master Limited Partnerships are generally valued based on quoted prices from the applicable exchange. They are categorized in Level 1 of the fair value hierarchy.
Mutual funds. Open-end mutual funds are valued using the NAV as reported by the fund companies. As such, they are categorized in Level 1.
Options contracts. Option contracts traded on securities exchanges are fair valued using market mid prices; as such, they are categorized in Level 1. Option contracts traded OTC are fair valued based on pricing models and incorporate various inputs such as interest rate, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-money contracts on a given strike price. To the extent that these inputs are observable and timely, the fair value of OTC option contracts would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
The summary of the inputs used as of October 31, 2017 in valuing the Fund’s investments is listed after each Fund’s Schedule of Investments.
The Funds held no investments or other financial instruments at October 31, 2017 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, 2017.
72
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
Foreign Currency Translation: The books and records of each Fund are maintained in U.S. dollars as follows: (1) the market value of foreign securities, and other assets and liabilities stated in foreign currencies, are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are included in, or are a reduction of, ordinary income for federal income tax purposes.
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, 2017, the TCW Global Real Estate Fund and the TCW High Dividend Equities Fund had the following derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Numbers of Contracts):
Equity Risk | Total | |||||||
TCW Global Real Estate Fund | ||||||||
Statement of Operations: | ||||||||
Realized Gain (Loss) | ||||||||
Investments (1) | $ | (7 | ) | $ | (7 | ) | ||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | (7 | ) | $ | (7 | ) | ||
|
|
|
| |||||
Number of Contracts (4) | ||||||||
Options Purchased | 29 | 29 |
73
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Equity Risk | Total | |||||||
TCW High Dividend Equities Fund | ||||||||
Statement of Asset and Liabilities | ||||||||
Asset Derivatives | ||||||||
Investments (2) | $ | 61 | $ | 61 | ||||
|
|
|
| |||||
Total Value | $ | 61 | $ | 61 | ||||
|
|
|
| |||||
Liability Derivatives | ||||||||
Written Options | $ | (32 | ) | $ | (32 | ) | ||
|
|
|
| |||||
Total Value | $ | (32 | ) | $ | (32 | ) | ||
|
|
|
| |||||
Statement of Operations: | ||||||||
Realized Gain (Loss) | ||||||||
Investments (1) | $ | (186 | ) | $ | (186 | ) | ||
Written Options | 23 | 23 | ||||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | (163 | ) | $ | (163 | ) | ||
|
|
|
| |||||
Change In Appreciation (Depreciation) | ||||||||
Investments (3) | $ | (164 | ) | $ | (164 | ) | ||
Written Options | 168 | 168 | ||||||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | 4 | $ | 4 | ||||
|
|
|
| |||||
Number of Contracts (4) | ||||||||
Options Purchased | 285 | 285 | ||||||
Options Written | 235 | 235 |
(1) | Represents realized loss for purchased options. |
(2) | Represents purchased options, at value. |
(3) | Represents unrealized loss for purchased options. |
(4) | Amount disclosed represents average number of contracts, which are representative of the volume traded for the year ended October 31, 2017. |
Options: The Funds purchase and sell put and call options on a security or an index of securities to enhance investment performance and to protect against changes in market prices. The Funds may also enter into currency options to hedge against currency fluctuations.
A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the 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
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TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. Premiums paid for purchasing options that expire are treated as realized losses.
Options traded on a securities or options exchange typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration.
During the year ended October 31, 2017, TCW Global Real Estate Fund and TCW High Dividend Equities Fund entered into option contracts to increase the yield of the Funds and/or to hedge the Funds’ investments from market volatility.
When-Issued, Delayed-Delivery and Forward Commitment Transactions: The Funds, with the exception of the TCW Conservative Allocation Fund, may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If the Fund’s counterparty fails to deliver a security purchased on a when issued, delayed delivery or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the values of the subject securities will fluctuate with market conditions. In addition, because a Fund is not required to pay for when-issued, delayed-delivery or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not set aside liquid assets to cover the commitment. To guard against the deemed leverage, the Fund monitors the obligations under these transactions on a daily basis and ensures that the Fund has sufficient liquid assets to cover them.
Repurchase Agreements: The Funds may enter into Repurchase Agreements, under the terms of a Master Repurchase Agreement (“MRA”). The MRA permits each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund recognizes a
75
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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, 2017.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the year ended October 31, 2017.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the share classes of the Funds based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of that class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class specific fees and expenses will result in differences in net investment income for each class, and in turn differences in dividends paid by each class.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Global Real Estate Fund, 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 GAAP. These differences are primarily due to differing treatments for foreign currency transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax differences which will reverse in subsequent periods. Any taxable income or capital gain remaining at fiscal year-end is distributed in the following year. Distributions received from real estate investment trusts may include return of capital which is treated as a reduction in the cost basis of those investments. Distributions received, if any, in excess of the cost basis of a security is recognized as capital gain.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Note 3 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high
76
TCW Funds, Inc.
October 31, 2017 |
Note 3 — Risk Considerations (Continued)
yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds invest in private placements and Rule 144A securities.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties.
Investment Style Risk: Certain Funds may also be subject to investment style risk. The Advisor’s investment styles may be out of favor at times or may not produce the best results over short or longer time periods and may increase the volatility of a Fund’s share price.
Equity Risk: Equity securities may include common stock, preferred stock or other securities representing an ownership interest of the right to acquire an ownership interest in an issuer. Equity risk is the risk that stocks and other equity securities generally fluctuate in value more than bonds and can decline in value over short or extended periods. The value of stocks and other equity securities will be affected by changes in a company’s financial condition and in overall market, economic and political conditions.
For complete information on the various risks involved, please refer to the Funds’ prospectus and the Statement of Additional Information which can be obtained on the Funds’ website (www.tcw.com) or by calling the customer service.
Note 4 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At October 31, 2017, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Artificial Intelligence Equity Fund | $ | — | (1) | $ | — | $ | — | (1) | ||||
TCW Conservative Allocation Fund | 242 | 749 | 991 | |||||||||
TCW Focused Equities Fund | 31 | — | 31 | |||||||||
TCW Global Real Estate Fund | 14 | — | 14 | |||||||||
TCW New America Premier Equities Fund | 669 | 8 | 677 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 2,044 | 22,669 | 24,713 | |||||||||
TCW Relative Value Large Cap Fund | 9,182 | 61,294 | 70,476 | |||||||||
TCW Relative Value Mid Cap Fund | 366 | 7,415 | 7,781 | |||||||||
TCW Select Equities Fund | — | 201,823 | 201,823 |
(1) | Amounts round to less than $1. |
77
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 4 — Federal Income Taxes (Continued)
For the prior fiscal year ended October 31, 2016, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | �� | Total Distributable Earnings | |||||||||
TCW Conservative Allocation Fund | $ | 341 | $ | 1,185 | $ | 1,526 | ||||||
TCW Focused Equities Fund | 109 | — | 109 | |||||||||
TCW New America Premier Equities Fund | 160 | — | 160 | |||||||||
TCW Relative Value Dividend Appreciation Fund | 1,661 | — | 1,661 | |||||||||
TCW Relative Value Large Cap Fund | 7,592 | 24,779 | 32,371 | |||||||||
TCW Relative Value Mid Cap Fund | 42 | — | 42 | |||||||||
TCW Select Equities Fund | — | 83,783 | 83,783 |
Permanent differences incurred during the year ended October 31, 2017 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 Artificial Intelligence Equity Fund | $ | — | (1) | $ | — | $ | — | (1) | ||||
TCW Conservative Allocation Fund | 211 | (259 | ) | 48 | ||||||||
TCW Focused Equities Fund | (10 | ) | 6,291 | (6,281 | ) | |||||||
TCW Global Real Estate Fund | (14 | ) | 44 | (30 | ) | |||||||
TCW High Dividend Equities Fund | (31 | ) | 31 | — | ||||||||
TCW New America Premier Equities Fund | 2 | (39 | ) | 37 | ||||||||
TCW Relative Value Dividend Appreciation Fund | (1,238 | ) | (128,001 | ) | 129,239 | |||||||
TCW Relative Value Large Cap Fund | (497 | ) | (6,477 | ) | 6,974 | |||||||
TCW Relative Value Mid Cap Fund | 83 | (928 | ) | 845 | ||||||||
TCW Select Equities Fund | 2,097 | (41,308 | ) | 39,211 |
(1) | Amount rounds to less than $1. |
During the year ended October 31, 2017, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Conservative Allocation Fund | $ | 686 | $ | 1,185 | $ | — | $ | 1,871 | ||||||||
TCW Focused Equities Fund | 131 | — | — | 131 | ||||||||||||
TCW Global Real Estate Fund | 85 | — | — | 85 | ||||||||||||
TCW High Dividend Equities Fund | 116 | — | 26 | 142 | ||||||||||||
TCW New America Premier Equities Fund | 173 | — | — | 173 | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 18,463 | — | — | 18,463 | ||||||||||||
TCW Relative Value Large Cap Fund | 9,039 | 24,784 | — | 33,823 | ||||||||||||
TCW Relative Value Mid Cap Fund | 558 | — | — | 558 | ||||||||||||
TCW Select Equities Fund | — | 83,785 | — | 83,785 |
78
TCW Funds, Inc.
October 31, 2017 |
Note 4 — Federal Income Taxes (Continued)
During the prior fiscal year ended October 31, 2016, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | |||||||||||||
TCW Conservative Allocation Fund | $ | 483 | $ | 729 | $ | — | 1,212 | |||||||||
TCW Focused Equities Fund | 77 | — | — | 77 | ||||||||||||
TCW Global Real Estate Fund | 113 | 6 | 12 | 131 | ||||||||||||
TCW High Dividend Equities Fund | 153 | — | 16 | 169 | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 17,094 | — | — | 17,094 | ||||||||||||
TCW Relative Value Large Cap Fund | 7,755 | 26,894 | — | 34,649 | ||||||||||||
TCW Relative Value Mid Cap Fund | 725 | 13,512 | — | 14,237 | ||||||||||||
TCW Select Equities Fund | 12,885 | 124,885 | — | 137,770 |
At October 31, 2017, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows (amounts in thousands):
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Artificial Intelligence Equity Fund | $ | 92 | $ | (9 | ) | $ | 83 | $ | 1,144 | |||||||
TCW Conservative Allocation Fund | 2,939 | (85 | ) | 2,854 | 27,879 | |||||||||||
TCW Focused Equities Fund | 2,164 | (319 | ) | 1,845 | 7,837 | |||||||||||
TCW Global Real Estate Fund | 313 | (69 | ) | 244 | 3,163 | |||||||||||
TCW High Dividend Equities Fund | 548 | (247 | ) | 301 | 3,284 | |||||||||||
TCW New America Premier Equities Fund | 3,457 | (63 | ) | 3,394 | 14,466 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | 151,059 | (38,156 | ) | 112,903 | 510,763 | |||||||||||
TCW Relative Value Large Cap Fund | 187,203 | (6,326 | ) | 180,877 | 307,866 | |||||||||||
TCW Relative Value Mid Cap Fund | 33,198 | (1,532 | ) | 31,666 | 71,858 | |||||||||||
TCW Select Equities Fund | 497,848 | (11,689 | ) | 486,159 | 418,416 |
Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in the pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
At October 31, 2017, the following Funds had net realized loss carryforwards for federal income tax purposes (amounts in thousands):
Short-Term Capital losses | Long-Term Capital Losses | Total | ||||||||||
TCW Artificial Intelligence Equity Fund | $ | 8 | $ | — | $ | 8 | ||||||
TCW Global Real Estate Fund | 451 | 60 | 511 | |||||||||
TCW High Dividend Equities Fund | 373 | — | 373 |
The Funds did not have any unrecognized tax benefits at October 31, 2017, nor were there any increases or decreases in unrecognized tax benefits for the year ended October 31, 2017. The Funds are subject to examination by the U.S. Federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively
79
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 5 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net assets:
TCW Artificial Intelligence Equity Fund | 0.80 | % | ||
TCW Focused Equities Fund | 0.65 | % | ||
TCW Global Real Estate Fund | 0.80 | % | ||
TCW High Dividend Equities Fund | 0.65 | % | ||
TCW New America Premier Equities Fund | 0.80 | % | ||
TCW Relative Value Dividend Appreciation Fund | 0.65 | % | ||
TCW Relative Value Large Cap Fund | 0.65 | % | ||
TCW Relative Value Mid Cap Fund | 0.80 | % | ||
TCW Select Equities Fund | 0.75 | % |
The TCW Conservative Allocation Fund does not pay management fees to the Advisor; however, the Fund pays management fees to the Advisor indirectly, as a shareholder in the affiliated funds.
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets.
TCW Artificial Intelligence Equity Fund | ||||
I Class | 1.05 | % (1) | ||
N Class | 1.05 | % (1) | ||
TCW Conservative Allocation Fund | ||||
I Class | 0.85 | % (1) | ||
N Class | 0.85 | % (1) | ||
TCW Focused Equities Fund | ||||
I Class | 1.09 | % (1) | ||
N Class | 1.09 | % (1) | ||
TCW Global Real Estate Fund | ||||
I Class | 1.46 | % (1) | ||
N Class | 1.46 | % (1) | ||
TCW High Dividend Equities Fund | ||||
I Class | 1.18 | % (1) | ||
N Class | 1.18 | % (1) | ||
TCW New America Premier Equities Fund | ||||
I Class | 1.04 | % (1) | ||
N Class | 1.04 | % (1) | ||
TCW Relative Value Dividend Appreciation Fund | ||||
I Class | 1.00 | % (1) | ||
N Class | 1.00 | % (1) | ||
TCW Relative Value Large Cap Fund | ||||
I Class | 1.00 | % (1) | ||
N Class | 1.00 | % (1) | ||
TCW Relative Value Mid Cap Fund | ||||
I Class | 1.16 | % (1) | ||
N Class | 1.16 | % (1) | ||
TCW Select Equities Fund | ||||
I Class | 1.11 | % (2) | ||
N Class | 1.11 | % (2) |
(1) | These limitations are based on an agreement between the Advisor and the Company. |
(2) | Limitations based on average expense ratio as reported by Lipper, Inc., which is subject to change on a monthly basis. This ratio was in effect as of October 31, 2017. These limitations are voluntary and terminable in a six month notice. |
The amount borne by the Advisor during a fiscal year when the operating expenses of a Fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop
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TCW Funds, Inc.
October 31, 2017 |
Note 5 — Fund Management Fees and Other Expenses (Continued)
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 is shown on the Statement of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Total accrued and deferred amounts are recorded on the Fund’s books as other liabilities.
Note 6 — Distribution Plan
TCW Funds Distributors LLC (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 7 — Transactions with Affiliates
The ownership percentage of the TCW Conservative Allocation Fund in each of the affiliated underlying funds at October 31, 2017 is as follows:
Name of Affiliated Fund | Ownership Percentage (1) | |||
Metropolitan West Low Duration Bond Fund | 0.10 | % | ||
Metropolitan West Total Return Bond Fund | 0.01 | % | ||
Metropolitan West Unconstrained Bond Fund | 0.15 | % | ||
TCW / Gargoyle Dynamic 500 Fund | 34.18 | % | ||
TCW / Gargoyle Hedged Value Fund | 2.28 | % | ||
TCW Global Bond Fund | 4.29 | % | ||
TCW New America Premier Equities Fund | 15.05 | % | ||
TCW Relative Value Large Cap Fund | 0.65 | % | ||
TCW Select Equities Fund | 0.19 | % | ||
TCW Total Return Bond Fund | 0.04 | % |
(1) | Percentage ownership based on total net assets of the underlying fund. |
The financial statements of the Funds not contained in this report are available by calling 800-FUND-TCW (800-386-3829) or by going to the SEC website at www.sec.gov.
Note 8 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the year ended October 31, 2017, were as follows (amounts in thousands):
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Artificial Intelligence Equity Fund | $ | 1,261 | $ | 144 | $ | — | $ | — | ||||||||
TCW Conservative Allocation Fund | 16,684 | 17,640 | — | — | ||||||||||||
TCW Focused Equities Fund | 1,826 | 3,322 | — | — | ||||||||||||
TCW Global Real Estate Fund | 2,314 | 3,194 | — | — | ||||||||||||
TCW High Dividend Equities Fund | 9,099 | 17,274 | — | — | ||||||||||||
TCW New America Premier Equities Fund | 22,034 | 12,626 | — | — | ||||||||||||
TCW Relative Value Dividend Appreciation Fund | 203,134 | 372,672 | — | — | ||||||||||||
TCW Relative Value Large Cap Fund | 117,925 | 218,453 | — | — | ||||||||||||
TCW Relative Value Mid Cap Fund | 32,387 | 48,081 | — | — | ||||||||||||
TCW Select Equities Fund | 177,876 | 874,506 | — | — |
81
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 8 — Purchases and Sales of Securities (Continued)
During the year ended October 31, 2017, the TCW Relative Value Dividend Appreciation Fund delivered securities in exchange for shares redeemed by a shareholder in an in-kind redemption valued at $373,555 (amount in thousands) on the date of transfer. The shareholder is a nonaffiliate of the Advisor. For financial reporting purposes, the Fund recognizes a gain or loss on the transfer of securities; however, the gain or loss is not recognized for tax purposes and is reclassified from undistributed realized gain (loss) to paid-in capital. The Fund realized $116,778 (amount in thousands) of net gain attributable to the in-kind redemption.
Note 9 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Artificial Intelligence Equity Fund | August 31, 2017 (Commencement of Operations) through October 31, 2017 | |||||||||||||||
I Class | Shares | Amount (in thousands) | ||||||||||||||
Shares Sold | 65,264 | $ | 653 | |||||||||||||
|
|
|
| |||||||||||||
Net Increase | 65,264 | $ | 653 | |||||||||||||
|
|
|
| |||||||||||||
N Class | Shares | Amount (in thousands) | ||||||||||||||
Shares Sold | 50,000 | $ | 500 | |||||||||||||
|
|
|
| |||||||||||||
Net Increase | 50,000 | $ | 500 | |||||||||||||
|
|
|
| |||||||||||||
TCW Conservative Allocation Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 186,502 | $ | 2,188 | 266,269 | $ | 3,156 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 155,467 | 1,761 | 94,762 | 1,131 | ||||||||||||
Shares Redeemed | (254,486 | ) | (3,019 | ) | (683,727 | ) | (8,290 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 87,483 | $ | 930 | (322,696 | ) | $ | (4,003 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 26,148 | $ | 313 | 40,211 | $ | 479 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 5,978 | 68 | 4,787 | 57 | ||||||||||||
Shares Redeemed | (120,636 | ) | (1,426 | ) | (63,507 | ) | (766 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (88,510 | ) | $ | (1,045 | ) | (18,509 | ) | $ | (230 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Focused Equities Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 17,594 | $ | 360 | 205,905 | $ | 3,451 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 5,551 | 109 | 2,922 | 55 | ||||||||||||
Shares Redeemed | (79,622 | ) | (1,612 | ) | (214,385 | ) | (4,065 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (56,477 | ) | $ | (1,143 | ) | (5,558 | ) | $ | (559 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 846 | $ | 17 | 1,638 | $ | 29 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 629 | 12 | 688 | 13 | ||||||||||||
Shares Redeemed | (20,542 | ) | (412 | ) | (25,999 | ) | (475 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (19,067 | ) | $ | (383 | ) | (23,673 | ) | $ | (433 | ) | ||||||
|
|
|
|
|
|
|
|
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TCW Funds, Inc.
October 31, 2017 |
Note 9 — Capital Share Transactions (Continued)
TCW Global Real Estate Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 33,764 | $ | 329 | 184,189 | $ | 1,795 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 6,976 | 67 | 11,410 | 112 | ||||||||||||
Shares Redeemed | (133,260 | ) | (1,238 | ) | (269,042 | ) | (2,287 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net Decrease | (92,520 | ) | $ | (842 | ) | (73,443 | ) | $ | (380 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,031 | $ | 20 | 568 | $ | 5 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,581 | 15 | 1,801 | 18 | ||||||||||||
Shares Redeemed | (1,041 | ) | (10 | ) | (10 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,571 | $ | 25 | 2,359 | $ | 23 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW High Dividend Equities Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 50,370 | $ | 486 | 912,708 | $ | 8,121 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 11,466 | 110 | 15,211 | 138 | ||||||||||||
Shares Redeemed | (1,046,503 | ) | (9,597 | ) | (76,372 | ) | (671 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (984,667 | ) | $ | (9,001 | ) | 851,547 | $ | 7,588 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 8,821 | $ | 84 | 1,406 | $ | 12 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,267 | 12 | 1,234 | 11 | ||||||||||||
Shares Redeemed | — | — | (6,727 | ) | (61 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 10,088 | $ | 96 | (4,087 | ) | $ | (38 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW New America Premier Equities Fund | Year Ended October 31, 2017 | January 29, 2016 (Commencement of Operations) through October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 889,822 | $ | 11,268 | 279,930 | $ | 2,891 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 12,994 | 146 | — | — | ||||||||||||
Shares Redeemed | (98,168 | ) | (1,301 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 804,648 | $ | 10,113 | 279,930 | $ | 2,891 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 51,050 | $ | 726 | 100,450 | $ | 1,005 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,001 | 23 | — | — | ||||||||||||
Shares Redeemed | (1,724 | ) | (22 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 51,327 | $ | 727 | 100,450 | $ | 1,005 | ||||||||||
|
|
|
|
|
|
|
|
83
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 9 — Capital Share Transactions (Continued)
TCW Relative Value Dividend Appreciation Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,571,327 | $ | 29,392 | 948,410 | $ | 15,498 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 174,490 | 3,283 | 170,136 | 2,833 | ||||||||||||
Shares Redeemed | (4,785,356 | ) | (90,946 | ) | (2,020,794 | ) | (32,962 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (3,039,539 | ) | $ | (58,271 | ) | (902,248 | ) | $ | (14,631 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 24,813,876 | $ | 468,038 | 9,410,205 | $ | 155,007 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 773,578 | 14,787 | 827,154 | 14,023 | ||||||||||||
Shares Redeemed | (31,373,199 | ) | (594,714 | ) | (11,784,787 | ) | (196,322 | ) | ||||||||
Shares Redeemed through in-kind Redemptions | (19,698,827 | ) | (373,555 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (25,484,572 | ) | $ | (485,444 | ) | (1,547,428 | ) | $ | (27,292 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Large Cap Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,241,430 | $ | 51,607 | 3,071,355 | $ | 61,967 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,432,234 | 31,595 | 1,619,808 | 32,801 | ||||||||||||
Shares Redeemed | (6,703,734 | ) | (152,263 | ) | (12,606,029 | ) | (261,041 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (3,030,070 | ) | $ | (69,061 | ) | (7,914,866 | ) | $ | (166,273 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 99,985 | $ | 2,299 | 288,193 | $ | 5,723 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 60,256 | 1,327 | 58,635 | 1,186 | ||||||||||||
Shares Redeemed | (400,430 | ) | (9,303 | ) | (574,905 | ) | (11,863 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (240,189 | ) | $ | (5,677 | ) | (228,077 | ) | $ | (4,954 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Relative Value Mid Cap Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 365,523 | $ | 8,619 | 485,901 | $ | 9,717 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 20,199 | 461 | 618,869 | 11,338 | ||||||||||||
Shares Redeemed | (883,074 | ) | (20,885 | ) | (1,527,336 | ) | (29,171 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (497,352 | ) | $ | (11,805 | ) | (422,566 | ) | $ | (8,116 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 133,705 | $ | 3,025 | 71,949 | $ | 1,214 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,399 | 76 | 132,387 | 2,366 | ||||||||||||
Shares Redeemed | (245,555 | ) | (5,652 | ) | (233,700 | ) | (4,320 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (108,451 | ) | $ | (2,551 | ) | (29,364 | ) | $ | (740 | ) | ||||||
|
|
|
|
|
|
|
|
84
TCW Funds, Inc.
October 31, 2017 |
Note 9 — Capital Share Transactions (Continued)
TCW Select Equities Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 4,737,934 | $ | 124,547 | 14,358,052 | $ | 377,427 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,164,576 | 27,822 | 1,713,253 | 47,526 | ||||||||||||
Shares Redeemed | (29,165,155 | ) | (750,355 | ) | (22,491,120 | ) | (583,508 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (23,262,645 | ) | $ | (597,986 | ) | (6,419,815 | ) | $ | (158,555 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 229,950 | $ | 5,748 | 2,068,585 | $ | 54,054 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 396,802 | 8,817 | 832,078 | 21,617 | ||||||||||||
Shares Redeemed | (1,917,314 | ) | (47,696 | ) | (6,511,018 | ) | (154,236 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,290,562 | ) | $ | (33,131 | ) | (3,610,355 | ) | $ | (78,565 | ) | ||||||
|
|
|
|
|
|
|
|
Note 10 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933 (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities at October 31, 2017.
Note 11 — Committed Line Of Credit
The Company has entered into a $100,000,000 committed revolving line of credit agreement with the State Street Bank and Trust Company (the “Bank”) for temporary borrowing purposes with an expiration date of December 29, 2017. The interest rate on borrowing is the higher of the Federal Funds rate or the overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit as of or during the year ended October 31, 2017. The Funds pay the Bank a commitment fee equal to 0.25% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the statements of operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
Note 12 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by any Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is
85
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 12 — Indemnifications (Continued)
unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
Note 13 — Subsequent Event
On December 11, 2017, the Advisor recommended and the Board approved the liquidation of the TCW High Dividend Equities Fund. As a result, the Fund will liquidate and distribute its assets to its shareholders on or about January 25, 2018. The Fund no longer accepts any new subscriptions or exchanges into the Fund. Shareholders can redeem their Fund shares, or exchange them for shares of other TCW Funds, any time before the liquidation date in accordance with the Fund’s normal procedures.
86
TCW Artificial Intelligence Equity Fund
Financial Highlights — I Class
August 31, 2017 (commencement of operations) through October 31, 2017 | ||||
Net Asset Value per Share, Beginning of Year | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: |
| |||
Net Investment Income (Loss) | (0.00 | ) (2) | ||
Net Realized and Unrealized Gain on Investments (1) | 0.64 | |||
|
| |||
Total from Investment Operations | 0.64 | |||
|
| |||
Net Asset Value per Share, End of Year | $ | 10.64 | ||
|
| |||
Total Return (3) | 6.40 | % | ||
Ratios/Supplemental Data: |
| |||
Net Assets, End of Year (in thousands) | $ | 695 | ||
Ratio of Expenses to Average Net Assets: |
| |||
Before Expense Reimbursement (4) | 23.66 | % | ||
After Expense Reimbursement (4) | 1.05 | % | ||
Ratio of Net Investment Loss to Average Net Assets (4) | 0.23 | % | ||
Portfolio Turnover Rate (3) | 13.05 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01. |
(3) | For the period August 31, 2017 (commencement of operations) through October 31, 2017 and is not indicative of a full years operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
87
TCW Artificial Intelligence Equity Fund
Financial Highlights — N Class
August 31, 2017 (commencement of operations) through October 31, 2017 | ||||
Net Asset Value per Share, Beginning of Year | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: |
| |||
Net Investment Income (Loss) | (0.00 | ) (2) | ||
Net Realized and Unrealized Gain on Investments (1) | 0.64 | |||
|
| |||
Total from Investment Operations | 0.64 | |||
|
| |||
Net Asset Value per Share, End of Year | $ | 10.64 | ||
|
| |||
Total Return (3) | 6.40 | % | ||
Ratios/Supplemental Data: |
| |||
Net Assets, End of Year (in thousands) | $ | 532 | ||
Ratio of Expenses to Average Net Assets: |
| |||
Before Expense Reimbursement (4) | 26.07 | % | ||
After Expense Reimbursement (4) | 1.05 | % | ||
Ratio of Net Investment Loss to Average Net Assets (4) | 0.25 | % | ||
Portfolio Turnover Rate (3) | 13.05 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01. |
(3) | For the period August 31, 2017 (commencement of operations) through October 31, 2017 and is not indicative of a full years operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
88
TCW Conservative Allocation Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 12.13 | $ | 12.50 | $ | 12.24 | $ | 11.66 | $ | 10.91 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.15 | 0.17 | 0.13 | 0.11 | 0.22 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.67 | (0.07 | ) | 0.33 | 0.67 | 0.79 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.82 | 0.10 | 0.46 | 0.78 | 1.01 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.29 | ) | (0.19 | ) | (0.14 | ) | (0.20 | ) | (0.26 | ) | ||||||||||
Distributions from Net Realized Gain | (0.49 | ) | (0.28 | ) | (0.06 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.78 | ) | (0.47 | ) | (0.20 | ) | (0.20 | ) | (0.26 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 12.17 | $ | 12.13 | $ | 12.50 | $ | 12.24 | $ | 11.66 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 7.28 | % | 0.78 | % | 3.88 | % | 6.66 | % | 9.42 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 30,144 | $ | 28,982 | $ | 33,909 | $ | 30,746 | $ | 27,121 | ||||||||||
Ratio of Expenses to Average Net Assets: (2) | ||||||||||||||||||||
Before Expense Reimbursement | 0.36 | % | 0.30 | % | 0.25 | % | 0.29 | % | 0.40 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.26 | % | 1.41 | % | 1.01 | % | 0.94 | % | 1.96 | % | ||||||||||
Portfolio Turnover Rate | 55.53 | % | 37.62 | % | 30.24 | % | 40.56 | % | 57.98 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Does not include expenses of the underlying affiliated funds. |
See accompanying notes to financial statements.
89
TCW Conservative Allocation Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 12.07 | $ | 12.44 | $ | 12.17 | $ | 11.61 | $ | 10.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.11 | 0.11 | 0.04 | 0.05 | 0.18 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.66 | (0.08 | ) | 0.35 | 0.66 | 0.78 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.77 | 0.03 | 0.39 | 0.71 | 0.96 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.20 | ) | (0.12 | ) | (0.06 | ) | (0.15 | ) | (0.24 | ) | ||||||||||
Distributions from Net Realized Gain | (0.49 | ) | (0.28 | ) | (0.06 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.69 | ) | (0.40 | ) | (0.12 | ) | (0.15 | ) | (0.24 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 12.15 | $ | 12.07 | $ | 12.44 | $ | 12.17 | $ | 11.61 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 6.74 | % | 0.31 | % | 3.31 | % | 6.07 | % | 8.97 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 532 | $ | 1,597 | $ | 1,876 | $ | 807 | $ | 1,047 | ||||||||||
Ratio of Expenses to Average Net Assets: (2) | ||||||||||||||||||||
Before Expense Reimbursement | 3.30 | % | 1.54 | % | 1.61 | % | 3.20 | % | 2.84 | % | ||||||||||
After Expense Reimbursement | 0.81 | % | 0.82 | % | 0.84 | % | 0.85 | % | 0.85 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.89 | % | 0.89 | % | 0.36 | % | 0.41 | % | 1.58 | % | ||||||||||
Portfolio Turnover Rate | 55.53 | % | 37.62 | % | 30.24 | % | 40.56 | % | 57.98 | % |
(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.
90
TCW Focused Equities Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 18.67 | $ | 19.45 | $ | 19.37 | $ | 16.02 | $ | 12.20 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.20 | 0.12 | 0.09 | 0.08 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.83 | (0.79 | ) | 0.04 | 3.34 | 3.86 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 2.95 | (0.59 | ) | 0.16 | 3.43 | 3.94 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.25 | ) | (0.19 | ) | (0.08 | ) | (0.08 | ) | (0.12 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 21.37 | $ | 18.67 | $ | 19.45 | $ | 19.37 | $ | 16.02 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 15.91 | % | (3.04 | )% | 0.79 | % | 21.46 | % | 32.67 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 8,987 | $ | 8,903 | $ | 9,386 | $ | 9,970 | $ | 7,628 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.82 | % | 1.60 | % | 1.46 | % | 1.60 | % | 1.95 | % | ||||||||||
After Expense Reimbursement | 1.04 | % | 1.08 | % | 1.09 | % | 1.11 | % | 1.14 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.61 | % | 1.08 | % | 0.62 | % | 0.52 | % | 0.56 | % | ||||||||||
Portfolio Turnover Rate | 19.03 | % | 47.89 | % | 83.02 | % | 39.65 | % | 39.65 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
91
TCW Focused Equities Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 18.47 | $ | 19.25 | $ | 19.17 | $ | 15.85 | $ | 12.11 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.13 | 0.19 | 0.12 | 0.09 | 0.08 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.80 | (0.78 | ) | 0.04 | 3.31 | 3.82 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 2.93 | (0.59 | ) | 0.16 | 3.40 | 3.90 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.25 | ) | (0.19 | ) | (0.08 | ) | (0.08 | ) | (0.16 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 21.15 | $ | 18.47 | $ | 19.25 | $ | 19.17 | $ | 15.85 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 15.98 | % | (3.08 | )% | 0.80 | % | 21.50 | % | 32.61 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 693 | $ | 958 | $ | 1,454 | $ | 1,804 | $ | 921 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 4.70 | % | 3.19 | % | 2.39 | % | 3.66 | % | 4.15 | % | ||||||||||
After Expense Reimbursement | 1.04 | % | 1.08 | % | 1.09 | % | 1.11 | % | 1.14 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.63 | % | 1.05 | % | 0.63 | % | 0.50 | % | 0.58 | % | ||||||||||
Portfolio Turnover Rate | 19.03 | % | 47.89 | % | 83.02 | % | 39.65 | % | 39.65 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
92
TCW Global Real Estate Fund
Financial Highlights — I Class
Year Ended October 31, | November 28, 2014 (Commencement of Operations through October 31, 2015) | |||||||||||
2017 | 2016 | |||||||||||
Net Asset Value per Share, Beginning of Year | $ | 9.42 | $ | 9.71 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.25 | 0.30 | 0.21 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.70 | (0.26 | ) | (0.27 | ) | |||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.95 | 0.04 | (0.06 | ) | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.27 | ) | (0.29 | ) | (0.23 | ) | ||||||
Distributions from Net Realized Gain | — | (0.01 | ) | — | ||||||||
Distributions from Return of Capital | — | (0.03 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.27 | ) | (0.33 | ) | (0.23 | ) | ||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Year | $ | 10.10 | $ | 9.42 | $ | 9.71 | ||||||
|
|
|
|
|
| |||||||
Total Return | 10.28 | % | 0.31 | % | (0.62 | )% (2) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Year (in thousands) | $ | 2,818 | $ | 3,499 | $ | 4,320 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 4.38 | % | 3.29 | % | 5.28 | % (3) | ||||||
After Expense Reimbursement | 1.37 | % | 1.40 | % | 1.43 | % (3) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.57 | % | 3.14 | % | 2.27 | % (3) | ||||||
Portfolio Turnover Rate | 74.51 | % | 68.69 | % | 23.58 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period November 28, 2014 (Commencement of Operations) through October 31, 2015. |
(3) | Annualized. |
See accompanying notes to financial statements.
93
TCW Global Real Estate Fund
Financial Highlights — N Class
Year Ended October 31, | November 28, 2014 (Commencement of Operations) through October 31, 2015 | |||||||||||
2017 | 2016 | |||||||||||
Net Asset Value per Share, Beginning of Year | $ | 9.42 | $ | 9.70 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.25 | 0.32 | 0.24 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.70 | (0.27 | ) | (0.31 | ) | |||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.95 | 0.05 | (0.07 | ) | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.27 | ) | (0.29 | ) | (0.23 | ) | ||||||
Distributions from Net Realized Gain | — | (0.01 | ) | — | ||||||||
Distributions from Return of Capital | — | (0.03 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.27 | ) | (0.33 | ) | (0.23 | ) | ||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Year | $ | 10.10 | $ | 9.42 | $ | 9.70 | ||||||
|
|
|
|
|
| |||||||
Total Return | 10.28 | % | 0.41 | % | (0.72 | )% (2) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Year (in thousands) | $ | 581 | $ | 517 | $ | 510 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 7.92 | % | 6.66 | % | 9.21 | % (3) | ||||||
After Expense Reimbursement | 1.37 | % | 1.40 | % | 1.43 | % (3) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.51 | % | 3.34 | % | 2.58 | % (3) | ||||||
Portfolio Turnover Rate | 74.51 | % | 68.69 | % | 23.58 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period November 28, 2014 (Commencement of Operations) through October 31, 2015. |
(3) | Annualized. |
See accompanying notes to financial statements.
94
TCW High Dividend Equities Fund
Financial Highlights — I Class
Year Ended October 31, | November 28, 2014 (Commencement of Operations) through October 31, 2015 | |||||||||||
2017 | 2016 | |||||||||||
Net Asset Value per Share, Beginning of Year | $ | 8.91 | $ | 8.98 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.21 | 0.19 | 0.27 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.73 | (0.06 | ) | (1.03 | ) | |||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.94 | 0.13 | (0.76 | ) | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.17 | ) | (0.18 | ) | (0.26 | ) | ||||||
Distributions from Return of Capital | (0.04 | ) | (0.02 | ) | — | |||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.21 | ) | (0.20 | ) | (0.26 | ) | ||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Year | $ | 9.64 | $ | 8.91 | $ | 8.98 | ||||||
|
|
|
|
|
| |||||||
Total Return | 10.53 | % | 1.35 | % | (7.66 | )% (2) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Year (in thousands) | $ | 2,976 | $ | 11,527 | $ | 3,969 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 2.21 | % | 1.82 | % | 3.28 | % (3) | ||||||
After Expense Reimbursement | 1.15 | % | 1.16 | % | 1.17 | % (3) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.17 | % | 2.08 | % | 2.94 | % (3) | ||||||
Portfolio Turnover Rate | 141.80 | % | 92.66 | % | 89.39 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period November 28, 2014 (Commencement of Operations) through October 31, 2015. |
(3) | Annualized. |
See accompanying notes to financial statements.
95
TCW High Dividend Equities Fund
Financial Highlights — N Class
Year Ended October 31, | November 28, 2014 (Commencement of Operations) through October 31, 2015 | |||||||||||
2017 | 2016 | |||||||||||
Net Asset Value per Share, Beginning of Year | $ | 8.91 | $ | 8.98 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.20 | 0.19 | 0.28 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.74 | (0.06 | ) | (1.04 | ) | |||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.94 | 0.13 | (0.76 | ) | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.17 | ) | (0.18 | ) | (0.26 | ) | ||||||
Distributions from Return of Capital | (0.04 | ) | (0.02 | ) | — | |||||||
|
|
|
|
|
| |||||||
(0.21 | ) | (0.20 | ) | (0.26 | ) | |||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Year | $ | 9.64 | $ | 8.91 | $ | 8.98 | ||||||
|
|
|
|
|
| |||||||
Total Return | 10.53 | % | 1.46 | % | (7.76 | )% (2) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Year (in thousands) | $ | 603 | $ | 468 | $ | 509 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 6.28 | % | 5.59 | % | 7.30 | % (3) | ||||||
After Expense Reimbursement | 1.15 | % | 1.16 | % | 1.17 | % (3) | ||||||
Ratio of Net Investment Income to Average Net Assets | 2.11 | % | 2.13 | % | 3.05 | % (3) | ||||||
Portfolio Turnover Rate | 141.80 | % | 92.66 | % | 89.39 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period November 28, 2014 (Commencement of Operations) through October 31, 2015. |
(3) | Annualized. |
See accompanying notes to financial statements.
96
TCW New America Premier Equities Fund
Financial Highlights — I Class
Year Ended October 31, 2017 | January 29, 2016 October 31, 2016 | |||||||
Net Asset Value per Share, Beginning of Year | $ | 11.23 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: | ||||||||
Net Investment Income (1) | 0.01 | 0.08 | ||||||
Net Realized and Unrealized Gain on Investments | 4.22 | 1.15 | ||||||
|
|
|
| |||||
Total from Investment Operations | 4.23 | 1.23 | ||||||
|
|
|
| |||||
Less Distributions: | ||||||||
Distributions from Net Investment Income | (0.05 | ) | — | |||||
Distributions from Net Realized Gain | (0.17 | ) | — | |||||
|
|
|
| |||||
Total Distributions | (0.22 | ) | — | |||||
|
|
|
| |||||
Net Asset Value per Share, End of Year | $ | 15.24 | $ | 11.23 | ||||
|
|
|
| |||||
Total Return | 38.41 | % | 12.30 | % (2) | ||||
Ratios/Supplemental Data: | ||||||||
Net Assets, End of Year (in thousands) | $ | 16,527 | $ | 3,143 | ||||
Ratio of Expenses to Average Net Assets: | ||||||||
Before Expense Reimbursement | 1.79 | % | 4.72 | % (3) | ||||
After Expense Reimbursement | 1.04 | % | 1.05 | % (3) | ||||
Ratio of Net Investment Income to Average Net Assets | 0.11 | % | 1.03 | % (3) | ||||
Portfolio Turnover Rate | 114.48 | % | 73.83 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period January 29, 2016 (commencement of operations) through October 31, 2016. |
(3) | Annualized. |
See accompanying notes to financial statements.
97
TCW New America Premier Equities Fund
Financial Highlights — N Class
Year Ended October 31, 2017 | January 29, 2016 October 31, 2016 | |||||||
Net Asset Value per Share, Beginning of Year | $ | 11.23 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: | ||||||||
Net Investment Income (1) | 0.01 | 0.08 | ||||||
Net Realized and Unrealized Gain on Investments | 4.22 | 1.15 | ||||||
|
|
|
| |||||
Total from Investment Operations | 4.23 | 1.23 | ||||||
|
|
|
| |||||
Less Distributions: | ||||||||
Distributions from Net Investment Income | (0.05 | ) | — | |||||
Distributions from Net Realized Gain | (0.17 | ) | — | |||||
|
|
|
| |||||
Total Distributions | (0.22 | ) | — | |||||
|
|
|
| |||||
Net Asset Value per Share, End of Year | $ | 15.24 | $ | 11.23 | ||||
|
|
|
| |||||
Total Return | 38.41 | % | 12.30 | % (2) | ||||
Ratios/Supplemental Data: | ||||||||
Net Assets, End of Year (in thousands) | $ | 2,313 | $ | 1,128 | ||||
Ratio of Expenses to Average Net Assets: | ||||||||
Before Expense Reimbursement | 3.64 | % | 6.08 | % (3) | ||||
After Expense Reimbursement | 1.04 | % | 1.05 | % (3) | ||||
Ratio of Net Investment Income to Average Net Assets | 0.11 | % | 0.98 | % (3) | ||||
Portfolio Turnover Rate | 114.48 | % | 73.83 | % (2) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | For the period January 29, 2016 (commencement of operations) through October 31, 2016. |
(3) | Annualized. |
See accompanying notes to financial statements.
98
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 16.95 | $ | 16.49 | $ | 16.71 | $ | 15.11 | $ | 11.77 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.48 | 0.35 | 0.30 | 0.27 | 0.25 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.17 | 0.41 | (0.24 | ) | 1.61 | 3.36 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 2.65 | 0.76 | 0.06 | 1.88 | 3.61 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.46 | ) | (0.30 | ) | (0.28 | ) | (0.28 | ) | (0.27 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 19.14 | $ | 16.95 | $ | 16.49 | $ | 16.71 | $ | 15.11 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 15.69 | % | 4.66 | % | 0.40 | % | 12.49 | % | 31.06 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 128,498 | $ | 165,331 | $ | 175,694 | $ | 195,400 | $ | 176,226 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.78 | % | 0.87 | % | 0.86 | % | 0.86 | % | 0.82 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.60 | % | 2.11 | % | 1.81 | % | 1.67 | % | 1.86 | % | ||||||||||
Portfolio Turnover Rate | 23.45 | % | 19.13 | % | 17.95 | % | 17.33 | % | 18.37 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
99
TCW Relative Value Dividend Appreciation Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 17.23 | $ | 16.76 | $ | 16.99 | $ | 15.34 | $ | 11.92 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.43 | 0.31 | 0.26 | 0.23 | 0.22 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.23 | 0.43 | (0.25 | ) | 1.63 | 3.41 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 2.66 | 0.74 | 0.01 | 1.86 | 3.63 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.43 | ) | (0.27 | ) | (0.24 | ) | (0.21 | ) | (0.21 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 19.46 | $ | 17.23 | $ | 16.76 | $ | 16.99 | $ | 15.34 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 15.46 | % | 4.43 | % | 0.10 | % | 12.19 | % | 30.71 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 493,766 | $ | 876,421 | $ | 878,544 | $ | 970,397 | $ | 887,435 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 1.05 | % | 1.15 | % | 1.14 | % | 1.14 | % | 1.11 | % | ||||||||||
After Expense Reimbursement | 1.00 | % | 1.11 | % | N/A | N/A | N/A | |||||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.24 | % | 1.86 | % | 1.53 | % | 1.40 | % | 1.60 | % | ||||||||||
Portfolio Turnover Rate | 23.45 | % | 19.13 | % | 17.95 | % | 17.33 | % | 18.37 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
100
TCW Relative Value Large Cap Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 21.38 | $ | 21.99 | $ | 22.09 | $ | 19.47 | $ | 14.91 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.49 | 0.32 | 0.26 | 0.21 | 0.19 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 3.96 | 0.19 | (0.14 | ) | 2.65 | 4.53 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 4.45 | 0.51 | 0.12 | 2.86 | 4.72 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.41 | ) | (0.25 | ) | (0.22 | ) | (0.24 | ) | (0.16 | ) | ||||||||||
Distributions from Net Realized Gain | (1.12 | ) | (0.87 | ) | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (1.53 | ) | (1.12 | ) | (0.22 | ) | (0.24 | ) | (0.16 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 24.30 | $ | 21.38 | $ | 21.99 | $ | 22.09 | $ | 19.47 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 21.55 | % | 2.61 | % | 0.50 | % | 14.79 | % | 31.99 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 472,078 | $ | 480,174 | $ | 667,957 | $ | 700,484 | $ | 543,669 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.77 | % | 0.88 | % | 0.88 | % | 0.88 | % | 0.87 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.11 | % | 1.57 | % | 1.14 | % | 1.02 | % | 1.13 | % | ||||||||||
Portfolio Turnover Rate | 24.44 | % | 14.71 | % | 21.60 | % | 18.77 | % | 37.33 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
101
TCW Relative Value Large Cap Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 21.31 | $ | 21.91 | $ | 22.04 | $ | 19.44 | $ | 14.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.44 | 0.28 | 0.19 | 0.16 | 0.15 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 3.94 | 0.19 | (0.14 | ) | 2.65 | 4.52 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 4.38 | 0.47 | 0.05 | 2.81 | 4.67 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.36 | ) | (0.20 | ) | (0.18 | ) | (0.21 | ) | (0.12 | ) | ||||||||||
Distributions from Net Realized Gain | (1.12 | ) | (0.87 | ) | — | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (1.48 | ) | (1.07 | ) | (0.18 | ) | (0.21 | ) | (0.12 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 24.21 | $ | 21.31 | $ | 21.91 | $ | 22.04 | $ | 19.44 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 21.27 | % | 2.42 | % | 0.20 | % | 14.52 | % | 31.64 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 16,373 | $ | 19,530 | $ | 25,084 | $ | 29,589 | $ | 75,450 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 1.16 | % | 1.23 | % | 1.20 | % | 1.12 | % | 1.13 | % | ||||||||||
After Expense Reimbursement | 1.00 | % | 1.10 | % | 1.16 | % | N/A | % | N/A | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.93 | % | 1.35 | % | 0.86 | % | 0.77 | % | 0.83 | % | ||||||||||
Portfolio Turnover Rate | 24.44 | % | 14.71 | % | 21.60 | % | 18.77 | % | 37.33 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
102
TCW Relative Value Mid Cap Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 20.02 | $ | 22.43 | $ | 26.62 | $ | 26.56 | $ | 20.10 | ||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.11 | 0.18 | 0.17 | 0.13 | 0.16 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 5.96 | 0.34 | (1.16 | ) | 2.70 | 6.48 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 6.07 | 0.52 | (0.99 | ) | 2.83 | 6.64 | ||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.13 | ) | (0.16 | ) | (0.12 | ) | (0.14 | ) | (0.17 | ) | ||||||||||
Distributions from Net Realized Gain | — | (2.77 | ) | (3.08 | ) | (2.63 | ) | (0.01 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.13 | ) | (2.93 | ) | (3.20 | ) | (2.77 | ) | (0.18 | ) | ||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 25.96 | $ | 20.02 | $ | 22.43 | $ | 26.62 | $ | 26.56 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 30.40 | % | 3.53 | % | (4.58 | )% | 11.09 | % | 33.30 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 84,136 | $ | 74,840 | $ | 93,356 | $ | 114,823 | $ | 118,138 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.99 | % | 0.98 | % | 0.96 | % | 0.95 | % | 0.94 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.45 | % | 0.96 | % | 0.68 | % | 0.49 | % | 0.68 | % | ||||||||||
Portfolio Turnover Rate | 31.93 | % | 17.81 | % | 23.15 | % | 21.67 | % | 28.91 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
103
TCW Relative Value Mid Cap Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 19.50 | $ | 21.90 | $ | 26.08 | $ | 26.07 | $ | 19.74 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.07 | 0.14 | 0.10 | 0.06 | 0.09 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 5.80 | 0.32 | (1.12 | ) | 2.65 | 6.37 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 5.87 | 0.46 | (1.02 | ) | 2.71 | 6.46 | ||||||||||||||
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|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.09 | ) | (0.08 | ) | (0.07 | ) | (0.12 | ) | ||||||||||
Distributions from Net Realized Gain | — | (2.77 | ) | (3.08 | ) | (2.63 | ) | (0.01 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.09 | ) | (2.86 | ) | (3.16 | ) | (2.70 | ) | (0.13 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 25.28 | $ | 19.50 | $ | 21.90 | $ | 26.08 | $ | 26.07 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 30.15 | % | 3.30 | % | (4.78 | )% | 10.80 | % | 32.90 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 19,095 | $ | 16,839 | $ | 19,559 | $ | 28,458 | $ | 36,875 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 1.37 | % | 1.35 | % | 1.30 | % | 1.27 | % | 1.32 | % | ||||||||||
After Expense Reimbursement | 1.16 | % | 1.20 | % | 1.21 | % | 1.20 | % | 1.23 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.29 | % | 0.74 | % | 0.44 | % | 0.23 | % | 0.40 | % | ||||||||||
Portfolio Turnover Rate | 31.93 | % | 17.81 | % | 23.15 | % | 21.67 | % | 28.91 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
104
TCW Select Equities Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 26.06 | $ | 29.65 | $ | 26.71 | $ | 24.84 | $ | 19.81 | ||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | (0.05 | ) | (0.10 | ) | (0.02 | ) | (0.03 | ) | 0.03 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 5.99 | (1.42 | ) | 3.80 | 2.71 | 5.34 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 5.94 | (1.52 | ) | 3.78 | 2.68 | 5.37 | ||||||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | — | — | — | (0.00 | ) (2) | (0.05 | ) | |||||||||||||
Distributions from Net Realized Gain | (1.58 | ) | (2.07 | ) | (0.84 | ) | (0.81 | ) | (0.29 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (1.58 | ) | (2.07 | ) | (0.84 | ) | (0.81 | ) | (0.34 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 30.42 | $ | 26.06 | $ | 29.65 | $ | 26.71 | $ | 24.84 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 24.47 | % | (5.56 | )% | 14.54 | % | 11.01 | % | 27.53 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 768,535 | $ | 1,264,622 | $ | 1,629,090 | $ | 1,611,400 | $ | 1,325,609 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.88 | % | 0.89 | % | 0.88 | % | 0.86 | % | 0.83 | % | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (0.18 | )% | (0.38 | )% | (0.08 | )% | (0.11 | )% | 0.15 | % | ||||||||||
Portfolio Turnover Rate | 17.95 | % | 14.05 | % | 27.19 | % | 25.79 | % | 24.55 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
See accompanying notes to financial statements.
105
TCW Select Equities Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 24.35 | $ | 27.91 | $ | 25.26 | $ | 23.59 | $ | 18.84 | ||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Loss (1) | (0.10 | ) | (0.16 | ) | (0.09 | ) | (0.10 | ) | (0.02 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 5.56 | (1.33 | ) | 3.58 | 2.58 | 5.06 | ||||||||||||||
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|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 5.46 | (1.49 | ) | 3.49 | 2.48 | 5.04 | ||||||||||||||
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|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Realized Gain | (1.58 | ) | (2.07 | ) | (0.84 | ) | (0.81 | ) | (0.29 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 28.23 | $ | 24.35 | $ | 27.91 | $ | 25.26 | $ | 23.59 | ||||||||||
|
|
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|
|
|
|
|
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| |||||||||||
Total Return | 24.20 | % | (5.81 | )% | 14.22 | % | 10.73 | % | 27.14 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 138,807 | $ | 151,174 | $ | 274,026 | $ | 227,231 | $ | 378,026 | ||||||||||
Ratio of Expenses to Average Net Assets: |
| |||||||||||||||||||
Before Expense Reimbursement | 1.16 | % | 1.16 | % | 1.14 | % | 1.13 | % | 1.10 | % | ||||||||||
After Expense Reimbursement | 1.11 | % | 1.14 | % | N/A | N/A | N/A | |||||||||||||
Ratio of Net Investment Loss to Average Net Assets | (0.39 | )% | (0.64 | )% | (0.33 | )% | (0.40 | )% | (0.10 | )% | ||||||||||
Portfolio Turnover Rate | 17.95 | % | 14.05 | % | 27.19 | % | 25.79 | % | 24.55 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
106
TCW Funds, Inc.
|
To the Board of Directors and Shareholders of
TCW Funds, Inc.
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of TCW Artificial Intelligence Equity Fund, TCW Conservative Allocation Fund, TCW Focused Equities Fund, TCW Global Real Estate Fund, TCW High Dividend Equities Fund, TCW New America Premier Equities Fund, TCW Relative Value Dividend Appreciation Fund, TCW Relative Value Large Cap Fund, TCW Relative Value Mid Cap Fund, and TCW Select Equities Fund (collectively, the “TCW Equity and Asset Allocation Funds”) (ten of twenty-one funds comprising TCW Funds, Inc.) as of October 31, 2017, 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 Asset 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 Asset 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 Asset 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, 2017, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
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 Asset Allocation Funds as of October 31, 2017, 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 20, 2017
107
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, 2017 to October 31, 2017 (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, 2017 | Ending Account Value October 31, 2017 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2017 to October 31, 2017) | ||||||||||||
TCW Artificial Intelligence Equity Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,064.00 | 1.05 | % | $ | 1.81 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.91 | 1.05 | % | 5.35 | (1) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,064.00 | 1.05 | % | $ | 1.81 | (1) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.91 | 1.05 | % | 5.35 | (1) | ||||||||||
TCW Conservative Allocation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.40 | 0.42 | % (2) | $ | 2.16 | (2) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.09 | 0.42 | % (2) | 2.14 | (2) | ||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.70 | 0.79 | % (2) | $ | 4.06 | (2) | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.22 | 0.79 | % (2) | 4.02 | (2) | ||||||||||
TCW Focused Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,046.00 | 1.03 | % | $ | 5.31 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.01 | 1.03 | % | 5.24 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,046.50 | 1.03 | % | $ | 5.31 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.01 | 1.03 | % | 5.24 |
108
TCW Funds, Inc.
TCW Funds, Inc. | Beginning Account Value May 1, 2017 | Ending Account Value October 31, 2017 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2017 to October 31, 2017) | ||||||||||||
TCW Global Real Estate Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,050.40 | 1.36 | % | $ | 7.03 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.35 | 1.36 | % | 6.92 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,050.40 | 1.36 | % | $ | 7.03 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.35 | 1.36 | % | 6.92 | |||||||||||
TCW High Dividend Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.60 | 1.14 | % | $ | 5.76 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.46 | 1.14 | % | 5.80 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.60 | 1.14 | % | $ | 5.76 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.46 | 1.14 | % | 5.80 | |||||||||||
TCW New America Premier Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,182.30 | 1.04 | % | $ | 5.72 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.96 | 1.04 | % | 5.30 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,182.30 | 1.04 | % | $ | 5.72 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.96 | 1.04 | % | 5.30 | |||||||||||
TCW Relative Value Dividend Appreciation Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.70 | 0.80 | % | $ | 4.13 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.17 | 0.80 | % | 4.08 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.10 | 1.00 | % | $ | 5.15 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.16 | 1.00 | % | 5.09 | |||||||||||
TCW Relative Value Large Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,065.30 | 0.75 | % | $ | 3.90 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.43 | 0.75 | % | 3.82 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,064.20 | 1.00 | % | $ | 5.20 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.16 | 1.00 | % | 5.09 | |||||||||||
TCW Relative Value Mid Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,100.50 | 1.03 | % | $ | 5.45 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.01 | 1.03 | % | 5.24 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,099.60 | 1.15 | % | $ | 6.09 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.41 | 1.15 | % | 5.85 |
109
TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value May 1, 2017 | Ending Account Value October 31, 2017 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2017 to October 31, 2017) | ||||||||||||
TCW Select Equities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,103.40 | 0.84 | % | $ | 4.45 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.97 | 0.84 | % | 4.28 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,101.90 | 1.11 | % | $ | 5.88 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.61 | 1.11 | % | 5.65 |
(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 August 31, 2017 through October 31, 2017, 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, 2017, multiplied by the number of days in the six month period and divided by the number of days in the year. |
(2) | Does not included Expenses of the underlying affiliated investments. |
110
TCW Funds, Inc.
The TCW Group, Inc. and Subsidiaries
TCW Investment Management Company LLC
TCW Asset Management Company LLC
Trust Company of the West
Metropolitan West Asset Management, LLC
TCW Funds, Inc. | Sepulveda Management LLC | |
TCW Strategic Income Fund, Inc. | TCW Direct Lending LLC | |
Metropolitan West Funds | TCW Direct Lending VII LLC | |
TCW Alternative Funds |
What You Should Know
At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.
We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.
We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial Information,” issued by the United States Securities and Exchange Commission.
Our Privacy Policy
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, and the TCW Alternative Funds, Sepulveda Management LLC and TCW Direct Lending (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.
In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal and financial information.
Categories of Information We Collect
We may collect the following types of nonpublic personal and financial information about you from the following sources:
• | Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications. |
• | Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties. |
111
TCW Funds, Inc.
Privacy Policy (Continued)
• | 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. |
• | 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.
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Reminder About TCW’s Financial Products
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, TCW Alternative Funds, Sepulveda Management LLC and TCW Direct Lending.
• | Are not guaranteed by a bank; |
• | Are not obligations of The TCW Group, Inc. or of its subsidiaries; |
• | Are not insured by the Federal Deposit Insurance Corporation; and |
• | Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon. |
THE TCW GROUP, INC.
TCW FUNDS, INC.
TCW STRATEGIC INCOME FUND, INC.
METROPOLITAN WEST FUNDS
TCW ALTERNATIVE FUNDS
SEPULVEDA MANAGEMENT LLC
TCW DIRECT LENDING LLC
TCW DIRECT LENDING VII LLC
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com
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Investment Management and Advisory Agreement
TCW Funds, Inc. (the “Corporation”) and TCW Investment Management Company LLC (the “Advisor”) are parties to an Investment Advisory and Management Agreement (“Agreement”), pursuant to which the Advisor is responsible for managing the investments of each separate investment series (each, a “Fund” and collectively, the “Funds”) of the Corporation. Unless terminated by either party, the Agreement continues in effect from year to year provided that 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 as that term is defined in the Investment Company Act of 1940, as amended (the “Independent Directors”).
On September 18, 2017, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2018 through February 5, 2019. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Directors) upon the recommendation of the Independent Directors. The Independent Directors met separately by telephone on August 30, 2017, and in person on another occasion, with their independent legal counsel to review and discuss the information that had been requested on their behalf by their independent legal counsel and presented by the Advisor for their consideration. The information, material facts, and conclusions that formed the basis for their recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed — During the course of each year, the Independent Directors receive a wide variety of materials relating to the services provided by the Advisor, including reports on the Advisor’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Advisor to the Funds. In addition, the Board reviewed information furnished to the Independent Directors in response to a detailed request sent to the Advisor on their behalf. The information in the Advisor’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Advisor to its institutional clients, financial and profitability information regarding the Advisor, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Directors also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to those of appropriate peer groups of mutual funds. After reviewing this information, the Independent Directors requested additional information from the Advisor, which the Advisor provided and the Directors considered.
Review process — The Directors’ determinations were made on the basis of each Director’s business judgment after consideration of all the information presented. The Independent Directors reviewed advice regarding legal and industry standards provided by their independent legal counsel, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Directors also discussed these matters with their independent legal counsel, who assisted them in their review and consideration of the renewal of the Agreement. The Independent Directors discussed the renewal of the Agreement with the Advisor’s representatives and in private sessions at which no representatives of the Advisor were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Directors did not
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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.
2. Nature, extent, and quality of services provided by the Advisor
The Independent Directors considered the depth and quality of the Advisor’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Advisor; and the ability of its organizational structure to address the growth in assets over the past several years. The Independent Directors considered the ability of the Advisor to attract and retain well-qualified investment professionals, noting in particular the Advisor’s hiring of professionals in various areas over the past several years, upgrading resources in the middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Independent Directors also considered that the Advisor made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, and portfolio accounting. They noted the substantial additional resources made available by TCW, as the parent company of the Advisor. The Independent Directors examined and discussed a detailed description of the extensive supplemental services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Advisor’s institutional and sub-advised clients, as well as the Advisor’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Advisor and the Directors. The Advisor explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Directors and their meetings, regulatory filings, and various operational personnel.
The Board and the Independent Directors concluded that the nature, extent, and quality of the services provided by the Advisor are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.
3. Investment performance
The Independent Directors considered the investment results of each Fund in light of its investment objective and principal strategies. They compared each Fund’s total returns with the total returns of other funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2017. The Independent Directors reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with the Advisor. In reviewing each Fund’s relative performance, the Independent Directors took into account each Fund’s strategies, distinct characteristics, asset size and diversification.
The Independent Directors noted that investment performance of most of the Funds was generally close to or above the median performance of the applicable peer group during the three-year period emphasized by Broadridge, but seven Funds ranked in the fourth or fifth quintile for that three-year period.
For the U.S. fixed income Funds, the Independent Directors noted the conservative profile of the Funds, which generally experienced less volatility compared to various other funds in the applicable peer group (except for the relative volatility of Total Return Bond Fund, which is a mortgage focused Fund). They also noted the Advisor’s conservative posture for these Funds with respect to credit and interest rate risks.
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Investment Management and Advisory Agreement (Continued)
The Independent Directors noted that the performance of majority of these Funds ranked within the first, second or third quintiles for the one-, three-, five- and ten–year periods (or shorter periods since inception). The Core Fixed Income Fund ranked in the fourth quintile for the one-year period. The High Yield Bond Fund ranked in the fifth quintile for the one-year period. The Global Bond Fund ranked in the fifth quintile for the one-year period, and the fourth quintile for the three-year period. The Short Term Bond Fund ranked in the fourth or fifth quintile for each period.
For the U.S. equity Funds, the Independent Directors noted that the performance of most Funds for the various periods reviewed ranked in the first, second or third quintiles. The Select Equity Fund ranked in the fourth quintile for the five-year period and the fifth quintile for the one-year period. The Relative Value Dividend Appreciation Fund ranked in the fourth quintile for the ten-year period. The Relative Value Mid Cap Fund ranked in the fourth or fifth quintile for the three-, five- and ten-year periods, but improved to the first quintile in the one-year period. The Focused Equities Fund ranked in the fourth or fifth quintile for the one-, three-, five- and ten-year periods, and is being closely monitored by the Board. The High Dividend Equities Fund ranked in the fifth quintile for the one-year and since-inception periods, but the Independent Directors noted the Advisor’s explanation of the Fund’s investments in defensive companies, which hurt its relative performance. The Global Real Estate Fund ranked in the fourth quintile since inception but has shown more recent relative improvement.
For the international and emerging markets Funds, the Independent Directors noted that the performance of a majority of these Funds ranked in the first, second or third quintiles. The Emerging Markets Multi-Asset Opportunities Fund ranked in the fourth quintile for the one-year period, but ranked in the second quintile for the three-year period. The International Small Cap Fund ranked in the fifth quintile for the one-, three-, and five-year periods and, in view of its relatively new portfolio management team, the Board will continue to monitor the Fund closely. The Developing Markets Equity Fund ranked in the fifth quintile for the period since inception, but improved to the third quintile for the one-year period; the Board will also continue to monitor this Fund but has noted the Advisor’s view that the Fund should be evaluated over a full market cycle.
The Conservative Allocation Fund ranked in the fifth quintile for the one-year period, but had first and second quintile rankings for its longer periods.
In reviewing the Funds’ investment results, the Independent Directors recognized the Advisor’s deliberate strategy to manage risk in light of its critical view of the fixed-income securities markets and overall investment market conditions. In that connection, the Independent Directors and Board noted that the performance of some Funds for periods when they lagged their peer group averages remained satisfactory when assessed on a risk-adjusted basis because performance quintiles do not necessarily reflect the amount of risk employed by peer funds to achieve their returns.
The Independent Directors noted that each Fund’s performance was satisfactory over the relevant periods or, for those Funds that lagged peer group averages, the Advisor had discussed with the Board the reasons for that underperformance and the actions taken by the Advisor to address that underperformance, and the Board had determined to continue to monitor performance but did not believe that any immediate action was needed
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
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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.
The Board and the Independent Directors concluded that the Advisor was implementing each Fund’s investment objective and that the Advisor’s record in managing the Funds indicates that its continued management should benefit each Fund and its shareholders over the long term.
4. Advisory fees and total expenses
The Board compared the advisory fee and total expenses of each Fund (each as a percentage of average net assets) with the median advisory fee and total operating expense level of the other funds in the relevant Broadridge peer groups. The Independent Directors observed that each Fund’s advisory fee, giving effect to applicable waivers, was below or near the median of the peer group funds, with the following exceptions: The advisory fee for the Select Equities Fund exceeded the median by under 10 bps but exceeded the median total expenses by only 2 bps. The advisory fees for the Relative Value Dividend Appreciation Fund, the Relative Value Large Cap Fund, the Relative Value Mid Cap Fund, the Emerging Markets Income Fund and the Emerging Markets Local Currency Income Fund exceeded their respective peer group medians but their total expenses were less than the respective medians. The Independent Directors noted that for several Funds this result reflected substantial or full waivers of the advisory fee.
The Independent Directors noted the contractual expense limitations to which the Advisor has agreed with respect to each Fund and that the Advisor historically has absorbed any expenses in excess of these limits. The Independent Directors and the Board concluded that the competitive fees charged by the Advisor, and competitive expense ratios, should benefit each Fund and its shareholders.
The Independent Directors also reviewed information regarding the advisory fees charged by the Advisor to its institutional and sub-advisory clients with similar investment mandates. They concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the Advisor’s more extensive services provided to the Funds and significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, pricing and valuation responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.
5. The Advisor’s costs, level of profits, and economies of scale
The Independent Directors reviewed information regarding the Advisor’s costs of providing services to the Funds, as well as the resulting level of profits to the Advisor. The Independent Directors reviewed the Advisor’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Advisor’s largest operating cost. The Board and the Independent Directors recognized that the Advisor should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board also reviewed a comparison of the Advisor’s profitability with respect to the Funds to the profitability of certain publicly traded asset managers, which the Advisor had provided to support its view that the Advisor’s profitability was reasonable. The Board and the Independent Directors also considered the implementation of a supplemental compliance services agreement that reimburses the Advisor for a portion of its compliance and other administrative services in an amount reviewed and approved by the
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Investment Management and Advisory Agreement (Continued)
Board and the Independent Directors. The Board noted that the Advisor has suspended charging that fee. Based on their review, the Board and the Independent Directors concluded that they were satisfied that the Advisor’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Board and the Independent Directors considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Advisor’s view that the advisory fees compare favorably to peer group fees giving effect to waivers, and that expenses remain competitive even at higher asset levels. The Board and the Independent Directors recognized the benefits to the Funds of the Adviser’s substantial past and on-going investment in the advisory business that benefits the Funds, such as successfully recruiting and retaining key professional talent, systems and technology, administration, compliance, legal and infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Independent Directors also noted the Advisor’s explanation of the increased resources required to manage the Funds as a result of both asset growth and increased competitive pressures. The Board and the Independent Directors further noted the Advisor’s past subsidies of the Funds’ operating expenses when they were newer and smaller and the Advisor’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Directors also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients rather than strictly mutual funds. The Board and the Independent Directors concluded that the Advisor was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.
6. Ancillary benefits
The Board and the Independent Directors 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 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.
7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Directors concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that the Funds’ shareholders received reasonable value in return for the advisory fees and other amounts paid to the Advisor by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
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Supplemental Information
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Company’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Advisor, on behalf of the Company, prepares and files Form N-PX with the SEC not later than August 31 of each year, which includes the Company’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Company’s proxy voting record for the most recent twelve-month period ended June 30 is available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for the Company’s proxy voting record, it will send the information disclosed in the Company’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Company also discloses its proxy voting record on its website as soon as is reasonably practicable after its report on Form N-PX is filed with the SEC.
Availability of Quarterly Portfolio Schedule
The Company files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. The Form N-Q is available by calling 800-FUND-TCW (800-386-3829) to obtain a hard copy. You may also obtain the Company’s Form N-Q:
1. | By going to the SEC website at http://www.sec.gov.; or |
2. | By visiting the SEC’s Public Reference Room in Washington, D.C. and photocopying it (Phone 1-800-SEC-0330 for information on the operation of the SEC’s Public Reference Room). |
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Tax Information Notice (Unaudited)
On account of the year ended October 31, 2017, 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 | $ | 0.30 | ||
TCW New America Premier Equities Fund | $ | 0.05 | ||
TCW Relative Value Dividend Appreciation Fund | $ | 0.68 | ||
TCW Relative Value Large Cap Fund | $ | 3.05 | ||
TCW Relative Value Mid Cap Fund | $ | 1.86 | ||
TCW Select Equities Fund | $ | 6.69 |
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, 2017 (amounts in thousands):
Fund | Qualified Dividend Income | |||
TCW Conservative Allocation Fund | $ | 109 | ||
TCW Focused Equities Fund | $ | 132 | ||
TCW Global Real Estate Fund | $ | 24 | ||
TCW High Dividend Equities Fund | $ | 106 | ||
TCW New America Premier Equities Fund | $ | 61 | ||
TCW Relative Value Dividend Appreciation Fund | $ | 18,463 | ||
TCW Relative Value Large Cap Fund | $ | 9,139 | ||
TCW Relative Value Mid Cap Fund | $ | 622 |
The following are dividend received deduction percentages for the Funds’ corporate shareholders:
Fund | Dividends Received Deductions | |||
TCW Conservative Allocation Fund | 14.79% | |||
TCW Focused Equities Fund | 100.00% | |||
TCW Global Real Estate Fund | 3.35% | |||
TCW High Dividend Equities Fund | 89.92% | |||
TCW New America Premier Equities Fund | 27.70% | |||
TCW Relative Value Dividend Appreciation Fund | 100.00% | |||
TCW Relative Value Large Cap Fund | 100.00% | |||
TCW Relative Value Mid Cap Fund | 100.00% |
This information is given to meet certain requirements of the Code and should not be used by shareholders for preparing their income tax returns. In February 2018, 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 2017. 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 nine directors is responsible for overseeing the operations of the Company, which consists of 21 Funds at October 31, 2017. 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). | |||
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Patrick C. Haden (1953) Chairman of the Board | Indefinite term; Mr. Haden has served as a director of TCW Funds, Inc. since May 2001. | Senior Advisor to President (since July 2016) and Athletic Director (2010-June 2016), University of Southern California. | Tetra Tech, Inc. (environmental consulting); The Rose Hills Foundation (charitable foundation); Unihealth Foundation (charitable foundation); Fletcher Jones Foundation (charitable foundation); Mayr Foundation (charitable foundation); First Beverage (beverage consulting); Auto Club (affiliate of AAA); Metropolitan West Funds (mutual fund); TCW Alternative Funds (mutual fund); 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 Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Managing Partner (since 2000), Willowbrook Capital Group, LLC (investment advisory firm); Co-founder and Executive Vice President (since 2005), KBS Capital Advisors (a manager of real estate investment trusts). | KBS Real Estate Investment Trusts (real estate investments); KBS Strategic Opportunity REITS (real estate investments); Metropolitan West Funds (mutual funds); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund). | |||
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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). | |||
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Victoria B. Rogers (1961) | Indefinite term; Ms. Rogers has served as a director of the TCW Funds, Inc. since October 2011. | President, The Rose Hills Foundation (charitable foundation). | Causeway Capital Management Trust (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund). |
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Directors and Officers of the Company (Continued)
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 | |||
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); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund). |
(1) | The address of each Independent Director is c/o Morgan Lewis, & Bockius LLP, Counsel to the Independent Directors, 300 South Grand Avenue 22nd Floor, Los Angeles, CA 90071. |
Interested Directors
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 | 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 (since January 2016), TCW LLC; Chairman (since February 2013), The TCW Group, Inc., TCW Investment Management Company, TCW Asset Management Company and Metropolitan West Asset Management; Chief Executive Officer and Chairman (December 2009 to February 2013), TCW Investment Management Company; Vice Chairman and Chief Executive Officer (December 2009 to August 2012), The TCW Group, Inc. (December 2009 to February 2013) and December 2009 to February 2013) TCW Asset Management Company; Vice Chairman and President (November 2010 to February 2013); Vice Chairman (November 2010 to December 2014); and Chairman (2014 – December 2015), Trust Company of the West. | Qualcomm Incorporated (wireless communications) |
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Name and Year of Birth | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Other Directorships held by Director | |||
David S. DeVito (1962) | Indefinite term; Mr. DeVito has served as a director since January 2014. | Executive Vice President and Chief Operating Officer (since January 2016), TCW LLC; President and Chief Executive Officer (since 2015), TCW Alternative Funds; Executive Vice President and Chief Operating Officer (since October 2013), TCW Investment Management Company LLC, The TCW Group, Inc., Metropolitan West Asset Management, LLC and TCW Asset Management Company LLC; President and Chief Executive Officer (since January 2014), TCW Strategic Income Fund, Inc. ; Executive Vice President and Chief Financial Officer (since 2010), Metropolitan West Funds. | 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 | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Lisa Eisen (1963) | Tax Officer | Tax Officer (since December 2016), Metropolitan West Funds, TCW Alternative Funds and TCW Strategic Income Fund, Inc.; Managing Director and Director of Tax (since August 2016), TCW, LLC; Vice President of Corporate Tax and Payroll for Health Net, Inc. (1988 – July 2016). | ||
Meredith S. Jackson (1959) | Senior Vice President, General Counsel and Secretary | Executive Vice President, General Counsel and Secretary (since January 2016), TCW LLC; Senior Vice President, General Counsel and Secretary (since 2015), TCW Alternative Funds; Executive Vice President, General Counsel and Secretary (since February 2013), TCW Investment Management Company, The TCW Group Inc., Trust Company of the West (2013 – December 2015), TCW Asset Management Company and Metropolitan West Asset Management; Senior Vice President, General Counsel and Secretary (since February 2013), TCW Strategic Income Fund, Inc. and Metropolitan West Funds; Partner and Chair of the Debt Finance Practice Group (1999 – January 2013), Irell & Manella (law firm). |
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Directors and Officers of the Company (Continued)
Name and Year of Birth | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Jeffrey Engelsman (1967) | Chief Compliance Officer since September 2014 and AML Officer since December 2016 | AML Officer (since December 2016), TCW Alternative Funds, Metropolitan West Funds, and Global Chief Compliance Officer (since January 2016), TCW LLC; Chief Compliance Officer (since 2014), Metropolitan West Funds and TCW Alternative Funds; Managing Director, Global Chief Compliance Officer (since August 2014), TCW Investment Management Company LLC, Trust Company of the West (2014 – December 2015) TCW Asset Management, LLC and Metropolitan West Asset Management, LLC; Global Chief Compliance Officer (since September 2014), The TCW Group, Inc.; Chief Compliance Officer (since September 2014), TCW Strategic Income Fund, Inc.; Chief Compliance Officer (2009 – August 2014), MainStay Funds (mutual fund); Managing Director (2009 – July 2014), New York Life Investments (investment management). | ||
Richard Villa (1964) | Treasurer and Principal Financial and Accounting Officer | Managing Director, Chief Financial Officer and Assistant Secretary (since January 2016), TCW LLC; Treasurer (since 2015), TCW Alternative Funds; Treasurer and Principal Financial and Accounting Officer (since February 2014), TCW Strategic Income Fund, Inc.; Managing Director and Chief Financial Officer and Assistant Secretary (since July 2008),TCW Investment Management Company, the TCW Group, Inc., Trust Company of the West (2008 – December 2015), TCW Asset Management Company LLC, and Metropolitan West Asset Management LLC. |
(1) | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
* | 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 (February 2005 – December 2015), TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC, TCW LLC and the Advisor, is Vice President and Assistant Treasurer of TCW Alternative Funds and Assistant Treasurer of the Company; and Patrick W. Dennis, Senior Vice President Associate General Counsel and Assistant Secretary of Trust Company of the West (February 2013 – December 2015), TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC, TCW LLC and the Advisor, is Vice President and Assistant Secretary of TCW Alternative Funds and Assistant Secretary of the Company.
The SAI (Statement of Additional Information) has additional information regarding the Board of Directors. A copy is available without charge by calling 1-800-FUND-TCW (1-800-386-3829) to obtain a hard copy or by going to the SEC website at http://www.sec.gov.
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TCW Funds, Inc.
865 South Figueroa Street
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street
Los Angeles, California 90017
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 E. Michigan Street
Milwaukee, Wisconsin 53202
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
555 West 5th Street
Los Angeles, California 90013
CUSTODIAN & ADMINISTRATOR
State Street Bank & Trust Company
One Lincoln Street
Boston, Massachusetts 02111
DISTRIBUTOR
TCW Funds Distributors LLC
865 South Figueroa Street
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
David S. DeVito
Director
John A. Gavin
Director
Peter McMillan
Director
Charles A. Parker
Director
Victoria B. Rogers
Director
Marc I. Stern
Director
Andrew Tarica
Director
OFFICERS
David S. DeVito
President and Chief Executive Officer
Meredith S. Jackson
Senior Vice President,
General Counsel and Secretary
Richard M. Villa
Treasurer and Principal Financial and Accounting Officer
Jeffrey A. Engelsman
Chief Compliance Officer
Patrick W. Dennis
Assistant Secretary
Lisa Eisen
Tax Officer
George N. Winn
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Artificial Intelligence Equity Fund
TCW Focused Equities Fund
TCW Global Real Estate Fund
TCW High Dividend Equities Fund
TCW New America Premier Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
ALLOCATION FUND
TCW Conservative Allocation Fund
FIXED INCOME FUNDS
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund
TCW Global Bond Fund
TCW High Yield Bond Fund
TCW Short Term Bond Fund
TCW Total Return Bond Fund
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
TCW Emerging Markets Income Fund
TCW Emerging Markets Local Currency Income Fund
TCW Emerging Markets Multi-Asset Opportunities Fund
TCW International Small Cap Fund
FUNDarEQ1017
OCTOBER 31
A N N U A L
R E P O R T
U.S. FIXED INCOME FUNDS
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund
TCW Global Bond Fund
TCW High Yield Bond Fund
TCW Short Term Bond Fund
TCW Total Return Bond Fund
TCW Funds, Inc.
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Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 135 | |||
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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 2017 annual report for the TCW Funds, Inc. covering the 12-month period ended October 31, 2017. I would like to express our appreciation for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of October 31, 2017, the TCW Funds held total net assets of approximately $16.8 billion.
This report contains information and portfolio management discussions of our TCW Fixed Income Funds.
Economic Review and Market Environment
Geopolitical and idiosyncratic risks continued to be simultaneously heightened and severely discounted by investors during the period. Notwithstanding brief bouts of market volatility resulting from heated rhetoric between the U.S. and North Korea, devastating natural disasters in the southeast, and contentious political discourse, the overarching theme was one of upward-trending markets propagated by still-accommodative central banks even as the number of potential catalysts to overturn frothy valuations grew. Meanwhile, market volatility measures such as the VIX hovered near historical lows, illustrative of the apparent complacency supporting price levels. While late 2016/early 2017 sentiment held that the new administration in Washington DC was poised to spur a faster pace of economic growth with passage of long-absent fiscal stimulus, political reality (and intransigence) has frustrated much in the way of legislative progress. As a result, no meaningful acceleration in GDP has occurred and wage growth remains limited while a lack of inflationary pressure persists, the combination of which reveals little fundamental support for the lack of risk aversion in evidence. Though corporate earnings have been resilient and modestly growing, indications are that profit momentum has been sustained more by financial engineering than robust top-line growth.
Despite a lack of fundamental catalysts (in our view) for the recent return environment, the market for risk assets remained buoyant, with equity indices reaching new record high levels several times. Spread sectors in the fixed income market also posted solid positive performance, as investors continued to rely on dovish central banks to bring the Bloomberg Barclays Aggregate Index to a total return of 0.9%. Corporate credit outpaced the overall market with a return of 3.5% given a supportive technical backdrop of both strong inflows into domestic high grade funds and robust overseas demand for yield. High yield also benefitted from the quest for spread product, gaining nearly 9% during the period. Within non-corporate credit, sovereigns and municipals led the way with returns over 3%; municipals were supported by sanguine rating agencies in the aftermath of the hurricanes as potential cash flow disruption risks were limited by Federal aid, insurance and reserves. Among securitized issues, non-agency MBS continued to post consistent, positive returns, led by subprime and alt-A collateral. Agency MBS performance, meanwhile, was mixed within the coupon stack and was the only broader sector in the fixed income space to lag comparable maturity U.S. Treasury issues. Meanwhile, asset-backed securities (ABS) posted strong returns, led by floating rate student loans. Finally, non-agency backed CMBS securities modestly outperformed their agency CMBS counterparts despite the technical headwind of increased issuance during the latter part of the period.
The Economy and Market Ahead
With demand for yield remaining as a dominant market theme, technicals have generally superseded what we believe are deteriorating credit fundamentals. To this point, while the investment grade credit market has grown by 11%, or $3.5 trillion, since 2009, EBITDA growth for the credit universe over the same period was only 1%. Given peak corporate leverage levels that are unlikely to meaningfully improve in the foreseeable future as record
1
Letter to Shareholders (Continued) |
debt issuance shows no sign of slowing, combined with weakening issuance practices, our view with regards to credit exposure is particularly cautious even as spreads appear to be lacking foundation. Similarly, consumer ABS new issuance continued at a robust pace in the third quarter, led by auto and credit card deals which brought year-to-date totals to $174.6 billion, 13% higher than 2016 levels. Further, while the Fed’s efforts to normalize rates and balance sheet levels have been well telegraphed thus far (with the latest announcement confirming that shrinking of the now $4.5 trillion balance sheet will begin in October), there are significant risks to the outlook that should give investors pause. Other risks include Fed policy and monetary policy implementation, as up to five new Fed board members could be confirmed in the next year, including a new chair. On the fiscal side of things, expectations for broad-based fiscal stimulus have repriced lower as discussions on infrastructure spending have ceased and the prospect of comprehensive tax reform appear unlikely, with the latest Republican blueprint showing a set of targeted tax cuts that may only provide a modest boost to growth in the short-term while potentially adding as much as $1-1.5 trillion on to the deficit.
Data sources for the discussion above include Bloomberg and Barclays.
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 year and look forward to further correspondence with you through our semi-annual report in 2018.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
2
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3
TCW Core Fixed Income Fund
Management Discussions
The TCW Core Fixed Income Fund (the “Fund”) returned 0.68% and 0.41% on its I Class and N Class shares, respectively, for the year ended October 31, 2017. The performance of the Fund’s classes varies because of differing expenses. The Bloomberg Barclays Aggregate Bond Index, the Fund’s benchmark, returned 0.90% for the same period.
Performance was restrained by the underweight to investment grade corporates, particularly commodity-related sectors, and non-U.S. sovereign debt which outpaced the Index on a duration-adjusted basis. The underweight to credit was somewhat offset by the allocation to securitized products, particularly the off-Index allocations to asset-backed securities (ABS) backed by floating rate government guaranteed student loan receivables and non-agency mortgage-backed securities (MBS). Non-agency MBS was supported by solid investor demand given attractive loss-adjusted yields and a profile characterized by low volatility, short duration, and improving fundamentals. Meanwhile, the defensive duration position of the Fund was beneficial as intermediate and long Treasury rates moved higher with the 10-Year up over 55 basis points (bps) to end October at 2.38%. Finally, the Fund continued to see contributions on the margin from the position in Japanese Government issued T-bills, with the Yen exposure fully hedged out using a Dollar-Yen cross currency swap.
The Fund remains true to its disciplined, value-based approach, reflected in a focus on higher quality, more defensive areas of the market and a relatively short duration profile. Securitized products, which offer opportunities for attractive risk-adjusted returns, remain an emphasis and positioning favors high quality, more senior issues. Commercial MBS exposure is skewed towards agency-backed issues as well as seasoned non-agency bonds at the top of the capital structure and single asset single borrower deals, while the ABS overweight is focused on high quality non-traditional collateral such as government guaranteed student loan receivables, for which value remains given the integrity of the government guarantee, though the position was trimmed somewhat as prices have improved since mid-2016. Finally, corporate leverage near historic highs, along with weakening credit underwriting standards informs a cautious approach to the sector, along with high yield and commercial mortgage-backed securities, which often serve as a corporate substitute (and share risk similarities). Ultimately, expectations for price adjustments to provide sufficient yield compensation for aggregated risks will inform repositioning of the portfolio and an increased risk budget. In the meantime, the Fund will maintain caution, while keeping up the yield profile through selective additions offering attractive risk-adjusted return profiles.
4
TCW Core Fixed Income Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Inception | Inception Index | |||||||||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||||||||||
Class I – 1/1/1990 | 0.68 | % | 1.96 | % | 1.90 | % | 5.43 | % | 6.07 | %(2) | 6.05 | % | ||||||||||||
Class N – 2/26/1999 | 0.41 | % | 1.68 | % | 1.59 | % | 5.11 | % | 5.12 | % | 4.92 | % | ||||||||||||
Bloomberg Barclays Aggregate Bond Index | 0.90 | % | 2.40 | % | 2.04 | % | 4.19 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
5
TCW Enhanced Commodity Strategy Fund
Management Discussions
The TCW Enhanced Commodity Strategy Fund (the “Fund”) gained 4.55% on both I Class and N Class shares for the year ended October 31, 2017. The Bloomberg Commodities Index, the Fund’s benchmark, returned 2.35% for the same period.
The Fund’s outperformance was driven by the allocation to corporate credit, particularly banking and insurance credits. Meanwhile, the Fund’s emphasis on securitized products also contributed, particularly via issue selection in the non-agency commercial mortgage-backed securities (CMBS) space. Also additive to performance was the Fund’s allocation to asset-backed securities (ABS) backed by floating rate government guaranteed student loan receivables, as well as subprime/alt-A non-agency MBS holdings which benefitted from solid demand and continued improvements in fundamentals such as higher home prices and lower loan-to-value ratios.
The Fund remains true to its disciplined, value-based approach, reflected in a focus on higher quality, more defensive areas of the market and a relatively short duration profile while cash levels remain relatively high to retain liquidity. Securitized products, particularly non-agency MBS which offer opportunities for attractive risk-adjusted returns, remain an emphasis and positioning favors high quality, more senior issues. The ABS overweight is focused on bonds backed by FFELP student loans which provide government guaranteed credit at a significant yield premium versus comparable Treasuries. Meanwhile, corporate leverage remains near historic highs and, coupled with weakening credit underwriting standards, informs a cautious approach to the sector, favoring financials over industrials. Ultimately, expectations for price adjustments to provide sufficient yield compensation for aggregated risks will inform the asset mix of the Fund and any adjustments to the risk budget. In the meantime, the Fund will maintain caution, while keeping up the yield profile through selective additions offering attractive risk-adjusted return profiles.
6
TCW Enhanced Commodity Strategy Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | |||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
Class I – 3/31/2011 | 4.55 | % | (8.55 | )% | (7.74 | )% | (7.63 | )% | ||||||||
Class N – 3/31/2011 | 4.55 | % | (8.56 | )% | (7.75 | )% | (7.64 | )% | ||||||||
Bloomberg Commodity Index | 2.35 | % | (9.54 | )% | (9.37 | )% | (9.58 | )% |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
7
TCW Global Bond Fund
Management Discussions
The TCW Global Bond Fund (the “Fund”) gained 1.07% on both I Class and N Class shares for the year ended October 31, 2017. The Bloomberg Barclays Global Aggregate Index, the Fund’s benchmark, returned 1.18% for the same period.
From a country perspective, the Fund’s emphasis on the U.S. was additive as the U.S. outpaced the Index, though the underweight to Brazil, the UK, Canada, and the Netherlands detracted as these countries also outperformed the Index. The continued emphasis on U.S. dollar assets and small overweight to yen and pound denominated bonds contributed, while the underweight to the Euro was a small drag. Looking at sector allocation, the Fund remained underweight corporate credit, particularly industrials, which weighed on relative performance as the sector continued to rally amidst strong demand from yield seeking investors. Commodity-related sectors, an underweight in the Fund, performed the best as oil prices edged higher. The underweight to emerging market credit was also a drag, though the small position in high yield credit boosted returns as below investment grade credit outpaced the Global Aggregate Index by over 800 basis points (bps) on a duration-adjusted basis over the period. Further gains came from structured products, with the underweight to agency mortgage-backed securities (MBS) contributing as mortgages lagged the Index, and the allocation to non-agency MBS benefitting returns as investor sponsorship for the sector remained strong given rising home prices and continued improvements in credit fundamentals. Additionally, the position in agency commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS) backed by government guaranteed student loan cash flows contributed.
The Fund remains true to its disciplined, value-based approach, reflected in a focus on higher quality, more defensive areas of the market and a relatively short duration profile. While rates have not risen significantly this quarter, the end to accommodative monetary policy by the Fed and the ECB all point to the prospect of higher rates in the future. This, combined with the relatively better U.S. growth prospects that have emerged recently, informs a continued underweight to most of Europe and Asia, particularly continental Europe and Japan, and an overweight to the U.S. Similarly, currency exposure remains significantly underweight the euro and yen, with a smaller underweight to the pound, in favor of the U.S. dollar. Concerns about the aging credit cycle also inform our cautious sector exposures. Tight valuations and historically high leverage in the corporate sector inform our credit positioning, which favors regulated sectors like U.S. financials with limited re-leveraging risk and reasonable yield premiums, and high quality, low beta U.S. industrials, with a small allocation to select U.S. high yield corporate and investment grade emerging market bonds. U.S. securitized products, which continue to provide protection from excesses in credit markets and offer opportunities for attractive risk-adjusted returns, represent a relative overweight, with a preference for non-agency MBS, CMBS, and government guaranteed student loan ABS.
8
TCW Global Bond Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | |||||||||||||
TCW Global Bond Fund | ||||||||||||||||
Class I – 11/30/2011 | 1.07 | % | 0.67 | % | 0.35 | % | 2.35 | % | ||||||||
Class N – 11/30/2011 | 1.07 | % | 0.67 | % | 0.35 | % | 2.35 | % | ||||||||
Bloomberg Barclays Global Aggregate Bond Index | 1.18 | % | 1.17 | % | 0.43 | % | 1.26 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
9
TCW High Yield Bond Fund
Management Discussions
The TCW High Yield Bond Fund (the “Fund”) gained 6.80% and 6.59% for its I Class and N Class shares, respectively, for the year ended October 31, 2017. The performance of the Fund’s classes varies because of differing expenses. The Citigroup High Yield Cash Pay Custom Index, the Fund’s benchmark, returned 8.48% over the same period.
Despite the positive absolute returns, performance relative to the Index has disappointed, with a lag of 168 basis points, largely due to the highly defensive orientation which has underweighted the more volatile basic industry and energy sectors that posted outsized returns. From an issuer perspective, the largest drag came from Homer City which experienced further spread widening, though this was offset by solid security selection among strong U.S. banking credits. The overall higher quality emphasis was also a drag as lower rated cohorts outperformed during the period. Outside of corporates, the small off-Index allocation to subprime non-agency mortgage-backed securities (MBS) benefitted returns given the strong fundamentals of the sector. Finally, the Fund’s defensive duration position benefitted returns as intermediate and long U.S. Treasury rates were higher over the year, with the 10-Year U.S. Treasury yield up by over 55 basis points (bps).
The Fund remains true to its disciplined, value-based approach, reflected in a focus on higher quality, more defensive areas of the market that are non-cyclical and recession-resistant. Industrial credits continue to represent a relative underweight, with select positioning focused on asset heavy companies with stable cash flows and strong balance sheets such as lower beta packaging, transportation, communication, food & beverage, and midstream credits. Going forward, we continue to emphasize security selection (in other words, seeking to discern between the winners and losers) to minimize downside risk, an approach we believe will be key to outperforming in the late stages of the credit cycle. To this end, the cash position of the Fund remains elevated as expectations for episodic volatility will ultimately provide opportunities to expand the increased risk budget. In the meantime, the Fund will maintain caution, while keeping up the yield profile through selective additions offering attractive risk-adjusted return profiles.
10
TCW High Yield Bond Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Inception | Inception Index | |||||||||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||||||||||
Class I – 2/1/1989 | 6.80 | % | 4.51 | % | 5.04 | % | 6.01 | % | 7.25 | %(2) | 8.06 | % | ||||||||||||
Class N – 2/26/1999 | 6.59 | % | 4.23 | % | 4.80 | % | 5.80 | % | 5.34 | % | 6.83 | % | ||||||||||||
Citigroup High Yield Cash Pay Custom Index | 8.48 | % | 4.97 | % | 5.74 | % | 7.25 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
11
TCW Short Term Bond Fund
Management Discussions
The TCW Short Term Bond Fund (the “Fund”) returned 0.75% for the year ended October 31, 2017. The Citigroup 1-Year Treasury Index, the Fund’s benchmark, returned 0.59% for the same period.
The Fund outperformed the Index by 16 basis points (bps) for the year. Returns were driven by the allocation to corporate credit, with REITs and banking contributing the most. Performance benefitted further from the emphasis on structured products, particularly agency mortgage-backed securities (MBS) which recovered later in the period after the Fed provided more clarify regarding plans for balance sheet normalization. The small allocation to non-agency MBS also performed well due to solid investor demand given attractive loss-adjusted yields and a profile characterized by low volatility, short duration, and improving fundamentals. Finally, returns benefitted modestly from the defensive duration position as short U.S. Treasury yields moved higher.
The Fund remains true to its disciplined, value-based approach, reflected in a focus on higher quality, more defensive areas of the market and a relatively short duration profile, while cash levels remain relatively high to retain liquidity. Securitized products, which offer opportunities for attractive risk-adjusted returns, remain an emphasis and positioning favors high quality, more senior issues, with the commercial MBS exposure made up of agency issues and seasoned non-agency bonds at the top of the capital structure. Finally, corporate leverage near historic highs, along with weakening credit underwriting standards informs a cautious approach to the sector, along with commercial mortgage-backed securities, which often serve as a corporate substitute (and share risk similarities). Ultimately, expectations for price adjustments to provide sufficient yield compensation for aggregated risks will inform repositioning of the portfolio and an increased risk budget. In the meantime, the Fund will maintain caution, while keeping up the yield profile through selective additions offering attractive risk-adjusted return profiles.
12
TCW Short Term Bond Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Since Inception | ||||||||||||||||
TCW Short Term Bond Fund | ||||||||||||||||||||
Class I – 2/1/1990 | 0.75 | % | 0.61 | % | 0.63 | % | 1.51 | % | 3.97 | %(2) | ||||||||||
Citigroup 1 Yr Treasury Index | 0.59 | % | 0.49 | % | 0.42 | % | 1.03 | % | 3.56 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
13
TCW Total Return Bond Fund
Management Discussions
The TCW Total Return Bond Fund (the “Fund”) returned 0.72% and 0.41% on its I Class and N Class shares, respectively, for the year ended October 31, 2017. The performance of the Fund’s classes varies because of differing expenses. The Bloomberg Barclays Aggregate Bond Index, the Fund’s benchmark, returned 0.90% for the same period.
Returns were driven by the off-Index allocation to non-agency mortgage-backed securities (MBS) (particularly bonds backed by alt-A and subprime mortgages), which have benefitted from solid demand and continued improvements in fundamentals such as higher home prices and lower loan-to-value ratios. The next largest contribution comes from the exposure to floating rate government guaranteed student loan asset-backed securities (ABS) as the sector benefited from the conclusion of downgrade watch with results that were less negative than anticipated. Finally, given the increase in Treasury rates over the period, the Fund’s defensive duration position further contributed. However, the overweight to agency MBS was a drag as the sector widened over the period on news of the Fed tapering its balance sheet, while a lack of exposure to credit further weighed on relative performance given the ongoing search for yield by investors that boosted the appetite for spread assets, with investment grade credit outpacing Treasuries by nearly 400 basis points (bps) on a duration-adjusted basis.
Going forward, the Fund remains true to its disciplined, value-based approach, reflected via a focus on higher quality, more defensive areas of the market and a shorter duration profile relative to the aggregate fixed income universe. Corporate credit continues to be absent in the Fund given its mortgage focus, while positioning in securitized products favors higher quality, more senior issues. The Fund’s non-agency MBS holdings emphasize issues with better relative quality and near term cash flows, while the overweight to agency MBS tactically allocates between specified pools and TBAs contingent on relative value with a modest allocation to floating rate collateralized mortgage obligations (CMOs). The exposure to commercial MBS is skewed towards agency-backed bonds as well as seasoned non-agency securities at the top of the capital structure and single asset/single borrower deals, while the ABS overweight emphasizes high quality non-traditional collateral such as government guaranteed student loan receivables, for which value remains given the integrity of the government guarantee, though the position was trimmed over the period as prices have improved since mid-2016. Ultimately, expectations for price adjustments to provide sufficient yield compensation for aggregated risks will inform the asset mix of the Fund and any adjustments to the risk budget. In the meantime, the Fund will maintain caution, while keeping up the yield profile through selective additions that offer attractive risk-adjusted return profiles.
14
TCW Total Return Bond Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Inception | Inception Index | |||||||||||||||||||
TCW Total Return Bond Fund | ||||||||||||||||||||||||
Class I – 6/17/1993 | 0.72 | % | 2.19 | % | 2.86 | % | 6.22 | % | 6.47 | % | 5.35 | % | ||||||||||||
Class N – 2/26/1999 | 0.41 | % | 1.85 | % | 2.55 | % | 5.90 | % | 5.96 | % | 4.92 | % | ||||||||||||
Bloomberg Barclays Aggregate Bond Index | 0.90 | % | 2.40 | % | 2.04 | % | 4.19 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
15
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 99.3% of Net Assets |
| |||||||||||
CORPORATE BONDS — 28.5% | ||||||||||||
Aerospace/Defense — 0.8% | ||||||||||||
L3 Technologies, Inc. |
| |||||||||||
5.20% | 10/15/19 | $ | 3,202,000 | $ | 3,389,597 | |||||||
Lloyds Banking Group Plc (United Kingdom) |
| |||||||||||
2.91% | 11/07/23 | 1,740,000 | 1,740,000 | |||||||||
Northrop Grumman Corp. |
| |||||||||||
3.25% | 01/15/28 | 2,605,000 | 2,630,058 | |||||||||
United Technologies Corp. |
| |||||||||||
1.78% | 05/04/18 | 5,850,000 | 5,849,894 | |||||||||
|
| |||||||||||
13,609,549 | ||||||||||||
|
| |||||||||||
Agriculture — 0.4% | ||||||||||||
Bat Capital Corp. | ||||||||||||
2.30% (1) | 08/14/20 | 1,500,000 | 1,501,547 | |||||||||
BAT International Finance PLC |
| |||||||||||
1.85% (1) | 06/15/18 | 5,000,000 | 5,001,328 | |||||||||
|
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6,502,875 | ||||||||||||
|
| |||||||||||
Airlines — 0.5% | ||||||||||||
America West Airlines, Inc. Pass-Through Certificates, (01-1) (EETC) |
| |||||||||||
7.10% | 10/02/22 | 1,633,860 | 1,776,782 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates, (00-2-A1) (EETC) |
| |||||||||||
7.71% | 10/02/22 | 20,171 | 22,201 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates, (07-1-A) (EETC) |
| |||||||||||
5.98% | 10/19/23 | 934,629 | 1,034,410 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates, (09-2-A1) (EETC) |
| |||||||||||
7.25% | 05/10/21 | 650,861 | 708,235 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates, (99-1-A) (EETC) |
| |||||||||||
6.55% | 08/02/20 | 499,211 | 517,931 | |||||||||
Northwest Airlines LLC Pass-Through Certificates, (01-1-A1) (EETC) |
| |||||||||||
7.04% | 10/01/23 | 489,585 | 561,493 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (12-1A) (EETC) |
| |||||||||||
5.90% | 04/01/26 | 1,853,487 | 2,086,187 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Airlines (Continued) | ||||||||||||
US Airways Group, Inc. Pass-Through Certificates, (10-1A) (EETC) |
| |||||||||||
6.25% | 10/22/24 | $ | 435,275 | $ | 490,147 | |||||||
US Airways Group, Inc. Pass-Through Certificates, (12-2-A) (EETC) |
| |||||||||||
4.63% | 12/03/26 | 738,265 | 791,721 | |||||||||
|
| |||||||||||
7,989,107 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 0.6% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.24% | 06/15/18 | 2,000,000 | 2,004,525 | |||||||||
2.29% (3 mo. USD LIBOR + 0.940%) (2) | 01/09/18 | 3,000,000 | 3,003,884 | |||||||||
General Motors Co. |
| |||||||||||
6.60% | 04/01/36 | 1,680,000 | 2,011,759 | |||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.10% | 01/15/19 | 3,500,000 | 3,544,889 | |||||||||
|
| |||||||||||
10,565,057 | ||||||||||||
|
| |||||||||||
Banks — 10.2% | ||||||||||||
Bank of America Corp. |
| |||||||||||
2.37% (3 mo. USD LIBOR + 0.660%) (2) | 07/21/21 | 1,030,000 | 1,028,809 | |||||||||
2.60% | 01/15/19 | 1,500,000 | 1,510,340 | |||||||||
3.09% (3 mo. USD LIBOR + 1.0900%) (2) | 10/01/25 | 2,560,000 | 2,550,618 | |||||||||
3.71% (3 mo. USD LIBOR + 1.512%) (2) | 04/24/28 | 6,900,000 | 7,052,000 | |||||||||
4.13% | 01/22/24 | 2,675,000 | 2,851,741 | |||||||||
5.65% | 05/01/18 | 5,930,000 | 6,044,926 | |||||||||
6.88% | 04/25/18 | 12,420,000 | 12,724,669 | |||||||||
7.63% | 06/01/19 | 3,000,000 | 3,255,013 | |||||||||
Capital One N.A. |
| |||||||||||
2.35% | 08/17/18 | 2,450,000 | 2,457,780 | |||||||||
Citigroup, Inc. |
| |||||||||||
1.80% | 02/05/18 | 7,000,000 | 7,001,682 | |||||||||
2.05% | 12/07/18 | 5,500,000 | 5,505,726 | |||||||||
2.50% | 09/26/18 | 4,000,000 | 4,023,574 | |||||||||
2.50% | 07/29/19 | 1,700,000 | 1,711,947 | |||||||||
6.13% | 11/21/17 | 3,225,000 | 3,233,087 | |||||||||
6.13% | 05/15/18 | 5,450,000 | 5,576,462 | |||||||||
Discover Bank/Greenwood DE |
| |||||||||||
4.20% | 08/08/23 | 1,500,000 | 1,595,944 | |||||||||
7.00% | 04/15/20 | 1,495,000 | 1,653,404 |
See accompanying notes to financial statements.
16
TCW Core Fixed Income Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Banks (Continued) | ||||||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.38% | 01/22/18 | $ | 622,000 | $ | 623,161 | |||||||
3.85% | 07/08/24 | 2,435,000 | 2,540,667 | |||||||||
5.25% | 07/27/21 | 1,000,000 | 1,096,255 | |||||||||
5.95% | 01/18/18 | 9,000,000 | 9,082,836 | |||||||||
6.00% | 06/15/20 | 50,000 | 54,745 | |||||||||
6.15% | 04/01/18 | 9,335,000 | 9,503,359 | |||||||||
7.50% | 02/15/19 | 2,378,000 | 2,542,325 | |||||||||
HBOS PLC (United Kingdom) |
| |||||||||||
6.75% (1) | 05/21/18 | 4,000,000 | 4,099,964 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.70% | 05/18/23 | 2,100,000 | 2,094,891 | |||||||||
3.22% (3 mo. USD LIBOR + 1.155%) (2) | 03/01/25 | 3,250,000 | 3,283,763 | |||||||||
6.00% | 01/15/18 | 13,100,000 | 13,217,784 | |||||||||
Lloyds TSB Bank PLC (United Kingdom) |
| |||||||||||
5.80% (1) | 01/13/20 | 850,000 | 916,107 | |||||||||
Morgan Stanley |
| |||||||||||
2.11% (3 mo. USD LIBOR + 0.800%) (2) | 02/14/20 | 3,000,000 | 3,014,159 | |||||||||
2.29% (3 mo. USD LIBOR + 0.930%) (2) | 07/22/22 | 5,000,000 | 5,037,133 | |||||||||
5.63% | 09/23/19 | 1,750,000 | 1,862,023 | |||||||||
6.63% | 04/01/18 | 3,975,000 | 4,054,363 | |||||||||
7.30% | 05/13/19 | 10,470,000 | 11,286,744 | |||||||||
Santander UK PLC (United Kingdom) |
| |||||||||||
2.50% | 03/14/19 | 3,250,000 | 3,274,580 | |||||||||
UBS AG (Switzerland) |
| |||||||||||
1.80% | 03/26/18 | 3,305,000 | 3,307,973 | |||||||||
Wachovia Corp. |
| |||||||||||
5.75% | 02/01/18 | 11,000,000 | 11,113,694 | |||||||||
Wells Fargo & Co. |
| |||||||||||
2.60% | 07/22/20 | 2,355,000 | 2,380,204 | |||||||||
2.63% | 07/22/22 | 2,000,000 | 1,993,573 | |||||||||
3.00% | 04/22/26 | 7,765,000 | 7,599,241 | |||||||||
3.55% | 09/29/25 | 925,000 | 950,667 | |||||||||
Wells Fargo Bank N.A. |
| |||||||||||
6.00% | 11/15/17 | 2,340,000 | 2,343,861 | |||||||||
|
| |||||||||||
177,051,794 | ||||||||||||
|
| |||||||||||
Beverages — 0.2% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. |
| |||||||||||
4.90% | 02/01/46 | 2,485,000 | 2,803,054 | |||||||||
|
| |||||||||||
Biotechnology — 0.6% | ||||||||||||
Amgen, Inc. |
| |||||||||||
4.40% | 05/01/45 | 1,870,000 | 1,976,862 | |||||||||
4.66% | 06/15/51 | 1,402,000 | 1,522,748 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Biotechnology (Continued) | ||||||||||||
Baxalta, Inc. |
| |||||||||||
2.88% | 06/23/20 | $ | 2,000,000 | $ | 2,030,275 | |||||||
Biogen, Inc. |
| |||||||||||
5.20% | 09/15/45 | 1,168,000 | 1,348,581 | |||||||||
Celgene Corp. |
| |||||||||||
5.00% | 08/15/45 | 2,200,000 | 2,422,367 | |||||||||
Gilead Sciences, Inc. |
| |||||||||||
4.15% | 03/01/47 | 1,000,000 | 1,033,073 | |||||||||
|
| |||||||||||
10,333,906 | ||||||||||||
|
| |||||||||||
Diversified Financial Services — 1.5% |
| |||||||||||
American Express Co. |
| |||||||||||
7.00% | 03/19/18 | 3,000,000 | 3,062,420 | |||||||||
American Express Credit Corp. |
| |||||||||||
2.20% | 03/03/20 | 2,650,000 | 2,658,689 | |||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland) |
| |||||||||||
4.42% | 11/15/35 | 425,000 | 455,264 | |||||||||
International Lease Finance Corp. |
| |||||||||||
3.88% | 04/15/18 | 1,000,000 | 1,009,303 | |||||||||
7.13% (1) | 09/01/18 | 4,000,000 | 4,167,500 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
7.25% | 02/01/18 | 7,475,000 | 7,577,229 | |||||||||
Protective Life Global Funding |
| |||||||||||
1.72% (1) | 04/15/19 | 4,000,000 | 3,993,755 | |||||||||
Protective Life Global Funding |
| |||||||||||
1.87% (3 mo. USD LIBOR + 0.550%) (1)(2) | 06/08/18 | 2,875,000 | 2,882,178 | |||||||||
|
| |||||||||||
25,806,338 | ||||||||||||
|
| |||||||||||
Electric — 2.4% | ||||||||||||
Appalachian Power Co. |
| |||||||||||
4.45% | 06/01/45 | 1,500,000 | 1,647,206 | |||||||||
Commonwealth Edison Co. |
| |||||||||||
3.65% | 06/15/46 | 975,000 | 976,173 | |||||||||
Duke Energy Progress LLC |
| |||||||||||
3.70% | 10/15/46 | 2,800,000 | 2,808,380 | |||||||||
El Paso Electric Co. |
| |||||||||||
3.30% | 12/15/22 | 2,250,000 | 2,280,858 | |||||||||
Emera US Finance LP |
| |||||||||||
2.15% | 06/15/19 | 3,684,000 | 3,678,091 | |||||||||
Entergy Mississippi, Inc. |
| |||||||||||
3.10% | 07/01/23 | 3,000,000 | 3,077,271 | |||||||||
FirstEnergy Transmission LLC |
| |||||||||||
4.35% (1) | 01/15/25 | 1,585,000 | 1,688,589 | |||||||||
Indiana Michigan Power Co. |
| |||||||||||
4.55% | 03/15/46 | 1,000,000 | 1,120,524 | |||||||||
ITC Holdings Corp. |
| |||||||||||
3.25% | 06/30/26 | 4,000,000 | 3,990,698 |
See accompanying notes to financial statements.
17
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Electric (Continued) | ||||||||||||
Kansas City Power & Light Co. |
| |||||||||||
3.15% | 03/15/23 | $ | 4,000,000 | $ | 4,090,555 | |||||||
KCP&L Greater Missouri Operations Co. |
| |||||||||||
8.27% | 11/15/21 | 1,100,000 | 1,252,891 | |||||||||
Metropolitan Edison Co. |
| |||||||||||
3.50% (1) | 03/15/23 | 3,300,000 | 3,411,245 | |||||||||
MidAmerican Energy Co. |
| |||||||||||
5.80% | 10/15/36 | 1,800,000 | 2,275,183 | |||||||||
Niagara Mohawk Power Corp. |
| |||||||||||
2.72% (1) | 11/28/22 | 1,000,000 | 1,004,404 | |||||||||
Public Service Co. of New Mexico |
| |||||||||||
7.95% | 05/15/18 | 2,545,000 | 2,626,934 | |||||||||
Public Service Co. of Oklahoma |
| |||||||||||
4.40% | 02/01/21 | 2,000,000 | 2,117,234 | |||||||||
Puget Energy, Inc. |
| |||||||||||
6.00% | 09/01/21 | 1,980,000 | 2,220,645 | |||||||||
Southwestern Electric Power Co. |
| |||||||||||
6.45% | 01/15/19 | 1,000,000 | 1,049,395 | |||||||||
Tucson Electric Power Co. |
| |||||||||||
5.15% | 11/15/21 | 1,000,000 | 1,099,862 | |||||||||
|
| |||||||||||
42,416,138 | ||||||||||||
|
| |||||||||||
Energy-Alternate Sources — 0.1% | ||||||||||||
Alta Wind Holdings LLC |
| |||||||||||
7.00% (1)(3)(4) | 06/30/35 | 1,053,598 | 1,229,012 | |||||||||
|
| |||||||||||
Environmental Control — 0.2% | ||||||||||||
Republic Services, Inc. |
| |||||||||||
2.90% | 07/01/26 | 2,075,000 | 2,034,087 | |||||||||
3.80% | 05/15/18 | 2,000,000 | 2,023,066 | |||||||||
|
| |||||||||||
4,057,153 | ||||||||||||
|
| |||||||||||
Food — 0.4% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.00% | 06/01/26 | 875,000 | 847,059 | |||||||||
3.95% | 07/15/25 | 1,850,000 | 1,922,723 | |||||||||
4.38% | 06/01/46 | 1,700,000 | 1,669,187 | |||||||||
5.38% | 02/10/20 | 143,000 | 153,094 | |||||||||
6.13% | 08/23/18 | 3,000,000 | 3,103,048 | |||||||||
|
| |||||||||||
7,695,111 | ||||||||||||
|
| |||||||||||
Gas — 0.3% | ||||||||||||
CenterPoint Energy Resources Corp. |
| |||||||||||
6.25% | 02/01/37 | 1,750,000 | 2,204,908 | |||||||||
KeySpan Gas East Corp. | ||||||||||||
5.82% (1) | 04/01/41 | 1,686,000 | 2,166,556 | |||||||||
NiSource Finance Corp. |
| |||||||||||
6.80% | 01/15/19 | 62,000 | 65,387 | |||||||||
|
| |||||||||||
4,436,851 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Healthcare-Services — 2.3% | ||||||||||||
Aetna, Inc. |
| |||||||||||
1.70% | 06/07/18 | $ | 4,300,000 | $ | 4,299,861 | |||||||
Anthem, Inc. |
| |||||||||||
1.88% | 01/15/18 | 2,450,000 | 2,452,133 | |||||||||
2.30% | 07/15/18 | 1,360,000 | 1,365,188 | |||||||||
7.00% | 02/15/19 | 1,750,000 | 1,861,040 | |||||||||
Cigna Corp. |
| |||||||||||
3.05% | 10/15/27 | 2,580,000 | 2,521,095 | |||||||||
Fresenius Medical Care US Finance II, Inc. |
| |||||||||||
5.63% (1) | 07/31/19 | 4,100,000 | 4,334,381 | |||||||||
Hartford HealthCare Corp. |
| |||||||||||
5.75% | 04/01/44 | 2,545,000 | 3,057,123 | |||||||||
Kaiser Foundation Hospitals |
| |||||||||||
4.15% | 05/01/47 | 3,000,000 | 3,211,324 | |||||||||
New York and Presbyterian Hospital (The) |
| |||||||||||
3.56% | 08/01/36 | 4,105,000 | 4,014,490 | |||||||||
North Shore Long Island Jewish Health Care, Inc. |
| |||||||||||
4.80% | 11/01/42 | 3,000,000 | 3,251,965 | |||||||||
NYU Hospitals Center |
| |||||||||||
4.43% | 07/01/42 | 3,000,000 | 3,141,801 | |||||||||
Saint Barnabas Health Care System |
| |||||||||||
4.00% | 07/01/28 | 3,290,000 | 3,276,201 | |||||||||
Sutter Health |
| |||||||||||
2.29% | 08/15/53 | 2,270,000 | 2,287,025 | |||||||||
UnitedHealth Group, Inc. |
| |||||||||||
4.63% | 07/15/35 | 1,305,000 | 1,477,462 | |||||||||
|
| |||||||||||
40,551,089 | ||||||||||||
|
| |||||||||||
Insurance — 0.6% | ||||||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
4.40% | 05/15/42 | 2,500,000 | 2,777,126 | |||||||||
Farmers Exchange Capital |
| |||||||||||
7.20% (1) | 07/15/48 | 1,625,000 | 2,136,737 | |||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% (3 mo. USD | 11/01/53 | 2,250,000 | 2,583,934 | |||||||||
MetLife, Inc. |
| |||||||||||
4.37% | 09/15/23 | 800,000 | 872,207 | |||||||||
5.70% | 06/15/35 | 300,000 | 373,908 | |||||||||
Pricoa Global Funding I |
| |||||||||||
1.60% (1) | 05/29/18 | 1,000,000 | 1,000,344 | |||||||||
Prudential Financial, Inc. |
| |||||||||||
4.50% | 11/15/20 | 1,000,000 | 1,065,590 | |||||||||
|
| |||||||||||
10,809,846 | ||||||||||||
|
|
See accompanying notes to financial statements.
18
TCW Core Fixed Income Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Internet — 0.1% | ||||||||||||
Amazon.com, Inc. |
| |||||||||||
3.15% (1) | 08/22/27 | $ | 2,600,000 | $ | 2,620,929 | |||||||
|
| |||||||||||
Media — 0.4% | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
4.91% | 07/23/25 | 4,130,000 | 4,401,586 | |||||||||
NBCUniversal Media LLC |
| |||||||||||
5.15% | 04/30/20 | 200,000 | 215,445 | |||||||||
Time Warner Cable LLC |
| |||||||||||
6.75% | 07/01/18 | 2,501,000 | 2,581,071 | |||||||||
|
| |||||||||||
7,198,102 | ||||||||||||
|
| |||||||||||
Mining — 0.0% | ||||||||||||
Southern Copper Corp. (Peru) |
| |||||||||||
7.50% | 07/27/35 | 300,000 | 397,474 | |||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 0.4% | ||||||||||||
General Electric Capital Corp. |
| |||||||||||
1.80% (3 mo. USD LIBOR + 0.480%) (2) | 08/15/36 | 3,315,000 | 3,027,795 | |||||||||
3.15% | 09/07/22 | 287,000 | 297,665 | |||||||||
Siemens Financieringsmaatschappij NV (Netherlands) |
| |||||||||||
1.70% (1) | 09/15/21 | 2,868,000 | 2,809,614 | |||||||||
|
| |||||||||||
6,135,074 | ||||||||||||
|
| |||||||||||
Oil & Gas — 0.1% | ||||||||||||
Noble Energy, Inc. |
| |||||||||||
5.05% | 11/15/44 | 1,000,000 | 1,051,475 | |||||||||
Shell International Finance BV (Netherlands) |
| |||||||||||
4.38% | 05/11/45 | 1,250,000 | 1,361,826 | |||||||||
|
| |||||||||||
2,413,301 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 0.1% | ||||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
3.63% (1) | 04/28/26 | 1,500,000 | 1,488,551 | |||||||||
|
| |||||||||||
Pharmaceuticals — 0.6% | ||||||||||||
AbbVie, Inc. |
| |||||||||||
1.80% | 05/14/18 | 1,500,000 | 1,501,130 | |||||||||
4.70% | 05/14/45 | 50,000 | 54,478 | |||||||||
Actavis Funding SCS (Luxembourg) |
| |||||||||||
2.35% | 03/12/18 | 900,000 | 902,147 | |||||||||
4.55% | 03/15/35 | 1,150,000 | 1,212,962 | |||||||||
AstraZeneca PLC (United Kingdom) |
| |||||||||||
3.13% | 06/12/27 | 1,700,000 | 1,686,610 | |||||||||
Pfizer, Inc. | ||||||||||||
4.40% | 05/15/44 | 1,282,000 | 1,425,202 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Pharmaceuticals (Continued) | ||||||||||||
Shire Acquisitions Investments Ireland DAC (Ireland) |
| |||||||||||
1.90% | 09/23/19 | $ | 3,835,000 | $ | 3,821,450 | |||||||
|
| |||||||||||
10,603,979 | ||||||||||||
|
| |||||||||||
Pipelines — 1.5% | ||||||||||||
Enbridge Energy Partners LP |
| |||||||||||
5.88% | 10/15/25 | 1,000,000 | 1,145,629 | |||||||||
Energy Transfer Partners LP |
| |||||||||||
5.95% | 10/01/43 | 1,500,000 | 1,602,820 | |||||||||
Florida Gas Transmission Co. LLC |
| |||||||||||
3.88% | 07/15/22 | 2,000,000 | 2,089,165 | |||||||||
7.90% | 05/15/19 | 1,250,000 | 1,353,330 | |||||||||
Panhandle Eastern Pipe Line Co. LP |
| |||||||||||
7.00% | 06/15/18 | 675,000 | 696,154 | |||||||||
8.13% | 06/01/19 | 825,000 | 894,482 | |||||||||
Ruby Pipeline LLC |
| |||||||||||
6.00% (1) | 04/01/22 | 2,225,379 | 2,364,502 | |||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.63% | 03/01/25 | 2,000,000 | 2,222,500 | |||||||||
Southern Natural Gas Co. LLC |
| |||||||||||
7.35% | 02/15/31 | 2,590,000 | 3,315,697 | |||||||||
TC PipeLines LP | ||||||||||||
4.38% | 03/13/25 | 2,000,000 | 2,099,709 | |||||||||
Tennessee Gas Pipeline Co. |
| |||||||||||
8.38% | 06/15/32 | 2,090,000 | 2,742,579 | |||||||||
Texas Eastern Transmission LP |
| |||||||||||
2.80% (1) | 10/15/22 | 1,000,000 | 995,982 | |||||||||
TransCanada PipeLines, Ltd. (Canada) |
| |||||||||||
6.10% | 06/01/40 | 375,000 | 491,494 | |||||||||
Williams Partners LP | ||||||||||||
3.90% | 01/15/25 | 1,000,000 | 1,029,043 | |||||||||
6.30% | 04/15/40 | 2,000,000 | 2,435,433 | |||||||||
|
| |||||||||||
25,478,519 | ||||||||||||
|
| |||||||||||
REIT — 2.1% | ||||||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||||||
4.60% | 04/01/22 | 2,250,000 | 2,401,608 | |||||||||
AvalonBay Communities, Inc. |
| |||||||||||
3.95% | 01/15/21 | 1,000,000 | 1,044,445 | |||||||||
Boston Properties LP | ||||||||||||
5.88% | 10/15/19 | 2,200,000 | 2,344,380 | |||||||||
CC Holdings GS V LLC / Crown Castle GS III Corp. |
| |||||||||||
3.85% | 04/15/23 | 1,065,000 | 1,109,892 | |||||||||
HCP, Inc. | ||||||||||||
3.75% | 02/01/19 | 2,000,000 | 2,035,329 | |||||||||
3.88% | 08/15/24 | 2,295,000 | 2,363,412 |
See accompanying notes to financial statements.
19
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
REIT (Continued) | ||||||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
5.75% | 01/15/21 | $ | 2,900,000 | $ | 3,177,194 | |||||||
Highwoods Realty LP | ||||||||||||
7.50% | 04/15/18 | 1,459,000 | 1,494,395 | |||||||||
Realty Income Corp. | ||||||||||||
2.00% | 01/31/18 | 2,150,000 | 2,149,983 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 2,590,000 | 2,601,153 | |||||||||
SL Green Realty Corp. | ||||||||||||
5.00% | 08/15/18 | 2,440,000 | 2,480,725 | |||||||||
7.75% | 03/15/20 | 1,000,000 | 1,112,854 | |||||||||
Ventas Realty LP | ||||||||||||
3.85% | 04/01/27 | 750,000 | 765,660 | |||||||||
Ventas Realty LP / Ventas Capital Corp. |
| |||||||||||
2.00% | 02/15/18 | 2,425,000 | 2,427,018 | |||||||||
2.70% | 04/01/20 | 1,500,000 | 1,514,023 | |||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC |
| |||||||||||
3.25% (1) | 10/05/20 | 2,000,000 | 2,038,485 | |||||||||
Welltower, Inc. | ||||||||||||
3.75% | 03/15/23 | 605,000 | 629,088 | |||||||||
4.95% | 01/15/21 | 545,000 | 584,145 | |||||||||
6.13% | 04/15/20 | 3,400,000 | 3,711,341 | |||||||||
|
| |||||||||||
35,985,130 | ||||||||||||
|
| |||||||||||
Retail — 0.6% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
3.55% (1) | 07/26/27 | 3,535,000 | 3,557,056 | |||||||||
CVS Health Corp. | ||||||||||||
3.88% | 07/20/25 | 3,920,000 | 4,038,366 | |||||||||
Wal-Mart Stores, Inc. | ||||||||||||
4.75% | 10/02/43 | 2,100,000 | 2,496,580 | |||||||||
|
| |||||||||||
10,092,002 | ||||||||||||
|
| |||||||||||
Software — 0.2% | ||||||||||||
Microsoft Corp. |
| |||||||||||
2.88% | 02/06/24 | 1,700,000 | 1,732,172 | |||||||||
3.75% | 02/12/45 | 2,000,000 | 2,033,183 | |||||||||
|
| |||||||||||
3,765,355 | ||||||||||||
|
| |||||||||||
Telecommunications — 1.3% | ||||||||||||
AT&T, Inc. | ||||||||||||
4.13% | 02/17/26 | 1,400,000 | 1,439,053 | |||||||||
4.35% | 06/15/45 | 1,500,000 | 1,335,292 | |||||||||
4.45% | 04/01/24 | 1,500,000 | 1,592,800 | |||||||||
4.50% | 03/09/48 | 970,000 | 881,207 | |||||||||
4.75% | 05/15/46 | 3,000,000 | 2,840,566 | |||||||||
5.25% | 03/01/37 | 3,435,000 | 3,579,373 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Telecommunications (Continued) | ||||||||||||
Qwest Corp. | ||||||||||||
7.25% | 09/15/25 | $ | 1,000,000 | $ | 1,116,499 | |||||||
Verizon Communications, Inc. |
| |||||||||||
3.00% | 11/01/21 | 1,526,000 | 1,558,114 | |||||||||
4.27% | 01/15/36 | 1,439,000 | 1,415,750 | |||||||||
4.52% | 09/15/48 | 600,000 | 575,571 | |||||||||
4.86% | 08/21/46 | 3,500,000 | 3,538,402 | |||||||||
5.01% | 04/15/49 | 150,000 | 153,730 | |||||||||
5.25% | 03/16/37 | 2,500,000 | 2,742,752 | |||||||||
|
| |||||||||||
22,769,109 | ||||||||||||
|
| |||||||||||
Transportation — 0.0% | ||||||||||||
Burlington Northern Santa Fe LLC |
| |||||||||||
4.15% | 04/01/45 | 650,000 | 694,512 | |||||||||
|
| |||||||||||
Total Corporate Bonds | ||||||||||||
(Cost: $484,108,943) |
| 495,498,917 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 1.6% | ||||||||||||
Alabama Economic Settlement Authority, Revenue Bond |
| |||||||||||
3.16% | 09/15/25 | 4,170,000 | 4,230,757 | |||||||||
City of New York, General Obligation Unlimited |
| |||||||||||
5.05% | 10/01/24 | 1,500,000 | 1,682,175 | |||||||||
5.52% | 10/01/37 | 1,250,000 | 1,557,288 | |||||||||
Commonwealth of Massachusetts, General Obligation |
| |||||||||||
4.91% | 05/01/29 | 2,250,000 | 2,636,550 | |||||||||
Fiscal Year 2005 Securitization Corp., Special Obligation Bond for the City of New York |
| |||||||||||
4.93% | 04/01/20 | 555,000 | 571,456 | |||||||||
Los Angeles Unified School District/CA, General Obligation |
| |||||||||||
5.76% | 07/01/29 | 2,500,000 | 3,058,900 | |||||||||
New York City Transitional Finance Authority, Future Tax Secured Revenue Bond |
| |||||||||||
5.57% | 11/01/38 | 3,000,000 | 3,756,540 | |||||||||
New York City Water & Sewer System, Revenue Bond |
| |||||||||||
5.88% | 06/15/44 | 2,000,000 | 2,703,500 | |||||||||
New York State Dormitory Authority, Revenue Bond |
| |||||||||||
5.50% | 03/15/30 | 2,480,000 | 2,929,698 | |||||||||
New York State, Build America Bonds, General Obligation |
| |||||||||||
5.82% | 10/01/31 | 730,000 | 804,825 |
See accompanying notes to financial statements.
20
TCW Core Fixed Income Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (Continued) | ||||||||||||
State of California, General Obligation |
| |||||||||||
7.95% | 03/01/36 | $ | 3,000,000 | $ | 3,386,010 | |||||||
|
| |||||||||||
Total Municipal Bonds | ||||||||||||
(Cost: $26,899,433) |
| 27,317,699 | ||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 6.0% | ||||||||||||
321 Henderson Receivables I LLC (13-3A-A) |
| |||||||||||
4.08% (1) | 01/17/73 | 1,681,573 | 1,764,399 | |||||||||
321 Henderson Receivables I LLC (14-2A-A) |
| |||||||||||
3.61% (1) | 01/17/73 | 1,972,854 | 2,010,384 | |||||||||
Academic Loan Funding Trust (12-1A-A2) |
| |||||||||||
2.34% (1 mo. USD LIBOR + 1.100%) (1)(2) | 12/27/44 | 2,800,000 | 2,799,911 | |||||||||
Babson CLO, Ltd. (14-IIA-AR) |
| |||||||||||
2.50% (3 mo. USD LIBOR + 1.150%) (1)(2) | 10/17/26 | 500,000 | 501,933 | |||||||||
Babson CLO, Ltd. (15-IA-A) |
| |||||||||||
2.79% (3 mo. USD LIBOR + 1.430%) (1)(2) | 04/20/27 | 1,000,000 | 1,001,241 | |||||||||
Ballyrock CLO LLC |
| |||||||||||
2.46% (3 mo. USD LIBOR + 1.150%) (1)(2) | 10/20/26 | 1,600,000 | 1,601,922 | |||||||||
Brazos Education Loan Authority, Inc. (12-1-A1) |
| |||||||||||
1.94% (1 mo. USD LIBOR + 0.700%) (2) | 12/26/35 | 1,137,373 | 1,138,582 | |||||||||
Brazos Higher Education Authority, Inc. (06-2-A9) |
| |||||||||||
0.00% (5) | 12/26/24 | 591,064 | 589,677 | |||||||||
Brazos Higher Education Authority, Inc. (10-1-A2) |
| |||||||||||
2.52% (3 mo. USD LIBOR + 1.200%) (2) | 02/25/35 | 675,000 | 691,134 | |||||||||
Brazos Higher Education Authority, Inc. (11-1-A3) |
| |||||||||||
2.37% (3 mo. USD LIBOR + 1.050%) (2) | 11/25/33 | 1,695,000 | 1,703,459 | |||||||||
Dryden Senior Loan Fund (15-37A-A) |
| |||||||||||
2.86% (3 mo. USD LIBOR + 1.500%) (1)(2) | 04/15/27 | 3,960,000 | 3,970,448 | |||||||||
Educational Funding of the South, Inc. (11-1-A2) |
| |||||||||||
2.02% (3 mo. USD LIBOR + 0.650%) (2) | 04/25/35 | 1,827,860 | 1,827,150 | |||||||||
Educational Services of America, Inc. (12-2-A) |
| |||||||||||
1.97% (1 mo. USD LIBOR + 0.730%) (1)(2) | 04/25/39 | 873,423 | 873,619 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
GCO Education Loan Funding Master Trust (06-2AR-A1RN) |
| |||||||||||
1.89% (1 mo. USD LIBOR + 0.650%) (1)(2) | 08/27/46 | $ | 2,838,433 | $ | 2,757,234 | |||||||
Global SC Finance SRL (14-1A-A2) |
| |||||||||||
3.09% (1) | 07/17/29 | 2,082,375 | 2,038,499 | |||||||||
Higher Education Funding I (14-1-A) |
| |||||||||||
2.37% (3 mo. USD LIBOR + 1.050%) (1)(2) | 05/25/34 | 2,695,551 | 2,687,806 | |||||||||
Magnetite XI, Ltd. (14-11A-A1R) |
| |||||||||||
2.47% (3 mo. USD LIBOR + 1.120%) (1)(2) | 01/18/27 | 3,400,000 | 3,407,830 | |||||||||
Magnetite XII, Ltd. (15-12A-AR) |
| |||||||||||
2.69% (3 mo. USD LIBOR + 1.330%) (1)(2) | 04/15/27 | 3,260,000 | 3,270,575 | |||||||||
Navient Student Loan Trust (14-2-A) |
| |||||||||||
1.88% (1 mo. USD LIBOR + 0.640%) (2) | 03/25/83 | 4,345,710 | 4,318,531 | |||||||||
Navient Student Loan Trust (14-3-A) |
| |||||||||||
1.86% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 4,392,377 | 4,338,078 | |||||||||
Navient Student Loan Trust (14-4-A) |
| |||||||||||
1.86% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 2,150,736 | 2,123,980 | |||||||||
Navient Student Loan Trust (16-1A-A) |
| |||||||||||
1.94% (1 mo. USD LIBOR + 0.700%) (1)(2) | 02/25/70 | 4,416,729 | 4,386,641 | |||||||||
Navient Student Loan Trust (17-3A-A3) |
| |||||||||||
2.29% (1 mo. USD LIBOR + 1.050%) (1)(2) | 07/26/66 | 4,400,000 | 4,464,324 | |||||||||
Nelnet Student Loan Trust (11-1A-A) |
| |||||||||||
2.09% (1 mo. USD LIBOR + 0.850%) (1)(2) | 02/25/48 | 2,781,290 | 2,795,444 | |||||||||
Nelnet Student Loan Trust (14-4A-A2) |
| |||||||||||
2.19% (1 mo. USD LIBOR + 0.950%) (1)(2) | 11/25/48 | 2,965,000 | 2,908,369 | |||||||||
Nelnet Student Loan Trust (15-2A-A2) |
| |||||||||||
1.84% (1 mo. USD LIBOR + 0.600%) (1)(2) | 09/25/47 | 5,369,131 | 5,336,718 | |||||||||
PHEAA Student Loan Trust (15-1A-A) |
| |||||||||||
1.84% (1 mo. USD | 10/25/41 | 2,336,901 | 2,307,494 | |||||||||
SLM Student Loan Trust (03-10A-A3) |
| |||||||||||
1.79% (3 mo. USD | 12/15/27 | 3,583,406 | 3,583,804 |
See accompanying notes to financial statements.
21
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
SLM Student Loan Trust (06-2-A6) |
| |||||||||||
1.54% (3 mo. USD LIBOR + 0.170%) (2) | 01/25/41 | $ | 3,400,000 | $ | 3,300,223 | |||||||
SLM Student Loan Trust (06-8-A6) |
| |||||||||||
1.53% (3 mo. USD LIBOR + 0.160%) (2) | 01/25/41 | 3,400,000 | 3,245,885 | |||||||||
SLM Student Loan Trust (07-1-B) |
| |||||||||||
1.59% (3 mo. USD LIBOR + 0.220%) (2) | 01/27/42 | 928,451 | 850,507 | |||||||||
SLM Student Loan Trust (07-6-A4) |
| |||||||||||
1.75% (3 mo. USD LIBOR + 0.380%) (2) | 10/25/24 | 3,401,848 | 3,404,665 | |||||||||
SLM Student Loan Trust (07-6-B) |
| |||||||||||
2.22% (3 mo. USD LIBOR + 0.850%) (2) | 04/27/43 | 492,275 | 464,502 | |||||||||
SLM Student Loan Trust (08-2-B) |
| |||||||||||
2.57% (3 mo. USD LIBOR + 1.200%) (2) | 01/25/83 | 710,000 | 670,404 | |||||||||
SLM Student Loan Trust (08-3-B) |
| |||||||||||
2.57% (3 mo. USD LIBOR + 1.200%) (2) | 04/26/83 | 710,000 | 677,748 | |||||||||
SLM Student Loan Trust (08-4-A4) |
| |||||||||||
3.02% (3 mo. USD LIBOR + 1.650%) (2) | 07/25/22 | 6,591,343 | 6,772,947 | |||||||||
SLM Student Loan Trust (08-4-B) |
| |||||||||||
3.22% (3 mo. USD LIBOR + 1.850%) (2) | 04/25/73 | 710,000 | 695,000 | |||||||||
SLM Student Loan Trust (08-5-B) |
| |||||||||||
3.22% (3 mo. USD LIBOR + 1.850%) (2) | 07/25/73 | 710,000 | 709,642 | |||||||||
SLM Student Loan Trust (08-6-A3) |
| |||||||||||
2.12% (3 mo. USD LIBOR + 0.750%) (2) | 01/25/19 | 222,938 | 223,054 | |||||||||
SLM Student Loan Trust (08-6-B) |
| |||||||||||
3.22% (3 mo. USD LIBOR + 1.850%) (2) | 07/26/83 | 710,000 | 699,051 | |||||||||
SLM Student Loan Trust (08-7-B) |
| |||||||||||
3.22% (3 mo. USD LIBOR + 1.850%) (2) | 07/26/83 | 710,000 | 704,576 | |||||||||
SLM Student Loan Trust (08-8-B) |
| |||||||||||
3.62% (3 mo. USD LIBOR + 2.250%) (2) | 10/25/75 | 710,000 | 725,454 | |||||||||
SLM Student Loan Trust (08-9-B) |
| |||||||||||
3.62% (3 mo. USD LIBOR + 2.250%) (2) | 10/25/83 | 710,000 | 729,583 | |||||||||
SLM Student Loan Trust (09-3-A) |
| |||||||||||
1.99% (1 mo. USD LIBOR + 0.750%) (1)(2) | 01/25/45 | 3,989,770 | 3,963,521 | |||||||||
SLM Student Loan Trust (11-2-A2) |
| |||||||||||
2.44% (1 mo. USD LIBOR + 1.200%) (2) | 10/25/34 | 2,000,000 | 2,072,875 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
SLM Student Loan Trust (12-7-A3) |
| |||||||||||
1.89% (1 mo. USD LIBOR + 0.650%) (2) | 05/26/26 | $ | 2,600,000 | $ | 2,577,021 | |||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost: $102,163,979) |
| 103,685,844 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 4.4% | ||||||||||||
Fannie Mae, Pool #AM1551 |
| |||||||||||
2.44% | 12/01/23 | 2,269,536 | 2,272,590 | |||||||||
Fannie Mae, Pool#AN1032 | ||||||||||||
2.86% | 03/01/26 | 2,385,000 | 2,410,571 | |||||||||
Fannie Mae, Pool #AL6829 | ||||||||||||
2.96% | 05/01/27 | 5,419,546 | 5,461,111 | |||||||||
Fannie Mae, Pool#AN1282 | ||||||||||||
3.01% | 04/01/28 | 3,512,000 | 3,555,308 | |||||||||
Fannie Mae, Pool#AM9793 |
| |||||||||||
3.12% | 10/01/27 | 3,265,000 | 3,320,665 | |||||||||
Fannie Mae, Pool #AN5048 |
| |||||||||||
3.13% | 04/01/29 | 3,863,534 | 3,932,490 | |||||||||
Fannie Mae, Pool #AN5049 |
| |||||||||||
3.13% | 04/01/29 | 3,432,048 | 3,493,303 | |||||||||
Fannie Mae, Pool #AN5742 |
| |||||||||||
3.19% | 05/01/30 | 3,457,615 | 3,500,162 | |||||||||
Fannie Mae, Pool#AN0564 | ||||||||||||
3.20% | 03/01/31 | 3,270,000 | 3,328,542 | |||||||||
Fannie Mae, Pool#AM9536 |
| |||||||||||
3.34% | 08/01/30 | 3,030,176 | 3,121,462 | |||||||||
Fannie Mae, Pool #AM3058 |
| |||||||||||
3.41% | 04/01/28 | 3,496,353 | 3,637,443 | |||||||||
Fannie Mae, Pool#AN0245 | ||||||||||||
3.42% | 11/01/35 | 2,308,684 | 2,353,252 | |||||||||
Fannie Mae, Pool #AM4198 |
| |||||||||||
3.55% | 03/01/24 | 3,500,313 | 3,683,420 | |||||||||
Fannie Mae, Pool #FN0000 |
| |||||||||||
3.59% | 09/01/20 | 1,996,742 | 2,070,123 | |||||||||
Fannie Mae, Pool #AE0918 |
| |||||||||||
3.67% | 10/01/20 | 2,815,391 | 2,929,320 | |||||||||
Fannie Mae, Pool #FN0001 |
| |||||||||||
3.76% | 12/01/20 | 2,757,482 | 2,872,196 | |||||||||
Fannie Mae, Pool #467944 |
| |||||||||||
4.25% | 04/01/21 | 3,045,000 | 3,233,411 | |||||||||
Fannie Mae, Pool #FN0003 |
| |||||||||||
4.28% | 01/01/21 | 2,047,962 | 2,174,410 | |||||||||
Fannie Mae, Pool #Al0151 |
| |||||||||||
4.38% | 04/01/21 | 1,251,005 | 1,330,341 | |||||||||
Fannie Mae, Pool #AE0134 |
| |||||||||||
4.40% | 02/01/20 | 2,305,000 | 2,424,103 |
See accompanying notes to financial statements.
22
TCW Core Fixed Income Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #468048 |
| |||||||||||
4.41% | 05/01/21 | $ | 1,743,929 | $ | 1,858,248 | |||||||
Fannie Mae (14-M12-FA) (ACES) |
| |||||||||||
1.53% (1 mo. USD LIBOR + 0.300%) (2) | 10/25/21 | 1,471,109 | 1,473,690 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K151-A3) |
| |||||||||||
3.51% | 04/25/30 | 3,380,000 | 3,519,456 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates |
| |||||||||||
1.86% (1 mo. USD LIBOR + 0.630%) (2) | 07/25/20 | 1,495,876 | 1,499,638 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates |
| |||||||||||
1.42% | 05/25/21 | 6,639,258 | 6,572,988 | |||||||||
NCUA Guaranteed Notes (11-C1-2A) |
| |||||||||||
1.77% (1 mo. USD LIBOR + 0.530%) (2) | 03/09/21 | 912,828 | 911,050 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $78,199,605) |
| 76,939,293 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 1.4% | ||||||||||||
BBCMS Trust (13-TYSN-A2) |
| |||||||||||
3.76% (1) | 09/05/32 | 1,740,000 | 1,811,971 | |||||||||
COMM Mortgage Trust (13-300P-A1) |
| |||||||||||
4.35% (1) | 08/10/30 | 1,515,000 | 1,642,691 | |||||||||
COMM Mortgage Trust (14-277P-A) |
| |||||||||||
3.61% (1)(5) | 08/10/49 | 400,000 | 416,262 | |||||||||
COMM Mortgage Trust (16-787S-A) |
| |||||||||||
3.55% (1) | 02/10/36 | 1,635,000 | 1,681,117 | |||||||||
Commercial Mortgage Asset Trust (99-C2-G) |
| |||||||||||
6.00% | 11/17/32 | 1,589,488 | 1,604,766 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
| |||||||||||
4.39% (1) | 02/15/46 | 2,064,926 | 2,084,161 | |||||||||
Liberty Street Trust (16-225L-A) |
| |||||||||||
3.60% (1) | 02/10/36 | 1,635,000 | 1,700,482 | |||||||||
OBP Depositor LLC Trust |
| |||||||||||
4.65% (1) | 07/15/45 | 1,505,000 | 1,584,392 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
RBS Commercial Funding, Inc. |
| |||||||||||
3.83% (1)(5) | 01/13/32 | $ | 1,555,000 | $ | 1,623,732 | |||||||
SFAVE Commercial Mortgage Securities Trust (15-5AVE-A1) |
| |||||||||||
3.87% (1)(5) | 01/05/43 | 1,710,000 | 1,727,354 | |||||||||
VNDO Mortgage Trust (12-6AVE-A) |
| |||||||||||
3.00% (1) | 11/15/30 | 1,250,000 | 1,274,829 | |||||||||
VNDO Mortgage Trust (13-PENN-A) |
| |||||||||||
3.81% (1) | 12/13/29 | 1,675,000 | 1,743,401 | |||||||||
Wells Fargo Commercial Mortgage Trust (13-120B-A) (P/O) |
| |||||||||||
2.71% (1)(5) | 03/18/28 | 1,695,000 | 1,706,605 | |||||||||
WF-RBS Commercial Mortgage Trust (11-C4-A3) |
| |||||||||||
4.39% (1) | 06/15/44 | 2,641,011 | 2,695,424 | |||||||||
WTC Depositor LLC Trust (12-7WTC-A) |
| |||||||||||
4.08% (1) | 03/13/31 | 318,626 | 320,643 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $24,145,487) |
| 23,617,830 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 28.9% | ||||||||||||
Fannie Mae (01-14-SH) (I/F) |
| |||||||||||
23.49% (-3.50 x 1 mo. USD LIBOR + 27.825%) (2) | 03/25/30 | 178,693 | 273,817 | |||||||||
Fannie Mae (01-34-FV) |
| |||||||||||
1.74% (1 mo. USD LIBOR + 0.500%) (2) | 08/25/31 | 238,503 | 239,594 | |||||||||
Fannie Mae (04-W10-A6) (PAC) |
| |||||||||||
5.75% | 08/25/34 | 2,000,000 | 2,211,004 | |||||||||
Fannie Mae (07-89-GF) |
| |||||||||||
1.76% (1 mo. USD LIBOR + 0.520%) (2) | 09/25/37 | 916,844 | 924,610 | |||||||||
Fannie Mae (08-30-SA) (I/O) (I/F) |
| |||||||||||
5.61% (-1.00 x 1 mo. USD LIBOR + 6.850%) (2) | 04/25/38 | 161,777 | 28,472 | |||||||||
Fannie Mae (08-62-SN) (I/O) (I/F) |
| |||||||||||
4.96% (-1.00 x 1 mo. USD LIBOR + 6.200%) (2) | 07/25/38 | 256,464 | 42,806 | |||||||||
Fannie Mae (09-64-TB) | ||||||||||||
4.00% | 08/25/29 | 2,212,597 | 2,321,130 | |||||||||
Fannie Mae (09-68-SA) (I/O) (I/F) |
| |||||||||||
5.51% (-1.00 x 1 mo. USD LIBOR + 6.750%) (2) | 09/25/39 | 115,334 | 20,867 |
See accompanying notes to financial statements.
23
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (10-26-AS) (I/O) (I/F) |
| |||||||||||
5.09% (-1.00 x 1 mo. USD LIBOR + 6.330%) (2) | 03/25/40 | $ | 1,853,547 | $ | 269,640 | |||||||
Fannie Mae (11-111-DB) |
| |||||||||||
4.00% | 11/25/41 | 4,000,000 | 4,230,701 | |||||||||
Fannie Mae, Pool #254634 |
| |||||||||||
5.50% | 02/01/23 | 15,991 | 17,603 | |||||||||
Fannie Mae, Pool #596686 |
| |||||||||||
6.50% | 11/01/31 | 13,095 | 14,434 | |||||||||
Fannie Mae, Pool #679263 |
| |||||||||||
4.50% | 11/01/24 | 25,047 | 26,779 | |||||||||
Fannie Mae, Pool #725275 |
| |||||||||||
4.00% | 03/01/19 | 14,408 | 14,897 | |||||||||
Fannie Mae, Pool #727575 |
| |||||||||||
5.00% | 06/01/33 | 52,671 | 55,779 | |||||||||
Fannie Mae, Pool #748751 |
| |||||||||||
5.50% | 10/01/33 | 100,224 | 107,607 | |||||||||
Fannie Mae, Pool #782593 |
| |||||||||||
4.50% | 06/01/34 | 16,854 | 18,106 | |||||||||
Fannie Mae, Pool #AB2127 |
| |||||||||||
3.50% | 01/01/26 | 1,196,468 | 1,246,430 | |||||||||
Fannie Mae, Pool #AB3679 |
| |||||||||||
3.50% | 10/01/41 | 1,414,817 | 1,463,546 | |||||||||
Fannie Mae, Pool #AB3685 |
| |||||||||||
4.00% | 10/01/41 | 2,314,553 | 2,459,147 | |||||||||
Fannie Mae, Pool #AB3864 |
| |||||||||||
3.50% | 11/01/41 | 1,983,167 | 2,054,996 | |||||||||
Fannie Mae, Pool #AB4045 |
| |||||||||||
3.50% | 12/01/41 | 4,163,949 | 4,320,015 | |||||||||
Fannie Mae, Pool #AC1604 |
| |||||||||||
4.00% | 08/01/39 | 3,090,563 | 3,294,950 | |||||||||
Fannie Mae, Pool #AL0209 |
| |||||||||||
4.50% | 05/01/41 | 823,307 | 899,181 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 916,008 | 1,034,297 | |||||||||
Fannie Mae, Pool #AL9106 | ||||||||||||
4.50% | 02/01/46 | 5,133,077 | 5,494,180 | |||||||||
Fannie Mae, Pool #AS9830 | ||||||||||||
4.00% | 06/01/47 | 5,315,905 | 5,591,205 | |||||||||
Fannie Mae, Pool #AS9972 |
| |||||||||||
4.00% | 07/01/47 | 4,599,672 | 4,837,877 | |||||||||
Fannie Mae, Pool #BC1158 |
| |||||||||||
3.50% | 02/01/46 | 1,301,693 | 1,338,763 | |||||||||
Fannie Mae, Pool #BM1765 |
| |||||||||||
4.50% | 10/01/47 | 27,805,033 | 29,778,540 | |||||||||
Fannie Mae, Pool #MA1561 |
| |||||||||||
3.00% | 09/01/33 | 3,725,330 | 3,813,205 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #MA1584 |
| |||||||||||
3.50% | 09/01/33 | $ | 5,969,243 | $ | 6,219,302 | |||||||
Fannie Mae, Pool #MA2995 |
| |||||||||||
4.00% | 05/01/47 | 6,561,571 | 6,891,091 | |||||||||
Fannie Mae, Pool #MA3027 |
| |||||||||||
4.00% | 06/01/47 | 5,544,457 | 5,822,898 | |||||||||
Fannie Mae, Pool #MA3058 |
| |||||||||||
4.00% | 07/01/47 | 9,360,287 | 9,830,358 | |||||||||
Fannie Mae TBA, 15 Year |
| |||||||||||
3.49% (6) | 02/25/33 | 3,000,000 | 3,072,180 | |||||||||
Fannie Mae TBA, 15 Year |
| |||||||||||
3.00% (6) | 11/16/32 | 9,885,000 | 10,130,580 | |||||||||
Fannie Mae TBA, 30 Year |
| |||||||||||
3.00% (6) | 11/13/47 | 8,830,000 | 8,836,209 | |||||||||
3.50% (6) | 11/13/47 | 29,220,000 | 30,034,964 | |||||||||
4.00% (6) | 11/13/47 | 8,545,000 | 8,969,580 | |||||||||
4.50% (6) | 11/13/47 | 15,225,000 | 16,280,045 | |||||||||
Freddie Mac (2439-KZ) |
| |||||||||||
6.50% | 04/15/32 | 177,723 | 195,600 | |||||||||
Freddie Mac (2575-FD) (PAC) |
| |||||||||||
1.69% (1 mo. USD LIBOR + 0.450%) (2) | 02/15/33 | 433,618 | 436,121 | |||||||||
Freddie Mac (2662-MT) (TAC) |
| |||||||||||
4.50% | 08/15/33 | 249,692 | 263,881 | |||||||||
Freddie Mac (277-30) | ||||||||||||
3.00% | 09/15/42 | 5,386,515 | 5,428,917 | |||||||||
Freddie Mac (3315-S) (I/O) (I/F) |
| |||||||||||
5.17% (-1.00 x 1 mo. USD LIBOR + 6.410%) (2) | 05/15/37 | 60,297 | 6,755 | |||||||||
Freddie Mac (3339-JS) (I/F) |
| |||||||||||
34.78% (-6.50 x 1 mo. USD LIBOR + 42.835%) (2) | 07/15/37 | 589,032 | 1,124,756 | |||||||||
Freddie Mac (3351-ZC) | ||||||||||||
5.50% | 07/15/37 | 469,560 | 523,511 | |||||||||
Freddie Mac (3380-SM) (I/O) (I/F) |
| |||||||||||
5.17% (-1.00 x 1 mo. USD LIBOR + 6.410%) (2) | 10/15/37 | 740,516 | 125,020 | |||||||||
Freddie Mac (3382-FL) | ||||||||||||
1.94% (1 mo. USD LIBOR + 0.700%) (2) | 11/15/37 | 331,841 | 335,378 | |||||||||
Freddie Mac (3439-SC) (I/O) (I/F) |
| |||||||||||
4.66% (-1.00 x 1 mo. USD LIBOR + 5.900%) (2) | 04/15/38 | 2,429,658 | 340,528 | |||||||||
Freddie Mac (3578-DI) (I/O) (I/F) |
| |||||||||||
5.41% (-1.00 x 1 mo. USD LIBOR + 6.650%) (2) | 04/15/36 | 1,076,299 | 203,298 |
See accompanying notes to financial statements.
24
TCW Core Fixed Income Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac (4139-PA) (PAC) |
| |||||||||||
2.50% | 11/15/41 | $ | 3,475,199 | $ | 3,508,278 | |||||||
Freddie Mac, Pool #A97179 |
| |||||||||||
4.50% | 03/01/41 | 2,582,566 | 2,808,716 | |||||||||
Freddie Mac, Pool #B15026 |
| |||||||||||
5.00% | 06/01/19 | 4,280 | 4,361 | |||||||||
Freddie Mac, Pool #B15591 |
| |||||||||||
5.00% | 07/01/19 | 3,750 | 3,838 | |||||||||
Freddie Mac, Pool #C90526 |
| |||||||||||
5.50% | 02/01/22 | 13,191 | 14,503 | |||||||||
Freddie Mac, Pool #G06360 |
| |||||||||||
4.00% | 03/01/41 | 3,061,764 | 3,270,770 | |||||||||
Freddie Mac, Pool #G06498 |
| |||||||||||
4.00% | 04/01/41 | 2,294,825 | 2,443,230 | |||||||||
Freddie Mac, Pool #G06499 |
| |||||||||||
4.00% | 03/01/41 | 1,631,260 | 1,733,008 | |||||||||
Freddie Mac, Pool #G07849 |
| |||||||||||
3.50% | 05/01/44 | 1,790,053 | 1,851,307 | |||||||||
Freddie Mac, Pool #G07924 |
| |||||||||||
3.50% | 01/01/45 | 3,566,908 | 3,688,872 | |||||||||
Freddie Mac, Pool #G08676 |
| |||||||||||
3.50% | 11/01/45 | 7,050,361 | 7,252,123 | |||||||||
Freddie Mac, Pool #G08677 |
| |||||||||||
4.00% | 11/01/45 | 5,168,524 | 5,426,170 | |||||||||
Freddie Mac, Pool #G08698 |
| |||||||||||
3.50% | 03/01/46 | 2,474,320 | 2,545,118 | |||||||||
Freddie Mac, Pool #G08710 |
| |||||||||||
3.00% | 06/01/46 | 5,343,418 | 5,352,496 | |||||||||
Freddie Mac, Pool #G08711 |
| |||||||||||
3.50% | 06/01/46 | 10,924,500 | 11,237,725 | |||||||||
Freddie Mac, Pool #G08715 |
| |||||||||||
3.00% | 08/01/46 | 9,969,438 | 9,986,376 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 7,271,697 | 7,480,191 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 8,082,287 | 8,096,018 | |||||||||
Freddie Mac, Pool #G08722 |
| |||||||||||
3.50% | 09/01/46 | 2,884,319 | 2,967,012 | |||||||||
Freddie Mac, Pool #G08726 |
| |||||||||||
3.00% | 10/01/46 | 7,750,737 | 7,763,905 | |||||||||
Freddie Mac, Pool #G08732 |
| |||||||||||
3.00% | 11/01/46 | 7,490,472 | 7,503,198 | |||||||||
Freddie Mac, Pool #G08741 |
| |||||||||||
3.00% | 01/01/47 | 5,185,708 | 5,194,518 | |||||||||
Freddie Mac, Pool #G08747 |
| |||||||||||
3.00% | 02/01/47 | 4,613,635 | 4,621,474 | |||||||||
Freddie Mac, Pool #G08750 |
| |||||||||||
3.00% | 03/01/47 | 2,396,756 | 2,400,657 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | $ | 2,551,318 | $ | 2,616,271 | |||||||
Freddie Mac, Pool #G18622 |
| |||||||||||
2.50% | 12/01/31 | 8,278,320 | 8,324,550 | |||||||||
Freddie Mac, Pool #G60344 |
| |||||||||||
4.00% | 12/01/45 | 1,677,061 | 1,778,995 | |||||||||
Freddie Mac, Pool #G67700 |
| |||||||||||
3.50% | 08/01/46 | 2,365,873 | 2,444,704 | |||||||||
Freddie Mac, Pool #G67703 |
| |||||||||||
3.50% | 04/01/47 | 13,910,256 | 14,373,750 | |||||||||
Freddie Mac, Pool #Q05261 |
| |||||||||||
3.50% | 12/01/41 | 2,684,394 | 2,782,227 | |||||||||
Freddie Mac, Pool #Q20178 |
| |||||||||||
3.50% | 07/01/43 | 4,387,554 | 4,552,100 | |||||||||
Freddie Mac TBA, 30 Year | ||||||||||||
3.50% (6) | 11/13/47 | 12,370,000 | 12,716,940 | |||||||||
4.00% (6) | 11/13/47 | 7,495,000 | 7,866,530 | |||||||||
Ginnie Mae (09-66-UF) | ||||||||||||
2.24% (1 mo. USD LIBOR + 1.000%) (2) | 08/16/39 | 690,146 | 705,767 | |||||||||
Ginnie Mae (08-81-S) (I/O) (I/F) |
| |||||||||||
4.96% (1 mo. USD LIBOR + 6.200%) (2) | 09/20/38 | 1,702,618 | 281,031 | |||||||||
Ginnie Mae (08-27-SI) (I/O) (I/F) |
| |||||||||||
5.23% (-1.00 x 1 mo. USD LIBOR + 6.470%) (2) | 03/20/38 | 444,602 | 75,270 | |||||||||
Ginnie Mae (04-30-UC) (PAC) |
| |||||||||||
5.50% | 02/20/34 | 319,340 | 325,622 | |||||||||
Ginnie Mae (10-1-S) (I/O) (I/F) |
| |||||||||||
4.51% (-1.00 x 1 mo. USD LIBOR + 5.750%) (2) | 01/20/40 | 2,721,523 | 389,294 | |||||||||
Ginnie Mae, Pool #MA4127 |
| |||||||||||
3.50% | 12/20/46 | 5,772,766 | 5,993,461 | |||||||||
Ginnie Mae, Pool #608259 | ||||||||||||
4.50% | 08/15/33 | 61,683 | 66,056 | |||||||||
Ginnie Mae, Pool #782114 | ||||||||||||
5.00% | 09/15/36 | 176,077 | 192,594 | |||||||||
Ginnie Mae II, Pool #MA3521 |
| |||||||||||
3.50% | 03/20/46 | 4,747,254 | 4,928,799 | |||||||||
Ginnie Mae II, Pool #MA3597 |
| |||||||||||
3.50% | 04/20/46 | 4,560,711 | 4,735,070 | |||||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 6,453,321 | 6,698,342 | |||||||||
Ginnie Mae II, Pool #MA3736 |
| |||||||||||
3.50% | 06/20/46 | 5,471,352 | 5,679,113 | |||||||||
Ginnie Mae II, Pool #MA4126 |
| |||||||||||
3.00% | 12/20/46 | 11,135,513 | 11,276,469 |
See accompanying notes to financial statements.
25
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA4196 |
| |||||||||||
3.50% | 01/20/47 | $ | 3,721,390 | $ | 3,863,660 | |||||||
Ginnie Mae II, Pool #MA4264 |
| |||||||||||
4.50% | 02/20/47 | 2,329,325 | 2,468,389 | |||||||||
Ginnie Mae II, Pool #MA4323 |
| |||||||||||
4.50% | 03/20/47 | 18,999,984 | 20,138,558 | |||||||||
Ginnie Mae II, Pool #MA4453 |
| |||||||||||
4.50% | 05/20/47 | 24,999,992 | 26,504,220 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 2,292,274 | 2,465,540 | |||||||||
Ginnie Mae II, Pool #MA4510 |
| |||||||||||
3.50% | 06/20/47 | 2,070,115 | 2,149,502 | |||||||||
Ginnie Mae II, Pool #MA4589 |
| |||||||||||
5.00% | 07/20/47 | 5,557,583 | 5,973,052 | |||||||||
Ginnie Mae II, Pool #MA4777 |
| |||||||||||
3.00% (7) | 10/20/47 | 1,450,000 | 1,468,750 | |||||||||
Ginnie Mae II TBA, 30 Year | ||||||||||||
3.00% (6) | 11/20/47 | 8,610,000 | 8,712,580 | |||||||||
3.50% (6) | 11/20/47 | 12,735,000 | 13,212,562 | |||||||||
4.00% (6) | 11/20/47 | 8,095,000 | 8,502,912 | |||||||||
4.50% (6) | 12/20/47 | 3,180,000 | 3,367,384 | |||||||||
NCUA Guaranteed Notes (10-R1-1A) |
| |||||||||||
1.69% (1 mo. USD LIBOR + 0.450%) (2) | 10/07/20 | 1,201,548 | 1,205,789 | |||||||||
NCUA Guaranteed Notes (10-R2-1A) |
| |||||||||||
1.61% (1 mo. USD LIBOR + 0.370%) (2) | 11/06/17 | 620,333 | 620,354 | |||||||||
NCUA Guaranteed Notes (10-R3-1A) |
| |||||||||||
1.80% (1 mo. USD LIBOR + 0.560%) (2)(8) | 12/08/20 | 720,645 | 732,034 | |||||||||
NCUA Guaranteed Notes (10-R3-2A) |
| |||||||||||
1.80% (1 mo. USD LIBOR + 0.560%) (2) | 12/08/20 | 659,766 | 663,542 | |||||||||
NCUA Guaranteed Notes (11-R1-1A) |
| |||||||||||
1.69% (1 mo. USD LIBOR + 0.450%) (2)(8) | 01/08/20 | 728,816 | 730,303 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed |
| |||||||||||
(Cost: $502,986,512) |
| 502,251,100 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 5.5% | ||||||||||||
Aegis Asset Backed Securities Trust (05-5-2A) |
| |||||||||||
1.49% (1 mo. USD LIBOR + 0.250%) (2) | 12/25/35 | 6,926,393 | 6,917,515 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Ameriquest Mortgage Securities, Inc. Asset Backed Pass-Through (05-R11-A1) |
| |||||||||||
1.47% (1 mo. USD LIBOR + 0.230%) (2) | 01/25/36 | $ | 4,207,629 | $ | 4,214,446 | |||||||
Banc of America Funding Trust (15-R2-9A1) |
| |||||||||||
1.45% (1 mo. USD LIBOR + 0.215%) (1)(2) | 03/27/36 | 4,100,328 | 3,999,234 | |||||||||
Bear Stearns Asset-Backed Securities Trust (06-HE1-1M1) |
| |||||||||||
1.65% (1 mo. USD LIBOR + 0.410%) (2) | 12/25/35 | 2,071,799 | 2,086,744 | |||||||||
Centex Home Equity (02-C-AF6) |
| |||||||||||
4.50% (5) | 09/25/32 | 153,491 | 154,584 | |||||||||
Centex Home Equity (03-B-AF6) |
| |||||||||||
3.17% (5) | 06/25/33 | 435,337 | 434,370 | |||||||||
Centex Home Equity (05-C-M1) |
| |||||||||||
1.88% (1 mo. USD LIBOR + 0.645%) (2) | 06/25/35 | 5,036,549 | 5,100,152 | |||||||||
CIM Trust (17-7-A) | ||||||||||||
3.00% (1)(5) | 04/25/57 | 7,555,147 | 7,626,244 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (05-5-2A2) |
| |||||||||||
5.75% (8) | 08/25/35 | 371,860 | 299,858 | |||||||||
Conseco Financial Corp. (98-6-A8) |
| |||||||||||
6.66% (5) | 06/01/30 | 952,269 | 1,011,592 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA) |
| |||||||||||
5.75% | 04/22/33 | 12,688 | 12,988 | |||||||||
Credit Suisse Mortgage Capital Certificates (15-5R-1A1) |
| |||||||||||
1.07% (1) | 09/27/46 | 4,918,052 | 4,812,129 | |||||||||
CSMC Trust (14-7R-8A1) | ||||||||||||
3.18% (1)(5) | 07/27/37 | 4,210,343 | 4,225,931 | |||||||||
GSAMP Trust (05-HE5-M1) |
| |||||||||||
1.66% (1 mo. USD LIBOR + 0.420%) (2) | 11/25/35 | 126,263 | 126,607 | |||||||||
Home Equity Asset Trust (06-3-1A1) |
| |||||||||||
1.44% (1 mo. USD LIBOR + 0.200%) (2) | 07/25/36 | 6,188,937 | 6,190,064 | |||||||||
HSBC Home Equity Loan Trust USA (07-3-APT) |
| |||||||||||
2.44% (1 mo. USD LIBOR + 1.200%) (2) | 11/20/36 | 36,634 | 36,667 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR6-2A1) |
| |||||||||||
1.72% (1 mo. USD LIBOR + 0.480%) (2) | 04/25/35 | 1,096,162 | 1,052,559 | |||||||||
JPMorgan Mortgage Acquisition Corp. (05-OPT1-M1) |
| |||||||||||
1.91% (1 mo. USD LIBOR + 0.675%) (2) | 06/25/35 | 172,369 | 172,843 |
See accompanying notes to financial statements.
26
TCW Core Fixed Income Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Merrill Lynch Mortgage Investors Trust (05-2-2A) |
| |||||||||||
3.48% (1 year Treasury Constant Maturity Rate + 2.250%) (2) | 10/25/35 | $ | 4,160,329 | $ | 4,284,014 | |||||||
Mid-State Trust (04-1-B) | ||||||||||||
8.90% | 08/15/37 | 1,425,593 | 1,623,085 | |||||||||
Morgan Stanley Capital, Inc. |
| |||||||||||
2.15% (1 mo. USD LIBOR + 0.915%) (2) | 07/25/34 | 1,453,484 | 1,456,045 | |||||||||
Morgan Stanley Home Equity Loan Trust (05-1-M3) |
| |||||||||||
2.02% (1 mo. USD LIBOR + 0.780%) (2) | 12/25/34 | 4,076,050 | 4,090,048 | |||||||||
Morgan Stanley Mortgage Loan Trust (04-3-4A) |
| |||||||||||
5.68% (5) | 04/25/34 | 261,399 | 277,476 | |||||||||
New Century Home Equity Loan Trust (05-1-A2C) |
| |||||||||||
1.94% (1 mo. USD LIBOR + 0.700%) (2) | 03/25/35 | 3,915,093 | 3,922,160 | |||||||||
New Century Home Equity Loan Trust (05-3-M2) |
| |||||||||||
1.73% (1 mo. USD LIBOR + 0.490%) (2) | 07/25/35 | 3,898,930 | 3,915,610 | |||||||||
New Century Home Equity Loan Trust (05-D-A1) |
| |||||||||||
1.46% (1 mo. USD LIBOR + 0.220%) (2) | 02/25/36 | 7,646,311 | 7,571,908 | |||||||||
Nomura Resecuritization Trust |
| |||||||||||
1.48% (1 mo. USD | 05/26/37 | 1,933,590 | 1,895,410 | |||||||||
Nomura Resecuritization Trust (15-1R-6A1) |
| |||||||||||
1.45% (1 mo. USD | 05/26/47 | 2,400,270 | 2,377,633 | |||||||||
Nomura Resecuritization Trust (15-4R-3A1) |
| |||||||||||
3.55% (1)(5) | 02/26/36 | 1,073,755 | 1,081,859 | |||||||||
Nomura Resecuritization Trust |
| |||||||||||
3.37% (1)(5) | 03/26/35 | 3,609,590 | 3,628,819 | |||||||||
Park Place Securities, Inc. |
| |||||||||||
1.61% (1 mo. USD LIBOR + 0.370%) (2) | 09/25/35 | 83,217 | 83,202 | |||||||||
Structured Asset Securities Corp. (03-34A-5A4) |
| |||||||||||
3.47% (5) | 11/25/33 | 556,453 | 567,633 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR3-A2) |
| |||||||||||
3.07% (5) | 03/25/35 | 2,297,642 | 2,332,258 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Wells Fargo Alternative Loan Trust (07-PA3-2A1) |
| |||||||||||
6.00% (8) | 07/25/37 | $ | 159,414 | $ | 158,157 | |||||||
Wells Fargo Home Equity Trust (04-2-A33) |
| |||||||||||
2.24% (1 mo. USD LIBOR + 1.000%) (2) | 10/25/34 | 7,648,511 | 7,698,287 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed |
| |||||||||||
(Cost: $92,930,624) |
| 95,438,131 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 23.0% | ||||||||||||
U.S. Treasury Bond |
| |||||||||||
2.75% | 08/15/47 | 87,519,000 | 85,339,572 | |||||||||
U.S. Treasury Inflation Indexed Bond |
| |||||||||||
0.13% (9) | 04/15/21 | 8,788,848 | 8,806,958 | |||||||||
0.13% (9) | 04/15/22 | 4,461,813 | 4,455,874 | |||||||||
0.13% (9) | 07/15/26 | 12,802,125 | 12,440,751 | |||||||||
0.38% (9) | 07/15/27 | 13,302,585 | 13,151,902 | |||||||||
0.88% (9) | 02/15/47 | 17,158,824 | 16,972,910 | |||||||||
U.S. Treasury Note | ||||||||||||
1.50% | 10/31/19 | 14,330,000 | 14,303,691 | |||||||||
1.88% | 09/30/22 | 109,025,000 | 108,339,202 | |||||||||
2.00% | 10/31/22 | 109,420,000 | 109,381,652 | |||||||||
2.25% | 08/15/27 | 27,035,000 | 26,740,889 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $402,009,180) |
| 399,933,401 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $1,713,443,763) |
| 1,724,682,215 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 1.3% |
| |||||||||||
Dreyfus Government Cash Management Fund — Institutional Shares, 0.93% (10) |
| 4,470,000 | 4,470,000 | |||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (10) |
| 18,500,054 | 18,500,054 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $22,970,054) |
| 22,970,054 | ||||||||||
|
|
See accompanying notes to financial statements.
27
TCW Core Fixed Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Shares | Value | |||||||||
SHORT TERM INVESTMENTS — 6.7% |
| |||||||||||
FOREIGN GOVERNMENT BONDS — 3.7% | ||||||||||||
Japan Treasury Bill | ||||||||||||
0.00% (11) | 11/20/17 | JPY | 2,425,000,000 | $ | 21,342,369 | |||||||
0.00% (11) | 01/10/18 | JPY | 4,860,000,000 | 42,780,489 | ||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $65,430,540) |
| 64,122,858 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
U.S. TREASURY SECURITIES — 0.1% (Cost: $715,425) | ||||||||||||
U.S. Treasury Bill | ||||||||||||
1.17% (12)(13) | 03/01/18 | $ | 718,000 | $ | 715,219 | |||||||
|
| |||||||||||
DISCOUNT NOTE — 2.9% (Cost: $49,833,555) | ||||||||||||
Federal Home Loan Bank | ||||||||||||
0.00% (11) | 02/16/18 | 50,000,000 | 49,832,050 | |||||||||
|
| |||||||||||
Total Short-term Investments |
| |||||||||||
(Cost: $115,979,520) |
| 114,670,127 | ||||||||||
|
| |||||||||||
Total Investments (107.3%) |
| |||||||||||
(Cost: $1,852,393,337) |
| 1,862,322,396 | ||||||||||
|
| |||||||||||
Liabilities In Excess Of Other Assets (-7.3%) |
| (126,196,235 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 1,736,126,161 | |||||||||
|
|
Futures | ||||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional | Market Value | Net Unrealized Appreciation/ Depreciation | |||||||||||||||
Long Futures | ||||||||||||||||||||
810 | 2-Year U.S. Treasury Note Futures | 12/29/17 | $ | 175,036,749 | $ | 174,441,095 | $ | (595,654 | ) | |||||||||||
565 | 5-Year U.S. Treasury Note Futures | 12/29/17 | 66,853,711 | 66,210,937 | (642,774 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 241,890,460 | $ | 240,652,032 | $ | (1,238,428 | ) | ||||||||||||||
|
|
|
|
|
|
Forward Currency Exchange Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
SELL (14) | ||||||||||||||||||||||||
Bank of America N.A. | JPY | 2,425,000,000 | 11/20/17 | $ | 22,364,659 | $ | 21,356,854 | $ | 1,007,805 | |||||||||||||||
Goldman Sachs & Co. | JPY | 4,860,000,000 | 01/10/18 | 43,329,797 | 42,923,940 | 405,857 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 65,694,456 | $ | 64,280,794 | $ | 1,413,662 | |||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
28
TCW Core Fixed Income Fund
October 31, 2017 |
Notes to Schedule of Investments:
JPY - Japanese | Yen. |
ABS - | Asset-Backed Securities. |
ACES - | Alternative Credit Enhancement Securities. |
CLO - | Collateralized Loan Obligation. |
EETC - | Enhanced Equipment Trust Certificate. |
I/F - | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O - Interest | Only Security. |
OTC - | Over the Counter. |
PAC - | Planned Amortization Class. |
P/O - | Principal Only Security. |
REIT - | Real Estate Investment Trust. |
TAC - | Target Amortization Class. |
TBA - | To be Announced. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2017, the value of these securities amounted to $171,527,634 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. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2017. |
(3) | Restricted security (Note10). |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(5) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(6) | Security purchased on a forward commitment with an approximate principal amount. The actual principal amount and maturity date will be determined upon settlement when the security is delivered. |
(7) | This security is purchased on a when-issued, delayed delivery or forward commitment basis. |
(8) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted as a result. |
(9) | Interest rate for this security is a stated rate. Interest payments are determined based on the inflation-adjusted principal. |
(10) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
(11) | Security is not accruing interest. |
(12) | Rate shown represents yield-to-maturity. |
(13) | All or a portion of this security is held as collateral for open futures contracts. |
(14) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
29
TCW Core Fixed Income Fund
Investments by Industry
Industry | Percentage of Net Assets | |||
Aerospace/Defense | 0.8 | % | ||
Agriculture | 0.4 | |||
Airlines | 0.5 | |||
Asset-Backed Securities | 6.0 | |||
Auto Manufacturers | 0.6 | |||
Banks | 10.2 | |||
Beverages | 0.2 | |||
Biotechnology | 0.6 | |||
Commercial Mortgage-Backed Securities — Agency | 4.4 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 1.4 | |||
Diversified Financial Services | 1.5 | |||
Electric | 2.4 | |||
Energy-Alternate Sources | 0.1 | |||
Environmental Control | 0.2 | |||
Food | 0.4 | |||
Gas | 0.3 | |||
Healthcare-Services | 2.3 | |||
Insurance | 0.6 | |||
Internet | 0.1 | |||
Media | 0.4 | |||
Mining | 0.0 | * | ||
Miscellaneous Manufacturers | 0.4 | |||
Municipal Bonds | 1.6 | |||
Oil & Gas | 0.1 | |||
Packaging & Containers | 0.1 | |||
Pharmaceuticals | 0.6 | |||
Pipelines | 1.5 | |||
REIT | 2.1 | |||
Residential Mortgage-Backed Securities — Agency | 28.9 | |||
Residential Mortgage-Backed Securities — Non-Agency | 5.5 | |||
Retail | 0.6 | |||
Short Term Investments | 6.7 | |||
Software | 0.2 | |||
Telecommunications | 1.3 | |||
Transportation | 0.0 | * | ||
U.S. Treasury Securities | 23.0 | |||
Money Market Investments | 1.3 | |||
|
| |||
Total | 107.3 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
30
TCW Core Fixed Income Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices (Level 1) | Other (Level 2) | Significant (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Corporate Bonds* | $ | — | $ | 494,269,905 | $ | 1,229,012 | $ | 495,498,917 | ||||||||
Municipal Bonds | — | 27,317,699 | — | 27,317,699 | ||||||||||||
Asset-Backed Securities | — | 103,685,844 | — | 103,685,844 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 76,939,293 | — | 76,939,293 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 23,617,830 | — | 23,617,830 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 502,251,100 | — | 502,251,100 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 95,438,131 | — | 95,438,131 | ||||||||||||
U.S. Treasury Securities | — | 399,933,401 | — | 399,933,401 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 1,723,453,203 | 1,229,012 | 1,724,682,215 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 22,970,054 | — | — | 22,970,054 | ||||||||||||
Short-Term Investments | 715,219 | 113,954,908 | — | 114,670,127 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 23,685,273 | 1,837,408,111 | 1,229,012 | 1,862,322,396 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 1,413,662 | — | 1,413,662 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 23,685,273 | $ | 1,838,821,773 | $ | 1,229,012 | $ | 1,863,736,058 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures | ||||||||||||||||
Interest Rate Risk | $ | (1,238,428 | ) | $ | — | $ | — | $ | (1,238,428 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,238,428 | ) | $ | — | $ | — | $ | (1,238,428 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
31
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 35.3% of Net Assets |
| |||||||||||
ASSET-BACKED SECURITIES — 1.4% | ||||||||||||
Educational Services of America, Inc. (12-2-A) |
| |||||||||||
1.97% (1 mo. USD | 04/25/39 | $ | 8,734 | $ | 8,736 | |||||||
Nelnet Student Loan Trust (12-5A-A) |
| |||||||||||
1.84% (1 mo. USD | 10/27/36 | 4,940 | 4,946 | |||||||||
Scholar Funding Trust (11-A-A) |
| |||||||||||
2.28% (3 mo. USD | 10/28/43 | 4,169 | 4,170 | |||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost: $17,989) |
| 17,852 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 0.8% | ||||||||||||
Fannie Mae (13-M4-ASQ2) |
| |||||||||||
1.45% | 02/25/18 | 3,859 | 3,855 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KF05-A) |
| |||||||||||
1.58% (1 mo. USD LIBOR + 0.350%) (2) | 09/25/21 | 5,674 | 5,674 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $9,536) |
| 9,529 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 0.8% (Cost: $2,958) | ||||||||||||
LB-UBS Commercial Mortgage Trust (06-C6-XCL) (I/O) |
| |||||||||||
0.48% (1)(3)(4)(5) | 09/15/39 | 1,577,588 | 10,660 | |||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 1.2% (Cost: $14,984) | ||||||||||||
Fannie Mae (05-W3-2AF) |
| |||||||||||
1.46% (1 mo. USD LIBOR + 0.220%) (2) | 03/25/45 | 15,368 | 15,009 | |||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 15.0% | ||||||||||||
Bear Stearns Alt-A Trust (04-13-A1) |
| |||||||||||
1.98% (1 mo. USD LIBOR + 0.740%) (2) | 11/25/34 | 3,826 | 3,836 | |||||||||
Bear Stearns Asset-Backed Securities Trust (05-SD1-1A3) |
| |||||||||||
2.04% (1 mo. USD LIBOR + 0.800%) (2) | 08/25/43 | 135 | 135 | |||||||||
Bombardier Capital Mortgage Securitization Corp. (01-A-A) |
| |||||||||||
6.81% (4) | 12/15/30 | 5,712 | 5,810 | |||||||||
Centex Home Equity Loan Trust (05-A-AF5) |
| |||||||||||
5.78% | 01/25/35 | 56,358 | 57,479 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Credit-Based Asset Servicing and Securitization LLC (03-CB5-M1) |
| |||||||||||
2.26% (1 mo. USD | 11/25/33 | $ | 11,124 | $ | 10,897 | |||||||
First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C) |
| |||||||||||
2.24% (1 mo. USD | 08/25/34 | 12,344 | 12,049 | |||||||||
Homestar Mortgage Acceptance Corp. (04-5-A1) |
| |||||||||||
2.14% (1 mo. USD LIBOR + 0.900%) (2) | 10/25/34 | 2,454 | 2,479 | |||||||||
JPMorgan Mortgage Trust (05-A6-7A1) |
| |||||||||||
3.61% (4)(6) | 08/25/35 | 29,937 | 29,208 | |||||||||
MASTR Seasoned Securitization Trust (05-1-4A1) |
| |||||||||||
3.39% (4) | 10/25/32 | 22,286 | 22,494 | |||||||||
Mid-State Trust (04-1-M1) |
| |||||||||||
6.50% | 08/15/37 | 26,293 | 27,993 | |||||||||
Morgan Stanley Mortgage Loan Trust (04-6AR-1A) |
| |||||||||||
2.14% (1 mo. USD LIBOR + 0.900%) (2) | 07/25/34 | 6,607 | 6,535 | |||||||||
Residential Asset Mortgage Products, Inc. (04-SL3-A2) |
| |||||||||||
6.50% | 12/25/31 | 12,557 | 12,573 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $170,451) |
| 191,488 | ||||||||||
|
| |||||||||||
CORPORATE BONDS — 16.1% | ||||||||||||
Airlines — 3.5% | ||||||||||||
Continental Airlines, Inc. Pass-Through Certificates (00-1-A1) (EETC) |
| |||||||||||
8.05% | 05/01/22 | 40,771 | 44,798 | |||||||||
|
| |||||||||||
Banks — 5.9% | ||||||||||||
Citigroup, Inc. |
| |||||||||||
3.02% (3 mo. USD LIBOR + 1.700%) (2) | 05/15/18 | 75,000 | 75,588 | |||||||||
|
| |||||||||||
Insurance — 5.5% | ||||||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
3.61% (3 mo. USD LIBOR + 2.290%) (1)(2) | 12/15/24 | 70,000 | 70,000 | |||||||||
|
| |||||||||||
REIT — 1.2% | ||||||||||||
HCP, Inc. |
| |||||||||||
3.15% | 08/01/22 | 15,000 | 15,219 | |||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $200,270) |
| 205,605 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $416,188) |
| 450,143 | ||||||||||
|
|
See accompanying notes to financial statements.
32
TCW Enhanced Commodity Strategy Fund
October 31, 2017 |
Issues | Maturity Date | Shares | Value | |||||||||
MONEY MARKET INVESTMENTS — 20.0% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (7)(8) |
| 254,830 | $ | 254,830 | ||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $254,830) |
| 254,830 | ||||||||||
|
| |||||||||||
Principal Amount | ||||||||||||
SHORT-TERM INVESTMENTS — 39.1% |
| |||||||||||
U.S. TREASURY SECURITIES — 39.1% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
1.04% (9) | 01/04/18 | $ | 100,000 | 99,816 | ||||||||
1.04% (9) | 01/11/18 | 120,000 | 119,754 | |||||||||
1.08% (9) | 01/18/18 | 100,000 | 99,766 | |||||||||
1.09% (9) | 01/25/18 | 180,000 | 179,539 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $498,846) |
| 498,875 | ||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost: $498,846) |
| 498,875 | ||||||||||
|
| |||||||||||
Total Investments (94.4%) |
| |||||||||||
(Cost: $1,169,864) |
| 1,203,848 | ||||||||||
|
| |||||||||||
Excess Of Other Assets Over Liabilities (5.6%) |
| 71,119 | ||||||||||
Net Assets (100.0%) |
| $ | 1,274,967 | |||||||||
|
|
Notes to Schedule of Investments:
EETC - | Enhanced Equipment Trust Certificate. |
I/O - | Interest Only Security. |
OTC - | Over the Counter. |
REIT - | Real Estate Investment Trust. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2017, the value of these securities amounted to $98,512 or 7.7% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2017. |
(3) | Restricted security (Note 10). |
(4) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(6) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(7) | All or a portion of this security is owned by TCW Cayman Enhanced Commodity Fund, Ltd. |
(8) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
(9) | Rate shown represents yield-to-maturity. |
(10) | Custom Index has exposure to the following commodities as shown in the table below: |
Total Return Swaps (7) | ||||||||||||||||||||||||||||
Notional Amount | Expiration Date | Counterparty | Payment Made by Fund | Payment Received by Fund | Payment Frequency | Unrealized Appreciation | Premium Paid | Value | ||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||||
$1,263,141 | 11/21/17 | | Credit Suisse First Boston Corp. | | 3-Month U.S. Treasury Bills plus 0.2% | Credit Suisse Custom 24 Total Return Index (10) | Monthly | $ | 13,246 | $ — | $ 13,246 | |||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
33
TCW Enhanced Commodity Strategy Fund
Consolidated Schedule of Investments (Continued)
Description | Notional | Weight % | ||||||
Gold | $ | 146,019 | 11.5 | % | ||||
Copper High Grade | 111,914 | 8.8 | % | |||||
Brent Crude Oil | 99,662 | 7.9 | % | |||||
Corn | 89,557 | 7.1 | % | |||||
Natural Gas | 88,294 | 7.0 | % | |||||
WTI Crude Oil | 85,894 | 6.8 | % | |||||
Soybeans | 69,599 | 5.5 | % | |||||
Aluminium Primary | 69,346 | 5.5 | % | |||||
Live Cattle | 53,936 | 4.3 | % | |||||
Heating Oil | 50,526 | 4.0 | % | |||||
Silver | 50,273 | 4.0 | % | |||||
RBOB Gasoline | 46,736 | 3.7 | % | |||||
SRW Wheat | 41,178 | 3.3 | % | |||||
Zinc High Grade | 40,547 | 3.2 | % | |||||
Nickel Primary | 36,757 | 2.9 | % | |||||
Soybean Meal | 35,242 | 2.8 | % | |||||
Soybean Oil | 33,726 | 2.7 | % | |||||
Sugar #11 | 29,052 | 2.3 | % | |||||
Lean Hogs | 28,800 | 2.3 | % | |||||
Coffee ‘C’ Arabica | 25,768 | 2.0 | % | |||||
Cotton | 16,042 | 1.3 | % | |||||
HRW Wheat | 14,273 | 1.1 | % | |||||
|
|
|
| |||||
$ | 1,263,141 | 100.0 | % | |||||
|
|
|
|
See accompanying notes to financial statements.
34
TCW Enhanced Commodity Strategy Fund
Consolidated Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Airlines | 3.5 | % | ||
Asset-Backed Securities | 1.4 | |||
Banks | 5.9 | |||
Commercial Mortgage-Backed Securities — Agency | 0.8 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.8 | |||
Insurance | 5.5 | |||
REIT | 1.2 | |||
Residential Mortgage-Backed Securities — Agency | 1.2 | |||
Residential Mortgage-Backed Securities — Non-Agency | 15.0 | |||
U.S Treasury Securities | 39.1 | |||
Money Market Investments | 20.0 | |||
|
| |||
Total | 94.4 | % | ||
|
|
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 17,852 | $ | — | $ | 17,852 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 9,529 | — | 9,529 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | — | 10,660 | 10,660 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 15,009 | — | 15,009 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 191,488 | — | 191,488 | ||||||||||||
Corporate Bonds* | — | 205,605 | — | 205,605 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 439,483 | 10,660 | 450,143 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 254,830 | — | — | 254,830 | ||||||||||||
Short-Term Investments | 498,875 | — | — | 498,875 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 753,705 | 439,483 | 10,660 | 1,203,848 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Commodity Risk | — | 13,246 | — | 13,246 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 753,705 | $ | 452,729 | $ | 10,660 | $ | 1,217,094 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
35
Schedule of Investments
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 93.4% of Net Assets |
| |||||||||||
CORPORATE BONDS — 19.8% | ||||||||||||
Aerospace/Defense — 0.3% |
| |||||||||||
United Technologies Corp. | ||||||||||||
1.78% | 05/04/18 | $ | 50,000 | $ | 49,999 | |||||||
|
| |||||||||||
Airlines — 1.0% | ||||||||||||
Continental Airlines, Inc. Pass-Through Trust (01-1A-1) (EETC) |
| |||||||||||
6.70% | 12/15/22 | 19,005 | 20,240 | |||||||||
Delta Air Lines, Inc. Pass-Through Certificates (02-1G1) (EETC) |
| |||||||||||
6.72% | 07/02/24 | 73,470 | 82,262 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (10-1A) (EETC) |
| |||||||||||
6.25% | 10/22/24 | 14,509 | 16,338 | |||||||||
US Airways Group, Inc. Pass-Through Certificates (12-1A) (EETC) |
| |||||||||||
5.90% | 04/01/26 | 43,611 | 49,087 | |||||||||
|
| |||||||||||
167,927 | ||||||||||||
|
| |||||||||||
Auto Manufacturers — 0.6% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.38% | 01/16/18 | 50,000 | 50,073 | |||||||||
General Motors Co. |
| |||||||||||
3.50% | 10/02/18 | 50,000 | 50,731 | |||||||||
|
| |||||||||||
100,804 | ||||||||||||
|
| |||||||||||
Banks — 6.9% | ||||||||||||
Abbey National Treasury Services PLC (United Kingdom) |
| |||||||||||
1.75% (1) | 01/15/18 | 45,000 | 52,647 | |||||||||
Bank of America Corp. |
| |||||||||||
5.65% | 05/01/18 | 40,000 | 40,775 | |||||||||
6.88% | 04/25/18 | �� | 15,000 | 15,368 | ||||||||
BBVA Bancomer S.A. (Mexico) |
| |||||||||||
6.75% (2) | 09/30/22 | 200,000 | 227,100 | |||||||||
Citigroup, Inc. |
| |||||||||||
2.05% | 12/07/18 | 125,000 | 125,130 | |||||||||
2.50% | 09/26/18 | 50,000 | 50,295 | |||||||||
6.13% | 05/15/18 | 50,000 | 51,160 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
5.95% | 01/18/18 | 110,000 | 111,012 | |||||||||
6.15% | 04/01/18 | 100,000 | 101,804 | |||||||||
HBOS PLC (United Kingdom) |
| |||||||||||
6.75% (2) | 05/21/18 | 40,000 | 41,000 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
3.90% | 07/15/25 | 100,000 | 105,506 | |||||||||
Morgan Stanley |
| |||||||||||
6.63% | 04/01/18 | 75,000 | 76,497 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Banks (Continued) | ||||||||||||
Wachovia Corp. |
| |||||||||||
5.75% | 02/01/18 | $ | 55,000 | $ | 55,569 | |||||||
Wells Fargo & Co. |
| |||||||||||
3.00% | 04/22/26 | 85,000 | 83,186 | |||||||||
|
| |||||||||||
1,137,049 | ||||||||||||
|
| |||||||||||
Beverages — 0.5% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. |
| |||||||||||
4.90% | 02/01/46 | 29,000 | 32,712 | |||||||||
Constellation Brands, Inc. |
| |||||||||||
2.00% | 11/07/19 | 50,000 | 49,930 | |||||||||
|
| |||||||||||
82,642 | ||||||||||||
|
| |||||||||||
Biotechnology — 0.7% | ||||||||||||
Amgen, Inc. |
| |||||||||||
4.66% | 06/15/51 | 22,000 | 23,895 | |||||||||
Baxalta, Inc. |
| |||||||||||
2.88% | 06/23/20 | 20,000 | 20,303 | |||||||||
Celgene Corp. |
| |||||||||||
3.88% | 08/15/25 | 20,000 | 20,828 | |||||||||
Gilead Sciences, Inc. |
| |||||||||||
3.65% | 03/01/26 | 40,000 | 41,661 | |||||||||
|
| |||||||||||
106,687 | ||||||||||||
|
| |||||||||||
Chemicals — 0.3% | ||||||||||||
Dow Chemical Co. (The) |
| |||||||||||
8.55% | 05/15/19 | 40,000 | 43,937 | |||||||||
|
| |||||||||||
Cosmetics/Personal Care — 0.0% | ||||||||||||
First Quality Finance Co., Inc. |
| |||||||||||
4.63% (2) | 05/15/21 | 5,000 | 5,069 | |||||||||
|
| |||||||||||
Diversified Financial Services — 0.3% | ||||||||||||
International Lease Finance Corp. |
| |||||||||||
7.13% (2) | 09/01/18 | 50,000 | 52,094 | |||||||||
|
| |||||||||||
Electric — 1.1% | ||||||||||||
AEP Texas Central Co. |
| |||||||||||
3.85% (2) | 10/01/25 | 50,000 | 52,395 | |||||||||
FirstEnergy Transmission LLC |
| |||||||||||
4.35% (2) | 01/15/25 | 50,000 | 53,268 | |||||||||
ITC Holdings Corp. |
| |||||||||||
3.65% | 06/15/24 | 40,000 | 41,447 | |||||||||
MidAmerican Energy Co. |
| |||||||||||
3.10% | 05/01/27 | 40,000 | 40,347 | |||||||||
|
| |||||||||||
187,457 | ||||||||||||
|
| |||||||||||
Food — 0.2% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.95% | 07/15/25 | 35,000 | 36,376 | |||||||||
|
|
See accompanying notes to financial statements.
36
TCW Global Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Healthcare-Products — 0.3% | ||||||||||||
Abbott Laboratories |
| |||||||||||
3.75% | 11/30/26 | $ | 40,000 | $ | 41,272 | |||||||
|
| |||||||||||
Healthcare-Services — 0.5% | ||||||||||||
Anthem, Inc. |
| |||||||||||
3.50% | 08/15/24 | 50,000 | 51,222 | |||||||||
Centene Corp. |
| |||||||||||
4.75% | 01/15/25 | 8,000 | 8,280 | |||||||||
DaVita, Inc. |
| |||||||||||
5.13% | 07/15/24 | 3,000 | 3,013 | |||||||||
HCA, Inc. |
| |||||||||||
5.25% | 06/15/26 | 8,000 | 8,520 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
4.88% (2) | 06/15/25 | 3,000 | 2,985 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.38% | 10/01/21 | 5,000 | 5,025 | |||||||||
|
| |||||||||||
79,045 | ||||||||||||
|
| |||||||||||
Insurance — 0.6% | ||||||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% (3 mo. USD LIBOR + 3.744%) (2)(3) | 11/01/53 | 80,000 | 91,873 | |||||||||
|
| |||||||||||
Media — 0.5% | ||||||||||||
21st Century Fox America, Inc. |
| |||||||||||
4.95% | 10/15/45 | 20,000 | 22,214 | |||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
| |||||||||||
5.00% (2) | 02/01/28 | 8,000 | 7,960 | |||||||||
5.13% (2) | 05/01/27 | 8,000 | 8,090 | |||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||||
6.48% | 10/23/45 | 30,000 | 34,612 | |||||||||
|
| |||||||||||
72,876 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturers — 1.1% | ||||||||||||
General Electric Capital Corp. |
| |||||||||||
1.80% (3 mo. USD LIBOR + 0.480%) (3) | 08/15/36 | 200,000 | 182,672 | |||||||||
|
| |||||||||||
Oil & Gas — 0.0% | ||||||||||||
Parsley Energy LLC / Parsley Finance Corp. |
| |||||||||||
5.38% (2) | 01/15/25 | 3,000 | 3,060 | |||||||||
QEP Resources, Inc. |
| |||||||||||
5.38% | 10/01/22 | 4,000 | 4,000 | |||||||||
|
| |||||||||||
7,060 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 0.1% | ||||||||||||
Crown Americas LLC / Crown Americas Capital Corp. V |
| |||||||||||
4.25% | 09/30/26 | 4,000 | 4,010 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Packaging & Containers (Continued) | ||||||||||||
Graphic Packaging International, Inc. |
| |||||||||||
4.88% | 11/15/22 | $ | 8,000 | $ | 8,560 | |||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg) |
| |||||||||||
4.86% (3 mo. USD LIBOR + 3.500%) (2)(3) | 07/15/21 | 5,000 | 5,113 | |||||||||
|
| |||||||||||
17,683 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 0.6% | ||||||||||||
AbbVie, Inc. |
| |||||||||||
4.50% | 05/14/35 | 25,000 | 26,871 | |||||||||
Actavis Funding SCS (Luxembourg) |
| |||||||||||
3.80% | 03/15/25 | 20,000 | 20,525 | |||||||||
AstraZeneca PLC (United Kingdom) |
| |||||||||||
3.38% | 11/16/25 | 25,000 | 25,502 | |||||||||
Valeant Pharmaceuticals International, Inc. (Canada) |
| |||||||||||
5.88% (2) | 05/15/23 | 20,000 | 16,975 | |||||||||
6.13% (2) | 04/15/25 | 6,000 | 5,070 | |||||||||
|
| |||||||||||
94,943 | ||||||||||||
|
| |||||||||||
Pipelines — 0.3% | ||||||||||||
Energy Transfer Partners LP |
| |||||||||||
5.15% | 03/15/45 | 50,000 | 49,051 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
5.63% (2) | 04/15/20 | 3,000 | 3,195 | |||||||||
|
| |||||||||||
52,246 | ||||||||||||
|
| |||||||||||
REIT — 1.9% | ||||||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||||||
3.95% | 01/15/27 | 25,000 | 25,636 | |||||||||
HCP, Inc. |
| |||||||||||
3.15% | 08/01/22 | 50,000 | 50,728 | |||||||||
SBA Communications Corp. |
| |||||||||||
4.00% (2) | 10/01/22 | 8,000 | 8,140 | |||||||||
SL Green Realty Corp. |
| |||||||||||
5.00% | 08/15/18 | 100,000 | 101,669 | |||||||||
Ventas Realty LP / Ventas Capital Corp. |
| |||||||||||
4.00% | 04/30/19 | 50,000 | 51,260 | |||||||||
Welltower, Inc. |
| |||||||||||
4.13% | 04/01/19 | 70,000 | 71,801 | |||||||||
|
| |||||||||||
309,234 | ||||||||||||
|
| |||||||||||
Retail — 0.4% | ||||||||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC |
| |||||||||||
5.25% (2) | 06/01/26 | 4,000 | 4,261 |
See accompanying notes to financial statements.
37
TCW Global Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Retail (Continued) | ||||||||||||
Walgreens Boots Alliance, Inc. |
| |||||||||||
3.45% | 06/01/26 | $ | 60,000 | $ | 59,129 | |||||||
|
| |||||||||||
63,390 | ||||||||||||
|
| |||||||||||
Software — 0.4% | ||||||||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. |
| |||||||||||
5.75% (2) | 03/01/25 | 3,000 | 3,069 | |||||||||
Microsoft Corp. |
| |||||||||||
2.40% | 08/08/26 | 25,000 | 24,155 | |||||||||
4.45% | 11/03/45 | 25,000 | 28,401 | |||||||||
Quintiles IMS, Inc. |
| |||||||||||
4.88% (2) | 05/15/23 | 7,000 | 7,315 | |||||||||
|
| |||||||||||
62,940 | ||||||||||||
|
| |||||||||||
Telecommunications — 1.2% | ||||||||||||
AT&T, Inc. |
| |||||||||||
3.40% | 05/15/25 | 45,000 | 44,555 | |||||||||
4.13% | 02/17/26 | 25,000 | 25,697 | |||||||||
5.45% | 03/01/47 | 40,000 | 41,934 | |||||||||
Intelsat Jackson Holdings S.A. (Luxembourg) |
| |||||||||||
9.75% (2) | 07/15/25 | 4,000 | 4,035 | |||||||||
Verizon Communications, Inc. |
| |||||||||||
4.86% | 08/21/46 | 75,000 | 75,823 | |||||||||
|
| |||||||||||
192,044 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $3,151,475) |
| 3,237,319 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.5% | ||||||||||||
Alabama Economic Settlement Authority, Revenue Bond |
| |||||||||||
4.26% | 09/15/32 | 40,000 | 42,694 | |||||||||
California Health Facilities Financing Authority, Revenue Bond |
| |||||||||||
3.00% | 10/01/41 | 50,000 | 45,067 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost: $80,331) |
| 87,761 | ||||||||||
|
| |||||||||||
FOREIGN GOVERNMENT BONDS — 38.2% | ||||||||||||
Australia Government Bond |
| |||||||||||
2.75% (1) | 04/21/24 | AUD | 186,000 | 145,610 | ||||||||
Bundesrepublik Deutschland (Germany) |
| |||||||||||
0.00% (1) | 08/15/26 | EUR | 209,000 | 239,213 | ||||||||
2.25% (1) | 09/04/21 | EUR | 360,000 | 465,078 | ||||||||
Canada Housing Trust No. 1 |
| |||||||||||
3.35% (2) | 12/15/20 | CAD | 430,000 | 350,214 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FOREIGN GOVERNMENT BONDS (Continued) | ||||||||||||
Canadian Government Bond |
| |||||||||||
0.50% | 03/01/22 | CAD | 215,000 | $ | 159,269 | |||||||
Denmark Government Bond |
| |||||||||||
1.75% | 11/15/25 | DKK | 900,000 | 158,683 | ||||||||
France Government Bond OAT |
| |||||||||||
2.50% (1) | 05/25/30 | EUR | 373,000 | 516,130 | ||||||||
3.25% (1) | 10/25/21 | EUR | 65,000 | 86,806 | ||||||||
Ireland Government Bond |
| |||||||||||
3.40% (1) | 03/18/24 | EUR | 55,000 | 77,354 | ||||||||
Israel Government Bond |
| |||||||||||
5.50% | 01/31/22 | ILS | 280,000 | 95,788 | ||||||||
Italy Buoni Poliennali Del Tesoro |
| |||||||||||
4.50% | 03/01/24 | EUR | 482,000 | 679,405 | ||||||||
Japan Government Ten-Year Bond |
| |||||||||||
1.00% | 09/20/21 | JPY | 95,800,000 | 879,340 | ||||||||
Japan Government Thirty-Year Bond |
| |||||||||||
2.00% | 03/20/42 | JPY | 45,000,000 | 506,394 | ||||||||
Japan Government Twenty Year Bond |
| |||||||||||
0.50% | 09/20/36 | JPY | 8,700,000 | 75,974 | ||||||||
Korea Treasury Bond |
| |||||||||||
1.88% | 06/10/26 | KRW | 144,000,000 | 122,205 | ||||||||
Malaysia Government Bond |
| |||||||||||
3.96% | 09/15/25 | MYR | 525,000 | 122,337 | ||||||||
Norway Government Bond |
| |||||||||||
3.75% (1) | 05/25/21 | NOK | 1,350,000 | 181,333 | ||||||||
Poland Government Bond |
| |||||||||||
3.25% | 07/25/25 | PLN | 265,000 | 72,843 | ||||||||
Romanian Government International Bond |
| |||||||||||
4.88% (1) | 01/22/24 | $ | 50,000 | 55,063 | ||||||||
Spain Government Bond |
| |||||||||||
2.75% (1) | 10/31/24 | EUR | 345,000 | 454,714 | ||||||||
Sweden Government Bond |
| |||||||||||
3.50% | 06/01/22 | SEK | 500,000 | 69,747 | ||||||||
United Kingdom Gilt |
| |||||||||||
2.75% (1) | 09/07/24 | GBP | 500,000 | 740,178 | ||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $6,667,513) |
| 6,253,678 | ||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 3.4% | ||||||||||||
Dryden Senior Loan Fund |
| |||||||||||
2.86% (3 mo. USD LIBOR + 1.500%) (2)(3) | 04/15/27 | $ | 40,000 | 40,106 | ||||||||
Educational Funding of the South, Inc. (11-1-A2) |
| |||||||||||
2.02% (3 mo. USD LIBOR + 0.650%) (3) | 04/25/35 | 28,724 | 28,712 |
See accompanying notes to financial statements.
38
TCW Global Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (Continued) | ||||||||||||
Magnetite XI, Ltd. (14-11A-A1R) |
| |||||||||||
2.47% (3 mo. USD LIBOR + 1.120%) (2)(3) | 01/18/27 | $ | 20,000 | $ | 20,046 | |||||||
Magnetite XII, Ltd. (15-12A-AR) |
| |||||||||||
2.69% (3 mo. USD LIBOR + 1.330%) (2)(3) | 04/15/27 | 30,000 | 30,097 | |||||||||
Navient Student Loan Trust (14-8-A3) |
| |||||||||||
1.84% (1 mo. USD LIBOR + 0.600%) (3) | 05/27/49 | 80,000 | 80,313 | |||||||||
Navient Student Loan Trust (16-2-A3) |
| |||||||||||
2.74% (1 mo. USD LIBOR + 1.500%) (2)(3) | 06/25/65 | 50,000 | 51,546 | |||||||||
SLC Student Loan Trust (08-1-A4A) |
| |||||||||||
2.92% (3 mo. USD LIBOR + 1.600%) (3) | 12/15/32 | 61,374 | 63,645 | |||||||||
SLM Student Loan Trust (07-3-A4) |
| |||||||||||
1.43% (3 mo. USD LIBOR + 0.060%) (3) | 01/25/22 | 50,000 | 48,550 | |||||||||
SLM Student Loan Trust (07-6-A4) |
| |||||||||||
1.75% (3 mo. USD LIBOR + 0.380%) (3) | 10/25/24 | 54,430 | 54,475 | |||||||||
SLM Student Loan Trust (08-9-A) |
| |||||||||||
2.87% (3 mo. USD LIBOR + 1.500%) (3) | 04/25/23 | 13,647 | 14,004 | |||||||||
SLM Student Loan Trust (11-2-A2) |
| |||||||||||
2.44% (1 mo. USD LIBOR + 1.200%) (3) | 10/25/34 | 50,000 | 51,822 | |||||||||
Student Loan Consolidation Center (02-2-B2) |
| |||||||||||
0.00% (28-Day Auction Rate) (2)(3) | 07/01/42 | 50,000 | 39,716 | |||||||||
Voya CLO, Ltd. (14-4A-A1R) |
| |||||||||||
2.31% (3 mo. USD LIBOR + 0.950%) (2)(3) | 10/14/26 | 40,000 | 40,105 | |||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost: $555,087) |
| 563,137 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 4.1% | ||||||||||||
Fannie Mae, Pool #AM2366 |
| |||||||||||
2.40% | 02/01/23 | 70,000 | 70,309 | |||||||||
Fannie Mae, Pool #AL8939 |
| |||||||||||
2.48% | 11/01/22 | 30,746 | 30,915 | |||||||||
Fannie Mae, Pool #AL6578 |
| |||||||||||
2.98% | 04/01/23 | 91,406 | 94,553 | |||||||||
Fannie Mae, Pool #AL6577 |
| |||||||||||
3.05% | 11/01/22 | 80,530 | 82,679 | |||||||||
Fannie Mae, Pool #470251 |
| |||||||||||
3.20% | 02/01/22 | 80,061 | 83,208 | |||||||||
Fannie Mae, Pool #AL6465 |
| |||||||||||
3.25% | 11/01/23 | 87,452 | 91,001 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #AM4011 |
| |||||||||||
3.67% | 07/01/23 | $ | 90,000 | $ | 95,894 | |||||||
Fannie Mae (12-M10-AFL) |
| |||||||||||
1.69% (1 mo. USD LIBOR + 0.450%) (3) | 09/25/22 | 109,112 | 108,885 | |||||||||
Fannie Mae (14-M12-FA) |
| |||||||||||
1.53% (1 mo. USD LIBOR + 0.300%) (3) | 10/25/21 | 11,745 | 11,766 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KSCT-AX) (I/O) |
| |||||||||||
1.18% (4) | 01/25/20 | 324,098 | 6,573 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $676,634) |
| 675,783 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 0.6% | ||||||||||||
Bank of America-First Union NB Commercial Mortgage (01-3-XC) (I/O) |
| |||||||||||
1.19% (2)(4)(5)(6) | 04/11/37 | 1,778,834 | 1,386 | |||||||||
COMM Mortgage Trust (14-277P-A) |
| |||||||||||
3.61% (2)(4) | 08/10/49 | 20,000 | 20,813 | |||||||||
Morgan Stanley Capital I Trust (99-RM1-X) (I/O) |
| |||||||||||
0.75% (2)(4)(5)(6) | 12/15/31 | 855,447 | 440 | |||||||||
VNDO Mortgage Trust (12-6AVE-A) |
| |||||||||||
3.00% (2) | 11/15/30 | 25,000 | 25,497 | |||||||||
WF-RBS Commercial Mortgage Trust (11-C4-A3) |
| |||||||||||
4.39% (2) | 06/15/44 | 39,922 | 40,745 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $90,063) |
| 88,881 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 10.7% | ||||||||||||
Fannie Mae (07-52-LS) (I/O) (I/F) |
| |||||||||||
4.81% (-1.00 X 1 mo. USD LIBOR + 6.050%) (3) | 06/25/37 | 102,549 | 13,460 | |||||||||
Fannie Mae (08-18-SM) (I/O) (I/F) |
| |||||||||||
5.76% (-1.00 X 1 mo. USD LIBOR + 7.000%) (3) | 03/25/38 | 91,825 | 13,891 | |||||||||
Fannie Mae (09-115-SB) (I/O) (I/F) |
| |||||||||||
5.01% (-1.00 X 1 mo. USD LIBOR + 6.250%) (3) | 01/25/40 | 72,954 | 10,610 | |||||||||
Fannie Mae (10-116-SE) (I/O) (I/F) |
| |||||||||||
5.36% (-1.00 X 1 mo. USD LIBOR + 6.600%) (3) | 10/25/40 | 142,854 | 22,471 |
See accompanying notes to financial statements.
39
TCW Global Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #AB3679 |
| |||||||||||
3.50% | 10/01/41 | $ | 141,482 | $ | 146,355 | |||||||
Fannie Mae, Pool #AB4045 |
| |||||||||||
3.50% | 12/01/41 | 158,601 | 164,545 | |||||||||
Fannie Mae, Pool #AT5914 |
| |||||||||||
3.50% | 06/01/43 | 60,633 | 62,586 | |||||||||
Fannie Mae, Pool #BD7081 |
| |||||||||||
4.00% | 03/01/47 | 99,133 | 104,101 | |||||||||
Fannie Mae, Pool #MA1527 |
| |||||||||||
3.00% | 08/01/33 | 76,261 | 78,061 | |||||||||
Fannie Mae, Pool #MA1652 |
| |||||||||||
3.50% | 11/01/33 | 60,381 | 63,068 | |||||||||
Freddie Mac (2990-ND) (I/F) (PAC) |
| |||||||||||
13.74% (-2.54 X 1 mo. USD LIBOR + 16.891%) (3) | 12/15/34 | 7,155 | 7,909 | |||||||||
Freddie Mac (3439-SC) (I/O) (I/F) |
| |||||||||||
4.66% (-1.00 X 1 mo. USD LIBOR + 5.900%) (3) | 04/15/38 | 92,779 | 13,004 | |||||||||
Freddie Mac, Pool #G08698 |
| |||||||||||
3.50% | 03/01/46 | 87,236 | 89,732 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 87,505 | 90,014 | |||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | 13,887 | 13,911 | |||||||||
Freddie Mac, Pool #G08722 |
| |||||||||||
3.50% | 09/01/46 | 8,875 | 9,129 | |||||||||
Freddie Mac, Pool #G08726 |
| |||||||||||
3.00% | 10/01/46 | 163,321 | 163,598 | |||||||||
Freddie Mac, Pool #G08732 |
| |||||||||||
3.00% | 11/01/46 | 18,832 | 18,864 | |||||||||
Freddie Mac, Pool #G08762 |
| |||||||||||
4.00% | 05/01/47 | 147,325 | 154,704 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 11,562 | 11,856 | |||||||||
Freddie Mac, Pool #G60344 |
| |||||||||||
4.00% | 12/01/45 | 67,241 | 71,328 | |||||||||
Ginnie Mae (11-146-EI) (I/O) (PAC) |
| |||||||||||
5.00% | 11/16/41 | 98,377 | 20,210 | |||||||||
Ginnie Mae (11-69-GI) (I/O) |
| |||||||||||
5.00% | 05/16/40 | 186,867 | 14,752 | |||||||||
Ginnie Mae (12-7-PI) (I/O) (PAC) |
| |||||||||||
3.50% | 01/20/38 | 133,705 | 4,552 | |||||||||
Ginnie Mae, Pool #MA4263 |
| |||||||||||
4.00% | 02/20/47 | 126,224 | 132,728 | |||||||||
Ginnie Mae II, Pool #MA3597 |
| |||||||||||
3.50% | 04/20/46 | 53,655 | 55,707 | |||||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 7,982 | 8,285 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA3803 |
| |||||||||||
3.50% | 07/20/46 | $ | 37,717 | $ | 39,159 | |||||||
Ginnie Mae II, Pool #MA4196 |
| |||||||||||
3.50% | 01/20/47 | 97,565 | 101,294 | |||||||||
Ginnie Mae II, Pool #MA4454 |
| |||||||||||
5.00% | 05/20/47 | 56,483 | 60,753 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $1,788,946) |
| 1,760,637 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 3.4% | ||||||||||||
First Horizon Mortgage Pass-Through Trust (05-AR4-2A1) |
| |||||||||||
3.34% (4)(7) | 10/25/35 | 79,213 | 76,041 | |||||||||
Green Tree Financial Corp. (98-6-A8) |
| |||||||||||
6.66% (4) | 06/01/30 | 32,649 | 34,683 | |||||||||
Lehman XS Trust (06-9-A1B) |
| |||||||||||
1.40% (1 mo. USD | 05/25/46 | 85,499 | 82,891 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A3-A2D) |
| |||||||||||
1.57% (1 mo. USD LIBOR + 0.330%) (3)(6) | 04/25/37 | 1,251,739 | 144,651 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (04-18-4A1) |
| |||||||||||
3.36% (4) | 12/25/34 | 77,338 | 76,670 | |||||||||
Structured Asset Mortgage Investments, Inc. (06-AR3-22A1) |
| |||||||||||
2.97% (4)(7) | 05/25/36 | 207,795 | 148,178 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $449,071) |
| 563,114 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 12.7% | ||||||||||||
U.S. Treasury Bond |
| |||||||||||
2.75% | 08/15/47 | 950,000 | 926,343 | |||||||||
U.S. Treasury Note |
| |||||||||||
2.25% | 08/15/27 | 1,160,000 | 1,147,380 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $2,114,835) |
| 2,073,723 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $15,573,955) |
| 15,304,033 | ||||||||||
|
| |||||||||||
See accompanying notes to financial statements.
40
TCW Global Bond Fund
October 31, 2017 |
Issues | Maturity Date | Shares | Value | |||||||||
MONEY MARKET INVESTMENTS — 0.8% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (8) |
| 127,195 | $ | 127,195 | ||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $127,195) |
| 127,195 | ||||||||||
|
| |||||||||||
Principal Amount | ||||||||||||
SHORT-TERM SECURITIES — 7.6% |
| |||||||||||
U.S. TREASURY SECURITIES — 7.6% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
1.09% (9) | 01/25/18 | $ | 480,000 | 478,770 | ||||||||
1.14% (9) | 02/01/18 | 776,000 | 773,759 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $1,252,701) |
| 1,252,529 | ||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost: $1,252,701) |
| 1,252,529 | ||||||||||
|
| |||||||||||
Total Investments (101.8%) |
| |||||||||||
(Cost: $16,953,851) |
| 16,683,757 | ||||||||||
Liabilities In Excess Of Other Assets (-1.8%) |
| (290,974 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 16,392,783 | |||||||||
|
|
Forward Currency Exchange Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
BUY (10) | ||||||||||||||||||||||||
Barclays Capital | EUR | 364,543 | 01/12/18 | $ | 432,704 | $ | 426,470 | $ | (6,234 | ) | ||||||||||||||
Barclays Capital | JPY | 34,554,542 | 01/12/18 | 309,012 | 305,220 | (3,792 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 741,716 | $ | 731,690 | $ | (10,026 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (11) | ||||||||||||||||||||||||
Barclays Capital | CAD | 200,000 | 01/12/18 | $ | 159,985 | $ | 155,265 | $ | 4,720 | |||||||||||||||
Barclays Capital | GBP | 175,000 | 01/12/18 | 231,691 | 232,927 | (1,236 | ) | |||||||||||||||||
Barclays Capital | ILS | 360,000 | 01/12/18 | 103,399 | 102,510 | 889 | ||||||||||||||||||
Barclays Capital | KRW | 148,000,000 | 01/12/18 | 130,506 | 132,161 | (1,655 | ) | |||||||||||||||||
Barclays Capital | MYR | 537,000 | 01/12/18 | 126,884 | 126,542 | 342 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 752,465 | $ | 749,405 | $ | 3,060 | |||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
41
TCW Global Bond Fund
Schedule of Investments (Continued)
Notes to Schedule of Investments:
AUD | - Australian Dollar. |
CAD | - Canadian Dollar. |
DKK | - Danish Krone. |
EUR | - Euro Currency. |
GBP | - British Pound Sterling. |
ILS - | Israeli Shekel. |
JPY - Japanese | Yen. |
KRW | - South Korean Won. |
MYR | - Malaysian Ringgit. |
NOK | - Norwegian Krona. |
SEK | - Swedish Krona. |
ABS | - Asset-Backed Securities. |
CLO | - Collateralized Loan Obligation. |
EETC | - Enhanced Equipment Trust Certificate. |
I/F - | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O - Interest | Only Security. |
PAC | - Planned Amortization Class. |
REIT | - Real Estate Investment Trust. |
(1) | Investments issued under Regulation S of the Securities Act of 1933, may not be offered, sold, or delivered within the United States except under special exemptions. At October 31, 2017, the value of these securities amounted to $3,014,126 or 18.4% of net assets. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2017, the value of these securities amounted to $1,262,778 or 7.7% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(3) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2017. |
(4) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(5) | Restricted security (Note 10). |
(6) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(7) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(8) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
(9) | Rate shown represents yield-to-maturity. |
(10) | Fund buys foreign currency, sells U.S. Dollar. |
(11) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
42
TCW Global Bond Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Aerospace/Defense | 0.3 | % | ||
Airlines | 1.0 | |||
Asset-Backed Securities | 3.4 | |||
Auto Manufacturers | 0.6 | |||
Banks | 6.9 | |||
Beverages | 0.5 | |||
Biotechnology | 0.7 | |||
Chemicals | 0.3 | |||
Commercial Mortgage-Backed Securities — Agency | 4.1 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.6 | |||
Cosmetics/Personal Care | 0.0 | * | ||
Diversified Financial Services | 0.3 | |||
Electric | 1.1 | |||
Food | 0.2 | |||
Foreign Government Bonds | 38.2 | |||
Healthcare-Products | 0.3 | |||
Healthcare-Services | 0.5 | |||
Insurance | 0.6 | |||
Media | 0.5 | |||
Miscellaneous Manufacturers | 1.1 | |||
Municipal Bonds | 0.5 | |||
Oil & Gas | 0.0 | * | ||
Packaging & Containers | 0.1 | |||
Pharmaceuticals | 0.6 | |||
Pipelines | 0.3 | |||
REIT | 1.9 | |||
Residential Mortgage-Backed Securities — Agency | 10.7 | |||
Residential Mortgage-Backed Securities — Non-Agency | 3.4 | |||
Retail | 0.4 | |||
Short Term Investments | 7.6 | |||
Software | 0.4 | |||
Telecommunications | 1.2 | |||
U.S. Treasury Securities | 12.7 | |||
Money Market Investments | 0.8 | |||
|
| |||
Total | 101.8 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
43
TCW Global Bond Fund
Investments by Country
Country | Percentage of Net Assets | |||
Australia | 0.9 | % | ||
Canada | 3.2 | |||
Cayman Islands | 0.8 | |||
Denmark | 1.0 | |||
France | 3.7 | |||
Germany | 4.3 | |||
Great Britain | 4.7 | |||
Ireland | 0.5 | |||
Israel | 0.6 | |||
Italy | 4.1 | |||
Japan | 9.0 | |||
Luxembourg | 0.1 | |||
Malaysia | 0.7 | |||
Mexico | 1.4 | |||
Norway | 1.1 | |||
Poland | 0.4 | |||
Romania | 0.3 | |||
South Korea | 0.8 | |||
Spain | 2.8 | |||
Sweden | 0.4 | |||
United Kingdom | 0.6 | |||
United States | 60.4 | |||
|
| |||
Total | 101.8 | % | ||
|
|
See accompanying notes to financial statements.
44
TCW Global Bond Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices (Level 1) | Other (Level 2) | Significant (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Corporate Bonds* | $ | — | $ | 3,237,319 | $ | — | $ | 3,237,319 | ||||||||
Municipal Bonds | — | 87,761 | — | 87,761 | ||||||||||||
Foreign Government Bonds | — | 6,253,678 | — | 6,253,678 | ||||||||||||
Asset-Backed Securities | — | 563,137 | — | 563,137 | ||||||||||||
Commercial Mortgage-Backed Securities — Agency | — | 675,783 | — | 675,783 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 87,055 | 1,826 | 88,881 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 1,760,637 | — | 1,760,637 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 418,463 | 144,651 | 563,114 | ||||||||||||
U.S. Treasury Securities | — | 2,073,723 | — | 2,073,723 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 15,157,556 | 146,477 | 15,304,033 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 127,195 | — | — | 127,195 | ||||||||||||
Short-Term Investments | 1,252,529 | — | — | 1,252,529 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,379,724 | 15,157,556 | 146,477 | 16,683,757 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 5,951 | — | 5,951 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,379,724 | $ | 15,163,507 | $ | 146,477 | $ | 16,689,708 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (12,917 | ) | $ | — | $ | (12,917 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (12,917 | ) | $ | — | $ | (12,917 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
45
Schedule of Investments
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 89.7% of Net Assets |
| |||||||||||
BANK LOANS — 7.4% | ||||||||||||
Commercial Services — 0.3% |
| |||||||||||
Mister Car Wash, Inc., Term Loan B |
| |||||||||||
5.13% (3 mo. USD | 08/20/21 | $ | 54,461 | $ | 54,756 | |||||||
|
| |||||||||||
Diversified Financial Services — 0.4% | ||||||||||||
Delos Finance Sarl, 2017 Term Loan B |
| |||||||||||
3.33% (3 mo. USD | 10/06/23 | 79,413 | 80,108 | |||||||||
|
| |||||||||||
Electric — 0.5% | ||||||||||||
Dynegy, Inc., 2017 Term Loan C |
| |||||||||||
4.25% (3 mo. USD | 02/07/24 | 25,000 | 25,186 | |||||||||
TEX Operations Co. LLC, Exit Term Loan B |
| |||||||||||
4.08% (3 mo. USD | 08/04/23 | 60,613 | 60,887 | |||||||||
TEX Operations Co. LLC, Exit Term Loan C |
| |||||||||||
4.08% (3 mo. USD | 08/04/23 | 13,929 | 13,990 | |||||||||
|
| |||||||||||
100,063 | ||||||||||||
|
| |||||||||||
Healthcare-Services — 0.5% | ||||||||||||
Air Medical Group Holdings, Inc., 2017 Term Loan B2 |
| |||||||||||
5.25% (3 mo. USD | 09/07/24 | 39,000 | 39,232 | |||||||||
Air Medical Group Holdings, Inc., Term Loan B1 |
| |||||||||||
5.24% (3 mo. USD | 04/28/22 | 42,393 | 42,625 | |||||||||
BCPE Eagle Buyer LLC, 2017 1st Lien Term Loan |
| |||||||||||
5.49% (3 mo. USD | 03/18/24 | 12,935 | 12,983 | |||||||||
BCPE Eagle Buyer LLC, 2017 2nd Lien Term Loan |
| |||||||||||
9.24% (3 mo. USD | 03/17/25 | 13,000 | 13,081 | |||||||||
|
| |||||||||||
107,921 | ||||||||||||
|
| |||||||||||
Lodging — 0.5% | ||||||||||||
CityCenter Holdings, LLC, 2017 Term Loan B |
| |||||||||||
3.74% (3 mo. USD | 04/18/24 | 104,738 | 105,347 | |||||||||
|
| |||||||||||
Packaging & Containers — 0.3% | ||||||||||||
Reynolds Group Holdings, Inc., 2017 Term Loan |
| |||||||||||
3.99% (3 mo. USD | 02/05/23 | 64,351 | 64,803 | |||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Pharmaceuticals — 0.6% | ||||||||||||
Alphabet Holding Co., Inc., 2017 1st Lien Term Loan |
| |||||||||||
4.83% (3 mo. USD | 09/26/24 | $ | 78,000 | $ | 76,196 | |||||||
PharMerica Corp., 1st Lien Term Loan |
| |||||||||||
4.50% (3 mo. USD | 09/26/24 | 26,000 | 26,211 | |||||||||
PharMerica Corp., 2nd Lien Term Loan |
| |||||||||||
8.75% (3 mo. USD | 09/26/25 | 26,000 | 26,293 | |||||||||
|
| |||||||||||
128,700 | ||||||||||||
|
| |||||||||||
REIT — 0.8% | ||||||||||||
MGM Growth Properties Operating Partnership LP, 2016 Term Loan B |
| |||||||||||
3.49% (3 mo. USD | 04/25/23 | 166,654 | 167,785 | |||||||||
|
| |||||||||||
Retail — 0.7% | ||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B3 |
| |||||||||||
3.49% (3 mo. USD | 02/16/24 | 149,248 | 149,603 | |||||||||
|
| |||||||||||
Software — 1.6% | ||||||||||||
First Data Corp., 2017 Term Loan |
| |||||||||||
3.74% (3 mo. USD | 04/26/24 | 212,274 | 213,430 | |||||||||
First Data Corp., 2022 Term Loan |
| |||||||||||
3.49% (3 mo. USD | 07/08/22 | 65,000 | 65,252 | |||||||||
TierPoint LLC, 2017 1st Lien Term Loan |
| |||||||||||
4.99% (3 mo. USD | 05/06/24 | 69,825 | 70,654 | |||||||||
|
| |||||||||||
349,336 | ||||||||||||
|
| |||||||||||
Telecommunications — 0.5% | ||||||||||||
Colorado Buyer, Inc., Term Loan B |
| |||||||||||
4.31% (3 mo. USD | 05/01/24 | 24,938 | 25,172 | |||||||||
Level 3 Financing, Inc., 2017 Term Loan B |
| |||||||||||
3.49% (3 mo. USD | 02/22/24 | 80,000 | 80,407 | |||||||||
|
| |||||||||||
105,579 | ||||||||||||
|
| |||||||||||
Trucking & Leasing — 0.7% | ||||||||||||
Avolon TLB Borrower 1 (Luxembourg) S.a.r.l., Term Loan B2 |
| |||||||||||
3.49% (3 mo. USD | 04/03/22 | 144,638 | 145,933 | |||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost: $1,449,203) |
| 1,559,934 | ||||||||||
|
|
See accompanying notes to financial statements.
46
TCW High Yield Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATE BONDS — 82.3% | ||||||||||||
Advertising — 0.5% | ||||||||||||
Lamar Media Corp. |
| |||||||||||
5.75% | 02/01/26 | $ | 100,000 | $ | 108,125 | |||||||
|
| |||||||||||
Aerospace/Defense — 0.2% | ||||||||||||
KLX, Inc. |
| |||||||||||
5.88% (2) | 12/01/22 | 43,000 | 44,989 | |||||||||
|
| |||||||||||
Airlines — 3.2% | ||||||||||||
American Airlines, Inc. Pass-Through Trust (13-2-B) (EETC) |
| |||||||||||
5.60% (2) | 01/15/22 | 265,292 | 278,550 | |||||||||
Continental Airlines, Inc. Pass-Through Certificates (99-1-A) (EETC) |
| |||||||||||
6.55% | 08/02/20 | 114,819 | 119,124 | |||||||||
Delta Air Lines, Inc. Pass-Through Certificates (02-1-G-1) (EETC) |
| |||||||||||
6.72% | 07/02/24 | 250,467 | 280,439 | |||||||||
|
| |||||||||||
678,113 | ||||||||||||
|
| |||||||||||
Auto Parts & Equipment — 0.2% | ||||||||||||
Tenneco, Inc. |
| |||||||||||
5.00% | 07/15/26 | 40,000 | 41,188 | |||||||||
|
| |||||||||||
Banks — 1.5% | ||||||||||||
CIT Group, Inc. |
| |||||||||||
3.88% | 02/19/19 | 100,000 | 101,750 | |||||||||
5.50% (2) | 02/15/19 | 117,000 | 122,704 | |||||||||
Citigroup, Inc. |
| |||||||||||
1.87% (3 mo. USD | 08/25/36 | 100,000 | 84,444 | |||||||||
|
| |||||||||||
308,898 | ||||||||||||
|
| |||||||||||
Beverages — 0.8% | ||||||||||||
DS Services of America, Inc. |
| |||||||||||
10.00% (2) | 09/01/21 | 163,000 | 172,099 | |||||||||
|
| |||||||||||
Building Materials — 0.1% | ||||||||||||
Standard Industries, Inc. |
| |||||||||||
5.13% (2) | 02/15/21 | 13,000 | 13,455 | |||||||||
|
| |||||||||||
Chemicals — 1.5% | ||||||||||||
Axalta Coating Systems LLC |
| |||||||||||
4.88% (2) | 08/15/24 | 160,000 | 167,400 | |||||||||
Kissner Holdings LP / Kissner Milling Co., Ltd. / BSC Holding, Inc. / Kissner USA (Canada) |
| |||||||||||
8.38% (2) | 12/01/22 | 20,000 | 20,425 | |||||||||
MPM Escrow LLC |
| |||||||||||
8.88% (3) | 10/15/20 | 75,000 | — | |||||||||
Valvoline, Inc. |
| |||||||||||
4.38% (2) | 08/15/25 | 90,000 | 91,012 | |||||||||
5.50% (2) | 07/15/24 | 45,000 | 48,038 | |||||||||
|
| |||||||||||
326,875 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Coal — 0.1% | ||||||||||||
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp. |
| |||||||||||
7.50% (2) | 06/15/25 | $ | 22,000 | $ | 23,155 | |||||||
|
| |||||||||||
Commercial Services — 3.2% | ||||||||||||
Brink’s Co. (The) |
| |||||||||||
4.63% (2) | 10/15/27 | 33,000 | 32,921 | |||||||||
Gartner, Inc. |
| |||||||||||
5.13% (2) | 04/01/25 | 12,000 | 12,720 | |||||||||
IHS Markit, Ltd. |
| |||||||||||
5.00% (2) | 11/01/22 | 10,000 | 10,800 | |||||||||
KAR Auction Services, Inc. |
| |||||||||||
5.13% (2) | 06/01/25 | 24,000 | 24,840 | |||||||||
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. |
| |||||||||||
7.88% (2) | 10/01/22 | 46,000 | 46,690 | |||||||||
Nielsen Co. Luxembourg SARL (The) (Luxembourg) |
| |||||||||||
5.50% (2) | 10/01/21 | 165,000 | 170,569 | |||||||||
Nielsen Finance LLC / Nielsen Finance Co. |
| |||||||||||
5.00% (2) | 04/15/22 | 10,000 | 10,325 | |||||||||
Ritchie Bros Auctioneers, Inc. (Canada) |
| |||||||||||
5.38% (2) | 01/15/25 | 20,000 | 21,100 | |||||||||
Service Corp. International |
| |||||||||||
4.50% | 11/15/20 | 200,000 | 202,500 | |||||||||
5.38% | 01/15/22 | 85,000 | 87,656 | |||||||||
United Rentals North America, Inc. |
| |||||||||||
4.63% | 07/15/23 | 45,000 | 47,137 | |||||||||
|
| |||||||||||
667,258 | ||||||||||||
|
| |||||||||||
Computers — 1.2% | ||||||||||||
Dell, Inc. |
| |||||||||||
5.65% | 04/15/18 | 125,000 | 127,344 | |||||||||
EMC Corp. |
| |||||||||||
1.88% | 06/01/18 | 130,000 | 130,000 | |||||||||
|
| |||||||||||
257,344 | ||||||||||||
|
| |||||||||||
Cosmetics/Personal Care — 0.8% | ||||||||||||
First Quality Finance Co., Inc. |
| |||||||||||
4.63% (2) | 05/15/21 | 172,000 | 174,365 | |||||||||
|
| |||||||||||
Diversified Financial Services — 1.2% | ||||||||||||
Ally Financial, Inc. |
| |||||||||||
3.25% | 11/05/18 | 250,000 | 252,369 | |||||||||
|
| |||||||||||
Electric — 0.2% | ||||||||||||
NextEra Energy Operating Partners LP |
| |||||||||||
4.25% (2) | 09/15/24 | 7,000 | 7,114 | |||||||||
4.50% (2) | 09/15/27 | 30,000 | 30,300 | |||||||||
|
| |||||||||||
37,414 | ||||||||||||
|
|
See accompanying notes to financial statements.
47
TCW High Yield Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Entertainment — 4.0% | ||||||||||||
Churchill Downs, Inc. |
| |||||||||||
5.38% | 12/15/21 | $ | 360,000 | $ | 371,250 | |||||||
Eldorado Resorts, Inc. |
| |||||||||||
6.00% | 04/01/25 | 35,000 | 37,188 | |||||||||
GLP Capital LP / GLP Financing II, Inc. |
| |||||||||||
4.38% | 11/01/18 | 260,000 | 263,640 | |||||||||
Rivers Pittsburgh Borrower LP / Rivers Pittsburgh Finance Corp. |
| |||||||||||
6.13% (2) | 08/15/21 | 175,000 | 176,531 | |||||||||
|
| |||||||||||
848,609 | ||||||||||||
|
| |||||||||||
Environmental Control — 1.1% | ||||||||||||
Clean Harbors, Inc. |
| |||||||||||
5.13% | 06/01/21 | 219,000 | 223,106 | |||||||||
Covanta Holding Corp. |
| |||||||||||
5.88% | 07/01/25 | 18,000 | 17,865 | |||||||||
|
| |||||||||||
240,971 | ||||||||||||
|
| |||||||||||
Food — 1.7% | ||||||||||||
B&G Foods, Inc. |
| |||||||||||
4.63% | 06/01/21 | 150,000 | 153,375 | |||||||||
Chobani LLC / Chobani Finance Corp, Inc. |
| |||||||||||
7.50% (2) | 04/15/25 | 8,000 | 8,720 | |||||||||
Clearwater Seafoods, Inc. (Canada) |
| |||||||||||
6.88% (2) | 05/01/25 | 6,000 | 6,345 | |||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.88% (2) | 02/15/25 | 60,000 | 64,208 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
5.88% (2) | 09/30/27 | 53,000 | 55,252 | |||||||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. |
| |||||||||||
5.88% | 01/15/24 | 10,000 | 10,700 | |||||||||
Post Holdings, Inc. |
| |||||||||||
5.00% (2) | 08/15/26 | 7,000 | 7,053 | |||||||||
5.50% (2) | 03/01/25 | 12,000 | 12,540 | |||||||||
5.75% (2) | 03/01/27 | 25,000 | 26,094 | |||||||||
TreeHouse Foods, Inc. |
| |||||||||||
6.00% (2) | 02/15/24 | 6,000 | 6,450 | |||||||||
|
| |||||||||||
350,737 | ||||||||||||
|
| |||||||||||
Healthcare-Products — 1.3% | ||||||||||||
Hill-Rom Holdings, Inc. |
| |||||||||||
5.75% (2) | 09/01/23 | 70,000 | 74,112 | |||||||||
Hologic, Inc. |
| |||||||||||
4.38% (2) | 10/15/25 | 159,000 | 161,743 | |||||||||
5.25% (2) | 07/15/22 | 30,000 | 31,425 | |||||||||
Teleflex, Inc. |
| |||||||||||
4.88% | 06/01/26 | 14,000 | 14,700 | |||||||||
|
| |||||||||||
281,980 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Healthcare-Services — 6.6% | ||||||||||||
Acadia Healthcare Co., Inc. |
| |||||||||||
6.50% | 03/01/24 | $ | 76,000 | $ | 80,465 | |||||||
Centene Corp. |
| |||||||||||
4.75% | 01/15/25 | 86,000 | 89,010 | |||||||||
CHS / Community Health Systems, Inc. |
| |||||||||||
6.25% | 03/31/23 | 85,000 | 82,131 | |||||||||
DaVita, Inc. |
| |||||||||||
5.00% | 05/01/25 | 30,000 | 29,709 | |||||||||
5.13% | 07/15/24 | 15,000 | 15,066 | |||||||||
5.75% | 08/15/22 | 5,000 | 5,159 | |||||||||
HCA, Inc. |
| |||||||||||
3.75% | 03/15/19 | 75,000 | 76,313 | |||||||||
6.50% | 02/15/20 | 365,000 | 393,288 | |||||||||
HealthSouth Corp. |
| |||||||||||
5.75% | 11/01/24 | 135,000 | 138,459 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
4.88% (2) | 06/15/25 | 10,000 | 9,950 | |||||||||
5.38% | 11/15/22 | 115,000 | 120,031 | |||||||||
MPH Acquisition Holdings LLC |
| |||||||||||
7.13% (2) | 06/01/24 | 17,000 | 18,363 | |||||||||
SP Finco LLC |
| |||||||||||
6.75% (2) | 07/01/25 | 22,000 | 20,130 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.38% | 10/01/21 | 10,000 | 10,050 | |||||||||
4.50% | 04/01/21 | 113,000 | 114,836 | |||||||||
4.75% | 06/01/20 | 75,000 | 77,063 | |||||||||
7.50% (2) | 01/01/22 | 10,000 | 10,563 | |||||||||
WellCare Health Plans, Inc. |
| |||||||||||
5.25% | 04/01/25 | 95,000 | 100,225 | |||||||||
|
| |||||||||||
1,390,811 | ||||||||||||
|
| |||||||||||
Household Products/Wares — 1.0% | ||||||||||||
Central Garden & Pet Co. |
| |||||||||||
6.13% | 11/15/23 | 155,000 | 166,044 | |||||||||
Spectrum Brands, Inc. |
| |||||||||||
6.63% | 11/15/22 | 45,000 | 46,889 | |||||||||
|
| |||||||||||
212,933 | ||||||||||||
|
| |||||||||||
Internet — 0.0% | ||||||||||||
Zayo Group LLC / Zayo Capital, Inc. |
| |||||||||||
5.75% (2) | 01/15/27 | 7,000 | 7,394 | |||||||||
|
| |||||||||||
Leisure Time — 0.3% | ||||||||||||
NCL Corp., Ltd. |
| |||||||||||
4.75% (2) | 12/15/21 | 60,000 | 62,580 | |||||||||
|
| |||||||||||
Lodging — 1.3% | ||||||||||||
Boyd Gaming Corp. |
| |||||||||||
6.88% | 05/15/23 | 32,000 | 34,480 | |||||||||
Hilton Domestic Operating Co., Inc. |
| |||||||||||
4.25% | 09/01/24 | 25,000 | 25,563 |
See accompanying notes to financial statements.
48
TCW High Yield Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Lodging (Continued) | ||||||||||||
MGM Resorts International |
| |||||||||||
8.63% | 02/01/19 | $ | 70,000 | $ | 75,338 | |||||||
Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp. |
| |||||||||||
5.88% (2) | 05/15/25 | 143,000 | 139,782 | |||||||||
|
| |||||||||||
275,163 | ||||||||||||
|
| |||||||||||
Machinery-Diversified — 0.3% | ||||||||||||
Tennant Co. |
| |||||||||||
5.63% (2) | 05/01/25 | 69,000 | 72,105 | |||||||||
|
| |||||||||||
Media — 12.4% | ||||||||||||
AMC Networks, Inc. |
| |||||||||||
4.75% | 08/01/25 | 45,000 | 45,171 | |||||||||
Cable One, Inc. |
| |||||||||||
5.75% (2) | 06/15/22 | 157,000 | 164,457 | |||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
| |||||||||||
4.00% (2) | 03/01/23 | 75,000 | 76,266 | |||||||||
5.00% (2) | 02/01/28 | 520,000 | 517,400 | |||||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp. |
| |||||||||||
5.13% (2) | 12/15/21 | 175,000 | 178,937 | |||||||||
CSC Holdings LLC |
| |||||||||||
7.63% | 07/15/18 | 275,000 | 284,281 | |||||||||
DISH DBS Corp. |
| |||||||||||
4.25% | 04/01/18 | 175,000 | 176,785 | |||||||||
7.88% | 09/01/19 | 300,000 | 324,000 | |||||||||
EW Scripps Co. (The) |
| |||||||||||
5.13% (2) | 05/15/25 | 38,000 | 39,189 | |||||||||
Midcontinent Communications & Finance Co. |
| |||||||||||
6.88% (2) | 08/15/23 | 70,000 | 75,163 | |||||||||
Sinclair Television Group, Inc. |
| |||||||||||
6.13% | 10/01/22 | 195,000 | 201,240 | |||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% (2) | 08/01/22 | 151,000 | 154,028 | |||||||||
TEGNA, Inc. |
| |||||||||||
5.13% | 10/15/19 | 91,000 | 92,479 | |||||||||
Univision Communications, Inc. |
| |||||||||||
5.13% (2) | 02/15/25 | 77,000 | 76,469 | |||||||||
Virgin Media Secured Finance PLC (United Kingdom) |
| |||||||||||
5.50% (2) | 08/15/26 | 200,000 | 210,250 | |||||||||
|
| |||||||||||
2,616,115 | ||||||||||||
|
| |||||||||||
Oil & Gas — 2.9% | ||||||||||||
Antero Resources Corp. |
| |||||||||||
5.00% | 03/01/25 | 22,000 | 22,469 | |||||||||
CrownRock LP / CrownRock Finance, Inc. |
| |||||||||||
5.63% (2) | 10/15/25 | 12,000 | 12,165 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Oil & Gas (Continued) | ||||||||||||
Diamondback Energy, Inc. |
| |||||||||||
4.75% | 11/01/24 | $ | 5,000 | $ | 5,125 | |||||||
5.38% | 05/31/25 | 20,000 | 20,850 | |||||||||
Extraction Oil & Gas, Inc. |
| |||||||||||
7.38% (2) | 05/15/24 | 27,000 | 28,890 | |||||||||
Gulfport Energy Corp. |
| |||||||||||
6.38% | 05/15/25 | 8,000 | 8,150 | |||||||||
Newfield Exploration Co. |
| |||||||||||
5.38% | 01/01/26 | 48,000 | 51,240 | |||||||||
5.63% | 07/01/24 | 17,000 | 18,425 | |||||||||
Parsley Energy LLC / Parsley Finance Corp. |
| |||||||||||
5.25% (2) | 08/15/25 | 87,000 | 88,305 | |||||||||
5.38% (2) | 01/15/25 | 42,000 | 42,840 | |||||||||
5.63% (2) | 10/15/27 | 45,000 | 46,492 | |||||||||
PDC Energy, Inc. |
| |||||||||||
6.13% | 09/15/24 | 23,000 | 24,121 | |||||||||
QEP Resources, Inc. |
| |||||||||||
5.25% | 05/01/23 | 25,000 | 24,812 | |||||||||
5.38% | 10/01/22 | 6,000 | 6,000 | |||||||||
Range Resources Corp. |
| |||||||||||
4.88% | 05/15/25 | 12,000 | 11,640 | |||||||||
Seven Generations Energy, Ltd. (Canada) |
| |||||||||||
5.38% (2) | 09/30/25 | 37,000 | 37,372 | |||||||||
Sunoco LP / Sunoco Finance Corp. |
| |||||||||||
5.50% | 08/01/20 | 150,000 | 154,500 | |||||||||
WPX Energy, Inc. |
| |||||||||||
5.25% | 09/15/24 | 11,000 | 11,027 | |||||||||
6.00% | 01/15/22 | 4,000 | 4,175 | |||||||||
|
| |||||||||||
618,598 | ||||||||||||
|
| |||||||||||
Oil & Gas Services — 0.9% | ||||||||||||
Transocean Proteus, Ltd. |
| |||||||||||
6.25% (2) | 12/01/24 | 177,650 | 187,199 | |||||||||
|
| |||||||||||
Packaging & Containers — 7.4% | ||||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (Ireland) |
| |||||||||||
4.63% (2) | 05/15/23 | 200,000 | 206,260 | |||||||||
Ball Corp. |
| |||||||||||
4.00% | 11/15/23 | 15,000 | 15,431 | |||||||||
4.38% | 12/15/20 | 55,000 | 57,750 | |||||||||
Berry Plastics Corp. |
| |||||||||||
5.13% | 07/15/23 | 40,000 | 42,150 | |||||||||
Crown Americas LLC / Crown Americas Capital Corp. V |
| |||||||||||
4.25% | 09/30/26 | 135,000 | 135,337 | |||||||||
Graphic Packaging International, Inc. |
| |||||||||||
4.88% | 11/15/22 | 160,000 | 171,200 |
See accompanying notes to financial statements.
49
TCW High Yield Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Packaging & Containers (Continued) | ||||||||||||
Multi-Color Corp. |
| |||||||||||
4.88% (2) | 11/01/25 | $ | 125,000 | $ | 126,562 | |||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Luxembourg) |
| |||||||||||
4.86% (3 mo. USD | 07/15/21 | 170,000 | 173,825 | |||||||||
5.75% | 10/15/20 | 345,000 | 351,900 | |||||||||
Sealed Air Corp. |
| |||||||||||
4.88% (2) | 12/01/22 | 100,000 | 106,750 | |||||||||
5.25% (2) | 04/01/23 | 97,000 | 104,760 | |||||||||
Silgan Holdings, Inc. |
| |||||||||||
4.75% (2) | 03/15/25 | 35,000 | 36,138 | |||||||||
5.00% | 04/01/20 | 25,000 | 25,344 | |||||||||
|
| |||||||||||
1,553,407 | ||||||||||||
|
| |||||||||||
Pharmaceuticals — 2.7% | ||||||||||||
Catalent Pharma Solutions, Inc. |
| |||||||||||
4.88% (2) | 01/15/26 | 155,000 | 157,712 | |||||||||
inVentiv Group Holdings, Inc. / inVentiv Health, Inc. / inVentiv Health Clinical, Inc. |
| |||||||||||
7.50% (2) | 10/01/24 | 9,000 | 9,945 | |||||||||
Valeant Pharmaceuticals International, Inc. (Canada) |
| |||||||||||
5.63% (2) | 12/01/21 | 85,000 | 77,673 | |||||||||
5.88% (2) | 05/15/23 | 182,000 | 154,473 | |||||||||
6.13% (2) | 04/15/25 | 197,000 | 166,465 | |||||||||
|
| |||||||||||
566,268 | ||||||||||||
|
| |||||||||||
Pipelines — 4.4% | ||||||||||||
Cheniere Corpus Christi Holdings LLC |
| |||||||||||
5.13% (2) | 06/30/27 | 35,000 | 36,181 | |||||||||
Cheniere Energy Partners LP |
| |||||||||||
5.25% (2) | 10/01/25 | 40,000 | 41,300 | |||||||||
Energy Transfer Equity LP |
| |||||||||||
4.25% | 03/15/23 | 95,000 | 96,900 | |||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
2.65% | 02/01/19 | 135,000 | 136,046 | |||||||||
NGPL PipeCo LLC |
| |||||||||||
4.38% (2) | 08/15/22 | 145,000 | 149,531 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
5.63% (2) | 04/15/20 | 155,000 | 165,075 | |||||||||
6.00% (2) | 01/15/19 | 85,000 | 88,081 | |||||||||
Tesoro Logistics LP / Tesoro Logistics Finance Corp. |
| |||||||||||
5.88% | 10/01/20 | 115,000 | 117,645 | |||||||||
6.13% | 10/15/21 | 42,000 | 43,418 | |||||||||
Williams Cos., Inc. (The) |
| |||||||||||
3.70% | 01/15/23 | 45,000 | 45,619 | |||||||||
|
| |||||||||||
919,796 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
REIT — 0.8% | ||||||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. |
| |||||||||||
5.63% | 05/01/24 | $ | 21,000 | $ | 22,785 | |||||||
SBA Communications Corp. |
| |||||||||||
4.00% (2) | 10/01/22 | 148,000 | 150,590 | |||||||||
|
| |||||||||||
173,375 | ||||||||||||
|
| |||||||||||
Retail — 2.8% | ||||||||||||
1011778 BC ULC / New Red Finance, Inc. (Canada) |
| |||||||||||
4.25% (2) | 05/15/24 | 57,000 | 57,553 | |||||||||
Cumberland Farms, Inc. |
| |||||||||||
6.75% (2) | 05/01/25 | 103,000 | 109,700 | |||||||||
Dollar Tree, Inc. |
| |||||||||||
5.75% | 03/01/23 | 190,000 | 200,687 | |||||||||
Golden Nugget, Inc. |
| |||||||||||
6.75% (2) | 10/15/24 | 10,000 | 10,200 | |||||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC |
| |||||||||||
4.75% | 06/01/27 | 13,000 | 13,374 | |||||||||
5.00% | 06/01/24 | 3,000 | 3,173 | |||||||||
Lithia Motors, Inc. |
| |||||||||||
5.25% (2) | 08/01/25 | 28,000 | 29,435 | |||||||||
Nathan’s Famous, Inc. |
| |||||||||||
6.63% (2) | 11/01/25 | 19,000 | 19,427 | |||||||||
Penske Automotive Group, Inc. |
| |||||||||||
3.75% | 08/15/20 | 105,000 | 107,100 | |||||||||
PetSmart, Inc. |
| |||||||||||
5.88% (2) | 06/01/25 | 25,000 | 21,937 | |||||||||
Yum! Brands, Inc. |
| |||||||||||
6.25% | 03/15/18 | 15,000 | 15,263 | |||||||||
|
| |||||||||||
587,849 | ||||||||||||
|
| |||||||||||
Semiconductors — 1.0% | ||||||||||||
NXP BV / NXP Funding LLC (Netherlands) |
| |||||||||||
3.75% (2) | 06/01/18 | 200,000 | 202,000 | |||||||||
|
| |||||||||||
Software — 2.3% | ||||||||||||
CDK Global, Inc. |
| |||||||||||
3.80% | 10/15/19 | 188,000 | 193,170 | |||||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. |
| |||||||||||
5.75% (2) | 03/01/25 | 140,000 | 143,237 | |||||||||
MSCI, Inc. |
| |||||||||||
4.75% (2) | 08/01/26 | 4,000 | 4,190 | |||||||||
Quintiles IMS, Inc. |
| |||||||||||
4.88% (2) | 05/15/23 | 135,000 | 141,075 | |||||||||
|
| |||||||||||
481,672 | ||||||||||||
|
|
See accompanying notes to financial statements.
50
TCW High Yield Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Telecommunications — 12.4% | ||||||||||||
AT&T, Inc. |
| |||||||||||
4.90% | 08/14/37 | $ | 55,000 | $ | 55,056 | |||||||
Frontier Communications Corp. |
| |||||||||||
6.25% | 09/15/21 | 12,000 | 9,870 | |||||||||
7.13% | 01/15/23 | 109,000 | 83,998 | |||||||||
8.50% | 04/15/20 | 24,000 | 23,760 | |||||||||
10.50% | 09/15/22 | 39,000 | 34,125 | |||||||||
GTT Communications, Inc. |
| |||||||||||
7.88% (2) | 12/31/24 | 20,000 | 21,426 | |||||||||
Intelsat Jackson Holdings S.A. (Luxembourg) |
| |||||||||||
5.50% | 08/01/23 | 198,000 | 169,290 | |||||||||
9.75% (2) | 07/15/25 | 45,000 | 45,394 | |||||||||
Level 3 Financing, Inc. |
| |||||||||||
6.13% | 01/15/21 | 277,000 | 282,919 | |||||||||
Qualitytech LP / QTS Finance Corp. |
| |||||||||||
4.75% (2) | 11/15/25 | 145,000 | 148,045 | |||||||||
Qwest Corp. |
| |||||||||||
6.75% | 12/01/21 | 105,000 | 116,681 | |||||||||
SoftBank Group Corp. (Japan) |
| |||||||||||
4.50% (2) | 04/15/20 | 200,000 | 207,060 | |||||||||
Sprint Communications, Inc. |
| |||||||||||
9.00% (2) | 11/15/18 | 467,000 | 496,187 | |||||||||
Sprint Corp. |
| |||||||||||
7.88% | 09/15/23 | 45,000 | 50,486 | |||||||||
Sprint Nextel Corp. |
| |||||||||||
9.25% | 04/15/22 | 55,000 | 67,650 | |||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% (2) | 03/20/23 | 280,000 | 284,074 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
4.00% | 04/15/22 | 50,000 | 51,750 | |||||||||
6.13% | 01/15/22 | 267,000 | 278,347 | |||||||||
6.84% | 04/28/23 | 175,000 | 185,063 | |||||||||
Windstream Services LLC |
| |||||||||||
6.38% | 08/01/23 | 15,000 | 10,988 | |||||||||
|
| |||||||||||
2,622,169 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds | ||||||||||||
(Cost: $17,173,524) | 17,377,378 | |||||||||||
|
| |||||||||||
Total Fixed Income Securities | ||||||||||||
(Cost: $18,622,727) | 18,937,312 | |||||||||||
|
|
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.5% (Cost: $327,224) |
| |||||||||||
Electric — 0.5% (Cost: $327,224) |
| |||||||||||
New Hold Co. — Series A (4)(5) |
| 5,610 | $ | 112,200 | ||||||||
|
| |||||||||||
MONEY MARKET INVESTMENTS — 1.3% |
| |||||||||||
(Cost: $282,433) | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (6) |
| 282,433 | 282,433 | |||||||||
|
| |||||||||||
Maturity Date | Principal Amount | |||||||||||
SHORT TERM INVESTMENTS — 8.9% | ||||||||||||
FOREIGN GOVERNMENT BONDS — 0.8% | ||||||||||||
Japan Treasury Bill | ||||||||||||
0.00% (7) | 01/29/18 | $ | 10,000,000 | 88,049 | ||||||||
0.00% (7) | 01/10/18 | 10,000,000 | 88,026 | |||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $177,687) |
| 176,075 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 8.1% | ||||||||||||
U.S. Treasury Bill | ||||||||||||
1.04% (8) | 01/04/18 | 600,000 | 598,894 | |||||||||
1.04% (8) | 01/11/18 | 700,000 | 698,568 | |||||||||
1.14% (8) | 02/01/18 | 400,000 | 398,845 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $1,696,345) | 1,696,307 | |||||||||||
|
| |||||||||||
Total Short-Term Investments | ||||||||||||
(Cost: $1,874,032) |
| 1,872,382 | ||||||||||
|
| |||||||||||
Total Investments (100.4%) | ||||||||||||
(Cost: $21,106,416) |
| 21,204,327 | ||||||||||
|
| |||||||||||
Liabilities In Excess Of Other Assets (-0.4%) |
| (75,449 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 21,128,878 | |||||||||
|
|
See accompanying notes to financial statements.
51
TCW High Yield Bond Fund
Schedule of Investments (Continued)
Forward Currency Exchange Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
SELL (9) | ||||||||||||||||||||||||
Goldman Sachs International | JPY | 10,000,000 | 01/10/18 | $ | 89,156 | $ | 88,321 | $ | 835 | |||||||||||||||
Goldman Sachs International | JPY | 10,000,000 | 01/29/18 | 89,353 | 88,408 | 945 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 178,509 | $ | 176,729 | $ | 1,780 | |||||||||||||||||||
|
|
|
|
|
|
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||||||||||||
Notional Amount (10) | Implied Credit Spread (11) | Expiration Date | Counterparty | Reference Entity | Fixed Deal Pay Rate | Payment Frequency | Unrealized Appreciation | Premium Paid (Received) | Value (12) | |||||||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||||||||||||
$250,000 | 0.221 | % | 3/20/19 | Goldman Sachs International | ALCOA, Inc. | 1.0 | % | Quarterly | $ (5,038 | ) | $ | 2,317 | $ (2,721 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
Notes to Schedule of Investments:
JPY - Japanese | Yen. |
EETC - | Enhanced Equipment Trust Certificate. |
OTC | - Over the Counter. |
REIT | - Real Estate Investment Trust. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2017. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2017, the value of these securities amounted to $8,339,141 or 39.5% 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) | 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. |
(4) | Non-income producing security. |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(6) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
(7) | Security is not accruing interest. |
(8) | Rate shown represents yield-to-maturity. |
(9) | Fund sells foreign currency, buys U.S. Dollar. |
(10) | 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. |
(11) | 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. |
(12) | 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 referenced 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.
52
TCW High Yield Bond Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Advertising | 0.5 | % | ||
Aerospace/Defense | 0.2 | |||
Airlines | 3.2 | |||
Auto Parts & Equipment | 0.2 | |||
Banks | 1.5 | |||
Beverages | 0.8 | |||
Building Materials | 0.1 | |||
Chemicals | 1.5 | |||
Coal | 0.1 | |||
Commercial Services | 3.5 | |||
Computers | 1.2 | |||
Cosmetics/Personal Care | 0.8 | |||
Diversified Financial Services | 1.6 | |||
Electric | 1.2 | |||
Entertainment | 4.0 | |||
Environmental Control | 1.1 | |||
Food | 1.7 | |||
Healthcare-Products | 1.3 | |||
Healthcare-Services | 7.1 | |||
Household Products/Wares | 1.0 | |||
Internet | 0.0 | * | ||
Leisure Time | 0.3 | |||
Lodging | 1.8 | |||
Machinery-Diversified | 0.3 | |||
Media | 12.4 | |||
Oil & Gas | 2.9 | |||
Oil & Gas Services | 0.9 | |||
Packaging & Containers | 7.7 | |||
Pharmaceuticals | 3.3 | |||
Pipelines | 4.4 | |||
REIT | 1.6 | |||
Retail | 3.5 | |||
Semiconductors | 1.0 | |||
Short Term Investments | 8.9 | |||
Software | 3.9 | |||
Telecommunications | 12.9 | |||
Trucking & Leasing | 0.7 | |||
Money Market Investments | 1.3 | |||
|
| |||
Total | 100.4 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
53
TCW High Yield Bond Fund
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices (Level 1) | Other Significant Inputs (Level 2) | Significant Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Bank Loans* | $ | — | $ | 1,559,934 | $ | — | $ | 1,559,934 | ||||||||
Corporate Bonds* | — | 17,377,378 | — | 17,377,378 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 18,937,312 | — | 18,937,312 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Securities | ||||||||||||||||
Common Stock* | — | — | 112,200 | 112,200 | ||||||||||||
Money Market Investments | 282,433 | — | — | 282,433 | ||||||||||||
Short-Term Investments | 1,696,307 | 176,075 | — | 1,872,382 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,978,740 | 19,113,387 | 112,200 | 21,204,327 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 1,780 | — | 1,780 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,978,740 | $ | 19,115,167 | $ | 112,200 | $ | 21,206,107 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | $ | — | $ | (2,721 | ) | $ | — | $ | (2,721 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (2,721 | ) | $ | — | $ | (2,721 | ) | ||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
54
Schedule of Investments | October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 73.0% of Net Assets |
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY — 7.4% | ||||||||||||
Fannie Mae, Pool #AM6261 |
| |||||||||||
1.45% (1 mo. USD LIBOR + 0.220%) (1) | 07/01/19 | $ | 65,000 | $ | 65,046 | |||||||
Fannie Mae, Pool #AM7028 | ||||||||||||
1.47% (1 mo. USD LIBOR + 0.240%) (1) | 10/01/19 | 65,000 | 65,035 | |||||||||
Fannie Mae, Pool #467288 | ||||||||||||
2.80% | 03/01/18 | 94,775 | 94,925 | |||||||||
Fannie Mae, Pool #FN0002 | ||||||||||||
2.92% | 12/01/17 | 802 | 800 | |||||||||
Fannie Mae (13-M13-FA) | ||||||||||||
1.59% (1 mo. USD LIBOR + 0.350%) (1) | 05/25/18 | 28,331 | 28,257 | |||||||||
Fannie Mae (15-M10-FA) | ||||||||||||
1.48% (1 mo. USD LIBOR + 0.250%) (1) | 03/25/19 | 20,221 | 20,226 | |||||||||
Fannie Mae (15-M12-FA) | ||||||||||||
1.57% (1 mo. USD LIBOR + 0.340%) (1) | 04/25/20 | 30,634 | 30,608 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (J15F-A1) |
| |||||||||||
2.36% | 07/25/20 | 49,866 | 50,187 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KF02-A1) |
| |||||||||||
1.61% (1 mo. USD LIBOR + 0.380%) (1) | 07/25/20 | 44,000 | 44,038 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KF14-A) |
| |||||||||||
1.88% (1 mo. USD LIBOR + 0.650%) (1) | 01/25/23 | 36,346 | 36,480 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KIR1-A1) |
| |||||||||||
2.45% | 03/25/26 | 48,476 | 48,558 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KJ02-A2) |
| |||||||||||
2.60% | 09/25/20 | 42,603 | 43,063 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (KP02-A2) |
| |||||||||||
2.36% (2) | 04/25/21 | 58,933 | 59,299 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency | ||||||||||||
(Cost: $592,017) | 586,522 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 0.5% | ||||||||||||
Bear Stearns Commercial Mortgage Securities Trust (99-CLF1-A4) |
| |||||||||||
7.00% (2) | 05/20/30 | 10,767 | 10,876 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust (06-LDP9-A3S) |
| |||||||||||
5.24% (3) | 05/15/47 | 18,244 | 18,145 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — (Continued) | ||||||||||||
OBP Depositor LLC Trust (10-OBP-A) |
| |||||||||||
4.65% (3) | 07/15/45 | $ | 10,000 | $ | 10,527 | |||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency | ||||||||||||
(Cost: $41,223) | 39,548 | |||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 22.0% | ||||||||||||
Fannie Mae (03-11-FA) | ||||||||||||
2.24% (1 mo. USD LIBOR + 1.000%) (1) | 09/25/32 | 21,443 | 21,950 | |||||||||
Fannie Mae (03-64-KS) (I/F) | ||||||||||||
8.06% (1 mo. USD LIBOR + 9.643%) (1) | 07/25/18 | 3,222 | 3,116 | |||||||||
Fannie Mae (03-84-GE) (PAC) | ||||||||||||
4.50% | 09/25/18 | 8,146 | 8,204 | |||||||||
Fannie Mae (03-97-CA) (PAC) | ||||||||||||
5.00% | 10/25/18 | 50,178 | 50,578 | |||||||||
Fannie Mae (04-94-HY) | ||||||||||||
5.00% | 12/25/19 | 20,806 | 20,919 | |||||||||
Fannie Mae (05-114-PF) (PAC) | ||||||||||||
1.61% (1 mo. USD LIBOR + 0.375%) (1) | 08/25/35 | 46,666 | 46,729 | |||||||||
Fannie Mae (06-60-DF) | ||||||||||||
1.67% (1 mo. USD LIBOR + 0.430%) (1) | 04/25/35 | 44,099 | 44,313 | |||||||||
Fannie Mae (06-84-WF) (PAC) |
| |||||||||||
1.54% (1 mo. USD LIBOR + 0.300%) (1) | 02/25/36 | 16,491 | 16,497 | |||||||||
Fannie Mae (07-64-FA) | ||||||||||||
1.71% (1 mo. USD LIBOR + 0.470%) (1) | 07/25/37 | 44,735 | 45,140 | |||||||||
Fannie Mae (07-67-FA) | ||||||||||||
1.49% (1 mo. USD LIBOR + 0.250%) (1) | 04/25/37 | 40,812 | 40,810 | |||||||||
Fannie Mae (08-15-JN) | ||||||||||||
4.50% | 02/25/23 | 65,672 | 66,681 | |||||||||
Fannie Mae (08-47-PF) (PAC) | ||||||||||||
1.74% (1 mo. USD LIBOR + 0.500%) (1) | 06/25/38 | 4,889 | 4,896 | |||||||||
Fannie Mae (09-33-FB) | ||||||||||||
2.06% (1 mo. USD LIBOR + 0.820%) (1) | 03/25/37 | 32,694 | 33,365 | |||||||||
Fannie Mae (10-83-AK) | ||||||||||||
3.00% | 11/25/18 | 44,981 | 45,129 | |||||||||
Fannie Mae (11-124-DF) |
| |||||||||||
1.69% (1 mo. USD LIBOR + 0.450%) (1) | 08/25/40 | 22,479 | 22,578 | |||||||||
Fannie Mae (11-75-HP) (PAC) |
| |||||||||||
2.50% | 07/25/40 | 54,947 | 55,341 |
See accompanying notes to financial statements.
55
TCW Short Term Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — (Continued) | ||||||||||||
Fannie Mae, Pool #254548 |
| |||||||||||
5.50% | 12/01/32 | $ | 17,379 | $ | 19,361 | |||||||
Fannie Mae, Pool #600187 |
| |||||||||||
7.00% | 07/01/31 | 35,165 | 38,378 | |||||||||
Fannie Mae, Pool #995364 |
| |||||||||||
6.00% | 10/01/38 | 21,639 | 24,466 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 10,390 | 11,731 | |||||||||
Freddie Mac (2550-FI) (TAC) |
| |||||||||||
1.59% (1 mo. USD LIBOR + 0.350%) (1) | 11/15/32 | 6,420 | 6,444 | |||||||||
Freddie Mac (2764-OE) (PAC) |
| |||||||||||
4.50% | 03/15/19 | 32,549 | 32,813 | |||||||||
Freddie Mac (2990-DE) |
| |||||||||||
1.62% (1 mo. USD LIBOR + 0.380%) (1) | 11/15/34 | 50,135 | 50,323 | |||||||||
Freddie Mac (3071-TF) (PAC) |
| |||||||||||
1.54% (1 mo. USD LIBOR + 0.300%) (1) | 04/15/35 | 54,534 | 54,553 | |||||||||
Freddie Mac (3139-FL) (PAC) |
| |||||||||||
1.54% (1 mo. USD LIBOR + 0.300%) (1) | 01/15/36 | 49,750 | 49,770 | |||||||||
Freddie Mac (3172-FK) |
| |||||||||||
1.69% (1 mo. USD LIBOR + 0.450%) (1) | 08/15/33 | 34,278 | 34,327 | |||||||||
Freddie Mac (3300-FA) |
| |||||||||||
1.54% (1 mo. USD LIBOR + 0.300%) (1) | 08/15/35 | 53,787 | 53,751 | |||||||||
Freddie Mac (3318-F) |
| |||||||||||
1.49% (1 mo. USD LIBOR + 0.250%) (1) | 05/15/37 | 65,813 | 65,703 | |||||||||
Freddie Mac (3335-FT) |
| |||||||||||
1.39% (1 mo. USD LIBOR + 0.150%) (1) | 08/15/19 | 10,244 | 10,240 | |||||||||
Freddie Mac (3346-FA) |
| |||||||||||
1.47% (1 mo. USD LIBOR + 0.230%) (1) | 02/15/19 | 849 | 849 | |||||||||
Freddie Mac (3645-EH) |
| |||||||||||
3.00% | 12/15/20 | 51,884 | 52,260 | |||||||||
Freddie Mac (3747-HG) (PAC) |
| |||||||||||
2.40% | 07/15/37 | 47,948 | 48,046 | |||||||||
Freddie Mac (3767-JF) (PAC) |
| |||||||||||
1.54% (1 mo. USD LIBOR + 0.300%) (1) | 02/15/39 | 71,046 | 71,123 | |||||||||
Freddie Mac (3780-LF) |
| |||||||||||
1.64% (1 mo. USD LIBOR + 0.400%) (1) | 03/15/29 | 6,042 | 6,042 | |||||||||
Freddie Mac (3804-FN) (PAC) |
| |||||||||||
1.69% (1 mo. USD LIBOR + 0.450%) (1) | 03/15/39 | 67,693 | 67,744 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — (Continued) | ||||||||||||
Freddie Mac (3824-FA) | ||||||||||||
1.39% (1 mo. USD LIBOR + 0.150%) (1) | 03/15/26 | $ | 14,920 | $ | 14,920 | |||||||
Freddie Mac (3901-CD) | ||||||||||||
2.00% | 10/15/18 | 42,822 | 42,850 | |||||||||
Freddie Mac (3940-PF) (PAC) | ||||||||||||
1.59% (1 mo. USD LIBOR + 0.350%) (1) | 05/15/40 | 76,012 | 76,147 | |||||||||
Freddie Mac (3946-FG) (PAC) | ||||||||||||
1.59% (1 mo. USD LIBOR + 0.350%) (1) | 10/15/39 | 36,775 | 36,841 | |||||||||
Freddie Mac (4231-FD) | ||||||||||||
1.59% (1 mo. USD LIBOR + 0.350%) (1) | 10/15/32 | 82,837 | 82,688 | |||||||||
Freddie Mac (263-F5) | ||||||||||||
1.74% (1 mo. USD LIBOR + 0.500%) (1) | 06/15/42 | 61,216 | 61,735 | |||||||||
Ginnie Mae (10-108-PF) (PAC) |
| |||||||||||
1.64% (1 mo. USD LIBOR + 0.400%) (1) | 02/20/38 | 8,670 | 8,676 | |||||||||
Ginnie Mae (12-13-KF) | ||||||||||||
1.54% (1 mo. USD LIBOR + 0.300%) (1) | 07/20/38 | 54,074 | 54,234 | |||||||||
Ginnie Mae II, Pool #80022 | ||||||||||||
2.25% (1 year Treasury Constant Maturity Rate + 1.500%) (1) | 12/20/26 | 18,400 | 18,955 | |||||||||
Ginnie Mae II, Pool #80636 | ||||||||||||
2.13% (1 year Treasury Constant Maturity Rate + 1.500%) (1) | 09/20/32 | 13,734 | 14,200 | |||||||||
Ginnie Mae II, Pool #80757 | ||||||||||||
2.13% (1 year Treasury Constant Maturity Rate + 1.500%) (1) | 10/20/33 | 9,565 | 9,537 | |||||||||
Ginnie Mae II, Pool #80797 | ||||||||||||
2.38% (1 year Treasury Constant Maturity Rate + 1.500%) (1) | 01/20/34 | 71,826 | 74,767 | |||||||||
Ginnie Mae II, Pool #80937 | ||||||||||||
2.63% (1 year Treasury Constant Maturity Rate + 1.500%) (1) | 06/20/34 | 30,017 | 31,118 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $1,744,136) | 1,750,838 | |||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 1.8% | ||||||||||||
Bear Stearns Asset-Backed Securities Trust (05-SD1-1A3) |
| |||||||||||
2.04% (1 mo. USD LIBOR + 0.800%) (1) | 08/25/43 | 269 | 270 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (02-AR31-6A1) |
| |||||||||||
3.22% (2) | 11/25/32 | 101,488 | 103,204 |
See accompanying notes to financial statements.
56
TCW Short Term Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — (Continued) | ||||||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (04-FF5-A3C) |
| |||||||||||
2.24% (1 mo. USD LIBOR + 1.000%) (1) | 08/25/34 | $ | 24,687 | $ | 24,097 | |||||||
Homestar Mortgage Acceptance Corp. (04-5-A1) |
| |||||||||||
2.14% (1 mo. USD LIBOR + 0.900%) (1) | 10/25/34 | 4,843 | 4,894 | |||||||||
Morgan Stanley Mortgage Loan Trust (04-6AR-1A) |
| |||||||||||
2.14% (1 mo. USD LIBOR + 0.900%) (1) | 07/25/34 | 13,213 | 13,070 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $90,528) |
| 145,535 | ||||||||||
|
| |||||||||||
CORPORATE BONDS — 30.9% | ||||||||||||
Aerospace/Defense — 0.8% | ||||||||||||
L3 Technologies, Inc. | ||||||||||||
5.20% | 10/15/19 | 15,000 | 15,879 | |||||||||
United Technologies Corp. |
| |||||||||||
1.78% | 05/04/18 | 50,000 | 49,999 | |||||||||
|
| |||||||||||
65,878 | ||||||||||||
|
| |||||||||||
Agriculture — 0.6% | ||||||||||||
Altria Group, Inc. | ||||||||||||
9.70% | 11/10/18 | 20,000 | 21,574 | |||||||||
BAT International Finance PLC (United Kingdom) |
| |||||||||||
1.85% (3) | 06/15/18 | 30,000 | 30,008 | |||||||||
|
| |||||||||||
51,582 | ||||||||||||
|
| |||||||||||
Airlines —0.8% | ||||||||||||
Continental Airlines, Inc. Pass-Through Certificates (99-1-A) (EETC) |
| |||||||||||
6.55% | 08/02/20 | 61,902 | 64,223 | |||||||||
|
| |||||||||||
Auto Manufacturers — 0.7% | ||||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.15% | 01/09/18 | 35,000 | 35,038 | |||||||||
General Motors Co. | ||||||||||||
3.50% | 10/02/18 | 20,000 | 20,293 | |||||||||
|
| |||||||||||
55,331 | ||||||||||||
|
| |||||||||||
Banks — 11.5% | ||||||||||||
Bank of America Corp. | ||||||||||||
5.65% | 05/01/18 | 80,000 | 81,550 | |||||||||
5.75% | 12/01/17 | 75,000 | 75,257 | |||||||||
Capital One N.A. | ||||||||||||
2.35% | 08/17/18 | 25,000 | 25,079 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Banks — (Continued) | ||||||||||||
Citigroup, Inc. | ||||||||||||
1.80% | 02/05/18 | $ | 25,000 | $ | 25,006 | |||||||
2.05% | 12/07/18 | 25,000 | 25,026 | |||||||||
6.13% | 11/21/17 | 25,000 | 25,063 | |||||||||
6.13% | 05/15/18 | 45,000 | 46,044 | |||||||||
Discover Bank | ||||||||||||
2.00% | 02/21/18 | 35,000 | 35,040 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.42% (3 mo. USD LIBOR + 1.100%) (1) | 11/15/18 | 25,000 | 25,225 | |||||||||
5.95% | 01/18/18 | 40,000 | 40,368 | |||||||||
6.15% | 04/01/18 | 20,000 | 20,361 | |||||||||
7.50% | 02/15/19 | 50,000 | 53,455 | |||||||||
HBOS PLC (United Kingdom) |
| |||||||||||
6.75% (3) | 05/21/18 | 35,000 | 35,875 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
1.70% | 03/01/18 | 35,000 | 35,017 | |||||||||
Morgan Stanley | ||||||||||||
2.11% (3 mo. USD LIBOR + 0.800%) (1) | 02/14/20 | 30,000 | 30,142 | |||||||||
6.63% | 04/01/18 | 20,000 | 20,399 | |||||||||
7.30% | 05/13/19 | 60,000 | 64,681 | |||||||||
PNC Bank NA | ||||||||||||
1.80% | 11/05/18 | 50,000 | 50,035 | |||||||||
Santander UK PLC (United Kingdom) |
| |||||||||||
2.50% | 03/14/19 | 30,000 | 30,227 | |||||||||
Wachovia Corp. | ||||||||||||
5.75% | 02/01/18 | 135,000 | 136,395 | |||||||||
Wells Fargo & Co. | ||||||||||||
1.50% | 01/16/18 | 35,000 | 35,003 | |||||||||
|
| |||||||||||
915,248 | ||||||||||||
|
| |||||||||||
Beverages — 0.7% | ||||||||||||
Beam Suntory, Inc. | ||||||||||||
1.75% | 06/15/18 | 30,000 | 30,022 | |||||||||
Constellation Brands, Inc. | ||||||||||||
2.00% | 11/07/19 | 25,000 | 24,965 | |||||||||
|
| |||||||||||
54,987 | ||||||||||||
|
| |||||||||||
Chemicals — 0.3% | ||||||||||||
Dow Chemical Co. (The) | ||||||||||||
8.55% | 05/15/19 | 20,000 | 21,968 | |||||||||
|
| |||||||||||
Computers — 0.4% | ||||||||||||
Apple, Inc. | ||||||||||||
1.70% | 02/22/19 | 30,000 | 30,032 | |||||||||
|
| |||||||||||
Diversified Financial Services — 2.0% | ||||||||||||
Air Lease Corp. | ||||||||||||
2.63% | 09/04/18 | 25,000 | 25,162 |
See accompanying notes to financial statements.
57
TCW Short Term Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Diversified Financial Services (Continued) | ||||||||||||
American Express Co. | ||||||||||||
7.00% | 03/19/18 | $ | 30,000 | $ | 30,624 | |||||||
Bear Stearns Cos. LLC (The) | ||||||||||||
7.25% | 02/01/18 | 105,000 | 106,436 | |||||||||
|
| |||||||||||
162,222 | ||||||||||||
|
| |||||||||||
Electric — 1.8% | ||||||||||||
Entergy Gulf States Louisiana LLC | ||||||||||||
6.00% | 05/01/18 | 20,000 | 20,421 | |||||||||
Jersey Central Power & Light Co. | ||||||||||||
7.35% | 02/01/19 | 40,000 | 42,479 | |||||||||
Oncor Electric Delivery Co. LLC | ||||||||||||
6.80% | 09/01/18 | 50,000 | 51,999 | |||||||||
Vectren Utility Holdings, Inc. | ||||||||||||
5.75% | 08/01/18 | 25,000 | 25,704 | |||||||||
|
| |||||||||||
140,603 | ||||||||||||
|
| |||||||||||
Environmental Control — 0.8% | ||||||||||||
Republic Services, Inc. | ||||||||||||
3.80% | 05/15/18 | 40,000 | 40,461 | |||||||||
Waste Management, Inc. | ||||||||||||
6.10% | 03/15/18 | 25,000 | 25,404 | |||||||||
|
| |||||||||||
65,865 | ||||||||||||
|
| |||||||||||
Food — 1.0% | ||||||||||||
Conagra Brands, Inc. | ||||||||||||
1.86% (USD LIBOR + 0.500%) (1) | 10/09/20 | 25,000 | 25,061 | |||||||||
Kraft Heinz Foods Co. | ||||||||||||
6.13% | 08/23/18 | 35,000 | 36,202 | |||||||||
Tyson Foods, Inc. | ||||||||||||
1.76% (USD LIBOR + 0.450%) (1) | 08/21/20 | 15,000 | 15,039 | |||||||||
|
| |||||||||||
76,302 | ||||||||||||
|
| |||||||||||
Gas — 0.3% | ||||||||||||
ONE Gas, Inc. | ||||||||||||
2.07% | 02/01/19 | 25,000 | 25,082 | |||||||||
|
| |||||||||||
Healthcare-Services — 1.7% | ||||||||||||
Aetna, Inc. | ||||||||||||
1.50% | 11/15/17 | 50,000 | 49,998 | |||||||||
Anthem, Inc. | ||||||||||||
1.88% | 01/15/18 | 60,000 | 60,052 | |||||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||||||
5.63% (3) | 07/31/19 | 25,000 | 26,429 | |||||||||
|
| |||||||||||
136,479 | ||||||||||||
|
| |||||||||||
Packaging & Containers — 0.4% | ||||||||||||
WestRock RKT Co. | ||||||||||||
4.45% | 03/01/19 | 30,000 | 30,884 | |||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Pharmaceuticals — 0.7% | ||||||||||||
Actavis Funding SCS (Luxembourg) | ||||||||||||
2.35% | 03/12/18 | $ | 30,000 | $ | 30,072 | |||||||
Teva Pharmaceutical Finance III BV (Netherlands) | ||||||||||||
1.40% | 07/20/18 | 25,000 | 24,863 | |||||||||
|
| |||||||||||
54,935 | ||||||||||||
|
| |||||||||||
REIT — 5.3% | ||||||||||||
American Tower Corp. | ||||||||||||
3.40% | 02/15/19 | 25,000 | 25,431 | |||||||||
Boston Properties LP | ||||||||||||
3.70% | 11/15/18 | 50,000 | 50,779 | |||||||||
DDR Corp. | ||||||||||||
7.50% | 07/15/18 | 20,000 | 20,727 | |||||||||
HCP, Inc. | ||||||||||||
3.75% | 02/01/19 | 45,000 | 45,795 | |||||||||
Highwoods Realty LP | ||||||||||||
7.50% | 04/15/18 | 35,000 | 35,849 | |||||||||
Realty Income Corp. | ||||||||||||
2.00% | 01/31/18 | 30,000 | 30,000 | |||||||||
SL Green Realty Corp. | ||||||||||||
5.00% | 08/15/18 | 50,000 | 50,834 | |||||||||
UDR, Inc. | ||||||||||||
4.25% | 06/01/18 | 45,000 | 45,640 | |||||||||
Ventas Realty LP / Ventas Capital Corp. |
| |||||||||||
2.00% | 02/15/18 | 80,000 | 80,067 | |||||||||
Welltower, Inc. | ||||||||||||
2.25% | 03/15/18 | 35,000 | 35,078 | |||||||||
|
| |||||||||||
420,200 | ||||||||||||
|
| |||||||||||
Semiconductors — 0.3% | ||||||||||||
QUALCOMM, Inc. |
| |||||||||||
1.85% | 05/20/19 | 25,000 | 25,033 | |||||||||
|
| |||||||||||
Telecommunications — 0.8% | ||||||||||||
AT&T, Inc. | ||||||||||||
5.50% | 02/01/18 | 40,000 | 40,382 | |||||||||
Rogers Communications, Inc. (Canada) |
| |||||||||||
6.80% | 08/15/18 | 20,000 | 20,808 | |||||||||
|
| |||||||||||
61,190 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds |
| |||||||||||
(Cost: $2,494,398) |
| 2,458,044 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 10.4% | ||||||||||||
U.S. Treasury Note |
| |||||||||||
1.38% | 09/30/19 | 440,000 | 438,254 | |||||||||
1.50% | 10/31/19 | 385,000 | 384,293 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $823,619) |
| 822,547 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $5,785,921) |
| 5,803,034 | ||||||||||
|
|
See accompanying notes to financial statements.
58
TCW Short Term Bond Fund
October 31, 2017 |
Issues | Maturity Date | Shares | Value | |||||||||
MONEY MARKET INVESTMENTS — 1.2% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (4) | 97,706 | $ | 97,706 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $97,706) |
| 97,706 | ||||||||||
|
| |||||||||||
Principal Amount | ||||||||||||
SHORT TERM INVESTMENTS — 26.9% | ||||||||||||
U.S. TREASURY SECURITIES — 26.9% |
| |||||||||||
U.S. Treasury Bill | ||||||||||||
1.04% (5) | 01/04/18 | $ | 185,000 | 184,659 | ||||||||
1.04% (5) | 01/11/18 | 425,000 | 424,131 | |||||||||
1.08% (5) | 01/18/18 | 280,000 | 279,345 | |||||||||
1.09% (5) | 01/25/18 | 650,000 | 648,335 | |||||||||
1.12% (5) | 02/08/18 | 100,000 | 99,693 | |||||||||
1.14% (5) | 02/01/18 | 500,000 | 498,556 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $2,134,771) |
| 2,134,719 | ||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost: $2,134,771) |
| 2,134,719 | ||||||||||
|
| |||||||||||
Total Investments (101.1%) |
| |||||||||||
(Cost: $8,018,398) |
| 8,035,459 | ||||||||||
|
| |||||||||||
Liabilities In Excess Of Other Assets(-1.1%) |
| (84,082 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 7,951,377 | |||||||||
|
|
Notes to Schedule of Investments:
EETC - | Enhanced Equipment Trust Certificate. |
I/F - | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
PAC - | Planned Amortization Class. |
REIT - | Real Estate Investment Trust. |
TAC - | Target Amortization Class. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2017. |
(2) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2017, the value of these securities amounted to $120,984 or 1.5% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(4) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
(5) | Rate shown represents yield-to-maturity. |
See accompanying notes to financial statements.
59
TCW Short Term Bond Fund
Investments by Industry
Industry | Percentage of Net Assets | |||
Aerospace/Defense | 0.8 | % | ||
Agriculture | 0.6 | |||
Airlines | 0.8 | |||
Auto Manufacturers | 0.7 | |||
Banks | 11.5 | |||
Beverages | 0.7 | |||
Chemicals | 0.3 | |||
Commercial Mortgage-Backed Securities — Agency | 7.4 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.5 | |||
Computers | 0.4 | |||
Diversified Financial Services | 2.0 | |||
Electric | 1.8 | |||
Environmental Control | 0.8 | |||
Food | 1.0 | |||
Gas | 0.3 | |||
Healthcare-Services | 1.7 | |||
Packaging & Containers | 0.4 | |||
Pharmaceuticals | 0.7 | |||
REIT | 5.3 | |||
Residential Mortgage-Backed Securities — Agency | 22.0 | |||
Residential Mortgage-Backed Securities — Non-Agency | 1.8 | |||
Semiconductors | 0.3 | |||
Short Term Investments | 26.9 | |||
Telecommunications | 0.8 | |||
U.S. Treasury Securities | 10.4 | |||
Money Market Investments | 1.2 | |||
|
| |||
Total | 101.1 | % | ||
|
|
* | These classifications are unaudited. |
See accompanying notes to financial statements.
60
TCW Short Term Bond Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices (Level 1) | Other (Level 2) | Significant (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Commercial Mortgage-Backed Securities — Agency | $ | — | $ | 586,522 | $ | — | $ | 586,522 | ||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 39,548 | — | 39,548 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 1,750,838 | — | 1,750,838 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 145,535 | — | 145,535 | ||||||||||||
Corporate Bonds* | — | 2,458,044 | — | 2,458,044 | ||||||||||||
U.S. Treasury Securities | — | 822,547 | — | 822,547 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 5,803,034 | — | 5,803,034 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 97,706 | — | — | 97,706 | ||||||||||||
Short-Term Investments | 2,134,719 | — | — | 2,134,719 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,232,425 | $ | 5,803,034 | $ | — | $ | 8,035,459 | ||||||||
|
|
|
|
|
|
|
|
* | See Schedule of Investments for corresponding industries. |
See accompanying notes to financial statements.
61
Schedule of Investments
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 101.0% of Net Assets |
| |||||||||||
ASSET-BACKED SECURITIES — 1.7% | ||||||||||||
321 Henderson Receivables I LLC (13-3A-A) |
| |||||||||||
4.08% (1) | 01/17/73 | $ | 8,199,118 | $ | 8,602,965 | |||||||
ACE Securities Corp. Home Equity Loan Trust (05-HE7-A2D) |
| |||||||||||
1.90% (1 mo. USD LIBOR + 0.660%) (2) | 11/25/35 | 1,877,003 | 1,886,606 | |||||||||
Ameriquest Mortgage Securities Trust (06-R2-A1) |
| |||||||||||
1.41% (1 mo. USD LIBOR + 0.175%) (2) | 04/25/36 | 7,642,783 | 7,652,072 | |||||||||
Brazos Higher Education Authority, Inc. (11-1-A3) |
| |||||||||||
2.37% (3 mo. USD LIBOR + 1.050%) (2) | 11/25/33 | 18,835,000 | 18,929,002 | |||||||||
EFS Volunteer No 2 LLC (12-1-A2) |
| |||||||||||
2.59% (1 mo. USD LIBOR | 03/25/36 | 7,225,000 | 7,336,057 | |||||||||
EFS Volunteer No 3 LLC (12-1-A3) |
| |||||||||||
2.24% (1 mo. USD LIBOR | 04/25/33 | 17,750,000 | 17,770,898 | |||||||||
Global SC Finance SRL (14-1A-A2) |
| |||||||||||
3.09% (1) | 07/17/29 | 11,046,375 | 10,813,626 | |||||||||
Higher Education Funding I (14-1-A) |
| |||||||||||
2.37% (3 mo. USD LIBOR | 05/25/34 | 18,182 | 18,130 | |||||||||
Navient Student Loan Trust (14-2-A) |
| |||||||||||
1.88% (1 mo. USD LIBOR + 0.640%) (2) | 03/25/83 | 29,181,994 | 28,999,481 | |||||||||
Navient Student Loan Trust (14-3-A) |
| |||||||||||
1.86% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 29,495,363 | 29,130,740 | |||||||||
Navient Student Loan Trust (14-4-A) |
| |||||||||||
1.86% (1 mo. USD LIBOR + 0.620%) (2) | 03/25/83 | 16,754,053 | 16,545,622 | |||||||||
SLM Student Loan Trust (08-8-B) |
| |||||||||||
3.62% (3 mo. USD LIBOR + 2.250%) (2) | 10/25/75 | 5,706,000 | 5,830,200 | |||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost: $151,827,556) |
| 153,515,399 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY —1.9% | ||||||||||||
Fannie Mae, Pool #AL3366 |
| |||||||||||
2.44% | 02/01/23 | 41,950,126 | 41,941,091 | |||||||||
Fannie Mae, Pool #AL2660 |
| |||||||||||
2.63% | 10/01/22 | 15,323,108 | 15,433,495 | |||||||||
Fannie Mae (12-M12-1A) (ACES) |
| |||||||||||
2.84% (3) | 08/25/22 | 45,362,824 | 46,388,949 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (12-M15-A) (ACES) |
| |||||||||||
2.66% (3) | 10/25/22 | $ | 26,419,018 | $ | 26,957,014 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates (K151-A3) |
| |||||||||||
3.51% | 04/25/30 | 42,420,000 | 44,170,220 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $176,917,363) |
| 174,890,769 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 0.4% | ||||||||||||
DBRR Trust (11-LC2-A4A) |
| |||||||||||
4.54% (1)(3) | 07/12/44 | 10,301,320 | 10,945,307 | |||||||||
GRACE Mortgage Trust (14-GRCE-A) |
| |||||||||||
3.37% (1) | 06/10/28 | 15,750,000 | 16,266,702 | |||||||||
GS Mortgage Securities Corp. (12-ALOH-A) |
| |||||||||||
3.55% (1) | 04/10/34 | 6,105,000 | 6,350,797 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $34,260,833) | 33,562,806 | |||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY — 55.9% | ||||||||||||
Fannie Mae (01-40-Z) |
| |||||||||||
6.00% | 08/25/31 | 256,611 | 286,338 | |||||||||
Fannie Mae (03-117-TG) (PAC) |
| |||||||||||
4.75% | 08/25/33 | 569,154 | 599,177 | |||||||||
Fannie Mae (04-52-SW) (I/O) (I/F) |
| |||||||||||
5.86% (-1.00 X 1 mo. USD LIBOR + 7.100%) | 07/25/34 | 777,288 | 140,166 | |||||||||
Fannie Mae (04-65-LT) |
| |||||||||||
4.50% | 08/25/24 | 1,613,939 | 1,689,459 | |||||||||
Fannie Mae (04-68-LC) |
| |||||||||||
5.00% | 09/25/29 | 1,943,245 | 2,094,294 | |||||||||
Fannie Mae (05-117-LC) (PAC) |
| |||||||||||
5.50% | 11/25/35 | 5,988,066 | 6,344,363 | |||||||||
Fannie Mae (05-74-CP) (I/F) (PAC) |
| |||||||||||
20.21% (-3.67 X 1 mo. USD LIBOR + 24.750%) | 05/25/35 | 353,973 | 493,081 | |||||||||
Fannie Mae (07-20-SI) (I/O) (I/F) |
| |||||||||||
5.21% (-1.00 X 1 mo. USD LIBOR + 6.450%) | 03/25/37 | 1,962,317 | 269,917 | |||||||||
Fannie Mae (07-21-SE) (I/O) (I/F) |
| |||||||||||
5.20% (-1.00 X 1 mo. USD LIBOR + 6.440%) (2) | 03/25/37 | 1,757,543 | 237,095 |
See accompanying notes to financial statements.
62
TCW Total Return Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (07-56-SG) (I/O) (I/F) |
| |||||||||||
5.17% (-1.00 X 1 mo. USD LIBOR + 6.410%) (2) | 06/25/37 | $ | 2,259,291 | $ | 208,422 | |||||||
Fannie Mae (07-58-SV) (I/O) (I/F) |
| |||||||||||
5.51% (-1.00 X 1 mo. USD LIBOR + 6.750%) (2) | 06/25/37 | 7,183,400 | 1,034,058 | |||||||||
Fannie Mae (07-65-S) (I/O) (I/F) |
| |||||||||||
5.36% (-1.00 X 1 mo. USD LIBOR + 6.600%) (2) | 07/25/37 | 1,613,188 | 275,182 | |||||||||
Fannie Mae (07-88-FY) |
| |||||||||||
1.70% (1 mo. USD LIBOR + 0.460%) (2) | 09/25/37 | 924,187 | 930,779 | |||||||||
Fannie Mae (07-103-AI) (I/O) (I/F) |
| |||||||||||
5.26% (-1.00 X 1 mo. USD LIBOR + 6.500%) (2) | 03/25/37 | 6,247,156 | 653,380 | |||||||||
Fannie Mae (07-B2-ZA) |
| |||||||||||
5.50% | 06/25/37 | 17,717,102 | 19,667,485 | |||||||||
Fannie Mae (08-1-AI) (I/O) (I/F) |
| |||||||||||
5.01% (-1.00 X 1 mo. USD LIBOR + 6.250%) (2) | 05/25/37 | 6,455,888 | 1,059,873 | |||||||||
Fannie Mae (08-13-SB) (I/O) (I/F) |
| |||||||||||
5.00% (-1.00 X 1 mo. USD LIBOR + 6.240%) (2) | 03/25/38 | 5,562,795 | 938,412 | |||||||||
Fannie Mae (08-23-SB) (I/O) (I/F) |
| |||||||||||
5.61% (-1.00 X 1 mo. USD LIBOR + 6.850%) (2) | 04/25/38 | 10,712,747 | 1,684,656 | |||||||||
Fannie Mae (08-35-SD) (I/O) (I/F) |
| |||||||||||
5.21% (-1.00 X 1 mo. USD LIBOR + 6.450%) (2) | 05/25/38 | 815,901 | 96,288 | |||||||||
Fannie Mae (08-66-SG) (I/O) (I/F) |
| |||||||||||
4.83% (-1.00 X 1 mo. USD LIBOR + 6.070%) (2) | 08/25/38 | 16,955,187 | 2,888,353 | |||||||||
Fannie Mae (08-68-SA) (I/O) (I/F) |
| |||||||||||
4.73% (-1.00 X 1 mo. USD LIBOR + 5.970%) (2) | 08/25/38 | 5,291,755 | 618,573 | |||||||||
Fannie Mae (09-3-SH) (I/O) (I/F) |
| |||||||||||
4.21% (-1.00 X 1 mo. USD LIBOR + 5.450%) (2) | 06/25/37 | 2,613,495 | 276,373 | |||||||||
Fannie Mae (09-47-SV) (I/O) (I/F) |
| |||||||||||
5.51% (-1.00 X 1 mo. USD LIBOR + 6.750%) (2) | 07/25/39 | 1,431,963 | 197,541 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae (09-51-SA) (I/O) (I/F) |
| |||||||||||
5.51% (-1.00 X 1 mo. USD LIBOR + 6.750%) (2) | 07/25/39 | $ | 6,079,336 | $ | 1,019,241 | |||||||
Fannie Mae (09-6-SD) (I/O) (I/F) |
| |||||||||||
4.31% (-1.00 X 1 mo. USD LIBOR + 5.550%) (2) | 02/25/39 | 2,813,737 | 505,967 | |||||||||
Fannie Mae (09-68-KB) |
| |||||||||||
4.00% | 09/25/24 | 6,710,414 | 6,913,477 | |||||||||
Fannie Mae (09-71-LB) |
| |||||||||||
4.00% | 09/25/29 | 16,718,953 | 17,644,160 | |||||||||
Fannie Mae (09-72-AC) |
| |||||||||||
4.00% | 09/25/29 | 21,656,140 | 22,815,004 | |||||||||
Fannie Mae (09-72-JS) (I/O) (I/F) |
| |||||||||||
6.01% (-1.00 X 1 mo. USD LIBOR + 7.250%) (2) | 09/25/39 | 1,483,439 | 288,470 | |||||||||
Fannie Mae (10-136-CX) (PAC) |
| |||||||||||
4.00% | 08/25/39 | 20,937,000 | 22,033,858 | |||||||||
Fannie Mae (11-111-DB) |
| |||||||||||
4.00% | 11/25/41 | 50,000,000 | 52,883,760 | |||||||||
Fannie Mae (11-123-ZP) (PAC) |
| |||||||||||
4.50% | 12/25/41 | 4,401,085 | 4,951,592 | |||||||||
Fannie Mae (12-128-UY) (PAC) |
| |||||||||||
2.50% | 11/25/42 | 11,738,000 | 10,888,794 | |||||||||
Fannie Mae (12-133-GC) (PAC) |
| |||||||||||
2.50% | 08/25/41 | 33,873,017 | 33,794,950 | |||||||||
Fannie Mae (12-153-PC) (PAC) |
| |||||||||||
2.00% | 05/25/42 | 11,181,014 | 10,855,008 | |||||||||
Fannie Mae (13-101-BO) (P/O) |
| |||||||||||
0.00% (4) | 10/25/43 | 8,992,139 | 7,149,555 | |||||||||
Fannie Mae (13-101-CO) (P/O) |
| |||||||||||
0.00% (4) | 10/25/43 | 20,917,536 | 17,008,488 | |||||||||
Fannie Mae (13-21-EC) (I/O) |
| |||||||||||
2.00% | 12/25/38 | 17,377,602 | 17,170,293 | |||||||||
Fannie Mae (13-95-PN) (PAC) |
| |||||||||||
3.00% | 01/25/43 | 21,400,000 | 21,376,989 | |||||||||
Fannie Mae (93-202-SZ) (I/F) (PAC) |
| |||||||||||
10.00% (-3.81 X US (Fed) Prime Rate + 44.286%) (2) | 11/25/23 | 71,186 | 80,188 | |||||||||
Fannie Mae (95-21-C) (P/O) |
| |||||||||||
0.00% (4) | 05/25/24 | 398,726 | 378,887 | |||||||||
Fannie Mae (G92-29-J) |
| |||||||||||
8.00% | 07/25/22 | 27,965 | 30,387 | |||||||||
Fannie Mae, Pool #254634 |
| |||||||||||
5.50% | 02/01/23 | 127,928 | 140,825 | |||||||||
Fannie Mae, Pool #257536 |
| |||||||||||
5.00% | 01/01/29 | 1,800,087 | 1,953,354 |
See accompanying notes to financial statements.
63
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #310033 |
| |||||||||||
6.00% | 07/01/47 | $ | 737,606 | $ | 818,873 | |||||||
Fannie Mae, Pool #555424 |
| |||||||||||
5.50% | 05/01/33 | 4,342,463 | 4,829,476 | |||||||||
Fannie Mae, Pool #555811 |
| |||||||||||
4.00% | 10/01/18 | 93,920 | 97,109 | |||||||||
Fannie Mae, Pool #661856 |
| |||||||||||
3.37% (12 mo. USD LIBOR + 1.623%) (2) | 10/01/32 | 39,166 | 39,050 | |||||||||
Fannie Mae, Pool #671133 |
| |||||||||||
2.79% (6 mo. USD LIBOR + 1.413%) (2) | 02/01/33 | 82,159 | 84,837 | |||||||||
Fannie Mae, Pool #672272 |
| |||||||||||
3.14% (12 mo. USD LIBOR + 1.517%) (2) | 12/01/32 | 50,370 | 52,798 | |||||||||
Fannie Mae, Pool #687847 |
| |||||||||||
3.22% (12 mo. USD LIBOR + 1.590%) (2) | 02/01/33 | 109,335 | 114,958 | |||||||||
Fannie Mae, Pool #692104 |
| |||||||||||
2.91% (6 mo. USD LIBOR + 1.413%) (2) | 02/01/33 | 565,164 | 584,160 | |||||||||
Fannie Mae, Pool #699866 |
| |||||||||||
3.32% (12 mo. USD LIBOR + 1.588%) (2) | 04/01/33 | 339,950 | 354,540 | |||||||||
Fannie Mae, Pool #704454 |
| |||||||||||
3.44% (12 mo. USD LIBOR + 1.687%) (2) | 05/01/33 | 121,275 | 126,609 | |||||||||
Fannie Mae, Pool #708820 |
| |||||||||||
3.52% (12 mo. USD LIBOR + 1.765%) (2) | 06/01/33 | 214,976 | 214,923 | |||||||||
Fannie Mae, Pool #725275 |
| |||||||||||
4.00% | 03/01/19 | 50,428 | 52,141 | |||||||||
Fannie Mae, Pool #728824 |
| |||||||||||
3.34% (12 mo. USD LIBOR + 1.586%) (2) | 07/01/33 | 137,227 | 145,312 | |||||||||
Fannie Mae, Pool #734384 |
| |||||||||||
5.50% | 07/01/33 | 506,816 | 552,737 | |||||||||
Fannie Mae, Pool #785677 |
| |||||||||||
5.00% | 07/01/19 | 7,659 | 7,802 | |||||||||
Fannie Mae, Pool #888593 |
| |||||||||||
7.00% | 06/01/37 | 493,645 | 573,286 | |||||||||
Fannie Mae, Pool #934103 |
| |||||||||||
5.00% | 07/01/38 | 444,625 | 469,158 | |||||||||
Fannie Mae, Pool #979563 |
| |||||||||||
5.00% | 04/01/28 | 1,222,355 | 1,326,431 | |||||||||
Fannie Mae, Pool #995040 |
| |||||||||||
5.00% | 06/01/23 | 583,117 | 610,970 | |||||||||
Fannie Mae, Pool #995425 |
| |||||||||||
6.00% | 01/01/24 | 2,963,705 | 3,173,290 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #995573 |
| |||||||||||
6.00% | 01/01/49 | $ | 1,872,156 | $ | 2,039,616 | |||||||
Fannie Mae, Pool #995953 |
| |||||||||||
6.00% | 11/01/28 | 5,516,078 | 6,187,464 | |||||||||
Fannie Mae, Pool #995954 |
| |||||||||||
6.00% | 03/01/29 | 3,016,228 | 3,383,443 | |||||||||
Fannie Mae, Pool #AA3303 |
| |||||||||||
5.50% | 06/01/38 | 3,356,917 | 3,713,099 | |||||||||
Fannie Mae, Pool #AB6210 |
| |||||||||||
3.00% | 09/01/42 | 37,112,998 | 37,346,345 | |||||||||
Fannie Mae, Pool #AE0588 |
| |||||||||||
6.00% | 08/01/37 | 9,019,486 | 10,224,008 | |||||||||
Fannie Mae, Pool #AL0851 |
| |||||||||||
6.00% | 10/01/40 | 6,550,585 | 7,396,493 | |||||||||
Fannie Mae, Pool #AL1594 |
| |||||||||||
6.00% | 07/01/40 | 4,840,700 | 5,441,553 | |||||||||
Fannie Mae, Pool #AL9106 |
| |||||||||||
4.50% | 02/01/46 | 39,867,268 | 42,671,862 | |||||||||
Fannie Mae, Pool #AL9722 |
| |||||||||||
4.50% | 08/01/46 | 68,876,918 | 73,753,377 | |||||||||
Fannie Mae, Pool #AS9619 |
| |||||||||||
4.50% (5) | 05/01/47 | 21,669,878 | 23,212,406 | |||||||||
Fannie Mae, Pool #AS9749 |
| |||||||||||
4.00% | 06/01/47 | 22,538,125 | 23,702,417 | |||||||||
Fannie Mae, Pool #AS9830 |
| |||||||||||
4.00% | 06/01/47 | 27,461,427 | 28,883,599 | |||||||||
Fannie Mae, Pool #AS9972 |
| |||||||||||
4.00% | 07/01/47 | 23,760,871 | 24,991,385 | |||||||||
Fannie Mae, Pool #BC1158 |
| |||||||||||
3.50% | 02/01/46 | 58,880,589 | 60,557,421 | |||||||||
Fannie Mae, Pool #BD5041 |
| |||||||||||
4.50% | 02/01/47 | 33,917,629 | 36,277,288 | |||||||||
Fannie Mae, Pool #MA1561 |
| |||||||||||
3.00% | 09/01/33 | 51,238,808 | 52,447,454 | |||||||||
Fannie Mae, Pool #MA1584 |
| |||||||||||
3.50% | 09/01/33 | 35,812,094 | 37,312,306 | |||||||||
Fannie Mae, Pool #MA2871 |
| |||||||||||
3.00% | 01/01/32 | 17,012,656 | 17,447,497 | |||||||||
Fannie Mae, Pool #MA2883 |
| |||||||||||
3.00% | 01/01/27 | 18,767,660 | 19,268,315 | |||||||||
Fannie Mae, Pool #MA2960 |
| |||||||||||
4.00% | 04/01/47 | 76,579,145 | 80,424,929 | |||||||||
Fannie Mae, Pool #MA2995 |
| |||||||||||
4.00% | 05/01/47 | 33,963,547 | 35,669,187 | |||||||||
Fannie Mae, Pool #MA3027 |
| |||||||||||
4.00% | 06/01/47 | 72,593,821 | 76,239,462 | |||||||||
Fannie Mae, Pool #MA3038 |
| |||||||||||
4.50% | 06/01/47 | 99,628,077 | 106,534,783 |
See accompanying notes to financial statements.
64
TCW Total Return Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Fannie Mae, Pool #MA3058 |
| |||||||||||
4.00% | 07/01/47 | $ | 124,983,546 | $ | 131,260,185 | |||||||
Fannie Mae TBA, 15 Year |
| |||||||||||
2.50% (6) | 11/16/32 | 67,545,000 | 67,856,337 | |||||||||
Fannie Mae TBA, 30 Year |
| |||||||||||
3.00% (6) | 11/13/47 | 98,915,000 | 98,984,549 | |||||||||
3.50% (6) | 11/13/47 | 168,475,000 | 173,173,872 | |||||||||
4.00% (6) | 11/13/47 | 12,935,000 | 13,577,708 | |||||||||
4.50% (6) | 11/13/47 | 93,895,000 | 100,401,628 | |||||||||
Freddie Mac (1829-ZB) |
| |||||||||||
6.50% | 03/15/26 | 133,196 | 144,421 | |||||||||
Freddie Mac (2367-ZK) |
| |||||||||||
6.00% | 10/15/31 | 200,181 | 220,144 | |||||||||
Freddie Mac (2514-PZ) (PAC) |
| |||||||||||
5.50% | 10/15/32 | 2,925,602 | 3,202,325 | |||||||||
Freddie Mac (2571-PZ) (PAC) |
| |||||||||||
5.50% | 02/15/33 | 6,863,776 | 7,467,565 | |||||||||
Freddie Mac (2642-AR) |
| |||||||||||
4.50% | 07/15/23 | 649,505 | 676,980 | |||||||||
Freddie Mac (2647-OV) (P/O) |
| |||||||||||
0.00% (4) | 07/15/33 | 618,291 | 572,796 | |||||||||
Freddie Mac (2662-MT) (TAC) |
| |||||||||||
4.50% | 08/15/33 | 2,754,489 | 2,911,015 | |||||||||
Freddie Mac (2666-BD) |
| |||||||||||
4.50% | 08/15/23 | 1,446,242 | 1,508,072 | |||||||||
Freddie Mac (2700-B) |
| |||||||||||
4.50% | 11/15/23 | 2,155,788 | 2,260,302 | |||||||||
Freddie Mac (2752-GZ) (PAC) |
| |||||||||||
5.00% | 02/15/34 | 27,808,949 | 30,463,383 | |||||||||
Freddie Mac (277-30) |
| |||||||||||
3.00% | 09/15/42 | 40,038,257 | 40,353,435 | |||||||||
Freddie Mac (2882-JH) (PAC) |
| |||||||||||
4.50% | 10/15/34 | 463,373 | 479,183 | |||||||||
Freddie Mac (2903-PO) (P/O) |
| |||||||||||
0.00% (4) | 11/15/23 | 425,819 | 400,521 | |||||||||
Freddie Mac (3045-HZ) |
| |||||||||||
4.50% | 10/15/35 | 2,808,499 | 2,959,615 | |||||||||
Freddie Mac (3063-YG) (PAC) |
| |||||||||||
5.50% | 11/15/35 | 32,313,522 | 35,794,476 | |||||||||
Freddie Mac (3114-KZ) |
| |||||||||||
5.00% | 02/15/36 | 23,624,582 | 25,286,803 | |||||||||
Freddie Mac (3146-GE) |
| |||||||||||
5.50% | 04/15/26 | 6,621,942 | 7,190,414 | |||||||||
Freddie Mac (3149-OD) (P/O) (PAC) |
| |||||||||||
0.00% (4) | 05/15/36 | 6,807,572 | 6,040,735 | |||||||||
Freddie Mac (3315-S) (I/O) (I/F) |
| |||||||||||
5.17% (-1.00 X 1 mo. USD LIBOR + 6.410%) (2) | 05/15/37 | 2,959,965 | 331,576 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac (3376-SX) (I/O) (I/F) |
| |||||||||||
4.80% (-1.00 X 1 mo. USD LIBOR + 6.040%) (2) | 10/15/37 | $ | 4,048,049 | $ | 594,655 | |||||||
Freddie Mac (3410-IS) (I/O) (I/F) |
| |||||||||||
5.03% (-1.00 X 1 mo. USD LIBOR + 6.270%) (2) | 02/15/38 | 5,695,874 | 942,066 | |||||||||
Freddie Mac (3424-BI) (I/O) (I/F) |
| |||||||||||
5.56% (-1.00 X 1 mo. USD LIBOR + 6.800%) (2) | 04/15/38 | 5,695,049 | 1,152,524 | |||||||||
Freddie Mac (3512-AY) |
| |||||||||||
4.00% | 02/15/24 | 4,245,275 | 4,296,658 | |||||||||
Freddie Mac (3519-SH) (I/O) (I/F) |
| |||||||||||
4.26% (-1.00 X 1 mo. USD LIBOR + 5.500%) (2) | 07/15/37 | 715,374 | 29,967 | |||||||||
Freddie Mac (3531-SC) (I/O) (I/F) |
| |||||||||||
5.06% (-1.00 X 1 mo. USD LIBOR + 6.300%) (2) | 05/15/39 | 8,686,402 | 723,150 | |||||||||
Freddie Mac (3541-SA) (I/O) (I/F) |
| |||||||||||
5.51% (-1.00 X 1 mo. USD LIBOR + 6.750%) (2) | 06/15/39 | 2,358,263 | 392,172 | |||||||||
Freddie Mac (3550-GS) (I/O) (I/F) |
| |||||||||||
5.51% (-1.00 X 1 mo. USD LIBOR + 6.750%) (2) | 07/15/39 | 8,189,872 | 1,598,694 | |||||||||
Freddie Mac (3551-VZ) |
| |||||||||||
5.50% | 12/15/32 | 3,720,476 | 4,104,577 | |||||||||
Freddie Mac (3557-KB) |
| |||||||||||
4.50% | 07/15/29 | 7,515,219 | 7,983,716 | |||||||||
Freddie Mac (3557-NB) |
| |||||||||||
4.50% | 07/15/29 | 17,170,384 | 18,113,395 | |||||||||
Freddie Mac (3558-KB) |
| |||||||||||
4.00% | 08/15/29 | 8,671,609 | 9,105,298 | |||||||||
Freddie Mac (3565-XB) |
| |||||||||||
4.00% | 08/15/24 | 12,291,963 | 12,812,920 | |||||||||
Freddie Mac (3575-D) |
| |||||||||||
4.50% | 03/15/37 | 1,025,073 | 1,079,206 | |||||||||
Freddie Mac (3626-MD) (PAC) |
| |||||||||||
5.00% | 01/15/38 | 20,115,000 | 21,345,612 | |||||||||
Freddie Mac (3719-PJ) (PAC) |
| |||||||||||
4.50% | 09/15/40 | 20,025,406 | 21,596,095 | |||||||||
Freddie Mac (3788-SB) (I/O) (I/F) |
| |||||||||||
5.24% (-1.00 X 1 mo. USD LIBOR + 6.480%) (2) | 01/15/41 | 11,363,311 | 1,869,172 |
See accompanying notes to financial statements.
65
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac (3885-PO) (P/O) (PAC) |
| |||||||||||
0.00% (4) | 11/15/33 | $ | 2,854,805 | $ | 2,451,337 | |||||||
Freddie Mac (3930-KE) (PAC) |
| |||||||||||
4.00% | 09/15/41 | 10,470,000 | 11,238,689 | |||||||||
Freddie Mac (4030-HS) (I/O) (I/F) |
| |||||||||||
5.37% (-1.00 X 1 mo. USD LIBOR + 6.610%) (2) | 04/15/42 | 4,870,590 | 879,941 | |||||||||
Freddie Mac (4604-PB) (PAC) |
| |||||||||||
3.00% | 01/15/46 | 2,201,517 | 2,147,750 | |||||||||
Freddie Mac (R002-ZA) |
| |||||||||||
5.50% | 06/15/35 | 6,192,080 | 6,884,797 | |||||||||
Freddie Mac, Pool #A91162 |
| |||||||||||
5.00% | 02/01/40 | 26,471,035 | 29,351,913 | |||||||||
Freddie Mac, Pool #A92195 |
| |||||||||||
5.00% | 05/01/40 | 8,072,997 | 8,922,507 | |||||||||
Freddie Mac, Pool #B15322 |
| |||||||||||
5.00% | 07/01/19 | 2,169 | 2,210 | |||||||||
Freddie Mac, Pool #B15490 |
| |||||||||||
5.00% | 07/01/19 | 3,777 | 3,849 | |||||||||
Freddie Mac, Pool #B15557 |
| |||||||||||
5.00% | 07/01/19 | 13,694 | 13,954 | |||||||||
Freddie Mac, Pool #C90552 |
| |||||||||||
6.00% | 06/01/22 | 42,155 | 46,407 | |||||||||
Freddie Mac, Pool #G01959 |
| |||||||||||
5.00% | 12/01/35 | 159,791 | 174,551 | |||||||||
Freddie Mac, Pool #G06173 |
| |||||||||||
4.00% | 11/01/40 | 32,142,763 | 34,269,710 | |||||||||
Freddie Mac, Pool #G07556 |
| |||||||||||
4.00% | 11/01/43 | 9,850,504 | 10,519,306 | |||||||||
Freddie Mac, Pool #G07786 |
| |||||||||||
4.00% | 08/01/44 | 36,137,509 | 38,415,866 | |||||||||
Freddie Mac, Pool #G07848 |
| |||||||||||
3.50% | 04/01/44 | 77,195,755 | 79,995,946 | |||||||||
Freddie Mac, Pool #G08677 |
| |||||||||||
4.00% | 11/01/45 | 42,485,337 | 44,603,188 | |||||||||
Freddie Mac, Pool #G08681 |
| |||||||||||
3.50% | 12/01/45 | 57,454,902 | 59,099,443 | |||||||||
Freddie Mac, Pool #G08687 |
| |||||||||||
3.50% | 01/01/46 | 96,692,422 | 99,459,080 | |||||||||
Freddie Mac, Pool #G08699 |
| |||||||||||
4.00% | 03/01/46 | 34,279,814 | 35,987,755 | |||||||||
Freddie Mac, Pool #G08710 |
| |||||||||||
3.00% | 06/01/46 | 4,383,810 | 4,391,258 | |||||||||
Freddie Mac, Pool #G08715 |
| |||||||||||
3.00% | 08/01/46 | 84,116,561 | 84,259,470 | |||||||||
Freddie Mac, Pool #G08716 |
| |||||||||||
3.50% | 08/01/46 | 54,542,057 | 56,105,880 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Freddie Mac, Pool #G08721 |
| |||||||||||
3.00% | 09/01/46 | $ | 93,881,359 | $ | 94,040,858 | |||||||
Freddie Mac, Pool #G08722 |
| |||||||||||
3.50% | 09/01/46 | 53,548,807 | 55,084,043 | |||||||||
Freddie Mac, Pool #G08732 |
| |||||||||||
3.00% | 11/01/46 | 31,873,347 | 31,927,498 | |||||||||
Freddie Mac, Pool #G08737 |
| |||||||||||
3.00% | 12/01/46 | 155,144,049 | 155,407,630 | |||||||||
Freddie Mac, Pool #G08747 |
| |||||||||||
3.00% | 02/01/47 | 144,342,938 | 144,588,168 | |||||||||
Freddie Mac, Pool #G11678 |
| |||||||||||
4.50% | 04/01/20 | 145,739 | 148,608 | |||||||||
Freddie Mac, Pool #G12635 |
| |||||||||||
5.50% | 03/01/22 | 523,440 | 528,485 | |||||||||
Freddie Mac, Pool #G12702 |
| |||||||||||
4.50% | 09/01/20 | 402,895 | 410,908 | |||||||||
Freddie Mac, Pool #G13390 |
| |||||||||||
6.00% | 01/01/24 | 838,289 | 888,540 | |||||||||
Freddie Mac, Pool #G18592 |
| |||||||||||
3.00% | 03/01/31 | 45,887,935 | 47,056,165 | |||||||||
Freddie Mac, Pool #G18627 |
| |||||||||||
3.00% | 01/01/32 | 26,429,891 | 27,103,541 | |||||||||
Freddie Mac, Pool #G30194 |
| |||||||||||
6.50% | 04/01/21 | 11,776 | 12,799 | |||||||||
Freddie Mac, Pool #G30450 |
| |||||||||||
6.00% | 01/01/29 | 2,025,496 | 2,284,558 | |||||||||
Freddie Mac, Pool #G30452 |
| |||||||||||
6.00% | 10/01/28 | 2,140,910 | 2,414,860 | |||||||||
Freddie Mac, Pool #G30454 |
| |||||||||||
5.00% | 05/01/29 | 2,907,206 | 3,149,384 | |||||||||
Freddie Mac, Pool #G60238 |
| |||||||||||
3.50% | 10/01/45 | 123,195,983 | 127,339,409 | |||||||||
Freddie Mac, Pool #G60440 |
| |||||||||||
3.50% | 03/01/46 | 75,627,018 | 78,170,566 | |||||||||
Freddie Mac, Pool #G67700 |
| |||||||||||
3.50% | 08/01/46 | 66,958,519 | 69,189,597 | |||||||||
Freddie Mac, Pool #G67703 |
| |||||||||||
3.50% | 04/01/47 | 85,130,385 | 87,966,954 | |||||||||
Freddie Mac, Pool #H82001 |
| |||||||||||
5.50% | 07/01/37 | 440,825 | 478,743 | |||||||||
Freddie Mac, Pool #N70081 |
| |||||||||||
5.50% | 07/01/38 | 4,538,493 | 4,996,351 | |||||||||
Freddie Mac, Pool #P51350 |
| |||||||||||
5.00% | 03/01/36 | 4,385,862 | 4,790,067 | |||||||||
Freddie Mac TBA, 30 Year |
| |||||||||||
3.50% (6) | 11/13/47 | 111,215,000 | 114,334,234 | |||||||||
4.00% (6) | 11/13/47 | 53,485,000 | 56,136,270 |
See accompanying notes to financial statements.
66
TCW Total Return Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae (03-42-SH) (I/O) (I/F) |
| |||||||||||
5.31% (-1.00 X 1 mo. USD LIBOR + 6.550%) (2) | 05/20/33 | $ | 957,034 | $ | 167,217 | |||||||
Ginnie Mae (11-70-BO) (P/O) |
| |||||||||||
0.00% (4) | 05/20/41 | 12,341,942 | 10,350,941 | |||||||||
Ginnie Mae (15-42-ZB) |
| |||||||||||
3.00% | 03/20/45 | 17,238,440 | 16,381,117 | |||||||||
Ginnie Mae (15-43-DM) |
| |||||||||||
2.50% | 03/20/45 | 37,325,347 | 34,383,330 | |||||||||
Ginnie Mae (15-44-Z) |
| |||||||||||
3.00% | 03/20/45 | 11,665,405 | 10,889,478 | |||||||||
Ginnie Mae (15-52-EZ) |
| |||||||||||
3.00% | 04/16/45 | 10,295,266 | 9,480,088 | |||||||||
Ginnie Mae II, Pool #80963 |
| |||||||||||
2.13% (1 year Treasury Constant Maturity Rate + 1.500%) (2) | 07/20/34 | 306,128 | 312,012 | |||||||||
Ginnie Mae II, Pool #MA2828 |
| |||||||||||
4.50% | 05/20/45 | 653,821 | 694,124 | |||||||||
Ginnie Mae II, Pool #MA3456 |
| |||||||||||
4.50% | 02/20/46 | 3,604,119 | 3,824,259 | |||||||||
Ginnie Mae II, Pool #MA3521 |
| |||||||||||
3.50% | 03/20/46 | 99,421,576 | 103,223,674 | |||||||||
Ginnie Mae II, Pool #MA3663 |
| |||||||||||
3.50% | 05/20/46 | 48,717,187 | 50,566,889 | |||||||||
Ginnie Mae II, Pool #MA3665 |
| |||||||||||
4.50% | 05/20/46 | 6,020,199 | 6,391,296 | |||||||||
Ginnie Mae II, Pool #MA3736 |
| |||||||||||
3.50% | 06/20/46 | 61,112,572 | 63,433,167 | |||||||||
Ginnie Mae II, Pool #MA3803 |
| |||||||||||
3.50% | 07/20/46 | 13,904,923 | 14,436,515 | |||||||||
Ginnie Mae II, Pool #MA3876 |
| |||||||||||
4.50% | 08/20/46 | 376,075 | 400,681 | |||||||||
Ginnie Mae II, Pool #MA4006 |
| |||||||||||
4.50% | 10/20/46 | 185,119 | 196,530 | |||||||||
Ginnie Mae II, Pool #MA4071 |
| |||||||||||
4.50% | 11/20/46 | 834,349 | 885,780 | |||||||||
Ginnie Mae II, Pool #MA4126 |
| |||||||||||
3.00% | 12/20/46 | 120,984,188 | 122,515,635 | |||||||||
Ginnie Mae II, Pool #MA4129 |
| |||||||||||
4.50% | 12/20/46 | 274,811 | 291,751 | |||||||||
Ginnie Mae II, Pool #MA4264 |
| |||||||||||
4.50% | 02/20/47 | 35,462,484 | 37,579,650 | |||||||||
Ginnie Mae II, Pool #MA4323 |
| |||||||||||
4.50% | 03/20/47 | 124,999,896 | 132,490,515 | |||||||||
Ginnie Mae II, Pool #MA4453 |
| |||||||||||
4.50% | 05/20/47 | 641,955 | 680,581 | |||||||||
Ginnie Mae II, Pool #MA4512 |
| |||||||||||
4.50% | 06/20/47 | 165,864,118 | 175,841,881 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — AGENCY (Continued) | ||||||||||||
Ginnie Mae II, Pool #MA4513 |
| |||||||||||
5.00% | 06/20/47 | $ | 30,791,710 | $ | 33,143,721 | |||||||
Ginnie Mae II TBA, 30 Year |
| |||||||||||
4.00% (6) | 11/20/47 | 86,295,000 | 90,643,459 | |||||||||
3.00% (6) | 11/20/47 | 90,555,000 | 91,633,875 | |||||||||
3.50% (6) | 11/20/47 | 44,425,000 | 46,090,937 | |||||||||
4.50% (6) | 12/20/47 | 170,625,000 | 180,679,211 | |||||||||
5.00% (6) | 11/20/47 | 88,615,000 | 95,164,202 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Agency |
| |||||||||||
(Cost: $5,059,614,952) |
| 5,033,624,157 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY — 16.3% | ||||||||||||
ACE Securities Corp. (06-ASP1-A2D) |
| |||||||||||
1.86% (1 mo. USD LIBOR + 0.620%) (2) | 12/25/35 | 9,651,551 | 9,627,454 | |||||||||
ACE Securities Corp. (07-ASP1-A2C) |
| |||||||||||
1.50% (1 mo. USD LIBOR + 0.260%) (2) | 03/25/37 | 16,218,883 | 9,850,448 | |||||||||
ACE Securities Corp. (07-ASP1-A2D) |
| |||||||||||
1.62% (1 mo. USD LIBOR + 0.380%) (2) | 03/25/37 | 8,717,477 | 5,351,787 | |||||||||
Adjustable Rate Mortgage Trust (04-5-3A1) |
| |||||||||||
3.68% (3) | 04/25/35 | 962,354 | 975,291 | |||||||||
Ameriquest Mortgage Securities, Inc. (05-R10-A2C) |
| |||||||||||
1.57% (1 mo. USD LIBOR + 0.330%) (2) | 01/25/36 | 7,641,432 | 7,659,256 | |||||||||
Asset-Backed Funding Certificates (05-HE2-M2) |
| |||||||||||
1.99% (1 mo. USD LIBOR + 0.750%) (2) | 06/25/35 | 1,487,349 | 1,500,010 | |||||||||
Asset-Backed Funding Certificates (07-NC1-A2) |
| |||||||||||
1.54% (1 mo. USD LIBOR + 0.300%) (1)(2) | 05/25/37 | 8,747,000 | 7,676,875 | |||||||||
Asset-Backed Funding Certificates (07-WMC1-A2A) |
| |||||||||||
1.99% (1 mo. USD LIBOR + 0.750%) (2) | 06/25/37 | 16,703,923 | 13,487,711 | |||||||||
Banc of America Funding Corp. (04-B-3A1) |
| |||||||||||
3.48% (3) | 12/20/34 | 674,720 | 360,380 | |||||||||
Banc of America Funding Corp. (06-D-2A1) |
| |||||||||||
5.45% (3)(7) | 05/20/36 | 64,497 | 59,186 | |||||||||
Banc of America Funding Corp. (06-D-3A1) |
| |||||||||||
3.52% (3)(7) | 05/20/36 | 4,245,914 | 3,911,153 |
See accompanying notes to financial statements.
67
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Banc of America Funding Corp. (06-G-2A1) |
| |||||||||||
1.46% (1 mo. USD LIBOR + 0.220%) (2) | 07/20/36 | $ | 8,266,352 | $ | 8,272,601 | |||||||
Banc of America Funding Corp. (15-R8-1A1) |
| |||||||||||
1.73% (1)(3) | 11/26/46 | 7,436,171 | 7,143,256 | |||||||||
Banc of America Funding Trust (06-3-4A14) |
| |||||||||||
6.00% | 03/25/36 | 1,158,046 | 1,175,942 | |||||||||
Banc of America Funding Trust (06-3-5A3) |
| |||||||||||
5.50% (7) | 03/25/36 | 4,394,516 | 4,196,124 | |||||||||
BCAP LLC Trust (07-AA1-1A2) |
| |||||||||||
1.40% (1 mo. USD LIBOR + 0.160%) (2) | 02/25/47 | 155,514 | 158,307 | |||||||||
BCAP LLC Trust (08-IND2-A1) |
| |||||||||||
2.89% (1 mo. USD LIBOR + 1.650%) (2) | 04/25/38 | 15,618,680 | 15,746,478 | |||||||||
BCAP LLC Trust (09-RR1-22A1) |
| |||||||||||
3.37% (1)(3) | 05/26/35 | 162,510 | 165,118 | |||||||||
BCAP LLC Trust (09-RR1-23A1) |
| |||||||||||
3.29% (1)(3) | 05/26/35 | 95,917 | 97,830 | |||||||||
BCAP LLC Trust (11-RR3-1A5) |
| |||||||||||
3.61% (1)(3) | 05/27/37 | 238,127 | 238,731 | |||||||||
BCAP LLC Trust (11-RR3-5A3) |
| |||||||||||
3.39% (1)(3) | 11/27/37 | 747,673 | 747,104 | |||||||||
BCAP LLC Trust (11-RR4-2A3) |
| |||||||||||
3.78% (1)(3) | 06/26/47 | 2,868,520 | 2,896,794 | |||||||||
BCAP LLC Trust (11-RR4-3A3) |
| |||||||||||
3.45% (1)(3) | 07/26/36 | 2,431,316 | 2,417,725 | |||||||||
BCAP LLC Trust (11-RR5-1A3) |
| |||||||||||
3.10% (1)(3) | 03/26/37 | 1,243,777 | 1,246,695 | |||||||||
BCAP LLC Trust (11-RR9-7A1) |
| |||||||||||
2.79% (1)(3) | 04/26/37 | 8,182,226 | 8,123,310 | |||||||||
BCAP LLC Trust (12-RR2-9A3) |
| |||||||||||
3.22% (1)(3) | 03/26/35 | 1,805,437 | 1,790,662 | |||||||||
BCAP LLC Trust (12-RR8-3A1) |
| |||||||||||
3.40% (1)(3) | 08/26/36 | 3,945,041 | 3,951,980 | |||||||||
BCAP LLC Trust (13-RR2-6A1) |
| |||||||||||
3.00% (1)(3) | 06/26/37 | 1,200,312 | 1,202,706 | |||||||||
Bear Stearns Alt-A Trust (04-13-A1) |
| |||||||||||
1.98% (1 mo. USD LIBOR + 0.740%) (2) | 11/25/34 | 984,510 | 987,191 | |||||||||
Bear Stearns Alt-A Trust (05-2-2A4) |
| |||||||||||
3.35% (3) | 04/25/35 | 5,103 | 5,044 | |||||||||
Bear Stearns Alt-A Trust (05-4-23A1) |
| |||||||||||
3.52% (3) | 05/25/35 | 6,973,685 | 7,035,818 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Bear Stearns Alt-A Trust (06-4-32A1) |
| |||||||||||
3.58% (3)(7) | 07/25/36 | $ | 616,424 | $ | 505,091 | |||||||
Bear Stearns ARM Trust (04-12-1A1) |
| |||||||||||
3.51% (3) | 02/25/35 | 1,092,803 | 1,074,854 | |||||||||
Bear Stearns ARM Trust (05-10-A3) |
| |||||||||||
3.48% (3) | 10/25/35 | 8,085,181 | 8,341,554 | |||||||||
Bear Stearns ARM Trust (06-2-2A1) |
| |||||||||||
3.63% (3)(7) | 07/25/36 | 2,312,296 | 2,373,631 | |||||||||
Bear Stearns ARM Trust (07-1-2A1) |
| |||||||||||
3.44% (3)(7) | 02/25/47 | 331,685 | 314,789 | |||||||||
Bear Stearns ARM Trust (07-5-3A1) |
| |||||||||||
3.69% (3)(7) | 08/25/47 | 1,497,372 | 1,458,260 | |||||||||
Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A3) |
| |||||||||||
5.50% (3) | 09/25/35 | 1,948,332 | 1,921,207 | |||||||||
Bear Stearns Asset-Backed Securities I Trust (05-AC6-1A4) |
| |||||||||||
5.40% (3) | 09/25/35 | 4,165,865 | 4,108,132 | |||||||||
Bear Stearns Mortgage Funding Trust (06-AR3-1A1) |
| |||||||||||
1.42% (1 mo. USD LIBOR + 0.180%) (2) | 10/25/36 | 800,028 | 739,473 | |||||||||
Carrington Mortgage Loan Trust (05-NC5-A3) |
| |||||||||||
1.66% (1 mo. USD LIBOR + 0.420%) (2) | 10/25/35 | 2,778,148 | 2,785,600 | |||||||||
Chase Mortgage Finance Corp. (06-A1-2A1) |
| |||||||||||
3.59% (3)(7) | 09/25/36 | 1,111,894 | 1,108,631 | |||||||||
Chase Mortgage Finance Corp. (07-A1-8A1) |
| |||||||||||
3.65% (3) | 02/25/37 | 5,078,612 | 5,198,126 | |||||||||
Chaseflex Trust (05-1-1A5) |
| |||||||||||
6.50% | 02/25/35 | 4,018,064 | 4,232,732 | |||||||||
Chaseflex Trust (06-1-A3) |
| |||||||||||
6.30% (3)(7) | 06/25/36 | 12,304,887 | 12,848,560 | |||||||||
CIM Trust (15-3AG-A1) |
| |||||||||||
2.99% (1 mo. USD LIBOR + 1.750%) (1)(2) | 10/25/57 | 21,326,095 | 21,596,689 | |||||||||
CIM Trust (15-4AG-A1) |
| |||||||||||
3.24% (1 mo. USD LIBOR + 2.000%) (1)(2) | 10/25/57 | 29,610,966 | 29,911,784 | |||||||||
CIM Trust (16-4-A1) |
| |||||||||||
3.24% (1 mo. USD LIBOR + 2.000%) (1)(2) | 10/25/57 | 45,818,721 | 47,517,881 | |||||||||
CIM Trust (17-7-A) |
| |||||||||||
3.00% (1) | 12/25/65 | 43,000,000 | 43,023,908 |
See accompanying notes to financial statements.
68
TCW Total Return Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Citicorp Mortgage Securities Trust, Inc. (07-4-3A1) |
| |||||||||||
5.50% | 05/25/37 | $ | 1,006,003 | $ | 1,000,452 | |||||||
Citicorp Residential Mortgage Trust, Inc. (06-2-A4) |
| |||||||||||
5.57% | 09/25/36 | 1,705,755 | 1,730,618 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (06-AR5-1A1A) |
| |||||||||||
3.45% (3)(7) | 07/25/36 | 5,877,060 | 4,971,374 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (06-WFH2-A2A) |
| |||||||||||
1.39% (1 mo. USD LIBOR + 0.150%) (2) | 08/25/36 | 3,142,359 | 3,144,347 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (07-12-2A1) |
| |||||||||||
6.50% (1)(7) | 10/25/36 | 3,897,386 | 2,789,837 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (10-4-4A5) |
| |||||||||||
5.00% (1) | 10/25/35 | 467,166 | 471,202 | |||||||||
Citigroup Mortgage Loan Trust, Inc. (14-10-2A1) |
| |||||||||||
1.49% (1 mo. USD LIBOR + 0.250%) (1)(2) | 07/25/37 | 4,189,526 | 4,105,983 | |||||||||
CitiMortgage Alternative Loan Trust (05-A1-2A1) |
| |||||||||||
5.00% | 07/25/20 | 405,569 | 407,872 | |||||||||
Conseco Financial Corp. (99-2-A7) |
| |||||||||||
6.44% | 12/01/30 | 3,868,470 | 4,034,371 | |||||||||
Countrywide Alternative Loan Trust (05-20CB-4A1) |
| |||||||||||
5.25% (7) | 07/25/20 | 497,376 | 490,960 | |||||||||
Countrywide Alternative Loan Trust (05-84-1A1) |
| |||||||||||
3.27% (3)(7) | 02/25/36 | 317,454 | 259,520 | |||||||||
Countrywide Alternative Loan Trust (05-J1-2A1) |
| |||||||||||
5.50% | 02/25/25 | 1,126,982 | 1,143,750 | |||||||||
Countrywide Alternative Loan Trust (06-HY12-A5) |
| |||||||||||
3.37% (3) | 08/25/36 | 15,438,334 | 15,872,323 | |||||||||
Countrywide Alternative Loan Trust (06-J3-3A1) |
| |||||||||||
5.50% | 04/25/21 | 589,640 | 583,628 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (04-13-1A3) |
| |||||||||||
5.50% | 08/25/34 | 7,665,380 | 7,989,491 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (05-9-1A1) |
| |||||||||||
1.84% (1 mo. USD LIBOR + 0.600%) (2) | 05/25/35 | 13,319,809 | 12,492,711 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (05-HYB5-4A1) |
| |||||||||||
3.41% (3)(7) | 09/20/35 | $ | 35,055 | $ | 29,532 | |||||||
Countrywide Home Loans Mortgage Pass-Through Trust (07-HY5-1A1) |
| |||||||||||
3.78% (3)(7) | 09/25/47 | 11,079 | 10,803 | |||||||||
Countrywide Home Loans Mortgage Pass-Through Trust (07-HYB1-1A1) |
| |||||||||||
3.08% (3)(7) | 03/25/37 | 55,303 | 44,149 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (03-8-4PPA) |
| |||||||||||
5.75% | 04/22/33 | 50,751 | 51,953 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (05-11-1A1) |
| |||||||||||
6.50% (7) | 12/25/35 | 2,597,960 | 2,046,667 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. (05-12-1A1) |
| |||||||||||
6.50% (7) | 01/25/36 | 9,495,883 | 6,626,460 | |||||||||
Credit Suisse Mortgage Capital Certificates (15-5R-2A1) |
| |||||||||||
1.52% (1 mo. USD LIBOR + 0.280%) (1)(2) | 04/27/47 | 9,618,488 | 9,407,254 | |||||||||
Credit Suisse Mortgage Trust (13-7R-4A1) |
| |||||||||||
1.40% (1 mo. USD LIBOR + 0.160%) (1)(2) | 07/26/36 | 3,864,387 | 3,668,751 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (06-CB1-AF2) |
| |||||||||||
3.44% | 01/25/36 | 4,556,538 | 4,017,220 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (06-CB7-A4) |
| |||||||||||
1.40% (1 mo. USD LIBOR + 0.160%) (2) | 10/25/36 | 31,876,928 | 22,935,746 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (06-CB9-A4) |
| |||||||||||
1.47% (1 mo. USD LIBOR + 0.230%) (2) | 11/25/36 | 17,908,530 | 12,015,959 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2B) |
| |||||||||||
4.27% | 02/25/37 | 4,112,920 | 3,033,080 | |||||||||
Credit-Based Asset Servicing and Securitization LLC (07-CB2-A2C) |
| |||||||||||
4.27% | 02/25/37 | 14,147,651 | 10,431,820 | |||||||||
CSMC Mortgage-Backed Trust (06-8-3A1) |
| |||||||||||
6.00% (7) | 10/25/21 | 4,492,128 | 4,281,330 |
See accompanying notes to financial statements.
69
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
CSMC Mortgage-Backed Trust (06-9-5A1) |
| |||||||||||
5.50% (7) | 11/25/36 | $ | 2,977,229 | $ | 2,934,320 | |||||||
CSMC Mortgage-Backed Trust (07-2-3A4) |
| |||||||||||
5.50% (7) | 03/25/37 | 10,084,544 | 9,372,207 | |||||||||
CSMC Mortgage-Backed Trust (14-11R-11A1) |
| |||||||||||
2.99% (1 mo. USD LIBOR + 1.750%) (1)(2) | 06/27/47 | 6,549,572 | 6,740,577 | |||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust (06-AR6-A6) |
| |||||||||||
1.43% (1 mo. USD LIBOR + 0.190%) (2)(7) | 02/25/37 | 496,070 | 440,057 | |||||||||
DSLA Mortgage Loan Trust (05-AR6-2A1A) |
| |||||||||||
1.53% (1 mo. USD LIBOR + 0.290%) (2) | 10/19/45 | 3,577,135 | 3,552,753 | |||||||||
DSLA Mortgage Loan Trust (06-AR2-2A1A) |
| |||||||||||
1.44% (1 mo. USD LIBOR + 0.200%) (2) | 10/19/36 | 32,503,529 | 29,216,587 | |||||||||
DSLA Mortgage Loan Trust (07-AR1-2A1A) |
| |||||||||||
1.38% (1 mo. USD LIBOR + 0.140%) (2) | 04/19/47 | 9,795,209 | 9,244,463 | |||||||||
Fieldstone Mortgage Investment Corp. (07-1-2A2) |
| |||||||||||
1.51% (1 mo. USD LIBOR + 0.270%) (2) | 04/25/47 | 4,531,525 | 3,363,198 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2C) |
| |||||||||||
1.40% (1 mo. USD LIBOR + 0.160%) (2) | 12/25/37 | 25,132,943 | 18,741,266 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (06-FF18-A2D) |
| |||||||||||
1.45% (1 mo. USD LIBOR + 0.210%) (2) | 12/25/37 | 14,748,868 | 11,080,087 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2C) |
| |||||||||||
1.38% (1 mo. USD LIBOR + 0.140%) (2) | 01/25/38 | 6,042,351 | 4,535,431 | |||||||||
First Franklin Mortgage Loan Asset-Backed Certificates (07-FF1-A2D) |
| |||||||||||
1.46% (1 mo. USD LIBOR + 0.220%) (2) | 01/25/38 | 25,340,985 | 19,239,727 | |||||||||
First Franklin Mortgage Loan Trust (06-FF9-2A4) |
| |||||||||||
1.49% (1 mo. USD LIBOR + 0.250%) (2) | 06/25/36 | 5,068,000 | 3,602,374 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
First Horizon Alternative Mortgage Securities Trust (05-AA3-3A1) |
| |||||||||||
3.32% (3) | 05/25/35 | $ | 5,469,481 | $ | 5,540,623 | |||||||
First Horizon Alternative Mortgage Securities Trust (05-AA7-1A1) |
| |||||||||||
3.15% (3)(7) | 09/25/35 | 4,402,637 | 4,092,396 | |||||||||
First Horizon Alternative Mortgage Securities Trust (05-AA7-2A1) |
| |||||||||||
3.19% (3)(7) | 09/25/35 | 3,647,049 | 3,546,349 | |||||||||
First Horizon Alternative Mortgage Securities Trust (06-AA7-A1) |
| |||||||||||
3.20% (3)(7) | 01/25/37 | 13,831,110 | 12,389,861 | |||||||||
Fremont Home Loan Trust (05-E-2A4) |
| |||||||||||
1.57% (1 mo. USD LIBOR + 0.330%) (2) | 01/25/36 | 17,099,999 | 15,658,496 | |||||||||
Fremont Home Loan Trust (06-1-2A3) |
| |||||||||||
1.42% (1 mo. USD LIBOR + 0.180%) (2) | 04/25/36 | 3,728,582 | 3,590,428 | |||||||||
GMAC Mortgage Loan Trust (05-AR5-2A1) |
| |||||||||||
3.92% (3) | 09/19/35 | 3,302,162 | 3,031,130 | |||||||||
GreenPoint Mortgage Funding Trust (05-AR3-1A1) |
| |||||||||||
1.48% (1 mo. USD LIBOR + 0.240%) (2) | 08/25/45 | 650,982 | 591,589 | |||||||||
GS Mortgage Securities Corp. (09-1R-3A1) |
| |||||||||||
3.25% (1)(3) | 11/25/35 | 741,476 | 743,282 | |||||||||
GSAA Home Equity Trust (05-7-AF5) |
| |||||||||||
4.61% | 05/25/35 | 1,441,059 | 1,456,778 | |||||||||
GSAA Home Equity Trust (05-9-2A3) |
| |||||||||||
1.61% (1 mo. USD LIBOR + 0.370%) (2) | 08/25/35 | 829,007 | 821,730 | |||||||||
GSR Mortgage Loan Trust (04-9-3A1) |
| |||||||||||
3.57% (3) | 08/25/34 | 3,451,472 | 3,617,874 | |||||||||
GSR Mortgage Loan Trust (07-3F-3A7) |
| |||||||||||
6.00% (7) | 05/25/37 | 14,357,867 | 13,596,024 | |||||||||
GSR Mortgage Loan Trust (07-AR2-2A1) |
| |||||||||||
3.37% (3) | 05/25/37 | 1,360,905 | 1,263,752 | |||||||||
GSR Mortgage Loan Trust (07-AR2-5A1A) |
| |||||||||||
3.41% (3)(7) | 05/25/37 | 2,377,102 | 2,140,047 | |||||||||
Harborview Mortgage Loan Trust (05-9-2A1A) |
| |||||||||||
1.58% (1 mo. USD LIBOR + 0.340%) (2) | 06/20/35 | 3,116,531 | 3,058,644 |
See accompanying notes to financial statements.
70
TCW Total Return Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Harborview Mortgage Loan Trust (06-8-2A1A) |
| |||||||||||
1.43% (1 mo. USD LIBOR + 0.190%) (2) | 07/21/36 | $ | 17,727,487 | $ | 15,848,100 | |||||||
Homestar Mortgage Acceptance Corp. (04-3-AV2C) |
| |||||||||||
1.82% (1 mo. USD LIBOR + 0.580%) (2) | 07/25/34 | 1,594,686 | 1,604,663 | |||||||||
Homestar Mortgage Acceptance Corp. (04-5-A1) |
| |||||||||||
2.14% (1 mo. USD LIBOR + 0.900%) (2) | 10/25/34 | 314,850 | 318,157 | |||||||||
HSI Asset Loan Obligation Trust (07-2-2A12) |
| |||||||||||
6.00% | 09/25/37 | 1,031,037 | 949,536 | |||||||||
Impac CMB Trust (04-5-1A1) |
| |||||||||||
1.96% (1 mo. USD LIBOR + 0.720%) (2) | 10/25/34 | 7,593 | 7,425 | |||||||||
Impac CMB Trust (05-1-1A1) |
| |||||||||||
1.76% (1 mo. USD LIBOR + 0.520%) (2) | 04/25/35 | 1,406,104 | 1,348,199 | |||||||||
Impac CMB Trust (05-5-A2) |
| |||||||||||
1.68% (1 mo. USD LIBOR + 0.440%) (2) | 08/25/35 | 7,116,246 | 6,627,886 | |||||||||
Indymac Index Mortgage Loan Trust (04-AR4-2A) |
| |||||||||||
3.41% (3) | 08/25/34 | 7,998,522 | 8,153,992 | |||||||||
Indymac Index Mortgage Loan Trust (04-AR9-4A) |
| |||||||||||
2.55% (3) | 11/25/34 | 1,129,939 | 987,927 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR17-3A1) |
| |||||||||||
3.36% (3)(7) | 09/25/35 | 5,579,405 | 5,199,674 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR23-2A1) |
| |||||||||||
3.37% (3)(7) | 11/25/35 | 4,284,646 | 3,956,036 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR23-6A1) |
| |||||||||||
3.30% (3)(7) | 11/25/35 | 5,301,692 | 4,749,431 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR25-2A1) |
| |||||||||||
3.29% (3)(7) | 12/25/35 | 2,836,226 | 2,729,498 | |||||||||
Indymac Index Mortgage Loan Trust (05-AR7-2A1) |
| |||||||||||
3.10% (3) | 06/25/35 | 3,506,384 | 3,142,087 | |||||||||
Indymac Index Mortgage Loan Trust (06-AR39-A1) |
| |||||||||||
1.42% (1 mo. USD LIBOR + 0.180%) (2) | 02/25/37 | 10,266,642 | 9,746,400 | |||||||||
Indymac Index Mortgage Loan Trust (07-AR11-1A1) |
| |||||||||||
3.09% (3)(7) | 06/25/37 | 25,057 | 21,716 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Indymac Index Mortgage Loan Trust (07-AR5-2A1) |
| |||||||||||
3.51% (3)(7) | 05/25/37 | $ | 18,484,505 | $ | 16,346,740 | |||||||
Indymac Index Mortgage Loan Trust (07-AR7-1A1) |
| |||||||||||
3.64% (3) | 11/25/37 | 4,701,485 | 4,635,902 | |||||||||
Indymac Index Mortgage Loan Trust (07-FLX1-A2) |
| |||||||||||
1.42% (1 mo. USD LIBOR + 0.180%) (2) | 02/25/37 | 3,288,682 | 3,272,560 | |||||||||
Jefferies & Co., Inc. (09-R3-1A1) |
| |||||||||||
3.29% (1)(3)(7) | 12/26/35 | 27,167 | 27,285 | |||||||||
JPMorgan Alternative Loan Trust (06-A2-5A1) |
| |||||||||||
3.52% (3)(7) | 05/25/36 | 8,296,596 | 6,883,073 | |||||||||
JPMorgan Alternative Loan Trust (06-A4-A8) |
| |||||||||||
3.35% (3)(7) | 09/25/36 | 3,782,454 | 4,455,200 | |||||||||
JPMorgan Mortgage Acquisition Corp. (06-CH2-AF4) |
| |||||||||||
5.76% | 10/25/36 | 7,923,467 | 6,813,777 | |||||||||
JPMorgan Mortgage Acquisition Corp. (07-CH4-A4) |
| |||||||||||
1.40% (1 mo. USD LIBOR + 0.160%) (2) | 01/25/36 | 24,788,727 | 24,732,276 | |||||||||
JPMorgan Mortgage Trust (05-A6-7A1) |
| |||||||||||
3.61% (3)(7) | 08/25/35 | 524,476 | 511,706 | |||||||||
JPMorgan Mortgage Trust (06-A2-5A3) |
| |||||||||||
3.45% (3) | 11/25/33 | 3,095,691 | 3,162,329 | |||||||||
JPMorgan Mortgage Trust (06-A4-1A4) |
| |||||||||||
3.78% (3)(7) | 06/25/36 | 655,684 | 630,265 | |||||||||
JPMorgan Mortgage Trust (06-A7-2A4R) |
| |||||||||||
3.54% (3)(7) | 01/25/37 | 28,548 | 28,737 | |||||||||
JPMorgan Mortgage Trust (06-S2-2A2) |
| |||||||||||
5.88% | 06/25/21 | 1,115,942 | 1,090,841 | |||||||||
JPMorgan Resecuritization Trust Series (14-6-3A1) |
| |||||||||||
1.45% (1 mo. USD LIBOR + | 07/27/46 | 6,025,818 | 5,997,899 | |||||||||
Lehman Mortgage Trust (05-1-6A1) |
| |||||||||||
5.00% | 11/25/20 | 949,224 | 613,051 | |||||||||
Lehman Mortgage Trust (06-4-4A1) |
| |||||||||||
6.00% (7) | 08/25/21 | 2,254,668 | 2,204,605 | |||||||||
Lehman Mortgage Trust (07-10-4A1) |
| |||||||||||
6.00% (7) | 01/25/27 | 744,463 | 550,595 |
See accompanying notes to financial statements.
71
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Lehman XS Trust (06-10N-1A3A) |
| |||||||||||
1.45% (1 mo. USD LIBOR + 0.210%) (2)(7) | 07/25/46 | $ | 18,649,031 | $ | 17,871,039 | |||||||
Lehman XS Trust (06-12N-A2A1) |
| |||||||||||
1.39% (1 mo. USD LIBOR + 0.150%) (2)(7) | 08/25/46 | 345 | 346 | |||||||||
Lehman XS Trust (06-12N-A31A) |
| |||||||||||
1.44% (1 mo. USD LIBOR + 0.200%) (2)(7) | 08/25/46 | 6,427,344 | 5,397,058 | |||||||||
Lehman XS Trust (06-13-1A2) |
| |||||||||||
1.41% (1 mo. USD LIBOR + 0.170%) (2)(7) | 09/25/36 | 4,119,941 | 4,013,235 | |||||||||
Lehman XS Trust (06-9-A1B) |
| |||||||||||
1.40% (1 mo. USD LIBOR + 0.160%) (2)(7) | 05/25/46 | 9,865,215 | 9,564,409 | |||||||||
Lehman XS Trust (06-GP4-3A2A) |
| |||||||||||
1.40% (1 mo. USD LIBOR + 0.160%) (2)(8) | 08/25/46 | 37 | 37 | |||||||||
Lehman XS Trust (07-4N-1A1) |
| |||||||||||
1.37% (1 mo. USD LIBOR + 0.130%) (2)(8) | 03/25/47 | 137 | 137 | |||||||||
Long Beach Mortgage Loan Trust (06-WL1-1A3) |
| |||||||||||
1.57% (1 mo. USD LIBOR + 0.330%) (2) | 01/25/46 | 8,024,531 | 7,926,241 | |||||||||
Long Beach Mortgage Loan Trust (06-WL1-2A4) |
| |||||||||||
1.58% (1 mo. USD LIBOR + 0.340%) (2) | 01/25/46 | 14,950,000 | 14,689,076 | |||||||||
Madison Avenue Manufactured Housing Contract (02-A-B1) |
| |||||||||||
4.49% (1 mo. USD LIBOR + 3.250%) (2) | 03/25/32 | 4,716,509 | 4,787,947 | |||||||||
MASTR Adjustable Rate Mortgages Trust (04-9-M1) |
| |||||||||||
1.82% (1 mo. USD LIBOR + 0.580%) (2) | 11/25/34 | 2,785,373 | 2,783,738 | |||||||||
MASTR Alternative Loans Trust (05-4-1A1) |
| |||||||||||
6.50% | 05/25/35 | 6,534,700 | 6,321,282 | |||||||||
MASTR Alternative Loans Trust (06-2-2A1) |
| |||||||||||
1.64% (1 mo. USD LIBOR + 0.400%) (2)(7)(8) | 03/25/36 | 72,180 | 15,044 | |||||||||
MASTR Asset Securitization Trust (06-3-2A1) |
| |||||||||||
1.69% (1 mo. USD LIBOR + 0.450%) (2)(7) | 10/25/36 | 56,202 | 31,689 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
MASTR Asset-Backed Securities Trust (06-AB1-A4) |
| |||||||||||
5.72% | 02/25/36 | $ | 1,493,901 | $ | 1,468,695 | |||||||
MASTR Asset-Backed Securities Trust (06-HE1-A4) |
| |||||||||||
1.53% (1 mo. USD LIBOR + 0.290%) (2) | 01/25/36 | 3,652,820 | 3,667,691 | |||||||||
MASTR Asset-Backed Securities Trust (06-HE5-A3) |
| |||||||||||
1.40% (1 mo. USD LIBOR + 0.160%) (2) | 11/25/36 | 22,428,937 | 15,366,793 | |||||||||
MASTR Seasoned Securitization Trust (04-1-4A1) |
| |||||||||||
3.57% (3) | 10/25/32 | 10,715 | 10,856 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A1-A2C) |
| |||||||||||
1.47% (1 mo. USD LIBOR + 0.230%) (2) | 01/25/37 | 2,141,689 | 1,197,502 | |||||||||
Merrill Lynch Alternative Note Asset Trust (07-A1-A3) |
| |||||||||||
1.40% (1 mo. USD LIBOR + 0.160%) (2) | 01/25/37 | 1,101,684 | 602,037 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2B) |
| |||||||||||
1.41% (1 mo. USD LIBOR + 0.170%) (2) | 04/25/37 | 8,677,111 | 5,253,318 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2C) |
| |||||||||||
1.49% (1 mo. USD LIBOR + 0.250%) (2) | 04/25/37 | 30,366,224 | 18,599,316 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-1-A2D) |
| |||||||||||
1.58% (1 mo. USD LIBOR + 0.340%) (2) | 04/25/37 | 7,483,929 | 4,643,324 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-2-A2C) |
| |||||||||||
1.48% (1 mo. USD LIBOR + 0.240%) (2) | 05/25/37 | 6,708,234 | 4,663,229 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-3-A2B) |
| |||||||||||
1.37% (1 mo. USD LIBOR + 0.130%) (2) | 06/25/37 | 3,231,386 | 2,554,983 | |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust (07-4-2A3) |
| |||||||||||
1.40% (1 mo. USD LIBOR + 0.160%) (2) | 07/25/37 | 40,508,171 | 29,214,971 | |||||||||
Merrill Lynch Mortgage-Backed Securities Trust (07-2-1A1) |
| |||||||||||
3.71% (1 year Treasury Constant Maturity Rate + 2.400%) (2)(7) | 08/25/36 | 2,281,721 | 2,239,101 |
See accompanying notes to financial statements.
72
TCW Total Return Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Mid-State Trust (05-1-A) |
| |||||||||||
5.75% | 01/15/40 | $ | 3,647,592 | $ | 3,971,603 | |||||||
Morgan Stanley ABS Capital I, Inc. Trust (04-NC8-M2) |
| |||||||||||
2.20% (1 mo. USD LIBOR + 0.960%) (2) | 09/25/34 | 885,747 | 887,911 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust (05-HE3-M3) |
| |||||||||||
2.03% (1 mo. USD LIBOR + 0.795%) (2) | 07/25/35 | 2,361,657 | 2,375,230 | |||||||||
Morgan Stanley Home Equity Loan Trust (05-2-M3) |
| |||||||||||
1.91% (1 mo. USD LIBOR + 0.675%) (2) | 05/25/35 | 265,995 | 266,422 | |||||||||
Morgan Stanley Home Equity Loan Trust (06-2-A4) |
| |||||||||||
1.52% (1 mo. USD LIBOR + 0.280%) (2) | 02/25/36 | 3,721,163 | 3,660,439 | |||||||||
Morgan Stanley Mortgage Loan Trust (05-6AR-1A1) |
| |||||||||||
1.52% (1 mo. USD LIBOR + 0.280%) (2) | 11/25/35 | 2,005,128 | 2,017,651 | |||||||||
Morgan Stanley Mortgage Loan Trust (07-3XS-2A6) |
| |||||||||||
5.76% | 01/25/47 | 1,105,972 | 589,532 | |||||||||
Morgan Stanley Mortgage Loan Trust (07-7AX-2A1) |
| |||||||||||
1.36% (1 mo. USD LIBOR + 0.120%) (2) | 04/25/37 | 3,995,711 | 2,114,987 | |||||||||
Morgan Stanley REREMIC Trust (13-R2-1A) |
| |||||||||||
2.81% (1)(3) | 10/26/36 | 8,479,602 | 8,450,216 | |||||||||
Morgan Stanley REREMIC Trust (13-R3-12A) |
| |||||||||||
3.41% (1)(3) | 01/26/47 | 960,899 | 963,490 | |||||||||
Morgan Stanley Resecuritization Trust (14-R2-2A) |
| |||||||||||
2.84% (1)(3) | 12/26/46 | 9,783,707 | 9,744,106 | |||||||||
MortgageIT Trust (05-3-A1) |
| |||||||||||
1.84% (1 mo. USD LIBOR + 0.600%) (2) | 08/25/35 | 7,596,549 | 7,444,937 | |||||||||
MortgageIT Trust (05-4-A1) |
| |||||||||||
1.52% (1 mo. USD LIBOR + 0.280%) (2) | 10/25/35 | 3,777,197 | 3,734,380 | |||||||||
Nationstar Home Equity Loan Trust (07-B-2AV3) |
| |||||||||||
1.49% (1 mo. USD LIBOR + 0.250%) (2) | 04/25/37 | 9,814,338 | 9,734,061 | |||||||||
Nomura Resecuritization Trust (15-1R-2A1) |
| |||||||||||
1.69% (1 mo. USD LIBOR + | 10/26/36 | 5,996,129 | 6,016,960 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Nomura Resecuritization Trust (15-2R-1A1) |
| |||||||||||
1.89% (12 mo. Monthly Treasury Average Index + | 08/26/46 | $ | 6,638,102 | $ | 6,608,721 | |||||||
Nomura Resecuritization Trust (15-4R-2A1) |
| |||||||||||
1.38% (1 mo. USD LIBOR + 0.306%) (1)(2) | 10/26/36 | 9,444,097 | 9,204,520 | |||||||||
Nomura Resecuritization Trust (15-4R-3A1) |
| |||||||||||
3.55% (1)(3) | 02/26/36 | 1,928,866 | 1,943,424 | |||||||||
Nomura Resecuritization Trust (15-5R-2A1) |
| |||||||||||
3.37% (1)(3) | 03/26/35 | 11,004,918 | 11,063,543 | |||||||||
Nomura Resecuritization Trust (15-7R-2A1) |
| |||||||||||
3.20% (1)(3) | 08/26/36 | 4,482,116 | 4,559,379 | |||||||||
Oakwood Mortgage Investors, Inc. (02-A-A4) |
| |||||||||||
6.97% (3) | 03/15/32 | 3,107,522 | 3,338,023 | |||||||||
Oakwood Mortgage Investors, Inc. (99-E-A1) |
| |||||||||||
7.61% (3) | 03/15/30 | 5,194,583 | 4,918,432 | |||||||||
Opteum Mortgage Acceptance Corp. (06-1-2A1) |
| |||||||||||
5.75% (3) | 04/25/36 | 6,358,031 | 6,535,558 | |||||||||
Ownit Mortgage Loan Asset-Backed Certificates (06-3-A2D) |
| |||||||||||
1.51% (1 mo. USD LIBOR + 0.270%) (2) | 03/25/37 | 19,300,000 | 17,227,724 | |||||||||
Ownit Mortgage Loan Asset-Backed Certificates (06-6-A2C) |
| |||||||||||
1.40% (1 mo. USD LIBOR + 0.160%) (2) | 09/25/37 | 18,863,658 | 11,342,347 | |||||||||
Prime Mortgage Trust (06-1-1A1) |
| |||||||||||
5.50% (7) | 06/25/36 | 3,078,515 | 3,327,918 | |||||||||
RAAC Series Trust (05-SP1-4A1) |
| |||||||||||
7.00% | 09/25/34 | 4,343,145 | 4,482,260 | |||||||||
RAAC Series Trust (07-SP1-A3) |
| |||||||||||
1.72% (1 mo. USD LIBOR + 0.480%) (2) | 03/25/37 | 1,816,867 | 1,821,591 | |||||||||
RALI Trust (05-QA13-2A1) |
| |||||||||||
4.26% (3)(7) | 12/25/35 | 989,675 | 908,232 | |||||||||
RALI Trust (05-QA7-A21) |
| |||||||||||
3.87% (3)(7) | 07/25/35 | 3,903,547 | 3,711,362 | |||||||||
RALI Trust (06-QA3-A1) |
| |||||||||||
1.44% (1 mo. USD LIBOR + 0.200%) (2)(7) | 04/25/36 | 6,313,235 | 6,126,578 |
See accompanying notes to financial statements.
73
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Residential Accredit Loans, Inc. (05-QA8-CB21) |
| |||||||||||
4.03% (3)(7) | 07/25/35 | $ | 6,900,960 | $ | 5,781,083 | |||||||
Residential Accredit Loans, Inc. (05-QS7-A1) |
| |||||||||||
5.50% (7) | 06/25/35 | 1,261,989 | 1,155,136 | |||||||||
Residential Accredit Loans, Inc. (06-QA1-A21) |
| |||||||||||
4.37% (3)(7) | 01/25/36 | 24,525 | 21,853 | |||||||||
Residential Accredit Loans, Inc. (06-QA10-A2) |
| |||||||||||
1.42% (1 mo. USD LIBOR + 0.180%) (2) | 12/25/36 | 20,341,339 | 18,327,717 | |||||||||
Residential Accredit Loans, Inc. (06-QA2-1A1) |
| |||||||||||
1.49% (1 mo. USD LIBOR + 0.250%) (2)(7) | 02/25/36 | 28,423 | 23,268 | |||||||||
Residential Accredit Loans, Inc. (06-QS10-AV) (I/O) |
| |||||||||||
0.58% (3)(8) | 08/25/36 | 53,214,002 | 1,261,832 | |||||||||
Residential Accredit Loans, Inc. (06-QS11-AV) (I/O) |
| |||||||||||
0.35% (3)(8) | 08/25/36 | 52,108,802 | 807,699 | |||||||||
Residential Accredit Loans, Inc. (06-QS5-A5) |
| |||||||||||
6.00% (7) | 05/25/36 | 6,862,076 | 6,203,002 | |||||||||
Residential Accredit Loans, Inc. (06-QS6-1AV) (I/O) |
| |||||||||||
0.75% (3)(8) | 06/25/36 | 68,445,962 | 1,830,546 | |||||||||
Residential Accredit Loans, Inc. (06-QS7-AV) (I/O) |
| |||||||||||
0.68% (3)(8) | 06/25/36 | 15,158,664 | 378,740 | |||||||||
Residential Accredit Loans, Inc. (07-QS1-2AV) (I/O) |
| |||||||||||
0.18% (3)(8) | 01/25/37 | 3,500,747 | 26,384 | |||||||||
Residential Accredit Loans, Inc. (07-QS2-AV) (I/O) |
| |||||||||||
0.33% (3)(8) | 01/25/37 | 25,783,430 | 354,558 | |||||||||
Residential Accredit Loans, Inc. (07-QS3-AV) (I/O) |
| |||||||||||
0.35% (3)(8) | 02/25/37 | 104,648,338 | 1,582,471 | |||||||||
Residential Accredit Loans, Inc. (07-QS4-3AV) (I/O) |
| |||||||||||
0.37% (3)(8) | 03/25/37 | 12,306,896 | 162,583 | |||||||||
Residential Accredit Loans, Inc. (07-QS5-AV) (I/O) |
| |||||||||||
0.26% (3)(8) | 03/25/37 | 16,900,894 | 156,004 | |||||||||
Residential Accredit Loans, Inc. (07-QS6-A45) |
| |||||||||||
5.75% (7) | 04/25/37 | 3,746,490 | 3,533,513 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Residential Accredit Loans, Inc. (07-QS8-AV) (I/O) |
| |||||||||||
0.40% (3)(8) | 06/25/37 | $ | 25,105,867 | $ | 405,373 | |||||||
Residential Funding Mortgage Securities I (05-SA5-2A) |
| |||||||||||
3.98% (3)(7) | 11/25/35 | 31,794 | 31,067 | |||||||||
Residential Funding Mortgage Securities I (06-S9-A3) (PAC) |
| |||||||||||
5.75% (7) | 09/25/36 | 851,389 | 783,951 | |||||||||
Residential Funding Mortgage Securities I (07-S2-A9) |
| |||||||||||
6.00% (7) | 02/25/37 | 9,012,167 | 8,630,693 | |||||||||
Residential Funding Mortgage Securities I (07-SA2-2A2) |
| |||||||||||
4.01% (3)(7) | 04/25/37 | 30,349 | 29,354 | |||||||||
Saxon Asset Securities Trust (06-2-A2) |
| |||||||||||
1.37% (1 mo. USD LIBOR + 0.130%) (2) | 09/25/36 | 9,165,234 | 9,200,147 | |||||||||
Saxon Asset Securities Trust (06-3-A3) |
| |||||||||||
1.41% (1 mo. USD LIBOR + 0.170%) (2) | 10/25/46 | 14,306,533 | 13,991,644 | |||||||||
Saxon Asset Securities Trust (07-2-A2D) |
| |||||||||||
1.54% (1 mo. USD LIBOR + 0.300%) (2) | 05/25/47 | 20,771,653 | 16,735,380 | |||||||||
Securitized Asset-Backed Receivables LLC Trust (07-BR1-A2C) |
| |||||||||||
1.58% (1 mo. USD LIBOR + 0.340%) (2) | 02/25/37 | 3,407,875 | 1,978,927 | |||||||||
Securitized Asset-Backed Receivables LLC Trust (07-BR2-A2) |
| |||||||||||
1.47% (1 mo. USD LIBOR + 0.230%) (2) | 02/25/37 | 43,590,545 | 27,764,566 | |||||||||
Securitized Asset-Backed Receivables LLC Trust (07-NC2-A2B) |
| |||||||||||
1.38% (1 mo. USD LIBOR + 0.140%) (2) | 01/25/37 | 19,703,593 | 14,484,406 | |||||||||
Sequoia Mortgage Trust (03-8-A1) |
| |||||||||||
1.88% (1 mo. USD LIBOR + 0.640%) (2) | 01/20/34 | 983,608 | 960,032 | |||||||||
SG Mortgage Securities Trust (05-OPT1-A3) |
| |||||||||||
1.59% (1 mo. USD LIBOR + 0.350%) (2) | 10/25/35 | 821,563 | 823,616 |
See accompanying notes to financial statements.
74
TCW Total Return Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
SG Mortgage Securities Trust (07-NC1-A2) |
| |||||||||||
1.48% (1 mo. USD LIBOR + 0.240%) (1)(2) | 12/25/36 | $ | 23,095,957 | $ | 15,098,628 | |||||||
Soundview Home Equity Loan Trust (06-2-A4) |
| |||||||||||
1.51% (1 mo. USD LIBOR + 0.270%) (2) | 03/25/36 | 1,675,651 | 1,679,594 | |||||||||
Soundview Home Equity Loan Trust (06-OPT4-2A4) |
| |||||||||||
1.47% (1 mo. USD LIBOR + 0.230%) (2) | 06/25/36 | 10,400,000 | 9,387,371 | |||||||||
Soundview Home Equity Loan Trust (07-OPT3-2A4) |
| |||||||||||
1.49% (1 mo. USD LIBOR + 0.250%) (2) | 08/25/37 | 4,000,000 | 2,976,550 | |||||||||
Specialty Underwriting & Residential Finance (06-AB3-A2B) |
| |||||||||||
1.39% (1 mo. USD LIBOR + 0.150%) (2) | 09/25/37 | 21,492 | 13,523 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (04-12-2A) |
| |||||||||||
3.46% (3) | 09/25/34 | 2,705,587 | 2,684,329 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (04-14-2A) |
| |||||||||||
3.46% (3) | 10/25/34 | 4,344,771 | 4,434,953 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (05-16XS-A2A) |
| |||||||||||
2.19% (1 mo. USD LIBOR + 0.950%) (2) | 08/25/35 | 5,949,884 | 5,890,210 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (06-2-5A1) |
| |||||||||||
3.72% (3)(7) | 03/25/36 | 594,426 | 523,213 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (06-4-5A1) |
| |||||||||||
3.41% (3)(7) | 05/25/36 | 2,452,147 | 2,171,631 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (06-5-1A1) |
| |||||||||||
3.66% (3)(7) | 06/25/36 | 5,193,591 | 4,838,191 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust (07-1-1A1) |
| |||||||||||
3.58% (3) | 02/25/37 | 3,560,517 | 3,089,226 | |||||||||
Structured Asset Securities Corp. (05-2XS-1A5B) |
| |||||||||||
5.15% | 02/25/35 | 255,630 | 257,940 | |||||||||
Structured Asset Securities Corp. (06-EQ1A-A4) |
| |||||||||||
1.39% (1 mo. USD LIBOR + 0.150%) (1)(2) | 07/25/36 | 6,963,929 | 6,967,941 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Structured Asset Securities Corp. (06-WF2-A4) |
| |||||||||||
1.55% (1 mo. USD LIBOR + 0.310%) (2) | 07/25/36 | $ | 7,299,157 | $ | 7,196,117 | |||||||
Suntrust Adjustable Rate Mortgage Loan Trust (07-2-2A1) |
| |||||||||||
3.63% (3)(7) | 04/25/37 | 248,282 | 210,106 | |||||||||
Suntrust Adjustable Rate Mortgage Loan Trust (07-3-1A1) |
| |||||||||||
3.70% (3)(7) | 06/25/37 | 10,595 | 10,121 | |||||||||
Suntrust Adjustable Rate Mortgage Loan Trust (07-S1-2A1) |
| |||||||||||
3.59% (3) | 01/25/37 | 1,049,904 | 1,050,326 | |||||||||
Wachovia Mortgage Loan Trust LLC (06-AMN1-A3) |
| |||||||||||
1.48% (1 mo. USD LIBOR + 0.240%) (2) | 08/25/36 | 9,602,475 | 5,758,560 | |||||||||
WaMu Mortgage Pass-Through Certificates (04-AR14-A1) |
| |||||||||||
2.95% (3) | 01/25/35 | 8,222,848 | 8,434,283 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR13-A1A1) |
| |||||||||||
1.53% (1 mo. USD LIBOR + 0.290%) (2) | 10/25/45 | 9,914,188 | 9,844,873 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR13-A1A2) |
| |||||||||||
2.39% (12 mo. Monthly Treasury Average Index + 1.450%) (2) | 10/25/45 | 798,956 | 841,766 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR14-2A1) |
| |||||||||||
3.29% (3) | 12/25/35 | 1,826,055 | 1,695,793 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR18-1A1) |
| |||||||||||
2.94% (3) | 01/25/36 | 3,091,811 | 3,034,893 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR2-2A1A) |
| |||||||||||
1.55% (1 mo. USD LIBOR + 0.310%) (2) | 01/25/45 | 303,754 | 298,944 | |||||||||
WaMu Mortgage Pass-Through Certificates (05-AR9-A1A) |
| |||||||||||
1.88% (1 mo. USD LIBOR + 0.640%) (2) | 07/25/45 | 7,299,722 | 7,288,903 | |||||||||
WaMu Mortgage Pass-Through Certificates (06-AR1-2A1A) |
| |||||||||||
2.01% (12 mo. Monthly Treasury Average Index + 1.070%) (2) | 01/25/46 | 22,005,103 | 22,431,215 | |||||||||
WaMu Mortgage Pass-Through Certificates (06-AR11-1A) |
| |||||||||||
1.90% (12 mo. Monthly Treasury Average Index + 0.960%) (2) | 09/25/46 | 5,585,799 | 5,087,501 |
See accompanying notes to financial statements.
75
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
WaMu Mortgage Pass-Through Certificates (06-AR17-1A1A) |
| |||||||||||
1.70% (12 mo. Monthly Treasury Average Index + 0.810%) (2) | 12/25/46 | $ | 6,128,376 | $ | 5,816,064 | |||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (02-AR1-1A1) |
| |||||||||||
2.88% (3) | 11/25/30 | 129,336 | 130,756 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-1-3A2) |
| |||||||||||
5.75% (7) | 02/25/36 | 1,363,201 | 1,299,022 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-5-1A1) |
| |||||||||||
1.84% (1 mo. USD LIBOR + 0.600%) (2)(7) | 07/25/36 | 2,619,106 | 1,810,952 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (06-AR10-A2A) |
| |||||||||||
1.41% (1 mo. USD LIBOR + 0.170%) (2) | 12/25/36 | 4,914,914 | 4,469,928 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OA3-5A) |
| |||||||||||
1.98% (11th District Cost of Funds + 1.250%) (2)(7) | 04/25/47 | 1,990,237 | 1,773,288 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates (07-OC2-A3) |
| |||||||||||
1.55% (1 mo. USD LIBOR + 0.310%) (2) | 06/25/37 | 5,982,797 | 5,488,610 | |||||||||
Washington Mutual Asset-Backed Certificates (06-HE1-2A4) |
| |||||||||||
1.52% (1 mo. USD LIBOR + 0.280%) (2) | 04/25/36 | 11,691,000 | 11,153,507 | |||||||||
Wells Fargo Home Equity Asset-Backed Securities (06-3-A2) |
| |||||||||||
1.39% (1 mo. USD LIBOR + 0.150%) (2) | 01/25/37 | 9,574,214 | 9,510,306 | |||||||||
Wells Fargo Home Equity Asset-Backed Securities (07-1-A3) |
| |||||||||||
1.56% (1 mo. USD LIBOR + 0.320%) (2) | 03/25/37 | 5,521,000 | 4,398,143 | |||||||||
Wells Fargo Mortgage Loan Trust (11-RR3-A1) |
| |||||||||||
3.47% (1)(3) | 03/27/37 | 1,940,130 | 1,948,925 | |||||||||
Wells Fargo Mortgage Loan Trust (12-RR2-1A1) |
| |||||||||||
1.42% (1 mo. USD LIBOR + 0.180%) (1)(2) | 09/27/47 | 1,601,147 | 1,595,018 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — NON-AGENCY (Continued) | ||||||||||||
Wells Fargo Mortgage-Backed Securities Trust (04-DD-2A6) |
| |||||||||||
3.13% (3) | 01/25/35 | $ | 2,596,647 | $ | 2,678,290 | |||||||
Wells Fargo Mortgage-Backed Securities Trust (06-AR11-A6) |
| |||||||||||
3.48% (3)(7) | 08/25/36 | 5,560,099 | 5,560,816 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (06-AR6-4A1) |
| |||||||||||
3.37% (3) | 03/25/36 | 3,630,627 | 3,640,207 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (06-AR7-2A4) |
| |||||||||||
3.33% (3)(7) | 05/25/36 | 2,390,959 | 2,403,006 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (07-10-1A32) |
| |||||||||||
6.00% (7) | 07/25/37 | 4,315,241 | 4,304,909 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (07-AR4-A1) |
| |||||||||||
3.64% (3)(7) | 08/25/37 | 414,975 | 403,955 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust (08-1-4A1) |
| |||||||||||
5.75% | 02/25/38 | 1,899,601 | 2,004,709 | |||||||||
|
| |||||||||||
Total Residential Mortgage-Backed Securities — Non-Agency |
| |||||||||||
(Cost: $1,171,259,688) |
| 1,464,745,938 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 24.8% | ||||||||||||
U.S. Treasury Bond | ||||||||||||
2.75% | 08/15/47 | 638,229,000 | 622,335,604 | |||||||||
U.S. Treasury Note | ||||||||||||
0.75% | 02/28/18 | 268,000,000 | 267,617,899 | |||||||||
1.38% | 09/30/19 | 191,100,000 | 190,341,539 | |||||||||
1.88% | 09/30/22 | 782,088,000 | 777,168,448 | |||||||||
2.00% | 10/31/22 | 79,790,000 | 79,762,036 | |||||||||
2.25% | 08/15/27 | 299,125,000 | 295,870,846 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $2,251,978,850) |
| 2,233,096,372 | ||||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $8,845,859,242) |
| 9,093,435,441 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
MONEY MARKET INVESTMENTS — 0.0% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, |
| 1,774,435 | 1,774,435 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $1,774,435) |
| 1,774,435 | ||||||||||
|
| |||||||||||
See accompanying notes to financial statements.
76
TCW Total Return Bond Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
SHORT TERM INVESTMENTS — 8.3% |
| |||||||||||
FOREIGN GOVERNMENT BONDS — 3.8% | ||||||||||||
Japan Treasury Bill | ||||||||||||
0.00% (4) | 11/06/17 | JPY 27,405,000,000 | 241,180,159 | |||||||||
0.00% (4) | 01/10/18 | JPY 11,245,000,000 | 98,984,897 | |||||||||
|
| |||||||||||
Total Foreign Government Bonds |
| |||||||||||
(Cost: $347,159,038) |
| 340,165,056 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 4.5% | ||||||||||||
U.S. Treasury Bill |
| |||||||||||
1.09% (10) | 01/25/18 | $ | 59,000,000 | 58,848,853 | ||||||||
1.12% (10) | 02/15/18 | 250,000,000 | 249,178,720 | |||||||||
1.14% (10) | 02/01/18 | 93,800,000 | 93,529,126 | |||||||||
1.17% (10)(11) | 03/01/18 | 6,856,000 | 6,829,448 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost: $408,445,236) |
| 408,386,147 | ||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost: $755,604,274) |
| 748,551,203 | ||||||||||
|
| |||||||||||
Total Investments (109.3%) |
| |||||||||||
(Cost: $9,603,237,951) |
| 9,843,761,079 | ||||||||||
|
| |||||||||||
Liabilities In Excess Of Other Assets (-9.3%) |
| (837,621,239 | ) | |||||||||
|
| |||||||||||
Net Assets (100.0%) |
| $ | 9,006,139,840 | |||||||||
|
|
Futures Contracts | ||||||||||||||||||
Number of Contracts | Type | Expiration Date | Notional Contract Value | Market Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
BUY | ||||||||||||||||||
4,823 | 2-Year U.S. Treasury Note Futures | 12/29/17 | $ | 1,042,782,204 | $ | 1,038,678,270 | $ | (4,103,934 | ) | |||||||||
4,429 | 5-Year U.S. Treasury Note Futures | 12/29/17 | 523,589,518 | 519,023,438 | (4,566,080 | ) | ||||||||||||
1,656 | 10-Year U.S. Treasury Note Futures | 12/19/17 | 209,513,377 | 206,896,500 | (2,616,877 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||
$ | 1,775,885,099 | $ | 1,764,598,208 | $ | (11,286,891 | ) | ||||||||||||
|
|
|
|
|
|
Forward Currency Exchange Contracts | ||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||
SELL (12) | ||||||||||||||||||||||
Goldman Sachs International | JPY | 27,405,000,000 | 11/06/17 | $ | 248,346,171 | $ | 241,216,202 | $ | 7,129,969 | |||||||||||||
Goldman Sachs International | JPY | 11,245,000,000 | 01/10/18 | 100,255,878 | 99,316,812 | 939,066 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 348,602,049 | $ | 340,533,014 | $ | 8,069,035 | |||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
77
TCW Total Return Bond Fund
Schedule of Investments (Continued)
Notes to Schedule of Investments:
JPY - Japanese | Yen. |
ABS - | Asset-Backed Securities. |
ACES - | Alternative Credit Enhancement Securities. |
ARM - | Adjustable Rate Mortgage. |
I/F - | Inverse Floating rate security whose interest rate moves in the opposite direction of prevailing interest rates. |
I/O - Interest | Only Security. |
PAC - | Planned Amortization Class. |
P/O - | Principal Only Security. |
TAC - | Target Amortization Class. |
TBA - | To be Announced. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2017, the value of these securities amounted to $375,970,471 or 4.2% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(2) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2017. |
(3) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(4) | Security is not accruing interest. |
(5) | 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) | A portion of the principal balance has been written-off during the period due to defaults in the underlying loans. Cost basis has been adjusted. |
(8) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(9) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
(10) | Rate shown represents yield-to-maturity. |
(11) | All or a portion of this security is held as collateral for open futures contracts. |
(12) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
78
TCW Total Return Bond Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Asset-Backed Securities | 1.7 | % | ||
Commercial Mortgage-Backed Securities — Agency | 1.9 | |||
Commercial Mortgage-Backed Securities — Non-Agency | 0.4 | |||
Residential Mortgage-Backed Securities — Agency | 55.9 | |||
Residential Mortgage-Backed Securities — Non-Agency | 16.3 | |||
Short Term Investments | 8.3 | |||
U.S. Treasury Securities | 24.8 | |||
Money Market Investments | 0.0 | * | ||
|
| |||
Total | 109.3 | % | ||
|
|
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in (Level 1) | Other Significant (Level 2) | Significant (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 153,515,399 | $ | — | $ | 153,515,399 | ||||||||
Commercial Mortgage-Backed Securities — Agency | — | 174,890,769 | — | 174,890,769 | ||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | — | 33,562,806 | — | 33,562,806 | ||||||||||||
Residential Mortgage-Backed Securities — Agency | — | 5,033,624,157 | — | 5,033,624,157 | ||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | — | 1,457,764,530 | 6,981,408 | 1,464,745,938 | ||||||||||||
U.S. Treasury Securities | — | 2,233,096,372 | — | 2,233,096,372 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 9,086,454,033 | 6,981,408 | 9,093,435,441 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 1,774,435 | — | — | 1,774,435 | ||||||||||||
Short-Term Investments | 408,386,147 | 340,165,056 | — | 748,551,203 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 410,160,582 | 9,426,619,089 | 6,981,408 | 9,843,761,079 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 8,069,035 | — | 8,069,035 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 410,160,582 | $ | 9,434,688,124 | $ | 6,981,408 | $ | 9,851,830,114 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures | ||||||||||||||||
Interest Rate Risk | $ | (11,286,891 | ) | $ | — | $ | — | $ | (11,286,891 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (11,286,891 | ) | $ | — | $ | — | $ | (11,286,891 | ) | ||||||
|
|
|
|
|
|
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
79
TCW Funds, Inc.
October 31, 2017 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | TCW Global Bond Fund | ||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||
ASSETS | ||||||||||||
Investments, at Value (2) | $ | 1,862,322 | $ | 1,204 | $ | 16,684 | ||||||
Foreign Currency, at Value | — | — | 11 | (3) | ||||||||
Cash | 91 | — | — | |||||||||
Receivable for Securities Sold | 14,615 | — | (4) | 20 | ||||||||
Receivable for Sale of When-Issued Securities | 12,561 | — | — | |||||||||
Receivable for Fund Shares Sold | 2,153 | — | — | |||||||||
Interest and Dividends Receivable | 8,040 | 4 | 92 | |||||||||
Receivable from Investment Advisor | 24 | 21 | 16 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | 1,414 | — | 6 | |||||||||
Cash Collateral Held for Forward Foreign Currency Contracts | 1,350 | — | — | |||||||||
Open Swap Agreements, at Value | — | 13 | — | |||||||||
Cash Collateral on Swap Agreements | — | 120 | — | |||||||||
Prepaid Expenses | 8 | — | 6 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,902,578 | 1,362 | 16,835 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 3,238 | — | 25 | |||||||||
Payable for Securities Purchased | 17,031 | — | 350 | |||||||||
Payable for Purchase of When-Issued Securities | 142,591 | — | — | |||||||||
Payable for Fund Shares Redeemed | 1,045 | — | — | |||||||||
Accrued Directors’ Fees and Expenses | 13 | 13 | 13 | |||||||||
Accrued Management Fees | 609 | 1 | 8 | |||||||||
Accrued Distribution Fees | 79 | — | (4) | 2 | ||||||||
Interest Payable on Swap Agreements | — | 1 | — | |||||||||
Payable for Daily Variation Margin on Open Financial Futures Contracts | 103 | — | — | |||||||||
Collateral Pledged by Brokers on Open Forward Foreign Currency Contracts | 1,350 | — | — | |||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | — | 13 | |||||||||
Other Accrued Expenses | 393 | 72 | 31 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 166,452 | 87 | 442 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,736,126 | $ | 1,275 | $ | 16,393 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 1,743,686 | $ | 1,188 | $ | 16,632 | ||||||
Accumulated Net Realized Gain (Loss) on Investments, Futures Contracts, | (15,765 | ) | 56 | 19 | ||||||||
Unrealized Appreciation (Depreciation) of Investments, Futures Contracts and | 10,105 | 47 | (277 | ) | ||||||||
Undistributed (Overdistributed) Net Investment Income | (1,900 | ) | (16 | ) | 19 | |||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,736,126 | $ | 1,275 | $ | 16,393 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 1,379,196 | $ | 758 | $ | 8,714 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 356,930 | $ | 517 | $ | 7,679 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARES OUTSTANDING: (5) | ||||||||||||
I Class Share | 125,528,138 | 145,593 | 893,477 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 32,569,215 | 99,369 | 787,280 | |||||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE PER SHARE: (6) | ||||||||||||
I Class Share | $ | 10.99 | $ | 5.20 | $ | 9.75 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 10.96 | $ | 5.21 | $ | 9.75 | ||||||
|
|
|
|
|
|
(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, 2017 was $1,852,393, $1,170 and $16,954, respectively. |
(3) | The identified cost for the TCW Global Bond Fund at October 31, 2017 was $11. |
(4) | Amount rounds to less than $1. |
(5) | The number of authorized shares, with a par value of $0.001 per share is 4,000,000,000 for each of the I Class and N Class shares. |
(6) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
80
TCW Funds, Inc.
Statements of Assets and Liabilities | October 31, 2017 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
Dollar Amounts in Thousands (Except per Share Amounts) | ||||||||||||
ASSETS | ||||||||||||
Investments, at Value (1) | $ | 21,204 | $ | 8,035 | $ | 9,843,761 | ||||||
Cash | — | — | 3 | |||||||||
Receivable for Securities Sold | 87 | — | — | |||||||||
Receivable for Sale of When-Issued Securities | — | — | 751,356 | |||||||||
Receivable for Fund Shares Sold | 27 | — | 18,606 | |||||||||
Interest and Dividends Receivable | 241 | 35 | 22,666 | |||||||||
Receivable from Investment Advisor | 21 | 13 | 855 | |||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | 2 | — | 8,069 | |||||||||
Cash Collateral Held for Open Forward Foreign Currency Contracts | — | — | 7,425 | |||||||||
Prepaid Expenses | 9 | 10 | 41 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 21,591 | 8,093 | 10,652,782 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Distributions Payable | 75 | 13 | 19,905 | |||||||||
Payable for Securities Purchased | 305 | 79 | 88 | |||||||||
Payable for Purchase of When-Issued Securities | — | — | 1,602,386 | |||||||||
Payable for Fund Shares Redeemed | 14 | 1 | 9,929 | |||||||||
Accrued Directors’ Fees and Expenses | 13 | 13 | 13 | |||||||||
Accrued Management Fees | 8 | 2 | 3,959 | |||||||||
Accrued Distribution Fees | 1 | — | 423 | |||||||||
Interest Payable on Swap Agreements | — | (2) | — | — | ||||||||
Payable for Daily Variation Margin on Open Financial Futures Contracts | — | — | 817 | |||||||||
Open Swap Agreements, at Value | 3 | — | — | |||||||||
Collateral Pledged for Open Forward Foreign Currency Contracts | — | — | 6,870 | |||||||||
Other Accrued Expenses | 43 | 34 | 2,252 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 462 | 142 | 1,646,642 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 21,129 | $ | 7,951 | $ | 9,006,140 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in Capital | $ | 21,562 | $ | 15,368 | $ | 8,852,166 | ||||||
Accumulated Net Realized Loss on Investments, Futures Contracts, Swap Contracts and Foreign Currency | (595 | ) | (7,439 | ) | (163,409 | ) | ||||||
Unrealized Appreciation (Depreciation) of Investments, Futures Contracts and Swap Contracts | 95 | 17 | 237,305 | |||||||||
Undistributed Net Investment Income | 67 | 5 | 80,078 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 21,129 | $ | 7,951 | $ | 9,006,140 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS ATTRIBUTABLE TO: | ||||||||||||
I Class Share | $ | 14,195 | $ | 7,951 | $ | 7,103,832 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 6,934 | $ | 1,902,308 | ||||||||
|
|
|
| |||||||||
CAPITAL SHARES OUTSTANDING: (3) | ||||||||||||
I Class Share | 2,226,808 | 921,968 | 711,981,544 | |||||||||
|
|
|
|
|
| |||||||
N Class Share | 1,080,215 | 184,864,930 | ||||||||||
|
|
|
| |||||||||
NET ASSET VALUE PER SHARE: (4) | ||||||||||||
I Class Share | $ | 6.37 | $ | 8.62 | $ | 9.98 | ||||||
|
|
|
|
|
| |||||||
N Class Share | $ | 6.42 | $ | 10.29 | ||||||||
|
|
|
|
(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, 2017 was $21,106, $8,018 and $9,603,238, respectively. |
(2) | Amount rounds to less than $1. |
(3) | The number of authorized shares, with a par value of $0.001 per share is 4,000,000,000 for each of the I Class and N Class shares. |
(4) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
81
TCW Funds, Inc.
Year Ended October 31, 2017 |
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund (1) | TCW Global Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 42,784 | $ | 36 | $ | 448 | ||||||
|
|
|
|
|
| |||||||
Total | 42,784 | 36 | 448 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 6,980 | 7 | 88 | |||||||||
Accounting Services Fees | 173 | 26 | 3 | |||||||||
Administration Fees | 102 | 36 | 2 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 866 | 10 | 6 | |||||||||
N Class | 409 | 9 | 7 | |||||||||
Custodian Fees | 34 | 7 | 26 | |||||||||
Professional Fees | 105 | 40 | 39 | |||||||||
Directors’ Fees and Expenses | 44 | 44 | 44 | |||||||||
Registration Fees: | ||||||||||||
I Class | 72 | 11 | 17 | |||||||||
N Class | 30 | 11 | 17 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 1,013 | 1 | 19 | |||||||||
Shareholder Reporting Expense | 7 | 1 | 1 | |||||||||
Other | 161 | 10 | 10 | |||||||||
|
|
|
|
|
| |||||||
Total | 9,996 | 213 | 279 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 211 | 117 | 48 | |||||||||
N Class | 164 | 87 | 65 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 9,621 | 9 | 166 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 33,163 | 27 | 282 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | (13,483 | ) | — | (2) | 18 | |||||||
Foreign Currency | 315 | — | 2 | |||||||||
Foreign Currency Forward Contracts | (1,236 | ) | — | (35 | ) | |||||||
Futures Contracts | (1,796 | ) | — | — | ||||||||
Swap Agreements | (4 | ) | (9 | ) | — | |||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (9,269 | ) | 4 | (77 | ) | |||||||
Foreign Currency | — | — | — | (2) | ||||||||
Foreign Currency Forward Contracts | 1,414 | — | (5 | ) | ||||||||
Futures contracts | (453 | ) | — | — | ||||||||
Swap Agreements | — | 31 | — | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments and | (24,512 | ) | 26 | (97 | ) | |||||||
|
|
|
|
|
| |||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 8,651 | $ | 53 | $ | 185 | ||||||
|
|
|
|
|
|
(1) | Consolidated Statement of Operations (See Note 2). |
(2) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
82
TCW Funds, Inc.
Statements of Operations | Year Ended October 31, 2017 |
TCW High Yield Bond Fund | TCW Short Term Bond Fund | TCW Total Return Bond Fund | ||||||||||
Dollar Amounts in Thousands | ||||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 1,084 | $ | 121 | $ | 303,484 | ||||||
|
|
|
|
|
| |||||||
Total | 1,084 | 121 | 303,484 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management Fees | 111 | 30 | 47,207 | |||||||||
Accounting Services Fees | 27 | 1 | 940 | |||||||||
Administration Fees | 2 | 1 | 568 | |||||||||
Transfer Agent Fees: | ||||||||||||
I Class | 16 | 11 | 5,975 | |||||||||
N Class | 13 | — | 2,044 | |||||||||
Custodian Fees | 18 | 7 | 103 | |||||||||
Professional Fees | 35 | 23 | 338 | |||||||||
Directors’ Fees and Expenses | 44 | 44 | 44 | |||||||||
Registration Fees: | ||||||||||||
I Class | 20 | 21 | 119 | |||||||||
N Class | 18 | — | 104 | |||||||||
Distribution Fees: | ||||||||||||
N Class | 20 | — | 5,584 | |||||||||
Shareholder Reporting Expense | 3 | — (1 | ) | 21 | ||||||||
Other | 7 | 5 | 848 | |||||||||
|
|
|
|
|
| |||||||
Total | 334 | 143 | 63,895 | |||||||||
|
|
|
|
|
| |||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||
I Class | 112 | 105 | 8,986 | |||||||||
N Class | 67 | — | 1,947 | |||||||||
|
|
|
|
|
| |||||||
Net Expenses | 155 | 38 | 52,962 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 929 | 83 | 250,522 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 762 | (5 | ) | (184,971 | ) | |||||||
Foreign Currency | — | — | 3,636 | |||||||||
Foreign Currency Forward Contracts | 3 | — | 29,111 | |||||||||
Futures Contracts | — | — | (18,237 | ) | ||||||||
Swap Agreements | (4 | ) | — | — | ||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (71 | ) | (12 | ) | (51,629 | ) | ||||||
Foreign Currency | — | — | — | |||||||||
Foreign Currency Forward Contracts | 2 | — | 2,436 | |||||||||
Futures contracts | — | — | (4,102 | ) | ||||||||
Swap Agreements | — | (1) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 692 | (17 | ) | (223,756 | ) | |||||||
|
|
|
|
|
| |||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,621 | $ | 66 | $ | 26,766 | ||||||
|
|
|
|
|
|
(1) | Amount rounds to less than $1. |
See accompanying notes to financial statements.
83
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund(1) | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 33,163 | $ | 28,873 | $ | 27 | $ | 19 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Swap Contracts and Foreign Currency Transactions | (16,204 | ) | 25,165 | (9 | ) | (86 | ) | |||||||||
Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts | (8,308 | ) | 12,917 | 35 | 27 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Operations | 8,651 | 66,955 | 53 | (40 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (28,052 | ) | (21,736 | ) | (16 | ) | (13 | ) | ||||||||
N Class | (7,220 | ) | (7,802 | ) | (11 | ) | (11 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (14,647 | ) | (9,987 | ) | (8 | ) | — | |||||||||
N Class | (5,178 | ) | (5,013 | ) | (5 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (55,097 | ) | (44,538 | ) | (40 | ) | (24 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | (8,123 | ) | 295,328 | 24 | (682 | ) | ||||||||||
N Class | (117,795 | ) | (60,988 | ) | 17 | (629 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | (125,918 | ) | 234,340 | 41 | (1,311 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (172,364 | ) | 256,757 | 54 | (1,375 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 1,908,490 | 1,651,733 | 1,221 | 2,596 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 1,736,126 | $ | 1,908,490 | $ | 1,275 | $ | 1,221 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Overdistributed Net Investment Income | $ | (1,900 | ) | $ | (492 | ) | $ | (16 | ) | $ | (37 | ) |
(1) | Consolidated Statement of Changes in Net Assets (See Note 2). |
See accompanying notes to financial statements.
84
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Global Bond Fund | TCW High Yield Bond Fund | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 282 | $ | 326 | $ | 929 | $ | 1,129 | ||||||||
Net Realized Gain (Loss) on Investments, Swap Contracts and Foreign Currency Transactions | (15 | ) | 138 | 761 | 95 | |||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | (82 | ) | 150 | (69 | ) | 344 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 185 | 614 | 1,621 | 1,568 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (144 | ) | (191 | ) | (726 | ) | (852 | ) | ||||||||
N Class | (127 | ) | (170 | ) | (339 | ) | (337 | ) | ||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | (58 | ) | (110 | ) | — | — | ||||||||||
N Class | (51 | ) | (103 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (380 | ) | (574 | ) | (1,065 | ) | (1,189 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 170 | 757 | (6,449 | ) | (918 | ) | ||||||||||
N Class | 184 | 201 | (769 | ) | (8,371 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 354 | 958 | (7,218 | ) | (9,289 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 159 | 998 | (6,662 | ) | (8,910 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 16,234 | 15,236 | 27,791 | 36,701 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 16,393 | $ | 16,234 | $ | 21,129 | $ | 27,791 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income | $ | 19 | $ | 10 | $ | 67 | $ | 79 |
See accompanying notes to financial statements.
85
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Short Term Bond Fund | TCW Total Return Bond Fund | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net Investment Income | $ | 83 | $ | 49 | $ | 250,522 | $ | 246,845 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions | (5 | ) | 18 | (170,461 | ) | 198,446 | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts | (12 | ) | 1 | (53,295 | ) | (101,208 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 66 | 68 | 26,766 | 344,083 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (143 | ) | (58 | ) | (183,998 | ) | (177,095 | ) | ||||||||
N Class | — | — | (50,442 | ) | (57,056 | ) | ||||||||||
Distributions from Net Realized Gain: | ||||||||||||||||
I Class | — | — | (114,017 | ) | (44,612 | ) | ||||||||||
N Class | — | — | (38,135 | ) | (16,251 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (143 | ) | (58 | ) | (386,592 | ) | (295,014 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
I Class | 330 | (1,926 | ) | (671,642 | ) | 1,644,991 | ||||||||||
N Class | — | — | (767,389 | ) | 350,792 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 330 | (1,926 | ) | (1,439,031 | ) | 1,995,783 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 253 | (1,916 | ) | (1,798,857 | ) | 2,044,852 | ||||||||||
NET ASSETS | ||||||||||||||||
Beginning of Year | 7,698 | 9,614 | 10,804,997 | 8,760,145 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 7,951 | $ | 7,698 | $ | 9,006,140 | $ | 10,804,997 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income | $ | 5 | $ | 9 | $ | 80,078 | $ | 60,699 |
See accompanying notes to financial statements.
86
TCW Funds, Inc.
October 31, 2017 |
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), that currently offers 21 no-load mutual funds (each series a “Fund” and collectively the “Funds”). TCW Investment Management Company LLC (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940, as amended. Each Fund has distinct investment objectives. The following are the objectives for the 6 Fixed Income Funds that are covered in this report:
TCW Fund | Investment Objective | |
Diversified Fixed Income Funds | ||
TCW Core Fixed Income Fund | Seeks to maximize current income and achieve above average total return consistent with prudent investment management over a full market cycle by investing at least 80% of the value of its net assets in debt securities. | |
TCW Enhanced Commodity Strategy Fund | Seeks total return which exceeds that of its commodity benchmark by investing in commodity linked derivative instruments backed by a portfolio of fixed income instruments. | |
TCW Global Bond Fund | Seeks total return by investing at least 80% of its net assets in debt securities of government and corporate issuers in at least three countries, and will invest at least 30% of its net assets in securities of issuers located outside the United States. | |
TCW High Yield Bond Fund | Seeks to maximize income and achieve above average total return consistent with reasonable risk over a full market cycle by investing at least 80% of the value of its net assets in high yield/below investment grade bonds, commonly known as “junk” bonds. | |
TCW Short Term Bond Fund | Seeks to maximize current income by investing at least 80% of the value of its net assets in a diversified portfolio of debt securities of varying maturities including bonds, notes and other similar fixed income instruments issued by governmental or private sector issuers. | |
TCW Total Return Bond Fund | Seeks to maximize current income and achieve above average total return consistent with prudent investment management over a full market cycle by investing at least 80% of the value of its net assets in debt securities and at least 50% of the value in securitized obligations. |
87
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 (“GAAP”) and which are consistently followed by the Funds in the preparation of their financial statements. Each Fund is considered an investment company under the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) No. 946, Financial Services — Investment Companies.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Principles of Consolidation: The TCW Cayman Enhanced Commodity Fund, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated as a wholly owned subsidiary acting as an investment vehicle for the TCW Enhanced Commodity Strategy Fund (the “Parent”) in order to effect certain investments for the Parent consistent with the Parent’s investment objectives and policies as specified in its prospectus and statement of additional information. The accompanying financial statements are consolidated and include the accounts of the Subsidiary. The Parent may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at October 31, 2017 were $307,060 or 24.08% of the Parent’s consolidated net assets. Intercompany balances and transactions have been eliminated in consolidation.
Net Asset Value: The net asset value per share (“NAV”) of each class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that class on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using official closing prices as reported by NASDAQ. All other securities including short-term securities traded over the counter (“OTC”) for which market quotations are readily available are valued with prices furnished by independent pricing services or by broker dealers.
Securities for which market quotations are not readily available, including circumstances under which it is determined by the Advisor that prices received are not reflective of their market values, are valued by the Advisor in good faith under procedures established by and under the general supervision of Company’s Board of Directors (the “Board”).
Fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Funds disclose investments in their financial statements in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements based on inputs. Inputs that go into fair value measurement refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the inputs market participants
88
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
would use in pricing the asset or liability developed based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in three broad levels listed below.
Level 1 — | quoted prices in active markets for identical investments | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
Fair Value Measurements: Descriptions of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”). The fair value of ABS and MBS is estimated based on pricing models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed 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
89
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value 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.
Foreign currency contracts. The fair value of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. To the extent that these factors can be observed, foreign currency contracts are categorized in Level 2 of the fair value hierarchy.
Futures contracts. Futures contracts are generally valued at the settlement price established at the close of business each day by the exchange on which they are traded. As such, they are categorized in Level 1.
Government and agency securities. Government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, government and agency securities are normally categorized in Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
Money market funds. Money market funds are open-end mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported NAV, they are categorized in Level 1 of the fair value hierarchy.
Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid wants lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, issued by non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
Short-term investments. Short-term investments are valued using market price quotations, and are reflected in Level 2 of the fair value hierarchy.
Total return swaps. Total return swaps are fair valued using pricing models that take into account, among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of the total return swaps would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
The summary of the inputs used as of October 31, 2017 is listed after the Schedule of Investments for each Fund.
The Funds did not have any transfers in and out of Level 1 and Level 2 of the fair value hierarchy during the year ended October 31, 2017.
90
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
TCW Core Fixed Income Fund | TCW Enhanced Commodity Strategy Fund | TCW Global Bond Fund | TCW High Yield Bond Fund | TCW Total Return Bond Fund | ||||||||||||||||
Balance as of October 31, 2016 | $ | 1,180,023 | $ | 817 | $ | 166,910 | $ | 396,790 | $ | 8,722,086 | ||||||||||
Accrued Discounts (Premiums) | (1,547 | ) | — | (4,884 | ) | — | (1,304,717 | ) | ||||||||||||
Realized Gain (Loss) | (4,015 | ) | (240 | ) | — | (15,862 | ) | 262,360 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) | 139,440 | 10,083 | (15,549 | ) | 3,480 | (681,650 | ) | |||||||||||||
Purchases | — | — | — | 191,970 | 3,522 | |||||||||||||||
Sales | (84,889 | ) | — | — | (464,178 | ) | (1,913,623 | ) | ||||||||||||
Transfers in to Level 3 (1) | — | — | — | — | 1,893,430 | (2) | ||||||||||||||
Transfers out of Level 3 (1) | — | — | — | — | — | |||||||||||||||
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|
|
|
|
|
|
|
| |||||||||||
Balance as of October 31, 2017 | $ | 1,229,012 | $ | 10,660 | $ | 146,477 | $ | 112,200 | $ | 6,981,408 | ||||||||||
|
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|
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|
| |||||||||||
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at October 31, 2017 | $ | 139,440 | $ | 10,083 | $ | (15,549 | ) | $ | 215,024 | $ | (681,650 | ) | ||||||||
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(1) | The Funds recognize transfers in and out at the beginning of the period. |
(2) | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
Significant unobservable valuations inputs for Level 3 investments as of October 31, 2017 are as follows:
Description | Fair Value at 10/31/2017 | Valuation Techniques* | Unobservable Input | Price or Price Range | Weighted Average Price | |||||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||||||
Corporate Bonds | $ | 1,229,012 | Third-party Vendor | Vendor Prices | $116.649 | $ | 116.65 | |||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | $ | 10,660 | Third-party Vendor | Vendor Prices | $0.676 | $0.676 | ||||||||||||||
TCW Global Bond Fund | ||||||||||||||||||||
Commercial Mortgage-Backed Securities — Non-Agency | $ | 1,826 | Third-party Vendor | Vendor Prices | $0.051–$0.078 | $0.069 | ||||||||||||||
Residential Mortgage-Backed Securities — Non-Agency | $ | 144,651 | Third-party Vendor | Vendor Prices | $11.556 | $ | 11.556 | |||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||||||
Common Stock | $ | 112,200 | Third-party Vendor | Vendor Prices | $20.000 | $20.000 | ||||||||||||||
TCW Total Return Bond Fund | ||||||||||||||||||||
Residential Mortgage-Backed Securities — Non- Agency | $ | 174 | Third-party Vendor | Vendor Prices | $100.000 | $ | 100.000 | |||||||||||||
Residential Mortgage-Backed Securities — Non-Agency (Interest Only, Collateral Strip Rate Securities) | $ | 6,981,234 | Third-party Vendor | Vendor Prices | $ | 0.754–$20.842 | $1.851 |
* | The valuation technique employed on the Level 3 securities involves the use of the vendor prices. The Advisor monitors the effectiveness of vendor pricing using the valuation process described below. |
Level 3 Valuation Process: Investments classified within Level 3 of the fair value hierarchy may be fair valued by the Advisor’s Pricing Committee (the “Pricing Committee”) in accordance with the guidelines established by the Board’s Valuation Committee, and under the general oversight of the Board. The Pricing Committee employs various methods to determine fair valuations, including a regular review of key inputs
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
and assumptions and review of any related market activity. The Pricing Committee reports to the Board at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Company’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment. The Advisor, as part of the daily process, conducts back-testing of prices based on daily trade activities.
The Pricing Committee consists of the Company’s President, General Counsel, Chief Compliance Officer, Treasurer, Assistant Treasurer, Secretary, and a representative from the portfolio management team, as well as alternate members as the Board may from time to time designate. The Pricing Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Funds’ pricing procedures in general. The Board’s Valuation Committee consists of the Company’s President and three independent Directors.
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.
92
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
For the year ended October 31, 2017, the following Funds had derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Notional Amounts or shares/Units):
Commodity Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 1,414 | $ | — | $ | 1,414 | ||||||||
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Total Value | $ | — | $ | 1,414 | $ | — | $ | 1,414 | ||||||||
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| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts(1) | $ | — | $ | — | $ | (1,238 | ) | $ | (1,238 | ) | ||||||
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Total Value | $ | — | $ | — | $ | (1,238 | ) | $ | (1,238 | ) | ||||||
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| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Forward Contracts | $ | — | $ | (1,236 | ) | $ | — | $ | (1,236 | ) | ||||||
Futures Contracts | — | — | (1,796 | ) | (1,796 | ) | ||||||||||
Swaps Contracts | — | — | (4 | ) | (4 | ) | ||||||||||
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Total Realized Gain (Loss) | $ | — | $ | (1,236 | ) | $ | (1,800 | ) | $ | (3,036 | ) | |||||
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| |||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||
Forward Contracts | $ | — | $ | 1,414 | $ | — | $ | 1,414 | ||||||||
Futures Contracts | — | — | (453 | ) | (453 | ) | ||||||||||
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| |||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | 1,414 | $ | (453 | ) | $ | 961 | |||||||
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| |||||||||
Number of Contracts or Notional Amounts (3) | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 64,387,311 | $ | — | $ | 64,387,311 | ||||||||
Swaps Contracts | $ | — | $ | — | $ | 8,850,000 | $ | 8,850,000 | ||||||||
Futures Contracts | — | — | 1,466 | 1,466 | ||||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Swaps Contracts | $ | 13 | $ | — | $ | — | $ | 13 | ||||||||
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Total Value | $ | 13 | $ | — | $ | — | $ | 13 | ||||||||
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| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Swaps Contracts | $ | (9 | ) | $ | — | $ | — | $ | (9 | ) | ||||||
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| |||||||||
Total Realized Gain (Loss) | $ | (9 | ) | $ | — | $ | — | $ | (9 | ) | ||||||
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| |||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||
Swaps Contracts | $ | 31 | $ | — | $ | — | $ | 31 | ||||||||
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| |||||||||
Total Change in Appreciation (Depreciation) | $ | 31 | $ | — | $ | — | $ | 31 | ||||||||
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Notional Amounts (3) | ||||||||||||||||
Swaps Contracts | $ | 1,241,786 | $ | — | $ | — | $ | 1,241,786 |
93
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Credit Risk | Foreign Currency Risk | Total | ||||||||||
TCW Global Bond Fund | ||||||||||||
Statement of Asset and Liabilities | ||||||||||||
Asset Derivatives | ||||||||||||
Forward Contracts | $ | — | $ | 6 | $ | 6 | ||||||
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| |||||||
Total Value | $ | — | $ | 6 | $ | 6 | ||||||
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Liability Derivatives | ||||||||||||
Forward Contracts | $ | — | $ | 13 | $ | 13 | ||||||
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Total Value | $ | — | $ | 13 | $ | 13 | ||||||
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| |||||||
Statement of Operations: | ||||||||||||
Realized Gain (Loss) | ||||||||||||
Forward Contracts | $ | — | $ | (35 | ) | $ | (35 | ) | ||||
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| |||||||
Total Realized Gain (Loss) | $ | — | $ | (35 | ) | $ | (35 | ) | ||||
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| |||||||
Change in Appreciation (Depreciation) | ||||||||||||
Forward Contracts | $ | — | $ | (5 | ) | $ | (5 | ) | ||||
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| |||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | (5 | ) | $ | (5 | ) | ||||
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Notional Amounts (3) | ||||||||||||
Forward Currency Contracts | $ | — | $ | 1,390,010 | $ | 1,390,010 | ||||||
TCW High Yield Bond Fund | ||||||||||||
Statement of Asset and Liabilities | ||||||||||||
Asset Derivatives | ||||||||||||
Forward Contracts | $ | — | $ | 2 | $ | 2 | ||||||
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Total Value | $ | — | $ | 2 | $ | 2 | ||||||
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Liability Derivatives | ||||||||||||
Swaps Contracts | $ | (3 | ) | $ | — | $ | (3 | ) | ||||
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| |||||||
Total Value | $ | (3 | ) | $ | — | $ | (3 | ) | ||||
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Statement of Operations: | ||||||||||||
Realized Gain (Loss) | ||||||||||||
Forward Contracts | $ | — | $ | 3 | $ | 3 | ||||||
Swaps Contracts | (4 | ) | — | (4 | ) | |||||||
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| |||||||
Total Realized Gain (Loss) | $ | (4 | ) | $ | 3 | $ | (1 | ) | ||||
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| |||||||
Change in Appreciation (Depreciation) | ||||||||||||
Swaps Contracts | $ | — | (2) | $ | — | $ | — | (2) | ||||
Forward Contracts | — | 2 | 2 | |||||||||
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| |||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | 2 | $ | 2 | ||||||
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| |||||||
Notional Amounts(3) | ||||||||||||
Forward Contracts | $ | — | $ | 237,257 | $ | 237,257 | ||||||
Swaps Contracts | $ | 250,000 | $ | — | $ | 250,000 |
94
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
TCW Total Return Bond Fund | ||||||||||||
Statement of Asset and Liabilities | ||||||||||||
Asset Derivatives | ||||||||||||
Forward Contracts | $ | 8,069 | $ | — | $ | 8,069 | ||||||
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Total Value | $ | 8,069 | $ | — | $ | 8,069 | ||||||
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Liability Derivatives | ||||||||||||
Futures Contracts (1) | $ | — | $ | (11,287 | ) | $ | (11,287 | ) | ||||
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Total Value | $ | — | $ | (11,287 | ) | $ | (11,287 | ) | ||||
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Statement of Operations: | ||||||||||||
Realized Gain (Loss) | ||||||||||||
Forward Contracts | $ | 29,111 | $ | — | $ | 29,111 | ||||||
Futures Contracts | — | (18,237 | ) | (18,237 | ) | |||||||
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| |||||||
Total Realized Gain (Loss) | $ | 29,111 | $ | (18,237 | ) | $ | 10,874 | |||||
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| |||||||
Change in Appreciation (Depreciation) | ||||||||||||
Forward Contracts | $ | 2,436 | $ | — | $ | 2,436 | ||||||
Futures Contracts | — | (4,102 | ) | (4,102 | ) | |||||||
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| |||||||
Total Change in Appreciation (Depreciation) | $ | 2,436 | $ | (4,102 | ) | $ | (1,666 | ) | ||||
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Number of Contracts or Notional Amounts (3) | ||||||||||||
Forward Currency Contracts | $ | 409,013,421 | $ | — | $ | 409,013,421 | ||||||
Futures Contracts | — | 11,086 | 11,086 |
(1) | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin on October 31, 2017 is reported within the Statement of Assets and Liabilities. |
(2) | Amount rounds to less than 1. |
(3) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the year ended October 31, 2017. |
Counterparty Credit Risk: Derivative contracts may be exposed to counterparty risk. Losses can occur if the counterparty does not perform under the contract.
The Funds’ risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Funds.
With exchange traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Funds do not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds. In order to better define its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master
95
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 GAAP more comparable to those prepared under International Financial Reporting Standards.
The following table presents the Funds’ OTC derivatives assets and liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or Master Repurchase Agreement (“MRA”) and net of the related collateral received by the Funds as of October 31, 2017 (in thousands):
TCW Core Fixed Income Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America N.A. (Derivatives) | $ | 1,008 | $ | — | $ | 1,008 | $ | (1,008 | ) (2) | $ | — | |||||||||
Goldman Sachs & Co. (Derivatives) | 406 | — | 406 | (330 | ) | 76 | ||||||||||||||
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Total | $ | 1,414 | $ | — | $ | 1,414 | $ | (1,338 | ) | $ | 76 | |||||||||
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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. |
96
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
TCW Enhanced Commodity Strategy Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Credit Suisse First Boston Corp. (Derivatives) | $ | 13 | $ | — | $ | 13 | $ | — | $ | 13 | ||||||||||
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Total | $ | 13 | $ | — | $ | 13 | $ | — | $ | 13 | ||||||||||
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(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
TCW Global Bond Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Barclays Capital (Derivatives) | $ | 6 | $ | (13 | ) | $ | (7 | ) | $ | — | $ | (7 | ) | |||||||
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Total | $ | 6 | $ | (13 | ) | $ | (7 | ) | $ | — | $ | (7 | ) | |||||||
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(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
TCW High Yield Bond Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Goldman Sachs International (Derivatives) | $ | 2 | $ | (3 | ) | $ | (1 | ) | $ | — | $ | (1 | ) | |||||||
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Total | $ | 2 | $ | (3 | ) | $ | (1 | ) | $ | — | $ | (1 | ) | |||||||
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(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
TCW Total Return Bond Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Goldman Sachs International (Derivatives) | $ | 8,069 | $ | — | $ | 8,069 | $ | (6,870 | ) (2) | $ | 1,199 | |||||||||
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Total | $ | 8,069 | $ | — | $ | 8,069 | $ | (6,870 | ) (2) | $ | 1,199 | |||||||||
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(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Amount does not include excess collateral pledged or received. |
Forward Foreign Currency Contracts: The Funds enter into forward foreign currency contracts as a hedge against fluctuations in foreign exchange rates. Forward foreign currency contracts are marked to market daily and the change in market value is recorded by the Funds as unrealized gains or losses in the Statement of Assets and Liabilities. When a contract is closed or delivery is taken, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. The TCW Core Fixed Income Fund, the TCW Global Bond Fund, the TCW High Yield Bond Fund and the TCW Total Return Bond Fund entered into forward
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Note 2 — Significant Accounting Policies (Continued)
foreign currency contracts during the year to hedge against the foreign currency exposure within the Funds. Outstanding foreign currency forward contracts at October 31, 2017 are disclosed in the Schedule of Investments.
Futures Contracts: The Funds may enter into futures contracts. A Fund may seek to manage a variety of different risks through the use of futures contracts, such as interest rate risk, equity price risk, and currency risk. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk. Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by a Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of a Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it.
When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The TCW Core Fixed Income Fund and the TCW Total Return Bond Fund utilized futures during the fiscal year to help manage interest rate duration of those Funds. Futures contracts outstanding at October 31, 2017 are listed on the Schedule of Investments.
Options: The Funds purchase and sell put and call options on an index of securities to enhance investment performance and to protect against changes in market prices. The Funds may also enter into currency options to hedge against currency fluctuations.
A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If a Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund ultimately wants to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit a Fund might have realized had it bought the underlying security at the time it purchased the call option.
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TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. Premiums paid for purchasing options that expire are treated as realized losses.
Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace the expiring series, and opening transactions in existing series may be prohibited.
The Funds may purchase or write (sell) put and call swaptions. Swaption contracts give the purchaser the right (or option), but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. During the year ended October 31, 2017, the Funds have not purchased or written any options.
Swap Agreements. The Funds may enter into swap agreements. Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit
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Note 2 — Significant Accounting Policies (Continued)
quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so called market access transactions).
Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. A Fund’s maximum risk of loss from counterparty default is the discounted NAV of the cash flows paid to the counterparty over the interest rate swap’s remaining life.
A Fund may enter into credit default swap transactions as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds (or other obligations of the reference entity with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. A Fund also takes the risk that the market will move against its position in the swap agreement. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. When a Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on each Fund’s Statement of Operations upon termination or maturity of the swap agreement.
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TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
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, 2017, the TCW Core Fixed Income Fund utilized interest rate swap to manage interest rate exposure, the TCW High Yield Bond Fund utilized credit default swaps to manage credit market exposure; and the TCW Enhanced Commodity Strategy Fund used total return swap agreements to gain exposure to the commodity market.
Mortgage-Backed Securities: The Funds may invest in MBS which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates. The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Ginnie Mae, Freddie Mac or Fannie Mae. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments. These Funds may invest in stripped MBS. Stripped MBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs.
Inflation-Indexed Bonds: The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income.
Inflation-indexed securities issued by the U.S. Treasury have maturities of five, ten, twenty, or thirty years, although it is possible that securities with other maturities will be issued in the future. The U.S. Treasury securities pay interest on a semi-annual basis, equal to a fixed percentage of the inflation-adjusted principal amount.
If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if inflation were to rise at a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds.
While the values of these securities are expected to be protected from long-term inflationary trends, short term increases in inflation may lead to declines in values. If interest rates rise due to reasons other than inflation (for example, due to changes in currency exchange rates), investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.
When-Issued, Delayed-Delivery, To be Announced (“TBA”) and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, TBA or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of the Funds’ existing portfolios. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, TBA or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate with market movement. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, TBA or forward commitment securities until the delivery date, they may result in a form of leverage to the extent a Fund does not set aside liquid assets to cover the commitment. To guard against the deemed leverage, the Fund monitors the obligations under these transactions on a daily basis and ensures that the Fund has sufficient liquid assets to cover them.
Dollar Roll Transactions: The Funds may enter into dollar roll transactions with financial institutions to take advantage of opportunities in the MBS market. A dollar roll transaction involves a simultaneous sale of securities by a Fund with an agreement to repurchase substantially similar securities at an agreed upon price and date, but generally will be collateralized at time of delivery by different pools of mortgages with different prepayment histories than those securities sold. These transactions are accounted for as financing transactions as opposed to sales and purchases. The differential between the sale price and the repurchase price is recorded as deferred income and recognized between the settlement dates of the sale and repurchase. During the period between the sale and repurchase, a Fund will not be entitled to receive interest and principal payments on the securities sold. Dollar roll transactions involve risk that the market value of the security sold by a Fund may decline below the repurchase price of the security and the potential inability of counter parties to complete the transaction. There were no such transactions by the Funds for the year ended October 31, 2017.
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TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of a MRA. The MRA permits a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund recognizes a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty. There were no repurchase agreements outstanding as of October 31, 2017.
Reverse Repurchase Agreements: The Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Funds may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. During the term of the reverse repurchase agreement, the Funds continue to receive the principal and interest payments on the securities sold. There were no reverse repurchase agreements outstanding during the year ended October 31, 2017.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. Government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the year ended October 31, 2017.
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the classes of shares of a Fund based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of that class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class specific fees and expenses will result in differences in net investment income, and in turn differences in dividends paid by each class.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Enhanced Commodity Strategy Fund declares and pays, or reinvests, dividends from net investment income quarterly. The other Fixed Income Funds declare and pay, or reinvest, dividends from net investment income monthly. Any net long-term and net short-term capital gains earned by a Fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from GAAP. These differences are primarily due to differing treatments for foreign currency transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to Fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss).
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
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 an unanticipated rate of prepayment on underlying mortgages increases the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategies, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will achieve their objective through the use of the derivatives.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which a Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities,
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TCW Funds, Inc.
October 31, 2017 |
Note 3 — Risk Considerations (Continued)
particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline. Certain Funds invest a material portion of their assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.
MBS and ABS are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass through, sequential pay, prepayment-protected, interest only, principal-only, etc.), the security of the claim on the underlying assets (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.). In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity takeout), the borrower’s credit quality (e.g., FICO score), and whether the loan is a first trust deed or a second lien.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The exposure to credit and counterparty risks with respect to these financial assets is reflected in fair value recorded in the Funds’ Statements of Assets and Liabilities.
Commodities Risk: The TCW Enhanced Commodity Strategy Fund has exposure to commodity markets through its investments in total return swap agreements. Therefore, the price of its shares is affected by factors particular to the commodity markets and may decline and fluctuate more than the price of shares of a fund with a broader range of investments. Commodity prices can be extremely volatile and are affected by many factors, including changes in overall market movements, real or perceived inflationary trends, commodity index volatility, changes in interest rates or currency exchange rates, population growth and changing demographics, nationalization, expropriation, or other confiscation, international regulatory, political and economic developments (e.g., regime changes and changes in economic activity levels), and developments affecting a particular industry or commodity, such as drought, floods or other weather conditions, livestock disease, trade embargoes, competition from substitute products, transportation bottlenecks or shortages, fluctuations in supply and demand and tariffs.
Foreign Currency Risk: The Funds may be exposed to the risk that the value of the Funds’ investments denominated in foreign currencies will decline in value because the foreign currency has declined in value relative to the U.S. dollar.
Foreign 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.
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TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 3 — Risk Considerations (Continued)
For complete information on the various risks involved, please refer to the Funds’ prospectus and the Statement of Additional Information which can be obtained on the Funds’ website (www.tcw.com) or by calling the customer service.
Note 4 — Federal Income Taxes
It is the policy of each Fund to comply with the requirements under Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gains on investments, to its shareholders. Therefore, no federal income tax provision is required.
At October 31, 2017, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Core Fixed Income Fund | $ | 5,191 | $ | — | $ | 5,191 | ||||||
TCW Enhanced Commodity Strategy Fund | 2 | — | 2 | |||||||||
TCW Global Bond Fund | 65 | 17 | 82 | |||||||||
TCW High Yield Bond Fund | 139 | — | 139 | |||||||||
TCW Short Term Bond Fund | 47 | — | 47 | |||||||||
TCW Total Return Bond Fund | 66,234 | — | 66,234 |
At the end of the previous fiscal year ended October 31, 2016, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Core Fixed Income Fund | $ | 20,035 | $ | 3,498 | $ | 23,533 | ||||||
TCW Enhanced Commodity Strategy Fund | 1 | 12 | 13 | |||||||||
TCW Global Bond Fund | 149 | 3 | 152 | |||||||||
TCW High Yield Bond Fund | 187 | — | 187 | |||||||||
TCW Short Term Bond Fund | 35 | — | 35 | |||||||||
TCW Total Return Bond Fund | 167,057 | 31,547 | 198,604 |
Permanent differences incurred during the year ended October 31, 2017, 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 Core Fixed Income Fund | $ | 701 | $ | (701 | ) | $ | — | |||||
TCW Enhanced Commodity Strategy Fund | 21 | 1,730 | (1,751 | ) | ||||||||
TCW Global Bond Fund | (2 | ) | 2 | — | (1) | |||||||
TCW High Yield Bond Fund | 124 | (124 | ) | — | (1) | |||||||
TCW Short Term Bond Fund | 56 | (56 | ) | — | ||||||||
TCW Total Return Bond Fund | 3,297 | (3,297 | ) | — | (1) |
(1) | This amount rounds to less than $1. |
106
TCW Funds, Inc.
October 31, 2017 |
Note 4 — Federal Income Taxes (Continued)
During the year ended October 31, 2017, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Core Fixed Income Fund | $ | 51,602 | $ | 3,495 | $ | 55,097 | ||||||
TCW Enhanced Commodity Strategy Fund | 28 | 12 | 40 | |||||||||
TCW Global Bond Fund | 377 | 3 | 380 | |||||||||
TCW High Yield Bond Fund | 1,065 | — | 1,065 | |||||||||
TCW Short Term Bond Fund | 143 | — | 143 | |||||||||
TCW Total Return Bond Fund | 355,061 | 31,531 | 386,592 |
During the previous fiscal year ended October 31, 2016, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Core Fixed Income Fund | $ | 43,487 | $ | 1,051 | $ | 44,538 | ||||||
TCW Enhanced Commodity Strategy Fund | 24 | — | 24 | |||||||||
TCW Global Bond Fund | 428 | 146 | 574 | |||||||||
TCW High Yield Bond Fund | 1,189 | — | 1,189 | |||||||||
TCW Short Term Bond Fund | 58 | — | 58 | |||||||||
TCW Total Return Bond Fund | 271,922 | 23,092 | 295,014 |
At October 31, 2017, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows (amounts in thousands):
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Core Fixed Income Fund | $ | 17,935 | $ | (11,209 | ) | $ | 6,726 | $ | 1,855,597 | |||||||
TCW Enhanced Commodity Strategy Fund | 47 | — | 47 | 1,170 | ||||||||||||
TCW Global Bond Fund | 461 | (756 | ) | (295 | ) | 16,962 | ||||||||||
TCW High Yield Bond Fund | 503 | (322 | ) | 181 | 21,024 | |||||||||||
TCW Short Term Bond Fund | — | (66 | ) | (66 | ) | 8,102 | ||||||||||
TCW Total Return Bond Fund | 402,285 | (120,946 | ) | 281,339 | 9,562,422 |
At October 31, 2017, the following Funds had net realized loss carryforwards for federal income tax purposes (amounts in thousands):
No Expiration (2) | ||||||||||||||||||||
Expiring In 2018 (1) | Expiring In 2019 (1) | Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||||||||
TCW Core Fixed Income Fund | $ | — | $ | — | $ | 16,237 | $ | — | $ | 16,237 | ||||||||||
TCW Enhanced Commodity Strategy Fund | $ | — | $ | — | $ | — | (3) | $ | — | (3) | $ | — | (3) | |||||||
TCW High Yield Bond Fund | $ | — | $ | — | $ | 218 | $ | 460 | $ | 678 | ||||||||||
TCW Short Term Bond Fund | $ | 7,023 | $ | 111 | $ | 110 | $ | 139 | $ | 249 | ||||||||||
TCW Total Return Bond Fund | $ | — | $ | — | $ | 173,692 | $ | — | $ | 173,692 |
(1) | Losses incurred prior to December 22, 2010. |
(2) | Losses incurred after December 22, 2010. |
(3) | Amount rounds to less than $1. |
The Funds did not have any unrecognized tax benefits at October 31, 2017, nor were there any increases or decreases in unrecognized tax benefits for the year ended October 31, 2017. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
107
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 5 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily NAV:
TCW Core Fixed Income Fund | 0.40 | % | ||
TCW Enhanced Commodity Strategy Fund | 0.50 | % | ||
TCW Global Bond Fund | 0.55 | % | ||
TCW High Yield Bond Fund | 0.45 | % | ||
TCW Short Term Bond Fund | 0.35 | % | ||
TCW Total Return Bond Fund | 0.50 | % |
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets.
TCW Core Fixed Income Fund | ||||
I Class | 0.49 | % (1) | ||
N Class | 0.74 | % (2) | ||
TCW Enhanced Commodity Strategy Fund | ||||
I Class | 0.70 | % (1) | ||
N Class | 0.75 | % (1) | ||
TCW Global Bond Fund | ||||
I Class | 1.04 | % (1) | ||
N Class | 1.04 | % (1) | ||
TCW High Yield Bond Fund | ||||
I Class | 0.55 | % (1) | ||
N Class | 0.80 | % (1) | ||
TCW Short Term Bond Fund | ||||
I Class | 0.44 | % (1) | ||
TCW Total Return Bond Fund | ||||
I Class | 0.49 | % (1) | ||
N Class | 0.79 | % (1) |
(1) | These limitations are based on an agreement between the Advisor and Company. |
(2) | Limitation based on average expense ratio as reported by Lipper, Inc. which is subject to change on a monthly basis. This ratio was in effect as of October 31, 2017. This limitation is voluntary and terminable on a six months notice. |
The amount borne by the Advisor during the fiscal year when the operating expenses of a Fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop below the expense limitation in the subsequent years. The Advisor can recapture expenses only within a given fiscal year for that year’s operating expenses.
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which are shown on the Statement of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Deferred compensation is included within directors’ fees and expenses in the Statements of Assets and Liabilities.
Note 6 — Distribution Plan
TCW Funds Distributors LLC (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
108
TCW Funds, Inc.
October 31, 2017 |
Note 7 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the year ended October 31, 2017 were as follows (amounts in thousands):
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Core Fixed Income Fund | $ | 257,942 | $ | 285,126 | $ | 4,737,445 | $ | 4,851,704 | ||||||||
TCW Enhanced Commodity Strategy Fund | — | 106 | — | — | ||||||||||||
TCW Global Bond Fund | 2,145 | 2,529 | 11,770 | 11,832 | ||||||||||||
TCW High Yield Bond Fund | 37,873 | 44,112 | — | — | ||||||||||||
TCW Short Term Bond Fund | 1,445 | 1,142 | 6,827 | 6,932 | ||||||||||||
TCW Total Return Bond Fund (1) | 44,469 | 760,341 | 26,300,051 | 26,971,130 |
(1) | Sales include the Fund’s sale of certain securities to affiliated investment accounts for a total of $118,203 (amount in thousands) in accordance with the provisions set forth in Section 17(a)-7 of the 1940 Act. |
Note 8 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Core Fixed Income Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 52,501,918 | $ | 575,707 | 57,678,268 | $ | 646,593 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,503,848 | 38,366 | 2,643,314 | 29,401 | ||||||||||||
Shares Redeemed | (56,484,294 | ) | (622,196 | ) | (33,895,565 | ) | (380,666 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (478,528 | ) | $ | (8,123 | ) | 26,426,017 | $ | 295,328 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 4,750,936 | $ | 52,020 | 8,762,584 | $ | 97,810 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 862,922 | 9,415 | 890,126 | 9,853 | ||||||||||||
Shares Redeemed | (16,351,869 | ) | (179,230 | ) | (15,083,249 | ) | (168,651 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (10,738,011 | ) | $ | (117,795 | ) | (5,430,539 | ) | $ | (60,988 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Enhanced Commodity Strategy Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 96,339 | $ | 500 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 4,713 | 24 | 2,698 | 13 | ||||||||||||
Shares Redeemed | — | — | (230,448 | ) | (1,195 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 4,713 | $ | 24 | (131,411 | ) | $ | (682 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 96,154 | $ | 500 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,215 | 17 | 2,192 | 11 | ||||||||||||
Shares Redeemed | — | — | (219,349 | ) | (1,140 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 3,215 | $ | 17 | (121,003 | ) | $ | (629 | ) | ||||||||
|
|
|
|
|
|
|
|
109
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 8 — Capital Share Transactions (Continued)
TCW Global Bond Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,718 | $ | 36 | 876,674 | $ | 8,801 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 21,732 | 208 | 30,509 | 299 | ||||||||||||
Shares Redeemed | (7,681 | ) | (74 | ) | (830,998 | ) | (8,343 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 17,769 | $ | 170 | 76,185 | $ | 757 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 125 | $ | 1 | 21,917 | $ | 215 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 19,117 | 184 | 27,807 | 272 | ||||||||||||
Shares Redeemed | (164 | ) | (1 | ) | (28,373 | ) | (286 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 19,078 | $ | 184 | 21,351 | $ | 201 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TCW High Yield Bond Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 658,272 | $ | 4,135 | 4,266,185 | $ | 25,648 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 92,725 | 584 | 104,658 | 642 | ||||||||||||
Shares Redeemed | (1,775,760 | ) | (11,168 | ) | (4,485,794 | ) | (27,208 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (1,024,763 | ) | $ | (6,449 | ) | (114,951 | ) | $ | (918 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 1,291,908 | $ | 8,204 | 3,341,838 | $ | 20,346 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 42,606 | 270 | 46,466 | 287 | ||||||||||||
Shares Redeemed | (1,452,775 | ) | (9,243 | ) | (4,744,767 | ) | (29,004 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (118,261 | ) | $ | (769 | ) | (1,356,463 | ) | $ | (8,371 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Short Term Bond Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 375,030 | $ | 3,259 | 274,893 | $ | 2,390 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 14,015 | 121 | 5,124 | 45 | ||||||||||||
Shares Redeemed | (351,690 | ) | (3,050 | ) | (501,979 | ) | (4,361 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 37,355 | $ | 330 | (221,962 | ) | $ | (1,926 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Total Return Bond Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 273,529,025 | $ | 2,724,778 | 357,901,258 | $ | 3,692,928 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 18,402,930 | 182,908 | 13,961,930 | 143,503 | ||||||||||||
Shares Redeemed | (358,584,609 | ) | (3,579,328 | ) | (212,039,701 | ) | (2,191,440 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (66,652,654 | ) | $ | (671,642 | ) | 159,823,487 | $ | 1,644,991 | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 36,575,671 | $ | 376,747 | 99,640,430 | $ | 1,060,476 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 8,106,956 | 83,082 | 6,253,093 | 66,269 | ||||||||||||
Shares Redeemed | (119,207,888 | ) | (1,227,218 | ) | (72,842,852 | ) | (775,953 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (74,525,261 | ) | $ | (767,389 | ) | 33,050,671 | $ | 350,792 | ||||||||
|
|
|
|
|
|
|
|
110
TCW Funds, Inc.
October 31, 2017 |
Note 9 — Affiliate Ownership
As of October 31, 2017, affiliates of the Funds and Advisor own 99.8%, and 97.3% of the NAV of TCW Enhanced Commodity Strategy Fund and the TCW Global Bond Fund, respectively.
Note 10 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from such registration before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Restricted securities outstanding at October 31, 2017 are listed below:
Issuer Description | Acquisition Date | Acquisition Cost | Aggregate Value | Percentage of Net Assets | ||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
Alta Wind Holdings LLC, (144A), 7%, due 06/30/35 | 7/14/10 | $ | 1,103,113 | $ | 1,229,012 | 0.07 | % | |||||||||
|
|
|
|
|
| |||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
LB-UBS Commercial Mortgage Trust (06-C6 XCL), (144A), | 7/15/16 | $ | 2,958 | $ | 10,660 | 0.84 | % | |||||||||
|
|
|
|
|
| |||||||||||
TCW Global Bond Fund | ||||||||||||||||
Bank of America-First Union NB Commercial Mortgage | 3/26/15 | $ | 0 | $ | 1,386 | 0.01 | % | |||||||||
Morgan Stanley Capital I Trust (99-RM1-X), (144A), | 3/26/15 | 0 | 440 | 0.00 | % | |||||||||||
|
|
|
|
|
| |||||||||||
$ | 0 | $ | 1,826 | 0.01 | % | |||||||||||
|
|
|
|
|
|
Note 11 — Committed Line of Credit
The Company has entered into a $100,000,000 committed revolving line of credit agreement with the State Street Bank and Trust Company (the “Bank”) for temporary borrowing purposes with an expiration date of December 29, 2017. The interest rate on borrowing is the higher of the federal funds rate or the overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit as of or during the year ended October 31, 2017. The Funds pay the Bank a commitment fee equal to 0.25% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the statements of operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
Note 12 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by any
111
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 12 — Indemnifications (Continued)
Director in any proceeding arising out of or in connection with the Director’s services to the Company, to the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
112
TCW Core Fixed Income Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 11.28 | $ | 11.14 | $ | 11.22 | $ | 10.97 | $ | 11.34 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.22 | 0.19 | 0.18 | 0.21 | 0.21 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.15 | ) | 0.24 | (0.04 | ) | 0.24 | (0.27 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.07 | 0.43 | 0.14 | 0.45 | (0.06 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.23 | ) | (0.19 | ) | (0.19 | ) | (0.20 | ) | (0.20 | ) | ||||||||||
Distributions from Net Realized Gain | (0.13 | ) | (0.10 | ) | (0.03 | ) | — | (0.11 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.36 | ) | (0.29 | ) | (0.22 | ) | (0.20 | ) | (0.31 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 10.99 | $ | 11.28 | $ | 11.14 | $ | 11.22 | $ | 10.97 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 0.68 | % | 3.97 | % | 1.25 | % | 4.14 | % | (0.49 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 1,379,196 | $ | 1,421,267 | $ | 1,109,630 | $ | 646,372 | $ | 589,911 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.51 | % | 0.51 | % | 0.50 | % | 0.49 | % | 0.48 | % | ||||||||||
After Expense Reimbursement | 0.49 | % | 0.49 | % | 0.49 | % | 0.47 | % | 0.44 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.96 | % | 1.70 | % | 1.57 | % | 1.92 | % | 1.89 | % | ||||||||||
Portfolio Turnover Rate | 287.39 | % | 283.38 | % | 332.85 | % | 249.94 | % | 197.42 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
113
TCW Core Fixed Income Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 11.25 | $ | 11.12 | $ | 11.20 | $ | 10.97 | $ | 11.34 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.19 | 0.16 | 0.14 | 0.18 | 0.17 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.15 | ) | 0.24 | (0.03 | ) | 0.22 | (0.25 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.04 | 0.40 | 0.11 | 0.40 | (0.08 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.20 | ) | (0.17 | ) | (0.16 | ) | (0.17 | ) | (0.18 | ) | ||||||||||
Distributions from Net Realized Gain | (0.13 | ) | (0.10 | ) | (0.03 | ) | — | (0.11 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.33 | ) | (0.27 | ) | (0.19 | ) | (0.17 | ) | (0.29 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 10.96 | $ | 11.25 | $ | 11.12 | $ | 11.20 | $ | 10.97 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 0.41 | % | 3.66 | % | 1.00 | % | 3.68 | % | (0.74 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 356,930 | $ | 487,223 | $ | 542,103 | $ | 608,129 | $ | 698,223 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.79 | % | 0.79 | % | 0.79 | % | 0.80 | % | 0.77 | % | ||||||||||
After Expense Reimbursement | 0.75 | % | 0.77 | % | 0.79 | % (2) | N/A | 0.77 | % (2) | |||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.69 | % | 1.41 | % | 1.25 | % | 1.59 | % | 1.56 | % | ||||||||||
Portfolio Turnover Rate | 287.39 | % | 283.38 | % | 332.85 | % | 249.94 | % | 197.42 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Reimbursement is less than 0.01%. |
See accompanying notes to financial statements.
114
TCW Enhanced Commodity Strategy Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 5.15 | $ | 5.30 | $ | 7.18 | $ | 7.61 | $ | 8.58 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.04 | 0.05 | 0.10 | 0.16 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.10 | (0.14 | ) | (1.87 | ) | (0.39 | ) | (0.92 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.22 | (0.10 | ) | (1.82 | ) | (0.29 | ) | (0.76 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.05 | ) | (0.06 | ) | (0.11 | ) | (0.16 | ) | ||||||||||
Distributions from Net Realized Gain | (0.06 | ) | — | — | (0.03 | ) | (0.05 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.17 | ) | (0.05 | ) | (0.06 | ) | (0.14 | ) | (0.21 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 5.20 | $ | 5.15 | $ | 5.30 | $ | 7.18 | $ | 7.61 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 4.55 | % | (1.83 | )% | (25.47 | )% | (3.90 | )% | (9.05 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 758 | $ | 725 | $ | 1,443 | $ | 1,934 | $ | 2,013 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 16.65 | % | 9.74 | % | 7.82 | % | 5.90 | % | 5.67 | % | ||||||||||
After Expense Reimbursement | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.31 | % | 0.88 | % | 0.88 | % | 1.30 | % | 2.01 | % | ||||||||||
Portfolio Turnover Rate | 0.00 | % | 2.44 | % | 10.68 | % | 4.13 | % | 54.20 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
115
TCW Enhanced Commodity Strategy Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 5.15 | $ | 5.31 | $ | 7.18 | $ | 7.61 | $ | 8.58 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.12 | 0.04 | 0.05 | 0.10 | 0.16 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.11 | (0.15 | ) | (1.86 | ) | (0.39 | ) | (0.92 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.23 | (0.11 | ) | (1.81 | ) | (0.29 | ) | (0.76 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.11 | ) | (0.05 | ) | (0.06 | ) | (0.11 | ) | (0.16 | ) | ||||||||||
Distributions from Net Realized Gain | (0.06 | ) | — | — | (0.03 | ) | (0.05 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.17 | ) | (0.05 | ) | (0.06 | ) | (0.14 | ) | (0.21 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 5.21 | $ | 5.15 | $ | 5.31 | $ | 7.18 | $ | 7.61 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 4.55 | % | (2.03 | )% | (25.36 | )% | (3.92 | )% | (9.05 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 517 | $ | 496 | $ | 1,153 | $ | 1,546 | $ | 1,609 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 18.01 | % | 10.21 | % | 8.32 | % | 6.45 | % | 6.14 | % | ||||||||||
After Expense Reimbursement | 0.75 | % | 0.75 | % | 0.75 | % | 0.73 | % | 0.70 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.26 | % | 0.83 | % | 0.83 | % | 1.27 | % | 2.01 | % | ||||||||||
Portfolio Turnover Rate | 0.00 | % | 2.44 | % | 10.68 | % | 4.13 | % | 54.20 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
116
TCW Global Bond Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | $ | 10.97 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.20 | 0.19 | 0.22 | 0.35 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.07 | ) | 0.19 | (0.49 | ) | (0.20 | ) | (0.40 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.10 | 0.39 | (0.30 | ) | 0.02 | (0.05 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.16 | ) | (0.22 | ) | (0.09 | ) | (0.13 | ) | (0.16 | ) | ||||||||||
Distributions from Net Realized Gain | (0.07 | ) | (0.14 | ) | (0.02 | ) | (0.08 | ) | (0.31 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.23 | ) | (0.36 | ) | (0.11 | ) | (0.21 | ) | (0.47 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 9.75 | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 1.07 | % | 4.03 | % | (2.96 | )% | 0.21 | % | (0.46 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 8,714 | $ | 8,648 | $ | 7,878 | $ | 8,138 | $ | 11,170 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.60 | % | 1.48 | % | 1.37 | % | 1.39 | % | 1.38 | % | ||||||||||
After Expense Reimbursement | 1.04 | % | 1.05 | % | 1.08 | % | 1.12 | % | 1.14 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.75 | % | 2.02 | % | 1.92 | % | 2.11 | % | 3.31 | % | ||||||||||
Portfolio Turnover Rate | 90.08 | % | 116.87 | % | 147.16 | % | 125.54 | % | 135.67 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
117
TCW Global Bond Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | $ | 10.97 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.17 | 0.20 | 0.19 | 0.22 | 0.35 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.07 | ) | 0.19 | (0.49 | ) | (0.20 | ) | (0.40 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.10 | 0.39 | (0.30 | ) | 0.02 | (0.05 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.16 | ) | (0.22 | ) | (0.09 | ) | (0.13 | ) | (0.16 | ) | ||||||||||
Distributions from Net Realized Gain | (0.07 | ) | (0.14 | ) | (0.02 | ) | (0.08 | ) | (0.31 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.23 | ) | (0.36 | ) | (0.11 | ) | (0.21 | ) | (0.47 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 9.75 | $ | 9.88 | $ | 9.85 | $ | 10.26 | $ | 10.45 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 1.07 | % | 4.03 | % | (2.96 | )% | 0.21 | % | (0.46 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 7,679 | $ | 7,586 | $ | 7,358 | $ | 7,565 | $ | 11,746 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.89 | % | 1.76 | % | 1.64 | % | 1.67 | % | 1.62 | % | ||||||||||
After Expense Reimbursement | 1.04 | % | 1.05 | % | 1.08 | % | 1.12 | % | 1.14 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.75 | % | 2.02 | % | 1.92 | % | 2.12 | % | 3.30 | % | ||||||||||
Portfolio Turnover Rate | 90.08 | % | 116.87 | % | 147.16 | % | 125.54 | % | 135.67 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
118
TCW High Yield Bond Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 6.23 | $ | 6.18 | $ | 6.35 | $ | 6.33 | $ | 6.30 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.24 | 0.24 | 0.26 | 0.29 | 0.33 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.18 | 0.06 | (0.15 | ) | 0.04 | 0.06 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.42 | 0.30 | 0.11 | 0.33 | 0.39 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.28 | ) | (0.25 | ) | (0.28 | ) | (0.31 | ) | (0.36 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 6.37 | $ | 6.23 | $ | 6.18 | $ | 6.35 | $ | 6.33 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 6.80 | % | 5.06 | % | 1.74 | % | 5.25 | % | 6.44 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 14,195 | $ | 20,265 | $ | 20,791 | $ | 20,649 | $ | 26,102 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.22 | % | 1.03 | % | 1.03 | % | 0.90 | % | 1.00 | % | ||||||||||
After Expense Reimbursement | 0.55 | % | 0.55 | % | 0.55 | % | 0.53 | % | 0.63 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.85 | % | 3.88 | % | 4.11 | % | 4.60 | % | 5.14 | % | ||||||||||
Portfolio Turnover Rate | 179.87 | % | 244.36 | % | 195.97 | % | 145.14 | % | 114.95 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
119
TCW High Yield Bond Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 6.28 | $ | 6.23 | $ | 6.41 | $ | 6.37 | $ | 6.35 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.23 | 0.22 | 0.25 | 0.28 | 0.32 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.18 | 0.07 | (0.17 | ) | 0.05 | 0.06 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.41 | 0.29 | 0.08 | 0.33 | 0.38 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.27 | ) | (0.24 | ) | (0.26 | ) | (0.29 | ) | (0.36 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 6.42 | $ | 6.28 | $ | 6.23 | $ | 6.41 | $ | 6.37 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 6.59 | % | 4.82 | % | 1.34 | % | 5.24 | % | 6.12 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 6,934 | $ | 7,526 | $ | 15,910 | $ | 12,555 | $ | 14,620 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.65 | % | 1.40 | % | 1.38 | % | 1.39 | % | 1.34 | % | ||||||||||
After Expense Reimbursement | 0.80 | % | 0.80 | % | 0.80 | % | 0.78 | % | 0.83 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.60 | % | 3.64 | % | 3.87 | % | 4.30 | % | 4.96 | % | ||||||||||
Portfolio Turnover Rate | 179.87 | % | 244.36 | % | 195.97 | % | 145.14 | % | 114.95 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
120
TCW Short Term Bond Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 8.70 | $ | 8.69 | $ | 8.75 | $ | 8.80 | $ | 8.85 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.08 | 0.05 | 0.05 | 0.06 | 0.09 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.01 | ) | 0.02 | (0.03 | ) | 0.00 | (2) | (0.03 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.07 | 0.07 | 0.02 | 0.06 | 0.06 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.15 | ) | (0.06 | ) | (0.08 | ) | (0.11 | ) | (0.11 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 8.62 | $ | 8.70 | $ | 8.69 | $ | 8.75 | $ | 8.80 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 0.75 | % | 0.84 | % | 0.25 | % | 0.65 | % | 0.67 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 7,951 | $ | 7,698 | $ | 9,614 | $ | 21,080 | $ | 15,202 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.65 | % | 2.46 | % | 1.57 | % | 1.23 | % | 1.33 | % | ||||||||||
After Expense Reimbursement | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.96 | % | 0.58 | % | 0.53 | % | 0.70 | % | 1.01 | % | ||||||||||
Portfolio Turnover Rate | 131.31 | % | 46.36 | % | 8.51 | % | 67.27 | % | 71.48 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
See accompanying notes to financial statements.
121
TCW Total Return Bond Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 10.33 | $ | 10.28 | $ | 10.31 | $ | 10.13 | $ | 10.27 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.27 | 0.26 | 0.25 | 0.27 | 0.27 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.20 | ) | 0.11 | (0.02 | ) | 0.18 | 0.06 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.07 | 0.37 | 0.23 | 0.45 | 0.33 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.26 | ) | (0.25 | ) | (0.22 | ) | (0.27 | ) | (0.33 | ) | ||||||||||
Distributions from Net Realized Gain | (0.16 | ) | (0.07 | ) | (0.04 | ) | — | — | ||||||||||||
Distributions from Return of Capital | — | — | — | — | (0.14 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.42 | ) | (0.32 | ) | (0.26 | ) | (0.27 | ) | (0.47 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 9.98 | $ | 10.33 | $ | 10.28 | $ | 10.31 | $ | 10.13 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 0.72 | % | 3.63 | % | 2.24 | % | 4.49 | % | 3.26 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 7,103,832 | $ | 8,042,194 | $ | 6,360,295 | $ | 6,129,426 | $ | 5,085,781 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.61 | % | 0.60 | % | 0.60 | % | 0.59 | % | 0.57 | % | ||||||||||
After Expense Reimbursement | 0.49 | % | 0.49 | % | 0.49 | % | 0.47 | % | 0.44 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.73 | % | 2.55 | % | 2.46 | % | 2.65 | % | 2.60 | % | ||||||||||
Portfolio Turnover Rate | 287.55 | % | 318.48 | % | 287.85 | % | 201.30 | % | 190.79 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
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Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 10.65 | $ | 10.60 | $ | 10.64 | $ | 10.45 | $ | 10.61 | ||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.25 | 0.24 | 0.23 | 0.25 | 0.24 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.21 | ) | 0.11 | (0.04 | ) | 0.19 | 0.07 | |||||||||||||
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Total from Investment Operations | 0.04 | 0.35 | 0.19 | 0.44 | 0.31 | |||||||||||||||
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Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.24 | ) | (0.23 | ) | (0.19 | ) | (0.25 | ) | (0.33 | ) | ||||||||||
Distributions from Net Realized Gain | (0.16 | ) | (0.07 | ) | (0.04 | ) | — | — | ||||||||||||
Distributions from Return of Capital | — | — | — | — | (0.14 | ) | ||||||||||||||
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Total Distributions | (0.40 | ) | (0.30 | ) | (0.23 | ) | (0.25 | ) | (0.47 | ) | ||||||||||
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Net Asset Value per Share, End of Year | $ | 10.29 | $ | 10.65 | $ | 10.60 | $ | 10.64 | $ | 10.45 | ||||||||||
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Total Return | 0.41 | % | 3.35 | % | 1.83 | % | 4.24 | % | 2.96 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 1,902,308 | $ | 2,762,803 | $ | 2,399,850 | $ | 2,177,160 | $ | 2,492,073 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 0.88 | % | 0.87 | % | 0.88 | % | 0.87 | % | 0.83 | % | ||||||||||
After Expense Reimbursement | 0.79 | % | 0.79 | % | 0.79 | % | 0.77 | % | 0.73 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.42 | % | 2.25 | % | 2.17 | % | 2.36 | % | 2.31 | % | ||||||||||
Portfolio Turnover Rate | 287.55 | % | 318.48 | % | 287.85 | % | 201.30 | % | 190.79 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
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|
To the Board of Directors and Shareholders of
TCW Funds, Inc.
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-one funds comprising the TCW Funds, Inc.) as of October 31, 2017, 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 five years in the period 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, 2017, by correspondence with custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
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, 2017, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Los Angeles, California
December 20, 2017
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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, 2017 to October 31, 2017 (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, 2017 | Ending Account Value October 31, 2017 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2017 to October 31, 2017) | ||||||||||||
TCW Core Fixed Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.30 | 0.49 | % | $ | 2.49 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.74 | 0.49 | % | 2.50 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.10 | 0.75 | % | $ | 3.80 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.43 | 0.75 | % | 3.82 | |||||||||||
TCW Enhanced Commodity Strategy Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.50 | 0.70 | % | $ | 3.60 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.68 | 0.70 | % | 3.57 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.50 | 0.75 | % | $ | 3.85 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.42 | 0.75 | % | 3.82 | |||||||||||
TCW Global Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.20 | 1.03 | % | $ | 5.26 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.01 | 1.03 | % | 5.24 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.20 | 1.03 | % | $ | 5.26 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.01 | 1.03 | % | 5.24 |
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TCW Funds, Inc.
Shareholder Expenses (Unaudited) (Continued)
TCW Funds, Inc. | Beginning Account Value May 1, 2017 | Ending Account Value October 31, 2017 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2017 to October 31, 2017) | ||||||||||||
TCW High Yield Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,028.30 | 0.55 | % | $ | 2.81 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.43 | 0.55 | % | 2.80 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,028.80 | 0.80 | % | $ | 4.09 | ||||||||
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 | $ | 1,003.90 | 0.44 | % | $ | 2.22 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.99 | 0.44 | % | 2.24 | |||||||||||
TCW Total Return Bond Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.30 | 0.49 | % | $ | 2.49 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.74 | 0.49 | % | 2.50 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.94 | 0.79 | % | $ | 4.01 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.22 | 0.79 | % | 4.02 |
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TCW Funds, Inc.
The TCW Group, Inc. and Subsidiaries
TCW Investment Management Company LLC
TCW Asset Management Company LLC
Trust Company of the West
Metropolitan West Asset Management, LLC
TCW Funds, Inc. | Sepulveda Management LLC | |
TCW Strategic Income Fund, Inc. | TCW Direct Lending LLC | |
Metropolitan West Funds | TCW Direct Lending VII LLC | |
TCW Alternative Funds |
What You Should Know
At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.
We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.
We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial Information,” issued by the United States Securities and Exchange Commission.
Our Privacy Policy
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, and the TCW Alternative Funds, Sepulveda Management LLC and TCW Direct Lending (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.
In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal and financial information.
Categories of Information We Collect
We may collect the following types of nonpublic personal and financial information about you from the following sources:
• | Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications. |
• | Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties. |
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TCW Funds, Inc.
Privacy Policy (Continued)
• | 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. |
• | 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.
128
TCW Funds, Inc.
Reminder About TCW’s Financial Products
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, TCW Alternative Funds, Sepulveda Management LLC and TCW Direct Lending.
• | Are not guaranteed by a bank; |
• | Are not obligations of The TCW Group, Inc. or of its subsidiaries; |
• | Are not insured by the Federal Deposit Insurance Corporation; and |
• | Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon. |
THE TCW GROUP, INC.
TCW FUNDS, INC.
TCW STRATEGIC INCOME FUND, INC.
METROPOLITAN WEST FUNDS
TCW ALTERNATIVE FUNDS
SEPULVEDA MANAGEMENT LLC
TCW DIRECT LENDING LLC
TCW DIRECT LENDING VII LLC
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 |
email: privacy@tcw.com
129
TCW Funds, Inc.
Renewal of Investment Advisory and Management Agreement
TCW Funds, Inc. (the “Corporation”) and TCW Investment Management Company LLC (the “Advisor”) are parties to an Investment Advisory and Management Agreement (“Agreement”), pursuant to which the Advisor is responsible for managing the investments of each separate investment series (each, a “Fund” and collectively, the “Funds”) of the Corporation. Unless terminated by either party, the Agreement continues in effect from year to year provided that 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 as that term is defined in the Investment Company Act of 1940, as amended (the “Independent Directors”).
On September 18, 2017, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2018 through February 5, 2019. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Directors) upon the recommendation of the Independent Directors. The Independent Directors met separately by telephone on August 30, 2017, and in person on another occasion, with their independent legal counsel to review and discuss the information that had been requested on their behalf by their independent legal counsel and presented by the Advisor for their consideration. The information, material facts, and conclusions that formed the basis for their recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed — During the course of each year, the Independent Directors receive a wide variety of materials relating to the services provided by the Advisor, including reports on the Advisor’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Advisor to the Funds. In addition, the Board reviewed information furnished to the Independent Directors in response to a detailed request sent to the Advisor on their behalf. The information in the Advisor’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Advisor to its institutional clients, financial and profitability information regarding the Advisor, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Directors also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to those of appropriate peer groups of mutual funds. After reviewing this information, the Independent Directors requested additional information from the Advisor, which the Advisor provided and the Directors considered.
Review process — The Directors’ determinations were made on the basis of each Director’s business judgment after consideration of all the information presented. The Independent Directors reviewed advice regarding legal and industry standards provided by their independent legal counsel, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Directors also discussed these matters with their independent legal counsel, who assisted them in their review and consideration of the renewal of the Agreement. The Independent Directors discussed the renewal of the Agreement with the Advisor’s representatives and in private sessions at which no representatives of the Advisor were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Directors did not
130
TCW Funds, Inc.
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.
2. Nature, extent, and quality of services provided by the Advisor
The Independent Directors considered the depth and quality of the Advisor’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Advisor; and the ability of its organizational structure to address the growth in assets over the past several years. The Independent Directors considered the ability of the Advisor to attract and retain well-qualified investment professionals, noting in particular the Advisor’s hiring of professionals in various areas over the past several years, upgrading resources in the middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Independent Directors also considered that the Advisor made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, and portfolio accounting. They noted the substantial additional resources made available by TCW, as the parent company of the Advisor. The Independent Directors examined and discussed a detailed description of the extensive supplemental services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Advisor’s institutional and sub-advised clients, as well as the Advisor’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Advisor and the Directors. The Advisor explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Directors and their meetings, regulatory filings, and various operational personnel.
The Board and the Independent Directors concluded that the nature, extent, and quality of the services provided by the Advisor are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.
3. Investment performance
The Independent Directors considered the investment results of each Fund in light of its investment objective and principal strategies. They compared each Fund’s total returns with the total returns of other funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2017. The Independent Directors reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with the Advisor. In reviewing each Fund’s relative performance, the Independent Directors took into account each Fund’s strategies, distinct characteristics, asset size and diversification.
The Independent Directors noted that investment performance of most of the Funds was generally close to or above the median performance of the applicable peer group during the three-year period emphasized by Broadridge, but seven Funds ranked in the fourth or fifth quintile for that three-year period.
For the U.S. fixed income Funds, the Independent Directors noted the conservative profile of the Funds, which generally experienced less volatility compared to various other funds in the applicable peer group
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TCW Funds, Inc.
Renewal of Investment Advisory and Management Agreement (Continued)
(except for the relative volatility of Total Return Bond Fund, which is a mortgage focused Fund). They also noted the Advisor’s conservative posture for these Funds with respect to credit and interest rate risks.
The Independent Directors noted that the performance of majority of these Funds ranked within the first, second or third quintiles for the one-, three-, five- and ten–year periods (or shorter periods since inception). The Core Fixed Income Fund ranked in the fourth quintile for the one-year period. The High Yield Bond Fund ranked in the fifth quintile for the one-year period. The Global Bond Fund ranked in the fifth quintile for the one-year period, and the fourth quintile for the three-year period. The Short Term Bond Fund ranked in the fourth or fifth quintile for each period.
For the U.S. equity Funds, the Independent Directors noted that the performance of most Funds for the various periods reviewed ranked in the first, second or third quintiles. The Select Equity Fund ranked in the fourth quintile for the five-year period and the fifth quintile for the one-year period. The Relative Value Dividend Appreciation Fund ranked in the fourth quintile for the ten-year period. The Relative Value Mid Cap Fund ranked in the fourth or fifth quintile for the three-, five- and ten-year periods, but improved to the first quintile in the one-year period. The Focused Equities Fund ranked in the fourth or fifth quintile for the one-, three-, five- and ten-year periods, and is being closely monitored by the Board. The High Dividend Equities Fund ranked in the fifth quintile for the one-year and since-inception periods, but the Independent Directors noted the Advisor’s explanation of the Fund’s investments in defensive companies, which hurt its relative performance. The Global Real Estate Fund ranked in the fourth quintile since inception but has shown more recent relative improvement.
For the international and emerging markets Funds, the Independent Directors noted that the performance of a majority of these Funds ranked in the first, second or third quintiles. The Emerging Markets Multi-Asset Opportunities Fund ranked in the fourth quintile for the one-year period, but ranked in the second quintile for the three-year period. The International Small Cap Fund ranked in the fifth quintile for the one-, three-, and five-year periods and, in view of its relatively new portfolio management team, the Board will continue to monitor the Fund closely. The Developing Markets Equity Fund ranked in the fifth quintile for the period since inception, but improved to the third quintile for the one-year period; the Board will also continue to monitor this Fund but has noted the Advisor’s view that the Fund should be evaluated over a full market cycle.
The Conservative Allocation Fund ranked in the fifth quintile for the one-year period, but had first and second quintile rankings for its longer periods.
In reviewing the Funds’ investment results, the Independent Directors recognized the Advisor’s deliberate strategy to manage risk in light of its critical view of the fixed-income securities markets and overall investment market conditions. In that connection, the Independent Directors and Board noted that the performance of some Funds for periods when they lagged their peer group averages remained satisfactory when assessed on a risk-adjusted basis because performance quintiles do not necessarily reflect the amount of risk employed by peer funds to achieve their returns.
The Independent Directors noted that each Fund’s performance was satisfactory over the relevant periods or, for those Funds that lagged peer group averages, the Advisor had discussed with the Board the reasons for that underperformance and the actions taken by the Advisor to address that underperformance, and the Board had determined to continue to monitor performance but did not believe that any immediate action was needed.
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TCW Funds, Inc.
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.
The Board and the Independent Directors concluded that the Advisor was implementing each Fund’s investment objective and that the Advisor’s record in managing the Funds indicates that its continued management should benefit each Fund and its shareholders over the long term.
4. Advisory fees and total expenses
The Board compared the advisory fee and total expenses of each Fund (each as a percentage of average net assets) with the median advisory fee and total operating expense level of the other funds in the relevant Broadridge peer groups. The Independent Directors observed that each Fund’s advisory fee, giving effect to applicable waivers, was below or near the median of the peer group funds, with the following exceptions: The advisory fee for the Select Equities Fund exceeded the median by under 10 bps but exceeded the median total expenses by only 2 bps. The advisory fees for the Relative Value Dividend Appreciation Fund, the Relative Value Large Cap Fund, the Relative Value Mid Cap Fund, the Emerging Markets Income Fund and the Emerging Markets Local Currency Income Fund exceeded their respective peer group medians but their total expenses were less than the respective medians. The Independent Directors noted that for several Funds this result reflected substantial or full waivers of the advisory fee.
The Independent Directors noted the contractual expense limitations to which the Advisor has agreed with respect to each Fund and that the Advisor historically has absorbed any expenses in excess of these limits. The Independent Directors and the Board concluded that the competitive fees charged by the Advisor, and competitive expense ratios, should benefit each Fund and its shareholders.
The Independent Directors also reviewed information regarding the advisory fees charged by the Advisor to its institutional and sub-advisory clients with similar investment mandates. They concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the Advisor’s more extensive services provided to the Funds and significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, pricing and valuation responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.
5. The Advisor’s costs, level of profits, and economies of scale
The Independent Directors reviewed information regarding the Advisor’s costs of providing services to the Funds, as well as the resulting level of profits to the Advisor. The Independent Directors reviewed the Advisor’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Advisor’s largest operating cost. The Board and the Independent Directors recognized that the Advisor should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board also reviewed a comparison of the Advisor’s profitability with respect to the Funds to the profitability of certain publicly traded asset managers, which the Advisor had provided to support its view
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TCW Funds, Inc.
Renewal of Investment Advisory and Management Agreement (Continued)
that the Advisor’s profitability was reasonable. The Board and the Independent Directors also considered the implementation of a supplemental compliance services agreement that reimburses the Advisor for a portion of its compliance and other administrative services in an amount reviewed and approved by the Board and the Independent Directors. The Board noted that the Advisor has suspended charging that fee. Based on their review, the Board and the Independent Directors concluded that they were satisfied that the Advisor’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Board and the Independent Directors considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Advisor’s view that the advisory fees compare favorably to peer group fees giving effect to waivers, and that expenses remain competitive even at higher asset levels. The Board and the Independent Directors recognized the benefits to the Funds of the Adviser’s substantial past and on-going investment in the advisory business that benefits the Funds, such as successfully recruiting and retaining key professional talent, systems and technology, administration, compliance, legal and infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Independent Directors also noted the Advisor’s explanation of the increased resources required to manage the Funds as a result of both asset growth and increased competitive pressures. The Board and the Independent Directors further noted the Advisor’s past subsidies of the Funds’ operating expenses when they were newer and smaller and the Advisor’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Directors also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients rather than strictly mutual funds. The Board and the Independent Directors concluded that the Advisor was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.
6. Ancillary benefits
The Board and the Independent Directors 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 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.
7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Directors concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that the Funds’ shareholders received reasonable value in return for the advisory fees and other amounts paid to the Advisor by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
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TCW Funds, Inc.
Supplemental Information
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Company’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Advisor, on behalf of the Company, prepares and files Form N-PX with the SEC not later than August 31 of each year, which includes the Company’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Company’s proxy voting record for the most recent twelve-month period ended June 30 is available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for the Company’s proxy voting record, it will send the information disclosed in the Company’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Company also discloses its proxy voting record on its website as soon as is reasonably practicable after its report on Form N-PX is filed with the SEC.
Availability of Quarterly Portfolio Schedule
The Company files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. The Form N-Q is available by calling 800-FUND-TCW (800-386-3829) to obtain a hard copy. You may also obtain the Company’s Form N-Q:
1. | By going to the SEC website at http://www.sec.gov.; or |
2. | By visiting the SEC’s Public Reference Room in Washington, D.C. and photocopying it (Phone 1-800-SEC-0330 for information on the operation of the SEC’s Public Reference Room). |
135
TCW Funds, Inc.
Tax Information Notice (Unaudited)
On account of the year ended October 31, 2017, 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 Global Bond Fund | $ | 0.01 |
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 2018, 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 2017. Shareholders are advised to check with their tax advisors for information on the treatment of these amounts on their individual tax returns.
136
TCW Funds, Inc.
Directors and Officers of the Company
A board of nine directors is responsible for overseeing the operations of the Company, which consists of 21 Funds at October 31, 2017. 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). | |||
| ||||||
Patrick C. Haden (1953) Chairman of the Board | Indefinite term; Mr. Haden has served as a director of TCW Funds, Inc. since May 2001. | Senior Advisor to President (since July 2016) and Athletic Director (2010-June 2016), University of Southern California. | Tetra Tech, Inc. (environmental consulting); The Rose Hills Foundation (charitable foundation); Unihealth Foundation (charitable foundation); Fletcher Jones Foundation (charitable foundation); Mayr Foundation (charitable foundation); First Beverage (beverage consulting); Auto Club (affiliate of AAA); Metropolitan West Funds (mutual fund); TCW Alternative Funds (mutual fund); 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 Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Managing Partner (since 2000), Willowbrook Capital Group, LLC (investment advisory firm); Co-founder and Executive Vice President (since 2005), KBS Capital Advisors (a manager of real estate investment trusts). | KBS Real Estate Investment Trusts (real estate investments); KBS Strategic Opportunity REITS (real estate investments); Metropolitan West Funds (mutual funds); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund). | |||
| ||||||
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. Rogers has served as a director of the TCW Funds, Inc. since October 2011. | President, The Rose Hills Foundation (charitable foundation). | Causeway Capital Management Trust (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund). |
137
TCW Funds, Inc.
Directors and Officers of the Company (Continued)
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 | |||
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); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund). |
(1) | The address of each Independent Director is c/o Morgan Lewis, & Bockius LLP, Counsel to the Independent Directors, 300 South Grand Avenue 22nd Floor, Los Angeles, CA 90071. |
Interested Directors
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 | 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 (since January 2016), TCW LLC; Chairman (since February 2013), The TCW Group, Inc., TCW Investment Management Company, TCW Asset Management Company and Metropolitan West Asset Management; Chief Executive Officer and Chairman (December 2009 to February 2013), TCW Investment Management Company; Vice Chairman and Chief Executive Officer (December 2009 to August 2012), The TCW Group, Inc. (December 2009 to February 2013) and December 2009 to February 2013) TCW Asset Management Company; Vice Chairman and President (November 2010 to February 2013); Vice Chairman (November 2010 to December 2014); and Chairman (2014 – December 2015), Trust Company of the West. | Qualcomm Incorporated (wireless communications) |
138
TCW Funds, Inc.
Name and Year of Birth | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Other Directorships held by Director | |||
David S. DeVito (1962) | Indefinite term; Mr. DeVito has served as a director since January 2014. | Executive Vice President and Chief Operating Officer (since January 2016), TCW LLC; President and Chief Executive Officer (since 2015), TCW Alternative Funds; Executive Vice President and Chief Operating Officer (since October 2013), TCW Investment Management Company LLC, The TCW Group, Inc., Metropolitan West Asset Management, LLC and TCW Asset Management Company LLC; President and Chief Executive Officer (since January 2014), TCW Strategic Income Fund, Inc. ; Executive Vice President and Chief Financial Officer (since 2010), Metropolitan West Funds. | 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 | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Lisa Eisen (1963) | Tax Officer | Tax Officer (since December 2016), Metropolitan West Funds, TCW Alternative Funds and TCW Strategic Income Fund, Inc.; Managing Director and Director of Tax (since August 2016), TCW, LLC; Vice President of Corporate Tax and Payroll for Health Net, Inc. (1988 – July 2016). | ||
Meredith S. Jackson (1959) | Senior Vice President, General Counsel and Secretary | Executive Vice President, General Counsel and Secretary (since January 2016), TCW LLC; Senior Vice President, General Counsel and Secretary (since 2015), TCW Alternative Funds; Executive Vice President, General Counsel and Secretary (since February 2013), TCW Investment Management Company, The TCW Group Inc., Trust Company of the West (2013 – December 2015), TCW Asset Management Company and Metropolitan West Asset Management; Senior Vice President, General Counsel and Secretary (since February 2013), TCW Strategic Income Fund, Inc. and Metropolitan West Funds; Partner and Chair of the Debt Finance Practice Group (1999 – January 2013), Irell & Manella (law firm). |
139
TCW Funds, Inc.
Directors and Officers of the Company (Continued)
Name and Year of Birth | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Jeffrey Engelsman (1967) | Chief Compliance Officer since September 2014 and AML Officer since December 2016 | AML Officer (since December 2016), TCW Alternative Funds, Metropolitan West Funds, and Global Chief Compliance Officer (since January 2016), TCW LLC; Chief Compliance Officer (since 2014), Metropolitan West Funds and TCW Alternative Funds; Managing Director, Global Chief Compliance Officer (since August 2014), TCW Investment Management Company LLC, Trust Company of the West (2014 – December 2015) TCW Asset Management, LLC and Metropolitan West Asset Management, LLC; Global Chief Compliance Officer (since September 2014), The TCW Group, Inc.; Chief Compliance Officer (since September 2014), TCW Strategic Income Fund, Inc.; Chief Compliance Officer (2009 – August 2014), MainStay Funds (mutual fund); Managing Director (2009 – July 2014), New York Life Investments (investment management). | ||
Richard Villa (1964) | Treasurer and Principal Financial and Accounting Officer | Managing Director, Chief Financial Officer and Assistant Secretary (since January 2016), TCW LLC; Treasurer (since 2015), TCW Alternative Funds; Treasurer and Principal Financial and Accounting Officer (since February 2014), TCW Strategic Income Fund, Inc.; Managing Director and Chief Financial Officer and Assistant Secretary (since July 2008),TCW Investment Management Company, the TCW Group, Inc., Trust Company of the West (2008 – December 2015), TCW Asset Management Company LLC, and Metropolitan West Asset Management LLC. |
(1) | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
* | 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 (February 2005 – December 2015), TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC, TCW LLC and the Advisor, is Vice President and Assistant Treasurer of TCW Alternative Funds and Assistant Treasurer of the Company; and Patrick W. Dennis, Senior Vice President Associate General Counsel and Assistant Secretary of Trust Company of the West (February 2013 – December 2015), TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC, TCW LLC and the Advisor, is Vice President and Assistant Secretary of TCW Alternative Funds and Assistant Secretary of the Company.
The SAI (Statement of Additional Information) has additional information regarding the Board of Directors. A copy is available without charge by calling 1-800-FUND-TCW (1-800-386-3829) to obtain a hard copy or by going to the SEC website at http://www.sec.gov.
140
TCW Funds, Inc.
Disclaimers for Use of Bloomberg Barclays Indexes
BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Barclays Capital Inc. and its affiliates (“Barclays”) is not the issuer or producer of TCW Funds, Inc. and Barclays has no responsibilities, obligations or duties to investors in TCW Funds, Inc. (the “Funds”). Barclays’ only relationship with the Funds is the licensing of the BARCLAYS mark as part of the name of the respective Barclays Indexes, which Barclays does not determine, compose or calculate. Additionally, the Funds may for itself execute transaction(s) with Barclays in or relating to the Indexes used in connection with the Funds. Investors who acquire the Funds neither acquire any interest in the Indexes nor enter into any relationship of any kind whatsoever with Barclays upon making an investment in the Funds. The Funds are not sponsored, endorsed, sold or promoted by Barclays. Barclays does not make any representation or warranty, express or implied regarding the advisability of investing in the Funds or the advisability of investing in securities generally or the ability of the Indexes to track corresponding or relative market performance. Barclays has not passed on the legality or suitability of the Funds with respect to any person or entity. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Funds to be issued. Barclays has no obligation or liability in connection with administration, marketing or trading of the Funds.
The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Funds’ investors or other third parties.
BARCLAYS SHALL HAVE NO LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE INDEXES OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE INDEXES. BARCLAYS MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR ANY DATA INCLUDED THEREIN. BARCLAYS MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEXES OR ANY DATA INCLUDED THEREIN. BARCLAYS DOES NOT CALCULATE OR PUBLISH THE BLOOMBERG BARCLAYS INDEXES AND SHALL NOT BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO ANY OF THE BLOOMBERG BARCLAYS INDEXES. BARCLAYS SHALL NOT BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE INDEXES OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE FUNDS.
None of the information supplied by Barclays and used in this publication may be reproduced in any manner without the prior written permission of Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.
BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates (collectively, “Bloomberg”) or Bloomberg’s licensors own all proprietary right in the Barclays Indexes. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to the Indexes. Bloomberg makes no warranty, express or implied, as to the Indexes or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all
141
TCW Funds, Inc.
Disclaimers for Use of Bloomberg Barclays Indexes (Continued)
warranties of merchantability and fitness for a particular purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual performance. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages — whether direct, indirect, consequential, incidental, punitive or otherwise — arising in connection with Indexes or any data or values relating thereto — whether arising from their negligence or otherwise. Nothing in the Indexes shall constitute or be construed as an offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to enter or not to enter into any other transaction involving any specific interest or interests) by Bloomberg or its affiliates or a recommendation as to an investment or other strategy by Bloomberg or its affiliates. Data and other information available via the Indexes should not be considered as information sufficient upon which to base an investment decision. All information provided by the Indexes is impersonal and not tailored to the needs of any person, entity or group of persons. Bloomberg and its affiliates do not express an opinion on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind.
The only relationship of Bloomberg or any of its subsidiaries or affiliates to the Funds is the licensing of certain trademarks, trade names and service marks and of the Indexes, which is determined, composed and calculated by Bloomberg without regard to the Funds. Bloomberg has no obligation to take the needs of the Funds or the owners of the Funds into consideration in determining, composing or calculating the Indexes. The Funds are not sponsored, endorsed, sold or promoted by Bloomberg or any of its subsidiaries or affiliates.
142
TCW Funds, Inc.
865 South Figueroa Street
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street
Los Angeles, California 90017
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 E. Michigan Street
Milwaukee, Wisconsin 53202
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
555 West 5th Street
Los Angeles, California 90013
CUSTODIAN & ADMINISTRATOR
State Street Bank & Trust Company
One Lincoln Street
Boston, Massachusetts 02111
DISTRIBUTOR
TCW Funds Distributors LLC
865 South Figueroa Street
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
David S. DeVito
Director
John A. Gavin
Director
Peter McMillan
Director
Charles A. Parker
Director
Victoria B. Rogers
Director
Marc I. Stern
Director
Andrew Tarica
Director
OFFICERS
David S. DeVito
President and Chief Executive Officer
Meredith S. Jackson
Senior Vice President,
General Counsel and Secretary
Richard M. Villa
Treasurer and Principal Financial and Accounting Officer
Jeffrey A. Engelsman
Chief Compliance Officer
Patrick W. Dennis
Assistant Secretary
Lisa Eisen
Tax Officer
George N. Winn
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Artificial Intelligence Equity Fund
TCW Focused Equities Fund
TCW Global Real Estate Fund
TCW High Dividend Equities Fund
TCW New America Premier Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
ALLOCATION FUND
TCW Conservative Allocation Fund
FIXED INCOME FUNDS
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund
TCW Global Bond Fund
TCW High Yield Bond Fund
TCW Short Term Bond Fund
TCW Total Return Bond Fund
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
TCW Emerging Markets Income Fund
TCW Emerging Markets Local Currency Income Fund
TCW Emerging Markets Multi-Asset Opportunities Fund
TCW International Small Cap Fund
FUNDarFI1017
OCTOBER 31
A N N U A L
R E P O R T
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
TCW Emerging Markets Income Fund
TCW Emerging Markets Local Currency Income Fund
TCW Emerging Markets Multi-Asset Opportunities Fund
TCW International Small Cap Fund
TCW Funds, Inc.
1 | ||||
2 | ||||
12 | ||||
12 | ||||
16 | ||||
26 | ||||
32 | ||||
45 | ||||
51 | ||||
53 | ||||
54 | ||||
57 | ||||
79 | ||||
89 | ||||
90 | ||||
92 | ||||
95 | ||||
Proxy Voting Guidelines and Availability of Quarterly Portfolio Schedule | 100 | |||
101 | ||||
102 |
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. |
|
David S. DeVito President, Chief Executive Officer and Director |
Dear Valued Investors,
It is my pleasure to present the 2017 annual report for the TCW Funds, Inc. covering the 12-month period ended October 31, 2017. I would like to express our appreciation for your continued investment in the TCW Funds as well as welcome new shareholders to our fund family. As of October 31, 2017, the TCW Funds held total net assets of approximately $16.8 billion.
This report contains information and portfolio management discussions of our TCW International Funds.
The International Markets
This past year has been characterized by a synchronous global growth story — the first in five years — as growth in both the developed world and emerging markets is accelerating. This has driven both a pickup in global trade and a recovery in commodity prices, which has supported Emerging Markets in particular.
We continue to believe there are attractive opportunities within international markets, particularly within Emerging Markets, where equities trade at a healthy discount relative to developed market equities. In addition, Emerging Markets bond yields average 5-6%, whereas close to 60% of global fixed income bonds trade below 2%.
Our constructive view is predicated upon low inflation and benign developed market central bank policy in 2018, with gradual Fed rate hikes and continued accommodation in Europe and Japan. Furthermore, for both the Eurozone and Emerging Markets, growth continues to surprise to the upside. China, a perennial cause of investor concern, appears to have stabilized, as the impact of policy tightening has been largely offset by a pickup in exports. We expect continued inflows into the asset class, particularly emerging markets, as long as the relative risk-adjusted valuation story holds.
One of the larger risks we see is a pickup in developed market inflation that forces central banks to hike rates more aggressively. In addition, we are closely monitoring the impact of changes in U.S. policy as it relates to both geopolitical tensions and anti-globalization/trade protectionism. As such, we continue to believe that differentiating between credits is critical to alpha generation.
Finally, we are delighted to have Alex Stanojevic as part of the portfolio management team, effective July 1, 2017. Alex has been with TCW since 2005, and since 2007 has been our team’s head trader, making important contributions in identifying relative value opportunities and ensuring portfolio liquidity.
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 year and look forward to further correspondence with you through our semi-annual report in 2018.
Sincerely,
David S. DeVito
President, Chief Executive Officer and Director
1
TCW Developing Markets Equity Fund
For the year ended October 31, 2017, the TCW Developing Markets Equity Fund (the “Fund”) returned 23.96%. The Fund’s benchmark, the MSCI Emerging Markets Net Total Return Index (“Index”), returned 26.45% over the same period.
Underperformance during the period was primarily due to more defensive positioning in financials and an early overweight to the energy sector, mainly in Russia.
This year has been characterized by a combination of high real growth and low inflation, an environment that typically generates above average risk adjusted returns for emerging markets (EM) equities. While EM equities are up significantly over the last two years, we continue to maintain a constructive view on the asset class, predicated upon improving fundamentals and attractive valuations relative to developed markets. We acknowledge that the pace of returns may slow, but growth continues to surprise to the upside. In addition, at current valuations, EM equities are still trading at a deep discount versus developed market equities. We believe that this differential will narrow over time, especially as 1) the composition of the asset class has shifted away from commodities towards sectors that are more prevalent in developed markets (i.e. Information Technology and services), and 2) global funds have significant underweights to the asset class.
Our key overweights are in the IT and industrials sectors at the expense of financials, telecommunication and utilities. We continue to be optimistic about the prospects for IT into year end, driven by strong earnings upgrades, seasonality, tightness in memory, and momentum in eCommerce. We are also constructive on the global capex cycle. From a regional perspective, we are overweight EMEA, against underweights in Latin America and Asia.
The Fund’s forward P/E ratio is above that of the Index, but, consistent with our bias for quality growth, has a substantially better earnings growth outlook and earnings revisions dynamic, and higher ROE and free cash flow yields.
We continue to focus on idiosyncratic long-term growth stories at attractive valuations, and believe differentiating between companies will continue to be key in emerging markets. Country and security selection will be crucial to performance, driven by factors such as reform momentum, terms of trade, and the central bank reaction function. In our view, there will be significant dispersion in returns going forward, allowing for an actively managed portfolio to capture attractive returns in those securities best positioned for the current evolving environment.
2
TCW Developing Markets Equity Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||
Name | 1 Yr Return | Since Inception | ||||||
TCW Developing Markets Equity Fund | ||||||||
Class I (Inception: 6/30/2015) | 23.96 | % | 5.32 | % | ||||
Class N (Inception: 6/30/2015) | 23.96 | % | 5.32 | % | ||||
MSCI Emerging Markets Net Total Return Index | 26.45 | % | 8.71 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
3
TCW Emerging Markets Income Fund
Management Discussions
For the year ended October 31, 2017, the TCW Emerging Markets Income Fund (the “Fund”) returned 7.95% and 7.67% 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 6.32% over the same period.
Outperformance was driven by security selection and country allocation decisions in sovereign dollar-denominated debt, as well as off-index allocations to corporate debt. From a country perspective, overweight positioning and security selection in Brazil and Ukraine, in addition to an emphasis on corporates in Russia, contributed to relative outperformance. Underweights in tighter-trading Eastern European and Asian sovereigns also contributed to relative outperformance.
This year has been characterized by a combination of high real growth and low inflation, an environment that typically generates above average risk adjusted returns for emerging markets (EM) assets. While EM assets are up significantly over the last two years, we continue to maintain a constructive view on the asset class, predicated upon improving fundamentals and attractive valuations relative to developed markets. Growth continues to surprise on the upside, and relative valuations continue to support the inflow story that has characterized the asset class all year, particularly as investors are generally underweight EM.
We are overweight higher-yielding countries, most notably Latin America, at the expense of both Central Europe and most of Asia. Our larger positions are in sovereigns benefiting from improving economies, reforms, and reduced political uncertainty. During the year, we also opportunistically increased the portfolio’s local currency exposure, as we see the potential for both income generation and currency gains. We are also seeing clear deleveraging in EM corporates, and we will look to increase exposure to higher-yielding, shorter-duration corporates as a cushion against higher US rates.
One of the larger risks we see is a pickup in developed market inflation that forces central banks to hike rates more aggressively. In addition, we are closely monitoring the impact of changes in US policy as it relates to both geopolitical tensions and anti-globalization/trade protectionism. As such, differentiating between credits will continue to be key in EM. Country and security selection will be crucial to performance, driven by factors such as reform momentum, terms of trade, 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.
4
TCW Emerging Markets Income Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||||||||||
Name | 1 Yr Return | 3 Yr Return | 5 Yr Return | 10 Yr Return | Inception Fund | Inception Index | ||||||||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||||||||||
Class I (Inception: 9/1/1996) | 7.95 | % | 5.16 | % | 4.04 | % | 8.44 | % | 9.64 | %(2) | 9.53 | % | ||||||||||||
Class N (Inception: 2/27/2004) | 7.67 | % | 4.89 | % | 3.76 | % | 8.17 | % | 8.26 | % | 7.95 | % | ||||||||||||
JPMorgan EMBI Global Diversified Index | 6.32 | % | 6.03 | % | 4.81 | % | 7.24 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
(2) | Performance data includes the performance of the predecessor entity for periods before the Fund’s registration became effective. The predecessor entity was not registered under the 1940 Act and, therefore, was not subject to certain investment restrictions that are imposed by the 1940 Act. If the predecessor entity had been registered under the 1940 Act, the predecessor entity’s performance may have been lower. |
5
TCW Emerging Markets Local Currency Income Fund
Management Discussions
For the year ended October 31, 2016, the TCW Emerging Markets Local Currency Income Fund (the “Fund”) returned 6.33% on both I Class and N class shares, respectively. The Fund’s benchmark, the JP Morgan GBI-EM Global Diversified Index (“GBI-EM”), returned 5.18% over the same period.
Outperformance during the period was primarily driven by overweight positioning and security selection in Brazil and Russia, in addition to defensive positioning in Turkey. Off-index exposures in Serbia, Egypt, India, Greece, Nigeria and Sri Lanka further contributed to relative outperformance.
This year has been characterized by a combination of high real growth and low inflation, an environment that has contributed to above average risk adjusted returns for emerging markets (EM) local currency debt. Even with this rally, we continue to see EM local currency debt as one of the more attractive asset classes in global fixed income. Our view is predicated upon improving fundamentals, with EM growth surprising on the upside, and relative valuations versus developed markets, with yields in the 6% area. In addition, EM currencies appear cheap from both a short and long term perspective, down close to 30% versus rates during the taper tantrum. In our view, the healthy fundamental backdrop, in addition to relative valuations, will continue to support the inflow story that has characterized the asset class all year, particularly as investors are generally underweight EM. Our larger positions are in sovereigns benefiting from improving economies, reforms, and reduced political uncertainty. Our larger underweights are in tighter-trading sovereigns and those where we are concerned with politics and/or fundamentals.
One of the larger risks we see is a pickup in developed market inflation that forces central banks to hike rates more aggressively. In addition, we are closely monitoring the impact of changes in US policy as it relates to both geopolitical tensions and anti-globalization/trade protectionism. As such, differentiating between credits will continue to be key in emerging markets. Country and security selection will be crucial to performance, driven by factors such as reform momentum, terms of trade, 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.
6
TCW Emerging Markets Local Currency Income Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||
Name | 1 Yr Return | 3 Yr Return | 5 Yr Return | Since Inception | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
Class I (Inception: 12/14/2010) | 6.33 | % | 0.15 | % | (0.75 | )% | 1.32 | % | ||||||||
Class N (Inception: 12/14/2010) | 6.33 | % | 0.15 | % | (0.77 | )% | 1.29 | % | ||||||||
JP Morgan GBI-EM Global Diversified Index | 5.18 | % | (1.20 | )% | (1.58 | )% | 0.48 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
7
TCW Emerging Markets Multi-Asset Opportunities Fund
Management Discussions
For the year ended October 31, 2017, the TCW Emerging Markets Multi-Asset Opportunities Fund (the “Fund”) returned 17.05% and 17.10% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s blended benchmark, 50% JP Morgan EMBI Global Diversified Index (“EMBI”) and 50% MSCI Daily Total Return Net Emerging Markets Index (“MSCI EM”) returned 16.04% over the same period.
Outperformance was driven by overweight positioning in equities at the expense of debt, in addition to security selection in sovereign dollar debt and off-index allocations to corporate debt. Security selection in equities hurt relative performance, primarily due to more defensive positioning in financials and energy earlier in the year.
This year has been characterized by a combination of high real growth and low inflation, an environment that typically generates above average risk adjusted returns for emerging markets (EM) assets. While EM assets are up significantly over the last two years, we continue to maintain a constructive view on the asset class, predicated upon improving fundamentals and attractive valuations relative to developed markets. Growth continues to surprise to the upside, and relative valuations continue to support the inflow story that has characterized the asset class all year, particularly as investors are generally underweight EM.
During the period, we continued to increase exposure to equities, on the back of improving economic growth and positive earnings revisions. Larger overweights in the equity sleeve are in the information technology (IT) and industrials sectors at the expense of financials, telecommunication and utilities. We continue to be optimistic about the prospects for IT into year end, driven by strong earnings upgrades, seasonality, tightness in memory, and momentum in eCommerce. We are also constructive on the global capex cycle.
In the debt sleeve, we are overweight higher-yielding countries, most notably Latin America, at the expense of both Central Europe and most of Asia. Our larger positions are in sovereigns benefiting from improving economies, reforms, and reduced political uncertainty. During the year, we also opportunistically increased the portfolio’s local currency exposure, as we see the potential for both income generation and currency gains. We are also seeing clear deleveraging in EM corporates, and we will look to increase exposure to higher-yielding, shorter-duration corporates as a cushion against higher US rates.
One of the larger risks we see is a pickup in developed market inflation that forces central banks to hike rates more aggressively. In addition, we are closely monitoring the impact of changes in US policy as it relates to both geopolitical tensions and anti-globalization/trade protectionism. As such, differentiating between credits will continue to be key in emerging markets. Country and security selection will be crucial to performance, driven by factors such as reform momentum, terms of trade, 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
TCW Emerging Markets Multi-Asset Opportunities Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||
Name | 1 Yr Return | 3 Yr Return | Since Inception | |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||
Class I (Inception: 6/28/2013) | 17.05 | % | 5.06 | % | 5.88 | % | ||||||
Class N (Inception: 6/28/2013) | 17.10 | % | 5.11 | % | 5.80 | % | ||||||
50% JPM EMBI Global Diversified Index/50% MSCI Daily Total Return Net Emerging Markets Index | 16.04 | % | 6.07 | % | 7.00 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
9
TCW International Small Cap Fund
Management Discussions
For the year ended October 31, 2017, the TCW International Small Cap Fund (the “Fund”) returned 29.21% and 29.34% 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 MSCI All Country World (ex USA) Small Cap Net Index (the “Index”), gained 24.70% over the same time period.
Outperformance during the period has been driven by security selection and underweight positioning in the consumer discretionary and real estate sectors, in addition to overweight positioning and security selection in the industrials and information technology (IT) sectors. From a country perspective, security selection and underweight positioning in China, the United Kingdom and Japan have contributed to relative outperformance.
We are moderately overweight Europe and Japan and neutral the United Kingdom and Emerging Markets while being underweight resource countries (Canada and Australia). On a sector basis, we are overweight the information technology, industrials and healthcare sectors against underweights in real estate, consumer discretionary and financials.
The global investment environment has exhibited synchronized economic growth with all the major economic regions reporting new highs in the Purchasing Managers Index (PMI) and improving business confidence. We believe the backdrop remains supportive for equity returns. Our view is predicated upon 1) growth surprising to the upside, 2) benign developed market central bank policy in 2018, with gradual Fed rate hikes and continued accommodation in Europe and Japan, 3) fears of rising populism abated on the back of Macron’s decisive win in France, and 4) increased political stability in Japan on the back of Abe’s recent win. In addition, global inflation remains low, allowing Emerging Market central banks to remain accommodative. Finally, international developed and emerging market equities remain attractively valued with robust growth characteristics.
We see the potential for volatility to pick up next year, given current low levels. One of the larger risks we see is a pickup in developed market inflation that forces central banks to hike rates more aggressively. In addition, we are closely monitoring the impact of changes in US policy as it relates to both geopolitical tensions, anti-globalization/trade protectionism and taxes. We expect stability in China, but a slowdown in growth over time, which could impact commodity demand on the margin. We see the potential for PMIs in Europe to peak in 2018, which has implications for cyclicals.
As such, we continue to focus on idiosyncratic long-term growth stories at attractive valuations, and believe differentiating between companies will continue to be key. 2018 should be a more nuanced year as the economic cycle matures globally. In our view, there will be significant dispersion in returns going forward, allowing for an actively managed portfolio to capture attractive returns in those securities best positioned for the evolving environment.
10
TCW International Small Cap Fund
Management Discussions (Continued)
Annualized Return(1) | ||||||||||||||||
Name | 1 Yr Return | 3 Yr Return | 5 Yr Return | Since Inception | ||||||||||||
TCW International Small Cap Fund | ||||||||||||||||
Class I (Inception: 2/28/2011) | 29.21 | % | 8.35 | % | 8.66 | % | 2.74 | % | ||||||||
Class N (Inception: 2/28/2011) | 29.34 | % | 8.36 | % | 8.64 | % | 2.69 | % | ||||||||
MSCI All Country World (ex USA) Small Cap Net Index | 24.70 | % | 9.68 | % | 10.08 | % | 6.00 | % |
(1) | The total returns do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
11
TCW Developing Markets Equity Fund
Issues | Shares | Value | ||||||
COMMON STOCK — 97.3% of Net Assets |
| |||||||
Argentina — 0.9% | ||||||||
Banco Macro S.A. (ADR) | 200 | $ | 25,184 | |||||
YPF S.A. (SP ADR) | 1,200 | 29,472 | ||||||
|
| |||||||
Total Argentina | ||||||||
(Cost: $54,028) | 54,656 | |||||||
|
| |||||||
Brazil — 7.3% | ||||||||
Banco do Brasil S.A. | 5,200 | 54,745 | ||||||
CVC Brasil Operadora e Agencia de Viagens S.A. | 2,500 | 33,014 | ||||||
Estacio Participacoes S.A. | 5,900 | 52,898 | ||||||
Gol Linhas Aereas Inteligentes S.A. (ADR) (1) | 3,500 | 74,130 | ||||||
Petroleo Brasileiro S.A. (SP ADR) (1) | 4,200 | 44,730 | ||||||
Qualicorp S.A. | 2,800 | 29,957 | ||||||
Ser Educacional S.A. | 5,800 | 54,696 | ||||||
Ser Educacional S.A. (1) | 645 | 6,112 | ||||||
Smiles Fidelidade S.A. | 1,200 | 31,363 | ||||||
TIM Participacoes S.A. (ADR) | 3,700 | 68,228 | ||||||
|
| |||||||
Total Brazil | ||||||||
(Cost: $426,611) | 449,873 | |||||||
|
| |||||||
Chile — 0.5% (Cost: $30,271) | ||||||||
Banco Santander Chile | 390,000 | 30,667 | ||||||
|
| |||||||
China — 31.7% | ||||||||
Alibaba Group Holding, Ltd. (SP ADR) (1) | 1,484 | 274,377 | ||||||
Baidu, Inc. (SP ADR) (1) | 100 | 24,394 | ||||||
Brilliance China Automotive Holdings, Ltd. | 12,000 | 30,408 | ||||||
China Infrastructure Machinery Holdings, Ltd. | 65,000 | 29,245 | ||||||
China Merchants Bank Co., Ltd. — Class H | 16,500 | 63,005 | ||||||
Galaxy Entertainment Group, Ltd. | 4,000 | 27,276 | ||||||
Guangzhou Automobile Group Co., Ltd. — Class H | 14,000 | 34,814 | ||||||
Industrial & Commercial Bank of China, Ltd. — Class H | 82,000 | 65,241 | ||||||
Kweichow Moutai Co., Ltd. | 1,780 | 166,432 | ||||||
Melco Crown Entertainment, Ltd. (ADR) | 2,500 | 63,200 | ||||||
Microport Scientific Corp. | 34,000 | 33,554 | ||||||
Ping An Insurance Group Co. of China, Ltd. — Class H | 13,150 | 115,555 | ||||||
Q Technology Group Co., Ltd. | 15,000 | 33,589 | ||||||
Silergy Corp. | 1,873 | 40,454 | ||||||
Sino Biopharmaceutical, Ltd. | 27,000 | 31,572 | ||||||
Sinotruk Hong Kong, Ltd. | 65,000 | 86,433 | ||||||
Sunny Optical Technology Group Co., Ltd. | 2,000 | 29,333 | ||||||
TAL Education Group (ADR) | 900 | 24,750 | ||||||
Tencent Holdings, Ltd. | 10,200 | 458,416 | ||||||
Weichai Power Co., Ltd. — Class H | 25,000 | 31,129 | ||||||
Wuliangye Yibin Co., Ltd. | 9,599 | 96,536 | ||||||
Xiabuxiabu Catering Management China Holdings Co., Ltd. | 48,000 | 70,138 | ||||||
YY, Inc. (ADR) (1) | 1,000 | 90,390 |
Issues | Shares | Value | ||||||
China (Continued) | ||||||||
ZTE Corp. — Class H (1) | 9,600 | $ | 33,352 | |||||
|
| |||||||
Total China | ||||||||
(Cost: $1,373,351) | 1,953,593 | |||||||
|
| |||||||
Germany — 1.5% | ||||||||
KION Group AG | 385 | 30,852 | ||||||
Siltronic AG (1) | 416 | 62,092 | ||||||
|
| |||||||
Total Germany | ||||||||
(Cost: $77,745) | 92,944 | |||||||
|
| |||||||
Hungary — 1.5% | ||||||||
MOL Hungarian Oil & Gas PLC | 2,560 | 30,651 | ||||||
OTP Bank PLC | 1,605 | 64,694 | ||||||
|
| |||||||
Total Hungary | ||||||||
(Cost: $74,957) | 95,345 | |||||||
|
| |||||||
India — 9.5% | ||||||||
Dilip Buildcon, Ltd. | 6,453 | 84,801 | ||||||
Hindalco Industries, Ltd. | 8,100 | 33,508 | ||||||
Hindustan Petroleum Corp., Ltd. | 4,530 | 31,260 | ||||||
IndusInd Bank, Ltd. | 1,175 | 29,584 | ||||||
IRB Infrastructure Developers, Ltd. | 8,810 | 33,144 | ||||||
Maruti Suzuki India, Ltd. | 811 | 102,994 | ||||||
Reliance Industries, Ltd. | 5,313 | 77,506 | ||||||
Tata Motors, Ltd. (1) | 8,084 | 30,137 | ||||||
Tata Steel, Ltd. | 2,895 | 31,473 | ||||||
Vedanta, Ltd. | 13,315 | 68,386 | ||||||
Voltas, Ltd. | 6,800 | 59,631 | ||||||
|
| |||||||
Total India | ||||||||
(Cost: $499,638) | 582,424 | |||||||
|
| |||||||
Indonesia — 2.0% | ||||||||
Bank Central Asia Tbk PT | 40,200 | 61,926 | ||||||
Sumber Alfaria Trijaya Tbk PT | 573,200 | 29,373 | ||||||
United Tractors Tbk PT | 12,900 | 32,981 | ||||||
|
| |||||||
Total Indonesia | ||||||||
(Cost: $99,572) | 124,280 | |||||||
|
| |||||||
Japan — 1.8% | ||||||||
Nabtesco Corp. | 500 | 19,877 | ||||||
Tokyo Electron, Ltd. | 500 | 88,098 | ||||||
|
| |||||||
Total Japan | ||||||||
(Cost: $95,807) | 107,975 | |||||||
|
| |||||||
Kazakhstan — 1.4% (Cost: $91,306) | ||||||||
KAZ Minerals PLC (1) | 8,242 | 88,979 | ||||||
|
| |||||||
Kenya — 0.5% (Cost: $21,634) | ||||||||
Safari.com, Ltd. | 128,400 | 32,471 | ||||||
|
| |||||||
Netherlands — 0.5% (Cost: $30,389) | ||||||||
AMG Advanced Metallurgical Group NV | 655 | 31,351 | ||||||
|
|
See accompanying notes to financial statements.
12
TCW Developing Markets Equity Fund
October 31, 2017
Issues | Shares | Value | ||||||
Poland — 3.1% | ||||||||
Dino Polska S.A. (1) | 5,000 | $ | 94,018 | |||||
Grupa Lotos S.A. | 1,854 | 33,632 | ||||||
KGHM Polska Miedz S.A. | 904 | 30,565 | ||||||
Polski Koncern Naftowy ORLEN S.A. | 855 | 30,250 | ||||||
|
| |||||||
Total Poland | ||||||||
(Cost: $134,728) | 188,465 | |||||||
|
| |||||||
Russia — 2.7% | ||||||||
LUKOIL PJSC (SP ADR) | 864 | 45,818 | ||||||
Sberbank of Russia | 36,690 | 122,391 | ||||||
|
| |||||||
Total Russia | ||||||||
(Cost: $121,681) | 168,209 | |||||||
|
| |||||||
South Africa — 3.3% | ||||||||
Barloworld, Ltd. | 3,228 | 30,433 | ||||||
Capitec Bank Holdings, Ltd. | 700 | 46,523 | ||||||
Clicks Group, Ltd. | 3,895 | 43,618 | ||||||
Mr Price Group, Ltd. | 4,502 | 55,788 | ||||||
Standard Bank Group, Ltd. | 2,240 | 26,007 | ||||||
|
| |||||||
Total South Africa | ||||||||
(Cost: $201,924) | 202,369 | |||||||
|
| |||||||
South Korea — 13.3% | ||||||||
CJ Corp. | 194 | 32,343 | ||||||
Doosan Corp. | 249 | 29,816 | ||||||
Lam Research Corp. | 300 | 62,571 | ||||||
LG Household & Health Care, Ltd. | 35 | 36,770 | ||||||
LG Uplus Corp. | 2,555 | 29,338 | ||||||
POSCO (SP ADR) | 400 | 29,192 | ||||||
Samsung Biologics Co., Ltd. (1) | 45 | 15,438 | ||||||
Samsung Electronics Co., Ltd. | 187 | 460,975 | ||||||
SK Hynix, Inc. | 1,655 | 122,028 | ||||||
|
| |||||||
Total South Korea | ||||||||
(Cost: $564,010) | 818,471 | |||||||
|
| |||||||
Switzerland — 0.5% (Cost: $26,170) | ||||||||
Wizz Air Holdings PLC (1) | 700 | 30,445 | ||||||
|
| |||||||
Taiwan — 7.6% | ||||||||
Accton Technology Corp. | 29,000 | 93,509 | ||||||
Cathay Financial Holding Co., Ltd. | 19,000 | 31,396 | ||||||
Shin Kong Financial Holding Co., Ltd. | 96,000 | 30,717 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (SP ADR) | 5,970 | 252,710 | ||||||
Win Semiconductors Corp. | 7,000 | 57,349 | ||||||
|
| |||||||
Total Taiwan | ||||||||
(Cost: $333,898) | 465,681 | |||||||
|
| |||||||
Thailand — 1.6% | ||||||||
Kasikornbank PCL (NVDR) | 4,900 | 32,454 | ||||||
Star Petroleum Refining PCL (NVDR) | 64,000 | 33,541 |
Issues | Shares | Value | ||||||
Thailand (Continued) | ||||||||
Thai Oil PCL (NVDR) | 11,000 | $ | 33,775 | |||||
|
| |||||||
Total Thailand | ||||||||
(Cost: $83,621) | 99,770 | |||||||
|
| |||||||
Turkey — 1.0% | ||||||||
Tupras Turkiye Petrol Rafinerileri A.S. | 865 | 31,141 | ||||||
Turkiye Garanti Bankasi A.S. | 10,315 | 28,396 | ||||||
|
| |||||||
Total Turkey | ||||||||
(Cost: $51,042) | 59,537 | |||||||
|
| |||||||
United Arab Emirates — 2.4% (Cost: $57,965) | ||||||||
NMC Health PLC | 3,848 | 147,837 | ||||||
|
| |||||||
United Kingdom — 1.1% (Cost: $56,850) | ||||||||
IQE PLC (1) | 34,430 | 66,525 | ||||||
|
| |||||||
United States — 1.6% | ||||||||
MSCI, Inc. | 600 | 70,416 | ||||||
Tronox, Ltd. | 1,100 | 29,117 | ||||||
|
| |||||||
Total United States | ||||||||
(Cost: $96,445) | 99,533 | |||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $4,603,643) | 5,991,400 | |||||||
|
| |||||||
PREFERRED STOCK — 2.0% | ||||||||
Brazil — 2.0% | ||||||||
Cia Brasileira de Distribuicao, 0.28% (ADR) | 1,300 | 30,199 | ||||||
Itau Unibanco Holding S.A., 3.46% (ADR) | 5,010 | 64,178 | ||||||
Suzano Papel e Celulose S.A. 1.66% | 4,600 | 28,587 | ||||||
|
| |||||||
Total Brazil | ||||||||
(Cost: $100,701) | 122,964 | |||||||
|
| |||||||
Total Preferred Stock | ||||||||
(Cost: $100,701) | 122,964 | |||||||
|
| |||||||
Total Investments (99.3%) | ||||||||
(Cost: $4,704,344) | 6,114,364 | |||||||
Excess of Other Assets over Liabilities (0.7%) | 40,428 | |||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 6,154,792 | ||||||
|
|
Notes to the Schedule of Investments:
ADR - | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. |
NVDR - | Non-Voting Depositary Receipt. |
PJSC - | Private Joint-Stock Company. |
SP ADR - | Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
(1) | Non-income producing security. |
See accompanying notes to financial statements.
13
TCW Developing Markets Equity Fund
Investments by Industry
Industry | Percentage of Net Assets | |||
Airlines | 1.7 | % | ||
Automobiles | 3.3 | |||
Banks | 11.6 | |||
Beverages | 4.3 | |||
Capital Markets | 1.1 | |||
Chemicals | 0.5 | |||
Communications Equipment | 2.0 | |||
Construction & Engineering | 2.9 | |||
Diversified Consumer Services | 2.3 | |||
Diversified Telecommunication Services | 0.5 | |||
Electronic Equipment, Instruments & Components | 0.5 | |||
Food & Staples Retailing | 3.2 | |||
Health Care Equipment & Supplies | 0.5 | |||
Health Care Providers & Services | 2.9 | |||
Hotels, Restaurants & Leisure | 3.0 | |||
Household Durables | 0.5 | |||
Household Products | 0.6 | |||
Industrial Conglomerates | 1.0 | |||
Insurance | 2.9 | |||
Internet Software & Services | 13.8 | |||
Life Sciences Tools & Services | 0.2 | |||
Machinery | 3.2 | |||
Media | 0.5 | |||
Metals & Mining | 5.0 | |||
Oil, Gas & Consumable Fuels | 7.4 | |||
Paper & Forest Products | 0.5 | |||
Pharmaceuticals | 0.5 | |||
Semiconductors & Semiconductor Equipment | 12.4 | |||
Specialty Retail | 0.9 | |||
Technology Hardware, Storage & Peripherals | 7.5 | |||
Trading Companies & Distributors | 0.5 | |||
Wireless Telecommunication Services | 1.6 | |||
|
| |||
Total | 99.3 | % | ||
|
|
See accompanying notes to financial statements.
14
TCW Developing Markets Equity Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Airlines | $ | 74,130 | $ | 30,445 | $ | — | $ | 104,575 | ||||||||
Automobiles | — | 198,353 | — | 198,353 | ||||||||||||
Banks | 157,118 | 493,699 | — | 650,817 | ||||||||||||
Beverages | — | 262,967 | — | 262,967 | ||||||||||||
Capital Markets | 70,416 | — | — | 70,416 | ||||||||||||
Chemicals | 29,117 | — | — | 29,117 | ||||||||||||
Communications Equipment | — | 126,861 | — | 126,861 | ||||||||||||
Construction & Engineering | — | 177,576 | — | 177,576 | ||||||||||||
Diversified Consumer Services | 138,456 | — | — | 138,456 | ||||||||||||
Diversified Telecommunication Services | — | 29,338 | — | 29,338 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 29,333 | — | 29,333 | ||||||||||||
Food & Staples Retailing | 29,373 | 137,636 | — | 167,009 | ||||||||||||
Health Care Equipment & Supplies | — | 33,554 | — | 33,554 | ||||||||||||
Health Care Providers & Services | 29,957 | 147,837 | — | 177,794 | ||||||||||||
Hotels, Restaurants & Leisure | 166,352 | 27,276 | — | 193,628 | ||||||||||||
Household Durables | — | 33,589 | — | 33,589 | ||||||||||||
Household Products | 36,770 | — | — | 36,770 | ||||||||||||
Industrial Conglomerates | — | 62,159 | — | 62,159 | ||||||||||||
Insurance | — | 177,669 | — | 177,669 | ||||||||||||
Internet Software & Services | 389,161 | 458,416 | — | 847,577 | ||||||||||||
Life Sciences Tools & Services | — | 15,438 | — | 15,438 | ||||||||||||
Machinery | — | 197,536 | — | 197,536 | ||||||||||||
Media | 31,363 | — | — | 31,363 | ||||||||||||
Metals & Mining | 29,192 | 284,263 | — | 313,455 | ||||||||||||
Oil, Gas & Consumable Fuels | 186,776 | 267,981 | — | 454,757 | ||||||||||||
Pharmaceuticals | — | 31,572 | — | 31,572 | ||||||||||||
Semiconductors & Semiconductor Equipment | 381,806 | 370,021 | — | 751,827 | ||||||||||||
Specialty Retail | — | 55,788 | — | 55,788 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 460,974 | — | 460,974 | ||||||||||||
Trading Companies & Distributors | 30,433 | — | — | 30,433 | ||||||||||||
Wireless Telecommunication Services | 100,699 | — | — | 100,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 1,881,119 | 4,110,281 | — | 5,991,400 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Banks | 64,178 | — | — | 64,178 | ||||||||||||
Food & Staples Retailing | 30,199 | — | — | 30,199 | ||||||||||||
Paper & Forest Products | 28,587 | — | — | 28,587 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 122,964 | — | — | 122,964 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,004,083 | $ | 4,110,281 | $ | — | $ | 6,114,364 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
15
TCW Emerging Markets Income Fund
Schedule of Investments
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 92.2% of Net Assets |
| |||||||||||
Argentina — 10.5% | ||||||||||||
Argentina Bonar Bonds |
| |||||||||||
23.74% (Argentina BADLAR Private Deposit Rate + 2.000%) (1) | 04/03/22 | ARS | 146,968,000 | $ | 8,674,037 | |||||||
Argentina POM Politica Monetaria |
| |||||||||||
27.15% | 06/21/20 | ARS | 681,492,850 | 42,599,086 | ||||||||
Argentine Bonos del Tesoro |
| |||||||||||
18.20% | 10/03/21 | ARS | 701,730,000 | 40,908,446 | ||||||||
Argentine Republic Government International Bond |
| |||||||||||
6.63% | 07/06/28 | $ | 35,485,000 | 37,756,040 | ||||||||
6.88% | 01/26/27 | 38,275,000 | 41,777,162 | |||||||||
7.13% | 07/06/36 | 51,250,000 | 55,145,000 | |||||||||
7.13% (2) | 06/28/49 | 29,715,000 | 30,585,650 | |||||||||
7.63% | 04/22/46 | 36,900,000 | 41,538,330 | |||||||||
Banco Hipotecario S.A. |
| |||||||||||
23.71% (Argentina BADLAR Private Deposit Rate + 2.500%) (1)(3) | 01/12/20 | ARS | 286,917,000 | 16,394,226 | ||||||||
Provincia de Buenos Aires |
| |||||||||||
7.88% (2) | 06/15/27 | $ | 28,325,000 | 31,429,420 | ||||||||
YPF S.A. | ||||||||||||
6.95% (3) | 07/21/27 | 19,325,000 | 20,764,713 | |||||||||
25.46% (Argentina BADLAR Private Deposit Rate + 4.000%) (1)(3) | 07/07/20 | 5,860,000 | 5,669,983 | |||||||||
|
| |||||||||||
Total Argentina |
| |||||||||||
(Cost: $369,741,349) |
| 373,242,093 | ||||||||||
|
| |||||||||||
Bahrain — 2.3% | ||||||||||||
Bahrain Government International Bond |
| |||||||||||
7.00% (3) | 10/12/28 | 41,783,000 | 43,040,668 | |||||||||
7.50% (3) | 09/20/47 | 11,298,000 | 11,031,367 | |||||||||
Oil and Gas Holding Co. (The) |
| |||||||||||
7.50% (3) | 10/25/27 | 25,518,000 | 26,539,231 | |||||||||
|
| |||||||||||
Total Bahrain |
| |||||||||||
(Cost: $79,225,669) |
| 80,611,266 | ||||||||||
|
| |||||||||||
Brazil — 10.1% | ||||||||||||
Andrade Gutierrez International S.A. |
| |||||||||||
4.00% (2) | 04/30/18 | 15,603,000 | 14,505,953 | |||||||||
Aegea Finance S.a.r.l. |
| |||||||||||
5.75% (3) | 10/10/24 | 6,150,000 | 6,332,040 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Brazil (Continued) | ||||||||||||
Banco do Brasil S.A. |
| |||||||||||
6.25% (U.S. 10 year Treasury Constant Maturity Rate + 4.398%) (1)(2)(4) | 10/29/49 | $ | 11,075,000 | $ | 10,441,510 | |||||||
9.00% (U.S. 10 year Treasury Constant Maturity Rate + 6.362%) (1)(2)(4) | 06/29/49 | 21,947,000 | 24,141,700 | |||||||||
Brazil Minas SPE via State of Minas Gerais |
| |||||||||||
5.33% (2) | 02/15/28 | 31,910,000 | 32,548,200 | |||||||||
Brazil Notas do Tesouro Nacional, Series F |
| |||||||||||
10.00% | 01/01/25 | BRL | 54,100,000 | 16,742,422 | ||||||||
Brazilian Government International Bond |
| |||||||||||
4.63% | 01/13/28 | $ | 53,469,000 | 53,244,430 | ||||||||
CIMPOR Financial Operations BV |
| |||||||||||
5.75% (2) | 07/17/24 | 13,549,000 | 12,949,457 | |||||||||
CSN Resources S.A. |
| |||||||||||
6.50% (2) | 07/21/20 | 14,181,000 | 13,111,753 | |||||||||
Gerdau Trade, Inc. |
| |||||||||||
4.88% (3) | 10/24/27 | 14,500,000 | 14,565,250 | |||||||||
Petrobras Global Finance BV |
| |||||||||||
6.00% (3) | 01/27/28 | 37,160,000 | 37,750,844 | |||||||||
6.85% | 12/31/99 | 50,150,000 | 48,199,165 | |||||||||
7.38% | 01/17/27 | 48,705,000 | 54,184,313 | |||||||||
Samarco Mineracao S.A. |
| |||||||||||
4.13% (2)(5) | 11/01/22 | 12,765,000 | 7,531,350 | |||||||||
5.38% (2)(5) | 09/26/24 | 2,765,000 | 1,631,350 | |||||||||
Vale Overseas, Ltd. |
| |||||||||||
6.88% | 11/10/39 | 14,095,000 | 16,866,077 | |||||||||
|
| |||||||||||
Total Brazil | ||||||||||||
(Cost: $351,606,521) |
| 364,745,814 | ||||||||||
|
| |||||||||||
Chile — 1.2% | ||||||||||||
Banco de Credito e Inversiones |
| |||||||||||
3.50% (3) | 10/12/27 | 10,725,000 | 10,497,630 | |||||||||
Celulosa Arauco y Constitucion S.A. |
| |||||||||||
5.50% (3) | 11/02/47 | 9,075,000 | 9,161,213 | |||||||||
Latam Finance, Ltd. |
| |||||||||||
6.88% (3) | 04/11/24 | 20,375,000 | 21,603,612 | |||||||||
|
| |||||||||||
Total Chile |
| |||||||||||
(Cost: $40,088,326) |
| 41,262,455 | ||||||||||
|
| |||||||||||
China — 0.4% (Cost: 13,404,005) | ||||||||||||
Kaisa Group Holdings Ltd |
| |||||||||||
8.50% (2) | 06/30/22 | 13,348,000 | 13,371,319 | |||||||||
|
|
See accompanying notes to financial statements.
16
TCW Emerging Markets Income Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Colombia — 2.1% | ||||||||||||
Banco de Bogota S.A. |
| |||||||||||
6.25% (3) | 05/12/26 | $ | 8,470,000 | $ | 9,211,125 | |||||||
Banco GNB Sudameris S.A. |
| |||||||||||
6.50% (5 year Treasury Constant Maturity Rate + 4.561%) (1)(3) | 04/03/27 | 14,050,000 | 14,628,860 | |||||||||
Colombian TES |
| |||||||||||
7.50% | 08/26/26 | COP | 97,500,000,000 | 34,021,869 | ||||||||
Empresas Public Medellin |
| |||||||||||
8.38% | 11/08/27 | COP | 52,767,000,000 | 17,340,252 | ||||||||
|
| |||||||||||
Total Colombia | ||||||||||||
(Cost: $75,012,957) |
| 75,202,106 | ||||||||||
|
| |||||||||||
Costa Rica — 0.9% | ||||||||||||
Autopistas del Sol S.A. |
| |||||||||||
7.38% (3) | 12/30/30 | $ | 19,088,000 | 20,309,632 | ||||||||
Banco Nacional de Costa Rica |
| |||||||||||
5.88% (3) | 04/25/21 | 3,698,000 | 3,855,535 | |||||||||
Costa Rica Government International Bond |
| |||||||||||
7.00% (2) | 04/04/44 | 7,689,000 | 8,044,616 | |||||||||
|
| |||||||||||
Total Costa Rica | ||||||||||||
(Cost: $29,531,890) |
| 32,209,783 | ||||||||||
|
| |||||||||||
Dominican Republic — 2.7% | ||||||||||||
AES Andres B.V. / Dominican Power Partners / Empresa Generadora de Electricidad Itabo, S.A. |
| |||||||||||
7.95% (3) | 05/11/26 | 14,505,000 | 15,774,187 | |||||||||
Dominican Republic International Bond |
| |||||||||||
5.95% (3) | 01/25/27 | 46,895,000 | 50,599,705 | |||||||||
6.85% (2) | 01/27/45 | 24,956,000 | 27,888,330 | |||||||||
|
| |||||||||||
Total Dominican Republic |
| |||||||||||
(Cost: $89,416,083) |
| 94,262,222 | ||||||||||
|
| |||||||||||
Ecuador — 2.1% | ||||||||||||
Ecuador Government International Bond |
| |||||||||||
7.95% (2) | 06/20/24 | 29,440,000 | 29,771,200 | |||||||||
8.88% (3) | 10/23/27 | 21,750,000 | 22,245,900 | |||||||||
9.65% (3) | 12/13/26 | 21,855,000 | 23,673,336 | |||||||||
|
| |||||||||||
Total Ecuador |
| |||||||||||
(Cost: $70,107,202) |
| 75,690,436 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Egypt — 2.6% | ||||||||||||
Egypt Government International Bond |
| |||||||||||
6.13% (3) | 01/31/22 | $ | 27,355,000 | $ | 28,603,072 | |||||||
7.50% (3) | 01/31/27 | 29,075,000 | 32,289,096 | |||||||||
8.50% (3) | 01/31/47 | 27,100,000 | 30,739,530 | |||||||||
|
| |||||||||||
Total Egypt |
| |||||||||||
(Cost: $84,827,393) |
| 91,631,698 | ||||||||||
|
| |||||||||||
El Salvador — 1.5% | ||||||||||||
El Salvador Government International Bond |
| |||||||||||
5.88% (2) | 01/30/25 | 13,067,000 | 12,887,329 | |||||||||
7.38% (2) | 12/01/19 | 11,100,000 | 11,571,750 | |||||||||
7.65% (2) | 06/15/35 | 9,780,000 | 10,244,550 | |||||||||
8.63% (3) | 02/28/29 | 15,195,000 | 17,265,318 | |||||||||
|
| |||||||||||
Total El Salvador |
| |||||||||||
(Cost: $48,895,028) |
| 51,968,947 | ||||||||||
|
| |||||||||||
Gabon — 0.6% (Cost: $21,464,513) | ||||||||||||
Gabon Government International Bond |
| |||||||||||
6.38% (2) | 12/12/24 | 21,790,000 | 21,437,656 | |||||||||
|
| |||||||||||
Ghana — 0.3% (Cost: $8,163,375) | ||||||||||||
Ghana Government International Bond |
| |||||||||||
8.13% (2) | 01/18/26 | 8,250,000 | 8,975,711 | |||||||||
|
| |||||||||||
Greece — 1.0% (Cost: $35,285,896) | ||||||||||||
Hellenic Republic Government Bond |
| |||||||||||
4.38% (2) | 08/01/22 | EUR | 30,370,000 | 35,334,243 | ||||||||
|
| |||||||||||
India — 1.1% | ||||||||||||
Azure Power Energy, Ltd. |
| |||||||||||
5.50% (3) | 11/03/22 | $ | 10,690,000 | 11,083,392 | ||||||||
Greenko Dutch BV |
| |||||||||||
5.25% (3) | 07/24/24 | 4,550,000 | 4,646,688 | |||||||||
Neerg Energy, Ltd. |
| |||||||||||
6.00% (3) | 02/13/22 | 7,257,000 | 7,516,684 | |||||||||
Vedanta Resources PLC |
| |||||||||||
6.38% (3) | 07/30/22 | 15,760,000 | 16,527,512 | |||||||||
|
| |||||||||||
Total India |
| |||||||||||
(Cost: $38,254,114) |
| 39,774,276 | ||||||||||
|
| |||||||||||
Indonesia — 2.8% | ||||||||||||
Indonesia Treasury Bond |
| |||||||||||
8.38% | 09/15/26 | IDR | 637,200,000,000 | 51,680,737 | ||||||||
Minejesa Capital BV |
| |||||||||||
5.63% (3) | 08/10/37 | $ | 28,035,000 | 29,834,847 |
See accompanying notes to financial statements.
17
TCW Emerging Markets Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Indonesia (Continued) | ||||||||||||
Saka Energi Indonesia PT |
| |||||||||||
4.45% (3) | 05/05/24 | $ | 18,030,000 | $ | 18,407,296 | |||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $101,262,268) |
| 99,922,880 | ||||||||||
|
| |||||||||||
Iraq — 0.5% (Cost: $16,364,063) | ||||||||||||
Iraq International Bond |
| |||||||||||
5.80% (2) | 01/15/28 | 20,150,000 | 19,054,344 | |||||||||
|
| |||||||||||
Ivory Coast — 0.9% (Cost: $33,185,340) | ||||||||||||
Ivory Coast Government International Bond |
| |||||||||||
6.13% (3) | 06/15/33 | 33,730,000 | 33,519,187 | |||||||||
|
| |||||||||||
Jamaica — 0.4% (Cost: $14,405,075) | ||||||||||||
Digicel Group, Ltd. |
| |||||||||||
8.25% (2) | 09/30/20 | 15,160,000 | 15,037,204 | |||||||||
|
| |||||||||||
Jordan — 0.5% (Cost: $18,198,154) | ||||||||||||
Jordan Government International Bond |
| |||||||||||
7.38% (3) | 10/10/47 | 18,330,000 | 19,240,543 | |||||||||
|
| |||||||||||
Kazakhstan — 2.9% | ||||||||||||
KazMunayGas National Co. JSC |
| |||||||||||
4.75% (3) | 04/19/27 | 46,830,000 | 48,024,165 | |||||||||
5.75% (3) | 04/19/47 | 56,005,000 | 56,474,602 | |||||||||
|
| |||||||||||
Total Kazakhstan |
| |||||||||||
(Cost: $101,418,862) |
| 104,498,767 | ||||||||||
|
| |||||||||||
Lebanon — 4.0% | ||||||||||||
Lebanon Government International Bond |
| |||||||||||
5.45% (2) | 11/28/19 | 32,035,000 | 32,192,292 | |||||||||
5.80% (2) | 04/14/20 | 19,585,000 | 19,627,303 | |||||||||
6.00% (2) | 01/27/23 | 31,595,000 | 30,837,794 | |||||||||
6.40% | 05/26/23 | 47,275,000 | 46,802,250 | |||||||||
6.65% (2) | 04/22/24 | 14,335,000 | 14,206,014 | |||||||||
|
| |||||||||||
Total Lebanon | ||||||||||||
(Cost: $146,274,257) |
| 143,665,653 | ||||||||||
|
| |||||||||||
Malaysia — 0.8% | ||||||||||||
Malaysia Government Bond |
| |||||||||||
3.89% | 07/31/20 | MYR | 39,350,000 | 9,397,154 | ||||||||
4.16% | 07/15/21 | MYR | 36,161,000 | 8,699,652 | ||||||||
3.23% | 04/15/20 | MYR | 38,000,000 | 8,920,373 | ||||||||
|
| |||||||||||
Total Malaysia |
| |||||||||||
(Cost: $27,350,618) |
| 27,017,179 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Mexico — 6.8% | ||||||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
6.88% (U.S. 5 year Treasury Constant Maturity Rate + 5.035%) (1)(3)(4) | 12/31/99 | $ | 13,225,000 | $ | 13,953,697 | |||||||
7.63% (U.S. 10 year Treasury Constant Maturity Rate + 5.353%) (1)(3)(4) | 12/31/99 | 18,680,000 | 20,349,992 | |||||||||
Mexico City Airport Trust |
| |||||||||||
5.50% (3) | 07/31/47 | 34,180,000 | 34,026,190 | |||||||||
Mexico Government Bond |
| |||||||||||
10.00% | 12/05/24 | MXN | 830,000,000 | 50,246,233 | ||||||||
Petroleos Mexicanos | ||||||||||||
5.63% | 01/23/46 | $ | 40,555,000 | 36,870,578 | ||||||||
6.50% (2) | 03/13/27 | 5,965,000 | 6,513,184 | |||||||||
6.50% | 06/02/41 | 33,190,000 | 33,687,850 | |||||||||
6.63% | 06/15/35 | 31,890,000 | 33,714,108 | |||||||||
Unifin Financiera S.A.B. de C.V. SOFOM E.N.R. |
| |||||||||||
7.00% (3) | 01/15/25 | 11,270,000 | 11,868,437 | |||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $239,548,859) |
| 241,230,269 | ||||||||||
|
| |||||||||||
Mongolia — 0.5% (Cost: $18,040,072) | ||||||||||||
Mongolia Government International Bond |
| |||||||||||
5.13% (2) | 12/05/22 | 18,980,000 | 18,877,508 | |||||||||
|
| |||||||||||
Oman — 2.1% | ||||||||||||
Oman Government International Bond |
| |||||||||||
5.38% (3) | 03/08/27 | 31,545,000 | 32,444,127 | |||||||||
6.50% (3) | 03/08/47 | 40,285,000 | 41,574,120 | |||||||||
|
| |||||||||||
Total Oman |
| |||||||||||
(Cost: $72,476,468) | 74,018,247 | |||||||||||
|
| |||||||||||
Panama — 1.8% | ||||||||||||
AES El Salvador Trust III |
| |||||||||||
6.75% (2) | 03/28/23 | 8,450,000 | 8,154,250 | |||||||||
AES Panama SRL |
| |||||||||||
6.00% (3) | 06/25/22 | 31,410,000 | 33,176,812 | |||||||||
Banistmo S.A. |
| |||||||||||
3.65% (3) | 09/19/22 | 9,140,000 | 9,157,366 | |||||||||
C&W Senior Financing Designated Activity Co. |
| |||||||||||
6.88% (3) | 09/15/27 | 11,325,000 | 11,862,938 | |||||||||
|
| |||||||||||
Total Panama |
| |||||||||||
(Cost: $60,111,382) | 62,351,366 | |||||||||||
|
|
See accompanying notes to financial statements.
18
TCW Emerging Markets Income Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Paraguay — 0.4% (Cost: $13,282,716) | ||||||||||||
Banco Regional SAECA |
| |||||||||||
8.13% (3) | 01/24/19 | $ | 13,350,000 | $ | 14,128,305 | |||||||
|
| |||||||||||
Peru — 3.2% | ||||||||||||
Cerro del Aguila S.A. | ||||||||||||
4.13% (3) | 08/16/27 | 11,075,000 | 11,047,313 | |||||||||
Fenix Power Peru S.A. |
| |||||||||||
4.32% (3) | 09/20/27 | 11,065,000 | 11,134,156 | |||||||||
Orazul Energy Egenor S en C por A |
| |||||||||||
5.63% (3) | 04/28/27 | 24,000,000 | 23,697,600 | |||||||||
Peruvian Government International Bond |
| |||||||||||
6.95% (2) | 08/12/31 | PEN | 76,200,000 | 26,318,176 | ||||||||
Petroleos del Peru S.A. |
| |||||||||||
5.63% (3) | 06/19/47 | $ | 27,700,000 | 29,223,500 | ||||||||
VM Holding S.A. | ||||||||||||
5.38% (3) | 05/04/27 | 11,810,000 | 12,510,333 | |||||||||
|
| |||||||||||
Total Peru | ||||||||||||
(Cost: $112,437,416) |
| 113,931,078 | ||||||||||
|
| |||||||||||
Russia — 4.1% | ||||||||||||
Gazprom OAO via Gaz Capital S.A. |
| |||||||||||
4.95% (3) | 03/23/27 | 34,280,000 | 35,187,837 | |||||||||
GTH Finance BV |
| |||||||||||
7.25% (3) | 04/26/23 | 16,151,000 | 18,331,385 | |||||||||
Russian Federal Bond — OFZ |
| |||||||||||
6.70% | 05/15/19 | RUB | 1,561,000,000 | 26,524,264 | ||||||||
7.70% | 03/23/33 | RUB | 1,529,000,000 | 26,284,513 | ||||||||
5.25% (2) | 06/23/47 | $ | 26,600,000 | 27,294,260 | ||||||||
VimpelCom Holdings BV |
| |||||||||||
4.95% (3) | 06/16/24 | 12,425,000 | 12,745,565 | |||||||||
|
| |||||||||||
Total Russia | ||||||||||||
(Cost: $144,549,073) |
| 146,367,824 | ||||||||||
|
| |||||||||||
Saudi Arabia — 1.4% (Cost: $49,854,689) | ||||||||||||
Saudi Government International Bond |
| |||||||||||
3.63% (3) | 03/04/28 | 50,175,000 | 49,861,406 | |||||||||
|
| |||||||||||
Senegal — 0.2% (Cost: $7,480,000) | ||||||||||||
Senegal Government International Bond |
| |||||||||||
6.25% (3) | 05/23/33 | 7,480,000 | 7,760,500 | |||||||||
|
| |||||||||||
South Africa — 3.4% | ||||||||||||
Eskom Holdings SOC, Ltd. |
| |||||||||||
7.13% (2) | 02/11/25 | 14,350,000 | 14,727,405 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
South Africa (Continued) | ||||||||||||
South Africa Government Bond |
| |||||||||||
4.30% | 10/12/28 | $ | 65,930,000 | $ | 61,121,923 | |||||||
8.75% | 01/31/44 | ZAR | 402,000,000 | 24,831,517 | ||||||||
10.50% | 12/21/26 | ZAR | 239,000,000 | 18,361,149 | ||||||||
|
| |||||||||||
Total South Africa | ||||||||||||
(Cost: $123,240,129) |
| 119,041,994 | ||||||||||
|
| |||||||||||
Sri Lanka — 2.1% | ||||||||||||
Sri Lanka Government Bond | ||||||||||||
6.20% (3) | 05/11/27 | $ | 40,637,000 | 43,213,386 | ||||||||
6.83% (3) | 07/18/26 | 18,725,000 | 20,803,288 | |||||||||
11.50% | 12/15/21 | LKR | 1,350,000,000 | 9,198,950 | ||||||||
|
| |||||||||||
Total Sri Lanka | ||||||||||||
(Cost: $69,818,307) |
| 73,215,624 | ||||||||||
|
| |||||||||||
Turkey — 5.2% | ||||||||||||
Akbank TAS |
| |||||||||||
7.20% (USD 5 Year Swap rate + 5.026%) (1)(3) | 03/16/27 | 15,000,000 | 15,525,000 | |||||||||
Turkey Government Bond |
| |||||||||||
5.75% | 05/11/47 | $ | 67,550,000 | 64,527,138 | ||||||||
6.00% | 03/25/27 | 77,180,000 | 81,424,900 | |||||||||
11.00% | 03/02/22 | TRY | 59,000,000 | 15,049,347 | ||||||||
11.00% | 02/24/27 | TRY | 31,500,000 | $ | 8,062,616 | |||||||
|
| |||||||||||
Total Turkey | ||||||||||||
(Cost: $188,668,195) |
| 184,589,001 | ||||||||||
|
| |||||||||||
Ukraine — 5.6% | ||||||||||||
Ukraine Government International Bond |
| |||||||||||
7.38% (3) | 09/25/32 | $ | 16,660,000 | 16,466,744 | ||||||||
7.75% (2) | 09/01/23 | 31,863,000 | 33,934,095 | |||||||||
7.75% (2) | 09/01/25 | 54,200,000 | 56,501,332 | |||||||||
7.75% (2) | 09/01/26 | 62,439,000 | 64,437,048 | |||||||||
Ukreximbank Via Biz Finance PLC |
| |||||||||||
9.75% (2) | 01/22/25 | 25,380,000 | 27,791,100 | |||||||||
|
| |||||||||||
Total Ukraine | ||||||||||||
(Cost: $164,426,739) |
| 199,130,319 | ||||||||||
|
| |||||||||||
United States — 0.2% (Cost: $8,886,813) | ||||||||||||
Azul Investments LLP |
| |||||||||||
5.88% (3) | 10/26/24 | 8,950,000 | 8,923,150 | |||||||||
|
| |||||||||||
Uruguay — 0.8% (Cost: $27,774,615) | ||||||||||||
Uruguay Government International Bond |
| |||||||||||
8.50% (3) | 03/15/28 | UYU | 792,650,000 | 27,280,959 | ||||||||
|
|
See accompanying notes to financial statements.
19
TCW Emerging Markets Income Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Venezuela — 1.7% | ||||||||||||
Petroleos de Venezuela S.A. |
| |||||||||||
5.38% (2) | 04/12/27 | $ | 93,726,000 | $ | 27,377,365 | |||||||
Venezuela Government International Bond |
| |||||||||||
8.25% (2) | 10/13/24 | 29,531,200 | 10,188,264 | |||||||||
9.25% | 09/15/27 | 34,835,000 | 12,976,037 | |||||||||
9.38% | 01/13/34 | 26,315,000 | 9,012,888 | |||||||||
|
| |||||||||||
Total Venezuela | ||||||||||||
(Cost: $64,946,004) |
| 59,554,554 | ||||||||||
|
| |||||||||||
Zambia — 0.3% (Cost: 11,385,000) | ||||||||||||
First Quantum Minerals, Ltd. |
| |||||||||||
7.50% (3) | 04/01/25 | 11,385,000 | 12,096,563 | |||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $3,190,409,435) |
| 3,274,034,449 | ||||||||||
|
| |||||||||||
Issues | Shares | |||||||||||
EQUITY SECURITIES — 0.0% |
| |||||||||||
Mexico — 0.0% | ||||||||||||
Corp. GEO S.A.B. de C.V. (6) |
| 2,707,350 | — | |||||||||
Hipotecaria Su Casita S.A. de C.V., SOFOM E.N.R. (6) |
| 240,079 | — | |||||||||
|
| |||||||||||
Total Mexico | ||||||||||||
(Cost: $—) | — | |||||||||||
|
| |||||||||||
Total Equity Securities |
| |||||||||||
(Cost: $—) |
| — | ||||||||||
|
| |||||||||||
MONEY MARKET INVESTMENTS — 5.8% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class (7) |
| 204,184,444 | 204,184,444 | |||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $204,184,444) |
| 204,184,444 | ||||||||||
|
| |||||||||||
Purchased Options (0.0%) (8) |
| |||||||||||
(Cost: $1,029,016) |
| 1,131,215 | ||||||||||
|
| |||||||||||
Issues | Maturity Date | Principal Amount | Value | |||||||||
SHORT TERM INVESTMENTS — 1.3% |
| |||||||||||
FOREIGN GOVERNMENT BONDS — 1.3% | ||||||||||||
Egypt — 0.8% | ||||||||||||
Egypt Treasury Bills |
| |||||||||||
0.00% (9) | 11/07/17 | EGP | 160,000,000 | $ | 9,062,250 | |||||||
0.00% (9) | 12/19/17 | EGP | 176,000,000 | 9,763,743 | ||||||||
0.00% (9) | 12/26/17 | EGP | 172,200,000 | 9,519,943 | ||||||||
|
| |||||||||||
Total Egypt | ||||||||||||
(Cost: $27,553,015) |
| 28,345,936 | ||||||||||
|
| |||||||||||
Nigeria — 0.5% | ||||||||||||
Nigeria Treasury Bill |
| |||||||||||
0.00% (9) | 08/30/18 | NGN | 3,050,900,000 | 7,326,967 | ||||||||
0.00% (9) | 09/20/18 | NGN | 2,288,214,000 | 5,479,873 | ||||||||
0.00% (9) | 10/04/18 | NGN | 2,262,800,000 | 5,391,166 | ||||||||
|
| |||||||||||
Total Nigeria | ||||||||||||
(Cost: $18,114,578) |
| 18,198,006 | ||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost: $45,667,593) |
| 46,543,942 | ||||||||||
|
| |||||||||||
Total Investments (99.3%) |
| |||||||||||
(Cost: $3,441,290,488) |
| 3,525,894,050 | ||||||||||
Excess of Other Assets Over Liabilities (0.7%) |
| 24,654,257 | ||||||||||
|
| |||||||||||
Total Net Assets (100.0%) |
| $ | 3,550,548,307 | |||||||||
|
|
Purchased Options | ||||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
USD Call / MXN Put | Citigroup, N.A. | MXN | 19.00 | 1/11/18 | 36,036 | $ | 36,036 | $ | 1,131,215 | $ | 1,029,016 | $ | 102,199 | |||||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
20
TCW Emerging Markets Income Fund
October 31, 2017 |
Forward Currency Exchange Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
BUY (10) | ||||||||||||||||||||||||
Bank of America | ZAR | 231,057,894 | 12/27/17 | $ | 16,740,293 | $ | 16,186,624 | $ | (553,669 | ) | ||||||||||||||
BNP Paribas S.A. | MXN | 328,000,000 | 11/10/17 | 17,855,685 | 17,124,138 | (731,547 | ) | |||||||||||||||||
BNP Paribas S.A. | SAR | 75,688,000 | 06/28/18 | 20,000,000 | 20,146,834 | 146,834 | ||||||||||||||||||
BNP Paribas S.A. | TRY | 63,599,760 | 12/15/17 | 18,000,000 | 16,537,438 | (1,462,562 | ) | |||||||||||||||||
Citibank N.A. | CZK | 398,142,000 | 01/10/18 | 18,180,000 | 18,159,776 | (20,224 | ) | |||||||||||||||||
Citibank N.A. | PLN | 66,829,680 | 01/10/18 | 18,180,000 | 18,374,461 | 194,461 | ||||||||||||||||||
Goldman Sachs & Co. | TRY | 65,224,980 | 12/15/17 | 18,232,000 | 16,960,033 | (1,271,967 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 127,187,978 | $ | 123,489,304 | $ | (3,698,674 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (11) | ||||||||||||||||||||||||
Bank of America | SAR | 10,559,508 | 05/20/19 | $ | 2,782,479 | $ | 2,796,307 | $ | (13,828 | ) | ||||||||||||||
Bank of America | TRY | 70,397,240 | 12/15/17 | 18,160,000 | 18,304,943 | (144,943 | ) | |||||||||||||||||
Bank of America | ZAR | 231,057,894 | 12/27/17 | 17,260,000 | 16,186,623 | 1,073,377 | ||||||||||||||||||
BNP Paribas S.A. | SAR | 75,688,000 | 06/28/18 | 20,132,464 | 20,146,834 | (14,370 | ) | |||||||||||||||||
Citibank N.A. | ARS | 678,022,000 | 11/10/17 | 36,065,000 | 38,190,892 | (2,125,892 | ) | |||||||||||||||||
Citibank N.A. | NGN | 2,638,860,000 | 12/05/17 | 7,210,000 | 7,242,251 | (32,251 | ) | |||||||||||||||||
Citibank N.A. | SAR | 65,340,492 | 05/20/19 | 17,217,521 | 17,303,085 | (85,564 | ) | |||||||||||||||||
Goldman Sachs & Co. | MXN | 1,282,195,200 | 11/10/17 | 70,400,000 | 66,940,507 | 3,459,493 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 189,227,464 | $ | 187,111,442 | $ | 2,116,022 | |||||||||||||||||||
|
|
|
|
|
|
Cross Currency Forwards | ||||||||||||||||||||
Counterparty | Contracts to Deliver/ Units of Currency | Settlement Date | Contracts to Receive/ Units of Currency | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Citibank N.A. | GBP | 9,124,566 | 01/16/18 | PLN | 43,783,883 | $ | (107,947 | ) | ||||||||||||
|
|
Written Options | ||||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
USD Call / MXN Put | Citigroup, N.A. | MXN | 20.50 | 1/11/18 | 36,036 | $ | 36,036 | (239,497 | ) | $ | (250,452 | ) | $ | 10,955 | ||||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
21
TCW Emerging Markets Income Fund
Schedule of Investments (Continued)
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||||||||
Notional Amount (12) | Implied Credit Spread (13) | Expiration Date | Counterparty | Reference Entity | Fixed Deal Pay Rate | Payment Frequency | Unrealized Appreciation (Depreciation) | Premium Paid (Received) | Value (14) | |||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||||||
$ 15,900,000 | 0.53 | % | 12/20/22 | Bank of America | China Government Bond, 7.5%, due 10/28/27 | 1.0% | Quarterly | $ (53,297 | ) | $ (322,212 | ) | $ (375,509 | ) | |||||||||||||||||||
19,700,000 | 0.53 | % | 12/20/22 | Deutsche Bank AG | China Government Bond, 7.5%, due 10/28/27 | 1.0% | Quarterly | (66,034 | ) | (399,219 | ) | (465,253 | ) | |||||||||||||||||||
31,900,000 | 1.12 | % | 12/20/22 | Citibank N.A. | Colombia Government Bond, 10.375%, 01/28/33 | 1.0% | Quarterly | (284,669 | ) | 433,323 | 148,654 | |||||||||||||||||||||
31,650,000 | 0.95 | % | 12/20/22 | Bank of America | Mexico Government Bond, 4.15%, 03/28/27 | 1.0% | Quarterly | (119,186 | ) | 227,510 | 108,324 | |||||||||||||||||||||
36,000,000 | 1.07 | % | 12/20/22 | Bank of America | Mexico Government Bond, 5.95%, 03/19/19 | 1.0% | Quarterly | (135,679 | ) | 258,894 | 123,215 | |||||||||||||||||||||
16,350,000 | 1.07 | % | 12/20/22 | Citibank N.A. | Mexico Government Bond, 5.95%, 03/19/19 | 1.0% | Quarterly | (63,551 | ) | 119,511 | 55,960 | |||||||||||||||||||||
17,370,000 | 0.73 | % | 12/20/22 | Barclays Capital | Republic of Korea, 7.125%, 04/16/19 | 1.0% | Quarterly | 25,095 | (256,344 | ) | (231,249 | ) | ||||||||||||||||||||
112,410,000 | 0.73 | % | 12/20/22 | Citibank N.A. | Republic of Korea, 7.125%, 04/16/19 | 1.0% | Quarterly | 162,409 | (1,658,935 | ) | (1,496,526 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ (534,912 | ) | $ (1,597,472 | ) | $ (2,132,384 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
22
TCW Emerging Markets Income Fund
October 31, 2017 |
Notes to the Schedule of Investments:
ARS | - Argentine Peso. |
BRL | - Brazilian Real. |
COP | - Colombian Peso. |
CZK | - Czech Koruna. |
EGP | - Egyptian Pound. |
EUR | - Euro Currency. |
IDR | - Indonesian Rupiah. |
LKR | - Sri Lankan Rupee. |
MXN | - Mexican Peso. |
NGN | - Nigeria Naira. |
PEN | - Peruvian Nouveau Sol. |
RUB | - Russian Ruble. |
SAR | - Saudi Riyal. |
TRY | - Turkish New Lira. |
USD - | U.S. Dollar. |
UYU - Uruguayan | Peso. |
ZAR - South | African Rand. |
NGN | Nigeria Naira. |
OTC | Over the Counter. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2017. |
(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, 2017, the value of these securities amounted to $811,471,985 or 22.9% of net assets. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2017, the value of these securities amounted to $1,316,171,658 or 37.1% of net assets. These securities are determined to be liquid by the Advisor, unless otherwise noted, under procedures established by and under the general supervision of the Company’s Board of Directors. |
(4) | Perpetual maturity. |
(5) | Security is in default due to bankruptcy or failure to make payment of principal or interest of the issuer as of October 31, 2017. Income is not being accrued. |
(6) | Non-income producing security. |
(7) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
(8) | See table below for description of purchased options. |
(9) | Security is not accruing interest. |
(10) | Fund buys foreign currency, sells U.S. Dollar. |
(11) | Fund sells foreign currency, buys U.S. Dollar. |
(12) | The maximum potential amount the Fund could be required to make as seller of credit protection or receive as buyer of protection if a credit event occurred as defined under the terms of that particular swap agreement. |
(13) | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation. Implied credit spreads, represented in the absolute terms, utilized in determining the value of credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
(14) | The value of a credit default swap agreements serves as an indicator of the current status of the payments/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements. |
See accompanying notes to financial statements.
23
TCW Emerging Markets Income Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Airlines | 0.8 | % | ||
Banks | 4.8 | |||
Building Materials | 0.4 | |||
Commercial Services | 0.6 | |||
Currency Options | 0.0 | * | ||
Diversified Financial Services | 0.3 | |||
Electric | 4.2 | |||
Energy-Alternate Sources | 0.6 | |||
Engineering & Construction | 1.4 | |||
Foreign Government Bonds | 57.6 | |||
Forest Products & Paper | 0.3 | |||
Iron & Steel | 1.5 | |||
Mining | 1.2 | |||
Oil & Gas | 13.7 | |||
Oil & Gas Services | 0.8 | |||
Real Estate | 0.4 | |||
Regional (State & Province) | 1.8 | |||
Short Term Investments | 1.3 | |||
Telecommunications | 1.6 | |||
Water | 0.2 | |||
Money Market Investments | 5.8 | |||
|
| |||
Total | 99.3 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
24
TCW Emerging Markets Income Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Airlines | $ | — | $ | 30,526,762 | $ | — | $ | 30,526,762 | ||||||||
Banks | — | 162,284,946 | — | 162,284,946 | ||||||||||||
Building Materials | — | 12,949,457 | — | 12,949,457 | ||||||||||||
Commercial Services | — | 20,309,632 | — | 20,309,632 | ||||||||||||
Diversified Financial Services | — | 11,868,437 | — | 11,868,437 | ||||||||||||
Electric | — | 147,546,570 | — | 147,546,570 | ||||||||||||
Energy-Alternate Sources | — | 23,246,764 | — | 23,246,764 | ||||||||||||
Engineering & Construction | — | 48,532,143 | — | 48,532,143 | ||||||||||||
Foreign Government Bonds | — | 2,052,521,532 | — | 2,052,521,532 | ||||||||||||
Forest Products & Paper | — | 9,161,213 | — | 9,161,213 | ||||||||||||
Iron & Steel | — | 53,705,780 | — | 53,705,780 | ||||||||||||
Mining | — | 41,134,408 | — | 41,134,408 | ||||||||||||
Oil & Gas Services | — | 26,539,231 | — | 26,539,231 | ||||||||||||
Oil & Gas | — | 492,049,503 | — | 492,049,503 | ||||||||||||
Real Estate | — | 13,371,319 | — | 13,371,319 | ||||||||||||
Regional (State & Province) | — | 63,977,620 | — | 63,977,620 | ||||||||||||
Telecommunications | — | 57,977,092 | — | 57,977,092 | ||||||||||||
Water | — | 6,332,040 | — | 6,332,040 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 3,274,034,449 | — | 3,274,034,449 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Securities | ||||||||||||||||
Miscellaneous Manufacturers | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 204,184,444 | — | — | 204,184,444 | ||||||||||||
Purchased Options | — | 1,131,215 | — | 1,131,215 | ||||||||||||
Short-Term Investments | — | 46,543,942 | — | 46,543,942 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 204,184,444 | 3,321,709,606 | — | 3,525,894,050 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 4,874,165 | — | 4,874,165 | ||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | 436,153 | — | 436,153 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 204,184,444 | $ | 3,327,019,924 | $ | — | $ | 3,531,204,368 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (6,564,764 | ) | $ | — | $ | (6,564,764 | ) | ||||||
Written Options | ||||||||||||||||
Foreign Currency Risk | — | (239,497 | ) | — | (239,497 | ) | ||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | (2,568,537 | ) | — | (2,568,537 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (9,372,798 | ) | $ | — | $ | (9,372,798 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
25
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 96.2% of Net Assets |
| |||||||||||
Argentina — 4.3% | ||||||||||||
Argentina Bonar |
| |||||||||||
Bonds 23.74% (Argentina BADLAR Private Deposit Rate + 2.000%) (1) | 04/03/22 | ARS | 10,980,082 | $ | 648,044 | |||||||
Argentina POM Politica Monetaria |
| |||||||||||
27.15% (2) | 06/21/20 | ARS | 50,020,000 | 3,126,674 | ||||||||
Argentine Bonos del Tesoro |
| |||||||||||
16.00% | 10/17/23 | ARS | 14,160,000 | 812,479 | ||||||||
18.20% | 10/03/21 | ARS | 24,565,875 | 1,432,106 | ||||||||
Banco Hipotecario S.A. |
| |||||||||||
23.71% (Argentina BADLAR Private Deposit Rate + 2.500%) (1)(3) | 01/12/20 | ARS | 11,780,000 | 673,100 | ||||||||
Central Bank of Argentina |
| |||||||||||
0.00% (4) | 12/20/17 | ARS | 4,000,000 | 208,257 | ||||||||
YPF S.A. |
| |||||||||||
25.46% (Argentina BADLAR Private Deposit Rate + 4.000%) (1)(3) | 07/07/20 | ARS | 560,000 | 541,841 | ||||||||
|
| |||||||||||
Total Argentina | ||||||||||||
(Cost: $7,944,163) | 7,442,501 | |||||||||||
|
| |||||||||||
Brazil — 10.3% | ||||||||||||
Brazil Notas do Tesouro Nacional, Series B |
| |||||||||||
6.00% | 08/15/22 | BRL | 3,370,000 | 3,294,793 | ||||||||
Brazil Notas do Tesouro Nacional, Series F |
| |||||||||||
10.00% | 01/01/21 | BRL | 25,165,000 | 7,898,706 | ||||||||
10.00% | 01/01/23 | BRL | 3,900,000 | 1,213,272 | ||||||||
10.00% | 01/01/25 | BRL | 17,700,000 | 5,477,651 | ||||||||
|
| |||||||||||
Total Brazil | ||||||||||||
(Cost: $14,603,167) | 17,884,422 | |||||||||||
|
| |||||||||||
Chile — 1.4% | ||||||||||||
Bonos de la Tesoreria de la Republica en pesos |
| |||||||||||
4.50% | 03/01/26 | CLP | 1,010,000,000 | 1,597,915 | ||||||||
Bonos del Banco Central de Chile en UF |
| |||||||||||
3.00% | 03/01/23 | CLP | 479,644,920 | 825,667 | ||||||||
|
| |||||||||||
Total Chile |
| |||||||||||
(Cost: $2,449,594) | 2,423,582 | |||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Colombia — 6.3% | ||||||||||||
Colombian TES (Treasury) Bond |
| |||||||||||
7.00% | 05/04/22 | COP | 12,231,900,000 | $ | 4,178,676 | |||||||
10.00% | 07/24/24 | COP | 6,082,000,000 | 2,396,726 | ||||||||
11.00% | 07/24/20 | COP | 7,260,000,000 | 2,707,394 | ||||||||
Empresas Public Medellin |
| |||||||||||
8.38% (3) | 11/08/27 | COP | 5,150,000,000 | 1,692,389 | ||||||||
|
| |||||||||||
Total Colombia |
| |||||||||||
(Cost: $10,494,477) |
| 10,975,185 | ||||||||||
|
| |||||||||||
Egypt — 0.5% (Cost: $815,150) | ||||||||||||
Egypt Government Bond |
| |||||||||||
15.16% | 10/10/22 | EGP | 14,500,000 | 812,569 | ||||||||
|
| |||||||||||
Greece — 1.0% (Cost: $1,791,296) | ||||||||||||
Hellenic Republic Government Bond |
| |||||||||||
4.38% (5) | 08/01/22 | EUR | 1,540,000 | 1,791,727 | ||||||||
|
| |||||||||||
Hungary — 3.3% (Cost: $5,586,147) | ||||||||||||
Hungary Government Bond |
| |||||||||||
3.00% | 10/27/27 | HUF | 1,472,000,000 | 5,763,278 | ||||||||
|
| |||||||||||
India — 1.6% | ||||||||||||
India Government Bond |
| |||||||||||
7.72% | 05/25/25 | INR | 80,000,000 | 1,288,226 | ||||||||
Rural Electrification Corp., Ltd. |
| |||||||||||
8.82% | 04/12/23 | INR | 90,000,000 | 1,481,347 | ||||||||
|
| |||||||||||
Total India |
| |||||||||||
(Cost: $2,700,545) |
| 2,769,573 | ||||||||||
|
| |||||||||||
Indonesia — 11.8% | ||||||||||||
Indonesia Treasury Bond |
| |||||||||||
8.25% | 07/15/21 | IDR | 42,000,000,000 | 3,284,129 | ||||||||
8.25% | 05/15/36 | IDR | 36,200,000,000 | 2,885,991 | ||||||||
8.38% | 03/15/24 | IDR | 53,428,000,000 | 4,274,779 | ||||||||
8.38% | 09/15/26 | IDR | 64,900,000,000 | 5,263,779 | ||||||||
8.38% | 03/15/34 | IDR | 58,682,000,000 | 4,698,887 | ||||||||
|
| |||||||||||
Total Indonesia | ||||||||||||
(Cost: $20,207,065) | 20,407,565 | |||||||||||
|
| |||||||||||
Malaysia — 8.3% | ||||||||||||
Malaysia Government Bond |
| |||||||||||
3.48% | 03/15/23 | MYR | 11,960,000 | 2,761,521 | ||||||||
3.66% | 10/15/20 | MYR | 6,978,000 | 1,656,523 | ||||||||
3.76% | 03/15/19 | MYR | 7,000,000 | 1,665,549 | ||||||||
3.80% | 08/17/23 | MYR | 17,400,000 | 4,071,029 | ||||||||
4.05% | 09/30/21 | MYR | 8,300,000 | 1,986,628 | ||||||||
4.16% | 07/15/21 | MYR | 2,800,000 | 673,627 | ||||||||
4.25% | 05/31/35 | MYR | 6,560,000 | 1,487,563 | ||||||||
|
| |||||||||||
Total Malaysia | ||||||||||||
(Cost: $14,148,620) | 14,302,440 | |||||||||||
|
|
See accompanying notes to financial statements.
26
TCW Emerging Markets Local Currency Income Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Mexico — 10.9% | ||||||||||||
Mexico Government Bond (BONOS) |
| |||||||||||
5.75% | 03/05/26 | MXN | 103,300,000 | $ | 4,908,981 | |||||||
6.50% | 06/09/22 | MXN | 63,100,000 | 3,224,226 | ||||||||
7.50% | 06/03/27 | MXN | 88,950,000 | 4,720,031 | ||||||||
8.00% | 06/11/20 | MXN | 90,000,000 | 4,812,733 | ||||||||
Petroleos Mexicanos |
| |||||||||||
7.19% (5) | 09/12/24 | MXN | 22,240,000 | 1,044,458 | ||||||||
7.65% (5) | 11/24/21 | MXN | 3,700,000 | 187,570 | ||||||||
|
| |||||||||||
Total Mexico | ||||||||||||
(Cost: $20,214,833) | 18,897,999 | |||||||||||
|
| |||||||||||
Peru — 4.8% | ||||||||||||
Peru Government Bond |
| |||||||||||
6.15% (5) | 08/12/32 | PEN | 4,100,000 | 1,319,115 | ||||||||
6.35% (3) | 08/12/28 | PEN | 9,950,000 | 3,305,793 | ||||||||
6.71% (5) | 02/12/55 | PEN | 4,181,000 | 1,343,597 | ||||||||
6.95% (5) | 08/12/31 | PEN | 6,931,000 | 2,393,849 | ||||||||
|
| |||||||||||
Total Peru | ||||||||||||
(Cost: $7,729,196) | 8,362,354 | |||||||||||
|
| |||||||||||
Poland — 1.6% (Cost: $2,747,105) | ||||||||||||
Republic of Poland Government Bond |
| |||||||||||
2.50% | 07/25/27 | PLN | 10,550,000 | 2,678,923 | ||||||||
|
| |||||||||||
Russia — 8.9% | ||||||||||||
Russian Federal Bond — OFZ |
| |||||||||||
7.00% | 08/16/23 | RUB | 272,750,000 | 4,608,346 | ||||||||
7.05% | 01/19/28 | RUB | 124,000,000 | 2,063,633 | ||||||||
7.40% | 12/07/22 | RUB | 174,500,000 | 2,996,779 | ||||||||
7.70% | 03/23/33 | RUB | 211,400,000 | 3,634,104 | ||||||||
8.50% | 09/17/31 | RUB | 110,000,000 | 2,039,912 | ||||||||
|
| |||||||||||
Total Russia | ||||||||||||
(Cost: $14,820,603) | 15,342,774 | |||||||||||
|
| |||||||||||
Serbia — 2.7% | ||||||||||||
Serbia Treasury Bond |
| |||||||||||
5.75% | 07/21/23 | RSD | 158,300,000 | 1,612,448 | ||||||||
10.00% | 02/05/22 | RSD | 252,500,000 | 2,967,128 | ||||||||
|
| |||||||||||
Total Serbia | ||||||||||||
(Cost: $4,077,337) | 4,579,576 | |||||||||||
|
| |||||||||||
South Africa — 9.0% | ||||||||||||
South Africa Government Bond |
| |||||||||||
7.00% | 02/28/31 | ZAR | 55,100,000 | 3,122,577 | ||||||||
8.75% | 01/31/44 | ZAR | 74,600,000 | 4,608,038 | ||||||||
8.88% | 02/28/35 | ZAR | 48,000,000 | 3,095,409 | ||||||||
10.50% | 12/21/26 | ZAR | 61,694,062 | 4,739,640 | ||||||||
|
| |||||||||||
Total South Africa | ||||||||||||
(Cost: $16,972,038) | 15,565,664 | |||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
Sri Lanka — 0.6% (Cost: $976,259) | ||||||||||||
Sri Lanka Government Bonds |
| |||||||||||
10.75% | 03/01/21 | LKR | 152,000,000 | $ | 1,009,915 | |||||||
|
| |||||||||||
Turkey — 7.6% | ||||||||||||
Turkey Government Bond |
| |||||||||||
8.30% | 06/20/18 | TRY | 6,041,148 | 1,550,326 | ||||||||
9.20% | 09/22/21 | TRY | 6,600,000 | 1,594,132 | ||||||||
10.40% | 03/27/19 | TRY | 5,660,000 | 1,452,811 | ||||||||
10.50% | 01/15/20 | TRY | 6,325,000 | 1,608,176 | ||||||||
11.00% | 03/02/22 | TRY | 10,568,000 | 2,695,619 | ||||||||
11.00% | 02/24/27 | TRY | 16,500,000 | 4,223,275 | ||||||||
|
| |||||||||||
Total Turkey | ||||||||||||
(Cost: $14,477,760) |
| 13,124,339 | ||||||||||
|
| |||||||||||
Uruguay — 1.3% (Cost: $2,256,055) | ||||||||||||
Uruguay Government International Bond |
| |||||||||||
8.50% (3) | 03/15/28 | UYU | 64,900,000 | 2,233,690 | ||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $165,011,410) |
| 166,368,076 | ||||||||||
|
| |||||||||||
Purchased Options (0.1%) |
| |||||||||||
(Cost: $73,296) (6) | 86,168 | |||||||||||
|
| |||||||||||
SHORT TERM INVESTMENTS — 2.6% |
| |||||||||||
Egypt — 1.4% | ||||||||||||
Egypt Treasury Bills |
| |||||||||||
0.00% (4) | 11/07/17 | EGP | 20,000,000 | 1,132,781 | ||||||||
0.00% (4) | 12/19/17 | EGP | 24,200,000 | 1,342,515 | ||||||||
|
| |||||||||||
Total Egypt | ||||||||||||
(Cost: $2,463,640) | 2,475,296 | |||||||||||
|
| |||||||||||
Nigeria — 1.2% | ||||||||||||
Nigeria Treasury Bill |
| |||||||||||
0.00% (4) | 08/30/18 | NGN | 370,000,000 | 888,583 | ||||||||
0.00% (4) | 09/13/18 | NGN | 123,000,000 | 295,565 | ||||||||
0.00% (4) | 09/20/18 | NGN | 384,003,000 | 919,620 | ||||||||
|
| |||||||||||
Total Nigeria |
| |||||||||||
(Cost: $2,084,481) |
| 2,103,768 | ||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost: $4,548,121) |
| 4,579,064 | ||||||||||
|
| |||||||||||
Total Investments (98.9%) |
| |||||||||||
(Cost: $169,632,827) |
| 171,033,308 | ||||||||||
Excess Of Other Assets Over Liabilities (1.1%) |
| 1,841,221 | ||||||||||
|
| |||||||||||
Total Net Assets (100.0%) |
| $ | 172,874,529 | |||||||||
|
|
See accompanying notes to financial statements.
27
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Continued)
Purchased Options — OTC | ||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums Paid by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
USD Call / MXN Put | Citibank N.A. | MXN | 19.00 | 1/11/18 | 2,745 | $ | 2,745 | $ | 86,168 | $ | 73,296 | $ | 12,872 | |||||||||||||||||||||
|
|
|
|
|
|
Forward Currency Contracts | ||||||||||||||||||||||||
Counterparty | Contracts to Deliver | Units of Currency | Settlement Date | In Exchange for U.S. Dollars | Contracts at Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
BUY (7) | ||||||||||||||||||||||||
Bank of America | HUF | 236,509,000 | 01/16/18 | $ | 910,000 | $ | 887,863 | $ | (22,137 | ) | ||||||||||||||
Bank of America | PHP | 27,300,300 | 11/27/17 | 530,000 | 527,975 | (2,025 | ) | |||||||||||||||||
Bank of America | PLN | 55,210,468 | 11/30/17 | 15,472,000 | 15,171,761 | (300,239 | ) | |||||||||||||||||
Bank of America | THB | 331,868,250 | 11/02/17 | 9,975,000 | 9,990,013 | 15,013 | ||||||||||||||||||
Bank of America | THB | 455,141,400 | 02/01/18 | 13,700,000 | 13,706,312 | 6,312 | ||||||||||||||||||
Bank of America | ZAR | 11,378,865 | 12/27/17 | 824,406 | 797,139 | (27,267 | ) | |||||||||||||||||
BNP Paribas S.A. | MXN | 16,700,000 | 11/10/17 | 909,116 | 871,869 | (37,247 | ) | |||||||||||||||||
Goldman Sachs International | ARS | 29,737,395 | 11/10/17 | 1,692,702 | 1,675,016 | (17,686 | ) | |||||||||||||||||
Goldman Sachs International | CNY | 19,588,630 | 11/06/17 | 2,900,000 | 2,954,914 | 54,914 | ||||||||||||||||||
Goldman Sachs International | CZK | 62,243,020 | 11/09/17 | 2,830,000 | 2,826,737 | (3,263 | ) | |||||||||||||||||
Goldman Sachs International | EUR | 6,200,000 | 01/24/18 | 7,338,010 | 7,258,301 | (79,709 | ) | |||||||||||||||||
Goldman Sachs International | MXN | 10,330,048 | 11/10/17 | 580,000 | 539,308 | (40,692 | ) | |||||||||||||||||
Goldman Sachs International | PLN | 8,161,340 | 11/30/17 | 2,270,000 | 2,242,726 | (27,274 | ) | |||||||||||||||||
Goldman Sachs International | SGD | 2,233,385 | 11/10/17 | 1,647,768 | 1,639,328 | (8,440 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | THB | 9,091,940 | 11/02/17 | 275,000 | 273,689 | (1,311 | ) | |||||||||||||||||
Standard Chartered PLC | CLP | 625,750,000 | 01/23/18 | 1,000,000 | 982,863 | (17,137 | ) | |||||||||||||||||
Standard Chartered PLC | INR | 59,955,350 | 01/16/18 | 910,000 | 917,104 | 7,104 | ||||||||||||||||||
Standard Chartered PLC | THB | 101,700,156 | 11/02/17 | 3,065,000 | 3,061,414 | (3,586 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 66,829,002 | $ | 66,324,332 | $ | (504,670 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (8) | ||||||||||||||||||||||||
Bank of America | ARS | 14,960,400 | 11/10/17 | $ | 822,000 | $ | 842,673 | $ | (20,673 | ) | ||||||||||||||
Bank of America | SGD | 2,233,385 | 11/10/17 | 1,640,000 | 1,639,328 | 672 | ||||||||||||||||||
Bank of America | THB | 442,660,346 | 11/02/17 | 13,321,106 | 13,325,116 | (4,010 | ) | |||||||||||||||||
Bank of America | ZAR | 11,378,865 | 12/27/17 | 850,000 | 797,140 | 52,860 | ||||||||||||||||||
Citibank N.A. | ARS | 7,478,895 | 11/10/17 | 417,000 | 421,263 | (4,263 | ) | |||||||||||||||||
Goldman Sachs International | ARS | 7,298,100 | 11/10/17 | 405,000 | 411,079 | (6,079 | ) | |||||||||||||||||
Goldman Sachs International | CNY | 19,588,630 | 11/06/17 | 2,896,741 | 2,954,914 | (58,173 | ) | |||||||||||||||||
Goldman Sachs International | MXN | 81,958,500 | 11/10/17 | 4,500,000 | 4,278,868 | 221,132 | ||||||||||||||||||
Standard Chartered PLC | NGN | 301,701,374 | 12/05/17 | 820,956 | 828,008 | (7,052 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 25,672,803 | $ | 25,498,389 | $ | 174,414 | |||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
28
TCW Emerging Markets Local Currency Income Fund
October 31, 2017 |
Cross Currency Forwards | ||||||||||||||||||||
Counterparty | Contracts to Deliver/ Units of Currency | Settlement Date | Contracts to Receive/ Units of Currency | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Goldman Sachs International | EUR | 4,250,000 | 12/18/17 | CZK | 113,529,715 | $ | 204,775 | |||||||||||||
BNP Paribas S.A. | EUR | 2,040,000 | 12/18/17 | CZK | 53,142,000 | 36,726 | ||||||||||||||
Citibank N.A. | GBP | 466,255 | 01/16/18 | PLN | 2,237,307 | (5,516 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 235,985 | |||||||||||||||||||
|
|
Written Options — OTC | ||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount (000) | Market Value | Premiums (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
USD Call / MXN Put | Citibank N.A. | MXN | 20.50 | 1/11/18 | 2,745 | $ | 2,745 | $ | (18,243 | ) | $ | (17,416 | ) | $ | (827 | ) | ||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
29
TCW Emerging Markets Local Currency Income Fund
Schedule of Investments (Continued)
Notes to the Schedule of Investments:
ARS | - Argentine Peso. |
BRL | - Brazilian Real. |
CLP | - Chilean Peso. |
COP - | Colombian Peso. |
CZK - | Czech Koruna. |
EGP - | Egyptian Pound. |
EUR - | Euro Currency. |
HUF - | Hungarian Forint. |
IDR - | Indonesian Rupiah. |
LKR - | Sri Lankan Rupee. |
MXN - | Mexican Peso. |
NGN - | Nigeria Naira. |
PEN - | Peruvian Nouveau Sol. |
PHP - | Philippines Peso. |
RSD - | Serbian Dinar.. |
RUB - | Russian Ruble. |
SAR - | Saudi Riyal. |
SGD - | Singapore Dollar. |
ZAR - | South African Rand. |
TRY - | Turkish New Lira. |
USD - | U.S. Dollar. |
UYU - | Uruguayan Peso. |
OTC - | Over the Counter. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2017. |
(2) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2017, the value of these securities amounted to $8,446,813 or 4.9% 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) | Security is not accruing interest. |
(5) | 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, 2017, the value of these securities amounted to $8,080,316 or 4.7% of net assets. |
(6) | See table below for description of purchased options. |
(7) | Fund buys foreign currency, sells U.S. Dollar. |
(8) | Fund sells foreign currency, buys U.S. Dollar. |
See accompanying notes to financial statements.
30
TCW Emerging Markets Local Currency Income Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Banks | 1.0 | % | ||
Diversified Financial Services | 0.9 | |||
Foreign Government Bonds | 93.3 | |||
Oil & Gas | 1.0 | |||
Currency Options | 0.1 | |||
Short Term Investments | 2.6 | |||
|
| |||
Total | 98.9 | % | ||
|
|
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Banks | $ | — | $ | 1,707,024 | $ | — | $ | 1,707,024 | ||||||||
Diversified Financial Services | — | 1,481,348 | — | 1,481,348 | ||||||||||||
Foreign Government Bonds | — | 161,405,835 | — | 161,405,835 | ||||||||||||
Oil & Gas | — | 1,773,869 | — | 1,773,869 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 166,368,076 | — | 166,368,076 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 86,168 | — | 86,168 | ||||||||||||
Short-Term Investments | — | 4,579,064 | — | 4,579,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | — | 171,033,308 | — | 171,033,308 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 599,508 | — | 599,508 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 171,632,816 | $ | — | $ | 171,632,816 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (693,779 | ) | $ | — | $ | (693,779 | ) | ||||||
Written Options | ||||||||||||||||
Foreign Currency Risk | — | (18,243 | ) | — | (18,243 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (712,022 | ) | $ | — | $ | (712,022 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
31
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments
Issues | Maturity Date | Principal Amount | Value | |||||||||
FIXED INCOME SECURITIES — 30.3% of Net Assets |
| |||||||||||
Argentina — 3.4% | ||||||||||||
Argentina Bonar Bonds |
| |||||||||||
23.74% (Argentina BADLAR Private Deposit Rate + 2.000%) (1) | 04/03/22 | ARS | 2,300,000 | $ | 135,745 | |||||||
Argentina POM Politica Monetaria |
| |||||||||||
27.15% (2) | 06/21/20 | ARS | 6,331,440 | 395,769 | ||||||||
Argentine Republic Government International Bond |
| |||||||||||
6.63% | 07/06/28 | $ | 650,000 | 691,600 | ||||||||
6.88% | 01/26/27 | 100,000 | 109,150 | |||||||||
7.13% | 07/06/36 | 350,000 | 376,600 | |||||||||
7.13% (3) | 06/28/49 | 250,000 | 257,325 | |||||||||
7.63% | 04/22/46 | 150,000 | 168,855 | |||||||||
Banco Hipotecario S.A. |
| |||||||||||
23.71% (Argentina BADLAR Private Deposit Rate + 2.500%) (1)(4) | 01/12/20 | ARS | 1,575,000 | 89,994 | ||||||||
Provincia de Buenos Aires |
| |||||||||||
7.88% (3) | 06/15/27 | $ | 350,000 | 388,360 | ||||||||
YPF S.A. | ||||||||||||
6.95% (4) | 07/21/27 | 130,000 | 139,685 | |||||||||
25.46% (Argentina BADLAR Private Deposit Rate + 4.000%) (1)(4) | 07/07/20 | 40,000 | 38,703 | |||||||||
|
| |||||||||||
Total Argentina |
| |||||||||||
(Cost: $2,732,953) |
| 2,791,786 | ||||||||||
|
| |||||||||||
Bahrain — 0.8% | ||||||||||||
Bahrain Government International Bond |
| |||||||||||
7.00% (4) | 10/12/28 | 200,000 | 206,020 | |||||||||
Oil and Gas Holding Co. (The) |
| |||||||||||
7.50% (4) | 10/25/27 | 400,000 | 416,008 | |||||||||
|
| |||||||||||
Total Bahrain |
| |||||||||||
(Cost: $613,216) |
| 622,028 | ||||||||||
|
| |||||||||||
Brazil — 3.3% | ||||||||||||
Andrade Gutierrez International S.A. |
| |||||||||||
4.00% (3) | 04/30/18 | 200,000 | 185,938 | |||||||||
Banco do Brasil S.A. |
| |||||||||||
9.00% (U.S. 10 year Treasury Constant Maturity Rate + 6.362%) (1)(3)(5) | 06/29/49 | 200,000 | 220,000 | |||||||||
Brazil Minas SPE via State of Minas Gerais |
| |||||||||||
5.33% (3) | 02/15/28 | 225,000 | 229,500 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Brazil (Continued) | ||||||||||||
Brazil Notas do Tesouro Nacional, Series F |
| |||||||||||
10.00% | 01/01/25 | BRL | 400,000 | $ | 123,788 | |||||||
Brazilian Government International Bond |
| |||||||||||
4.63% | 01/13/28 | $ | 420,000 | 418,236 | ||||||||
CSN Resources S.A. |
| |||||||||||
6.50% (3) | 07/21/20 | 100,000 | 92,460 | |||||||||
Gerdau Trade, Inc. |
| |||||||||||
4.88% (4) | 10/24/27 | 200,000 | 200,900 | |||||||||
Petrobras Global Finance BV |
| |||||||||||
6.00% (4) | 01/27/28 | 375,000 | 380,962 | |||||||||
6.85% | 12/31/99 | 365,000 | 350,802 | |||||||||
7.38% | 01/17/27 | 325,000 | 361,563 | |||||||||
Samarco Mineracao S.A. |
| |||||||||||
4.13% (3)(6) | 11/01/22 | 200,000 | 118,000 | |||||||||
|
| |||||||||||
Total Brazil |
| |||||||||||
(Cost: $2,611,354) |
| 2,682,149 | ||||||||||
|
| |||||||||||
Chile — 0.3% (Cost: $200,000) | ||||||||||||
Latam Finance, Ltd. |
| |||||||||||
6.88% (4) | 04/11/24 | 200,000 | 212,060 | |||||||||
|
| |||||||||||
China — 0.2% (Cost: $200,734) | ||||||||||||
Kaisa Group Holdings Ltd. |
| |||||||||||
8.50% (3) | 06/30/22 | 200,000 | 200,349 | |||||||||
|
| |||||||||||
Colombia — 0.5% | ||||||||||||
Colombian TES (Treasury) Bond |
| |||||||||||
7.50% | 08/26/26 | COP | 715,000,000 | 249,494 | ||||||||
Empresas Public Medellin |
| |||||||||||
8.38% (4) | 11/08/27 | COP | 376,000,000 | 123,561 | ||||||||
|
| |||||||||||
Total Colombia |
| |||||||||||
(Cost: $382,839) |
| 373,055 | ||||||||||
|
| |||||||||||
Costa Rica — 0.6% | ||||||||||||
Autopistas del Sol S.A. |
| |||||||||||
7.38% (4) | 12/30/30 | $ | 200,000 | 212,800 | ||||||||
Costa Rica Government International Bond |
| |||||||||||
7.00% (3) | 04/04/44 | 275,000 | 287,719 | |||||||||
|
| |||||||||||
Total Costa Rica |
| |||||||||||
(Cost: $477,316) |
| 500,519 | ||||||||||
|
| |||||||||||
Dominican Republic — 0.8% | ||||||||||||
AES Andres B.V. / Dominican Power Partners / Empresa Generadora de Electricidad Itabo, S.A. |
| |||||||||||
7.95% (4) | 05/11/26 | 200,000 | 217,500 |
See accompanying notes to financial statements.
32
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Dominican Republic (Continued) | ||||||||||||
Dominican Republic International Bond |
| |||||||||||
5.95% (4) | 01/25/27 | $ | 250,000 | $ | 269,750 | |||||||
6.85% (3) | 01/27/45 | 175,000 | 195,562 | |||||||||
|
| |||||||||||
Total Dominican Republic |
| |||||||||||
(Cost: $641,766) |
| 682,812 | ||||||||||
|
| |||||||||||
Ecuador — 0.8% | ||||||||||||
Ecuador Government International Bond |
| |||||||||||
7.95% (3) | 06/20/24 | 200,000 | 202,250 | |||||||||
8.88% (4) | 10/23/27 | 200,000 | 204,560 | |||||||||
9.65% (4) | 12/13/26 | 200,000 | 216,640 | |||||||||
|
| |||||||||||
Total Ecuador |
| |||||||||||
(Cost: $574,481) |
| 623,450 | ||||||||||
|
| |||||||||||
Egypt — 0.8% | ||||||||||||
Egypt Government International Bond |
| |||||||||||
6.13% (4) | 01/31/22 | 200,000 | 209,125 | |||||||||
7.50% (4) | 01/31/27 | 370,000 | 410,902 | |||||||||
|
| |||||||||||
Total Egypt |
| |||||||||||
(Cost: $590,303) |
| 620,027 | ||||||||||
|
| |||||||||||
El Salvador — 0.6% | ||||||||||||
El Salvador Government International Bond |
| |||||||||||
5.88% (3) | 01/30/25 | 95,000 | 93,694 | |||||||||
6.38% (3) | 01/18/27 | 50,000 | 49,937 | |||||||||
7.38% (3) | 12/01/19 | 100,000 | 104,250 | |||||||||
8.63% (4) | 02/28/29 | 195,000 | 221,569 | |||||||||
|
| |||||||||||
Total El Salvador |
| |||||||||||
(Cost: $436,295) |
| 469,450 | ||||||||||
|
| |||||||||||
Greece — 0.3% (Cost: $249,061) | ||||||||||||
Hellenic Republic Government Bond |
| |||||||||||
4.38% (3) | 08/01/22 | EUR | 215,000 | 250,144 | ||||||||
|
| |||||||||||
India — 0.5% | ||||||||||||
Azure Power Energy, Ltd. |
| |||||||||||
5.50% (4) | 11/03/22 | $ | 200,000 | 207,360 | ||||||||
Vedanta Resources PLC |
| |||||||||||
6.38% (4) | 07/30/22 | 200,000 | 209,740 | |||||||||
|
| |||||||||||
Total India |
| |||||||||||
(Cost: $401,332) |
| 417,100 | ||||||||||
|
| |||||||||||
Indonesia — 1.0% | ||||||||||||
Indonesia Treasury Bond |
| |||||||||||
8.38% | 09/15/26 | IDR | 3,100,000,000 | 251,429 | ||||||||
8.38% | 03/15/34 | IDR | 1,700,000,000 | 136,125 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Indonesia (Continued) | ||||||||||||
Minejesa Capital BV |
| |||||||||||
5.63% (4) | 08/10/37 | $ | 200,000 | $ | 212,840 | |||||||
Saka Energi Indonesia PT |
| |||||||||||
4.45% (4) | 05/05/24 | 200,000 | 204,185 | |||||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $806,099) |
| 804,579 | ||||||||||
|
| |||||||||||
Iraq — 0.3% (Cost: $224,825) | ||||||||||||
Iraq International Bond |
| |||||||||||
5.80% (3) | 01/15/28 | 250,000 | 236,406 | |||||||||
|
| |||||||||||
Ivory Coast — 0.2% (Cost: $196,750) | ||||||||||||
Ivory Coast Government International Bond |
| |||||||||||
6.13% (4) | 06/15/33 | 200,000 | 198,750 | |||||||||
|
| |||||||||||
Jamaica — 0.2% (Cost: $191,481) | ||||||||||||
Digicel Group, Ltd. |
| |||||||||||
8.25% (3) | 09/30/20 | 200,000 | 198,380 | |||||||||
|
| |||||||||||
Jordan — 0.3% (Cost: $197,032) | ||||||||||||
Jordan Government International Bond |
| |||||||||||
7.38% (4) | 10/10/47 | 200,000 | 209,935 | |||||||||
|
| |||||||||||
Kazakhstan — 1.0% | ||||||||||||
KazMunayGas National Co. JSC |
| |||||||||||
4.75% (4) | 04/19/27 | 600,000 | 615,300 | |||||||||
5.75% (4) | 04/19/47 | 200,000 | 201,677 | |||||||||
|
| |||||||||||
Total Kazakhstan |
| |||||||||||
(Cost: $791,959) |
| 816,977 | ||||||||||
|
| |||||||||||
Lebanon — 1.2% | ||||||||||||
Lebanon Government International Bond |
| |||||||||||
6.00% (3) | 01/27/23 | 295,000 | 287,930 | |||||||||
6.40% | 05/26/23 | 615,000 | 608,850 | |||||||||
6.65% (3) | 04/22/24 | 130,000 | 128,830 | |||||||||
|
| |||||||||||
Total Lebanon |
| |||||||||||
(Cost: $1,007,157) |
| 1,025,610 | ||||||||||
|
| |||||||||||
Malaysia — 0.2% | ||||||||||||
Malaysia Government Bond |
| |||||||||||
3.23% | 04/15/20 | MYR | 270,000 | 63,382 | ||||||||
3.89% | 07/31/20 | MYR | 270,000 | 64,478 | ||||||||
4.16% | 07/15/21 | MYR | 263,000 | 63,273 | ||||||||
|
| |||||||||||
Total Malaysia |
| |||||||||||
(Cost: $193,478) |
| 191,133 | ||||||||||
|
|
See accompanying notes to financial statements.
33
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Continued)
Issues | Maturity Date | Principal Amount | Value | |||||||||
Mexico — 2.2% | ||||||||||||
Banco Mercantil del Norte S.A. |
| |||||||||||
7.63% (U.S.10 year Treasury Constant Maturity Rate + 5.353%) (1)(4)(5) | 12/31/99 | $ | 200,000 | $ | 217,880 | |||||||
Mexico City Airport Trust |
| |||||||||||
5.50% (4) | 07/31/47 | 200,000 | 199,100 | |||||||||
Mexico Government Bond |
| |||||||||||
10.00% | 12/05/24 | MXN | 5,800,000 | 351,118 | ||||||||
Petroleos Mexicanos |
| |||||||||||
5.63% | 01/23/46 | $ | 220,000 | 200,013 | ||||||||
6.50% (3) | 03/13/27 | 115,000 | 125,569 | |||||||||
6.50% | 06/02/41 | 255,000 | 258,825 | |||||||||
6.63% | 06/15/35 | 200,000 | 211,440 | |||||||||
Unifin Financiera S.A.B. de C.V. SOFOM E.N.R. |
| |||||||||||
7.00% (4) | 01/15/25 | 200,000 | 210,620 | |||||||||
|
| |||||||||||
Total Mexico |
| |||||||||||
(Cost: $1,748,363) |
| 1,774,565 | ||||||||||
|
| |||||||||||
Mongolia — 0.2% (Cost: $190,727) | ||||||||||||
Mongolia Government International Bond |
| |||||||||||
5.13% (3) | 12/05/22 | 200,000 | 198,920 | |||||||||
|
| |||||||||||
Oman — 0.7% | ||||||||||||
Oman Government International Bond |
| |||||||||||
5.38% (4) | 03/08/27 | 400,000 | 411,401 | |||||||||
6.50% (4) | 03/08/47 | 200,000 | 206,400 | |||||||||
|
| |||||||||||
Total Oman |
| |||||||||||
(Cost: $610,468) |
| 617,801 | ||||||||||
|
| |||||||||||
Panama — 0.7% | ||||||||||||
AES El Salvador Trust III |
| |||||||||||
6.75% (3) | 03/28/23 | 200,000 | 193,000 | |||||||||
AES Panama SRL |
| |||||||||||
6.00% (4) | 06/25/22 | 200,000 | 211,250 | |||||||||
C&W Senior Financing Designated Activity Co. |
| |||||||||||
6.88% (4) | 09/15/27 | 200,000 | 209,500 | |||||||||
|
| |||||||||||
Total Panama |
| |||||||||||
(Cost: $592,931) |
| 613,750 | ||||||||||
|
| |||||||||||
Peru — 1.0% | ||||||||||||
Cerro del Aguila S.A. |
| |||||||||||
4.13% (4) | 08/16/27 | 200,000 | 199,500 | |||||||||
Orazul Energy Egenor S en C por A |
| |||||||||||
5.63% (4) | 04/28/27 | 200,000 | 197,480 | |||||||||
Peruvian Government International Bond |
| |||||||||||
6.95% (3) | 08/12/31 | PEN | 565,000 | 195,141 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Peru (Continued) | ||||||||||||
Petroleos del Peru S.A. |
| |||||||||||
5.63% (4) | 06/19/47 | $ | 225,000 | $ | 237,375 | |||||||
|
| |||||||||||
Total Peru |
| |||||||||||
(Cost: $825,682) |
| 829,496 | ||||||||||
|
| |||||||||||
Russia — 1.3% | ||||||||||||
Russia Government Bond |
| |||||||||||
4.75% (3) | 05/27/26 | 200,000 | 211,456 | |||||||||
Russian Federal Bond — OFZ |
| |||||||||||
6.70% | 05/15/19 | RUB | 12,800,000 | 217,496 | ||||||||
7.70% | 03/23/33 | RUB | 12,600,000 | 216,602 | ||||||||
Russian Foreign Bond |
| |||||||||||
5.25% (3) | 06/23/47 | $ | 200,000 | 205,220 | ||||||||
VimpelCom Holdings BV |
| |||||||||||
4.95% (4) | 06/16/24 | 200,000 | 205,160 | |||||||||
|
| |||||||||||
Total Russia |
| |||||||||||
(Cost: $1,047,764) |
| 1,055,934 | ||||||||||
|
| |||||||||||
Saudi Arabia — 0.5% (Cost: $396,562) | ||||||||||||
Saudi Government International Bond |
| |||||||||||
3.63% (4) | 03/04/28 | 400,000 | 397,500 | |||||||||
|
| |||||||||||
Senegal — 0.3% (Cost: $200,000) | ||||||||||||
Senegal Government International Bond |
| |||||||||||
6.25% (4) | 05/23/33 | 200,000 | 207,500 | |||||||||
|
| |||||||||||
South Africa — 1.3% | ||||||||||||
Eskom Holdings SOC, Ltd. |
| |||||||||||
7.13% (3) | 02/11/25 | 200,000 | 205,260 | |||||||||
South Africa Government Bond |
| |||||||||||
4.30% | 10/12/28 | $ | 600,000 | 556,244 | ||||||||
8.75% | 01/31/44 | ZAR | 2,750,000 | 169,867 | ||||||||
10.50% | 12/21/26 | ZAR | 1,595,000 | 122,536 | ||||||||
|
| |||||||||||
Total South Africa |
| |||||||||||
(Cost: $1,097,311) |
| 1,053,907 | ||||||||||
|
| |||||||||||
Sri Lanka — 0.6% | ||||||||||||
Sri Lanka Government Bond |
| |||||||||||
6.20% (4) | 05/11/27 | $ | 425,000 | 451,945 | ||||||||
11.50% | 12/15/21 | LKR | 10,000,000 | 68,140 | ||||||||
|
| |||||||||||
Total Sri Lanka |
| |||||||||||
(Cost: $505,216) |
| 520,085 | ||||||||||
|
| |||||||||||
Turkey — 1.4% | ||||||||||||
Akbank TAS |
| |||||||||||
7.20% (USD 5 Year Swap rate + 5.026%) (1)(4) | 03/16/27 | 300,000 | 310,500 |
See accompanying notes to financial statements.
34
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2017 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
Turkey (Continued) | ||||||||||||
Turkey Government Bond |
| |||||||||||
5.75% | 05/11/47 | $ | 275,000 | $ | 262,694 | |||||||
6.00% | 03/25/27 | 400,000 | 422,000 | |||||||||
11.00% | 03/02/22 | TRY | 510,000 | 130,088 | ||||||||
11.00% | 02/24/27 | TRY | 220,000 | 56,310 | ||||||||
|
| |||||||||||
Total Turkey | ||||||||||||
(Cost: $1,222,019) | 1,181,592 | |||||||||||
|
| |||||||||||
Ukraine — 1.9% | ||||||||||||
Ukraine Government International Bond |
| |||||||||||
7.75% (3) | 09/01/23 | $ | 325,000 | 346,125 | ||||||||
7.75% (3) | 09/01/25 | 525,000 | 547,291 | |||||||||
7.75% (3) | 09/01/26 | 685,000 | 706,920 | |||||||||
|
| |||||||||||
Total Ukraine | ||||||||||||
(Cost: $1,420,559) | 1,600,336 | |||||||||||
|
| |||||||||||
Uruguay — 0.1% (Cost: $65,710) | ||||||||||||
Uruguay Government International Bond |
| |||||||||||
8.50% (4) | 03/15/28 | UYU | 1,890,000 | 65,049 | ||||||||
|
| |||||||||||
Venezuela — 0.5% | ||||||||||||
Petroleos de Venezuela S.A. |
| |||||||||||
5.38% (3) | 04/12/27 | $ | 1,057,000 | 308,750 | ||||||||
Venezuela Government International Bond |
| |||||||||||
8.25% (3) | 10/13/24 | 222,300 | 76,693 | |||||||||
9.38% | 01/13/34 | 110,000 | 37,675 | |||||||||
|
| |||||||||||
Total Venezuela | ||||||||||||
(Cost: $519,038) | 423,118 | |||||||||||
|
| |||||||||||
Zambia — 0.3% (Cost: $200,000) | ||||||||||||
First Quantum Minerals, Ltd. |
| |||||||||||
7.50% (4) | 04/01/25 | 200,000 | 212,500 | |||||||||
|
| |||||||||||
Total Fixed Income Securities |
| |||||||||||
(Cost: $24,362,781) | 24,878,752 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
PREFERRED STOCK — 1.1% |
| |||||||||||
Brazil — 1.1% | ||||||||||||
Cia Brasileira de Distribuicao, 1.08% (ADR) (7) |
| 11,100 | 257,853 | |||||||||
Itau Unibanco Holding S.A., 3.27% (ADR) |
| 33,070 | 423,626 | |||||||||
Suzano Papel e Celulose S.A. 1.66% |
| 41,200 | 256,040 | |||||||||
|
| |||||||||||
Total Brazil | ||||||||||||
(Cost: $751,205) | 937,519 | |||||||||||
|
| |||||||||||
Total Preferred Stock |
| |||||||||||
(Cost: $751,205) | 937,519 | |||||||||||
|
|
Issues | Shares | Value | ||||||||||
COMMON STOCK — 66.8% |
| |||||||||||
Argentina — 0.7% | ||||||||||||
Banco Macro S.A. (ADR) |
| 2,200 | $ | 277,024 | ||||||||
YPF S.A. (ADR) |
| 13,500 | 331,560 | |||||||||
|
| |||||||||||
Total Argentina | ||||||||||||
(Cost: $601,660) | 608,584 | |||||||||||
|
| |||||||||||
Brazil — 5.3% | ||||||||||||
Banco do Brasil S.A. |
| 46,000 | 484,277 | |||||||||
CVC Brasil Operadora e Agencia de Viagens S.A. |
| 27,600 | 364,474 | |||||||||
Estacio Participacoes S.A. |
| 54,800 | 491,321 | |||||||||
Gol Linhas Aereas Inteligentes S.A. (ADR) (7) |
| 33,400 | 707,412 | |||||||||
Petroleo Brasileiro S.A. (SP ADR) (7) |
| 37,000 | 394,050 | |||||||||
Qualicorp S.A. |
| 31,400 | 335,947 | |||||||||
Ser Educacional S.A. (4) |
| 48,500 | 457,372 | |||||||||
Smiles Fidelidade S.A. |
| 19,500 | 509,652 | |||||||||
TIM Participacoes S.A. (ADR) |
| 34,900 | 643,556 | |||||||||
|
| |||||||||||
Total Brazil | ||||||||||||
(Cost: $4,099,301) | 4,388,061 | |||||||||||
|
| |||||||||||
Chile — 0.4% (Cost: $294,944) | ||||||||||||
Banco Santander Chile |
| 3,800,000 | 298,810 | |||||||||
|
| |||||||||||
China — 21.4% | ||||||||||||
Alibaba Group Holding, Ltd. (SP ADR) (7) |
| 13,362 | 2,470,500 | |||||||||
Baidu, Inc. (SP ADR) (7) |
| 1,500 | 365,910 | |||||||||
Brilliance China Automotive Holdings, Ltd. |
| 98,000 | 248,332 | |||||||||
China Infrastructure Machinery Holdings, Ltd. |
| 564,000 | 253,759 | |||||||||
China Merchants Bank Co., Ltd. — Class H |
| 146,000 | 557,495 | |||||||||
Galaxy Entertainment Group, Ltd. |
| 61,000 | 415,961 | |||||||||
Guangzhou Automobile Group Co., Ltd. — Class H |
| 126,000 | 313,323 | |||||||||
Industrial & Commercial Bank of China, Ltd. — Class H |
| 547,000 | 435,207 | |||||||||
Kweichow Moutai Co., Ltd. |
| 16,004 | 1,496,391 | |||||||||
Melco Crown Entertainment, Ltd. |
| 21,500 | 543,520 | |||||||||
Microport Scientific Corp. |
| 333,000 | 328,628 | |||||||||
Ping An Insurance Group Co. of China, Ltd. — Class H |
| 122,150 | 1,073,392 | |||||||||
Q Technology Group Co., Ltd. |
| 139,000 | 311,255 | |||||||||
Silergy Corp. |
| 16,500 | 356,379 | |||||||||
Sino Biopharmaceutical, Ltd. |
| 245,000 | 286,483 | |||||||||
Sinotruk Hong Kong, Ltd. |
| 594,000 | 789,865 | |||||||||
Sunny Optical Technology Group Co., Ltd. |
| 22,000 | 322,667 | |||||||||
TAL Education Group (ADR) |
| 8,400 | 231,000 | |||||||||
Tencent Holdings, Ltd. |
| 85,712 | 3,852,136 |
See accompanying notes to financial statements.
35
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Continued)
Issues | Shares | Value | ||||||||||
China (Continued) | ||||||||||||
Weichai Power Co., Ltd. — Class H |
| 253,000 | $ | 315,026 | ||||||||
Wuliangye Yibin Co., Ltd. |
| 88,899 | 894,042 | |||||||||
Xiabuxiabu Catering Management China Holdings Co., Ltd. (4) |
| 420,500 | 614,435 | |||||||||
YY, Inc. (ADR) (7) |
| 8,800 | 795,432 | |||||||||
ZTE Corp. — Class H (7) |
| 97,000 | 336,996 | |||||||||
|
| |||||||||||
Total China | ||||||||||||
(Cost: $13,230,907) | 17,608,134 | |||||||||||
|
| |||||||||||
Germany — 1.0% | ||||||||||||
KION Group AG |
| 3,425 | 274,461 | |||||||||
Siltronic AG (7) |
| 3,432 | 512,262 | |||||||||
|
| |||||||||||
Total Germany | ||||||||||||
(Cost: $657,855) | 786,723 | |||||||||||
|
| |||||||||||
Hungary — 0.8% | ||||||||||||
MOL Hungarian Oil & Gas PLC |
| 20,120 | 240,902 | |||||||||
OTP Bank PLC |
| 10,800 | 435,321 | |||||||||
|
| |||||||||||
Total Hungary | ||||||||||||
(Cost: $540,999) | 676,223 | |||||||||||
|
| |||||||||||
India — 7.0% | ||||||||||||
Bajaj Finserv, Ltd. |
| 2,035 | 158,797 | |||||||||
Dilip Buildcon, Ltd. (4) |
| 60,089 | 789,647 | |||||||||
Hindalco Industries, Ltd. |
| 59,000 | 244,071 | |||||||||
Hindustan Petroleum Corp., Ltd. |
| 40,635 | 280,406 | |||||||||
IndusInd Bank, Ltd. |
| 12,525 | 315,354 | |||||||||
IRB Infrastructure Developers, Ltd. |
| 94,690 | 356,233 | |||||||||
Kotak Mahindra Bank, Ltd. |
| 14,845 | 235,447 | |||||||||
Maruti Suzuki India, Ltd. |
| 6,564 | 833,605 | |||||||||
Reliance Industries, Ltd. |
| 51,395 | 749,754 | |||||||||
Tata Motors, Ltd. (7) |
| 73,659 | 274,598 | |||||||||
Tata Steel, Ltd. |
| 45,050 | 489,766 | |||||||||
Vedanta, Ltd. |
| 86,454 | 444,029 | |||||||||
Voltas, Ltd. |
| 65,906 | 577,945 | |||||||||
|
| |||||||||||
Total India | ||||||||||||
(Cost: $5,129,167) | 5,749,652 | |||||||||||
|
| |||||||||||
Indonesia — 0.8% | ||||||||||||
Bank Central Asia Tbk PT |
| 253,500 | 390,502 | |||||||||
United Tractors Tbk PT |
| 112,100 | 286,604 | |||||||||
|
| |||||||||||
Total Indonesia |
| |||||||||||
(Cost: $604,114) |
| 677,106 | ||||||||||
|
| |||||||||||
Japan — 1.4% | ||||||||||||
Nabtesco Corp. |
| 10,000 | 397,529 | |||||||||
Tokyo Electron, Ltd. |
| 4,300 | 757,643 | |||||||||
|
| |||||||||||
Total Japan |
| |||||||||||
(Cost: $1,017,845) | 1,155,172 | |||||||||||
|
|
Issues | Shares | Value | ||||||||||
Kazakhstan — 1.0% (Cost: $806,516) | ||||||||||||
KAZ Minerals PLC (7) |
| 72,518 | $ | 782,893 | ||||||||
|
| |||||||||||
Kenya — 0.4% (Cost: $119,603) | ||||||||||||
Safari.com, Ltd. |
| 1,130,300 | 285,842 | |||||||||
|
| |||||||||||
Netherlands — 0.4% (Cost: $328,709) | ||||||||||||
AMG Advanced Metallurgical Group NV |
| 7,085 | 339,119 | |||||||||
|
| |||||||||||
Poland — 1.9% | ||||||||||||
Dino Polska S.A. (4)(7) |
| 40,125 | 754,493 | |||||||||
Grupa Lotos S.A. |
| 13,538 | 245,578 | |||||||||
KGHM Polska Miedz S.A. |
| 9,762 | 330,064 | |||||||||
Polski Koncern Naftowy ORLEN S.A. |
| 7,515 | 265,882 | |||||||||
|
| |||||||||||
Total Poland |
| |||||||||||
(Cost: $1,266,701) |
| 1,596,017 | ||||||||||
|
| |||||||||||
Russia — 1.7% | ||||||||||||
Lukoil PJSC |
| 7,527 | 399,157 | |||||||||
Sberbank of Russia |
| 288,915 | 963,770 | |||||||||
|
| |||||||||||
Total Russia | ||||||||||||
(Cost: $1,095,440) | 1,362,927 | |||||||||||
|
| |||||||||||
South Africa — 1.9% | ||||||||||||
Barloworld, Ltd. |
| 28,187 | 265,740 | |||||||||
Capitec Bank Holdings, Ltd. |
| 4,800 | 319,012 | |||||||||
Clicks Group, Ltd. |
| 34,730 | 388,924 | |||||||||
Mr Price Group, Ltd. |
| 30,850 | 382,292 | |||||||||
Standard Bank Group, Ltd. |
| 16,760 | 194,589 | |||||||||
|
| |||||||||||
Total South Africa | ||||||||||||
(Cost: $1,581,435) | 1,550,557 | |||||||||||
|
| |||||||||||
South Korea — 9.5% | ||||||||||||
CJ Corp. |
| 1,910 | 318,428 | |||||||||
Doosan Corp. |
| 2,342 | 280,442 | |||||||||
KB Financial Group, Inc. (ADR) |
| 5,100 | 267,801 | |||||||||
Lam Research Corp. |
| 2,700 | 563,139 | |||||||||
LG Household & Health Care, Ltd. |
| 286 | 300,461 | |||||||||
LG Uplus Corp. |
| 25,174 | 289,064 | |||||||||
POSCO (SP ADR) |
| 3,300 | 240,834 | |||||||||
Samsung Biologics Co., Ltd. (4)(7) |
| 475 | 162,962 | |||||||||
Samsung Electronics Co., Ltd. |
| 1,755 | 4,326,259 | |||||||||
SK Hynix, Inc. |
| 14,216 | 1,048,184 | |||||||||
|
| |||||||||||
Total South Korea | ||||||||||||
(Cost: $6,205,362) | 7,797,574 | |||||||||||
|
| |||||||||||
Switzerland — 0.3% (Cost: $209,355) | ||||||||||||
Wizz Air Holdings PLC (4)(7) | 5,600 | 243,561 | ||||||||||
|
| |||||||||||
Taiwan — 5.5% | ||||||||||||
Accton Technology Corp. | 291,000 | 938,312 | ||||||||||
Cathay Financial Holding Co., Ltd. | 200,000 | 330,484 | ||||||||||
Shin Kong Financial Holding Co., Ltd. | 941,000 | 301,094 |
See accompanying notes to financial statements.
36
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2017 |
Issues | Shares | Value | ||||||||||
Taiwan (Continued) | ||||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 257,612 | $ | 2,082,613 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (SP ADR) | 7,700 | 325,941 | ||||||||||
Win Semiconductors Corp. | 68,000 | 557,101 | ||||||||||
|
| |||||||||||
Total Taiwan | ||||||||||||
(Cost: $3,669,058) | 4,535,545 | |||||||||||
|
| |||||||||||
Thailand — 1.2% | ||||||||||||
Kasikornbank PCL (NVDR) | 65,700 | 435,150 | ||||||||||
Star Petroleum Refining PCL (NVDR) | 578,900 | 303,389 | ||||||||||
Thai Oil PCL (NVDR) | 85,000 | 260,987 | ||||||||||
|
| |||||||||||
Total Thailand | ||||||||||||
(Cost: $857,631) | 999,526 | |||||||||||
|
| |||||||||||
Turkey — 0.6% | ||||||||||||
Tupras Turkiye Petrol Rafinerileri A.S. | 7,300 | 262,807 | ||||||||||
Turkiye Garanti Bankasi A.S. | 85,473 | 235,301 | ||||||||||
|
| |||||||||||
Total Turkey | ||||||||||||
(Cost: $426,848) | 498,108 | |||||||||||
|
| |||||||||||
United Arab Emirates — 1.5% (Cost: $720,152) | ||||||||||||
NMC Health PLC | 31,525 | 1,211,166 | ||||||||||
|
| |||||||||||
United Kingdom — 0.7% (Cost: $487,733) | ||||||||||||
IQE PLC (7) | 290,856 | 561,983 | ||||||||||
|
| |||||||||||
United States — 1.4% | ||||||||||||
MSCI, Inc. | 6,900 | 809,784 | ||||||||||
Tronox, Ltd. | 12,100 | 320,287 | ||||||||||
|
| |||||||||||
Total United States | ||||||||||||
(Cost: $1,128,254) | 1,130,071 | |||||||||||
|
| |||||||||||
Total Common Stock | ||||||||||||
(Cost: $45,079,589) | 54,843,354 | |||||||||||
|
| |||||||||||
Money Market Investments — 1.7% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class (8) | 1,395,543 | 1,395,543 | ||||||||||
|
| |||||||||||
Total Money Market Investments |
| |||||||||||
(Cost: $1,395,543) | 1,395,543 | |||||||||||
|
| |||||||||||
Purchased Options — 0.0% | ||||||||||||
(Cost: $7,424) (10) | 8,162 | |||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
SHORT TERM INVESTMENTS — 0.4% |
| |||||||||||
FOREIGN GOVERNMENT BONDS — 0.4% | ||||||||||||
Egypt — 0.2% | ||||||||||||
Egypt Treasury Bills |
| |||||||||||
0.00% (9) | 11/07/17 | EGP | 1,100,000 | $ | 62,303 | |||||||
0.00% (9) | 12/19/17 | EGP | 700,000 | 38,833 | ||||||||
0.00% (9) | 12/26/17 | EGP | 1,700,000 | 93,983 | ||||||||
|
| |||||||||||
195,119 | ||||||||||||
|
| |||||||||||
Nigeria — 0.2% | ||||||||||||
Nigeria Treasury Bill |
| |||||||||||
0.00% (9) | 08/30/18 | NGN | 21,000,000 | 50,433 | ||||||||
0.00% (9) | 09/20/18 | NGN | 15,865,000 | 37,994 | ||||||||
0.00% (9) | 10/04/18 | NGN | 15,300,000 | 36,453 | ||||||||
|
| |||||||||||
124,880 | ||||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost: $319,921) | 319,999 | |||||||||||
|
| |||||||||||
Total Investments (100.3%) |
| |||||||||||
(Cost: $71,916,463) |
| 82,383,329 | ||||||||||
Liabilities in Excess of Other Assets (-0.3%) |
| (278,146 | ) | |||||||||
|
| |||||||||||
Total Net Assets (100.0%) |
| $ | 82,105,183 | |||||||||
|
|
Purchased Options | ||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
USD Call / MXN Put | Citibank, N.A. | MXN | 19.00 | 1/11/18 | 260 | $ | 260,000 | $ | 8,162 | $ | 7,424 | $ | 738 | |||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
37
TCW Emerging Markets Multi-Asset Opportunities 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 (11) | ||||||||||||||||||||||||
Bank of America | ZAR | 1,673,363 | 12/27/17 | $ | 121,236 | $ | 117,226 | $ | (4,010 | ) | ||||||||||||||
BNP Paribas S.A. | MXN | 2,300,000 | 11/10/17 | 125,208 | 120,078 | (5,130 | ) | |||||||||||||||||
BNP Paribas S.A. | SAR | 529,816 | 06/28/18 | 140,000 | 141,028 | 1,028 | ||||||||||||||||||
BNP Paribas S.A. | TRY | 466,398 | 12/15/17 | 132,000 | 121,275 | (10,725 | ) | |||||||||||||||||
Citibank N.A. | CZK | 2,847,000 | 01/10/18 | 130,000 | 129,855 | (145 | ) | |||||||||||||||||
Citibank N.A. | PLN | 477,880 | 01/10/18 | 130,000 | 131,391 | 1,391 | ||||||||||||||||||
Goldman Sachs International | TRY | 46,508 | 12/15/17 | 13,000 | 12,093 | (907 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 791,444 | $ | 772,946 | $ | (18,498 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
SELL (12) | ||||||||||||||||||||||||
Bank of America | SAR | 73,915 | 05/20/19 | $ | 19,477 | $ | 19,574 | $ | (97 | ) | ||||||||||||||
Bank of America | TRY | 282,985 | 12/15/17 | 73,000 | 73,583 | (583 | ) | |||||||||||||||||
Bank of America | ZAR | 1,673,363 | 12/27/17 | 125,000 | 117,226 | 7,774 | ||||||||||||||||||
BNP Paribas S.A. | SAR | 529,816 | 06/28/18 | 140,928 | 141,029 | (101 | ) | |||||||||||||||||
Citibank N.A. | ARS | 5,546,000 | 11/10/17 | 295,000 | 312,389 | (17,389 | ) | |||||||||||||||||
Citibank N.A. | NGN | 18,300,000 | 12/05/17 | 50,000 | 50,224 | (224 | ) | |||||||||||||||||
Citibank N.A. | SAR | 457,385 | 05/20/19 | 120,523 | 121,122 | (599 | ) | |||||||||||||||||
Goldman Sachs International | MXN | 9,379,695 | 11/10/17 | 515,000 | 489,692 | 25,308 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 1,338,928 | $ | 1,324,839 | $ | 14,089 | |||||||||||||||||||
|
|
|
|
|
|
Cross Currency Forwards | ||||||||||||||||||||
Counterparty | Contracts to Deliver/ Units of Currency | Settlement Date | Contracts to Receive/ Units of Currency | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Citibank N.A. | GBP | 65,175 | 1/16/18 | PLN | 312,740 | $ | (771 | ) | ||||||||||||
|
|
Written Options — OTC | ||||||||||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
USD Call / MXN Put | Citibank, N.A. | MXN | 20.50 | 1/11/18 | 260 | $ | 260,000 | $ | (1,728 | ) | $ | (1,807 | ) | $ | 79 | |||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
38
TCW Emerging Markets Multi-Asset Opportunities Fund
October 31, 2017 |
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||||||
Notional Amount (13) | Implied Credit Spread (14) | Expiration Date | Counterparty | Reference Entity | Fixed Deal Pay Rate | Payment Frequency | Unrealized Appreciation/ (Depreciation) | Premium Paid (Received) | Value (15) | |||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||||
$100,000 | 1.07 | % | 12/20/22 | Bank of America | China Government Bond, 7.5%, due 10/28/27 | 1.0% | Quarterly | $ | (375 | ) | $ | (1,987 | ) | $ | (2,362 | ) | ||||||||||||||
100,000 | 0.528 | % | 12/20/22 | Deutsche Bank AG | China Government Bond, 7.5%, due 10/28/27 | 1.0% | Quarterly | (375 | ) | (1,987 | ) | (2,362 | ) | |||||||||||||||||
200,000 | 1.15 | % | 12/20/22 | Citibank N.A. | Colombia Government Bond 10.375%, 01/28/33 | 1.0% | Quarterly | (1,732 | ) | 2,664 | 932 | |||||||||||||||||||
200,000 | 0.955 | % | 12/20/22 | Bank of America | Mexico Government Bond, 4.15%, 03/28/27 | 1.0% | Quarterly | (725 | ) | 1,410 | 685 | |||||||||||||||||||
100,000 | 1.07 | % | 12/20/22 | Citibank N.A | Mexico Government Bond, 5.95%, 03/19/19 | 1.0% | Quarterly | (375 | ) | 717 | 342 | |||||||||||||||||||
260,000 | 1.07 | % | 12/20/22 | Bank of America | Mexico Government Bond, 5.95%, 03/19/19 | 1.0% | Quarterly | (968 | ) | 1,858 | 890 | |||||||||||||||||||
110,000 | 0.734 | % | 12/20/22 | Barclays Capital | Republic of Korea, 7.125%, 04/16/19 | 1.0% | Quarterly | 125 | (1,589 | ) | (1,464 | ) | ||||||||||||||||||
680,000 | 0.734 | % | 12/20/22 | Citibank N.A. | Republic of Korea, 7.125%, 04/16/19 | 1.0% | Quarterly | 789 | (9,842 | ) | (9,053 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (3,636 | ) | $ | (8,756 | ) | $ | (12,392 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
39
TCW Emerging Markets Multi-Asset Opportunities Fund
Schedule of Investments (Continued)
Notes to the Schedule of Investments:
ARS - | Argentine Peso. |
BRL - | Brazilian Real. |
CLP - | Chilean Peso. |
COP - | Colombian Peso. |
CZK - | Czech Koruna. |
EGP - | Egyptian Pound. |
EUR - | Euro Currency. |
IDR - | Indonesian Rupiah. |
LKR - | Sri Lankan Rupee. |
MXN - | Mexican Peso. |
NGN - | Nigeria Naira. |
PEN - | Peruvian Nouveau Sol. |
RUB - | Russian Ruble. |
SAR - | Saudi Riyal. |
TRY - | Turkish New Lira. |
USD - | U.S. Dollar. |
UYU - | Uruguayan Peso. |
ZAR - | South African Rand. |
ADR | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. |
GDR | Global Depositary Receipt. A negotiable certificate held in the bank of one country representing a specific number of shares of a stock traded on an exchange of another country. |
NVDR | Non-Voting Depositary Receipt. |
OTC | Over the Counter. |
PJSC | Private Joint-Stock Company. |
SP ADR | Sponsored American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks that are issued with the cooperation of the company whose stock underlies the ADR and entitles the shareholder to all dividends, capital gains and voting rights. |
(1) | Floating or variable rate security. The interest shown reflects the rate in effect at October 31, 2017. |
(2) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(3) | 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, 2017, the value of these securities amounted to $7,047,379 or 8.6% of net assets. |
(4) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold, normally only to qualified institutional buyers. At October 31, 2017, the value of these securities amounted to $13,003,656 or 15.8% 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. |
(5) | Perpetual maturity. |
(6) | Security is in default due to bankruptcy or failure to make payment of principal or interest of the issuer as of October 31, 2017. Income is not being accrued. |
(7) | Non-income producing security. |
(8) | Rate disclosed is the 7-day net yield as of October 31, 2017. |
(9) | Security is not accruing interest. |
(10) | See table below for description of purchased options. |
(11) | Fund buys foreign currency, sells U.S. Dollar. |
(12) | Fund sells foreign currency, buys U.S. Dollar. |
(13) | The maximum potential amount the Fund could be required to make as seller of credit protection or receive as buyer of protection if a credit event occurred as defined under the terms of that particular swap agreement. |
(14) | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation. Implied credit spreads, represented in the absolute terms, utilized in determining the value of credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
(15) | The value of a credit default swap agreements serves as an indicator of the current status of the payments/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements. |
See accompanying notes to financial statements.
40
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Industry | October 31, 2017 |
Industry | Percentage of Net Assets | |||
Advertising | 0.6 | % | ||
Airlines | 1.5 | |||
Auto Manufacturers | 3.0 | |||
Auto Parts & Equipment | 0.4 | |||
Banks | 7.9 | |||
Beverages | 2.9 | |||
Biotechnology | 0.2 | |||
Chemicals | 0.4 | |||
Commercial Services | 2.1 | |||
Cosmetics/Personal Care | 0.4 | |||
Currency Options | 0.0 | * | ||
Diversified Financial Services | 1.2 | |||
Electric | 1.9 | |||
Electronics | 0.8 | |||
Energy-Alternate Sources | 0.2 | |||
Engineering & Construction | 2.5 | |||
Food | 1.2 | |||
Foreign Government Bonds | 18.3 | |||
Forest Products & Paper | 0.3 | |||
Healthcare-Products | 0.4 | |||
Healthcare-Services | 1.5 | |||
Holding Companies—Diversified | 0.7 | |||
Insurance | 2.1 | |||
Internet | 9.1 | |||
Iron & Steel | 1.4 | |||
Leisure Time | 0.4 | |||
Lodging | 1.2 | |||
Machinery-Constr&Mining | 0.6 | |||
Machinery-Diversified | 0.9 | |||
Metal Fabricate & Hardware | 0.4 | |||
Mining | 2.8 | |||
Miscellaneous Manufacturers | 0.7 | |||
Oil & Gas | 9.0 | |||
Oil & Gas Services | 0.5 | |||
Pharmaceuticals | 0.3 | |||
Real Estate | 0.2 | |||
Regional (State & Province) | 0.8 | |||
Retail | 1.7 | |||
Semiconductors | 13.1 | |||
Short Term Investments | 0.4 | |||
Software | 1.0 | |||
Telecommunications | 3.6 | |||
Money Market Investments | 1.7 | |||
|
| |||
Total | 100.3 | % | ||
|
|
* | Value rounds to less than 0.1% of net assets. |
See accompanying notes to financial statements.
41
TCW Emerging Markets Multi-Asset Opportunities Fund
Investments by Country
Country | Percentage of Net Assets | |||
Argentina | 4.1 | % | ||
Bahrain | 0.8 | |||
Brazil | 9.7 | |||
Chile | 0.7 | |||
China | 21.6 | |||
Colombia | 0.5 | |||
Costa Rica | 0.6 | |||
Dominican Republic | 0.8 | |||
Ecuador | 0.8 | |||
Egypt | 1.0 | |||
El Salvador | 0.6 | |||
Germany | 1.0 | |||
Greece | 0.3 | |||
Hungary | 0.8 | |||
India | 7.5 | |||
Indonesia | 1.8 | |||
Iraq | 0.3 | |||
Ivory Coast | 0.2 | |||
Jamaica | 0.2 | |||
Japan | 1.4 | |||
Jordan | 0.3 | |||
Kazakhstan | 2.0 | |||
Kenya | 0.4 | |||
Lebanon | 1.2 | |||
Malaysia | 0.2 | |||
Mexico | 2.2 | |||
Mongolia | 0.2 | |||
Netherlands | 0.4 | |||
Nigeria | 0.2 | |||
Oman | 0.7 | |||
Panama | 0.7 | |||
Peru | 1.0 | |||
Poland | 1.9 | |||
Russia | 3.0 | |||
Saudi Arabia | 0.5 | |||
Senegal | 0.3 | |||
South Africa | 3.2 | |||
South Korea | 9.5 | |||
Sri Lanka | 0.6 | |||
Switzerland | 0.3 | |||
Taiwan | 5.5 | |||
Thailand | 1.2 | |||
Turkey | 2.0 | |||
Ukraine | 1.9 | |||
United Arab Emirates | 1.5 | |||
United Kingdom | 0.7 | |||
United States | 3.1 | |||
Uruguay | 0.1 | |||
Venezuela | 0.5 | |||
Zambia | 0.3 | |||
|
| |||
Total | 100.3 | % | ||
|
|
See accompanying notes to financial statements.
42
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Fixed Income Securities | ||||||||||||||||
Airlines | $ | — | $ | 212,060 | $ | — | $ | 212,060 | ||||||||
Banks | — | 838,374 | — | 838,374 | ||||||||||||
Commercial Services | — | 212,800 | — | 212,800 | ||||||||||||
Diversified Financial Services | — | 210,620 | — | 210,620 | ||||||||||||
Electric | — | 1,436,830 | — | 1,436,830 | ||||||||||||
Energy-Alternate Sources | — | 207,360 | — | 207,360 | ||||||||||||
Engineering & Construction | — | 385,038 | — | 385,038 | ||||||||||||
Foreign Government Bonds | — | 15,059,964 | — | 15,059,964 | ||||||||||||
Iron & Steel | — | 411,360 | — | 411,360 | ||||||||||||
Mining | — | 422,240 | — | 422,240 | ||||||||||||
Oil & Gas Services | — | 416,008 | — | 416,008 | ||||||||||||
Oil & Gas | — | 3,634,849 | — | 3,634,849 | ||||||||||||
Real Estate | — | 200,349 | — | 200,349 | ||||||||||||
Regional (State & Province) | — | 617,860 | — | 617,860 | ||||||||||||
Telecommunications | — | 613,040 | — | 613,040 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income Securities | — | 24,878,752 | — | 24,878,752 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Banks | 423,626 | — | — | 423,626 | ||||||||||||
Food | 257,853 | — | — | 257,853 | ||||||||||||
Forest Products & Paper | 256,040 | — | — | 256,040 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 937,519 | — | — | 937,519 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stock | ||||||||||||||||
Advertising | 509,652 | — | — | 509,652 | ||||||||||||
Airlines | 707,412 | 243,561 | — | 950,973 | ||||||||||||
Auto Manufacturers | — | 2,459,723 | — | 2,459,723 | ||||||||||||
Auto Parts & Equipment | — | 315,026 | — | 315,026 | ||||||||||||
Banks | 1,060,111 | 4,198,136 | — | 5,258,247 | ||||||||||||
Beverages | — | 2,390,433 | — | 2,390,433 | ||||||||||||
Biotechnology | — | 162,962 | — | 162,962 | ||||||||||||
Chemicals | 320,287 | — | — | 320,287 | ||||||||||||
Commercial Services | 1,515,640 | — | — | 1,515,640 | ||||||||||||
Cosmetics/Personal Care | 300,461 | — | — | 300,461 | ||||||||||||
Diversified Financial Services | 586,813 | 158,797 | — | 745,610 | ||||||||||||
Electronics | — | 667,634 | — | 667,634 | ||||||||||||
Engineering & Construction | — | 1,723,825 | — | 1,723,825 | ||||||||||||
Food | — | 754,493 | — | 754,493 | ||||||||||||
Healthcare-Products | — | 328,628 | — | 328,628 | ||||||||||||
Healthcare-Services | — | 1,211,166 | — | 1,211,166 | ||||||||||||
Holding Companies — Diversified | 265,740 | 318,428 | — | 584,168 | ||||||||||||
Insurance | — | 1,704,970 | — | 1,704,970 | ||||||||||||
Internet | 3,631,842 | 3,852,136 | — | 7,483,978 | ||||||||||||
Iron & Steel | 240,834 | 489,766 | — | 730,600 | ||||||||||||
Leisure Time | 364,474 | — | — | 364,474 | ||||||||||||
Lodging | 543,520 | 415,961 | — | 959,481 |
See accompanying notes to financial statements.
43
TCW Emerging Markets Multi-Asset Opportunities Fund
Fair Valuation Summary (Continued) | October 31, 2017 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Machinery-Constr&Mining | $ | 286,604 | $ | 253,759 | $ | — | $ | 540,363 | ||||||||
Machinery-Diversified | — | 671,990 | — | 671,990 | ||||||||||||
Metal Fabricate & Hardware | — | 339,119 | — | 339,119 | ||||||||||||
Mining | — | 1,801,057 | — | 1,801,057 | ||||||||||||
Miscellaneous Manufacturers | — | 603,109 | — | 603,109 | ||||||||||||
Oil & Gas | 1,385,754 | 2,348,718 | — | 3,734,472 | ||||||||||||
Pharmaceuticals | — | 286,483 | — | 286,483 | ||||||||||||
Retail | 614,435 | 771,216 | — | 1,385,651 | ||||||||||||
Semiconductors | 1,451,063 | 9,284,062 | — | 10,735,125 | ||||||||||||
Software | 809,784 | — | — | 809,784 | ||||||||||||
Telecommunications | 929,398 | 1,564,372 | — | 2,493,770 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 15,523,824 | 39,319,530 | — | 54,843,354 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Currency Options | — | 8,162 | — | 8,162 | ||||||||||||
Money Market Investments | 1,395,543 | — | — | 1,395,543 | ||||||||||||
Short-Term Investments | — | 319,999 | — | 319,999 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 17,856,886 | 64,526,443 | — | 82,383,329 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | — | 35,501 | — | 35,501 | ||||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | 2,849 | — | 2,849 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 17,856,886 | $ | 64,564,793 | $ | — | $ | 82,421,679 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | ||||||||||||||||
Foreign Currency Risk | $ | — | $ | (40,681 | ) | $ | — | $ | (40,681 | ) | ||||||
Written Options | ||||||||||||||||
Foreign Currency Risk | — | (1,728 | ) | — | (1,728 | ) | ||||||||||
Swap Agreements | ||||||||||||||||
Credit Risk | — | (15,241 | ) | — | (15,241 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (57,650 | ) | $ | — | $ | (57,650 | ) | ||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
44
TCW International Small Cap Fund
Schedule of Investments | October 31, 2017 |
Issues | Shares | Value | ||||||
COMMON STOCK — 95.2% of Net Assets |
| |||||||
Australia — 1.0% | ||||||||
G8 Education, Ltd. | 14,495 | $ | 50,728 | |||||
NEXTDC, Ltd. (1) | 13,425 | 53,201 | ||||||
|
| |||||||
Total Australia | ||||||||
(Cost: $93,922) | 103,929 | |||||||
|
| |||||||
Austria — 3.3% | ||||||||
EVN AG | 3,219 | 50,812 | ||||||
FACC AG (1) | 4,240 | 73,967 | ||||||
S IMMO AG | 2,853 | 50,270 | ||||||
Schoeller-Bleckmann Oilfield Equipment AG (1) | 1,096 | 102,322 | ||||||
UNIQA Insurance Group AG | 4,536 | 46,479 | ||||||
|
| |||||||
Total Austria | ||||||||
(Cost: $273,931) | 323,850 | |||||||
|
| |||||||
Brazil — 3.8% | ||||||||
CVC Brasil Operadora e Agencia de Viagens S.A. | 5,800 | 76,592 | ||||||
Gol Linhas Aereas Inteligentes S.A. (ADR) (1) | 4,300 | 91,074 | ||||||
Qualicorp S.A. | 3,900 | 41,726 | ||||||
Ser Educacional S.A. | 9,000 | 84,873 | ||||||
Ser Educacional S.A. (1) | 789 | 7,477 | ||||||
Smiles Fidelidade S.A. | 2,900 | 75,794 | ||||||
|
| |||||||
Total Brazil | ||||||||
(Cost: $317,645) | 377,536 | |||||||
|
| |||||||
Canada — 2.6% | ||||||||
BRP, Inc. | 1,600 | 53,817 | ||||||
Chorus Aviation, Inc. | 7,000 | 49,577 | ||||||
MEG Energy Corp. (1) | 11,000 | 48,895 | ||||||
TORC Oil & Gas, Ltd. | 9,500 | 50,039 | ||||||
Trican Well Service, Ltd. (1) | 14,700 | 55,306 | ||||||
|
| |||||||
Total Canada | ||||||||
(Cost: $246,018) | 257,634 | |||||||
|
| |||||||
China — 6.8% | ||||||||
Baozun, Inc. (SP ADR) (1) | 1,400 | 43,946 | ||||||
China Animal Healthcare, Ltd. (1) | 338,522 | — | ||||||
Maanshan Iron & Steel Co., Ltd. (1) | 98,000 | 46,051 | ||||||
Microport Scientific Corp. | 51,000 | 50,330 | ||||||
Q Technology Group Co., Ltd. | 23,000 | 51,503 | ||||||
Sichuan Swellfun Co., Ltd. | 30,000 | 211,614 | ||||||
Sinotruk Hong Kong, Ltd. | 60,500 | 80,449 | ||||||
Xiabuxiabu Catering Management China Holdings Co., Ltd. | 50,500 | 73,791 | ||||||
YY, Inc. (ADR) (1) | 1,300 | 117,507 | ||||||
|
| |||||||
Total China | ||||||||
(Cost: $880,527) | 675,191 | |||||||
|
| |||||||
Denmark — 1.9% | ||||||||
Ambu A/S | 854 | 78,723 | ||||||
Bang & Olufsen A/S (1) | 2,460 | 56,998 |
Issues | Shares | Value | ||||||
Denmark (Continued) | ||||||||
Topdanmark A/S (1) | 1,290 | $ | 53,035 | |||||
|
| |||||||
Total Denmark | ||||||||
(Cost: $161,509) | 188,756 | |||||||
|
| |||||||
France — 6.4% | ||||||||
Air France-KLM (1) | 3,260 | 51,048 | ||||||
Assystem | 1,247 | 48,244 | ||||||
BioMerieux | 585 | 45,890 | ||||||
Devoteam S.A. | 521 | 48,701 | ||||||
Eramet (1) | 1,085 | 89,366 | ||||||
Europcar Groupe S.A. | 6,045 | 86,460 | ||||||
Manitou BF S.A. | 2,717 | 107,616 | ||||||
Teleperformance | 669 | 97,712 | ||||||
Trigano S.A. | 400 | 64,554 | ||||||
|
| |||||||
Total France | ||||||||
(Cost: $467,303) | 639,591 | |||||||
|
| |||||||
Germany — 6.4% | ||||||||
BayWa AG | 1,269 | 49,598 | ||||||
Evotec AG (1) | 1,920 | 40,860 | ||||||
Hapag-Lloyd AG (1) | 1,119 | 49,178 | ||||||
KION Group AG | 1,224 | 98,085 | ||||||
SGL Carbon SE (1) | 2,970 | 46,845 | ||||||
Siltronic AG (1) | 465 | 69,406 | ||||||
TAG Immobilien AG | 3,070 | 52,931 | ||||||
Uniper SE | 3,655 | 102,709 | ||||||
VTG AG | 1,310 | 75,662 | ||||||
Wuestenrot & Wuerttembergische AG | 1,900 | 51,020 | ||||||
|
| |||||||
Total Germany | ||||||||
(Cost: $538,396) | 636,294 | |||||||
|
| |||||||
Hungary — 0.5% (Cost: $48,031) | ||||||||
MOL Hungarian Oil & Gas PLC | 4,120 | 49,330 | ||||||
|
| |||||||
India — 2.7% | ||||||||
Dilip Buildcon, Ltd. | 4,092 | 53,774 | ||||||
Hindalco Industries, Ltd. | 14,625 | 60,501 | ||||||
Indraprastha Gas, Ltd. | 4,360 | 106,741 | ||||||
IRB Infrastructure Developers, Ltd. | 6,980 | 26,259 | ||||||
Sadbhav Engineering, Ltd. | 5,000 | 24,445 | ||||||
|
| |||||||
Total India | ||||||||
(Cost: $220,304) | 271,720 | |||||||
|
| |||||||
Ireland — 0.5% (Cost: $48,839) | ||||||||
UDG Healthcare PLC | 4,215 | 51,747 | ||||||
|
| |||||||
Israel — 1.7% | ||||||||
Elbit Systems, Ltd. | 300 | 44,586 | ||||||
Mazor Robotics, Ltd. (SP ADR) (1) | 1,000 | 64,560 | ||||||
Tower Semiconductor, Ltd. (1) | 1,900 | 62,814 | ||||||
|
| |||||||
Total Israel | ||||||||
(Cost: $123,489) | 171,960 | |||||||
|
|
See accompanying notes to financial statements.
45
TCW International Small Cap Fund
Schedule of Investments (Continued)
Issues | Shares | Value | ||||||
Italy — 3.0% | ||||||||
Astaldi SpA | 6,906 | $ | 47,821 | |||||
Banca IFIS SpA | 945 | 51,491 | ||||||
Credito Emiliano SpA | 5,405 | 47,381 | ||||||
ERG SpA | 2,989 | 49,967 | ||||||
FinecoBank Banca Fineco SpA | 5,650 | 52,849 | ||||||
Iren SpA | 17,550 | 48,291 | ||||||
|
| |||||||
Total Italy | ||||||||
(Cost: $278,020) | 297,800 | |||||||
|
| |||||||
Japan — 20.5% | ||||||||
Azbil Corp. | 1,100 | 48,065 | ||||||
Broadleaf Co., Ltd. | 6,000 | 49,294 | ||||||
cocokara fine, Inc. | 800 | 44,633 | ||||||
Daifuku Co., Ltd. | 1,000 | 48,791 | ||||||
Disco Corp. | 400 | 92,752 | ||||||
Duskin Co., Ltd. | 1,700 | 46,661 | ||||||
en-japan, Inc. | 1,300 | 50,168 | ||||||
Fancl Corp. | 2,200 | 58,081 | ||||||
Furukawa Electric Co., Ltd. | 1,700 | 103,565 | ||||||
Harmonic Drive Systems, Inc. | 1,000 | 51,997 | ||||||
Jafco Co., Ltd. | 900 | 44,511 | ||||||
Konishi Co., Ltd. | 1,300 | 22,637 | ||||||
Kureha Corp. | 400 | 23,544 | ||||||
Kyowa Exeo Corp. | 2,700 | 58,854 | ||||||
Lasertec Corp. | 2,300 | 50,637 | ||||||
Maeda Kosen Co., Ltd. | 3,000 | 52,114 | ||||||
Mandom Corp. | 1,800 | 53,669 | ||||||
Mitsubishi Logisnext Co., Ltd. | 6,400 | 47,062 | ||||||
Mitsui High-Tec, Inc. | 2,000 | 42,251 | ||||||
Mitsui Mining & Smelting Co., Ltd. | 1,100 | 57,276 | ||||||
Nabtesco Corp. | 2,500 | 99,382 | ||||||
Nihon M&A Center, Inc. | 900 | 43,116 | ||||||
Nippon Ceramic Co., Ltd. | 1,700 | 48,526 | ||||||
Open House Co., Ltd. | 1,400 | 54,002 | ||||||
Outsourcing, Inc. | 4,000 | 55,181 | ||||||
PALTAC Corp. | 1,100 | 43,716 | ||||||
Prima Meat Packers, Ltd. | 6,000 | 39,233 | ||||||
San-Ai Oil Co., Ltd. | 2,100 | 25,098 | ||||||
Sankyu, Inc. | 1,200 | 49,645 | ||||||
Shikoku Chemicals Corp. | 4,000 | 66,615 | ||||||
THK Co., Ltd. | 2,700 | 98,551 | ||||||
Tokai Carbon Co., Ltd. | 6,500 | 64,996 | ||||||
Tokyo Seimitsu Co., Ltd. | 1,400 | 55,693 | ||||||
Toyo Tanso Co., Ltd. | 2,700 | 76,273 | ||||||
Tsukui Corp. | 7,500 | 53,998 | ||||||
Ulvac, Inc. | 1,000 | 70,891 | ||||||
Yaskawa Electric Corp. | 1,400 | 50,196 | ||||||
|
| |||||||
Total Japan | ||||||||
(Cost: $1,738,887) | 2,041,674 | |||||||
|
|
Issues | Shares | Value | ||||||
Kazakhstan — 1.4% (Cost: $145,907) | ||||||||
KAZ Minerals PLC (1) | 13,142 | $ | 141,879 | |||||
|
| |||||||
Malaysia — 0.5% (Cost: $45,204) | ||||||||
Unisem M BHD | 52,800 | 49,899 | ||||||
|
| |||||||
Netherlands — 2.9% | ||||||||
AMG Advanced Metallurgical Group NV | 2,320 | 111,045 | ||||||
BE Semiconductor Industries NV | 1,406 | 110,496 | ||||||
IMCD Group NV | 1,030 | 64,787 | ||||||
|
| |||||||
Total Netherlands | ||||||||
(Cost: $196,602) | 286,328 | |||||||
|
| |||||||
New Zealand — 1.5% | ||||||||
a2 Milk Co., Ltd. (1) | 17,001 | 99,570 | ||||||
Comvita, Ltd. | 8,745 | 50,981 | ||||||
|
| |||||||
Total New Zealand | ||||||||
(Cost: $128,587) | 150,551 | |||||||
|
| |||||||
Norway — 0.5% (Cost: $45,888) | ||||||||
Storebrand ASA | 5,500 | 47,027 | ||||||
|
| |||||||
Poland — 1.6% | ||||||||
Dino Polska S.A. (1) | 3,100 | 58,291 | ||||||
Grupa Lotos S.A. | 2,952 | 53,549 | ||||||
KGHM Polska Miedz S.A. | 1,435 | 48,519 | ||||||
|
| |||||||
Total Poland | ||||||||
(Cost: $145,399) | 160,359 | |||||||
|
| |||||||
Portugal — 0.8% (Cost: $72,037) | ||||||||
Banco Comercial Portugues S.A. — Class R (1) | 263,775 | 78,830 | ||||||
|
| |||||||
South Africa — 0.5% (Cost: $51,784) | ||||||||
Barloworld, Ltd. | 5,267 | 49,656 | ||||||
|
| |||||||
Sweden — 0.6% (Cost: $44,420) | ||||||||
SAS AB (1) | 19,860 | 61,439 | ||||||
|
| |||||||
Switzerland — 7.4% | ||||||||
BKW AG | 1,609 | 94,130 | ||||||
Bucher Industries AG | 132 | 51,692 | ||||||
GAM Holding AG (1) | 3,075 | 47,972 | ||||||
Inficon Holding AG (1) | 119 | 73,975 | ||||||
OC Oerlikon Corp. AG | 5,525 | 88,713 | ||||||
Siegfried Holding AG | 150 | 46,956 | ||||||
Temenos Group AG | 1,863 | 215,307 | ||||||
VAT Group AG (1) | 430 | 56,030 | ||||||
Wizz Air Holdings PLC (1) | 1,300 | 56,541 | ||||||
|
| |||||||
Total Switzerland | ||||||||
(Cost: $537,794) | 731,316 | |||||||
|
| |||||||
Taiwan — 3.0% | ||||||||
Accton Technology Corp. | 29,000 | 93,509 | ||||||
Lite-On Semiconductor Corp. | 40,000 | 50,355 | ||||||
Tripod Technology Corp. | 14,000 | 51,559 |
See accompanying notes to financial statements.
46
TCW International Small Cap Fund
October 31, 2017 |
Issues | Shares | Value | ||||||
Taiwan (Continued) | ||||||||
Win Semiconductors Corp. | 12,000 | $ | 98,312 | |||||
|
| |||||||
Total Taiwan | ||||||||
(Cost: $246,998) | 293,735 | |||||||
|
| |||||||
Thailand — 0.6% (Cost: $44,032) | ||||||||
Star Petroleum Refining PCL (NVDR) | 104,900 | 54,976 | ||||||
|
| |||||||
Turkey — 0.5% (Cost: $46,945) | ||||||||
Turk Hava Yollari (1) | 16,760 | 45,959 | ||||||
|
| |||||||
United Arab Emirates — 1.2% (Cost: $46,456) | ||||||||
NMC Health PLC | 3,154 | 121,174 | ||||||
|
| |||||||
United Kingdom — 11.1% | ||||||||
Acal PLC | 11,930 | 50,221 | ||||||
Advanced Medical Solutions Group PLC | 11,249 | 51,761 | ||||||
Bellway PLC | 1,215 | 58,901 | ||||||
Burford Capital, Ltd. | 5,922 | 97,515 | ||||||
Clinigen Healthcare, Ltd. (1) | 3,625 | 56,659 | ||||||
Coats Group PLC | 45,801 | 52,033 | ||||||
Fenner PLC | 9,652 | 44,188 | ||||||
IQE PLC (1) | 52,305 | 101,062 | ||||||
John Laing Group PLC | 12,884 | 48,864 | ||||||
Man Group PLC | 20,115 | 51,719 | ||||||
Morgan Advanced Materials PLC | 12,272 | 51,171 | ||||||
Redrow PLC | 13,066 | 112,955 | ||||||
Rentokil Initial PLC | 11,530 | 51,409 | ||||||
Senior PLC | 14,200 | 54,377 | ||||||
SSP Group PLC | 15,571 | 120,908 | ||||||
Stock Spirits Group PLC | 14,179 | 47,449 | ||||||
Thomas Cook Group PLC | 29,803 | 47,411 | ||||||
|
| |||||||
Total United Kingdom | ||||||||
(Cost: $862,354) | 1,098,603 | |||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost: $8,097,228) | 9,458,743 | |||||||
|
|
Issues | Shares | Value | ||||||
PREFERRED STOCK — 0.9% |
| |||||||
Brazil — 0.4% (Cost: $49,053) | ||||||||
Suzano Papel e Celulose S.A. 1.66% | 7,400 | $ | 45,987 | |||||
|
| |||||||
Germany — 0.5% (Cost: $39,161) | ||||||||
Jungheinrich AG, 1.55% | 1,053 | 47,960 | ||||||
|
| |||||||
Total Preferred Stock | ||||||||
(Cost: $88,214) | 93,947 | |||||||
|
| |||||||
MONEY MARKET INVESTMENTS — 4.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund — Premier Class, 0.96% (2) | 408,481 | 408,481 | ||||||
|
| |||||||
Total Money Market Investments | ||||||||
(Cost: $408,481) | 408,481 | |||||||
|
| |||||||
Total Investments (100.2%) | ||||||||
(Cost: $8,593,923) | 9,961,171 | |||||||
Liabilities in Excess of Other Assets (-0.2%) | (22,361 | ) | ||||||
|
| |||||||
Total Net Assets (100.0%) | $ | 9,938,810 | ||||||
|
|
Notes to the Schedule of Investments:
ADR - | American Depositary Receipt. Shares of a foreign based corporation held in U.S. banks entitling the shareholder to all dividends and capital gains. |
NVDR - | Non-Voting Depositary Receipt. |
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, 2017. |
See accompanying notes to financial statements.
47
TCW International Small Cap Fund
Investments by Industry
Industry | Percentage of Net Assets | |||
Aerospace & Defense | 1.8 | % | ||
Airlines | 3.6 | |||
Banks | 1.8 | |||
Beverages | 2.6 | |||
Building Products | 0.5 | |||
Capital Markets | 2.4 | |||
Chemicals | 1.8 | |||
Commercial Services & Supplies | 1.0 | |||
Communications Equipment | 1.0 | |||
Construction & Engineering | 2.6 | |||
Distributors | 0.4 | |||
Diversified Consumer Services | 1.4 | |||
Diversified Financial Services | 0.5 | |||
Electric Utilities | 1.4 | |||
Electrical Equipment | 2.3 | |||
Electronic Equipment, Instruments & Components | 3.2 | |||
Energy Equipment & Services | 1.6 | |||
Food & Staples Retailing | 1.1 | |||
Food Products | 1.4 | |||
Gas Utilities | 1.1 | |||
Health Care Equipment & Supplies | 2.9 | |||
Health Care Providers & Services | 2.6 | |||
Hotels, Restaurants & Leisure | 3.3 | |||
Household Durables | 2.8 | |||
Independent Power and Renewable Electricity Producers | 1.5 | |||
Insurance | 2.0 | |||
Internet Software & Services | 2.6 | |||
IT Services | 0.5 | |||
Leisure Products | 1.1 | |||
Life Sciences Tools & Services | 1.5 | |||
Machinery | 9.9 | |||
Marine | 0.5 | |||
Media | 0.8 | |||
Metals & Mining | 5.6 | |||
Multi-Utilities | 0.5 | |||
Oil, Gas & Consumable Fuels | 2.9 | |||
Paper & Forest Products | 0.4 | |||
Personal Products | 1.6 | |||
Pharmaceuticals | 0.0 | |||
Professional Services | 3.0 | |||
Real Estate | 0.5 | |||
Real Estate Management & Development | 0.5 | |||
Road & Rail | 2.2 | |||
Semiconductors & Semiconductor Equipment | 8.5 | |||
Software | 2.7 | |||
Textiles, Apparel & Luxury Goods | 0.5 | |||
Trading Companies & Distributors | 1.7 | |||
Money Market Investments | 4.1 | |||
|
| |||
Total | 100.2 | % | ||
|
|
See accompanying notes to financial statements.
48
TCW International Small Cap Fund
Fair Valuation Summary | October 31, 2017 |
The following is a summary of the fair valuations according to the inputs used as of October 31, 2017 in valuing the Fund’s investments:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stock | ||||||||||||||||
Aerospace & Defense | $ | 118,553 | $ | 54,377 | $ | — | $ | 172,930 | ||||||||
Airlines | 140,651 | 214,987 | — | 355,638 | ||||||||||||
Banks | 47,381 | 131,679 | — | 179,060 | ||||||||||||
Beverages | 47,449 | 211,614 | — | 259,063 | ||||||||||||
Building Products | — | 52,114 | — | 52,114 | ||||||||||||
Capital Markets | 97,515 | 144,202 | — | 241,717 | ||||||||||||
Chemicals | — | 177,792 | — | 177,792 | ||||||||||||
Commercial Services & Supplies | — | 98,070 | — | 98,070 | ||||||||||||
Communications Equipment | — | 93,509 | — | 93,509 | ||||||||||||
Construction & Engineering | 48,864 | 211,153 | — | 260,017 | ||||||||||||
Distributors | — | 43,716 | — | 43,716 | ||||||||||||
Diversified Consumer Services | 92,350 | 50,728 | — | 143,078 | ||||||||||||
Diversified Financial Services | — | 51,491 | — | 51,491 | ||||||||||||
Electric Utilities | 50,812 | 94,130 | — | 144,942 | ||||||||||||
Electrical Equipment | — | 226,683 | — | 226,683 | ||||||||||||
Electronic Equipment, Instruments & Components | 50,221 | 272,321 | — | 322,542 | ||||||||||||
Energy Equipment & Services | 157,628 | — | — | 157,628 | ||||||||||||
Food & Staples Retailing | — | 102,924 | — | 102,924 | ||||||||||||
Food Products | — | 138,803 | — | 138,803 | ||||||||||||
Gas Utilities | — | 106,741 | — | 106,741 | ||||||||||||
Health Care Equipment & Supplies | 116,321 | 174,943 | — | 291,264 | ||||||||||||
Health Care Providers & Services | 93,473 | 175,172 | — | 268,645 | ||||||||||||
Hotels, Restaurants & Leisure | 150,383 | 168,319 | — | 318,702 | ||||||||||||
Household Durables | 169,953 | 110,404 | — | 280,357 | ||||||||||||
Independent Power and Renewable Electricity Producers | 49,967 | 102,709 | — | 152,676 | ||||||||||||
Insurance | — | 197,561 | — | 197,561 | ||||||||||||
Internet Software & Services | 211,723 | 53,201 | — | 264,924 | ||||||||||||
IT Services | 48,701 | — | — | 48,701 | ||||||||||||
Leisure Products | 53,817 | 64,554 | — | 118,371 | ||||||||||||
Life Sciences Tools & Services | 56,659 | 87,816 | — | 144,475 | ||||||||||||
Machinery | 202,975 | 720,752 | — | 923,727 | ||||||||||||
Marine | — | 49,178 | — | 49,178 | ||||||||||||
Media | 75,794 | — | — | 75,794 | ||||||||||||
Metals & Mining | — | 554,637 | — | 554,637 | ||||||||||||
Multi-Utilities | 48,291 | — | — | 48,291 | ||||||||||||
Oil, Gas & Consumable Fuels | 98,934 | 182,953 | — | 281,887 | ||||||||||||
Personal Products | 50,981 | 111,750 | — | 162,731 | ||||||||||||
Pharmaceuticals | — | — | — | — | ||||||||||||
Professional Services | 48,244 | 246,177 | — | 294,421 | ||||||||||||
Real Estate Management & Development | — | 54,002 | — | 54,002 | ||||||||||||
Real Estate | — | 52,931 | — | 52,931 | ||||||||||||
Road & Rail | — | 211,767 | — | 211,767 | ||||||||||||
Semiconductors & Semiconductor Equipment | 163,876 | 690,692 | — | 854,568 | ||||||||||||
Software | — | 264,601 | — | 264,601 | ||||||||||||
Textiles, Apparel & Luxury Goods | 52,033 | — | — | 52,033 | ||||||||||||
Trading Companies & Distributors | 49,656 | 114,385 | — | 164,041 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stock | 2,593,205 | 6,865,538 | — | 9,458,743 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
49
TCW International Small Cap Fund
Fair Valuation Summary (Continued) | October 31, 2017 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Preferred Stock | ||||||||||||||||
Machinery | $ | — | $ | 47,960 | $ | — | $ | 47,960 | ||||||||
Paper & Forest Products | 45,987 | — | — | 45,987 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 45,987 | 47,960 | — | 93,947 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Investments | 408,481 | — | — | 408,481 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,047,673 | $ | 6,913,498 | $ | — | $ | 9,961,171 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
50
TCW Funds, Inc.
October 31, 2017 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Small Cap Fund | ||||||||||||||||
ASSETS |
| |||||||||||||||||||
Investments, at Value (1) | $ | 6,114 | $ | 3,525,894 | $ | 171,033 | $ | 82,383 | $ | 9,961 | ||||||||||
Foreign Currency, at Value (2) | 86 | 32 | — | (3) | 867 | 31 | ||||||||||||||
Cash | — | — | — | 6 | — | |||||||||||||||
Receivable for Securities Sold | 125 | 45,941 | 4,455 | 1,420 | 161 | |||||||||||||||
Receivable for Fund Shares Sold | — | 4,503 | 249 | 330 | 91 | |||||||||||||||
Interest and Dividends Receivable | 2 | 51,703 | 3,043 | 451 | 11 | |||||||||||||||
Foreign Tax Reclaims Receivable | — | — | — | — | 5 | |||||||||||||||
Receivable from Investment Advisor | 27 | 43 | 20 | 55 | 19 | |||||||||||||||
Unrealized Appreciation on Open Forward Foreign Currency Contracts | — | 4,874 | 600 | 35 | — | |||||||||||||||
Cash Collateral Held for Brokers | — | 7,820 | 520 | — | — | |||||||||||||||
Open Swap Agreements, at Value | — | 436 | — | 3 | — | |||||||||||||||
Prepaid Expenses | 15 | 18 | 29 | 17 | 8 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 6,369 | 3,641,264 | 179,949 | 85,567 | 10,287 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES |
| |||||||||||||||||||
Distributions Payable | — | 15,308 | 1,348 | — | — | |||||||||||||||
Payable for Securities Purchased | 147 | 45,338 | 1,710 | 3,147 | 288 | |||||||||||||||
Payable for Fund Shares Redeemed | — | 4,537 | 134 | — | — | |||||||||||||||
Accrued Capital Gain Withholding Taxes | — | — | 74 | 80 | — | |||||||||||||||
Disbursements in Excess of Available Cash | 10 | 10,138 | 2,588 | — | — | |||||||||||||||
Accrued Directors’ Fees and Expenses | 13 | 13 | 13 | 13 | 13 | |||||||||||||||
Accrued Management Fees | 4 | 2,363 | 120 | 66 | 6 | |||||||||||||||
Accrued Distribution Fees | — | 124 | 8 | 8 | 1 | |||||||||||||||
Interest Payable on Swap Agreements | — | 328 | — | 2 | — | |||||||||||||||
Options Written, at Value | — | 239 | (4) | 18 | (4) | 2 | (4) | — | ||||||||||||
Open Swap Agreements, at Value | — | 2,569 | — | 15 | — | |||||||||||||||
Collateral Pledged by Brokers | — | 2,320 | 260 | — | — | |||||||||||||||
Unrealized Depreciation on Open Forward Foreign Currency Contracts | — | 6,565 | 694 | 41 | — | |||||||||||||||
Other Accrued Expenses | 40 | 874 | 107 | 88 | 40 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 214 | 90,716 | 7,074 | 3,462 | 348 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 6,155 | $ | 3,550,548 | $ | 172,875 | $ | 82,105 | $ | 9,939 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
51
TCW Funds, Inc.
Statements of Assets and Liabilities (Continued) | October 31, 2017 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Small Cap Fund | ||||||||||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||||||
Paid-in Capital | $ | 5,491 | $ | 4,096,995 | $ | 193,736 | $ | 74,366 | $ | 10,552 | ||||||||||
Accumulated Net Realized Loss on Investments, Futures Contracts, Options Written, Swap Contracts and Foreign Currency | (776 | ) | (649,642 | ) | (25,305 | ) | (4,466 | ) | (1,971 | ) | ||||||||||
Unrealized Appreciation of Investments, Options Written, Swap Contracts and Foreign Currency | 1,410 | 82,171 | 1,158 | 10,375 | 1,366 | |||||||||||||||
Undistributed Net Investment Income (Loss) | 30 | 21,024 | 3,286 | 1,830 | (8 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 6,155 | $ | 3,550,548 | $ | 172,875 | $ | 82,105 | $ | 9,939 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS ATTRIBUTABLE TO: |
| |||||||||||||||||||
I Class Share | $ | 4,433 | $ | 3,039,671 | $ | 138,068 | $ | 42,041 | $ | 6,350 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 1,722 | $ | 510,877 | $ | 34,807 | $ | 40,064 | $ | 3,589 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
CAPITAL SHARES OUTSTANDING: (5) |
| |||||||||||||||||||
I Class Share | 396,890 | 355,786,827 | 14,847,187 | 3,592,057 | 603,780 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | 154,160 | 46,446,073 | 3,745,947 | 3,436,476 | 340,874 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSET VALUE PER SHARE: (6) |
| |||||||||||||||||||
I Class Share | $ | 11.17 | $ | 8.54 | $ | 9.30 | $ | 11.70 | $ | 10.52 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
N Class Share | $ | 11.17 | $ | 11.00 | $ | 9.29 | $ | 11.66 | $ | 10.53 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | The identified cost for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Small Cap Fund at October 31, 2017 was $4,704, $3,441,290, $169,633, $71,916 and $8,594, respectively. |
(2) | The identified cost for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Small Cap Fund at October 31, 2017 was $86, $32,$0, $867 and $31, respectively. |
(3) | Amount rounds to less than $1. |
(4) | Premium received $250, $17 and $2 for the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
(5) | The number of authorized shares, with a par value of $0.001 per share is 4,000,000,000 for each of the I Class and N Class shares. |
(6) | Represents offering price and redemption price per share. |
See accompanying notes to financial statements.
52
TCW Funds, Inc.
Year Ended October 31, 2017 |
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | TCW Emerging Markets Local Currency Income Fund | TCW Emerging Markets Multi-Asset Opportunities Fund | TCW International Small Cap Fund | ||||||||||||||||
INVESTMENT INCOME |
| |||||||||||||||||||
Income: |
| |||||||||||||||||||
Dividends | $ | 107 | (1) | $ | 248 | $ | — | $ | 654 | (1) | $ | 162 | (1) | |||||||
Interest | — | 249,823 | (2) | 10,813 | (2) | 1,638 | (2) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 107 | 250,071 | 10,813 | 2,292 | 162 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: |
| |||||||||||||||||||
Management Fees | 43 | 25,248 | 1,036 | 521 | 66 | |||||||||||||||
Accounting Services Fees | 1 | 308 | 6 | 2 | 1 | |||||||||||||||
Administration Fees | — | (3) | 191 | 4 | 2 | 1 | ||||||||||||||
Transfer Agent Fees: |
| |||||||||||||||||||
I Class | 6 | 1,856 | 76 | 11 | 8 | |||||||||||||||
N Class | 5 | 542 | 12 | 23 | 7 | |||||||||||||||
Custodian Fees | 42 | 449 | 152 | 169 | 50 | |||||||||||||||
Professional Fees | 21 | 94 | 39 | 36 | 28 | |||||||||||||||
Directors’ Fees and Expenses | 44 | 44 | 44 | 44 | 44 | |||||||||||||||
Registration Fees: |
| |||||||||||||||||||
I Class | 16 | 81 | 19 | 16 | 16 | |||||||||||||||
N Class | 16 | 39 | 19 | 17 | 16 | |||||||||||||||
Distribution Fees: |
| |||||||||||||||||||
N Class | 4 | 1,383 | 52 | 41 | 8 | |||||||||||||||
Shareholder Reporting Expense | 1 | 15 | 3 | 6 | 1 | |||||||||||||||
Other | 29 | 558 | 26 | 27 | 26 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | 228 | 30,808 | 1,488 | 915 | 272 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Expenses Borne by Investment Advisor: | ||||||||||||||||||||
I Class | 104 | — | 45 | 120 | 83 | |||||||||||||||
N Class | 57 | 143 | 76 | 120 | 63 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Expenses | 67 | 30,665 | 1,367 | 675 | 126 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income | 40 | 219,406 | 9,446 | 1,617 | 36 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net Realized Gain on: |
| |||||||||||||||||||
Investments (4) | 302 | 42,734 | (4) | 2,911 | (4) | 1,106 | (4) | 1,520 | ||||||||||||
Foreign Currency | (16 | ) | (935 | ) | (233 | ) | (184 | ) | (10 | ) | ||||||||||
Foreign Currency Forward Contracts | — | (8,926 | ) | 1,150 | (48 | ) | 10 | |||||||||||||
Futures Contracts | — | (576 | ) | — | (3 | ) | — | |||||||||||||
Options Written | — | 2,128 | 168 | 14 | — | |||||||||||||||
Swap Agreements | — | (5,999 | ) | — | (37 | ) | — | |||||||||||||
Change in Unrealized Appreciation (Depreciation) on: |
| |||||||||||||||||||
Investments | 861 | 11,164 | (5,634 | ) (5) | 6,917 | (5) | 777 | |||||||||||||
Foreign Currency | — | (3) | (209 | ) | (118 | ) | 1 | (1 | ) | |||||||||||
Foreign Currency Forward Contracts | — | 895 | 54 | 13 | (52 | ) | ||||||||||||||
Options Written | — | (765 | ) | (55 | ) | (6 | ) | — | ||||||||||||
Swap Agreements | — | 128 | — | — | (3) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions | 1,147 | 39,639 | (1,757 | ) | 7,773 | 2,244 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,187 | $ | 259,045 | $ | 7,689 | $ | 9,390 | $ | 2,280 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Net of foreign taxes withheld of $12, $69 and $13 for the TCW Developing Markets Equity Fund, the TCW Emerging Markets Multi-Asset Opportunities Fund and the TCW International Small Cap Fund, respectively. |
(2) | Net of foreign taxes withheld of $394, $220 and $4 for the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
(3) | Amount rounds to less than $1. |
(4) | Net of capital gain withholding taxes of $25, $131, and $9 for the TCW Emerging Markets Income Fund, the TCW Emerging Markets Local Currency Income Fund, and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
(5) | Net of capital gain withholding taxes of $72 and $80 for the TCW Emerging Markets Local Currency Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund, respectively. |
See accompanying notes to financial statements.
53
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW Developing Markets Equity Fund | TCW Emerging Markets Income Fund | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income | $ | 40 | $ | 52 | $ | 219,406 | $ | 199,857 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Options Written, Swap Contracts and Foreign Currency Transactions | 286 | (749 | ) | 28,426 | (75,175 | ) | ||||||||||
Change in Unrealized Appreciation on Investments, Options Written and Foreign Currency Transactions | 861 | 963 | 11,213 | 244,537 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 1,187 | 266 | 259,045 | 369,219 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (34 | ) | (1 | ) | (149,103 | ) | (119,349 | ) | ||||||||
N Class | (13 | ) | (1 | ) | (27,875 | ) | (24,182 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (47 | ) | (2 | ) | (176,978 | ) | (143,531 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 34 | (5 | ) | 395,462 | (343,324 | ) | ||||||||||
N Class | 40 | (7 | ) | (35,930 | ) | (28,507 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 74 | (12 | ) | 359,532 | (371,831 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 1,214 | 252 | 441,599 | (146,143 | ) | |||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Year | 4,941 | 4,689 | 3,108,949 | 3,255,092 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 6,155 | $ | 4,941 | $ | 3,550,548 | $ | 3,108,949 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed Net Investment Income | $ | 30 | $ | 46 | $ | 21,024 | $ | 7,718 |
See accompanying notes to financial statements.
54
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, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Dollar Amounts in Thousands | ||||||||||||||||
OPERATIONS |
| |||||||||||||||
Net Investment Income | $ | 9,446 | $ | 10,405 | $ | 1,617 | $ | 1,488 | ||||||||
Net Realized Gain (Loss) on Investments, Futures Contracts, Options Written, Swap Contracts and Foreign Currency Transactions | 3,996 | (31,432 | ) | 848 | (1,880 | ) | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments, Options Written and Foreign Currency Transactions | (5,753 | ) | 31,708 | 6,925 | 4,303 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in Net Assets Resulting from Operations | 7,689 | 10,681 | 9,390 | 3,911 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||||||||||
Distributions from Net Investment Income: | ||||||||||||||||
I Class | (5,678 | ) | — | (1,353 | ) | (931 | ) | |||||||||
N Class | (1,177 | ) | — | (56 | ) | (103 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions to Shareholders | (6,855 | ) | — | (1,409 | ) | (1,034 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||
I Class | 39,045 | (19,368 | ) | 73 | (5,065 | ) | ||||||||||
N Class | 20,021 | (133,642 | ) | 31,790 | 603 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets Resulting from Net Capital Shares Transactions | 59,066 | (153,010 | ) | 31,863 | (4,462 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | 59,900 | (142,329 | ) | 39,844 | (1,585 | ) | ||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of Year | 112,975 | 255,304 | 42,261 | 43,846 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of Year | $ | 172,875 | $ | 112,975 | $ | 82,105 | $ | 42,261 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (Overdistributed) Net Investment Income | $ | 3,286 | $ | (885 | ) | $ | 1,830 | $ | 1,200 |
See accompanying notes to financial statements.
55
TCW Funds, Inc.
Statements of Changes in Net Assets
TCW International Small Cap Fund | ||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||
Dollar Amounts in Thousands | ||||||||
OPERATIONS |
| |||||||
Net Investment Income | $ | 36 | $ | 26 | ||||
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions | 1,520 | (86 | ) | |||||
Change in Unrealized Appreciation on Investments and Foreign Currency Transactions | 724 | 10 | ||||||
|
|
|
| |||||
Increase (Decrease) in Net Assets Resulting from Operations | 2,280 | (50 | ) | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS |
| |||||||
Distributions from Net Investment Income: | ||||||||
I Class | (18 | ) | (245 | ) | ||||
N Class | (11 | ) | (145 | ) | ||||
|
|
|
| |||||
Total Distributions to Shareholders | (29 | ) | (390 | ) | ||||
|
|
|
| |||||
NET CAPITAL SHARE TRANSACTIONS |
| |||||||
I Class | (793 | ) | (1,322 | ) | ||||
N Class | (346 | ) | (125 | ) | ||||
|
|
|
| |||||
Decrease in Net Assets Resulting from Net Capital Shares Transactions | (1,139 | ) | (1,447 | ) | ||||
|
|
|
| |||||
Increase (Decrease) in Net Assets | 1,112 | (1,887 | ) | |||||
NET ASSETS |
| |||||||
Beginning of Year | 8,827 | 10,714 | ||||||
|
|
|
| |||||
End of Year | $ | 9,939 | $ | 8,827 | ||||
|
|
|
| |||||
Undistributed Net Investment Loss | $ | (8 | ) | $ | (92 | ) |
See accompanying notes to financial statements.
56
TCW Funds, Inc.
October 31, 2017 |
Note 1 — Organization
TCW Funds, Inc., a Maryland corporation (the “Company”), is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), that currently offers 21 no-load mutual funds (each series, a “Fund” and collectively, the “Funds”). TCW Investment Management Company LLC (the “Advisor”) is the investment advisor to and an affiliate of the Funds and is registered under the Investment Advisers Act of 1940, as amended. Each Fund has distinct investment objectives. The following are the objectives for the 5 International Funds that are covered in this report:
TCW Fund | Investment Objective | |
Diversified Fixed Income Fund | ||
TCW Emerging Markets Income Fund | Seeks high total return from current income and capital appreciation by investing at least 80% of the value of its net assets in debt securities issued or guaranteed by companies, financial institutions and government entities in emerging market countries. | |
Non-Diversified Fixed Income Fund | ||
TCW Emerging Markets Local Currency Income Fund | Seeks to provide high total return from current income and capital appreciation by investing at least 80% of the value of its net assets in debt securities issued or guaranteed by companies and government entities in emerging market countries denominated in the local currencies of the issuer and in derivative instruments that provide investment exposure to such securities. | |
Diversified International Equity Fund | ||
TCW International Small Cap Fund | Seeks long-term capital appreciation by investing at least 80% of its net assets in equity securities of small capitalization companies that are generally outside the United States or whose primary business operations are outside the United States. | |
Non-Diversified International Equity Fund | ||
TCW Developing Markets Equity Fund | Seeks long-term capital appreciation by investing primarily in equity securities of companies and financial institutions domiciled or with primary business operations in, or with the majority of their net assets in or revenues or net income deriving from, developing market countries. | |
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).
57
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies
The following is a summary of significant accounting policies, which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) and which are consistently followed by the Funds in the preparation of their financial statements. Each Fund is considered an investment company under the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) No. 946, Financial Services — Investment Companies.
Principles of Accounting: The Funds use the accrual method of accounting for financial reporting purposes.
Net Asset Value: The net asset value (“NAV”) per share of each class of a Fund is determined by dividing the Fund’s net assets attributable to each class by the number of shares issued and outstanding of that class on each day the New York Stock Exchange (“NYSE”) is open for trading.
Security Valuations: Securities listed or traded on the NYSE and other stock exchanges are valued at the latest sale price on that exchange. Securities traded on the NASDAQ stock market (“NASDAQ”) are valued using official closing prices as reported by NASDAQ. All other securities traded over-the-counter (“OTC”) for which market quotations are readily available, including short-term securities, are valued with prices furnished by independent pricing services or by broker dealers.
The Company has adopted, after the approval by the Company’s Board of Directors (the “Board” and each member thereof a “Director”), a fair valuation methodology for foreign equity securities (exclusive of certain Latin American and Canadian equity securities). This methodology is designed to address the effect of movements in the U.S. market on the securities traded on foreign exchanges that have been closed for a period of time due to time zones differences. The utilization of the fair value model may result in the adjustment of prices taking into account fluctuations in the U.S. market. The fair value model is utilized each trading day and not dependent on certain thresholds or triggers.
Securities for which market quotations are not readily available, including circumstances under which the prices received are not reflective of their market values, are valued by the Advisor in good faith under procedures established by and under the general supervision of the Company’s Board.
Fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market for the investment. In accordance with the authoritative guidance on fair value measurements and disclosures GAAP, the Funds disclose investments in a three-tier hierarchy. This hierarchy is utilized to establish classification of fair value measurements based on inputs. Inputs that go into fair value measurement refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions 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.
58
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 — | quoted prices in active markets for identical investments | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) | |
Level 3 — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement.
Fair Value Measurements: Descriptions of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
Credit default swaps. Credit default swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise, the fair values would be categorized in Level 3.
59
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 insignificant, they are categorized in Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Certain foreign securities that are fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets are categorized in Level 2 of the fair value hierarchy.
Exchange-traded funds. Exchange-traded funds are generally valued based on quoted prices from the applicable exchange. They are categorized in Level 1 of the fair value hierarchy.
Foreign currency contracts. The fair value of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. To the extent that these factors can be observed, foreign currency contracts are categorized in Level 2 of the fair value hierarchy.
Money market funds. Money market funds are open-end mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported NAV, they are categorized in Level 1 of the fair value hierarchy.
Options contracts. Options contracts traded on exchanges are valued using market mid prices; as such, they are categorized in Level 1. Option contracts traded OTC are fair valued based on pricing models and incorporate various inputs such as interest rate, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-money contracts on a given strike price. To the extent that these inputs are observable and timely, the fair value of OTC option contracts would be categorized in Level 2; otherwise, the fair values would be categorized in Level 3.
Restricted securities. Restricted securities, including illiquid Rule 144A securities, held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable. Any other restricted securities valued similar to publicly traded securities may be categorized in Level 2 or 3 of the fair value hierarchy depending on whether a discount is applied and significant to the fair value.
Short-term investments. Short-term investments are valued using market price quotations, and are reflected in Level 2 of the fair value hierarchy.
U.S. and foreign government and agency securities. Government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. and foreign government and agency securities are normally categorized in Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
The summary of the inputs used as of October 31, 2017 is listed after the Schedule of Investments for each Fund.
60
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:
Fund | Transfer out of Level 1* and Transfer into Level 2 | Transfer out of Level 2* and Transfer into Level 1 | ||||||
TCW Developing Markets Equity Fund | $ | 84,817 | $ | — | ||||
TCW Emerging Markets Multi-Asset Opportunities Fund | $ | 338,909 | $ | — | ||||
TCW International Small Cap Fund | $ | 331,022 | $ | 188,970 |
* | 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, 2017 were due to changes in valuation to/from the exchange closing price from/to the fair value price.
The Funds held no investments or other financial instruments at October 31, 2017 for which fair value was calculated using Level 3 inputs.
Security Transactions and Related Investment Income: Security transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis. Realized gains and losses on investments are recorded on the basis of specific identification.
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.
61
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
For year ended October 31, 2017, the following Funds had derivatives and transactions in derivatives, grouped in the following risk categories (amounts in thousands except Notional Amounts or Number of Contracts):
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Investments (1) | $ | — | $ | 1,131 | $ | — | $ | 1,131 | ||||||||
Swaps Contracts | 436 | — | — | 436 | ||||||||||||
Forward Contracts | — | 4,874 | — | 4,874 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | 436 | $ | 6,005 | $ | — | $ | 6,441 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 6,565 | $ | — | $ | 6,565 | ||||||||
Written Options | — | 239 | — | 239 | ||||||||||||
Swaps Contracts | 2,569 | — | — | 2,569 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | 2,569 | $ | 6,804 | $ | — | $ | 9,373 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Forward Contracts | $ | — | $ | (8,926 | ) | $ | — | $ | (8,926 | ) | ||||||
Futures Contracts | — | — | (576 | ) | (576 | ) | ||||||||||
Investments (2) | — | (1,679 | ) | — | (1,679 | ) | ||||||||||
Options Written | — | 2,128 | — | 2,128 | ||||||||||||
Swaps Contracts | (5,999 | ) | — | — | (5,999 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (5,999 | ) | $ | (8,477 | ) | $ | (576 | ) | $ | (15,052 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||
Forward Contracts | $ | — | $ | 895 | $ | — | $ | 895 | ||||||||
Investments (3) | — | 1,209 | — | 1,209 | ||||||||||||
Options Written | — | (765 | ) | — | (765 | ) | ||||||||||
Swaps Contracts | 128 | — | — | 128 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | 128 | $ | 1,339 | $ | — | $ | 1,467 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts or Notional Amounts (5) | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 207,640,510 | — | $ | 207,640,510 | |||||||||
Options Purchased | $ | — | $ | 44,364,158 | $ | — | $ | 44,364,158 | ||||||||
Options Written | $ | — | $ | 46,330,467 | — | $ | 46,330,467 | |||||||||
Futures Contracts | — | — | 354 | 354 | ||||||||||||
Swaps Contracts | $ | 235,893,750 | — | — | 235,893,750 |
62
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
Foreign Currency Risk | Total | |||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||
Statement of Asset and Liabilities | ||||||||
Asset Derivatives | ||||||||
Investments (1) | $ | 86 | $ | 86 | ||||
Forward Contracts | 600 | 600 | ||||||
|
|
|
| |||||
Total Value | $ | 686 | $ | 686 | ||||
|
|
|
| |||||
Liability Derivatives | ||||||||
Forward Contracts | $ | 694 | $ | 694 | ||||
Written Options | 18 | 18 | ||||||
|
|
|
| |||||
Total Value | $ | 712 | $ | 712 | ||||
|
|
|
| |||||
Statement of Operations: | ||||||||
Realized Gain (Loss) | ||||||||
Forward Contracts | $ | 1,150 | $ | 1,150 | ||||
Investments (2) | (174 | ) | (174 | ) | ||||
Options Written | 168 | 168 | ||||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | 1,144 | $ | 1,144 | ||||
|
|
|
| |||||
Change in Appreciation (Depreciation) | ||||||||
Forward Contracts | $ | 54 | $ | 54 | ||||
Investments (3) | 19 | 19 | ||||||
Options Written | (55 | ) | $ | (55 | ) | |||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | 18 | $ | 18 | ||||
|
|
|
| |||||
Notional Amounts (5) | ||||||||
Forward Currency Contracts | $ | 94,522,708 | $ | 94,522,708 | ||||
Options Purchased | 3,674,000 | 3,674,000 | ||||||
Options Written | 3,586,667 | 3,586,667 |
63
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Total | |||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||
Statement of Asset and Liabilities | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Investments (1) | $ | — | $ | 8 | $ | — | $ | 8 | ||||||||
Swaps Contracts | 3 | — | — | 3 | ||||||||||||
Forward Contracts | — | 35 | — | 35 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | 3 | $ | 43 | $ | — | $ | 46 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | — | $ | 41 | $ | — | $ | 41 | ||||||||
Written Options | — | 2 | — | 2 | ||||||||||||
Swaps Contracts | 15 | — | — | 15 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | 15 | $ | 43 | $ | — | $ | 58 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Forward Contracts | $ | — | $ | (48 | ) | $ | — | $ | (48 | ) | ||||||
Futures Contracts | — | — | (3 | ) | (3 | ) | ||||||||||
Investments (2) | — | (10 | ) | — | (10 | ) | ||||||||||
Options Written | — | 14 | — | 14 | ||||||||||||
Swaps Contracts | (37 | ) | — | — | (37 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (37 | ) | $ | (44 | ) | $ | (3 | ) | $ | (84 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||
Forward Contracts | $ | — | $ | 13 | $ | — | $ | 13 | ||||||||
Investments (3) | — | 10 | — | 10 | ||||||||||||
Options Written | — | (6 | ) | — | (6 | ) | ||||||||||
Swaps Contracts | — | (4) | — | — | — | (4) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | 17 | $ | — | $ | 17 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts or Notional Amounts (5) | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 1,409,806 | $ | — | $ | 1,409,806 | ||||||||
Options Purchased | $ | — | $ | 258,125 | $ | — | $ | 258,125 | ||||||||
Options Written | $ | — | $ | 268,571 | $ | — | $ | 268,571 | ||||||||
Futures Contracts | — | — | 2 | 2 | ||||||||||||
Swaps Contracts | $ | 1,444,583 | — | — | $ | 1,444,583 | ||||||||||
TCW International Small Cap Fund | ||||||||||||||||
Statement of Operations: | ||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Forward Contracts | $ | — | $ | 10 | $ | — | $ | 10 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | — | $ | 10 | $ | — | $ | 10 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||
Forward Contracts | $ | — | $ | (52 | ) | $ | — | $ | (52 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | (52 | ) | $ | — | $ | (52 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Notional Amounts (5) | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 2,350,932 | $ | — | $ | 2,350,932 |
(1) | Represents purchased options, at value. |
(2) | Represents realized gain (loss) for purchased options. |
(3) | Represents change in unrealized depreciation for purchased options during the period. |
(4) | Amount less than $1. |
(5) | Amount disclosed represents average number of contracts or notional amounts, which are representative of the volume traded for the year ended October 31, 2017. |
64
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
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 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
65
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
counterparties. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. The Funds have implemented the disclosure requirements pursuant to FASB ASU No. 2013-11, Disclosures about Offsetting Assets and Liabilities that requires disclosures to make financial statements that are prepared under GAAP more comparable to those prepared under International Financial Reporting Standards.
The following table presents the Funds’ OTC derivative assets and liabilities by counterparty net of amounts available for offset under ISDA Master Agreement or Master Repurchase Agreement (“MRA”) and net of the related collateral received by the Funds as of October 31, 2017 (in thousands):
TCW Emerging Markets Income Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Bank of America (Derivatives) | $ | 1,305 | $ | (1,088 | ) | $ | 217 | $ | — | $ | 217 | |||||||||
Barclays Capital (Derivatives) | — | (231 | ) | (231 | ) | 231 | (2) | — | ||||||||||||
BNP Paribas S.A. (Derivatives) | 147 | (2,209 | ) | (2,062 | ) | 2,062 | (2) | — | ||||||||||||
Citibank N.A. (Derivatives) | 1,530 | (4,108 | ) | (2,578 | ) | 2,578 | (2) | — | ||||||||||||
Deutsche Bank AG (Derivatives) | — | (465 | ) | (465 | ) | 270 | (195 | ) | ||||||||||||
Goldman Sachs & Co. (Derivatives) | 3,459 | (1,272 | ) | 2,187 | (2,187 | ) (2) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 6,441 | $ | (9,373 | ) | $ | (2,932 | ) | $ | 2,954 | $ | 22 | ||||||||
|
|
|
|
|
|
|
|
|
|
(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) | $ | 75 | $ | (376 | ) | $ | (301 | ) | $ | 260 | $ | (41 | ) | |||||||
BNP Paribas S.A. (Derivatives) | 37 | (37 | ) | — | — | — | ||||||||||||||
Citibank N.A. (Derivatives) | 86 | (28 | ) | 58 | — | 58 | ||||||||||||||
Goldman Sachs International (Derivatives) | 481 | (242 | ) | 239 | (239 | )(2) | — | |||||||||||||
Morgan Stanley & Co., Inc. (Derivatives) | — | (1 | ) | (1 | ) | — | (1 | ) | ||||||||||||
Standard Chartered PLC (Derivatives) | 7 | (28 | ) | (21 | ) | — | (21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 686 | $ | (712 | ) | $ | (26 | ) | $ | 21 | $ | (5 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
(2) | Amount does not include excess collateral pledged or received. |
TCW Emerging Markets Multi-Asset Opportunities Fund
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount (1) | |||||||||||||||
Barclays Bank PLC (Derivatives) | $ | — | $ | (2 | ) | $ | (2 | ) | $ | — | $ | (2 | ) | |||||||
Bank of America (Derivatives) | 9 | (7 | ) | 2 | — | 2 | ||||||||||||||
BNP Paribas S.A. (Derivatives) | 1 | (16 | ) | (15 | ) | — | (15 | ) | ||||||||||||
Citibank N.A. (Derivatives) | 11 | (30 | ) | (19 | ) | — | (19 | ) | ||||||||||||
Deutsche Bank AG (Derivatives) | — | (2 | ) | (2 | ) | — | (2 | ) | ||||||||||||
Goldman Sachs International (Derivatives) | 25 | (1 | ) | 24 | — | 24 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 46 | $ | (58 | ) | $ | (12 | ) | $ | — | $ | (12 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
66
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
Forward Foreign Currency Contracts: The Funds enter into forward foreign currency contracts as a hedge against fluctuations in foreign exchange rates. Forward foreign currency contracts are marked-to market daily and the change in market value is recorded by each Fund as unrealized gains or losses in the Statement of Assets and Liabilities. When a contract is closed or delivery is taken, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. Outstanding foreign currency forward contracts at October 31, 2017 are disclosed in the Schedule of Investments.
Futures Contracts: The Funds may enter into futures contracts. A Fund may seek to manage a variety of different risks through the use of futures contracts, such as interest rate risk, equity price risk, and currency risk. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk. Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by each 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 during the fiscal year. However, there are no futures contracts outstanding at October 31, 2017 for any of the Funds.
Options: The Funds purchase and sell put and call options to enhance investment performance and to protect against changes in market prices. The Funds may also enter into currency options to hedge against currency fluctuations.
Purchasing foreign currency options gives a Fund the right, but not the obligation to buy or sell specified amounts of currency at a rate of exchange that may be exercised by a certain date. These currency options may be used as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or
67
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. Premiums paid for purchasing options that expired are treated as realized losses.
Options purchased or sold by a Fund may be traded on a securities or options exchange. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by an exchange or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace the expiring series, and opening transactions in existing series may be prohibited.
OTC options are options not traded on exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by a Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. During the year ended October 31, 2017, the TCW Emerging Markets Income Fund, TCW Emerging Markets Local Currency Income Fund, and TCW Emerging Markets Multi-Asset Opportunities Fund had options to hedge the currency exposure of the Funds.
Swap Agreements. The Funds may enter into swap agreements. Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
A Fund may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).
A Fund may enter into enter into an interest rate swap agreement. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline
68
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
(or amortize) over time. The Fund’s maximum risk of loss due to counterparty default is the discounted NAV of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life.
A Fund may enter into credit default swap transactions as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. A Fund also takes the risk that the market will move against its position in the swap agreement. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. When a Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on each Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded as realized gains and losses, respectively. At October 31, 2017, the TCW Emerging Markets Income Fund and the TCW Emerging Markets Multi-Asset Opportunities Fund held credit default swaps listed on the Schedules of Investments to limit certain credit exposure within each Fund.
69
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 2 — Significant Accounting Policies (Continued)
When-Issued, Delayed-Delivery, and Forward Commitment Transactions: The Funds may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security or to adjust the interest rate exposure of each Fund’s existing portfolio. In when issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase securities, with payment and delivery to take place at a future date. Although the Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate with market condition. In addition, because the Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they may result in a form of leverage to the extent the Fund does not set aside liquid assets to cover the commitment. To guard against this deemed leverage, the Fund monitors the obligations under these transactions on a daily basis and ensures that the Fund has sufficient liquid assets to cover them.
Repurchase Agreements: The Funds may enter into repurchase agreements, under the terms of MRA. The MRA permits a Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds recognize a liability with respect to such excess collateral to reflect the Funds obligation under bankruptcy law to return the excess to the counterparty. There were no repurchase agreements outstanding as of October 31, 2017.
Participation Notes: The Funds may invest in participation notes of equity-linked instruments (collectively, participation notes), through which a counterparty provides exposure to common stock, in the form of an unsecured interest, in markets where direct investment by a Fund is not possible. Participation notes provide the economic benefit of common stock ownership to a Fund, while legal ownership and voting rights are retained by the counterparty. Although participation notes are usually structured with a defined maturity or termination date, early redemption may be possible. Risks associated with participation notes include possible failure of the counterparty to perform in accordance with the terms of the agreement, inability to transfer or liquidate the notes, potential delays or an inability to redeem before maturity under certain market conditions, and limited legal recourse against the issuer of the underlying common stock. None of the Funds held participation notes as of October 31, 2017.
Security Lending: The Funds may lend their securities to qualified brokers. The loans must be collateralized at all times primarily with cash although the Funds can accept money market instruments or U.S. government securities with a market value at least equal to the market value of the securities on loan. As with any extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral if the borrowers of the securities fail financially. The Funds earn additional income for lending their securities by investing the cash collateral in short-term investments. The Funds did not lend any securities during the year ended October 31, 2017.
70
TCW Funds, Inc.
October 31, 2017 |
Note 2 — Significant Accounting Policies (Continued)
Allocation of Operating Activity for Multiple Classes: Investment income, common expenses and realized and unrealized gains and losses are allocated among the share classes of the Funds based on the relative net assets of each class. Distribution fees, which are directly attributable to a class of shares, are charged to the operations of that class. All other expenses are charged to each Fund or class as incurred on a specific identification basis. Differences in class specific fees and expenses will result in differences in net investment income, and in turn differences in dividends paid by each class.
Dividends and Distributions: Dividends and distributions to shareholders are recorded on the ex-dividend date. The TCW Emerging Markets Income Fund and the TCW Emerging Markets Local Currency Income Fund declare and pay, or reinvest, dividends from net investment income monthly. The other Funds declare and pay, or reinvest, dividends from net investment income annually. Any net long term and net short-term capital gains earned by a fund will be distributed at least annually.
Income and capital gain distributions are determined in accordance with income tax regulations which may differ from GAAP. These differences are primarily due to differing treatments for foreign currency transactions, market discount and premium, losses deferred due to wash sales, excise tax regulations and employing equalization in determining amounts to be distributed to Fund shareholders. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications between paid-in capital, undistributed net investment income (loss), and/or undistributed accumulated realized gain (loss). Undistributed net investment income or loss may include temporary book and tax basis differences which will reverse in a subsequent period. Any taxable income or capital gain remaining at fiscal year end is distributed in the following year.
Use of Estimates: The preparation of the accompanying financial statements requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Note 3 — Risk Considerations
Market Risk: The Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
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
71
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 3 — Risk Considerations (Continued)
than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will achieve their objective through the use of the derivatives.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which a Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The exposure to credit and counterparty risks with respect to these financial assets is reflected in fair value recorded in the Funds’ Statements of Assets and Liabilities.
Foreign Currency Risk: The Funds may be exposed to the risk that the value of the Funds’ investments denominated in foreign currencies will decline in value because the foreign currency has declined in value relative to the U.S. dollar.
Foreign Investing Risk: The Funds may be exposed to the risk that the Funds share prices will fluctuate with market conditions, currency exchange rates and the economic and political climates in countries where the Funds invest.
For complete information on the various risks involved, please refer to the Funds’ prospectus and the Statement of Additional Information which can be obtained on the Funds’ website (www.tcw.com) or by calling the customer service.
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, 2017 and 2016, the Funds below realized on a tax basis, the following net realized loss on security transactions (amounts in thousands).
At October 31, 2017, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Developing Markets Equity Fund | $ | 32 | $ | — | $ | 32 | ||||||
TCW Emerging Markets Income Fund | 36,407 | — | 36,407 | |||||||||
TCW Emerging Markets Local Currency Income Fund | 6,568 | — | 6,568 | |||||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 1,841 | — | 1,841 |
72
TCW Funds, Inc.
October 31, 2017 |
Note 4 — Federal Income Taxes (Continued)
At the end of the previous fiscal year, October 31, 2016, the components of distributable earnings on a tax basis were as follows (amounts in thousands):
Undistributed Ordinary Income | Undistributed Long-Term Gain | Total Distributable Earnings | ||||||||||
TCW Developing Markets Equity Fund | $ | 47 | $ | — | $ | 47 | ||||||
TCW Emerging Markets Income Fund | 20,368 | — | 20,368 | |||||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 1,277 | — | 1,277 | |||||||||
TCW International Small Cap Fund | 29 | — | 29 |
Permanent differences incurred during the year ended October 31, 2017, 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 NAV per share (amounts in thousands):
Undistributed Net Investment Income (Loss) | Undistributed Accumulated Net Realized Gain (Loss) | Paid-in Capital | ||||||||||
TCW Developing Markets Equity Fund | $ | (9 | ) | $ | 9 | $ | — | (1) | ||||
TCW Emerging Markets Income Fund | (29,122 | ) | 29,122 | — | ||||||||
TCW Emerging Markets Local Currency Income Fund | 1,580 | (1,581 | ) | 1 | ||||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 422 | (422 | ) | — | ||||||||
TCW International Small Cap Fund | 77 | (68 | ) | (9 | ) |
(1) | Amount rounds to less than $1. |
During the year ended October 31, 2017, the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Developing Markets Equity Fund | $ | 47 | $ | — | $ | 47 | ||||||
TCW Emerging Markets Income Fund | 176,978 | — | 176,978 | |||||||||
TCW Emerging Markets Local Currency Income Fund | 6,855 | — | 6,855 | |||||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 1,409 | — | 1,409 | |||||||||
TCW International Small Cap Fund | 29 | — | 29 |
For the previous fiscal year ended October 31, 2016 the tax character of distributions paid was as follows (amounts in thousands):
Ordinary Income | Long-Term Capital Gain | Total Distributions | ||||||||||
TCW Developing Markets Equity Fund | $ | 2 | $ | — | $ | 2 | ||||||
TCW Emerging Markets Local Currency Income Fund | 143,531 | — | 143,531 | |||||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 1,034 | — | 1,034 | |||||||||
TCW International Small Cap Fund | 390 | — | 390 |
73
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 4 — Federal Income Taxes (Continued)
At October 31, 2017, net unrealized appreciation (depreciation) on investments for federal income tax purposes was as follows (amounts in thousands):
Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | Cost of Investments for Federal Income Tax Purposes | |||||||||||||
TCW Developing Markets Equity Fund | $ | 1,450 | $ | (45 | ) | $ | 1,405 | $ | 4,709 | |||||||
TCW Emerging Markets Income Fund | 140,519 | (54,695 | ) | 85,824 | 3,388,248 | |||||||||||
TCW Emerging Markets Local Currency Income Fund | 2,030 | (6,014 | ) | (3,984 | ) | 223,563 | ||||||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | 11,144 | (797 | ) | 10,347 | 71,569 | |||||||||||
TCW International Small Cap Fund | 1,715 | (356 | ) | 1,359 | 8,602 |
The following Funds had net realized losses that will be carried forward indefinitely for federal income tax purposes (amounts in thousands):
Short-Term Capital Losses | Long-Term Capital Losses | Total | ||||||||||
TCW Developing Markets Equity Fund | $ | 772 | $ | — | $ | 772 | ||||||
TCW Emerging Markets Income Fund | $ | 360,475 | $ | 292,676 | $ | 653,151 | ||||||
TCW Emerging Markets Local Currency Income Fund | $ | 12,501 | $ | 9,448 | $ | 21,949 | ||||||
TCW Emerging Markets Multi-Asset Opportunity Fund | $ | 4,366 | $ | — | $ | 4,366 | ||||||
TCW International Small Cap Fund | $ | 1,969 | $ | — | $ | 1,969 |
The Funds did not have any unrecognized tax benefits at October 31, 2017, nor were there any increases or decreases in unrecognized tax benefits for the year ended October 31, 2017. The Funds are subject to examination by the U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
Note 5 — Fund Management Fees and Other Expenses
The Funds pay to the Advisor, as compensation for services rendered, facilities furnished and expenses borne by it, the following annual management fees as a percentage of daily net assets:
TCW Developing Markets Equity Fund | 0.80% | |||
TCW Emerging Markets Income Fund | 0.75% | |||
TCW Emerging Markets Local Currency Income Fund | 0.75% | |||
TCW Emerging Markets Multi-Asset Opportunities Fund | 0.95% | |||
TCW International Small Cap Fund | 0.75% |
The Advisor limits the operating expenses of the Funds not to exceed the following expense ratios relative to the Funds’ average daily net assets:
TCW Developing Markets Equity Fund | ||||
I Class | 1.25% | (1) | ||
N Class | 1.25% | (1) | ||
TCW Emerging Markets Income Fund | ||||
I Class | 1.11% | (2) | ||
N Class | 1.11% | (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) |
74
TCW Funds, Inc.
October 31, 2017 |
Note 5 — Fund Management Fees and Other Expenses (Continued)
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, 2017. These limitations are voluntary and terminable in a six months’ notice. |
The amount borne by the Advisor during the fiscal year when the operating expenses of a fund are in excess of the expense limitation cannot be recaptured in the subsequent fiscal years should the expenses drop below the expense limitation in the subsequent years. The Advisor can recapture expenses only within a given fiscal year for that year’s operating expenses.
Directors’ Fees: Directors who are not affiliated with the Advisor receive compensation from the Funds which is shown on the Statements of Operations. Directors may elect to defer receipt of their fees in accordance with the terms of a Non-Qualified Deferred Compensation Plan. Deferred compensation is included within accrued directors’ fees and expenses in the Statements of Assets and Liabilities.
Note 6 — Distribution Plan
TCW Funds Distributors (“Distributor”), an affiliate of the Advisor and the Funds, serves as the nonexclusive distributor of each class of the Funds’ shares. The Funds have a distribution plan pursuant to Rule 12b-1 under the 1940 Act with respect to the N Class shares of each Fund. Under the terms of the plan, each Fund compensates the Distributor at a rate equal to 0.25% of the average daily net assets of the Fund attributable to its N Class shares for distribution and related services.
Note 7 — Purchases and Sales of Securities
Investment transactions (excluding short-term investments) for the year ended October 31, 2017 were as follows (amounts in thousands):
Purchases at Cost | Sales or Maturity Proceeds | U.S. Government Purchases at Cost | U.S. Government Sales or Maturity Proceeds | |||||||||||||
TCW Developing Markets Equity Fund | $ | 10,261 | $ | 10,236 | $ | — | $ | — | ||||||||
TCW Emerging Markets Income Fund | 6,936,739 | 6,588,072 | — | — | ||||||||||||
TCW Emerging Markets Local Currency Income Fund | 239,056 | 178,021 | — | — | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | 137,054 | 106,283 | — | — | ||||||||||||
TCW International Small Cap Fund | 19,782 | 21,096 | — | — |
Note 8 — Capital Share Transactions
Transactions in each Fund’s shares were as follows:
TCW Developing Markets Equity Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | — | $ | — | 76,815 | $ | 700 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 3,894 | 34 | 228 | 1 | ||||||||||||
Shares Redeemed | — | — | (77,604 | ) | (706 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 3,894 | $ | 34 | (561 | ) | $ | (5 | ) | ||||||||
|
|
|
|
|
|
|
|
75
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 8 — Capital Share Transactions (Continued)
TCW Developing Markets Equity Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 2,879 | $ | 27 | 76,755 | $ | 700 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,486 | 13 | 87 | 1 | ||||||||||||
Shares Redeemed | — | — | (77,604 | ) | (708 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 4,365 | $ | 40 | (762 | ) | $ | (7 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Income Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 132,574,376 | $ | 1,110,081 | 112,184,967 | $ | 889,712 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 14,432,022 | 120,623 | 12,105,774 | 95,420 | ||||||||||||
Shares Redeemed | (99,861,578 | ) | (835,242 | ) | (171,946,398 | ) | (1,328,456 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 47,144,820 | $ | 395,462 | (47,655,657 | ) | $ | (343,324 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 17,285,880 | $ | 186,830 | 16,214,832 | $ | 165,419 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,532,993 | 27,257 | 2,279,008 | 23,145 | ||||||||||||
Shares Redeemed | (23,070,902 | ) | (250,017 | ) | (21,517,525 | ) | (217,071 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (3,252,029 | ) | $ | (35,930 | ) | (3,023,685 | ) | $ | (28,507 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Local Currency Income Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 6,308,760 | $ | 58,940 | 9,424,813 | $ | 75,249 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 434,870 | 4,159 | — | — | ||||||||||||
Shares Redeemed | (2,597,777 | ) | (24,054 | ) | (11,201,554 | ) | (94,617 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 4,145,853 | $ | 39,045 | (1,776,741 | ) | $ | (19,368 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,259,146 | $ | 30,879 | 5,376,036 | $ | 42,691 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 93,844 | 899 | — | — | ||||||||||||
Shares Redeemed | (1,287,565 | ) | (11,757 | ) | (22,458,546 | ) | (176,333 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 2,065,425 | $ | 20,021 | (17,082,510 | ) | $ | (133,642 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 194,195 | $ | 2,080 | 124,090 | $ | 1,220 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 133,708 | 1,281 | 97,656 | 886 | ||||||||||||
Shares Redeemed | (314,370 | ) | (3,288 | ) | (770,874 | ) | (7,171 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 13,533 | $ | 73 | (549,128 | ) | $ | (5,065 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 3,761,005 | $ | 40,095 | 94,620 | $ | 927 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 5,841 | 56 | 11,379 | 103 | ||||||||||||
Shares Redeemed | (822,023 | ) | (8,361 | ) | (42,552 | ) | (427 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase | 2,944,823 | $ | 31,790 | 63,447 | $ | 603 | ||||||||||
|
|
|
|
|
|
|
|
76
TCW Funds, Inc.
October 31, 2017 |
Note 8 — Capital Share Transactions (Continued)
TCW International Small Cap Fund | Year Ended October 31, 2017 | Year Ended October 31, 2016 | ||||||||||||||
I Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 21,677 | $ | 187 | 337,420 | $ | 2,784 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 2,311 | 18 | 29,232 | 245 | ||||||||||||
Shares Redeemed | (116,317 | ) | (998 | ) | (519,196 | ) | (4,351 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (92,329 | ) | $ | (793 | ) | (152,544 | ) | $ | (1,322 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
N Class | Shares | Amount (in thousands) | Shares | Amount (in thousands) | ||||||||||||
Shares Sold | 215,808 | $ | 1,964 | 279,590 | $ | 2,318 | ||||||||||
Shares Issued upon Reinvestment of Dividends | 1,363 | 11 | 17,179 | 144 | ||||||||||||
Shares Redeemed | (260,862 | ) | (2,321 | ) | (313,208 | ) | (2,587 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Decrease | (43,691 | ) | $ | (346 | ) | (16,439 | ) | $ | (125 | ) | ||||||
|
|
|
|
|
|
|
|
Note 9 — Affiliate Ownership
As of October 31, 2017, affiliates of the Funds and Advisor own 98.9% and 72.8% of the net assets of TCW Developing Markets Equity Fund and TCW International Small Cap Fund, respectively.
Note 10 — Restricted Securities
The Funds are permitted to invest in securities that have legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from such registration before being sold to the public (exemption rules apply). Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). However, the Company considers 144A securities to be restricted if those securities have been deemed illiquid. Disposal of these securities may involve time consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. There were no restricted securities outstanding at October 31, 2017.
Note 11 — Committed Line Of Credit
The Company has entered into a $100,000,000 committed revolving line of credit agreement with the State Street Bank and Trust Company (the “Bank”) for temporary borrowing purposes with an expiration date of December 29, 2017. The interest rate on borrowing is the higher of the Federal Funds rate or the overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit as of or during the year ended October 31, 2017. The Funds pay the Bank a commitment fee equal to 0.25% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the statements of operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
Note 12 — Indemnifications
Under the Company’s organizational documents, its Officers and Directors may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Company. In addition, the Company entered into an agreement with each of the Directors which provides that the Company will indemnify and hold harmless each Director against any expenses actually and reasonably incurred by any Director in any proceeding arising out of or in connection with the Director’s services to the Company, to
77
TCW Funds, Inc.
Notes to Financial Statements (Continued)
Note 12 — Indemnifications (Continued)
the fullest extent permitted by the Company’s Articles of Incorporation and By-Laws, the Maryland General Corporation Law, the Securities Act, and the 1940 Act, each as now or hereinafter in force. Additionally, in the normal course of business, the Company enters into agreements with service providers that may contain indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote. The Company has not accrued any liability in connection with such indemnification.
78
TCW Developing Markets Equity Fund
Financial Highlights — I Class
Year Ended October 31, | June 30, 2015 (Commencement of Operations) through October 31, 2015 | |||||||||||
2017 | 2016 | |||||||||||
Net Asset Value per Share, Beginning of Year | $ | 9.10 | $ | 8.62 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.07 | 0.10 | 0.01 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.09 | 0.38 | (1.39 | ) | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 2.16 | 0.48 | (1.38 | ) | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.00 | ) (2) | — | |||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Year | $ | 11.17 | $ | 9.10 | $ | 8.62 | ||||||
|
|
|
|
|
| |||||||
Total Return | 23.96 | % | 5.63 | % | (13.80 | )% (3) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Year (in thousands) | $ | 4,433 | $ | 3,577 | $ | 3,392 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 3.94 | % | 3.56 | % | 7.09 | % (4) | ||||||
After Expense Reimbursement | 1.25 | % | 1.25 | % | 1.25 | % (4) | ||||||
Ratio of Net Investment Income to Average Net Assets | 0.77 | % | 1.15 | % | 0.30 | % (4) | ||||||
Portfolio Turnover Rate | 194.58 | % | 154.70 | % | 54.34 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the period June 30, 2015 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
79
TCW Developing Markets Equity Fund
Financial Highlights — N Class
Year Ended October 31, | June 30, 2015 (Commencement of Operations) through October 31, 2015 | |||||||||||
2017 | 2016 | |||||||||||
Net Asset Value per Share, Beginning of Year | $ | 9.10 | $ | 8.62 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net Investment Income (1) | 0.07 | 0.10 | 0.01 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.09 | 0.38 | (1.39 | ) | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 2.16 | 0.48 | (1.38 | ) | ||||||||
|
|
|
|
|
| |||||||
Less Distributions: | ||||||||||||
Distributions from Net Investment Income | (0.09 | ) | (0.00 | ) (2) | — | |||||||
|
|
|
|
|
| |||||||
Net Asset Value per Share, End of Year | $ | 11.17 | $ | 9.10 | $ | 8.62 | ||||||
|
|
|
|
|
| |||||||
Total Return | 23.96 | % | 5.63 | % | (13.80 | )% (3) | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net Assets, End of Year (in thousands) | $ | 1,722 | $ | 1,364 | $ | 1,297 | ||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||
Before Expense Reimbursement | 5.08 | % | 4.80 | % | 8.39 | % (4) | ||||||
After Expense Reimbursement | 1.25 | % | 1.25 | % | 1.25 | % (4) | ||||||
Ratio of Net Investment Income to Average Net Assets | 0.77 | % | 1.15 | % | 0.29 | % (4) | ||||||
Portfolio Turnover Rate | 194.58 | % | 154.70 | % | 54.34 | % (3) |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
(3) | For the period June 30, 2015 (Commencement of Operations) through October 31, 2015 and is not indicative of a full year’s operating results. |
(4) | Annualized. |
See accompanying notes to financial statements.
80
TCW Emerging Markets Income Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 8.34 | $ | 7.67 | $ | 8.57 | $ | 8.53 | $ | 9.30 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.55 | 0.55 | 0.38 | 0.47 | 0.55 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.09 | 0.52 | (0.87 | ) | (0.01 | ) | (0.59 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.64 | 1.07 | (0.49 | ) | 0.46 | (0.04 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.44 | ) | (0.40 | ) | (0.39 | ) | (0.42 | ) | (0.44 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | — | — | (0.22 | ) | ||||||||||||||
Distributions from Return of Capital | — | — | (0.02 | ) | — | (0.07 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.44 | ) | (0.40 | ) | (0.41 | ) | (0.42 | ) | (0.73 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 8.54 | $ | 8.34 | $ | 7.67 | $ | 8.57 | $ | 8.53 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 7.95 | % | 14.29 | % | (5.75 | )% | 5.52 | % | (0.68 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 3,039,671 | $ | 2,574,798 | $ | 2,733,679 | $ | 4,602,207 | $ | 4,260,067 | ||||||||||
Ratio of Expenses to Average Net Assets | 0.87 | % | 0.87 | % | 0.88 | % | 0.85 | % | 0.83 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 6.56 | % | 6.95 | % | 4.79 | % | 5.44 | % | 6.09 | % | ||||||||||
Portfolio Turnover Rate | 212.16 | % | 214.73 | % | 172.93 | % | 165.55 | % | 150.21 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
81
TCW Emerging Markets Income Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 10.75 | $ | 9.89 | $ | 11.05 | $ | 11.01 | $ | 11.93 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.68 | 0.68 | 0.46 | 0.57 | 0.68 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 0.12 | 0.67 | (1.11 | ) | (0.02 | ) | (0.76 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.80 | 1.35 | (0.65 | ) | 0.55 | (0.08 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.55 | ) | (0.49 | ) | (0.48 | ) | (0.51 | ) | (0.53 | ) | ||||||||||
Distributions from Net Realized Gain | — | — | — | — | (0.22 | ) | ||||||||||||||
Distributions from Return of Capital | — | — | (0.03 | ) | — | (0.09 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.55 | ) | (0.49 | ) | (0.51 | ) | (0.51 | ) | (0.84 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 11.00 | $ | 10.75 | $ | 9.89 | $ | 11.05 | $ | 11.01 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 7.67 | % | 13.98 | % | (5.96 | )% | 5.11 | % | (0.86 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 510,877 | $ | 534,151 | $ | 521,413 | $ | 782,384 | $ | 1,419,298 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.15 | % | 1.15 | % | 1.16 | % | 1.13 | % | 1.10 | % | ||||||||||
After Expense Reimbursement | 1.13 | % | N/A | N/A | N/A | N/A | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 6.30 | % | 6.71 | % | 4.50 | % | 5.21 | % | 5.83 | % | ||||||||||
Portfolio Turnover Rate | 212.16 | % | 214.73 | % | 172.93 | % | 165.55 | % | 150.21 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
82
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 9.13 | $ | 8.18 | $ | 9.69 | $ | 10.14 | $ | 10.52 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.64 | 0.52 | 0.46 | 0.55 | 0.54 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.06 | ) | 0.43 | (1.94 | ) | (0.88 | ) | (0.62 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.58 | 0.95 | (1.48 | ) | (0.33 | ) | (0.08 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.41 | ) | — | — | — | (0.06 | ) | |||||||||||||
Distributions from Return of Capital | — | — | (0.03 | ) | (0.12 | ) | (0.24 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.41 | ) | — | (0.03 | ) | (0.12 | ) | (0.30 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 9.30 | $ | 9.13 | $ | 8.18 | $ | 9.69 | $ | 10.14 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 6.33 | % | 11.61 | % | (15.35 | )% | (3.29 | )% | (0.89 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 138,068 | $ | 97,650 | $ | 102,034 | $ | 178,828 | $ | 237,695 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.03 | % | 1.00 | % | 1.00 | % | 0.95 | % | 0.90 | % | ||||||||||
After Expense Reimbursement | 0.99 | % | 0.99 | % | 0.99 | % | N/A | N/A | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 6.83 | % | 6.12 | % | 5.20 | % | 5.61 | % | 5.19 | % | ||||||||||
Portfolio Turnover Rate | 137.44 | % | 209.07 | % | 250.10 | % | 223.55 | % | 290.24 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
83
TCW Emerging Markets Local Currency Income Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 9.12 | $ | 8.17 | $ | 9.69 | $ | 10.13 | $ | 10.52 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.64 | 0.48 | 0.46 | 0.58 | 0.54 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (0.06 | ) | 0.47 | (1.95 | ) | (0.91 | ) | (0.64 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.58 | 0.95 | (1.49 | ) | (0.33 | ) | (0.10 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.41 | ) | — | — | — | (0.05 | ) | |||||||||||||
Distributions from Return of Capital | — | — | (0.03 | ) | (0.11 | ) | (0.24 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.41 | ) | — | (0.03 | ) | (0.11 | ) | (0.29 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 9.29 | $ | 9.12 | $ | 8.17 | $ | 9.69 | $ | 10.13 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 6.33 | % | 11.63 | % | (15.37 | )% | (3.37 | )% | (0.91 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 34,807 | $ | 15,325 | $ | 153,270 | $ | 55,028 | $ | 113,380 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.35 | % | 1.31 | % | 1.25 | % | 1.24 | % | 1.15 | % | ||||||||||
After Expense Reimbursement | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 6.88 | % | 6.05 | % | 5.29 | % | 5.87 | % | 5.15 | % | ||||||||||
Portfolio Turnover Rate | 137.44 | % | 209.07 | % | 250.10 | % | 223.55 | % | 290.24 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
84
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — I Class
Year Ended October 31, | November 16, 2012 (Commencement of Operations) through October 31, 2013 | |||||||||||||||||||
2017 | 2016 | 2015 | 2014 | |||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 10.39 | $ | 9.63 | $ | 10.97 | $ | 10.68 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.31 | 0.35 | 0.24 | 0.22 | 0.07 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.38 | 0.65 | (1.38 | ) | 0.14 | 0.61 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 1.69 | 1.00 | (1.14 | ) | 0.36 | 0.68 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.38 | ) | (0.24 | ) | (0.20 | ) | (0.07 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 11.70 | $ | 10.39 | $ | 9.63 | $ | 10.97 | $ | 10.68 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 17.05 | % | 10.75 | % | (10.53 | )% | 3.43 | % | 6.80 | % (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 42,041 | $ | 37,173 | $ | 39,739 | $ | 53,652 | $ | 40,903 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.54 | % | 1.57 | % | 1.47 | % | 1.43 | % | 1.72 | % (3) | ||||||||||
After Expense Reimbursement | 1.23 | % | 1.23 | % | 1.23 | % | 1.21 | % | 1.26 | % (3) | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.95 | % | 3.74 | % | 2.31 | % | 2.04 | % | 2.06 | % (3) | ||||||||||
Portfolio Turnover Rate | 197.48 | % | 227.75 | % | 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.
85
TCW Emerging Markets Multi-Asset Opportunities Fund
Financial Highlights — N Class
Year Ended October 31, | November 16, 2012 (Commencement of Operations) through October 31, 2013 | |||||||||||||||||||
2017 | 2016 | 2015 | 2014 | |||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 10.35 | $ | 9.59 | $ | 10.92 | $ | 10.62 | $ | 10.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (1) | 0.32 | 0.36 | 0.24 | 0.22 | 0.06 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1.37 | 0.64 | (1.37 | ) | 0.15 | 0.56 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 1.69 | 1.00 | (1.13 | ) | 0.37 | 0.62 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.38 | ) | (0.24 | ) | (0.20 | ) | (0.07 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 11.66 | $ | 10.35 | $ | 9.59 | $ | 10.92 | $ | 10.62 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 17.10 | % | 10.78 | % | (10.50 | )% | 3.54 | % | 6.20 | % (2) | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 40,064 | $ | 5,088 | $ | 4,107 | $ | 89 | $ | 31 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 1.96 | % | 2.15 | % | 2.15 | % | 48.38 | % | 480.73 | % (3) | ||||||||||
After Expense Reimbursement | 1.23 | % | 1.23 | % | 1.23 | % | 1.21 | % | 1.26 | % (3) | ||||||||||
Ratio of Net Investment Income to Average Net Assets | 2.95 | % | 3.79 | % | 2.38 | % | 2.01 | % | 1.72 | % (3) | ||||||||||
Portfolio Turnover Rate | 197.48 | % | 227.75 | % | 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.
86
TCW International Small Cap Fund
Financial Highlights — I Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 8.17 | $ | 8.57 | $ | 8.72 | $ | 8.92 | $ | 7.83 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | 0.04 | 0.02 | 0.01 | 0.01 | (0.01 | ) | ||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.34 | (0.05 | ) | (0.11 | ) | (0.13 | ) | 1.55 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 2.38 | (0.03 | ) | (0.10 | ) | (0.12 | ) | 1.54 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.03 | ) | (0.37 | ) | (0.05 | ) | (0.08 | ) | (0.45 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 10.52 | $ | 8.17 | $ | 8.57 | $ | 8.72 | $ | 8.92 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 29.21 | % | (0.49 | )% | (1.07 | )% | (1.39 | )% | 20.77 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 6,350 | $ | 5,684 | $ | 7,274 | $ | 19,786 | $ | 24,266 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 2.89 | % | 2.40 | % | 1.67 | % | 1.37 | % | 1.36 | % | ||||||||||
After Expense Reimbursement | 1.43 | % | 1.44 | % | 1.44 | % | N/A | N/A | ||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.41 | % | 0.29 | % | 0.17 | % | 0.12 | % | (0.17 | )% | ||||||||||
Portfolio Turnover Rate | 232.19 | % | 128.62 | % | 243.88 | % | 259.88 | % | 301.86 | % |
(1) | Computed using average shares outstanding throughout the period. |
See accompanying notes to financial statements.
87
TCW International Small Cap Fund
Financial Highlights — N Class
Year Ended October 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net Asset Value per Share, Beginning of Year | $ | 8.17 | $ | 8.58 | $ | 8.72 | $ | 8.92 | $ | 7.82 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net Investment Income (Loss) (1) | 0.04 | 0.03 | 0.03 | 0.00 | (2) | (0.02 | ) | |||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 2.35 | (0.07 | ) | (0.12 | ) | (0.13 | ) | 1.56 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 2.39 | (0.04 | ) | (0.09 | ) | (0.13 | ) | 1.54 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions: | ||||||||||||||||||||
Distributions from Net Investment Income | (0.03 | ) | (0.37 | ) | (0.05 | ) | (0.07 | ) | (0.44 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value per Share, End of Year | $ | 10.53 | $ | 8.17 | $ | 8.58 | $ | 8.72 | $ | 8.92 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 29.34 | % | (0.60 | )% | (1.03 | )% | (1.52 | )% | 20.77 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (in thousands) | $ | 3,589 | $ | 3,143 | $ | 3,440 | $ | 9,437 | $ | 11,847 | ||||||||||
Ratio of Expenses to Average Net Assets: | ||||||||||||||||||||
Before Expense Reimbursement | 3.48 | % | 2.88 | % | 2.09 | % | 1.75 | % | 1.67 | % | ||||||||||
After Expense Reimbursement | 1.43 | % | 1.44 | % | 1.44 | % | 1.44 | % | 1.44 | % | ||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.41 | % | 0.33 | % | 0.40 | % | 0.04 | % | (0.23 | )% | ||||||||||
Portfolio Turnover Rate | 232.19 | % | 128.62 | % | 243.88 | % | 259.88 | % | 301.86 | % |
(1) | Computed using average shares outstanding throughout the period. |
(2) | Amount rounds to less than $0.01 per share. |
See accompanying notes to financial statements.
88
TCW Funds, Inc.
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of
TCW Funds, Inc.
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of TCW Developing Markets Equity Fund, TCW Emerging Markets Income Fund, TCW Emerging Markets Local Currency Income Fund, TCW Emerging Markets Multi-Asset Opportunities Fund, and TCW International Small Cap Fund (collectively, the “TCW International Funds”) (five of twenty-one funds comprising TCW Funds, Inc.) as of October 31, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, 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, 2017, by correspondence with custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
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, 2017, the results of their operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the respective stated periods then ended, in conformity with accounting principles generally accepted in the United States of America.
Los Angeles, California
December 20, 2017
89
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, 2017 to October 31, 2017 (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, 2017 | Ending Account Value October 31, 2017 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2017 to October 31, 2017) | ||||||||||||
TCW Developing Markets Equity Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,155.10 | 1.25 | % | $ | 6.79 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.90 | 1.25 | % | 6.36 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,155.10 | 1.25 | % | $ | 6.79 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.90 | 1.25 | % | 6.36 | |||||||||||
TCW Emerging Markets Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.30 | 0.88 | % | $ | 4.51 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.77 | 0.88 | % | 4.48 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,032.70 | 1.12 | % | $ | 5.74 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.56 | 1.12 | % | 5.70 | |||||||||||
TCW Emerging Markets Local Currency Income Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,031.20 | 0.99 | % | $ | 5.07 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.22 | 0.99 | % | 5.04 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,031.20 | 0.99 | % | $ | 5.07 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.22 | 0.99 | % | 5.04 |
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TCW Funds, Inc. | Beginning Account Value May 1, 2017 | Ending Account Value October 31, 2017 | Annualized Expense Ratio | Expenses Paid During Period (May 1, 2017 to October 31, 2017) | ||||||||||||
TCW Emerging Markets Multi-Asset Opportunities Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,114.30 | 1.23 | % | $ | 6.55 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.01 | 1.23 | % | 6.26 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,114.70 | 1.23 | % | $ | 6.56 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.01 | 1.23 | % | 6.26 | |||||||||||
TCW International Small Cap Fund | ||||||||||||||||
I Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,180.70 | 1.43 | % | $ | 7.86 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.00 | 1.43 | % | 7.27 | |||||||||||
N Class Shares | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,180.50 | 1.43 | % | $ | 7.86 | ||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.00 | 1.43 | % | 7.27 |
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TCW Funds, Inc.
The TCW Group, Inc. and Subsidiaries
TCW Investment Management Company LLC
TCW Asset Management Company LLC
Trust Company of the West
Metropolitan West Asset Management, LLC
TCW Funds, Inc. | Sepulveda Management LLC | |
TCW Strategic Income Fund, Inc. | TCW Direct Lending LLC | |
Metropolitan West Funds | TCW Direct Lending VII LLC | |
TCW Alternative Funds |
What You Should Know
At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.
We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.
We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial Information,” issued by the United States Securities and Exchange Commission.
Our Privacy Policy
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, and the TCW Alternative Funds, Sepulveda Management LLC and TCW Direct Lending (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.
In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal and financial information.
Categories of Information We Collect
We may collect the following types of nonpublic personal and financial information about you from the following sources:
• | Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications. |
• | Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties. |
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• | 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. |
• | 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.
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Privacy Policy (Continued)
Reminder About TCW’s Financial Products
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, TCW Alternative Funds, Sepulveda Management LLC and TCW Direct Lending.
• | Are not guaranteed by a bank; |
• | Are not obligations of The TCW Group, Inc. or of its subsidiaries; |
• | Are not insured by the Federal Deposit Insurance Corporation; and |
• | Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon. |
THE TCW GROUP, INC.
TCW FUNDS, INC.
TCW STRATEGIC INCOME FUND, INC.
METROPOLITAN WEST FUNDS
TCW ALTERNATIVE FUNDS
SEPULVEDA MANAGEMENT LLC
TCW DIRECT LENDING LLC
TCW DIRECT LENDING VII LLC
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com
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Renewal of Investment Advisory and Management Agreement
TCW Funds, Inc. (the “Corporation”) and TCW Investment Management Company LLC (the “Advisor”) are parties to an Investment Advisory and Management Agreement (“Agreement”), pursuant to which the Advisor is responsible for managing the investments of each separate investment series (each, a “Fund” and collectively, the “Funds”) of the Corporation. Unless terminated by either party, the Agreement continues in effect from year to year provided that 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 as that term is defined in the Investment Company Act of 1940, as amended (the “Independent Directors”).
On September 18, 2017, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2018 through February 5, 2019. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Directors) upon the recommendation of the Independent Directors. The Independent Directors met separately by telephone on August 30, 2017, and in person on another occasion, with their independent legal counsel to review and discuss the information that had been requested on their behalf by their independent legal counsel and presented by the Advisor for their consideration. The information, material facts, and conclusions that formed the basis for their recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed — During the course of each year, the Independent Directors receive a wide variety of materials relating to the services provided by the Advisor, including reports on the Advisor’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Advisor to the Funds. In addition, the Board reviewed information furnished to the Independent Directors in response to a detailed request sent to the Advisor on their behalf. The information in the Advisor’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Advisor to its institutional clients, financial and profitability information regarding the Advisor, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Directors also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to those of appropriate peer groups of mutual funds. After reviewing this information, the Independent Directors requested additional information from the Advisor, which the Advisor provided and the Directors considered.
Review process — The Directors’ determinations were made on the basis of each Director’s business judgment after consideration of all the information presented. The Independent Directors reviewed advice regarding legal and industry standards provided by their independent legal counsel, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Directors also discussed these matters with their independent legal counsel, who assisted them in their review and consideration of the renewal of the Agreement. The Independent Directors discussed the renewal of the Agreement with the Advisor’s representatives and in private sessions at which no representatives of the Advisor were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Directors did not
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Renewal of Investment Advisory and Management Agreement (Continued)
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.
2. Nature, extent, and quality of services provided by the Advisor
The Independent Directors considered the depth and quality of the Advisor’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Advisor; and the ability of its organizational structure to address the growth in assets over the past several years. The Independent Directors considered the ability of the Advisor to attract and retain well-qualified investment professionals, noting in particular the Advisor’s hiring of professionals in various areas over the past several years, upgrading resources in the middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Independent Directors also considered that the Advisor made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, and portfolio accounting. They noted the substantial additional resources made available by TCW, as the parent company of the Advisor. The Independent Directors examined and discussed a detailed description of the extensive supplemental services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Advisor’s institutional and sub-advised clients, as well as the Advisor’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Advisor and the Directors. The Advisor explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Directors and their meetings, regulatory filings, and various operational personnel.
The Board and the Independent Directors concluded that the nature, extent, and quality of the services provided by the Advisor are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.
3. Investment performance
The Independent Directors considered the investment results of each Fund in light of its investment objective and principal strategies. They compared each Fund’s total returns with the total returns of other funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2017. The Independent Directors reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with the Advisor. In reviewing each Fund’s relative performance, the Independent Directors took into account each Fund’s strategies, distinct characteristics, asset size and diversification.
The Independent Directors noted that investment performance of most of the Funds was generally close to or above the median performance of the applicable peer group during the three-year period emphasized by Broadridge, but seven Funds ranked in the fourth or fifth quintile for that three-year period.
For the U.S. fixed income Funds, the Independent Directors noted the conservative profile of the Funds, which generally experienced less volatility compared to various other funds in the applicable peer group
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(except for the relative volatility of Total Return Bond Fund, which is a mortgage focused Fund). They also noted the Advisor’s conservative posture for these Funds with respect to credit and interest rate risks.
The Independent Directors noted that the performance of majority of these Funds ranked within the first, second or third quintiles for the one-, three-, five- and ten–year periods (or shorter periods since inception). The Core Fixed Income Fund ranked in the fourth quintile for the one-year period. The High Yield Bond Fund ranked in the fifth quintile for the one-year period. The Global Bond Fund ranked in the fifth quintile for the one-year period, and the fourth quintile for the three-year period. The Short Term Bond Fund ranked in the fourth or fifth quintile for each period.
For the U.S. equity Funds, the Independent Directors noted that the performance of most Funds for the various periods reviewed ranked in the first, second or third quintiles. The Select Equity Fund ranked in the fourth quintile for the five-year period and the fifth quintile for the one-year period. The Relative Value Dividend Appreciation Fund ranked in the fourth quintile for the ten-year period. The Relative Value Mid Cap Fund ranked in the fourth or fifth quintile for the three-, five- and ten-year periods, but improved to the first quintile in the one-year period. The Focused Equities Fund ranked in the fourth or fifth quintile for the one-, three-, five- and ten-year periods, and is being closely monitored by the Board. The High Dividend Equities Fund ranked in the fifth quintile for the one-year and since-inception periods, but the Independent Directors noted the Advisor’s explanation of the Fund’s investments in defensive companies, which hurt its relative performance. The Global Real Estate Fund ranked in the fourth quintile since inception but has shown more recent relative improvement.
For the international and emerging markets Funds, the Independent Directors noted that the performance of a majority of these Funds ranked in the first, second or third quintiles. The Emerging Markets Multi-Asset Opportunities Fund ranked in the fourth quintile for the one-year period, but ranked in the second quintile for the three-year period. The International Small Cap Fund ranked in the fifth quintile for the one-, three-, and five-year periods and, in view of its relatively new portfolio management team, the Board will continue to monitor the Fund closely. The Developing Markets Equity Fund ranked in the fifth quintile for the period since inception, but improved to the third quintile for the one-year period; the Board will also continue to monitor this Fund but has noted the Advisor’s view that the Fund should be evaluated over a full market cycle.
The Conservative Allocation Fund ranked in the fifth quintile for the one-year period, but had first and second quintile rankings for its longer periods.
In reviewing the Funds’ investment results, the Independent Directors recognized the Advisor’s deliberate strategy to manage risk in light of its critical view of the fixed-income securities markets and overall investment market conditions. In that connection, the Independent Directors and Board noted that the performance of some Funds for periods when they lagged their peer group averages remained satisfactory when assessed on a risk-adjusted basis because performance quintiles do not necessarily reflect the amount of risk employed by peer funds to achieve their returns.
The Independent Directors noted that each Fund’s performance was satisfactory over the relevant periods or, for those Funds that lagged peer group averages, the Advisor had discussed with the Board the reasons for that underperformance and the actions taken by the Advisor to address that underperformance, and the Board had determined to continue to monitor performance but did not believe that any immediate action was needed
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Renewal of Investment Advisory and Management Agreement (Continued)
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.
The Board and the Independent Directors concluded that the Advisor was implementing each Fund’s investment objective and that the Advisor’s record in managing the Funds indicates that its continued management should benefit each Fund and its shareholders over the long term.
4. Advisory fees and total expenses
The Board compared the advisory fee and total expenses of each Fund (each as a percentage of average net assets) with the median advisory fee and total operating expense level of the other funds in the relevant Broadridge peer groups. The Independent Directors observed that each Fund’s advisory fee, giving effect to applicable waivers, was below or near the median of the peer group funds, with the following exceptions: The advisory fee for the Select Equities Fund exceeded the median by under 10 bps but exceeded the median total expenses by only 2 bps. The advisory fees for the Relative Value Dividend Appreciation Fund, the Relative Value Large Cap Fund, the Relative Value Mid Cap Fund, the Emerging Markets Income Fund and the Emerging Markets Local Currency Income Fund exceeded their respective peer group medians but their total expenses were less than the respective medians. The Independent Directors noted that for several Funds this result reflected substantial or full waivers of the advisory fee.
The Independent Directors noted the contractual expense limitations to which the Advisor has agreed with respect to each Fund and that the Advisor historically has absorbed any expenses in excess of these limits. The Independent Directors and the Board concluded that the competitive fees charged by the Advisor, and competitive expense ratios, should benefit each Fund and its shareholders.
The Independent Directors also reviewed information regarding the advisory fees charged by the Advisor to its institutional and sub-advisory clients with similar investment mandates. They concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the Advisor’s more extensive services provided to the Funds and significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, pricing and valuation responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.
5. The Advisor’s costs, level of profits, and economies of scale
The Independent Directors reviewed information regarding the Advisor’s costs of providing services to the Funds, as well as the resulting level of profits to the Advisor. The Independent Directors reviewed the Advisor’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Advisor’s largest operating cost. The Board and the Independent Directors recognized that the Advisor should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board also reviewed a comparison of the Advisor’s profitability with respect to the Funds to the profitability of certain publicly traded asset managers, which the Advisor had provided to support its view that the Advisor’s profitability was reasonable. The Board and the Independent Directors also considered
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the implementation of a supplemental compliance services agreement that reimburses the Advisor for a portion of its compliance and other administrative services in an amount reviewed and approved by the Board and the Independent Directors. The Board noted that the Advisor has suspended charging that fee. Based on their review, the Board and the Independent Directors concluded that they were satisfied that the Advisor’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Board and the Independent Directors considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Advisor’s view that the advisory fees compare favorably to peer group fees giving effect to waivers, and that expenses remain competitive even at higher asset levels. The Board and the Independent Directors recognized the benefits to the Funds of the Adviser’s substantial past and on-going investment in the advisory business that benefits the Funds, such as successfully recruiting and retaining key professional talent, systems and technology, administration, compliance, legal and infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Independent Directors also noted the Advisor’s explanation of the increased resources required to manage the Funds as a result of both asset growth and increased competitive pressures. The Board and the Independent Directors further noted the Advisor’s past subsidies of the Funds’ operating expenses when they were newer and smaller and the Advisor’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Directors also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients rather than strictly mutual funds. The Board and the Independent Directors concluded that the Advisor was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.
6. Ancillary benefits
The Board and the Independent Directors 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 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.
7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Directors concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that the Funds’ shareholders received reasonable value in return for the advisory fees and other amounts paid to the Advisor by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
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Supplemental Information
The policies and procedures that the Company uses to determine how to vote proxies are available without charge. The Board has delegated the Company’s proxy voting authority to the Advisor.
Disclosure of Proxy Voting Guidelines
The proxy voting guidelines of the Advisor are available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for a description of the Advisor’s proxy voting guidelines, it will deliver the description that is disclosed in the Company’s Statement of Additional Information. This information will be sent out via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Advisor, on behalf of the Company, prepares and files Form N-PX with the SEC not later than August 31 of each year, which includes the Company’s proxy voting record for the most recent twelve-month period ended June 30 of that year. The Company’s proxy voting record for the most recent twelve-month period ended June 30 is available:
1. | By calling 800-FUND-TCW (800-386-3829) to obtain a hard copy; or |
2. | By going to the SEC website at http://www.sec.gov. |
When the Company receives a request for the Company’s proxy voting record, it will send the information disclosed in the Company’s most recently filed report on Form N-PX via first class mail (or other means designed to ensure equally prompt delivery) within three business days of receiving the request.
The Company also discloses its proxy voting record on its website as soon as is reasonably practicable after its report on Form N-PX is filed with the SEC.
Availability of Quarterly Portfolio Schedule
The Company files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of its fiscal year on Form N-Q. The Form N-Q is available by calling 800-FUND-TCW (800-386-3829) to obtain a hard copy. You may also obtain the Company’s Form N-Q:
1. | By going to the SEC website at http://www.sec.gov.; or |
2. | By visiting the SEC’s Public Reference Room in Washington, D.C. and photocopying it (Phone 1-800-SEC-0330 for information on the operation of the SEC’s Public Reference Room). |
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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, 2017 (amount in thousands):
Fund | Qualified Dividend Income | |||
TCW Developing Markets Equity Fund | $ | 56 | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | $ | 340 | ||
TCW International Small Cap Fund | $ | 29 |
The following is the dividend received deduction percentage for the Fund’s corporate shareholders:
Fund | Qualified Received Deductions | |||
TCW Developing Markets Equity Fund | 0.37% | |||
TCW Emerging Markets Multi-Asset Opportunities Fund | 0.06% |
The following Funds paid foreign taxes during the year ended October 31, 2017 that are available as income tax credits:
Fund | Foreign Tax Credit | |||
TCW Developing Markets Equity Fund | $ | 9 | ||
TCW Emerging Markets Income Fund | $ | 83 | ||
TCW Emerging Markets Local Currency Income Fund | $ | 89 | ||
TCW Emerging Markets Multi-Asset Opportunities Fund | $ | 58 |
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 2018, 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 2017. 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 nine directors is responsible for overseeing the operations of the Company, which consists of 21 Funds at October 31, 2017. 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). | |||
| ||||||
Patrick C. Haden (1953) Chairman of the Board | Indefinite term; Mr. Haden has served as a director of TCW Funds, Inc. since May 2001. | Senior Advisor to President (since July 2016) and Athletic Director (2010-June 2016), University of Southern California. | Tetra Tech, Inc. (environmental consulting); The Rose Hills Foundation (charitable foundation); Unihealth Foundation (charitable foundation); Fletcher Jones Foundation (charitable foundation); Mayr Foundation (charitable foundation); First Beverage (beverage consulting); Auto Club (affiliate of AAA); Metropolitan West Funds (mutual fund); TCW Alternative Funds (mutual fund); 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 Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Managing Partner (since 2000), Willowbrook Capital Group, LLC (investment advisory firm); Co-founder and Executive Vice President (since 2005), KBS Capital Advisors (a manager of real estate investment trusts). | KBS Real Estate Investment Trusts (real estate investments); KBS Strategic Opportunity REITS (real estate investments); Metropolitan West Funds (mutual funds); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund). | |||
| ||||||
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). | |||
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Victoria B. Rogers (1961) | Indefinite term; Ms. Rogers has served as a director of the TCW Funds, Inc. since October 2011. | President, The Rose Hills Foundation (charitable foundation). | Causeway Capital Management Trust (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund). |
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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 | |||
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); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Alternative Funds (mutual fund). |
(1) | The address of each Independent Director is c/o Morgan Lewis, & Bockius LLP, Counsel to the Independent Directors, 300 South Grand Avenue 22nd Floor, Los Angeles, CA 90071. |
Interested Directors
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 | 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 (since January 2016), TCW LLC; Chairman (since February 2013), The TCW Group, Inc., TCW Investment Management Company, TCW Asset Management Company and Metropolitan West Asset Management; Chief Executive Officer and Chairman (December 2009 to February 2013), TCW Investment Management Company; Vice Chairman and Chief Executive Officer (December 2009 to August 2012), The TCW Group, Inc. (December 2009 to February 2013) and December 2009 to February 2013) TCW Asset Management Company; Vice Chairman and President (November 2010 to February 2013); Vice Chairman (November 2010 to December 2014); and Chairman (2014 – December 2015), Trust Company of the West. | Qualcomm Incorporated (wireless communications) |
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TCW Funds, Inc.
Directors and Officers of the Company (Continued)
Name and Year of Birth | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Other Directorships held by Director | |||
David S. DeVito (1962) | Indefinite term; Mr. DeVito has served as a director since January 2014. | Executive Vice President and Chief Operating Officer (since January 2016), TCW LLC; President and Chief Executive Officer (since 2015), TCW Alternative Funds; Executive Vice President and Chief Operating Officer (since October 2013), TCW Investment Management Company LLC, The TCW Group, Inc., Metropolitan West Asset Management, LLC and TCW Asset Management Company LLC; President and Chief Executive Officer (since January 2014), TCW Strategic Income Fund, Inc. ; Executive Vice President and Chief Financial Officer (since 2010), Metropolitan West Funds. | 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 | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Lisa Eisen (1963) | Tax Officer | Tax Officer (since December 2016), Metropolitan West Funds, TCW Alternative Funds and TCW Strategic Income Fund, Inc.; Managing Director and Director of Tax (since August 2016), TCW, LLC; Vice President of Corporate Tax and Payroll for Health Net, Inc. (1988 – July 2016). | ||
Meredith S. Jackson (1959) | Senior Vice President, General Counsel and Secretary | Executive Vice President, General Counsel and Secretary (since January 2016), TCW LLC; Senior Vice President, General Counsel and Secretary (since 2015), TCW Alternative Funds; Executive Vice President, General Counsel and Secretary (since February 2013), TCW Investment Management Company, The TCW Group Inc., Trust Company of the West (2013 – December 2015), TCW Asset Management Company and Metropolitan West Asset Management; Senior Vice President, General Counsel and Secretary (since February 2013), TCW Strategic Income Fund, Inc. and Metropolitan West Funds; Partner and Chair of the Debt Finance Practice Group (1999 – January 2013), Irell & Manella (law firm). |
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TCW Funds, Inc.
Name and Year of Birth | Position(s) Held with Company | Principal Occupation(s) During Past 5 Years (1) | ||
Jeffrey Engelsman (1967) | Chief Compliance Officer since September 2014 and AML Officer since December 2016 | AML Officer (since December 2016), TCW Alternative Funds, Metropolitan West Funds, and Global Chief Compliance Officer (since January 2016), TCW LLC; Chief Compliance Officer (since 2014), Metropolitan West Funds and TCW Alternative Funds; Managing Director, Global Chief Compliance Officer (since August 2014), TCW Investment Management Company LLC, Trust Company of the West (2014 – December 2015) TCW Asset Management, LLC and Metropolitan West Asset Management, LLC; Global Chief Compliance Officer (since September 2014), The TCW Group, Inc.; Chief Compliance Officer (since September 2014), TCW Strategic Income Fund, Inc.; Chief Compliance Officer (2009 – August 2014), MainStay Funds (mutual fund); Managing Director (2009 – July 2014), New York Life Investments (investment management). | ||
Richard Villa (1964) | Treasurer and Principal Financial and Accounting Officer | Managing Director, Chief Financial Officer and Assistant Secretary (since January 2016), TCW LLC; Treasurer (since 2015), TCW Alternative Funds; Treasurer and Principal Financial and Accounting Officer (since February 2014), TCW Strategic Income Fund, Inc.; Managing Director and Chief Financial Officer and Assistant Secretary (since July 2008),TCW Investment Management Company, the TCW Group, Inc., Trust Company of the West (2008 – December 2015), TCW Asset Management Company LLC, and Metropolitan West Asset Management LLC. |
(1) | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
* | 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 (February 2005 – December 2015), TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC, TCW LLC and the Advisor, is Vice President and Assistant Treasurer of TCW Alternative Funds and Assistant Treasurer of the Company; and Patrick W. Dennis, Senior Vice President Associate General Counsel and Assistant Secretary of Trust Company of the West (February 2013 – December 2015), TCW Asset Management Company LLC, Metropolitan West Asset Management, LLC, TCW LLC and the Advisor, is Vice President and Assistant Secretary of TCW Alternative Funds and Assistant Secretary of the Company.
The SAI (Statement of Additional Information) has additional information regarding the Board of Directors. A copy is available without charge by calling 1-800-FUND-TCW (1-800-386-3829) to obtain a hard copy or by going to the SEC website at http://www.sec.gov.
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TCW Funds, Inc.
865 South Figueroa Street
Los Angeles, California 90017
800 FUND TCW
(800 386 3829)
www.TCW.com
INVESTMENT ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street
Los Angeles, California 90017
TRANSFER AGENT
U.S. Bancorp Fund Services, LLC
615 E. Michigan Street
Milwaukee, Wisconsin 53202
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
555 West 5th Street
Los Angeles, California 90013
CUSTODIAN & ADMINISTRATOR
State Street Bank & Trust Company
One Lincoln Street
Boston, Massachusetts 02111
DISTRIBUTOR
TCW Funds Distributors LLC
865 South Figueroa Street
Los Angeles, California 90017
DIRECTORS
Patrick C. Haden
Director and Chairman of the Board
Samuel P. Bell
Director
David S. DeVito
Director
John A. Gavin
Director
Peter McMillan
Director
Charles A. Parker
Director
Victoria B. Rogers
Director
Marc I. Stern
Director
Andrew Tarica
Director
OFFICERS
David S. DeVito
President and Chief Executive Officer
Meredith S. Jackson
Senior Vice President,
General Counsel and Secretary
Richard M. Villa
Treasurer and Principal Financial and Accounting Officer
Jeffrey A. Engelsman
Chief Compliance Officer
Patrick W. Dennis
Assistant Secretary
Lisa Eisen
Tax Officer
George N. Winn
Assistant Treasurer
TCW FAMILY OF FUNDS
EQUITY FUNDS
TCW Artificial Intelligence Equity Fund
TCW Focused Equities Fund
TCW Global Real Estate Fund
TCW High Dividend Equities Fund
TCW New America Premier Equities Fund
TCW Relative Value Dividend Appreciation Fund
TCW Relative Value Large Cap Fund
TCW Relative Value Mid Cap Fund
TCW Select Equities Fund
ALLOCATION FUND
TCW Conservative Allocation Fund
FIXED INCOME FUNDS
TCW Core Fixed Income Fund
TCW Enhanced Commodity Strategy Fund
TCW Global Bond Fund
TCW High Yield Bond Fund
TCW Short Term Bond Fund
TCW Total Return Bond Fund
INTERNATIONAL FUNDS
TCW Developing Markets Equity Fund
TCW Emerging Markets Income Fund
TCW Emerging Markets Local Currency Income Fund
TCW Emerging Markets Multi-Asset Opportunities Fund
TCW International Small Cap Fund
FUNDarINT1017
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. |
(b) | No disclosures are required by this Item 2(b). |
(c) | The Registrant has made no material changes to its code of ethics. |
(d) | The Registrant has not granted any waivers from any provisions of its code of ethics during the period covered by this Form N-CSR. |
(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. |
(a)(3) | Not applicable. |
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, 2017 and October 31, 2016, 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:
2017 | 2016 | |
$568,806 | $623,195 |
(b) Audit-Related Fees
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For the fiscal years October 31, 2017 and October 31, 2016, 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:
2017 | 2016 | |
$0 | $0 |
(c) Tax Fees
For the fiscal years ended October 31, 2017 and October 31, 2016, the aggregate fees billed for tax compliance, tax advice and tax planning by Deloitte were:
2017 | 2016 | |
$126,250 | $126,200 |
Fees were for the preparation and filing of the Registrant’s corporate returns.
(d) All Other Fees
For the fiscal years ended October 31, 2017 and October 31, 2016, 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:
2017 | 2016 | |
$36,250 | $0 |
Fees were for Passive Foreign Investment Company analysis.
(e)(1) | The Registrant’s Audit Committee approves each specific service the auditor will perform for the Registrant. Accordingly, the Audit Committee has not established pre-approval policies or procedures for services that the auditor may perform for the Registrant. |
(e)(2) | None of the services described in each of paragraphs (b) through (d) of this Item were approved by the Registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | Not applicable. |
(g) For the fiscal years ended October 31, 2017 and October 31, 2016, aggregate non-audit fees billed by Deloitte for services rendered to the Registrant were:
2017 | 2016 | |
$162,500 | $126,200 |
For the twelve month periods ended October 31, 2017 and October 31, 2016, aggregate non-audit fees billed by Deloitte for services rendered to the Registrant’s investment adviser and any
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entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant were $0 and $0, respectively.
(h) | Not applicable. |
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | The Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Directors.
Item 11. | Controls and Procedures. |
(a) | The Chief Executive Officer and Chief Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) provide reasonable assurances that material information relating to the Registrant is made known to them by the appropriate persons as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the |
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Registrant’s last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13. | 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, 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, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title)
/s/ David S. DeVito
David S. DeVito
Chief Executive Officer
Date December 28, 2017
By (Signature and Title)
/s/ Richard M. Villa
Richard M. Villa
Chief Financial Officer
Date �� December 28, 2017
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